10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended December 31, 2016

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)

Securities registered pursuant to Section 12(b) of the Act:	None
Title of Each Class: None
Securities registered pursuant to Section 12(g) of the Act:	Name of Each Exchange on
Capital Stock, putable, par value $100	Which Registered: None
(Title of Class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

[]Yes [x]No

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.  

[]Yes [x]No

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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  [x]

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

Registrant’s stock is not publicly traded and is only issued to members of the registrant. Such stock is issued and redeemed at par value, $100 per share, subject to certain regulatory and statutory limits. At June 30, 2016, the aggregate par value of the stock held by current and former members of the registrant was approximately $3,232.1 million.There were 37,286,645 shares of common stock outstanding at February 28, 2017.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

PART I	1
Item 1: Business	1
Item 1A: Risk Factors	16
Item 1B: Unresolved Staff Comments	26
Item 2: Properties	26
Item 3: Legal Proceedings	27
Item 4: Mine Safety Disclosures	27
PART II	27
Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	27
Item 6: Selected Financial Data	28
Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations	30
Risk Management	59
Item 7A: Quantitative and Qualitative Disclosures about Market Risk	89
Item 8: Financial Statements and Supplementary Financial Data	90
Financial Statements for the Years 2016, 2015, and 2014	92
Notes to Financial Statements	99
Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	156
Item 9A: Controls and Procedures	156
Item 9B: Other Information	157
PART III	157
Item 10: Directors, Executive Officers and Corporate Governance	157
Item 11: Executive Compensation	165
Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	185
Item 13: Certain Relationships and Related Transactions, and Director Independence	186
Item 14: Principal Accountant Fees and Services	190
PART IV	190
Item 15: Exhibits and Financial Statement Schedules	190
Item 16: Form 10-K Summary	192
Glossary	193
Signatures	197

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PART I – FINANCIAL INFORMATION

Forward-Looking Information

Statements contained in this Form 10-K, 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 and cyber-security risks; and timing and volume of market activity.

Item 1: Business

The Bank’s mission is to provide its members with readily available liquidity, including serving as a low-cost source of funds for housing and community development. The Bank strives to enhance the availability of credit for residential mortgages and targeted community development. The Bank manages its own liquidity so that funds are available to meet members’ demand for advances (loans to members and eligible nonmember housing associates). By providing needed liquidity and enhancing competition in the mortgage market, the Bank’s lending programs benefit homebuyers and communities.

General

History.  The Bank is one of 11 Federal Home Loan Banks (FHLBanks). The FHLBanks operate as separate entities with their own managements, employees and boards of directors. The 11 FHLBanks, along with the Office of Finance (OF - the FHLBanks’ fiscal agent) comprise the FHLBank System. The FHLBanks were organized under the authority of the Federal Home Loan Bank Act of 1932, as amended (the Act). The FHLBanks are commonly referred to as government-sponsored enterprises (GSEs), which generally mean they are a combination of private capital and public sponsorship. The public sponsorship attributes include:

• being exempt from federal, state and local taxation, except real estate taxes;

• being exempt from registration under the Securities Act of 1933 (the 1933 Act), although the FHLBanks are required by Federal Housing Finance Agency (FHFA or Finance Agency) regulation and the Housing and Economic Recovery Act of 2008 (the Housing Act or HERA) to register a class of their equity securities under the Securities Exchange Act of 1934 (the 1934 Act); and

• having a line of credit with the U.S. Treasury.This line represents the U.S. Treasury’s authority to purchase consolidated obligations in an amount up to $4 billion.

Cooperative.  The Bank is a cooperative institution, owned by financial institutions that are also its primary customers. Any building and loan association, savings and loan association, commercial bank, homestead association, insurance company, savings bank, credit union, community development financial institution (CDFI), or insured depository institution that maintains its principal place of business in Delaware, Pennsylvania or West Virginia and that meets varying requirements can apply for membership in the Bank. All members are required to purchase capital stock in the Bank as a condition of membership. The capital stock of the Bank can be purchased only by members.

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Mission.  The Bank’s primary mission is to intermediate between the capital markets and the housing market through member financial institutions. The Bank provides credit for housing and community development through two primary programs. First, it provides members with advances against the security of residential mortgages and other types of high-quality collateral. Second, the Bank purchases residential mortgage loans originated by or through eligible member institutions. The Bank also offers other types of credit and noncredit products and services to member institutions. These include letters of credit, interest rate exchange agreements (interest rate swaps, caps, collars, floors, swaptions and similar transactions), affordable housing grants, securities safekeeping, and deposit products and services. The Bank issues debt to the public (consolidated obligation bonds and discount notes) in the capital markets through the OF and uses these funds to provide its member financial institutions with a reliable source of credit for these programs. The U.S. government does not guarantee the debt securities or other obligations of the Bank or the FHLBank System.

Overview.  As a GSE, the Bank’s principal strategic position has historically been derived from its ability to raise funds in the capital markets at narrow spreads to the U.S. Treasury yield curve. This fundamental competitive advantage, coupled with the joint and several cross-guarantee on FHLBank System debt, has distinguished the Bank in the capital markets and has enabled it to provide attractively priced funding to members.

Though chartered by Congress, the Bank is privately capitalized by its member institutions, which are voluntary participants in its cooperative structure. The characterization of the Bank as a voluntary cooperative with the status of a federal instrumentality differentiates the Bank from a traditional banking institution in three principal ways:

• Members voluntarily commit capital required for membership principally to gain access to the funding and other services provided by the Bank. The value in membership is derived from the access to liquidity and the availability of favorably priced liquidity, as well as the potential for a dividend on the capital investment. Management recognizes that financial institutions choose membership in the Bank principally for access to attractively priced liquidity, the value of the products offered within this cooperative, and the potential to receive dividends.

• Because the Bank’s customers and shareholders are predominantly the same institutions, normally there is a need to balance the pricing expectations of customers with the dividend expectations of shareholders. By charging wider spreads on loans to customers, the Bank could potentially generate higher earnings and potentially dividends for shareholders. Yet these same shareholders viewed as customers would generally prefer narrower loan spreads. The Bank strives to achieve a balance between the goals of providing liquidity and other services to members at advantageous prices andpotentially generating a market-based dividend. The Bank typically does not strive to maximize the dividend yield on the stock, but to produce a dividend that compares favorably to short-term interest rates, compensating members for the cost of the capital they have invested in the Bank.

• The Bank is different from a traditional banking institution because its GSE charter is based on a public policy purpose to assure liquidity for its members and to enhance the availability of affordable housing for lower-income households. In upholding its public policy mission, the Bank offers a number of programs that consume a portion of earnings that might otherwise be available to its shareholders. The cooperative GSE character of this voluntary membership organization leads management to strive to optimize the primary purpose of membership, access to funding, as well as the overall value of Bank membership.

Nonmember Borrowers.  In addition to member institutions, the Bank is permitted under the Act to make advances to nonmember housing associates that are approved mortgagees under Title II of the National Housing Act. These eligible housing associates must be chartered under law, be subject to inspection and supervision by a governmental agency, and lend their own funds as their principal activity in the mortgage field. The Bank must approve each applicant. Housing associates are not subject to certain provisions of the Act that are applicable to members, such as the capital stock purchase requirements. However, they are generally subject to more restrictive lending and collateral requirements than those applicable to members. Housing associates that are not state housing finance agencies are limited to pledging to the Bank as security for advances their Federal Housing Administration (FHA) mortgage loans and securities backed by FHA mortgage loans. Housing associates that are state housing finance agencies (that is, they are also instrumentalities of state or local governments) may, in addition to pledging FHA mortgages and securities backed by FHA mortgages, also pledge the following as collateral for Bank advances: (1) U.S. Treasury and agency securities; (2) single and multifamily mortgages; (3) AAA-rated securities backed by single and multifamily mortgages; and (4) deposits with the Bank. As of December 31, 2016, the Bank had approved three state housing finance agencies; two are currently eligible to borrow from the Bank but had no outstanding advance balances as of December 31, 2016.

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Regulatory Oversight, Audits and Examinations

Supervision and Regulation.  The Bank and OF are supervised and regulated by the Finance Agency, which is an independent agency in the executive branch of the United States government. The Finance Agency ensures that the Bank carries out its housing finance mission, remains adequately capitalized and operates in a safe and sound manner. The Finance Agency establishes regulations and otherwise supervises Bank operations primarily via periodic examinations. The Government Corporation Control Act provides that, before a government corporation issues and offers obligations to the public, the Secretary of the U.S. Treasury has the authority to prescribe the form, denomination, maturity, interest rate, and conditions of the obligations; the way and time issued; and the selling price. The U.S. Treasury receives the Finance Agency’s annual report to Congress and other reports on operations. The Bank is also subject to regulation by the Securities and Exchange Commission (SEC).

Examination.  At a minimum, the Finance Agency conducts annual onsite examinations of the operations of the Bank. In addition, the Comptroller General has authority under the Act to audit or examine the Finance Agency and the Bank and to decide the extent to which they fairly and effectively fulfill the purposes of the Act. Furthermore, the Government Corporation Control Act provides that the Comptroller General may review any audit of the financial statements conducted by an independent registered public accounting firm. If the Comptroller General conducts such a review, then he or she must report the results and provide his or her recommendations to Congress, the Office of Management and Budget (OMB), and the FHLBank in question. The Comptroller General may also conduct his or her own audit of any financial statements of the Bank.

Audit.  The Bank has an internal audit department that conducts internal audits and reports directly to the Audit Committee of the Bank’s Board of Directors (Board). In addition, an independent Registered Public Accounting Firm (RPAF) audits the annual financial statements of the Bank. The independent RPAF conducts these audits following the Standards of the Public Company Accounting Oversight Board (PCAOB) of the United States of America and Government Auditing Standards issued by the Comptroller General. The Bank, the Finance Agency, and Congress all receive the RPAF audit reports.

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Advances

Advance Products

The Bank makes advances on the security of pledged mortgage loans and other eligible types of collateral. The following table summarizes the advance products offered by the Bank as of December 31, 2016. This information excludes mortgage loans purchased by the Bank and held for portfolio and loans relating to the Banking on Business (BOB) program, which are discussed separately in this Item 1.

Product	Description	Maturity	Key Features
RepoPlus	Short-term fixed-rate advances(1); principal and interest paid at maturity	1 day to 89 days	The RepoPlus advance products serve member short-term liquidity needs. RepoPlus is typically a short-term, fixed-rate product while the Open RepoPlus is a revolving line of credit which allows members to borrow, repay and re-borrow based on the terms of the line of credit. These balances tend to be extremely volatile as members borrow and repay frequently.
Mid-Term Repo	Mid-term fixed-rate and adjustable-rate advances(1); principal paid at maturity; interest paid monthly or quarterly.	3 months to 3 years	The Mid-Term Repo product assists members with managing intermediate-term interest rate risk. To assist members with managing the basis risk, or the risk of a change in the spread relationship between two indices, the Bank offers adjustable-rate Mid-Term Repo advances. Adjustable-rate, Mid-Term Repo advances can be priced based on 1-month London Interbank Offered Rate (LIBOR) or 3-month LIBOR indices. The Bank also offers Mid-term fixed-rate advances. These balances tend to be somewhat unpredictable as these advances are not always replaced as they mature; members’ liquidity needs drive these fluctuations.
Core (Term)	Long-term fixed-rate and adjustable-rate advances(1)(2); principal paid at maturity; interest paid monthly or quarterly (Note: amortizing loans principal and interest paid monthly)	1 year to 30 years	For managing longer-term interest rate risk and to assist with asset/liability management, the Bank offers long-term fixed-rate and adjustable-rate advances. Amortizing long-term fixed-rate advances can be fully amortized on a monthly basis over the term of the loan or amortized balloon-style, based on an amortization term longer than the maturity of the loan.
Returnable	Short-term and long-term fixed-rate and adjustable-rate advances with returnable options owned by member; principal paid at maturity; interest paid monthly or quarterly	2 months to 30 years	These advances permit the member to prepay an advance on certain pre-determined dates without a fee.
Convertible Select	Long-term fixed-rate and adjustable-rate advances with conversion options sold by member; principal paid at maturity; interest paid quarterly	2 years to 15 years	These advances contain embedded options which the member can sell to the Bank.If the option is exercised by the Bank (based on a predetermined frequency), the member can choose to either repay the advance or allow the advance to be converted into an adjustable-rate advance with a predetermined spread.

Notes:

⁽¹⁾ May include loans made under the Community Lending Program (CLP).

⁽²⁾ May also include Affordable Housing Program (AHP) loans.

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The following chart shows the percentage of advances by product type and dollar amount (in billions) as of December 31, 2016.

Letters of Credit. Standby letters of credit are issued by the Bank for a fee on behalf of its members and housing associates to support certain obligations to third-party beneficiaries and are backed by an irrevocable, independent obligation from the Bank. These are subject to the same collateralization and borrowing limits that apply to advances. Standby letters of credit can be valuable tools to support community lending activities, including arranging financing to support bond issuances for community and economic development as well as affordable housing projects. The letters of credit offer customizable terms available to meet unique and evolving needs. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member/housing associates’ demand deposit account (DDA). Any remaining amounts not covered by the DDA withdrawal are converted into a collateralized overnight advance.

Collateral

The Bank makes advances to members and eligible nonmember housing associates based upon the security of pledged mortgage loans and other eligible types of collateral. In addition, the Bank has established lending policies and procedures to minimize risk of loss while balancing the members’ needs for funding. The Bank also protects against credit risk by fully collateralizing all member and nonmember housing associate advances and other credit products. The Act requires the Bank to obtain and maintain a security interest in eligible collateral at the time it originates or renews an advance.

Collateral Agreements.  The Bank provides members with two types of collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement. In both cases, the Bank perfects its security interest under Article 9 of the Uniform Commercial Code (UCC) by filing a financing statement. The specific agreement covers only those assets or categories of assets identified; the Bank therefore is relying on a specific subset of the member’s total eligible collateral as security for the member’s obligations to the Bank. The Bank requires housing finance agencies (HFAs) and insurance companies to sign a specific collateral pledge agreement. See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for a description of blanket and specific agreements.

Collateral Status.  These collateral agreements require one of three types of collateral status: undelivered, detailed listing or specific pledge, and delivered status (all securities pledged must be delivered). A member is assigned a collateral status based on the member’s needs and on the Bank’s determination of the member’s current financial condition and credit product usage, as well as other available information.

Undelivered Collateral Status. The least restrictive collateral status, and the most widely used by the Bank’s members, is the undelivered collateral status. This status is generally assigned to lower risk institutions pledging collateral. Under undelivered collateral status, a member borrower is not required to deliver detailed reporting on pledged loans; rather, the Bank monitors eligible collateral using the Qualifying Collateral Report (QCR), derived from regulatory financial reports, which are

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submitted quarterly to the Bank by the member. Origination of new advances or renewal of advances must be secured by eligible collateral categories.

Detailed Listing or Specific Pledge Collateral Status.The Bank may require a member to provide a detailed listing of eligible collateral being pledged if the member is under a specific agreement, orif participating in the Bank’s market-value based pricing program, or as determined based on its credit condition. In this case, the member typically retains physical possession of collateral pledged to the Bank but provides a listing of assets pledged. In some cases, the member may benefit by choosing to list collateral, in lieu of non-listed status, since it may result in a higher collateral weighting being applied to the collateral. The Bank benefits from detailed listing collateral status because it provides more loan information to calculate a more precise valuation of the collateral.

Delivered Collateral Status. In this case, the Bank requires the member to deliver physical possession, or grant control of, eligible collateral in an amount sufficient to fully secure its total credit exposure (TCE) to the Bank, including through a third party custodian for the Bank. Typically, the Bank would take physical possession/control of collateral if the financial condition of the member was deteriorating. Delivery of collateral also may be required if there is action taken against the member by its regulator that would indicate inadequate controls or other conditions that would be of concern to the Bank. Collateral delivery status is often required for members borrowing under specific pledge agreements, as a practical means for maintaining specifically listed collateral. For all securities pledged as collateral, the Bank requires delivery to either a restricted account at the Bank or an account with a third party custodian under the Bank’s control. The Bank also requires delivery of collateral from de novo institution members at least until two consecutive quarters of profitability are achieved and for any other new member where a pre-existing blanket lien is in force with another creditor unless an effective subordination agreement is executed with such other creditor.

With respect to certain specific collateral pledge agreement borrowers (typically HFAs), the Bank takes control of all collateral pledged at the time the loan is made through the delivery of securities or, where applicable, mortgage loans to the Bank or its custodian. Approximately 76% of TCE outstanding was secured by collateral pledged to the Bank under a blanket lien agreement and in undelivered status at December 31,2016. The remaining 24% of TCE outstanding was secured by collateral pledged under detailed listing or specific pledge and delivery status.

As of December 31, 2016, nine of the Bank’s top ten borrowers (ranked by TCE and outstanding advances) were in undelivered collateral status; the remaining one was in specific pledge status, utilizing detailed loan listings. This was a banking institution member which elected to have residential loan collateral specifically pledged under a detailed listing affiliate pledge lending arrangement.

All eligible collateral securing advances is discounted to protect the Bank from default in adverse conditions. These discounts, also referred to as lending value, vary by collateral type and whether the calculation is based on book value or fair value of the collateral. The Bank’s collateral discounted values are presented in the table entitled “Lending Value Assigned to the Collateral as a Percentage of Value” at the end of this subsection. The discounts typically include margins for estimated costs to sell or liquidate the collateral and the risk of a decline in the collateral value due to market or credit volatility. The Bank reviews the collateral weightings periodically and may adjust them, as well as the members’ reporting requirements to the Bank, for individual borrowers on a case-by-case basis.

The Bank determines the type and amount of collateral each member has available to pledge as security for a member’s obligations to the Bank by reviewing, on a quarterly basis, call reports the members file with their primary banking regulators. The resulting total value of collateral available to be pledged to the Bank after any collateral weighting is referred to as a member’s maximum borrowing capacity (MBC). For blanket lien members, and depending on a member’s credit product usage and current financial condition, that member may also be required to file a QCR on a quarterly or monthly basis. At a minimum, all members whose usage exceeds 20% of their MBC and all members who are not community financial institutions (CFIs) as defined below must file a QCR quarterly.

The Bank also performs periodic on-site collateral reviews of its borrowing members to confirm the amounts and quality of the eligible collateral pledged for the members’ obligations to the Bank. For certain pledged residential and commercial mortgage loan collateral, as well as delivered and Bank-controlled securities, the Bank employs outside service providers to assist in determining market values. In addition, the Bank has developed and maintains an Internal Credit Rating (ICR) system that assigns each member a numerical credit rating on a scale of one to ten, with one being the best rating and ten being the worst.Credit availability and term guidelines are based on a member’s ICR and MBC usage. The Bankreserves the right, at its discretion, to refuse certain collateral or to adjust collateral weightings that are applied. In addition, the Bank can require

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additional or substitute collateral while any obligations of a member to the Bank remain outstanding to protect the Bank’s security interest and ensure that it remains fully secured at all times.

See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for further information on collateral policies and practices and details of eligible collateral, including amounts and percentages of eligible collateral securing members’ obligations to the Bank as of December 31, 2016.

As additional security for each member’s obligations to the Bank, the Bank has a statutory lien on the member’s capital stock in the Bank. In the event of deterioration in the financial condition of a member, the Bank will take possession or control of sufficient eligible collateral to further perfect its security interest in collateral pledged to secure the member’s obligations to the Bank. Members with deteriorating creditworthiness are required to deliver collateral to the Bank or the Bank’s custodian to secure the members’ obligations with the Bank. Furthermore, the Bank requires specific approval of each of such members’ new or renewed advances.

Priority.  The Act affords any security interest granted to the Bank by any member, or any affiliate of a member, priority over the claims and rights of any third party, including any receiver, conservator, trustee or similar party having rights of a lien creditor. The only two exceptions are: (1) claims and rights that would be entitled to priority under otherwise applicable law and are held by actual bona fide purchasers for value; and (2) parties that are secured by actual perfected security interests ahead of the Bank’s security interest. The Bank has detailed liquidation plans in place to promptly exercise the Bank’s rights regarding securities, loan collateral, and other collateral upon the failure of a member. At December 31, 2016 and 2015, respectively, on a borrower-by-borrower basis, the Bank had a perfected security interest in eligible collateral with an eligible collateral value (after collateral weightings) in excess of the book value of all members’ and nonmember housing associates’ obligations to the Bank. Management believes that adequate policies and procedures are in place to effectively manage the Bank’s credit risk associated with lending to members and nonmember housing associates.

Types of Collateral.  Single-family, residential mortgage loans may be used to secure members’ obligations to the Bank. The Bank contracts with a leading provider of comprehensive mortgage analytical pricing to provide more precise valuations of some listed and delivered residential mortgage loan collateral.In determining borrowing capacity for members with non-listed and non-delivered collateral, the Bank utilizes book value as reported on each member's regulatory call report.

The Bank also may accept other real estate related collateral (ORERC) as eligible collateral if it has a readily ascertainable value and the Bank is able to perfect its security interest in such collateral. Types of eligible ORERC include commercial mortgage loans and second-mortgage installment loans. The Bank uses a leading provider of multi-family and commercial mortgage analytical pricing to provide more precise valuations of listed and delivered multi-family and commercial mortgage loan collateral.

A third category of eligible collateral is high quality investment securities, defined as U.S. Treasury and U.S. Agency securities, REFCORP (Resolution Funding Corporation) bonds, GSE mortgage-backed securities (MBS), and commercial and residential private label MBSwith a minimum credit rating of single A. In addition, municipal securities (or portions thereof) with a real estate nexus(e.g., proceeds used for real estate development) with a minimum credit rating of single A are included.Members have the option to deliver such high quality investment securities to the Bank to increase their MBC. Upon delivery, these securities are valued daily and all non-government or agency securities are subject to weekly ratings reviews.

The Bank also accepts FHLBank deposits and multi-family residential mortgage loans as eligible collateral. In addition, member CFIs may pledge a broader array of collateral to the Bank, including secured small business, small farm, small agri-business and community development loans. The Housing Act defines member CFIs as Federal Deposit Insurance Corporation (FDIC)-insured institutions with no more than $1.1 billion (the limit during 2016) in average assets over the past three years. This limit may be adjusted by the Finance Agency based on changes in the Consumer Price Index. The determination to accept such collateral is at the discretion of the Bank and is made on a case-by-case basis. These advances were also collateralized by sufficient levels of non-CFI collateral. All member advances are fully secured by residential mortgage assets, ORERC, eligible securities and/or CFI collateral. See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for the percentage of each type of collateral held by the Bank at December 31,2016.

The Bank does not accept subprime residential mortgage loans (defined as FICO^® score of 660 or below) as qualifying collateral unless certain mitigating factors are met. The Bank requires members to identify the amount of subprime and nontraditional mortgage collateral in their QCRs each quarter.

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Nontraditional residential mortgage loans are defined by the Bank’s Collateral Policy as mortgage loans that allow borrowers to defer payment of principal or interest. These loans may be interest-only loans, payment-option loans, negative-amortization, or have other features, such as, but not limited to, variable interest rates with below-market introductory rates, simultaneous second-lien loans and reduced documentation to support the repayment capacity of the borrower. Nontraditional residential mortgage loans exhibit characteristics that may result in increased risk relative to traditional residential mortgage loan products. They may pose even greater risk when granted to borrowers with undocumented or undemonstrated repayment capacity, for example, low or no documentation loans or credit characteristics that would be characterized as subprime. The potential for increased risk is particularly true if the nontraditional residential mortgage loans are not underwritten to the fully indexed rate.

Regarding nontraditional mortgage collateral for the QCR, the Bank requires filing members to stratify their holdings of first lien residential mortgage loans into traditional, qualifying low FICO^®, and qualifying unknown FICO^® categories. Under limited circumstances, the Bank allows nontraditional residential mortgage loans that are consistent with Federal Financial Institutions Examination Council (FFIEC) guidance to be pledged as collateral and used to determine a member’s MBC.

Management believes that the Bank has limited collateral exposure to subprime and nontraditional loans due to its business model, conservative policies pertaining to collateral and low credit risk due tothedesign of its mortgage loan purchase programs. See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for specific requirements regarding subprime and nontraditional loan collateral.

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The various types of eligible collateral and related lending values as of December 31, 2016 are summarized below. Collateral includes wholly-owned member assets (or unencumbered assets of an affiliate or subsidiary of the member pledged to the Bank, if applicable and approved by FHLBank). The weightings are analyzed on at least a semi-annual basis and adjusted as necessary. At the discretion of the Bank, on a case-by-case basis, the collateral weighting on loan categories may be increased (up to a maximum of 85 percent) upon completion of specific market valuation of such collateral and authorization from the Bank’s Membership and Credit Committee.

Securities Collateral	Lending Values as a Percentage of Fair Value for All Members
Deposits held by the Bank and pledged to, and under the sole control of, the Bank	100%
U.S. Treasury securities; U.S. Agency securities, including securities of FNMA, FHLMC, FFCB, NCUA, SBA, USDA and FDIC notes; FHLBank consolidated obligations; REFCORP Bonds (1)	97%
MBS, including collateralized mortgage obligations (CMO) issued or guaranteed by GNMA, FHLMC, and FNMA	95%
U.S. Treasury STRIPs	90%
Non-agency residential MBS, including CMOs, representing a whole interest in such mortgages.	AAA 85%
	AA 75%
	A 70%
Commercial mortgage-backed securities (CMBS)	AAA 85%
	AA 75%
	A 70%
Securities issued by a state or local government or its agencies, or authorities or instrumentalities in the United States (municipals) with a real estate nexus.	AAA 92%
	AA 90%
	A 88%

Loan Collateral	Lending Values
	% of Unpaid Principal Balance		% of Fair Value
	QCR Filer Full Collateral Listing-Undelivered	Full Collateral Credit Reasons	Market Valuation Program
Federal Housing Administration (FHA), Department of Veterans Affairs (VA) and Conventional whole, fully disbursed, first mortgage loans secured by 1-to-4 family residences (Note: Includes first lien HELOCs for listing members only)	80%	70%	85%
Nontraditional mortgage loans and loans with unknown FICO®(2) scores	70%	60%	80%
Conventional and FHA whole, fully-disbursed mortgage loans secured by multifamily properties	75%	65%	85%
Farmland loans	70%	60%	n/a
Commercial real estate loans (owner & non-owner occupied)	70%	60%	80%
Low FICO® score loans with mitigating factors as defined by the Bank	60%	50%	75%
Conventional, fully disbursed, second-mortgage loans secured by 1-to-4 family residences. Both term loans and HELOCs	60%	50%
CFI Collateral	60%	50%	n/a

Notes:

⁽¹⁾ Defined as Federal National Mortgage Association (Fannie Mae or FNMA), Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC), Federal Farm Credit Bank (FFCB), National Credit Union Administration (NCUA), Small Business Administration (SBA), and U.S. Department of Agriculture (USDA).

⁽²⁾ Nontraditional mortgage loan portfolios may be required to be independently identified for collateral review and valuation for inclusion in a member’s MBC. This may include a request for loan-level listing on a periodic basis.

During 2016, the Bank implemented some changes to its collateral policies and practices. See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for details regarding these changes.

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Investments

Overview.  The Bank maintains a portfolio of investments for three main purposes: liquidity; collateral for derivative counterparties; and additional earnings. For liquidity purposes, the Bank invests in shorter-term instruments, including overnight Federal funds and overnight reverse repurchase agreements, to ensure the availability of funds to meet member borrowing requests. In addition, the Bank may invest in other short-term instruments, including term Federal funds, and interest-earning certificates of deposit.The Bank also maintains a secondary liquidity portfolio, which consists primarily of U.S. agency debentures that can be financed under normal market conditions in securities repurchase agreement transactions to raise additional funds. U.S. Treasury securities may be purchased and pledged as collateral for derivative transactions.

The Bank further enhances income by acquiring securities issued by GSEs and state and local government agencies as well as Agency MBS.The Bank's private label MBS portfolio continues to run-off; no private label MBS have been purchased since late 2007. Securities currently in the portfolio were required to carry one of the top two ratings from Moody’s Investors Service, Inc. (Moody’s), Standard & Poor’s Ratings Services (S&P) or Fitch Ratings (Fitch) at the time of purchase. All MBS securities in the Bank’s investment portfolio were AAA rated at the time of purchase with the exception of one pre-2004 vintage security which was rated AA at the time of purchase. The long-term investment portfolio is intended to provide the Bank with higher returns than those available in the short-term money markets. Investment income also bolsters the Bank’s capacity to meet its commitment to affordable housing and community investment, and to cover operating expenses. See the Credit and Counterparty Risk – Investments discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for discussion of the credit risk of the investment portfolio and further information on these securities’ current ratings.

Prohibitions.  Under Finance Agency regulations, the Bank is prohibited from purchasing certain types of securities, including:

• instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies or certain investments targeted to low-income persons or communities;

• instruments issued by non-U.S. entities, other than those issued by United States branches and agency offices of foreign commercial banks;

• non-investment-grade debt instruments, other than certain investments targeted to low-income persons or communities and instruments that were downgraded after purchase by the Bank;

• whole mortgages or other whole loans, other than: (1) those acquired under the Bank’s mortgage purchase program; (2) certain investments targeted to low-income persons or communities; (3) certain marketable direct obligations of state, local or tribal government units or agencies that are of investment quality; (4) MBS or asset-backed securities (ABS) backed by manufactured housing loans or home equity loans (HELOCs); and (5) certain foreign housing loans authorized under Section 12(b) of the Act; and

• non-U.S. dollar denominated securities.

The provisions of Finance Agency regulation further limit the Bank’s investment in MBS and ABS. These provisions require that the total book value of MBS owned by the Bank not exceed 300% of the Bank’s previous month-end regulatory capital on the day of purchase of additional MBS. In addition, the Bank is prohibited from purchasing:

• interest-only or principal-only strips of MBS;

• residual-interest or interest-accrual classes of collateralized mortgage obligations and real estate mortgage investment conduits; and

• fixed-rate or floating-rate MBS that on the trade date are at rates equal to their contractual cap and that have average lives that vary by more than six years under an assumed instantaneous interest rate change of 300 basis points.

The FHLBanks are prohibited from purchasing an FHLBank consolidated obligation as part of the consolidated obligation’s initial issuance. The Bank’s investment policy is even more restrictive, as it prohibits it from investing in another FHLBank consolidated obligation at any time. The Federal Reserve Board (Federal Reserve) requires Federal Reserve Banks (FRBs) to release interest and principal payments on the FHLBank System consolidated obligations only when there are sufficient funds in the FHLBanks’ account to cover these payments. The prohibitions on purchasing FHLBank consolidated obligations noted above will be temporarily waived if the Bank is obligated to accept the direct placement of consolidated obligation discount notes to assist in the management of any daily funding shortfall of another FHLBank.

The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits.

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Mortgage Partnership Finance^® (MPF^®) Program

Under the MPF Program, the Bank purchases qualifying 5- to 30-year conventional conforming and government-insured fixed-rate mortgage loans secured by one-to-four family residential properties. The MPF Program provides participating members and eligible housing associates a secondary market alternative that allows for increased balance sheet liquidity and provides a method for removal of assets that carry interest rate and prepayment risks from their balance sheets. In addition, the MPF Program provides a greater degree of competition among mortgage purchasers and allows small and mid-sized community-based financial institutions to participate more effectively in the secondary mortgage market.

The Bank currently offers five products under the MPF Program to Participating Financial Institutions (PFIs): MPF Original, MPF 35, MPF Government, MPF Direct and MPF Xtra. Further details regarding the credit risk structure for each of the products, as well as additional information regarding the MPF Program and the products offered by the Bank, is provided in the Financial Condition section and the Credit and Counterparty Risk - Mortgage Loans discussion in Risk Management, both in Item 7. Management’s Discussion and Analysis in this Form 10-K.

PFI. Members and eligible housing associates must specifically apply to become a PFI. The Bank reviews their eligibility including servicing qualifications and ability to supply documents, data and reports required to be delivered under the MPF Program. The Bank added six new PFIs in 2016, and as of December 31, 2016, 134 members were approved participants in the MPF Program. The Bank purchased mortgage loans totaling $790.2 million during 2016 of which $405.3 million was from one PFI.

Under the MPF Program, PFIs generally market, originate and service qualifying residential mortgages for sale to the Bank. Member banks have direct knowledge of their mortgage markets and have developed expertise in underwriting and servicing residential mortgage loans. By allowing PFIs to originate mortgage loans, whether through retail or wholesale operations, and to retain or sell servicing of mortgage loans, the MPF Program gives control of the functions that relate to credit risk to PFIs. PFIs also may receive a servicing fee if they choose to retain loan servicing rather than transfer servicing rights to a third-party servicer.

During the life of the loan, PFIs are paid a credit enhancement (CE) fee for retaining and managing a portion of the credit risk in the conventional mortgage loan portfolios sold to the Bank under the MPF Original Program. The CE structure motivates PFIs to minimize loan losses on mortgage loans sold to the Bank. The Bank is responsible for managing the interest rate risk, prepayment risk, liquidity risk and a portion of the credit risk associated with the mortgage loans.

Mortgage Loan Purchases. The Bank and the PFI enter into a Master Commitment which provides the general terms under which the PFI will deliver mortgage loans, including a maximum loan delivery amount, maximum CE amount and expiration date. Mortgage loans are purchased by the Bank directly from a PFI pursuant to a delivery commitment, a binding agreement between the PFI and the Bank.

Mortgage Loan Participations.The Bank may sell participation interests in purchased mortgage loans to other FHLBanks, institutional third party investors approved in writing by the FHLBank of Chicago, the member that provided the CE, and other members of the FHLBank System. The Bank also may purchase mortgage loans from other FHLBanks.

Mortgage Loan Servicing.Under the MPF Program, PFIs may retain or sell servicing to third parties. The Bank does not service loans or own any servicing rights. The FHLBank of Chicago acts as the master servicer for the Bank and has contracted with Wells Fargo Bank, N.A. to fulfill the master servicing duties. The Bank pays the PFI or third-party servicer a servicing fee to perform these duties. The servicing fee is 25 basis points for conventional loans.

MPF Xtra.MPF Xtra allows PFIs to sell residential, conforming fixed-rate mortgages to FHLBank of Chicago, which concurrently sells them to Fannie Mae on a nonrecourse basis. MPF Xtra does not have the CE structure of the traditional MPF Program. Additionally, because these loans are sold from the PFI to FHLBank of Chicago to Fannie Mae, they are not reported on the Bank’s Statement of Condition. With the MPF Xtra product, there is no credit obligation assumed by the PFI or the Bank and no CE fees are paid. PFIs which have completed all required documentation and training are eligible to offer the product. As of December 31,2016, 44 PFIs were eligible to offer the product. Of these, 11 PFIs sold $50.4 million of mortgage loans through MPF Xtra for2016. The Bank receives a nominal fee for facilitating these MPF Xtra transactions.

MPF Direct.This isoperationally similar to MPF Xtra and allows PFIs to sell residential, jumbo fixed-rate mortgages to FHLBank Chicago, which concurrently sells them to a third party on a nonrecourse basis. PFIs which have completed all required documentation and training are eligible to offer the product. MPF Direct does not have the credit structure of the traditional MPF Program, and there is no CE obligation assumed by the PFI or the Bank and no CE fees are paid. The Bank

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receives a nominal fee for facilitating MPF Direct transactions. Given the arrangement, these loans are not reported on the Bank's Statement of Condition.

MPF 35. This product is similar to the MPF Original product but has a CE fee structure that is based partly on performance, a FLA equal to 35 basis points, and an option for the PFI’s CE obligation to be covered by a third party.

The FHLBank of Chicago, in its role as MPF Provider, provides the programmatic and operational support for the MPF Program and is responsible for the development and maintenance of the origination, underwriting and servicing guides.

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, “MPF Direct” and “MPF 35” are registered trademarks of the FHLBank of Chicago.

Specialized Programs

The Bank helps members meet their Community Reinvestment Act (CRA) responsibilities. Through community investment cash advance programs such as AHP and CLP, members have access to subsidized and other low-cost funding. Members use the funds from these programs to create affordable rental and homeownership opportunities, and for community and economic development activities that benefit low- and moderate-income neighborhoods and help revitalize their communities.

BOB Loans

See Note 1 - Summary of Significant Accounting Policies in Item 8. in this Form 10-K for a description of the BOB program. In 2016 and 2015, the Bank made $5.0 million and $3.5 million available, respectively, to assist small businesses through the BOB loan program.

Deposits

The Act allows the Bank to accept deposits from its members, from any institution for which it is providing correspondent services, from other FHLBanks, or from other Federal instrumentalities. Deposit programs are low-cost funding resources for the Bank, which also provide members a low-risk earning asset that is used in meeting their regulatory liquidity requirements. The Bank offers several types of deposit programs to its members including demand, overnight and term deposits.

Debt Financing — Consolidated Obligations

The primary source of funds for the Bank is the sale of debt securities, known as consolidated obligations. These consolidated obligations are issued as both bonds and discount notes, depending on maturity. Consolidated obligations are the joint and several obligations of the 11 FHLBanks. Consolidated obligations are not obligations of the U.S. government, and the U.S. government does not guarantee them. Moody’s has rated consolidated obligations Aaa with stable outlook/P-1, and S&P has rated them AA+ with stable outlook/A-1+. The following table presents the total par value of the consolidated obligations of the Bank and the FHLBank System at December 31, 2016 and 2015.

(in millions)	December 31, 2016		December 31, 2015
Consolidated obligation bonds	$	67,195.7	$	48,515.7
Consolidated obligation discount notes	28,529.6		42,318.5
Total Bank consolidated obligations	95,725.3		90,834.2
Total FHLBank System combined consolidated obligations	$	989,311.1	$	905,201.8

OF.  The OF has responsibility for issuing and servicing consolidated obligations on behalf of the FHLBanks. The OF also serves as a source of information for the Bank on capital market developments, markets the FHLBank System’s debt on behalf of the FHLBanks, selects and evaluates underwriters, prepares combined financial statements, and manages the Banks’ relationship with the rating agencies and the U.S. Treasury with respect to the consolidated obligations.

Consolidated Obligation Bonds.  On behalf of the Bank, the OF issues bonds that the Bank uses to fund advances, the MPF Program and its investment portfolio. Generally, the maturity of these bonds ranges from one year to ten years, although the maturity is not subject to any statutory or regulatory limit. Bonds can be issued and distributed through negotiated or competitively bid transactions with approved underwriters or selling group members. In some instances, the Bank swaps its term fixed-rate debt issuance to floating rates through the use of interest rate swaps. Bonds can be issued through:

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• A daily auction for both bullet (non-callable and non-amortizing) and American-style (callable daily after lockout period expires) callable bonds.

• A selling group, which typically has multiple lead investment banks on each issue.

• A negotiated transaction with one or more dealers.

The process for issuing bonds under the three methods above can vary depending on whether the bonds are non-callable or callable. For example, the Bank can request funding through the TAP auction program (quarterly debt issuances that reopen or “tap” into the same CUSIP number) for fixed-rate non-callable (bullet) bonds. This program uses specific maturities that may be reopened daily during a three-month period through competitive auctions. The goal of the TAP program is to aggregate frequent smaller issues into a larger bond issue that may have greater market liquidity.

Consolidated Obligation Discount Notes.  The OF also sells discount notes to provide short-term funds for advances for seasonal and cyclical fluctuations in deposit flows, mortgage financing, short-term investments and other funding needs. Discount notes are sold at a discount and mature at par. These securities have maturities of up to 365 days.

There are three methods for issuing discount notes:

• The OF auctions one-, two-, three- and six-month discount notes twice per week and any FHLBank can request an amount to be issued. The market sets the price for these securities.

• Via the OF’s window program, through which any FHLBank can offer a specified amount of discount notes at a maximum rate and a specified term up to 365 days. These securities are offered daily through a consolidated discount note selling group of broker-dealers.

• Via reverse inquiry, wherein a dealer requests a specified amount of discount notes be issued for a specific date and price. The OF presents reverse inquiries to the FHLBanks, which may or may not choose to issue those particular discount notes.

See the Liquidity and Funding Risk discussion in the Risk Management section in Item 7. Management’s Discussion and Analysis in this Form 10-K for further information regarding consolidated obligations and related liquidity risk.

Capital Resources

Capital Plan.The Bank currently has two subclasses of capital stock: B1 membership and B2 activity. The Capital Plan generally sets the calculation of the annual Membership Asset Value (MAV) stock purchase requirement based on the member’s assets as set forth in its prior December 31 call report data. Membership assets include, but are not limited to, the following: U.S. Treasury securities; U.S. Agency securities; U.S. Agency MBS; non-Agency MBS; 1-4 family residential first mortgage loans; multi-family mortgage loans; 1-4 family residential second mortgage loans; home equity lines of credit; and commercial real estate loans. A factor is applied to each membership asset category and the resulting MAV is determined by summing the products of the membership asset categories and the respective factor. Adjustments to the amount of membership and activity stock that each member must hold can be made periodically by the Bank's Board of Directors in accordance with the terms of the Capital Plan. Ranges have been built into the Capital Plan to allow the Bank to adjust the stock purchase requirement to meet its regulatory capital requirements, if necessary. Currently, these are the stock purchase requirements for each class of stock.

Each member is required to purchase and maintain membership stock equal to the following:

	Range of membership stock requirement according to the Capital Plan
	Minimum	Maximum	Current requirement
% of membership assets	0.05%	1.0%	0.1%
Membership stock cap	$5 million	$100 million	$45 million
Membership stock floor			$10 thousand

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Each member is required to purchase and maintain activity stock equal to the percentage of the book value of the following transactions as shown in the table below:

	Range of activity stock requirement according to the Capital Plan
	Minimum	Maximum	Current requirement
Outstanding advances	2.0%	6.0%	4.0%
Acquired member assets (AMA)	0.0%	6.0%	4.0%
Letters of credit	0.0%	4.0%	0.75%
Outstanding advance commitments (settling more than 30 days after trade date)	0.0%	6.0%	0.0%

Bank capital stock is not publicly traded; it may be issued, redeemed and repurchased at its stated par value of $100 per share. Under the Capital Plan, capital stock is redeemed upon five years’ notice, subject to certain conditions. In addition, the Bank has the discretion to repurchase excess stock from members. Currently, the Bank's practice is to repurchase all excess capital stock on a weekly basis.

Dividends and Retained Earnings.  As prescribed in the Capital Plan, the Bank may pay dividends from current net earnings or previously retained earnings, subject to certain limitations and conditions. The Bank’s Board may declare and pay dividends in either cash or capital stock. The Bank’s practice has been to pay only a cash dividend. The amount of dividends the Board determines to pay out, if any, is affected by, among other factors, the level of retained earnings recommended under the Bank’s retained earnings policy. In addition, as set forth in the Capital Plan, the dividends paid on subclass B2 activity stock will be equal to or higher than the dividends being paid on subclass B1 membership stock at that time. Dividends paid in 2016, 2015 and 2014 are presented in the table below.

	Dividend - Annual Yield
	2016		2015		2014
	Membership	Activity	Membership	Activity
February	3.0%	5.0%	(1)	(1)	2.5%
April	2.0%	5.0%	3.0%	5.0%	4.0%
July	2.0%	5.0%	3.0%	5.0%	4.0%
October	2.0%	5.0%	3.0%	5.0%	4.0%

Note:

⁽¹⁾ The Bank did not differentiate dividends on activity and membership stock prior to April 2015. In February 2015, the Bank paid a quarterly dividend on all capital stock equal to an annual yield of 4.0%. In addition, the Bank paid a special dividend of 2.5%. This special dividend was based on average member capital stock for the full year of 2014.

In February 2017, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 2.0% on activity stock and membership stock, respectively. The dividends were based on average member capital stock held for the fourth quarter of 2016.

As of December 31, 2016, the balance in retained earnings was $986.2 million, of which $214.5 million was deemed restricted. Refer to the Capital Resources section and the Risk Governance discussion in Risk Management, both in Item 7. Management’s Discussion and Analysis in this Form 10-K for additional discussion of the Bank’s capital-related metrics, retained earnings, dividend payments, capital levels and regulatory capital requirements.

Derivatives and Hedging Activities

The Bank may enter into interest rate swaps, swaptions, interest rate cap and floor agreements (collectively, derivatives) to manage its exposure to changes in interest rates. The Bank uses these derivatives to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve its risk management objectives. The Bank may use derivative financial instruments in the following ways: (1) by designating them as a fair value hedge of an underlying financial instrument or a firm commitment; or (2) in asset/liability management (i.e., an economic hedge).

The Finance Agency regulates the Bank’s use of derivatives. The regulations prohibit the trading in or speculative use of these instruments and limit credit risk arising from these instruments. All derivatives are recorded in the Statement of Condition

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at fair value. See Note 11- Derivatives and Hedging Activities to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K for additional information.

Competition

Advances.  The Bank competes with other suppliers of wholesale funding, both secured and unsecured, including the FRBs, commercial banks, investment banking divisions of commercial banks, and brokered deposits, largely on the basis of interest rates as well as types and weightings of collateral. Competition is often more significant when originating advances to larger members, which have greater access to the capital markets. Competition within the FHLBank System is somewhat limited; however, there may be some members of the Bank that have affiliates that are members of other FHLBanks. The Bank's ability to compete successfully with other FHLBanks for business depends primarily on pricing, dividends, capital stock requirements, credit and collateral terms, and products offered. Despite these competitive factors, advances rose 3.1% to $76.8 billion at December 31, 2016 compared to $74.5 billion at December 31, 2015. This was primarily driven by increases in fixed- and floating-rate term advance borrowings by several members. Additional details regarding the advance portfolio are available in the Financial Condition discussion in Item 7. Management's Discussion and Analysis in this Form 10-K.

Purchase of Mortgage Loans.  Members have several alternative outlets for their mortgage loan production including Fannie Mae, Freddie Mac, and other secondary market conduits. The MPF Program competes with these alternatives on the basis of price and product attributes. Additionally, a member may elect to hold all or a portion of its mortgage loan production in portfolio, potentially funded by an advance from the Bank. The Bank’s focus is on purchasing MPF loans originated by the member institutions located in its district.

Issuance of Consolidated Obligations.  The Bank competes with the U.S. Treasury, Fannie Mae, Freddie Mac and other GSEs as well as corporate, sovereign and supranational entities for funds raised through the issuance of unsecured debt in the national and global debt markets. Increases in the supply of competing debt products may, in the absence of increases in demand, result in higher debt cost. The Bank’s status as a GSE affords certain preferential treatment for its debt obligations under the current regulatory scheme for depository institutions operating in the U.S. as well as preferential tax treatment in a number of state and municipal jurisdictions. Any change in these regulatory conditions as they affect the holders of Bank debt obligations would likely alter the relative competitive position of such debt issuance and result in potentially higher costs to the Bank.

Major Customers

Chase Bank USA, N.A., PNC Bank, N.A., and Ally Bank each had advance balances in excess of 10% of the Bank’s total portfolio as of December 31, 2016. See further discussion in Item 1A. Risk Factors and the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section in Item 7. Management’s Discussion and Analysis, both in this Form 10-K.

Personnel

As of December 31,2016, the Bank had 212 full-time employee positions and three part-time employee positions, for a total of 213.5 full-time equivalents. The employees are not represented by a collective bargaining unit and the Bank considers its relationship with its employees to be good.

Taxation

The Bank is exempt from all Federal, state and local taxation with the exception of real estate property taxes and certain employer payroll taxes.

AHP

The FHLBanks must set aside for the AHP annually, on a combined basis, the greater of an aggregate of $100 million or 10% of current year’s net income (GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP). If the Bank experienced a full year net loss, as defined in Note 15 - Affordable Housing Program (AHP) to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K, the Bank would have no obligation to the AHP for the year except in the following circumstance: if the result of the aggregate 10% calculation described above is less than $100 million for all 11 FHLBanks, then the Act requires that each FHLBank contribute such prorated sums as may be required to assure that the aggregate contributions of the FHLBanks equal

15

$100 million. The proration would be made on the basis of an FHLBank’s net income in relation to the income of all FHLBanks for the previous year. Each FHLBank’s required annual AHP contribution is limited to its annual net income. If an FHLBank finds that its required contributions are negatively impacting the financial stability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. As allowed by AHP regulations, an FHLBank can elect to allot fundings based on future periods’ required AHP contributions to be awarded during a year (referred to as Accelerated AHP). Accelerated AHP allows an FHLBank to commit and disburse AHP funds to meet the FHLBank’s mission when it would otherwise be unable to do so, based on its normal funding mechanism.

For additional details regarding the AHP assessment, please see the Earnings Performance discussion in Item 7. Management’s Discussion and Analysis and Note 15 - Affordable Housing Program (AHP) in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

SEC Reports and Corporate Governance Information

The Bank is subject to the informational requirements of the 1934 Act and, in accordance with the 1934 Act, files annual, quarterly and current reports with the SEC. The Bank’s SEC File Number is 000-51395. Any document filed with the SEC may be read and copied at the SEC’s Public Reference Room at 100 F Street NE, Washington, D.C. 20549. Information on the operation of the Public Reference Room can be obtained by calling the SEC at 1-800-SEC-0330. The SEC also maintains an internet site that contains reports, information statements and other information regarding registrants that file electronically with the SEC, including the Bank’s filings. The Bank’s financial information is also filed in eXtensible Business Reporting Language (XBRL) as required by the SEC and is available on the Bank’s and the SEC’s websites. The SEC’s website address iswww.sec.gov. Copies of such materials can also be obtained at prescribed rates from the public reference section of the SEC at 100 F Street NE, Washington, D.C. 20549.

The Bank also makes the Annual Report filed on Form 10-K, Quarterly Reports filed on Form 10-Q, certain Current Reports filed on Form 8-K, and amendments to those reports filed or furnished to the SEC pursuant to Section 13(a) or 15(d) of the 1934 Act available free of charge on or through its internet website as soon as reasonably practicable after such material is filed with the SEC. The Bank’s internet website address is www.fhlb-pgh.com. The Bank filed the certifications of the President and Chief Executive Officer, Chief Financial Officer, and the Chief Accounting Officer pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 with respect to the Bank’s 2016 Annual Report on Form 10-K as exhibits to this Report.

Information about the Bank’s Board and its committees and corporate governance, as well as the Bank’s Code of Conduct, is available in the corporate governance section of the “About Us” link on the Bank’s website at www.fhlb-pgh.com. Printed copies of this information may be requested without charge upon written request to the Legal Department at the Bank.

Item 1A: Risk Factors

There are many factors - including those beyond the Bank's control - that could cause financial results to differ significantly from the Bank's expectations. The following discussion summarizes some of the more important factors that should be considered carefully in evaluating the Bank's business. This discussion is not exhaustive and there may be other factors not described or factors, such as credit, market, operations, business, liquidity, interest rate and other risks, changes in regulations, and changes in accounting requirements, which are described elsewhere in this report (see the Risk Management discussion in Item 7. Management's Discussion and Analysis in this Form 10-K), which could cause results to differ materially from the Bank's expectations. However, management believes that these risks represent the material risks relevant to the Bank, its business and industry. Any factor described in this report could by itself, or together with one or more other factors, adversely affect the Bank's business operations, future results of operations, financial condition or cash flows.

The Bank's business is dependent upon its computer information systems. An inability to process information or implement technological changes, or an interruption in the Bank's systems, may result in lost business or increased operational risk. The Bank's dependence on computer systems and technologies to engage in business transactions and to communicate with its stakeholders has increased the Bank's exposure to cyber security risks.

For example, the Bank provides on-line banking transactional capability to enable its members to execute borrowing and other transactions with the Bank. The Bank is under ongoing cyber attack. Although the Bank has security measures in place and devotes significant resources to secure the Bank's computer systems and networks, it might not be able to anticipate or implement effective preventive measures against all security breaches. To date,the Bank has experienced a limited number of successful desktop (e.g., malware) security incidents. However, these incidents were limited and did not involve any breaches of data such as those that trigger notice requirements under applicable law. Each of these incidents was responded to appropriately which prevented material impact on the Bank’s operations. The Bank’s technology control environment, along

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with security policies and standards, incident response procedures, security controls testing and dedicated information security resources, have protected the Bank against material cyber-security attacks. In addition, the Bank completes periodic independent assessments that leverage industry recognized frameworks in order to continually improve the Bank’s control environment against cyber-security attacks. If a successful penetration were to occur, it might result in unauthorized access to digital systems for purposes of misappropriating assets or sensitive information (including confidential information of the Bank, members, counterparties or mortgage loan borrowers), corrupt data or cause operational disruption. This may result in financial loss or a violation of privacy or other laws. The Bank could incur substantial costs and suffer other negative consequences as a result, including but not limited to remediation costs, increased security costs, litigation, penalties, and reputational damage.

The Bank's business is dependent upon its ability to effectively exchange and process information using its computer information systems. The Bank's products and services require a complex and sophisticated computing environment, which includes purchased and custom-developed software. Maintaining the effectiveness and efficiency of the Bank's operations is dependent upon the continued timely implementation of technology solutions and systems, which may require ongoing capital expenditures, as well as the ability to sustain ongoing operations during technology solution implementations or upgrades. If the Bank were unable to sustain its technological capabilities, it may not be able to remain competitive, and its business, financial condition and profitability may be significantly compromised.

The Bank is subject to legislative and regulatory actions, including a complex body of Finance Agency regulations, which may be amended in a manner that may affect the Bank's business, operations and financial condition and members' investment in the Bank.

The FHLBanks' business operations, funding costs, rights, obligations, and the environment in which FHLBanks carry out their housing-finance mission continue to be impacted by the evolving regulations impacting the finance industry. To date, the Bank has effectively implemented all requirements for derivatives clearing including establishing relationships with Futures Commission Merchants (FCMs) and an integration of swap execution facilities. Final regulations regarding uncleared swaps were issued in October 2015. When they take effect, the Final Margin Rules will subject uncleared swaps and uncleared security-based swaps between Covered Swap Entities and Swap Entities and between Covered Swap Entities and financial end-users that have material swaps exposure (i.e., an average daily aggregate notional of $8 billion or more in uncleared swaps) to a mandatory two-way initial margin requirement. The Final Margin Rules will require variation margin to be exchanged daily for uncleared swaps and uncleared security-based swaps between Covered Swap Entities and Swap Entities and between Covered Swap Entities and all financial end-users (without regard to the swaps exposure of the particular financial end-user). Variation margin requirements under the Final Margin Rules will become effective for the Bank on March 1, 2017, and the initial margin requirements under the Final Margin Rules are expected to become effective for the Bank on September 1, 2020. Since the Bank is currently posting and collecting variation margin on uncleared swaps, it is not anticipated that the variation margin requirement under the Final Margin Rules will have a material impact on the Bank's costs. However, when the initial margin requirements under the Final Margin Rules become effective, the Bank anticipates that the cost of engaging in uncleared swaps may increase. Additional details regarding the Dodd-Frank Act and its implementing regulations are included in Legislative and Regulatory Developments in Item 7. Management's Discussion and Analysis in this Form 10-K.

The Bank clears certain derivative transactions through a third party central clearinghouse. These swaps are subject to mandatory reporting, record-keeping and documentation requirements established by applicable regulators, an initial and a variation margin requirement established by the clearinghouse and its clearing members. Guidance from the Commodity Futures Trading Commission (CFTC) also addressed treatment of customer collateral for cleared swaps and additional protections for such collateral.

The Bank's ability to achieve its risk management objectives has not been materially impacted by the initial derivative clearing requirements and these requirements have not negatively impacted the Bank's cost of funds. The impact of the recently adopted final regulations regarding uncleared swaps, specifically the initial margin requirements that become effective for the Bank September 1, 2020, could have a material impact on the Bank’s cost of funds, results of operations and financial condition.

On June 15, 2016, the SEC approved the Financial Industry Regulatory Authority, Inc.’s (FINRA) proposed amendment to FINRA Rule 4210, which will require U.S. registered broker-dealers to receive a minimum amount of margin from their counterparties with respect to “Covered Agency Transactions” which include the following:

• TBA transactionsfor which the difference between the trade date and contractual settlement date is greater than one business day;

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• specified pool transactionsfor which the difference between the trade date and contractual settlement date is greater than one business day; and

• U.S. agency collateralized mortgage obligations for which the difference between the trade date and contractual settlement date is greater than three business days.

Since the FHLBanks qualify as “exempt accounts”, the Bank will not be subject to the maintenance margin requirement and will only be required to exchange daily mark-to-market margin with respect to Covered Agency Transactions.

In October 2016, the Finance Agency informed the FHLBanks that it was reviewing the current regulatory liquidity requirements and may propose new requirements in 2017. The FHLBanks are working with the Finance Agency to gain a better understanding and potential impact of any such changes.

The Housing Act was intended to, among other things, address the 2007-2008 housing finance crisis, expand the Finance Agency's authority and address GSE reform issues. Several GSE reform bills have been crafted in the prior Congress and prior Administration. With a new Administration and changes in Congress, additional GSE reform efforts are expected. Depending on the terms, such legislation could have a material effect on the Bank. In addition, any future legislative changes to the Housing Act may significantly affect the Bank's business, results of operations and financial condition.

The FHLBanks are also governed by Federal laws and regulations as adopted by Congress and applied by the Finance Agency. The Finance Agency's extensive statutory and regulatory authority over the FHLBanks includes, without limitation, the authority to liquidate, merge or consolidate FHLBanks, redistrict or adjust equities among the FHLBanks. The Bank cannot predict if or how the Finance Agency could exercise such authority in regard to any FHLBank or the potential impact of such action on members' investment in the Bank. The Finance Agency also has authority over the scope of permissible FHLBank products and activities, including the authority to impose limits on those products and activities. The Finance Agency supervises the Bank and establishes the regulations governing the Bank. Changes in Finance Agency leadership may also impact the nature and extent of any new or revised regulations on the Bank.

The Bank cannot predict whether new regulations will be promulgated nor the effect of any new regulations (including, without limitation, capital and liquidity requirements on the Bank’s members) on the Bank's operations. Regulatory requirements on the Bank’s members may affect their capacity and demand for Bank products, and as a result, impact the Bank’s operations and financial condition. Changes in Finance Agency regulations and other Finance Agency regulatory actions could result in, among other things, changes in the Bank's capital requirements, an increase in the Banks' cost of funding, a change in permissible business activities, a decrease in the size, scope, or nature of the Banks' lending, investment or mortgage purchase program activities, or a decrease in demand for the Bank's products and services, which could negatively affect its financial condition and results of operations and members' investment in the Bank.

Continued regulatory changes drive ongoing updates to the Bank's current computer information systems to support these requirements. Recent legislative and regulatory proposals regarding enhanced cybersecurity standards and requirements may result in increased costs to the Bank as well as additional work-arounds until the Bank fully implements technology necessary to meet these additional requirements.

The Bank faces competition for advances, mortgage loan purchases and access to funding, which could negatively impact earnings.

The Bank's primary business is making advances to its members. The Bank competes with other suppliers of wholesale funding, both secured and unsecured, including commercial banks and their investment banking divisions, the FRBs, providers of brokered deposits and, in some circumstances, other FHLBanks. Members have access to alternative funding sources, which may offer more favorable terms than the Bank offers on its advances, including more flexible credit or collateral standards. In addition, many of the Bank's competitors are not subject to the same body of regulations applicable to the Bank, which enables those competitors to offer products and terms that the Bank is not able to offer.

The availability of alternative funding sources that is more attractive than those funding products offered by the Bank may significantly decrease the demand for advances. Any changes made by the Bank in the pricing of its advances in an effort to compete effectively with these competitive funding sources may decrease advance profitability. A decrease in advance demand or a decrease in the Bank's profitability on advances could negatively affect its financial condition and results of operations.

In connection with the MPF Program, the Bank is subject to competition regarding the purchase of conventional, conforming fixed-rate mortgage loans. In this regard, the Bank faces competition in the areas of customer service, purchase prices for the MPF loans and ancillary services such as automated underwriting. The Bank's strongest competitors are large

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mortgage aggregators, non-depository mortgage entities, and the other housing GSEs, Fannie Mae and Freddie Mac. The Bank may also compete with other FHLBanks with which members have a relationship through affiliates. Most of the FHLBanks participate in the MPF Program or a similar program known as the Mortgage Purchase Program (MPP). Competition among FHLBanks for MPF business may be affected by the requirement that a member and its affiliates can sell loans into the MPF Program through only one FHLBank relationship at a time. Some of these mortgage loan competitors have greater resources, larger volumes of business, longer operating histories and more product offerings. In addition, because the volume of conventional, conforming fixed-rate mortgages fluctuates depending on the level of interest rates, the demand for MPF Program products could diminish. Increased competition can result in a reduction in the amount of mortgage loans the Bank is able to purchase and consequently lower net income.

The FHLBanks also compete with the U.S. Treasury, Fannie Mae and Freddie Mac, as well as corporate, sovereign and supranational entities for funds raised through the issuance of unsecured debt in the national and global debt markets. Increases in the supply of competing debt products may, in the absence of increases in demand, result in higher debt costs or lower amounts of debt issued at the same cost than otherwise would be the case. Increased competition could adversely affect the Bank's ability to have access to funding, reduce the amount of funding available or increase the cost of funding. Any of these effects could adversely affect the Bank's financial condition and results of operations.

The loss of significant Bank members or borrowers may have a negative impact on the Bank's advances and capital stock outstanding and could result in lower demand for its products and services, lower dividends paid to members and higher borrowing costs for remaining members, all of which may affect the Bank's results of operations and financial condition.

One or more significant Bank borrowing members could choose to decrease their business activities with the Bank, move their business to another FHLBank, merge into a nonmember or withdraw their membership, which could lead to a significant decrease in the Bank's total assets. Membership withdrawal may be due to a move to another FHLBank district. If member institutions are acquired by institutions outside the Bank's district and the acquiring institution decides not to maintain membership (for example, by dissolving charters), the Bank may be adversely affected, resulting in lower demand for products and services and ultimately requiring the redemption of related capital stock. In the event the Bank would lose one or more large borrowers that represent a significant proportion of its business, the Bank could, depending on the magnitude of the impact, compensate for the loss by suspending, or otherwise restricting, dividend payments and repurchases of excess capital stock, raising advance rates, attempting to reduce operating expenses (which could cause a reduction in service levels or products offered) or by undertaking some combination of these actions. The magnitude of the impact would depend, in part, on the Bank's size and profitability at the time the financial institution ceases to be a borrower.

At December 31, 2016, the Bank's five largest customers, PNC Bank, N.A., Chase Bank USA, N.A., Santander Bank, N.A., TD Bank, N.A., and Ally Bank, accounted for 75% of its TCE and owned 72% of its outstanding capital stock. Of these members, PNC Bank, N.A., Ally Bank and Chase Bank USA, N.A. each had outstanding advance balances in excess of 10% of the total portfolio. If any of the Bank’s five largest customers paid off their outstanding advances, reduced their letter of credit activity with the Bank or withdrew from membership, the Bank could experience a material adverse effect on its outstanding advance levels and TCE, which would impact the Bank's financial condition and results of operations.

The Bank relies on both internally and externally developed models to manage market and other risks, to make business decisions and for financial accounting and reporting purposes. The Bank's business could be adversely affected if these models fail to produce reliable results or if the results are not used appropriately.

The Bank makes significant use of business and financial models for making business decisions and managing risk. For example, the Bank uses models to measure and monitor exposures to market risks and credit and collateral risks. A credit scoring model is used in part as a basis for credit decisions. The Bank also uses models in determining the fair value of certain financial instruments. The information provided by these models is used in making business decisions relating to strategies, initiatives, transactions and products and in financial reporting.

Models are inherently imperfect predictors of actual results because they are based on assumptions about future performance. The risk metrics, valuations, OTTI and loan loss reserve estimations produced by the Bank's models may be different from actual results, which could adversely affect the Bank's business results, cash flows, fair value of net assets, business prospects and future earnings. Outdated information or inaccurate internal scoring could result in poor credit decisions. Changes in any models or in any of the assumptions, judgments or estimates used in the models may cause the results generated by the model to be materially different. Changes to the Bank’s model inputs could occur due to changes in market participants’ valuation practices.

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If the models are not reliable or the Bank does not use them appropriately, the Bank could make poor business decisions, including asset and liability management decisions, or other decisions, which could result in an adverse financial impact. Further, any strategies that the Bank employs to attempt to manage the risks associated with the use of models may not be effective.

Failures of critical vendors and other third parties could disrupt the Bank’s ability to conduct business.

The Bank relies on third party vendors and service providers for many of its communications and information systems needs. Any failure or interruption of these systems, or any disruption of service, could result in failures or interruptions in the Bank's ability to conduct and manage its business effectively, including, and without limitation, its hedging, advances and wire activities. While the Bank has implemented a Business Continuity Plan, there is no assurance that such failure or interruptions will not occur or, if they do occur, that they will be adequately addressed by the Bank or the third parties on which the Bank relies. Any failure or interruption could significantly harm the Bank's customer relations and business operations, which could negatively affect its financial condition, profitability and cash flows. To advance its disaster recovery and continuous operations, the Bank continues to take steps to review and improve its recovery facilities and processes. Additionally, any breach of sensitive Bank data stored at a third party could result in financial loss, damage to the Bank’s reputation, litigation, potential legal or regulatory actions and penalties, increased regulatory scrutiny and increased expense in terms of incident response costs and damages. While the Bank does assess the adequacy of security controls for its significant third parties, there is no assurance that such a breach will not occur. Additionally, the use of vendors and other third parties could expose the Bank to the risk of a financial loss, loss of intellectual property or confidential information or other harm.

The Bank may be limited in its ability to access the capital markets, which could adversely affect the Bank's liquidity. In addition, if the Bank's ability to access the long-term debt markets would be limited, this may have a material adverse effect on its results of operations and financial condition, as well as its ability to fund operations, including advances.

The Bank's ability to operate its business, meet its obligations and generate net interest income depends primarily on the ability to issue large amounts of debt frequently, with a variety of maturities and call features and at attractive rates. The Bank actively manages its liquidity position to maintain stable, reliable, and cost-effective sources of funds, while taking into account market conditions, member credit demand for short-and long-term advances, investment opportunities and the maturity profile of the Bank's assets and liabilities. The Bank recognizes that managing liquidity is critical to achieving its statutory mission of providing low-cost funding to its members. In managing liquidity risk, the Bank is required to maintain a level of liquidity in accordance with policies established by management and the Board and Finance Agency guidance. See the Liquidity and Funding Risk discussion in Risk Management in Item 7. Management's Discussion and Analysis in this Form 10-K for additional information on the Finance Agency guidance.

The ability to obtain funds through the sale of consolidated obligations depends in part on current conditions in the capital markets and the short-term capital markets in particular. Accordingly, the Bank may not be able to obtain funding on acceptable terms, if at all. If the Bank cannot access funding when needed, its ability to support and continue its operations, including providing term funding to members, would be adversely affected, which would negatively affect its financial condition and results of operations.

Regulations related to capital and liquidity have impacted how dealers are managing their balance sheets. The capacity for FHLBank debt is lower, as dealers have directed their focus on those assets that provide a higher return on equity. The FHLBanks are engaged in discussions with dealers to identify issues and provide strategies that could provide benefits to the business needs of those entities and maintain the level of FHLBank debt on the dealers’ balance sheets.

Money market reform has benefited the Bank’s ability to raise short-term liquidity at attractive costs. This market shift started in the second half of 2016 as money funds shifted from prime to government investments. This shift may be short-term in nature as money market investor risk and return preferences or money market regulatory requirements could change over time.

The U.S. Treasury has the authority to prescribe the form, denomination, maturity, interest rate and conditions of consolidated obligations issued by the FHLBanks. The U.S. Treasury can, at any time, impose either limits or changes in the manner in which the FHLBanks may access the capital markets. For example, the U.S. Treasury could require the Bank to hold additional liquidity, which could adversely impact the type, amount and profitability of various advance products the Bank could make available to its members.

The Administration and Congress may continue deliberating GSE reform. The outcome of those deliberations and resulting legislation, if any, could have a material impact on the issuance of and costs associated with FHLBank debt.

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Global financial market disruptions could result in uncertainty and unpredictability for the Bank in managing its business. Geopolitical conditions or a natural disaster, especially one affecting the Bank's district, customers or counterparties, could also adversely affect the Bank's business, results of operations or financial condition.

The Bank's business and earnings are affected by international, domestic and district-specific business and economic conditions. These economic conditions, which may also affect counterparty and members' business, include real estate values, residential mortgage originations, short-term and long-term interest rates, inflation and inflation expectations, unemployment levels, money supply, fluctuations in both debt and equity markets, and the strength of the foreign, domestic and local economies in which the Bank operates.

The Bank is affected by the global economy through member ownership and investor appetite. Changes in perception regarding the stability of the U.S. economy, the creditworthiness of the U.S. government, the degree of government support of financial institutions or the depletion of funds available for investment by overseas investors could lead to changes in foreign interest in investing in, or supporting, U.S. financial institutions or holding FHLBank debt.

Geopolitical conditions can also affect earnings. Acts or threats of terrorism, actions taken by the U.S. or other governments in response to acts or threats of terrorism, or military conflicts, could affect business and economic conditions in the U.S., including both debt and equity markets.

Damage caused by acts of terrorism or natural disasters could adversely impact the Bank or its members, leading to impairment of assets and potential loss exposure. Real property that could be damaged in these events may serve as collateral for advances, or security for the mortgage loans the Bank purchases from its members and the MBS held as investments. If this real property is not sufficiently insured to cover the damages that may occur, there may be insufficient collateral to secure the Bank's advances or investment securities and the Bank may be severely impaired with respect to the value of these assets.

The Bank is also exposed to risk related to a changing interest rate environment, especially in difficult economic times. If this risk is not properly monitored and managed, it could affect the Bank's results of operations and financial condition.

The Bank is subject to credit risk due to default, including failure or ongoing instability of any of the Bank's member, derivative, money market or other counterparties, which could adversely affect the Bank's results of operations or financial condition.

The Bank faces credit risk on advances, mortgage loans, investment securities, derivatives, certificates of deposit, and other financial instruments. The Bank protects against credit risk on advances through credit underwriting standards and collateralization. In addition, under certain circumstances the Bank has the right to obtain additional or substitute collateral during the life of an advance to protect its security interest. The Act defines eligible collateral as certain investment securities, residential mortgage loans, deposits with the Bank, and other real estate related assets. All capital stock of the Bank owned by the borrower is also available as supplemental collateral. In addition, members that qualify as CFIs may pledge secured small-business, small-farm, and small-agribusiness loans as collateral for advances. The Bank is also allowed to make advances to nonmember housing associates and requires them to deliver adequate collateral.

The types of collateral pledged by members are evaluated and assigned a borrowing capacity, generally based on a percentage of its value. This value can be based on either book value or market value, depending on the nature and form of the collateral being pledged. The volatility of market prices and interest rates could affect the value of the collateral held by the Bank as security for the obligations of Bank members as well as the ability of the Bank to liquidate the collateral in the event of a default by the obligor. Volatility within collateral indices may affect the method used in determining collateral weightings, which would ultimately affect the eventual collateral value. With respect to TCE, including advances, the Bank's policies require the Bank to be over-collateralized. In addition, all advances are current and no loss has ever been incurred in the portfolio. Based on these factors, no allowance for credit losses on advances is required. The Bank has policies and procedures in place to manage the collateral positions; these are subject to ongoing review, evaluation and enhancements as necessary.

If member institution failures and mergers or consolidations occur affecting the Bank's district, particularly out-of-district acquirers, this activity may reduce the number of current and potential members in the Bank's district. The resulting loss of business could negatively impact the Bank's financial condition and results of operations. Additionally, if a Bank member fails and the FDIC or the member (or another applicable entity) does not either (1) promptly repay all of the failed institution's obligations to the Bank or (2) assume the outstanding advances, the Bank may be required to liquidate the collateral pledged by the failed institution to satisfy its obligations to the Bank. If that were the case, the proceeds realized from the liquidation of

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pledged collateral may not be sufficient to fully satisfy the amount of the failed institution's obligations and the operational cost of liquidating the collateral.

The Bank has expanded its number of insurance company members. There are several unique risks the Bank may be exposed to regarding members in the insurance industry. To the extent the Bank determines that the risk it faces in regard to an insurance company or insurance company members in a specific state requires additional mitigation, the Bank takes steps to mitigate this risk. These steps may include limits on eligible collateral and establishing over-collateralization levels to address risk of collateral volatility.

The Bank currently has two Community Development Financial Institution (CDFI) members, which are not generally subject to banking or insurance regulators. The Bank takes steps to mitigate this risk, which may include requiring specific over-collateralization levels or limits on eligible collateral. For all CDFI members, the Bank requires delivery of collateral pledged to secure the Bank’s advances and other credit products provided to such members.

The Bank follows Board-established guidelines on unsecured extensions of credit which limit the amounts and terms of unsecured credit exposure to highly rated counterparties, the U.S. government and other FHLBanks. The Bank's primary unsecured credit exposure includes Federal funds and money market exposure as well as the unsecured portion of any derivative transaction. Unsecured credit exposure to any counterparty is limited by the credit quality and capital level of the counterparty and by the capital level of the Bank. Nevertheless, the insolvency of a major counterparty or the inability of a major counterparty to meet its obligations under such transactions or other agreement could cause the Bank to incur losses and have an adverse effect on the Bank's financial condition and results of operations.

In addition, the Bank's ability to engage in routine derivatives, funding and other transactions could be adversely affected by the actions and commercial soundness of other financial institutions. Financial institutions are interrelated as a result of trading, clearing, counterparty or other relationships. As a result, defaults by, or even rumors or questions about, one or more financial services institutions, or the financial services industry generally, could lead to market-wide disruptions in which it may be difficult for the Bank to find counterparties for such transactions.

If the number of high quality counterparties available for uncleared hedging transactions decreases, the Bank's ability to enter into hedging transactions may be constrained. As a result, the Bank may not be able to effectively manage interest rate risk, which could negatively affect its results of operations and financial condition. In addition, the Bank may be limited in the number of counterparties available with which it can conduct business with respect to money market investments, liquidity positions and other business transactions. It may also affect the Bank's credit risk position and the advance products the Bank can offer to members.

For additional discussion regarding the Bank's credit and counterparty risk, see the Credit and Counterparty Risk discussion in Risk Management in Item 7. Management's Discussion and Analysis in this Form 10-K.

The Bank is jointly and severally liable for the consolidated obligations of other FHLBanks. Additionally, the Bank may receive from or provide financial assistance to the other FHLBanks. Changes in the Bank's, other FHLBanks' or other GSEs' credit ratings, as well as the rating of the U.S. Government, may adversely affect the Bank's ability to issue consolidated obligations and enter into derivative transactions on acceptable terms.

Each of the FHLBanks relies upon the issuance of consolidated obligations as a primary source of funds. Consolidated obligations are the joint and several obligations of all of the FHLBanks, backed only by the financial resources of the FHLBanks. Accordingly, the Bank is jointly and severally liable with the other FHLBanks for all consolidated obligations issued, regardless of whether the Bank receives all or any portion of the proceeds from any particular issuance of consolidated obligations. As of December 31, 2016, out of a total of $989.3 billion in par value of consolidated obligations outstanding, the Bank was the primary obligor on $95.7 billion, or approximately 9.7% of the total.

The Finance Agency at its discretion may also require any FHLBank to make principal or interest payments due on any consolidated obligation, whether or not the primary obligor FHLBank has defaulted on the payment of that obligation. For example, if the assets of an FHLBank are insufficient to satisfy all of its direct obligations on its outstanding consolidated obligations, the Finance Agency could allocate the outstanding liability among the other FHLBanks on a pro-rata or other basis. Accordingly, the Bank could incur significant liability beyond its primary obligation under consolidated obligations which could negatively affect the Bank's financial condition and results of operations.

FHLBank System consolidated obligation bonds have been assigned Aaa/stable outlook and AA+/stable outlook ratings by Moody's and S&P, respectively. Consolidated obligation discount notes have been assigned a P-1 and A-1+ rating by Moody's

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and S&P, respectively. In addition, all FHLBanks have been assigned a long-term rating of Aaa/stable outlook and AA+/stable outlook by Moody’s and S&P, respectively. All FHLBanks have been assigned a short-term rating of P-1 and A-1+ by Moody’s and S&P, respectively. These ratings indicate that the FHLBanks have a strong capacity to meet their commitments to pay principal of and interest on consolidated obligations and that the consolidated obligations are judged to be of high quality with minimal credit risk. The ratings also reflect the FHLBanks' status as GSEs.

It is possible that the credit rating of an FHLBank, another GSE or the U.S. government could be lowered further by at least one NRSRO. It is expected that a debt ceiling resolution will be necessary by mid-March 2017. Depending on the nature and outcome of that process, the credit rating of the U.S. government could be lowered as was the case in August 2011. This could adversely affect the Bank's costs of doing business as described above. In addition, further downgrades could negatively impact the Bank's reputation and may result in heightened scrutiny by the regulator.

Additional ratings actions or negative guidance may adversely affect the Bank's cost of funds and ability to issue consolidated obligations and enter into derivative transactions on acceptable terms, which could negatively affect financial condition and results of operations. In some states, acceptance of the Bank's letters of credit as collateral for public funds deposits requires a AAA rating from at least one rating agency. If all of the NRSROs downgrade their ratings, the Bank's letters of credit business in those states may be affected and the amount of the Bank's letters of credit may be reduced, both of which could negatively affect financial condition and results of operations. The Bank's costs of doing business and ability to attract and retain members could also be adversely affected if the credit ratings assigned to the consolidated obligations were lowered from AA+.

The Bank may be unable to optimally manage its market risk due to unexpected sizable adverse market movements that threaten the Bank's interest rate risk/market risk profile faster than Bank strategies can offset. In addition, the Bank’s mortgage related portfolio introduces specific interest rate and prepayment risk, which may impact the value of and income associated with those investments. Not prudently managing this risk may adversely affect the Bank's results of operations.

The Bank is subject to various market risks, including interest rate risk and prepayment risk. The Bank realizes income primarily from the spread between interest earned on advances and investment securities and interest paid on debt and other liabilities, known as net interest income. The Bank's financial performance is affected by fiscal and monetary policies of the Federal government and its agencies and in particular by the policies of the Federal Reserve. The Federal Reserve's policies, which are difficult to predict, directly and indirectly influence the yield on the Bank's interest-earning assets and the cost of interest-bearing liabilities. Although the Bank uses various methods and procedures to monitor and manage exposures due to changes in interest rates, the Bank may experience instances when the timing of the re-pricing of interest-bearing liabilities does not coincide with the timing of re-pricing of interest-earning assets, or when the timing of the maturity or paydown of interest-bearing liabilities does not coincide with the timing of the maturity or paydown of the interest-earning assets.

The Bank's ability to anticipate changes regarding the direction and speed of interest rate changes, or to hedge the related exposures, significantly affects the success of the asset and liability management activities and the level of net interest income. The Bank uses derivative instruments to reduce interest rate risk. The Bank has strategies which reduce the amount of one-sided fair value adjustments and the resulting impact to the Bank's income. However, market movements and volatility affecting the valuation of instruments in hedging relationships can cause income volatility in the form of hedge ineffectiveness. Should the use of derivatives be limited, with that activity being replaced with a higher volume of debt funding, the Bank may still experience income volatility driven by the market and interest rate sensitivities.

In addition, the Bank's profitability and the market value of its equity are significantly affected by its ability to manage interest rate risk. The Bank uses a number of measures and analyses to monitor and manage interest rate risk. Given the unpredictability of the financial markets, capturing all potential outcomes in these analyses is not practical. Key assumptions include, but are not limited to, advance volumes and pricing, market conditions for the Bank's consolidated obligations, interest rate spreads and prepayment speeds and cash flows on mortgage-related assets. These assumptions are inherently uncertain and, as a result, the measures cannot precisely predict the impact of higher or lower interest rates on net interest income or the market value of equity. Actual results will differ from simulated results due to the timing, magnitude, and frequency of interest rate changes and changes in market conditions and management strategies, among other factors.

With respect to the Bank’s MBS portfolio, increases in interest rates may slow prepayments and extend mortgage cash flows. If the debt funding the mortgage assets matures, it could be re-issued at a higher rate and decrease the Bank's net interest income.

Decreases in interest rates may cause an increase in mortgage prepayments and may result in increased premium amortization expense and substandard performance in the Bank's mortgage portfolio as the Bank experiences a return of

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principal that it must re-invest in a lower rate environment, adversely affecting net interest income over time, if associated debt remains outstanding (i.e., debt overhang).

See additional discussion in Risk Management in Item 7. Management's Discussion and Analysis in this Form 10-K.

The Bank invests in mortgages and is subject to the risk of credit deterioration. The Bank is also subject to the risk that MBS servicers may fail to perform their obligations to service mortgage loans as collateral for MBS.These risks have adversely impacted the Bank's results of operations and could impact the Bank’s capital position.

The Bank currently invests in Agency and other U.S. obligation MBS, which support the Bank’s mission. Prior to 2008, the Bank also had invested in private label MBS, which exposed the Bank to a higher level of credit risk relative to the other investments within the Bank’s portfolio, and resulted in credit-related OTTI losses. However, this portion of the Bank’s portfolio has continued to run off, with no new investments purchased since 2007; minimal credit-related OTTI losses were recognized in 2016. Given the profile of the current portfolio, the Bank is subject to less credit risk.

MBS are backed by residential mortgage loans, the properties of which are geographically diverse, but could include exposure in some areas that experienced a rapid decline in property values. The MBS portfolio is also subject to interest rate risk, prepayment risk, operational risk, servicer risk and originator risk, all of which can have a negative impact on the underlying collateral of the MBS investments. The rate and timing of unscheduled payments and collections of principal on mortgage loans serving as collateral for these securities are difficult to predict and can be affected by a variety of factors, including the level of prevailing interest rates, restrictions on voluntary prepayments contained in the mortgage loans, the availability of lender credit, loan modifications and other economic, demographic, geographic, tax and legal factors.

MBS servicers have a significant role in servicing the mortgage loans that serve as collateral for the Bank's MBS portfolio, including playing an active role in loss mitigation efforts and making servicer advances. The Bank's credit risk exposure to the servicer counterparties includes the risk that they will not perform their obligation to service these mortgage loans, which could adversely affect the Bank's financial condition or results of operations.

The MPF Program has different risks than those related to the Bank's traditional advance business, which could adversely impact the Bank's profitability.

The Bank participates in the MPF Program with the FHLBank of Chicago as MPF provider. Net mortgage loans held for portfolio accounted for 3.3% of the Bank's total assets as of December 31, 2016 and approximately 11.9% of the Bank's total interest income in 2016. In contrast to the Bank's traditional member advance business, the MPF Program is highly subject to competitive pressures, more susceptible to loan losses, and also carries more interest rate risk, prepayment risk and operational complexity. The residential mortgage loan origination business historically has been a cyclical industry, enjoying periods of strong growth and profitability followed by periods of shrinking volumes and industry-wide losses. General changes in market conditions could have a negative effect on the mortgage loan market. These would include, but are not limited to: rising interest rates slowing mortgage loan originations; an economic downturn creating increased defaults and lowered housing prices; innovative products that do not currently meet the criteria of the MPF Program; and new government programs or mandates. Any of these changes could have a negative impact on the profitability of the MPF Program. The Finance Agency made a series of changes to the Home Affordable Refinance Program (HARP) in an effort to assist more eligible borrowers who can benefit from refinancing of their home mortgage and extended the program through December 31, 2016. Other agencies have also implemented programs over the last few years aimed at preventing foreclosure. While many governmental loan modification programs are ending due to regulatory, business and customer expectations, servicers are expected to continue to offer other loan modification programs. The Bank offers a loan modification program for its MPF Program loans as well. To date, the Bank has not experienced any significant impact on its portfolio levels from the HARP program, the Bank's MPF loan modification program or other foreclosure prevention programs. However, program execution and related changes, as well as any new programs in the market may change that experience.

The rate and timing of unscheduled payments and collections of principal on mortgage loans are difficult to predict and can be affected by a variety of factors, including the level of prevailing interest rates, the availability of lender credit, and other economic, demographic, geographic, tax and legal factors. The Bank manages prepayment risk through a combination of consolidated obligation issuance and, to a lesser extent, derivatives. If the level of actual prepayments is higher or lower than expected, the Bank may experience a mismatch with a related consolidated obligation issuance, which could have an adverse impact on net interest income. Also, increased prepayment levels will cause premium amortization to increase, reducing net interest income, and increase the potential for debt overhang. In certain MPF Program products, increased prepayments may also reduce credit enhancements available to absorb credit losses. To the extent one or more of the geographic areas in which the Bank's MPF loan portfolio is concentrated experiences considerable declines in the local housing market, declining

24

economic conditions or a natural disaster, the Bank could experience an increase in the required allowance for loan losses on this portfolio.

The Bank has established an allowance for loan losses in accordance with accounting standards to reflect incurred losses on its portfolio. If delinquency and loss rates on MPF loans increase, or there are additional declines in residential real estate values, the Bank will likely experience increases in the allowance for loan losses on its MPF loan portfolio.

If FHLBank of Chicago changes or ceases to operate the MPF Program, this could have a negative impact on the Bank's mortgage purchase business, and, consequently, a related decrease in the Bank's financial condition and results of operations. Additionally, if FHLBank of Chicago or its third party vendors experiences operational difficulties, such difficulties could have a negative impact on the Bank's financial condition and results of operations.

For a description of the MPF Program, the obligations of the Bank with respect to loan losses and a PFI's obligation to provide credit enhancement, see the Mortgage Partnership Finance Program discussion in Item 1. Business, and Item 7. Management's Discussion and Analysis in this Form 10-K. See additional details regarding SMI exposure in the Credit and Counterparty Risk - Mortgage Loans, BOB Loans and Derivatives discussion in Risk Management in Item 7. Management's Discussion and Analysis in this Form 10-K.

The Bank may fail to maintain a sufficient level of retained earnings, fail to meet its minimum regulatory capital requirements, or be otherwise designated by the Finance Agency as undercapitalized, which would impact the Bank's ability to conduct business “as usual,” result in prohibitions on dividends, excess capital stock repurchases and capital stock redemptions and potentially impact the value of Bank membership. This designation may also negatively impact the Bank's high credit rating provided by certain NRSROs and could hinder the achievement of the Bank's economic/community development mission.

The Bank is required to maintain sufficient permanent capital, defined as capital stock plus retained earnings, to meet its combined risk based capital (RBC) requirements. These requirements include components for credit risk, market risk and operational risk. Each of the Bank's investments carries a credit RBC requirement that is based on the rating of the investment. As a result, ratings downgrades or credit deterioration of individual investments would cause an increase in the total credit RBC requirement. Additionally, the market values on private label MBS would have a significant impact on the market RBC requirement. The Bank is also required to maintain certain regulatory capital and leverage ratios, which it has done. Any violation of these requirements will result in prohibitions on stock redemptions and repurchases and dividend payments.

Under the Finance Agency's Prompt Correct Action Regulation (PCA Regulation), if the Bank becomes undercapitalized by failing to meet its regulatory capital requirements, by the Finance Agency exercising its discretion to categorize an FHLBank as undercapitalized or by the Bank failing to meet any additional Finance Agency-imposed minimum capital requirements, it will also be subject to asset growth limits. This is in addition to the capital stock redemption, excess capital stock repurchase and dividend prohibitions noted above. If the Bank becomes significantly undercapitalized, it could be subject to additional actions such as replacement of its Board and management, required capital stock purchase increases and required asset divestiture. The regulatory actions applicable to an FHLBank in a significantly undercapitalized status may also be imposed on an FHLBank by the Finance Agency at its discretion on an undercapitalized FHLBank. Violations could also result in changes in the Bank's member lending, investment or MPF Program purchase activities and changes in permissible business activities, as well as restrictions on dividend payments and capital stock redemptions and repurchases.

Declines in market conditions could also result in a violation of regulatory or statutory capital requirements and may impact the Bank's ability to redeem capital stock at par value. For example, this could occur if: (1) a member were to withdraw from membership (or seek to have its excess capital stock redeemed) at a time when the Bank is not in compliance with its minimum capital requirements or is deemed to be undercapitalized despite being in compliance with its minimum capital requirements; or (2) it is determined the Bank's capital stock is or is likely to be impaired as a result of losses in, or the depreciation of, assets which may not be recoverable in future periods. The Bank's primary business is making advances to its members, which in turn creates capital for the Bank. As members increase borrowings, the Bank's capital grows. As advance demand declines, so does the amount of capital required to support those balances. Ultimately, this capital would be returned to the member. Without new borrowing activity to offset the run-off of existing borrowings, capital levels could eventually decline. The Bank has the ability to increase the capital requirements on existing borrowings to boost capital levels; however, this may deter new borrowings and reduce the value of membership as the return on that investment may not be as profitable to the member as other investment opportunities.

Under Finance Agency regulation, the Bank may pay dividends on its capital stock only out of unrestricted retained earnings or current net income. The payment of dividends is subject to certain statutory and regulatory restrictions (including

25

that the Bank shall be in compliance with all minimum capital requirements and shall not have been designated undercapitalized by the Finance Agency) and is highly dependent on the Bank's ability to continue to generate future net income and maintain adequate retained earnings and capital levels.

The Finance Agency now requires the FHLBanks to conduct annual stress tests, which are used to evaluate each FHLBank's capital adequacy under adverse economic and financial conditions. Each FHLBank is required to provide an annual report on the results of the stress tests to the Finance Agency and Federal Reserve. See the Risk Governance discussion in Item 7. Management's Discussion and Analysis in this Form 10-K for additional details regarding the current year stress test results.

The Bank's controls and procedures may fail or be circumvented, risk management policies and procedures may be inadequate and circumstances beyond the Bank's control could cause unexpected operating losses. In addition, the loss of key employees may have an adverse effect on the Bank's business and operations.

The Bank may fail to identify and manage risks related to a variety of aspects of its business, including, but not limited to, operational risk, interest rate risk, legal and compliance risk, liquidity risk, market risk and credit risk. The Bank has adopted many controls, procedures, policies and systems to monitor and manage risk. Management cannot provide complete assurance that those controls, procedures, policies and systems are adequate to identify and manage the risks inherent in the Bank's various businesses. In addition, these businesses are continuously evolving. The Bank may fail to fully understand the implications of changes in the businesses and fail to enhance the risk governance framework in a timely or adequate fashion to address those changes. If the risk governance framework is ineffective, the Bank could incur losses.

Operational risk is the risk of unexpected operating losses attributable to human error; systems failures; fraud; noncompliance with laws, regulations and the Bank's internal Code of Conduct; unenforceability of contracts; or inadequate internal controls and procedures. Although management has systems and procedures in place to address each of these risks, some operational risks are beyond the Bank's control, and the failure of other parties to adequately address their operational risks could adversely affect the Bank as well.

Certain employees are especially important to the continued successful operation of the Bank. Failure to attract or retain such key individuals may adversely affect the Bank's business operations. It may result in increased operating expenses (i.e., consultant expense to address new hire) and operational risks as responsibilities are transitioned between employees. The loss of a key employee may also result in incremental regulatory scrutiny of the quality of the Bank's overall corporate governance.

The Bank may be adversely affected by litigation.

From time to time, the Bank's customers or counterparties may make claims or take legal action relating to performance of contractual responsibilities. The Bank may also face other legal claims, regulatory or governmental inquiries or investigations. In any such claims or actions, demands for substantial monetary damages may be asserted against the Bank and may result in financial liability or an adverse effect on the Bank's reputation. In regulatory enforcement matters, claims for disgorgement, the imposition of penalties and the imposition of other remedial sanctions are possible.

Item 1B: Unresolved Staff Comments

None

Item 2: Properties

The Bank leases 96,240 square feet of office space at 601 Grant Street, Pittsburgh, Pennsylvania, 15219 and additional office space at the following locations: (1) 1325 G Street, Washington, DC 20005; (2) 2300 Computer Avenue, Willow Grove, Pennsylvania, 19090; (3) 435 N. DuPont Highway, Dover, Delaware 19904; (4)1286 Suncrest Town Center, Morgantown, WV 26505; and (5) 580 and 768 Vista Park Drive, Pittsburgh, Pennsylvania 15205. The Washington, DC office space is shared with the FHLBanks of Atlanta and Des Moines. Essentially all of the Bank’s operations are housed at the Bank’s headquarters at the Grant Street location.

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Item 3: 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 4: Mine Safety Disclosures

Not applicable.

PART II – OTHER INFORMATION

Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

The capital stock of the Bank can be purchased only by members and may be held by nonmembers due to out of district mergers. There is no established marketplace for the Bank’s stock; the Bank’s stock is not publicly traded and may be repurchased or redeemed by the Bank at par value.The Bank has two subclasses of capital stock: B1 membership and B2 activity.

The members may request that the Bank redeem all or part of the common stock they hold in the Bank five years after the Bank receives a written request by a member. This is referred to as mandatorily redeemable capital stock.The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination or other involuntary termination from membership. In addition, the Bank, at its discretion, may repurchase shares held by members in excess of their required stock holdings upon one business day’s notice. Excess stock is Bank capital stock not required to be held by the member to meet its minimum stock purchase requirement under the Bank’s Capital Plan.The Bank's current practice is to repurchase all excess capital stock, including excess capital stock that is classified as mandatorily redeemable, on a weekly basis.

The members’ minimum stock purchase requirement is subject to change from time to time at the discretion of the Board of Directors of the Bank in accordance with the Capital Plan. Par value of each share of capital stock is $100. As of December 31, 2016, the total mandatorily redeemable capital stock reflected the balance for three institutions, two of which were merged out of district and considered to be nonmembers. One other institution has notified the Bank of its intention to voluntarily 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 total number of shares of capital stock outstanding as of December 31, 2016 was 37,606,262 of which members held 37,554,320 shares and nonmembers held 51,942 shares.

The Bank’s cash dividends declared in each quarter are reflected in the table below.

(in millions)	2016	2015
First quarter	$40.0	$99.7
Second quarter	39.7	34.7
Third quarter	37.6	38.1
Fourth quarter	37.7	40.3

See Note 16 - Capital to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K for further information regarding statutory and regulatory restrictions on capital stock redemption.

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Item 6: Selected Financial Data

The following should be read in conjunction with the financial statements and Item 7. Management’s Discussion and Analysis, each included in this Form 10-K. The Condensed Statements of Income data for 2016, 2015 and 2014, and the Condensed Statements of Condition data as of December 31, 2016 and 2015 are derived from the financial statements included in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K. The Statements of Income data for 2013 and 2012 and the Condensed Statements of Condition data as of December 31, 2014 and 2013 are derived from the financial statements in Item 8. Financial Statements and Supplementary Financial Data included in the Bank’s 2014 Form 10-K. The Condensed Statements of Condition data as of December 31, 2012 is derived from the financial statements in Item 8. Financial Statements and Supplementary Financial Data included in the Bank’s 2013 Form 10-K.

Condensed Statements of Income

	Year Ended December 31,
(in millions)	2016		2015			2014			2013			2012
Net interest income	$	348.9	$	317.8		$	283.1		$	195.1		$	209.8
Provision (benefit) for credit losses	1.2		(0.2		)	(4.1		)	(1.8		)	0.4
Other noninterest income	25.0		44.5			75.6			47.5			7.1
Other expense	83.8		77.5			78.6			80.0			72.3
Income before assessments	288.9		285.0			284.2			164.4			144.2
AHP assessment	28.9		28.5			28.4			16.6			14.5
Net income	$	260.0	$	256.5		$	255.8		$	147.8		$	129.7

Dividends	$	155.0		$	212.8		$	103.9		$	21.4		$	5.8
Dividend payout ratio(1)	59.64		%	82.96		%	40.64		%	14.49		%	4.30		%
Return on average equity	5.96		%	6.16		%	6.83		%	4.32		%	3.75		%
Return on average assets	0.28		%	0.29		%	0.36		%	0.24		%	0.23		%
Net interest margin (2)	0.38		%	0.36		%	0.40		%	0.32		%	0.37		%
Regulatory capital ratio (3)	4.69		%	4.60		%	4.53		%	5.16		%	5.89		%
GAAP capital ratio(4)	4.73		%	4.67		%	4.67		%	5.22		%	5.31		%
Total average equity to average assets	4.72		%	4.66		%	5.22		%	5.60		%	6.02		%

Notes:

⁽¹⁾ Represents dividends paid as a percentage of net income for the respective periods presented.

⁽²⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

⁽³⁾ 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.

⁽⁴⁾ GAAP capital ratio is sum of capital stock, retained earnings and accumulated other comprehensive income (AOCI) as a percentage of total assets at period-end.

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Condensed Statements of Condition

	December 31,
(in millions)	2016		2015		2014		2013		2012
Cash and due from banks	$	3,587.6	$	2,377.0	$	2,451.1	$	3,121.3	$	1,350.6
Investments(1)	17,227.3		16,144.0		16,528.4		13,875.2		19,057.2
Advances	76,808.7		74,504.8		63,408.4		50,247.5		40,497.8
Mortgage loans held for portfolio, net(2)	3,390.7		3,086.9		3,123.3		3,224.1		3,532.5
Total assets	101,260.0		96,329.8		85,670.5		70,664.5		64,610.2
Consolidated obligations, net:
Discount notes	28,500.3		42,275.5		37,057.8		28,236.0		24,148.2
Bonds	67,156.0		48,600.8		43,708.2		37,692.2		35,129.7
Total Consolidated obligations, net(3)	95,656.3		90,876.3		80,766.0		65,928.2		59,277.9
Deposits	558.9		686.0		641.2		694.4		999.9
Mandatorily redeemable capital stock	5.2		6.0		0.6		—		431.6
AHP payable	76.7		70.9		56.0		36.3		24.5
Total liabilities	96,466.1		91,828.2		81,667.5		66,972.3		61,181.2
Capital stock - putable	3,755.4		3,539.7		3,041.0		2,962.2		2,816.0
Unrestricted retained earnings	771.7		718.7		726.3		625.6		528.8
Restricted retained earnings	214.5		162.5		111.2		60.1		30.5
AOCI	52.3		80.7		124.5		44.3		53.7
Total capital	4,793.9		4,501.6		4,003.0		3,692.2		3,429.0

Notes:

⁽¹⁾ Includes trading, available-for-sale (AFS) and held-to-maturity (HTM) investment securities, securities purchased under agreements to resell, Federal funds sold, and interest-bearing deposits.

⁽²⁾ Net of allowance for loan losses of $6.2 million, $5.7 million, $7.3 million, $11.4 million and $14.2 million at December 31, 2016 through 2012, respectively.

⁽³⁾ Aggregate FHLBank System-wide consolidated obligations (at par) were $989.3 billion, $905.2 billion, $847.2 billion, $766.8 billion and $687.9 billion at December 31, 2016 through 2012, respectively.

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Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Information

Statements contained in this Form 10-K, including statements describing the objectives, projections, estimates, or predictions of the future of 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 OTTI process; risks related to MBS; 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 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 and cyber-security risks; and timing and volume of market activity.

This Management’s Discussion and Analysis should be read in conjunction with the Bank’s audited financial statements in Item 8. Financial Statements and Supplementary Data and footnotes and Item 1A. Risk Factors included herein.

Executive Summary

Overview. The Bank's financial condition and results of operations are influenced by global and national economies, local economies within its three-state district, and the conditions in the financial, housing and credit markets, all of which impact the interest rate environment.

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. 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. During 2016, funding spreads (i.e., the cost of FHLBank debt relative to LIBOR) particularly short-term funding spreads, improved considerably. This development was driven by new regulations applicable to institutional money market funds. These reform measures, which took effect in October 2016, resulted in increased demand for FHLB debt, which, when combined with a corresponding increase in LIBOR, resulted in more attractive funding spreads during the fourth quarter of 2016.

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 MBS portfolio continues its expected runoff. As higher coupon mortgage loans prepay and mature along with higher yielding private 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

30

loan portfolio and investments and a possible decrease in the net interest margin. However, the Bank has accretion of interest income on certain private label residential MBS as a result of significant projected increases in cash flows. During 2016, this accretion resulted in additional interest income of $25.3 million compared to $27.4 million in 2015.

Results of Operations. The Bank’s net income for 2016 was $260.0 million compared to $256.5 million in 2015. This $3.5 million increase was driven by higher net interest income partially offset by lower noninterest income and higher other expense. Net interest income was $348.9 million for 2016 compared to $317.8 million in 2015. Higher net interest income was primarily due to higher interest income on advances, prepayment fees on advances and Federal funds sold, partially offset by higher interest expense on consolidated obligations.

For the fourth quarter of 2016, net income was $81.7 million, compared to $54.4 million in the fourth quarter of 2015. This $27.3 million increase was primarily driven by higher net interest income and higher noninterest income. Net interest income was $94.7 million for the fourth quarter of 2016, compared to $78.1 million in the fourth quarter of 2015, an increase of $16.6 million, primarily due to higher interest income on advances, investment income on AFS securities and Federal funds sold, partially offset by higher interest expense on consolidated obligations. Noninterest income in the fourth quarter of 2016 was $21.2 million, compared to $8.0 million in the fourth quarter of 2015, an increase of $13.2 million, primarily due to higher net gains on derivatives and hedging activities, partially offset by higher net losses on trading securities.

The net interest margin was 38 basis points and 36 basis points for 2016 and 2015, respectively.

Financial Condition. Advances. Total advances were $76.8 billion at December 31, 2016, an increase of $2.3 billion compared to $74.5 billion at December 31, 2015. Increased advance levels from the large member classification more than offset decreases in other member classifications which were primarily driven by certain prepayments and merger activities. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. As the advance portfolio increased in size during 2016 compared to 2015, the term of advances decreased modestly. At December 31, 2016, approximately 50% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 55% at December 31, 2015.

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) member’s regulatory requirements; (4) current and future credit market conditions; (5) housing market trends; (6) the shape of the yield curve and (7) advance pricing.

Investments. At December 31, 2016, the Bank held $17.2 billion of total investments including trading, AFS and HTM investment securities as well as securities purchased under agreements to resell, interest-bearing deposits and Federal funds sold. By comparison, at December 31, 2015, these investments totaled $16.1 billion. The increase of $1.1 billion was primarily driven by an increase in MBS investments.

Consolidated Obligations. The Bank's consolidated obligations totaled $95.7 billion at December 31, 2016, an increase of $4.8 billion from December 31, 2015. At December 31, 2016, bonds represented 70% of the Bank's consolidated obligations, compared with 53% at December 31, 2015. Discount notes represented 30% of the Bank's consolidated obligations at December 31, 2016 compared with 47% at year-end 2015. In 2016, there was increased demand for floating-rate, short-term bonds which were used to fund the increased member demand for floating-rate advances. In addition, the Bank reduced its refunding risk exposure by issuing longer term bonds.

In April 2016, Moody's affirmed the Aaa senior debt and P-1 ratings of the FHLBank System and affirmed the Aaa bank deposit and P-1 ratings of all 11 FHLBanks. The outlook on the FHLBank System's and FHLBanks' ratings is stable.

Capital Position and Regulatory Requirements. Total capital at December 31, 2016 was $4.8 billion, compared to $4.5 billion at December 31, 2015. Total retained earnings at December 31, 2016 were $986.2 million, up $105.0 million from $881.2 million at year-end 2015 reflecting the Bank's net income for 2016 which was partially offset by dividends paid. AOCI was $52.3 million at December 31, 2016, a decrease of $28.4 million from December 31, 2015. This decrease was primarily due to changes in the fair values of securities within the AFS portfolio and realized gains on the sale of AFS securities.

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The table below presents the annual dividend yield on membership and activity stock in 2016.

	Dividend - Annual Yield
	Membership stock	Activity stock
February	3.0%	5.0%
April	2.0%	5.0%
July	2.0%	5.0%
October	2.0%	5.0%

In February 2017, the Bank paid quarterly dividends of 5.0% annualized on activity stock and 2.0% annualized on membership stock. The dividends were based on average member capital stock held for the fourth quarter of 2016.

The Bank met all of its capital requirements as of December 31, 2016, and in the Finance Agency’s most recent determination, as of September 30, 2016, the Bank was deemed "adequately capitalized."

2017 Outlook

The Bank anticipates that its members will continue to utilize advances to meet liquidity needs in 2017. If the economy continues to improve, loan growth opportunities and strong competition for retail deposits may also increase advance demand at regional banks and CFIs. Future opportunities and challenges will arise with potential changes in the Bank's operating landscape including various legislative actions, GSE and housing finance reform, and changes in regulatory compliance requirements. However, the Bank has been, and will continue to be, mission driven. Advances are central to the Bank’s mission and, along with other key activities, are crucial to the Bank continuing to meet the needs of its membership and communities.

Earnings Performance

The following should be read in conjunction with the Bank's audited financial statements included in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank’s net income for 2016 was $260.0 million, compared to $256.5 million in 2015. This $3.5 million increase was driven primarily by higher net interest income partially offset by lower noninterest income and higher other expense. Net interest income for 2016 was $348.9 million, a $31.1 million increase compared to $317.8 million in 2015. Higher net interest income was primarily due to higher interest income on advances, prepayment fees on advances and Federal funds sold, partially offset by higher interest expense on consolidated obligations. Noninterest income in 2016 was $25.0 million, a $19.5 million decrease compared to $44.5 million in 2015. Lower noninterest income was primarily due to net losses on derivatives and hedging activities and lower gains on litigation settlements (net of legal fees and expenses), partially offset by net realized gains on sales of AFS securities. Total other expense in 2016 was $83.8 million, a $6.3 million increase compared to $77.5 million in 2015, primarily due to higher compensation and benefits expenses and technology-related costs. The Bank’s return on average equity for 2016 was 5.96% compared to 6.16% for 2015.

2015 vs. 2014. The Bank recorded net income of $256.5 million in 2015 compared to $255.8 million in 2014, an increase of $0.7 million. The increase was primarily due to higher net gains on derivatives and hedging activities and higher net interest income, partially offset by lower gains on litigation settlements (net of legal fees and expenses) and lower net gains on trading securities. The Bank’s return on average equity for 2015 was 6.16%, compared to 6.83% for 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 2016, 2015 and 2014.

Average Balances and Interest Yields/Rates Paid

	2016						2015						2014
(dollars in millions)	Average Balance			Interest Income/ Expense		Avg. Yield/ Rate (%)	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)	$	7,109.4		$	27.3	0.38	$	7,486.3		$	8.2	0.11	$	5,734.2		$	3.9	0.07
Interest-bearing deposits(2)	367.9			1.2		0.35	308.8			0.4		0.11	443.3			0.4		0.08
Investment securities(3)	11,826.2			227.6		1.93	11,056.8			217.0		1.96	11,208.7			219.5		1.96
Advances(4)	68,362.7			612.1		0.90	65,739.9			349.5		0.53	50,376.8			272.9		0.54
Mortgage loans held for portfolio(5)	3,186.3			117.4		3.68	3,079.3			120.5		3.91	3,160.1			129.4		4.09
Total interest-earning assets	90,852.5			985.6		1.08	87,671.1			695.6		0.79	70,923.1			626.1		0.88
Allowance for credit losses	(8.0		)				(8.2		)				(10.4		)
Other assets(6)	1,536.2						1,569.4						850.7
Total assets	$	92,380.7					$	89,232.3					$	71,763.4
Liabilities and capital:
Deposits (2)	$	636.8		$	1.7	0.27	$	675.9		$	0.3	0.04	$	700.5		$	0.2	0.03
Consolidated obligation discount notes	25,016.4			110.2		0.44	35,181.0			54.1		0.15	27,793.8			24.2		0.09
Consolidated obligation bonds(7)	61,523.3			524.5		0.85	48,376.4			323.2		0.67	38,618.7			318.4		0.82
Other borrowings	6.4			0.3		4.88	3.5			0.2		4.76	2.9			0.2		6.73
Total interest-bearing liabilities	87,182.9			636.7		0.73	84,236.8			377.8		0.45	67,115.9			343.0		0.51
Other liabilities	833.2						834.2						902.2
Total capital	4,364.6						4,161.3						3,745.3
Total liabilities and capital	$	92,380.7					$	89,232.3					$	71,763.4
Net interest spread						0.35						0.34						0.37
Impact of noninterest-bearing funds						0.03						0.02						0.03
Net interest income/net interest margin				$	348.9	0.38				$	317.8	0.36				$	283.1	0.40
Average interest-bearing assets to interest-bearing liabilities	104.2		%				104.1		%				105.7		%

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 $0.2 billion, $0.3 billion and $0.5 billion in 2016, 2015 and 2014, respectively.

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

⁽⁶⁾ The noncredit 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 $17.8 million, $13.6 million and $(28.2) million in 2016, 2015 and 2014, respectively.

Net interest income increased $31.1 million in 2016 compared to 2015 due to an increase in interest income, partially offset by an increase in interest expense. Interest-earning assets increased 3.6% with higher demand for advances and increased purchases of investments and mortgage loans, partially offset by a lower amount of Federal funds sold and securities purchased under agreement to resell. Higher interest income on advances, investments, Federal funds sold and securities purchased under agreements to resell were partially offset by lower interest income on mortgage loans held for portfolio. Interest income on advances increased due to prepayment fees, higher volume, and an increase in yield. Interest income on

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investments increased due to higher volume. Interest income on Federal funds sold and securities purchased under agreements to resell increased due to an increase in yield which more than offset a decrease in volume. Interest income on mortgage loans declined due to a decrease in yield as the run-off of higher-yielding assets has been replaced with lower-yielding assets. The rate paid on interest-bearing liabilities increased 28 basis points due to higher funding costs on consolidated obligations bonds and discount notes.

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 2016, 2015 and 2014.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume
	2016 Compared to 2015									2015 Compared to 2014
(in millions)	Volume			Rate			Total			Volume			Rate			Total
Federal funds sold	$	(0.4	)	$	19.5		$	19.1		$	1.5		$	2.8		$	4.3
Interest-bearing deposits	—			0.8			0.8			(0.1		)	0.1			—
Investment securities	14.9			(4.3		)	10.6			(3.0		)	0.5			(2.5		)
Advances	14.5			248.1			262.6			81.7			(5.1		)	76.6
Mortgage loans held for portfolio	4.1			(7.2		)	(3.1		)	(3.2		)	(5.7		)	(8.9		)
Total interest-earning assets	$	33.1		$	256.9		$	290.0		$	76.9		$	(7.4	)	$	69.5
Interest-bearing deposits	$	—		$	1.4		$	1.4		$	—		$	0.1		$	0.1
Consolidated obligation discount notes	(19.6		)	75.7			56.1			7.7			22.2			29.9
Consolidated obligation bonds	99.9			101.4			201.3			71.7			(66.9		)	4.8
Other borrowings	0.1			—			0.1			—			—			—
Total interest-bearing liabilities	$	80.4		$	178.5		$	258.9		$	79.4		$	(44.6	)	$	34.8
Total increase (decrease) in net interest income	$	(47.3	)	$	78.4		$	31.1		$	(2.5	)	$	37.2		$	34.7

Interest income and interest expense both increased in 2016 compared to 2015. Higher rates drove the interest income increase. Interest expense reflected higher rates on consolidated obligations along with a volume increase in consolidated obligation bonds.

The following table presents the average par balances of the Bank's advance portfolio for 2016, 2015 and 2014. These balances do not reflect any hedge accounting adjustments.

(in millions)							Change 2016 vs. 2015	Change 2015 vs. 2014
Product	2016		2015		2014		%	%
RepoPlus /Mid-Term Repo	$	18,723.5	$	20,466.2	$	17,903.4	(8.5)	14.3
Core (Term)	48,988.8		43,547.7		30,091.4		12.5	44.7
Convertible Select	484.5		1,462.0		1,929.0		(66.9)	(24.2)
Total par value	$	68,196.8	$	65,475.9	$	49,923.8	4.2	31.2

Advance volume fluctuations in the comparisons were driven primarily by demand from larger members. The rate increase was primarily due to an increase in market interest rates as the Federal funds target rate increased in mid-December 2016. Additional prepayment fees also contributed to the year-over-year increase.

Interest expense on the average consolidated obligations portfolio increased in 2016 compared to 2015. Rates paid on both discount notes and bonds rose as the Federal funds target rate increased in mid-December 2016. An increase in average bond balances partially offset by a decrease in average discount note balances contributed to the volume increase. 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.

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2015 vs. 2014. Interest income increased in 2015 compared to 2014 due to a volume increase partially offset by a rate decrease. Higher advance volume drove the interest income increase. Interest expense increased in 2015 from 2014 due to higher volumes partially offset by lower rates. The increase reflected higher consolidated obligation volumes partially offset by a rate decrease. Advance volume was driven by demand from larger members; however volumes increased in all member classifications. The rate decrease on bonds was primarily due to longer term debt that was called or matured and replaced with lower cost debt.

Interest Income Derivative Effects. The following tables quantify the effects of the Bank’s derivative activities on interest income and interest expense for 2016, 2015 and 2014. Derivative and hedging activities are discussed below.

2016 (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	$	68,362.7	$	612.1	0.90	$	714.4	1.04	$	(102.3	)	(0.14	)
Mortgage loans held for  portfolio	3,186.3		117.4		3.68	122.8		3.85	(5.4		)	(0.17	)
All other interest-earning  assets	19,303.5		256.1		1.33	279.3		1.45	(23.2		)	(0.12	)
Total interest-earning  assets	$	90,852.5	$	985.6	1.08	$	1,116.5	1.23	$	(130.9	)	(0.15	)
Liabilities:
Consolidated obligation  bonds	$	61,523.3	$	524.5	0.85	$	595.2	0.97	$	(70.7	)	(0.12	)
All other interest-bearing  liabilities	25,659.6		112.2		0.44	112.2		0.44	—			—
Total interest-bearing  liabilities	$	87,182.9	$	636.7	0.73	$	707.4	0.81	$	(70.7	)	(0.08	)
Net interest income/net  interest spread			$	348.9	0.35	$	409.1	0.42	$	(60.2	)	(0.07	)

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	$	65,739.9	$	349.5	0.53	$	553.0	0.84	$	(203.5	)	(0.31	)
Mortgage loans held for  portfolio	3,079.3		120.5		3.91	124.6		4.04	(4.1		)	(0.13	)
All other interest-earning  assets	18,851.9		225.6		1.20	244.6		1.30	(19.0		)	(0.10	)
Total interest-earning  assets	$	87,671.1	$	695.6	0.79	$	922.2	1.05	$	(226.6	)	(0.26	)
Liabilities:
Consolidated obligation  bonds	$	48,376.4	$	323.2	0.67	$	551.3	1.14	$	(228.1	)	(0.47	)
All other interest-bearing  liabilities	35,860.4		54.6		0.15	54.6		0.15	—			—
Total interest-bearing  liabilities	$	84,236.8	$	377.8	0.45	$	605.9	0.72	$	(228.1	)	(0.27	)
Net interest income/net  interest spread			$	317.8	0.34	$	316.3	0.33	$	1.5		0.01

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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	$	50,376.8	$	272.9	0.54	$	507.5	1.01	$	(234.6	)	(0.47	)
Mortgage loans held for  portfolio	3,160.1		129.4		4.09	132.5		4.19	(3.1		)	(0.10	)
All other interest-earning  assets	17,386.2		223.8		1.29	235.3		1.35	(11.5		)	(0.06	)
Total interest-earning  assets	$	70,923.1	$	626.1	0.88	$	875.3	1.23	$	(249.2	)	(0.35	)
Liabilities:
Consolidated obligation  bonds	$	38,618.7	$	318.4	0.82	$	577.9	1.50	$	(259.5	)	(0.68	)
All other interest-bearing  liabilities	28,497.2		24.6		0.09	24.6		0.09	—			—
Total interest-bearing  liabilities	$	67,115.9	$	343.0	0.51	$	602.5	0.90	$	(259.5	)	(0.39	)
Net interest income/net  interest spread			$	283.1	0.37	$	272.8	0.33	$	10.3		0.04

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.

In 2016, the use of derivatives negatively impacted both net interest income and net interest spread. The use of derivatives had little impact on net interest income and net interest spread in 2015. By comparison, in 2014, the use of derivatives resulted in increases to both net interest income and net interest spread. 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. These strategies involve 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 BOB loans for 2016 was $1.2 million compared to $(0.2) million in 2015.

2015 vs. 2014. The provision (benefit) for credit losses on mortgage loans held for portfolio and BOB loans was $(0.2) million in 2015 compared to $(4.1) million in 2014. The benefit in 2014 was primarily due to the adoption of certain provisions of AB 2012-02.

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Other Noninterest Income

(in millions)	2016			2015			2014
Net OTTI losses, credit portion	$	(0.2	)	$	(1.8	)	$	—
Net gains (losses) on trading securities	(0.6		)	1.6			22.4
Net realized gains from sale of AFS securities	12.6			—			—
Net gains (losses) on derivatives and hedging activities	(13.8		)	3.4			(37.5		)
Gains on litigation settlements, net	0.6			15.3			70.9
Standby letters of credit fees	24.7			23.6			17.4
Other, net	1.7			2.4			2.4
Total other noninterest income	$	25.0		$	44.5		$	75.6

The Bank's lower total other noninterest income for 2016 compared to 2015 was due primarily to losses on derivatives and hedging activities and lower gains on litigation settlements, net of legal fees and expenses, partially offset by net realized gains from sale of AFS securities. The activity related to derivatives and hedging activities is discussed in more detail below. The litigation settlements relate to investments the Bank made in private label MBS. During the first and third quarters of 2016, the Bank sold Agency, private label MBS and HELOC securities from its AFS portfolio.

2015 vs. 2014. The Bank’s lower total other noninterest income for 2015 compared to 2014 was due primarily to lower gains on litigation settlements, net of legal fees and expenses, and lower net gains on trading securities partially offset by higher net gains on derivatives and hedging activities and higher standby letters of credit fees. The net gains on trading securities reflects the impact of fair market value changes on Agency investments held in the Bank’s trading portfolio. The increase in standby letter of credit fees was due to higher volume and an increase in the fee 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 recorded in the Statements of Income.

The Bank's hedging strategies consist of fair value accounting hedges and economic hedges. Fair value hedges are discussed in more detail below. Economic hedges address specific risks inherent in the Bank's balance sheet, but either 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 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 2016, 2015 and 2014.

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	2016
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes			Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(2.2	)	$	—		$	(5.4	)	$	2.5	$	—		$	(5.1	)
Net interest settlements included in net interest income (2)	(100.1		)	(23.2		)	—			68.2		—			(55.1		)
Total effect on net interest income (loss)	$	(102.3	)	$	(23.2	)	$	(5.4	)	$	70.7	$	—		$	(60.2	)
Net gains (losses) on derivatives and hedging activities:
Gains on fair value hedges	$	2.5		$	0.3		$	—		$	0.5	$	—		$	3.3
Gains (losses) on derivatives not receiving hedge accounting	(3.9		)	(11.7		)	(1.5		)	0.1		(0.1		)	(17.1		)
Total net gains (losses) on derivatives and hedging activities	$	(1.4	)	$	(11.4	)	$	(1.5	)	$	0.6	$	(0.1	)	$	(13.8	)
Total net effect of derivatives and hedging activities	$	(103.7	)	$	(34.6	)	$	(6.9	)	$	71.3	$	(0.1	)	$	(74.0	)

	2015
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes			Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(5.0	)	$	—		$	(4.1	)	$	9.9	$	—		$	0.8
Net interest settlements included in net interest income (2)	(198.5		)	(19.0		)	—			218.2		—			0.7
Total effect on net interest income (loss)	$	(203.5	)	$	(19.0	)	$	(4.1	)	$	228.1	$	—		$	1.5
Net gains (losses) on derivatives and hedging activities:
Gains on fair value hedges	$	0.9		$	1.0		$	—		$	2.9	$	—		$	4.8
Gains (losses) on derivatives not receiving hedge accounting	(5.0		)	(37.3		)	(0.8		)	42.8		(1.1		)	(1.4		)
Total net gains (losses) on derivatives and hedging activities	$	(4.1	)	$	(36.3	)	$	(0.8	)	$	45.7	$	(1.1	)	$	3.4
Total net effect of derivatives and hedging activities	$	(207.6	)	$	(55.3	)	$	(4.9	)	$	273.8	$	(1.1	)	$	4.9

	2014
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(8.9	)	$	—		$	(3.1	)	$	25.7	$	—	$	13.7
Net interest settlements included in net interest income (2)	(225.7		)	(11.5		)	—			233.8		—		(3.4		)
Total effect on net interest income (loss)	$	(234.6	)	$	(11.5	)	$	(3.1	)	$	259.5	$	—	$	10.3
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	3.9		$	(1.6	)	$	—		$	2.0	$	—	$	4.3
Gains (losses) on derivatives not receiving hedge accounting	(7.2		)	(81.4		)	(10.3		)	56.7		0.4		(41.8		)
Total net gains (losses) on derivatives and hedging activities	$	(3.3	)	$	(83.0	)	$	(10.3	)	$	58.7	$	0.4	$	(37.5	)
Total net effect of derivatives and hedging activities	$	(237.9	)	$	(94.5	)	$	(13.4	)	$	318.2	$	0.4	$	(27.2	)

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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 interest rate swaps to hedge a large portion of its fixed-rate advances and consolidated obligations and a small portion of its fixed rate investment securities. The interest rate swaps convert these fixed-rate instruments to a variable-rate (i.e., LIBOR). Most of these hedge relationships are subject to fair value hedge accounting treatment. 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. During 2016, the Bank recorded net gains of $3.3 million compared to net gains of $4.8 million during 2015. The total notional amount decreased to $29.1 billion at December 31, 2016 from $30.4 billion at December 31, 2015.

Derivatives not receiving hedge accounting. For derivatives not receiving hedge accounting, also referred to as economic hedges, the Bank includes the net interest settlements and the fair value changes in the “Net gains (losses) on derivatives and hedging activities” financial statement line item. For economic hedges, the Bank recorded net losses of $(17.1) million in 2016 compared to $(1.4) million in 2015. For 2016, the losses were concentrated in longer term economic hedges. Changes in the composition of the economic hedge portfolio as well as increases in mid- and long-term interest rates during 2016 compared to decreases in mid- and long-term interest rates in 2015 resulted in larger losses in 2016 compared to 2015. During 2016, the losses were generated by longer term economic swaps hedging consolidated obligations, whereas in 2015 losses were generated by economic asset swaps. The total notional amount of economic hedges, which includes mortgage delivery commitments, was $10.6 billion at December 31, 2016 and $14.2 billion at December 31, 2015.

2015 vs. 2014. Fair value hedges.In 2015 and 2014, total ineffectiveness related to fair value hedges resulted in net gains of $4.8 million and $4.3 million, respectively. The total notional amount decreased to $30.4 billion in 2015 from $32.2 billion in 2014.

2015 vs. 2014. Derivatives not receiving hedge accounting. For economic hedges, the Bank recorded net losses of $(1.4) million in 2015 compared to $(41.8) million in 2014. The total notional amount of economic hedges was $14.2 billion and $12.7 billion at December 31, 2015 and 2014, respectively.

Other Expense

(in millions)	2016		2015		2014
Compensation and benefits	$	46.6	$	43.2	$	43.1
Occupancy	2.8		2.7		2.6
Other	24.3		21.5		24.6
Finance Agency	5.9		5.4		4.5
Office of Finance	4.2		4.7		3.8
Total other expenses	$	83.8	$	77.5	$	78.6

The Bank's total other expenses increased $6.3 million to $83.8 million for 2016 compared to $77.5 million for 2015. The increase was primarily due to higher compensation and benefits expenses, including a $2.7 million increase in voluntary contributions to the Bank's pension plan, along with technology related costs.

2015 vs 2014. The Bank's total other expenses for 2015 decreased slightly compared to 2014. The decline was primarily due to lower legal expenses related to the Bank’s private label MBS litigation and lower voluntary contributions to the Bank’s pension plan, partially offset by higher total compensation expense, including incentive payments. The voluntary contribution to the Bank’s pension plan in 2015 was $4.3 million compared with $6.9 million in 2014.

Collectively, the 11 FHLBanks are responsible for the operating expenses of the Finance Agency and the OF. These payments, allocated among the FHLBanks according to a cost-sharing formula, are reported as other expense on the Bank’s Statement of Income. The Bank has no control over the operating expenses of the Finance Agency. The FHLBanks are able to exert a limited degree of control over the operating expenses of the OF as two directors of the OF are also FHLBank presidents.

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AHP Assessment

The Bank’s mission includes the important public policy goal of making funds available for housing and economic development in the communities served by the Bank’s member financial institutions. In support of this goal, the Bank administers a number of programs, some mandated and some voluntary, which make Bank funds available through member financial institutions. In all of these programs, the Bank’s funding flows through member financial institutions into areas of need throughout the region.

The AHP, mandated by the Act, is the largest and primary public policy program of the Bank. The AHP funds, which are offered on a competitive basis, provide grants and below-market loans for both rental and owner-occupied housing for households at 80% or less of the area median income. The Bank is required to contribute approximately 10% of its income (GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and makes these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations. The Bank’s contribution was $28.9 million, $28.5 million and $28.4 million for 2016, 2015 and 2014, respectively. The following table details the funding rounds the Bank conducted and the distribution of AHP funds for 2016, 2015, and 2014.

	2016	2015	2014
Funding rounds	1	1	1
Eligible applications	164	163	116
Grants	$23.1 million	$23.8 million	$15.0 million
Projects	50	63	38
Project development costs	$202.1 million	$351.7 million	$280.9 million
Units of affordable housing	1,476	2,390	1,954

The CLP offers advances at low-cost (i.e., the Bank’s cost of funds), providing the full advantage of a low-cost funding source. CLP loans help member institutions finance housing construction and rehabilitation, infrastructure improvement, and economic and community development projects that benefit targeted neighborhoods and households. At December 31, 2016, the CLP loan balance totaled $785.6 million compared to $726.0 million at December 31, 2015, reflecting an increase of $59.6 million, or 8.2%.

The First Front Door Program (FFD) offers grants to first time homebuyers up to $5,000 to assist with the purchase of a home. FFD grants are available to households earning 80% or less of the area median income. During 2016, $6.5 million in FFD grants were disbursed.

The Disaster Relief Program (DRP) is a $1 million program available to members to assist households affected by historic flooding in 12 West Virginia counties during June 2016. The funds are a set-aside from the overall 2016 AHP subsidy pool and can be used for owner-occupied rehabilitation up to $15,000 per household or for home purchase assistance of up to $7,500 per household. During 2016, $7,500 for one DRP grant was disbursed.

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Financial Condition

The following should be read in conjunction with the Bank’s audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

Assets

Total assets were $101.3 billion at December 31, 2016, compared with $96.3 billion at December 31, 2015, an increase of $5.0 billion primarily due to increased advances, short-term liquidity balances and AFS securities. Advances totaled $76.8 billion at December 31, 2016 compared to $74.5 billion at December 31, 2015.

The Bank's core mission activities primarily include the issuance of advances. In addition, the Bank acquires member assets through the MPF^® program. The Bank's average par amounts in 2016 for advances and MPF loans totaled $71.3 billion, resulting in a core mission asset ratio of 82.5%.

Advances. Advances (par) totaled $76.8 billion at December 31, 2016 compared to $74.3 billion at December 31, 2015. At December 31, 2016, the Bank had advances to 184 borrowing members, compared to 199 borrowing members at December 31, 2015. The percentage of borrowing members to total members was 60.5% and 64.8% at December 31, 2016 and December 31, 2015, respectively. 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 members increased to 79.7% of total advances as of December 31, 2016, from 74.1% at December 31, 2015.

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The following table provides information on advances at par by contractual maturity at December 31, 2016 and December 31, 2015.

	December 31,
(in millions)	2016		2015
Fixed-rate
Due in 1 year or less	$	20,563.9	$	17,373.2
Due after 1 year through 3 years	5,817.9		8,526.0
Due after 3 years through 5 years	2,793.5		2,824.4
Thereafter	664.7		858.1
Total par value	$	29,840.0	$	29,581.7
Fixed-rate, callable or prepayable(1)
Due in 1 year or less	$	—	$	650.0
Total par value	$	—	$	650.0
Variable-rate
Due in 1 year or less	$	12,998.1	$	6,777.5
Due after 1 year through 3 years	12,292.5		19,072.5
Due after 3 years through 5 years	8,552.0		4,544.3
Thereafter	3.1		3.1
Total par value	$	33,845.7	$	30,397.4
Variable-rate, callable or prepayable(1)
Due in 1 year or less	$	4,700.0	$	7,500.0
Due after 1 year through 3 years	3,375.0		3,810.0
Due after 3 years through 5 years	4,225.0		590.0
Thereafter	—		—
Total par value	$	12,300.0	$	11,900.0
Other(2)
Due in 1 year or less	$	309.9	$	891.6
Due after 1 year through 3 years	302.3		652.1
Due after 3 years through 5 years	79.7		103.2
Thereafter	157.7		157.3
Total par value	$	849.6	$	1,804.2
Total par balance	$	76,835.3	$	74,333.3

Notes:

⁽¹⁾ Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees.

⁽²⁾ Includes fixed-rate amortizing/mortgage matched, convertible, and other advances.

The Bank had no putable advances at December 31, 2016 or 2015.

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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 advance balance during 2016 and 2015. 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 CFI (under $1.1 billion).

	December 31,		December 31,
Member Asset Size	2016		2015
Large	6		6
Regional	14		13
Mid-size	24		23
CFI (1)	196		206
Insurance	9		8
Total borrowing members during the period	249		256
Total membership	304		307
Percentage of members borrowing during the period	81.9	%	83.4	%

Note:

⁽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.

The total number of members as of December 31, 2016 decreased to 304, compared to 307 as of December 31, 2015. The Bank added 11 new members and lost 14 members. One member was placed into receivership with its charter being dissolved. With no credit exposure outstanding to the Bank, the institution was closed by the Pennsylvania Department of Banking and Securities on May 6, 2016. The FDIC was appointed receiver, and it entered into a purchase and assumption agreement with an out-of-district institution to assume substantially all of the assets and deposits of the failed institution. Two members merged with other institutions outside of the Bank's district, and 11 members merged with other institutions within the Bank's district.

The following table provides information at par on advances by member classification at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015		Increase/(Decrease)
Member Classification
Large	$	61,230.0	$	55,075.1	11.2	%
Regional	6,579.0		9,090.3		(27.6	)
Mid-size	3,681.9		3,443.7		6.9
CFI	3,613.1		4,262.2		(15.2	)
Insurance	1,729.3		2,459.8		(29.7	)
Non-member	2.0		2.2		(9.1	)
Total	$	76,835.3	$	74,333.3	3.4	%

As of December 31, 2016, total advances increased 3.4% compared with balances at December 31, 2015. Decreases in certain member classifications, primarily driven by certain prepayments and merger activities, were more than offset by increased advance levels from the large member classification. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs.

See the Credit and Counterparty Risk -TCE and Collateral discussion in the Risk Management section of this Item 7. Management’s Discussion and Analysis in this Form 10-K 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 December 31, 2016.

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio, net of allowance for credit losses was $3.4 billion at December 31, 2016 and $3.1 billion at December 31, 2015. The Bank’s focus is on purchasing MPF loans originated by the member institutions located in its district.

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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 of 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.

Foregone interest represents income the Bank would have recorded if the loan was paying according to its contractual terms. Foregone interest for the Bank’s mortgage loans was $0.1 million, $0.6 million, $1.3 million, $2.5 million and $2.9 million, for years 2016 through 2012, respectively. Foregone interest for the Bank’s BOB loans was immaterial. Balances regarding the Bank’s loan products are summarized below.

	December 31,
(in millions)	2016		2015		2014		2013		2012
Advances(1)	$	76,808.7	$	74,504.8	$	63,408.4	$	50,247.5	$	40,497.8
Mortgage loans held for portfolio, net(2)	3,390.7		3,086.9		3,123.3		3,224.1		3,532.5
Nonaccrual mortgage loans(3)	26.6		32.5		44.6		57.8		72.5
Mortgage loans 90 days or more delinquent and still accruing interest(4)	4.0		4.2		6.8		8.3		7.2
BOB loans, net	12.3		11.3		11.6		11.4		12.8

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 does not include performing TDRs of $11.5 million, $14.8 million, $12.8 million, $12.0 million and $10.2 million at December 31, 2016, 2015, 2014, 2013 and 2012 respectively.

⁽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 been relatively stable since year-end 2015, and the MPF Original portfolio continues to outperform the market based on national delinquency statistics. As of December 31, 2016, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.6% of the MPF Original portfolio and 2.9% of the MPF Plus portfolio compared with 0.5% and 3.3%, respectively, at December 31, 2015.

Allowance for Credit Losses (ACL).  The Bank has not incurred any losses on advances since its inception in 1932. Due to the collateral held as security and the repayment history for advances, management believes that an ACL for advances is not appropriate under GAAP. 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 this Form 10-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 of 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 and the related credit loss 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 of default 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

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based on realized losses incurred on the sale of mortgage loan collateral including a factor that reduces estimated proceeds from PMI given the credit deterioration experienced by those companies.

The following table presents the rollforward of ACL on the mortgage loans held for portfolio for the years 2012 through 2016.

(in millions)	2016			2015			2014			2013			2012
Balance, beginning of year	$	5.7		$	7.3		$	11.4		$	14.2		$	14.3
(Charge-offs) Recoveries, net	(0.2		)	(0.8		)	0.3			(1.0		)	(0.5		)
Provision (benefit) for credit losses	0.7			(0.8		)	(4.4		)	(1.8		)	0.4
Balance, end of year	$	6.2		$	5.7		$	7.3		$	11.4		$	14.2
As a % of mortgage loans held for portfolio	0.2		%	0.2		%	0.2		%	0.4		%	0.4		%

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 the PFI for its retention of credit risk. All additional losses are incurred by the Bank. The CE was originally established to be sufficient such that a Master Commitment (MC) has a AA credit rating. In December 2016, the Bank revised this requirement to a BBB credit rating for all new MCs and legacy MCs for specific products. This reduced CE by approximately $100 million but had no impact on the ACL.

The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at December 31, 2016 and December 31, 2015.

	MPF CE structure December 31, 2016				ACL December 31, 2016
(in millions)	FLA		Available CE		Estimate of Credit Loss		Charge -offs			Reduction to the ACL due to CE			ACL
MPF Original; MPF 35	$	5.8	$	130.7	$	5.8	$	(1.0	)	$	(4.3	)	$	0.5
MPF Plus	18.0		18.3		13.7		—			(8.0		)	5.7
Total	$	23.8	$	149.0	$	19.5	$	(1.0	)	$	(12.3	)	$	6.2

	MPF CE structure December 31, 2015				ACL December 31, 2015
(in millions)	FLA		Available CE		Estimate of Credit Loss		Charge -offs			Reduction to the ACL due to CE			ACL
MPF Original	$	3.7	$	177.1	$	5.2	$	(0.9	)	$	(4.1	)	$	0.2
MPF Plus	18.9		32.1		12.7		—			(7.2		)	5.5
Total	$	22.6	$	209.2	$	17.9	$	(0.9	)	$	(11.3	)	$	5.7

The ACL on mortgage loans increased $0.5 million to $6.2 million from $5.7 million during 2016. The ACL associated with the MPF Plus program decreased due to the continued run-off of the portfolio. The ACL associated with MPF Original and MPF 35 program increased due to the increase in the portfolio and the increase in the FLA representing the Bank’s responsibility, in accordance with the terms of the MPF program.

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The ACL for BOB is based on probability of default derived from the actual performance of the BOB loan portfolio. The following table presents the ACL on the BOB loans for the years 2012 through 2016.

(in millions)	2016			2015			2014			2013			2012
Balance, beginning of year	$	2.1		$	1.8		$	2.2		$	2.5		$	3.3
(Charge-offs) Recoveries, net	(0.2		)	(0.4		)	(0.6		)	(0.2		)	(0.8		)
Provision (benefit) for credit losses	0.3			0.7			0.2			(0.1		)	—
Balance, end of year	$	2.2		$	2.1		$	1.8		$	2.2		$	2.5
As a % of BOB loans	15.1		%	18.2		%	15.9		%	16.2		%	16.2		%

Based on the nature of the BOB program, to assist small and start-up businesses, the Bank expects that some of the loans will default. The ratio of charge-offs to average loans outstanding, net, was approximately 1.9% and 3.8% during 2016 and 2015, respectively.

Real Estate Owned (REO). When a PFI or servicer forecloses on a delinquent mortgage loan, the Bank reclassifies the carrying value of the loan to other assets as REO at fair value less estimated selling expenses. If the fair value of the REO property is lower than the carrying value of the loan, then the difference to the extent such amount is not expected to be recovered through recapture of performance-based CE fees is recorded as a charge-off to the ACL. The fair value less estimated costs to sell the property becomes the new cost basis for subsequent accounting. If the fair value of the REO property is higher than the carrying value of the loan, then the REO property is recorded at fair value less estimated selling costs. This is rare as the Bank believes this situation would require additional validation of the fair value. The servicer is charged with the responsibility for disposing of real estate on defaulted mortgage loans on behalf of the Bank. Once a property has been sold, the servicer presents a summary of the gain or loss for the individual mortgage loan to the master servicer for reimbursement of any loss. Gains on the sale of REO property are held and offset by future losses in the pool of loans, ahead of any remaining balances in the FLA. Losses are deducted from the FLA, if it has not been fully used. At December 31, 2016 and December 31, 2015, the Bank held $3.9 million and $6.5 million, respectively, of REO.

Cash and Due From Banks.  At December 31, 2016, cash and due from banks totaled $3.6 billion compared to $2.4 billion at December 31, 2015.

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Investments. At December 31, 2016, the sum of the Bank’s interest-bearing deposits, Federal funds sold and securities purchased under agreement to resell was $5.2 billion an increase of approximately $0.2 billion from December 31, 2015. 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 $12.0 billion at December 31, 2016 compared to $11.2 billion at December 31, 2015. Details of the investment securities portfolio follow.

	Carrying Value
	December 31,
(in millions)	2016		2015		2014
Trading securities:
Mutual funds	$	7.1	$	5.4	$	4.7
GSE and Tennessee Valley Authority (TVA) obligations	388.1		389.3		276.3
Total trading securities	$	395.2	$	394.7	$	281.0
AFS securities:
Mutual funds	$	2.0	$	2.0	$	2.0
GSE and TVA obligations	3,183.2		3,469.2		3,233.7
State or local agency obligations	236.4		134.2		99.0
MBS:
Other U.S. obligations single family MBS	216.4		268.5		329.4
GSE single-family MBS	3,213.2		2,383.6		2,882.1
GSE multifamily MBS	1,512.9		1,010.5		879.8
Private label residential MBS	674.0		822.7		971.1
Private label HELOCs	—		9.2		11.7
Total AFS securities	$	9,038.1	$	8,099.9	$	8,408.8
HTM securities:
Certificates of deposit	$	400.0	$	—	$	—
GSE securities	—		—		13.0
State or local agency obligations	131.9		169.5		184.4
MBS:
Other U.S. obligations single family MBS	583.5		819.6		1,122.5
GSE single-family MBS	212.1		294.6		417.2
GSE multifamily MBS	843.2		863.1		818.1
Private label residential MBS	395.4		516.5		691.6
Total HTM securities	$	2,566.1	$	2,663.3	$	3,246.8
Total investment securities	$	11,999.4	$	11,157.9	$	11,936.6

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The following table presents the composition of investment securities and investments, assuming no principal prepayments, as of December 31, 2016. Contractual maturity of MBS is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligation at any time.

(dollars in millions)	Due in 1 year or less			Due after 1 year through 5 years			Due after 5 years through 10 years			Due after 10 years			Carrying Value
Trading securities:
Non-MBS:
Mutual funds	$	7.1		$	—		$	—		$	—		$	7.1
GSE and TVA obligations	—			—			271.8			116.3			388.1
Total trading securities	$	7.1		$	—		$	271.8		$	116.3		$	395.2
Yield on trading securities	n/a			n/a			2.90		%	3.11		%	2.91		%
AFS securities:
Mutual funds	$	2.0		$	—		$	—		$	—		$	2.0
GSE and TVA obligations	376.1			1,405.1			650.8			751.2			3,183.2
State or local agency obligations	—			—			1.0			235.4			236.4
MBS:
Other U.S. obligations single family MBS	—			—			—			216.4			216.4
GSE single-family MBS	—			—			206.3			3,006.9			3,213.2
GSE multifamily MBS	—			481.2			1,031.7			—			1,512.9
Private label residential MBS	—			—			—			674.0			674.0
Total AFS securities	$	378.1		$	1,886.3		$	1,889.8		$	4,883.9		$	9,038.1
Yield on AFS Securities	0.94		%	1.41		%	2.08		%	2.27		%	2.00		%
HTM securities:
Certificates of deposit	$	400.0		$	—		$	—		$	—		$	400.0
State or local agency obligations	—			—			47.9			84.0			131.9
MBS:
Other U.S. obligations single family MBS	—			164.5			—			419.0			583.5
GSE single-family MBS	—			2.6			67.4			142.1			212.1
GSE multifamily MBS	99.1			513.3			230.8			—			843.2
Private label residential MBS	—			4.8			—			390.6			395.4
Total HTM securities	$	499.1		$	685.2		$	346.1		$	1,035.7		$	2,566.1
Yield on HTM securities	1.54		%	2.87		%	2.44		%	2.07		%	2.23		%
Total investment securities	$	884.3		$	2,571.5		$	2,507.7		$	6,035.9		$	11,999.4
Yield on investment securities	1.27		%	1.80		%	2.22		%	2.25		%	2.08		%
Interest-bearing deposits	5.9			—			—			—			5.9
Federal funds sold	3,222.0			—			—			—			3,222.0
Securities purchased under agreements to resell	2,000.0			—			—			—			2,000.0
Total investments	$	6,112.2		$	2,571.5		$	2,507.7		$	6,035.9		$	17,227.3

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As of December 31, 2016, the Bank held securities from the following issuers with a book value greater than 10% of Bank total capital.

	Total Book Value		Total Fair Value
(in millions)
Freddie Mac	$	4,615.2	$	4,627.3
Fannie Mae	2,783.3		2,790.0
Federal Farm Credit Banks	1,847.5		1,847.5
Ginnie Mae	635.4		638.2
Total	$	9,881.4	$	9,903.0

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 7. Management’s Discussion and Analysis in this Form 10-K.

Liabilities and Capital

Time Deposits. At December 31, 2016 and December 31, 2015, the Bank had no time deposits.

Short-term Borrowings. For the table below, borrowings with original maturities of one year or less are classified as short-term. The following is a summary of key statistics for the Bank’s short-term borrowings at par.

	Consolidated Obligations - Discount Notes									Consolidated Obligations -Bonds with original maturities of one year or less
(dollars in millions)	2016			2015			2014			2016			2015			2014
Outstanding at the end of the period	$	28,529.6		$	42,318.5		$	37,065.7		$	32,270.5		$	14,237.6		$	6,850.9
Weighted average rate at end of the   period	0.51		%	0.32		%	0.10		%	0.63		%	0.29		%	0.15		%
Daily average outstanding for the   period	$	25,041.2		$	35,193.8		$	27,798.7		$	26,424.7		$	9,542.5		$	5,480.1
Weighted average rate for the period	0.42		%	0.15		%	0.09		%	0.52		%	0.19		%	0.12		%
Highest outstanding at any month-end	$	36,148.8		$	42,318.5		$	37,065.7		$	32,276.0		$	16,440.6		$	6,850.9

Contractual Obligations. The following table summarizes the expected payment of significant contractual obligations by due date or stated maturity date at December 31, 2016.

(in millions)	Total		Less than 1 Year		1 to 3 Years		4 to 5 Years		Thereafter
Consolidated obligations (at par):
Bonds (1)	$	67,195.7	$	45,760.8	$	13,365.9	$	4,110.1	$	3,958.9
Discount notes	28,529.6		28,529.6		—		—		—
Mandatorily Redeemable Capital Stock	5.2		—		0.4		4.8		—
Operating leases:
Premises & Equipment	16.3		2.0		3.8		3.9		6.6
Pension and post-retirement contributions	9.2		0.9		1.2		1.4		5.7
Total	$	95,756.0	$	74,293.3	$	13,371.3	$	4,120.2	$	3,971.2

Note:

⁽¹⁾ Specific bonds or notes incorporate features, such as calls or indices, which could cause redemption at different times than the stated maturity dates.

Commitments and Off-Balance Sheet Items. As of December 31, 2016, the Bank was obligated to fund approximately $158.2 million in additional advances and BOB loans, $15.5 million of mortgage loans and $19.7 billion in outstanding standby letters of credit, and to issue $2.0 billion in consolidated obligations. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

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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 in Item 7. Management’s Discussion and Analysis in this Form 10-K.

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) operational 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. The framework assists management in its overall analysis of the level of future dividends. The framework generated a retained earnings target of $478 million as of December 31, 2016. The Bank’s retained earnings of $986.2 million at December 31, 2016, exceeded the target.

Retained earnings increased $105.0 million to $986.2 million at December 31, 2016, compared to $881.2 million at December 31, 2015. The increase in retained earnings during 2016 reflected net income that was partially offset by $155.0 million of dividends paid. Total retained earnings at December 31, 2016 included unrestricted retained earnings of $771.7 million and RRE of $214.5 million.

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Other Financial Information

Selected Quarterly Financial Data

The following tables present the Bank’s unaudited quarterly operating results for each quarter in 2016 and 2015.

	2016
(in millions)	Fourth Quarter			Third Quarter			Second Quarter			First Quarter
Interest income	$	274.9		$	238.3		$	247.6		$	224.8
Interest expense	180.2			159.1			154.0			143.4
Net interest income	94.7			79.2			93.6			81.4
Provision for credit losses	0.1			0.7			0.2			0.2
Net interest income after provision    for credit losses	94.6			78.5			93.4			81.2
Other noninterest income (loss):
Net OTTI losses, credit portion	—			—			—			(0.2		)
Net gains (losses) on trading securities	(26.2		)	(2.6		)	10.9			17.3
Net realized gains (losses) from sales of     AFS securities	—			(0.1		)	—			12.7
Net gains (losses) on derivatives and     hedging activities	40.6			(2.4		)	(16.4		)	(35.6		)
Gains on litigation settlements, net	—			0.1			0.5			—
Other, net	6.8			6.6			6.3			6.7
Total other noninterest income	21.2			1.6			1.3			0.9
Other expense	25.0			19.2			20.3			19.3
Income before assessments	90.8			60.9			74.4			62.8
AHP assessment	9.1			6.1			7.4			6.3
Net income	$	81.7		$	54.8		$	67.0		$	56.5

	2015
(in millions)	Fourth Quarter			Third Quarter			Second Quarter			First Quarter
Interest income	$	185.7		$	177.4		$	169.3		$	163.1
Interest expense	107.6			94.3			88.2			87.6
Net interest income	78.1			83.1			81.1			75.5
Provision (benefit) for credit losses	0.2			(0.2		)	0.3			(0.5		)
Net interest income after provision    (benefit) for credit losses	77.9			83.3			80.8			76.0
Other noninterest income (loss):
Net OTTI losses, credit portion	(0.9		)	(0.4		)	(0.5		)	—
Net gains (losses) on trading securities	(3.8		)	8.7			(10.1		)	6.8
Net gains (losses) on derivatives and     hedging activities	7.3			(25.4		)	29.1			(7.6		)
Gains on litigation settlements, net	—			—			—			15.3
Other, net	5.4			6.4			7.7			6.5
Total other noninterest income (loss)	8.0			(10.7		)	26.2			21.0
Other expense	25.5			16.7			17.4			18.0
Income before assessments	60.4			55.9			89.6			79.0
AHP assessment	6.0			5.6			9.0			7.9
Net income	$	54.4		$	50.3		$	80.6		$	71.1

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Capital Resources

The following should be read in conjunction with Note 16 - Capital to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

Liquidity and Funding.  Refer to the Liquidity and Funding Risk section of Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for details.

Capital Plan and Dividends.  Refer to the Capital Resources section of Item 1. Business in this Form 10-K for details.

Risk-Based Capital (RBC)

The Finance Agency’s RBCregulatory 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.

	December 31,
(in millions)	2016		2015
Permanent capital:
Capital stock (1)	$	3,760.6	$	3,545.7
Retained earnings	986.2		881.2
Total permanent capital	$	4,746.8	$	4,426.9
RBC requirement:
Credit risk capital	$	440.0	$	477.0
Market risk capital	258.1		154.2
Operations risk capital	209.4		189.4
Total RBC requirement	$	907.5	$	820.6
Excess permanent capital over RBC requirement	$	3,839.3	$	3,606.3
Note:
(1) Capital stock includes mandatorily redeemable capital stock.

The total RBC requirement increased in 2016 as discussed further below. Total permanent capital increased in 2016 due to increases in both capital stock and retained earnings. The Bank continues to maintain significant excess permanent capital over the RBC requirement.

On December 14, 2016, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2016. 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 December 31, 2016.

Credit Risk Capital.  The Bank’s credit risk capital requirement is the sum of credit risk capital charges computed for assets, off-balance sheet items, and derivative contracts based on the credit risk percentages assigned to each item as determined by the Finance Agency. The credit risk capital requirement decline in 2016 compared to 2015 was primarily due to run-off of the private label MBS portfolio.

Market Risk Capital.  The Bank’s market risk capital requirement is the sum of the market value of the Bank’s portfolio at risk from movements in interest rates and the amount, if any, by which the Bank’s current market value of equity is less than 85% of the Bank’s book value of equity as of the measurement calculation date. The Bank calculates the market value of its portfolio at risk and the current market value of its total capital by using a market risk model that is subject to annual independent validation.

The market risk component of the overall RBC framework is designed around a “stress test” approach. Simulations of several hundred historical market interest rate scenarios are generated and, under each scenario, the hypothetical beneficial/

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adverse effects on the Bank’s current market value of equity are determined. The hypothetical beneficial/adverse effect associated with each historical scenario is calculated by simulating the effect of each set of market conditions upon the Bank’s current risk position, which reflects current assets, liabilities, derivatives and off-balance-sheet commitment positions as of the measurement date. From the resulting simulated scenarios, the most severe deterioration in market value of capital is identified as that scenario associated with a probability of occurrence of not more than 1% (i.e., a 99% confidence interval). The hypothetical deterioration in market value of equity in this scenario, derived under the methodology described above, represents the market value risk component of the Bank’s regulatory RBC requirement. The market risk component increase in 2016 compared to 2015 was primarily a result of interest rate changes and balance sheet management actions (e.g. funding decisions) during the period.

Operations Risk Capital.  The Bank’s operations risk capital requirement as prescribed by Finance Agency regulation is equal to 30% of the sum of its credit risk capital requirement and its market risk capital requirement.

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 December 31, 2016.

	December 31,			December 31,
(dollars in millions)	2016			2015
Regulatory Capital Ratio
Minimum capital (4.0% of total assets)	$	4,050.4		$	3,853.5
Regulatory capital	4,746.8			4,426.9
Total assets	101,260.0			96,329.8
Regulatory capital ratio (regulatory capital as a percentage of total assets)	4.7		%	4.6		%
Leverage Ratio
Minimum leverage capital (5.0% of total assets)	$	5,063.0		$	4,816.8
Leverage capital (permanent capital multiplied by a 1.5 weighting factor)	7,120.3			6,640.5
Leverage ratio (leverage capital as a percentage of total assets)	7.0		%	6.9		%

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)	December 31, 2016			December 31, 2015
Commercial banks	162	$	3,275.0	170	$	3,055.3
Thrifts	64	293.7		69	278.1
Insurance companies	23	134.7		17	161.1
Credit unions	53	51.5		49	44.7
CDFIs	2	0.5		2	0.5
Total member institutions / total GAAP capital stock	304	$	3,755.4	307	$	3,539.7
Mandatorily redeemable capital stock		5.2			6.0
Total capital stock		$	3,760.6		$	3,545.7

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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 the Notes to Financial Statements in Item 8. of this Form 10-K describes the most significant accounting policies used by the Bank. 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.

Fair Value Calculations and Methodologies.  The Bank carries certain assets and liabilities, including investments classified as AFS and trading, and derivatives on the Statement of Condition at fair value. The Bank also provides certain fair value based disclosures, including the methods and significant assumptions used to estimate those fair values. Fair value is the price that would be received to sell an asset or the price paid to transfer a liability in an orderly transaction between market participants at the measurement date. The determination of fair value by the Bank for each asset or liability assumes that the transaction occurs in the principal market by market participants. At times there may be little, if any, market activity for an asset at the measurement date; however, the fair value measurement objective remains the same, that is, the price that would be received by the holder of the financial asset in an orderly transaction (an exit price notion) that is not a forced liquidation or distressed sale at the measurement date. Determining fair value in a dislocated market depends on the facts and circumstances and may require the use of significant judgment about whether individual transactions are forced liquidations or distressed sales.

Fair values are based on quoted market prices, if such prices are available. If quoted market prices are not available, fair values are determined using a modified matrix pricing approach or are based on pricing models that use discounted cash flows. At times, dealer prices on similar instruments are used to determine fair value. Pricing models are based on the best estimates of management with respect to:

• interest rate projections;

• discount rates;

• prepayments;

• market volatility; and

• other factors.

These assumptions may have a significant effect on the reported fair values of assets and liabilities and the income and expense related thereto. The use of different assumptions, as well as changes in market conditions, could result in materially different net income and retained earnings. With respect to those fair values that are based on pricing models, the Bank regularly validates the models used to generate the fair values. Such model validations are generally performed by third-party specialists and are supplemented by additional validation processes performed by the Bank, most notably, benchmarking model-derived fair values to counterparties or third-party vendors.

The Bank’s methodology for estimating MBS fair values was developed by the FHLBanks’ MBS Pricing Governance Committee to achieve consistency across the FHLBank System. The methodology requires that the Bank request prices for all MBS from four third-party vendors and calculate a median price. All prices received from the vendors that fall within certain tolerance thresholds to the median price are deemed to be in a cluster and are averaged to calculate the default price of each MBS. Prices received that are outside of the cluster are evaluated to determine if any of those or a different price, is the best fair value estimate of the MBS. Prices for CUSIPs held in common with other FHLBanks are reviewed for consistency. In using this common methodology, each FHLBank remains responsible for the selection and application of its fair value methodology and the reasonableness of assumptions and inputs used.

The four pricing vendors use various proprietary models to price MBS. 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, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank had a minimal number of price exceptions that required a challenge, and such challenges had an insignificant impact on fair value, as the Bank used the average cluster prices in almost all instances. The Bank conducted reviews of the four pricing vendors to understand the vendors’ pricing processes, methodologies and control procedures. To the extent available, the Bank also reviewed the vendors’ independent auditors’ reports regarding the internal controls over their valuation processes, and no information obtained caused the Bank to modify its process or invalidate its results.

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The Bank categorizes financial instruments carried at fair value into a three-level hierarchy. The valuation hierarchy is based upon the transparency (observability) of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Bank’s own assumptions that it believes market participants would use. In general, the Bank utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. However, in markets that are illiquid, the Bank may utilize more unobservable inputs if they better reflect market value. With respect to the Bank’s private label MBS, the Bank concluded that overall, the inputs used to determine fair value are unobservable (i.e., Level 3).

Accounting for Derivatives. The Bank uses derivative instruments as part of its risk management activities to protect the value of certain assets, liabilities and future cash flows against adverse interest rate movements. The accounting for derivatives is considered critical because such transactions are subject to complex accounting rules and because derivative and hedge accounting related valuations are based on techniques that involve the use of highly subjective assumptions.

Derivative instruments are presented on the Statement of Condition at fair value. Any change in the fair value of a derivative is required to be reflected in current period earnings, regardless of how fair value changes in the assets or liabilities being hedged may be treated. This accounting treatment can cause significant volatility in reported net income from period to period.

The Bank is subject to credit risk in derivative transactions due to potential nonperformance by the derivative counterparties. For cleared derivatives, the centralized Clearing Houses are the Bank’s counterparties. 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, and the amount of required collateral puts the Bank in an over-collateralized position to limit risk. For uncleared trades, the Bank evaluates the potential for the fair value of the derivative instruments to be impacted by changes in its own creditworthiness and the creditworthiness of the derivative counterparties after consideration of legally enforceable risk mitigation agreements. For example, the Bank requires counterparties to enter into a Credit Support Annex that specifies when collateral must be posted against exposure over an unsecured threshold amount. The Credit Support Annex also governs netting and security rights of the parties concerning pledged collateral and requires that collateral (cash and securities) be pledged and delivered at specified levels based on individual credit ratings as reported by the credit rating agencies. The Credit Support Annexes predominantly allow re-hypothecation of collateral. In certain instances, the Bank utilizes a third party custodian to hold the collateral. Due to the credit risk mitigation provided by the derivative counterparty agreements, the Bank has determined that the impact of credit risk on the fair value of its derivatives is insignificant and no adjustments are necessary.

Generally, the Bank uses derivatives when they are likely to provide a cost-effective means to mitigate the interest rate risk inherent in its business. The most common objectives of hedging with derivatives include: (1) preserving an interest rate spread between the yield of an asset and the cost of a supporting liability; (2) mitigating the adverse earnings effects resulting from the potential prepayment or extension of certain assets and liabilities; and (3) protecting the value of existing asset or liability positions or of anticipated transactions. Much of the Bank’s hedging activity is directed toward reducing interest rate risk and basis risk from loans and supporting debt. Historically, the Bank has used structured debt to create low-cost funding, which is used primarily to provide more attractively priced loans to the Bank’s members. Derivatives are also used to hedge loans with specialized embedded pricing features, customized to meet individual member funding needs and/or to reduce member borrowing costs.

The Bank’s policy remains consistent with Finance Agency regulation, which is to use derivative instruments only to reduce the market risk exposures inherent in the otherwise unhedged asset and funding positions of the Bank.

OTTI Assessments for Investment Securities. For debt securities, impairment is considered to be other than temporary if an entity (1) intends to sell the security, (2) more likely than not will be required to sell the security before recovering its amortized cost basis, or (3) does not expect to recover the security’s entire amortized cost basis (even if the entity does not intend to sell the security), which occurs if the present value of cash flows expected to be collected from the debt security is less than the amortized cost basis of the security (any such shortfall is referred to as a credit loss).

The Bank evaluates AFS and HTM securities in an unrealized loss position (i.e., impaired securities) for OTTI on a quarterly basis. For its private label residential MBS, the Bank employs models or alternative procedures to determine the cash flows that it is likely to collect. These models consider borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, to predict the likelihood a loan will default and the impact on default frequency, loss severity and remaining credit enhancement. A significant input to these models is the forecast of future housing price changes for the relevant states and metropolitan statistical areas, which is based upon an assessment of the various housing markets. In general, since the ultimate receipt of

55

contractual payments on these securities will depend upon the credit and prepayment performance of the underlying loans and, if needed, the credit enhancements for the senior securities owned by the Bank, the Bank uses these models to assess whether the credit enhancement associated with each security is sufficient to protect against likely losses of principal and interest on the underlying mortgage loans. The development of the modeling assumptions requires significant judgment.

The modeling assumptions are developed through the FHLBanks’ OTTI Governance Committee, which is responsible for reviewing and approving the key assumptions. The OTTI Governance Committee requires the FHLBanks to generate cash flow projections on a common platform. For certain private label residential MBS where underlying loan level collateral data is not available, alternative procedures are used to assess these securities for OTTI, potentially including a cash flow test. Additionally, the OTTI Governance Committee requires the FHLBanks to perform OTTI analysis on sample securities to ensure that the OTTI analysis produces consistent results among the FHLBanks. If the Bank determines that a commonly owned security is other-than-temporarily impaired, the FHLBanks that jointly own the common security will consult with each other on the financial results.

During each quarter of 2016, the Bank reviewed the FHLBank System-wide assumptions used in the OTTI process. Based on the results of these reviews, the Bank deemed the FHLBank System-wide assumptions to be reasonable and adopted them. However, different assumptions could produce materially different results, which could impact the Bank’s conclusions as to whether an impairment is considered other-than-temporary and the magnitude of the credit loss.

If the Bank intends to sell an impaired debt security, or more likely than not will be required to sell the security before recovery of its amortized cost basis, the impairment is other-than-temporary and is recognized currently in earnings in an amount equal to the entire difference between fair value and amortized cost. To date, the Bank has not met either of these conditions.

In instances in which the Bank determines that a credit loss exists but the Bank does not intend to sell the security and it is not more likely than not that the Bank will be required to sell the security before the anticipated recovery of its remaining amortized cost basis, the OTTI is separated into (1) the amount of the total impairment related to the credit loss and (2) the amount of the total impairment related to all other factors (i.e., the noncredit portion). The amount of the OTTI related to the credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value, is recognized in earnings. The amount of the total OTTI related to all other factors is recognized in AOCI. The total OTTI is presented in the Statement of Income with an offset for the amount of the total OTTI that is recognized in AOCI. Absent the intent or requirement to sell a security, if a credit loss does not exist, any impairment is considered to be temporary.

Regardless of whether an OTTI is recognized in its entirety in earnings or if the credit portion is recognized in earnings and the noncredit portion is recognized in AOCI, the estimation of fair values has a significant impact on the amount(s) of any impairment that is recorded.

The Bank transfers investment securities from HTM to AFS when an OTTI credit loss has been recorded to increase its flexibility to sell the securities if management determines it is prudent to do so. The Bank believes that the credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. Each quarter, the noncredit portion of any OTTI losses on securities classified as AFS is adjusted to fair value with an offsetting adjustment to the carrying value of the security. The fair value adjustment could increase or decrease the carrying value of the security.

In periods subsequent to the recognition of an OTTI loss, the other-than-temporarily impaired debt security is accounted for as if it had been purchased on the measurement date of the OTTI at an amount equal to the previous amortized cost basis less the credit-related OTTI recognized in earnings. In future OTTI evaluations, if the present value of cash flows expected to be collected is less than the amortized cost basis, an additional OTTI credit loss is recorded in earnings. If the present value of cash flows expected to be collected is greater than amortized cost by a significant amount, the Bank adjusts the accretable yield on a prospective basis. Therefore, the Bank recognizes significant cash flow improvements in securities through interest income.

Advances and Related Allowance for Credit Losses. Since its establishment in 1932, the Bank has never experienced a credit loss on advances. Further, management does not anticipate credit losses on any advances currently outstanding to members. The Bank is required by statute to obtain sufficient collateral on advances to protect against losses and to accept as collateral on member loans only high quality investment securities, residential mortgage loans, deposits in the Bank, and ORERC and CFI assets. The Bank continues to have rights to mortgage loans and/or securities as collateral on a member-by-member basis with an estimated net realizable value in excess of the outstanding advances of each individual borrower. Accordingly, there is no allowance for credit losses for advances.

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Accounting for Premiums/Discounts, Prepayment Fees and Basis Adjustments on Advances, Mortgage Loans, MBS and Consolidated Obligations. Typically, the Bank recognizes the following purchase price adjustments to its financial instruments: premiums and discounts on investments, mortgage-related fees on MPF loans, and concessions on COs. Premiums and discounts on MBS that are determined to be OTTI are not accounted for in accordance with this policy, but with the Bank’s accounting for OTTI discussed above. In addition, the Bank recognizes basis adjustments as a result of termination of a fair value hedging relationship and prepayment fees associated with a minor modification of an advance. Bank policy requires the amortization or accretion of these items to interest income using the contractual method. This produces a constant effective yield over the contractual life (i.e., stated maturity). Under the contractual method, the income effects of the amortization or accretion are recognized in a manner that reflects the actual behavior of the underlying assets during the period in which the behavior occurs without regard to changes in estimates based on assumptions about future borrower behavior.

Allowance for Credit Losses on Mortgage Loans Held for Portfolio. The Bank bases the allowance for credit losses on management’s estimate of loan losses inherent in the Bank’s mortgage loan portfolio as of the balance sheet date taking into consideration CE structure of the MPF Program. For impaired collateral-dependent loans, the Bank estimates the loss based upon the fair value of the loan as determined by a third-party automated valuation model (AVM), adjusted based on the amount historically received by the Bank on liquidations, less estimated selling costs. For the remainder of the portfolio, the Bank estimates the probability of default and loss given default based on the actual 12 month historical performance of the Bank’s mortgage loans. Actual probability of default is 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 is determined based on realized losses incurred on the sale of mortgage loan collateral.

The Bank charges off any estimated credit loss on impaired MPF loans against the reserve. The total estimated losses and charge-offs are reduced by the CEs available under the MPF Program. The Bank incurs the initial losses on mortgage loans up to an agreed upon amount, referred to as the first loss account (FLA). Losses in excess of the FLA are covered by the CEs of the MPF Program and are excluded from the determination of the allowance for credit losses. Losses in excess of the CEs are incurred by the Bank. In addition, certain losses incurred by the Bank can be recaptured by withholding fees paid to the PFI (or Seller) for its retention of credit risk. Losses that can be recaptured are incorporated into a CE receivable that is evaluated for collectibility, and a reserve, if required, is established as part of the allowance for credit losses.

See Note 2 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K. Note 2 contains information on new accounting pronouncements impacting the 2016 financial statements or that will become effective for the Bank in future periods.

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Legislative and Regulatory Developments

The legislative and regulatory environment in which the Bank and its members operate continues to evolve as a result of regulations enacted pursuant to the Housing Act and the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act). The Bank’s business operations, funding costs, rights, obligations, and/or the environment in which the Bank carries out its housing finance, community lending and liquidity mission are likely to continue to be significantly impacted by these changes. Significant regulatory actions and developments for the period covered by this report are summarized below.

Finance Agency Final Rule on Acquired Member Assets (AMA). On December 19, 2016, the Finance Agency published the final AMA rule, which governs an FHLBank’s ability to purchase and hold certain types of mortgage loans from its members. The final rule, effective January 18, 2017, has, among other things:

• expanded the types of assets that will qualify as AMA to include mortgage loans insured or guaranteed by a department or agency of the U.S. government that exceed the conforming loan limits and certificates representing interests in whole loans under certain conditions;

• enhanced the credit risk sharing requirement by allowing an FHLBank to utilize its own model to determine the credit enhancement for AMA loan assets and pool loans in lieu of an NRSRO ratings model. The assets delivered must now be credit enhanced by the member up to the FHLBank determined “AMA investment grade” instead of a specific NRSRO rating; and

• retained the option to allow a member to meet its CE obligation by purchasing loan level SMI or pool level insurance once an FHLBank has established standards for qualified insurers.

The Bank does not anticipate that the final rule will have any negative impact on the volume of AMA loan assets or on its costs of operation.

Finance Agency Final Rule on New Business Activities. On December 19, 2016, the Finance Agency issued a final rule effective January 18, 2017, that, among other things, reduces the scope of new business activities (NBAs) for which a FHLBank must seek approval from the Finance Agency. In addition, the final rule establishes certain timelines for Finance Agency review and approval of NBA notices. The final rule also clarifies the protocol for Finance Agency review of NBAs. Under the final rule, acceptance of new types of legally permissible collateral by the FHLBanks would not constitute a new business activity or require approval from the Finance Agency prior to acceptance. Instead, the Finance Agency would review new collateral types as part of the annual exam process. The Bank does not anticipate that the final rule will materially impact it.

Finance Agency Proposed Rule on Minority and Women Inclusion. On October 27, 2016, the Finance Agency proposed amendments to its Minority and Women Inclusion regulations that, if adopted, would clarify the scope of the FHLBanks’ obligation to promote diversity and ensure inclusion. These proposed amendments update existing Finance Agency regulations aimed at promoting diversity and the inclusion and utilization of minorities, women, and individuals with disabilities in all FHLBank business and activities, including management, employment and contracting. The proposed amendments would:

• require the FHLBanks to develop standalone diversity and inclusion strategic plans or incorporate diversity and inclusion into their existing strategic planning processes and adopt strategies for promoting diversity and ensuring inclusion;

• encourage the FHLBanks to expand contracting opportunities for minorities, women, and individuals with disabilities through subcontracting arrangements;

• require the FHLBanks to amend their policies on equal opportunity in employment and contracting by adding sexual orientation, gender identity, and status as a parent to the list of protected classifications; and

• require the FHLBanks to provide information in their annual reports to the Finance Agency about their efforts to advance diversity and inclusion through capital market transactions, affordable housing and community investment programs, initiatives to improve access to mortgage credit, and strategies for promoting the diversity of supervisors and managers.

The Bank submitted a joint comment letter with the other FHLBanks and the OF on December 27, 2016, which primarily related to the proposed rule’s enhanced reporting and contract requirements. The proposed rule, if adopted, may substantially increase the amount of tracking, monitoring, and reporting that would be required of each FHLBank.

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Finance Agency Proposed Rule on FHLBank Membership for Non-Federally-Insured Credit Unions. On September 28, 2016, the Finance Agency proposed amendments to regulations governing FHLBank membership that would implement statutory amendments to the Federal Home Loan Bank Act of 1932 authorizing FHLBanks to accept applications for membership from state-chartered credit unions without federal share insurance, provided that certain prerequisites have been met. The new rule, if adopted, would generally treat these credit unions the same as other depository institutions with an additional requirement that they obtain an affirmative statement from their state regulator that they meet the requirements for federal insurance as of the date of their application for FHLBank membership; a written statement from the state regulator that it cannot or will not make any determination regarding eligibility for federal insurance; or if the regulator fails or refuses to respond to the credit union’s request within six months, confirmation of the failure to receive a response.

Finance Agency Proposed Rule on Indemnification Payments. On September 20, 2016, the Finance Agency issued a re-proposed rule that, if adopted, would establish standards for identifying whether an indemnification payment by an FHLBank or the OF to an officer, director, employee, or other entity-affiliated party in connection with an administrative proceeding or civil action instituted by the Finance Agency is prohibited or permissible. Under the proposed rule, those payments with respect to an administrative proceeding or civil action instituted by the Finance Agency are only permitted if they relate to:

• premiums for professional liability insurance or fidelity bonds for directors and officers, to the extent that the insurance or fidelity bond covers expenses and restitution, but not a judgment in favor of the Finance Agency or a civil money penalty;

• expenses of defending an action, subject to an agreement to repay those expenses in certain instances; and

• amounts due under an indemnification agreement entered into on or prior to September 20, 2016.

The proposed rule also outlines the process a board of directors must undertake prior to making any permitted indemnification payment for expenses of defending an action initiated by the Finance Agency. The Bank submitted a joint comment letter with the other FHLBanks and the OF on the proposed rule on December 21, 2016. The Bank does not anticipate that the proposed rule, if adopted, would have a material effect on the Bank.

European Union (EU) Market Abuse Regulation. The EU issued updated Market Abuse Regulations (MAR) that became effective July 3, 2016, and which contain rules on insider dealing, unlawful disclosure of inside information, and market manipulation for debt and equity securities on European securities exchanges, which differ in certain respects from U.S. regulations. MAR applies to issuers with securities admitted to trading on EU exchanges, including EU exchanges on which FHLBank consolidated obligations are listed. The FHLBanks anticipate that the most significant effect of the MAR on each FHLBank will be more stringent and detailed recordkeeping, creation of detailed lists on parties who have access to inside information, and notification requirements.

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 approved 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, operational risk, and business risk in accordance with Finance Agency regulations and consistent with the Bank’s risk appetite. 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, use and reliance on models, and operational and business risk, among others. In addition, the Bank’s risks are affected by current and projected financial and residential mortgage market trends including those described in Item 1A. Risk Factors in this Form 10-K.

The Bank believes that a strong and dynamic risk management process serves as a base for building member value in the cooperative. The Bank has a risk management infrastructure that addresses risk governance, appetite, measurement and assessment, and reporting, along with top and emerging risks, as follows:

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• the Bank’s policies and committees provide effective governance over the risk management process;

• the Bank’s risk appetite is integrated with the strategic plan and reinforced through management initiatives;

• all material risk exposures have been reviewed to establish a robust set of key indicators, many with associated limits and guidelines;

• the Bank has a risk reporting system that provides for management and Board oversight of risk and a clear understanding of risks that the Bank faces; and

• management and the Board are actively engaged in surveying and assessing top and emerging risks.

Top risks are existing, material risks the Bank faces; these are regularly reviewed and actively managed. Emerging risks are those risks that are new or evolving forms of existing risks; once identified, potential action plans are considered based on probability and severity.

The Board and its committees have adopted a comprehensive risk governance framework to oversee the risk management process and manage the Bank’s risk exposures which is shown in the chart below. All Board members are provided training dealing with the specific risk issues relevant to the Bank.

As previously mentioned, key components of this risk governance framework are the Board-level Member Products Policy and Risk Governance Policy. The Member Products Policy, which applies to products offered to members and housing associates, addresses the credit risk of secured credit by establishing appropriate collateralization levels and collateral valuation methodologies. The Risk Governance Policy establishes risk limits for the Bank in accordance with the risk profile established by the Board, Finance Agency regulations, credit underwriting criteria, and other applicable guidelines. The magnitude of the risk limits reflects the Bank’s risk appetite given the market environment, the business strategy and the financial resources available to absorb potential losses. The limits are reviewed and continually re-evaluated with adjustments requiring Board approval and processes are included in the Risk Governance Policy. All breaches of risk limits are reported in a timely manner to the appropriate Board and senior management and the affected business unit must take appropriate action, as applicable, to rationalize and/or reduce affected positions. The risk governance framework also includes supplemental risk management policies and procedures that are reviewed on a regular basis to ensure that they provide effective governance of the Bank’s risk-taking activities.

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In addition, the Bank has management committees which provide oversight and operational support in managing its risks.

Further, Internal Audit provides an assessment of the internal control systems. Internal Audit activities are designed to provide reasonable assurance for the Board that: (1) risks are appropriately identified and managed; (2) significant financial, managerial and operating information is materially accurate, reliable and timely; and (3) employees’ actions are in compliance with Bank policies, standards, procedures and applicable laws and regulations. Additionally, as a GSE, the Bank is subject to a comprehensive examination by the Finance Agency which executes its responsibilities via onsite examinations, periodic offsite evaluations, and through monitoring of the various compliance and activity reports provided by the Bank.

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.

The MV/CS ratio was 128.9% at December 31, 2016 and 127.9% at December 31, 2015.

Subprime and Nontraditional Loan Exposure.The Bank policy definitions of subprime and nontraditional residential mortgage loans and securities are consistent with 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 certain mitigating factors are met. The Bank requires members to identify the amount of subprime and nontraditional mortgage collateral in their QCR each quarter and provide periodic certification that they comply with the FFIEC guidance. See the Credit and Counterparty Risk - TCE and Collateral discussion in Risk Management in Item 7. Management’s Discussion and Analysis in this Form 10-K for specific requirements regarding subprime and nontraditional loan collateral.

Results of the Finance Agency Stress Tests Severely Adverse Scenario. The Finance Agency requires the FHLBanks to conduct annual stress testing to determine whether the FHLBanks have the capital necessary to absorb losses under adverse economic conditions. The FHLBanks must also consider the results when making changes to capital structure; when assessing exposures, concentrations, and risk positions; and in improving overall risk management. The Finance Agency provides the inputs and key assumptions, and the results should not be viewed as a forecast of expected likely outcomes of future results. Results were projected over a nine-quarter period from the first quarter of 2016 to the first quarter of 2018, starting with December 31, 2015 balances.

In addition, the FHLBanks are required to disclose the results of the severely adverse stress test scenario. The Bank disclosed on its website the results of the severely adverse stress test scenario on November 17, 2016. The Bank's severely adverse stress test scenario results demonstrated capital adequacy as projected regulatory capital and leverage capital ratios exceeded regulatory requirements. The Bank regularly uses stress tests including those required by the Dodd-Frank Act in capital planning to measure the exposure to material risks and to evaluate the adequacy of capital resources available to absorb potential losses arising from those risks.

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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.

Market risk is defined as the risk to earnings or capital arising from adverse changes in market rates, prices and other relevant market factors. Interest rate risk, which represents the primary market risk exposure to the Bank, is the risk that relative and absolute changes in prevailing interest rates may adversely affect an institution’s financial performance or condition. Interest rate risk arises from a variety of sources, including repricing risk, yield curve risk, basis risk and options risk. The Bank invests in mortgage assets, such as mortgage loans and MBS, which together represent the primary source of options risk. Management regularly reviews the estimated market risk of the entire portfolio of assets and related funding and hedges to assess the need for re-balancing strategies. These re-balancing strategies may include entering into new funding and hedging transactions, terminating existing funding and hedging transactions, or forgoing or modifying certain funding or hedging transactions normally executed with asset acquisition or debt issuance.

The Bank’s Market Risk Model. 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, so that appropriate changes to the models can be made.

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 risk management 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 that is independent of the model owner who is responsible for measuring risk and the units conducting the business transactions. Results of the validation process, as well as any changes in valuation methodologies, are reported to the Bank’s ALCO, which is responsible for reviewing and approving the approaches used in the valuation 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 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 regularly evaluates its market risk management strategies.

The following table presents the Bank's duration of equity exposure at December 31, 2016 and December 31, 2015. 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 therefore is not presented.

(in years)	Base Case	Up 100  basis points	Up 200  basis points
Actual Duration of Equity:
December 31, 2016	0.2	0.4	0.8
December 31, 2015	(0.6)	0.2	0.8

Duration of equity changes from prior year-end primarily reflect the impact of balance sheet management actions (e.g. funding decisions). 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.

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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. 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 an ROE spread that is generated by the Bank in its base forecasting scenario. 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 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
December 31, 2016	7	(63)	54	62
December 31, 2015	32	(40)	108	143

The changes in ROE spread volatility from December 31, 2015 were mainly the result of balance sheet management actions (e.g. funding decisions) which had a varying effect on ROE spread volatility as displayed in the table above. 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 December 31, 2016 and December 31, 2015.

Mark-to-Market Risk. The Bank measures earnings risk associated with 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 departments also monitor the actual profit/loss change on a daily, monthly cumulative, and quarterly cumulative basis.

During the first nine months of 2016, the daily limit of mark-to-market risk as approved by the Board was $3.5 million. During the fourth quarter of 2016, the limit was increased to $4.0 million. The daily exposure was within the applicable guideline throughout 2016. At December 31, 2016, mark-to-market risk measured $2.8 million.

Derivatives and Hedging Activities. Members may obtain loans through a variety of product types that include features such as variable- and fixed-rate coupons, overnight to 30-year maturities, and bullet or amortizing redemption schedules. The Bank funds loans primarily through the issuance of consolidated obligation bonds and discount notes. The terms and amounts of these consolidated obligations and the timing of their issuance is determined by the Bank and is subject to investor demand as well as FHLBank System debt issuance policies. The intermediation of the timing, structure, and amount of Bank members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate derivatives. The Bank’s general practice is to simultaneously execute interest rate swaps or derivative transactions when extending term and option-embedded advances and/or issuing liabilities to convert the instruments’ cash flows to a floating-rate that is indexed to LIBOR. By doing so, the Bank strives to reduce its interest rate risk exposure and preserve the value of, and attempts to earn more stable returns on, its members’ capital investment.

The Bank may also acquire assets with structural characteristics that reduce the Bank’s ability to enter into interest rate exchange agreements having mirror image terms. These assets can include small fixed-rate, fixed-term loans and small fixed schedule amortizing loans. These assets may require the Bank to employ risk management strategies in which the Bank hedges the aggregated risks. The Bank may use fixed-rate, callable or non-callable debt or interest rate swaps to manage these aggregated risks.

The use of derivatives is integral to the Bank’s financial management strategy, and their impact on the Bank’s financial statements is significant. Management has a risk management framework that outlines the permitted uses of derivatives that adjusts the effective maturity, repricing frequency or option characteristics of various financial instruments to achieve the

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Bank’s risk and earnings objectives. The Bank utilizes derivatives to hedge identifiable risks; none are used for speculative purposes.

The Bank uses derivatives as follows: (1) by designating them as either a fair value hedge of an underlying financial instrument or a firm commitment; or (2) in asset/liability management (i.e., an economic hedge). For example, the Bank uses derivatives in its overall interest rate risk management to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of assets (advances, investment securities, and mortgage loans), and/or to adjust the interest rate sensitivity of advances, investment securities, or mortgage loans to approximate more closely the interest rate sensitivity of liabilities. In addition to using derivatives to hedge mismatches of interest rates between assets and liabilities, the Bank also uses derivatives to hedge: (1) embedded options in assets and liabilities; (2) the market value of existing assets and liabilities and anticipated transactions; or (3) the duration risk of prepayable instruments. See Note 11 - Derivatives and Hedging Activities of the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K for additional information regarding the Bank’s derivative and hedging activities.

The following tables summarize the derivative instruments, along with the specific hedge transaction utilized to manage various interest rate and other risks as noted below.

Hedged Item/Hedging Instrument	Hedging Objective	Hedge Accounting Designation (1)	Notional Amount at December 31, 2016 (in billions)
Advances
Pay-fixed, receive floating interest rate swap (without options)	Converts the advance’s fixed rate to a variable rate index.	Fair Value	$	8.0
		Economic	1.7
Pay-fixed, receive floating interest rate swap (with options)	Converts the advance’s fixed rate to a variable rate index and offsets option risk in the advance.	Fair Value	0.3
Subtotal - advances			$	10.0
Investments
Pay-fixed, receive floating interest-rate swap	Converts the investment’s fixed rate to a variable-rate index.	Fair Value	$	1.3
		Economic	1.5
Interest-rate cap or floor	Offsets the interest-rate cap or floor embedded in a variable rate investment.	Economic	1.3
Subtotal - investments			$	4.1
Mortgage Loans
Pay-fixed, receive floating interest rate swap	Converts the mortgage loan’s fixed rate to a variable rate index.	Economic	$	0.4
Consolidated Obligation Bonds
Receive-fixed, pay floating interest rate swap (without options)	Converts the bond’s fixed rate to a variable rate index.	Fair Value	$	16.2
		Economic	2.3
Receive-fixed, pay floating interest rate swap (with options)	Converts the bond’s fixed rate to a variable rate index and offsets option risk in the bond.	Fair Value	3.2
		Economic	0.6
Receive-float with embedded features, pay floating interest rate swap (callable)	Reduces interest rate sensitivity and repricing gaps by converting the bond’s variable rate to a different variable rate index and/or offsets embedded option risk in the bond.	Fair Value	0.2
		Economic	0.2
Subtotal - consolidated obligation bonds			$	22.7
Consolidated Obligation Discount Notes
Receive-fixed, pay floating interest rate swap	Converts the discount note’s fixed rate to a variable-rate index.	Economic	$	2.6
Total notional amount			$	39.8

Note:

⁽¹⁾ The Fair Value designation represents hedging strategies for which qualifying hedge accounting is achieved. The Economic designation represents hedging strategies for which qualifying hedge accounting is not achieved.

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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 TCE to the Bank, 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 borrower 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 December 31, 2016, aggregate TCE was $98.1 billion, comprised of approximately $76.8 billion in advance principal outstanding, $20.8 billion in letters of credit (including forward commitments), $0.2 billion in advance commitments and $0.3 billion in accrued interest, prepayment fees, MPF credit enhancement obligations and other fees.

The Bank establishes an 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 this 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 eligible non-member housing associates is closely monitored for compliance with financial criteria as set forth in the Bank’s credit policies. The Bank has developed an ICR system 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. A rating in one of the higher number (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 2016, there were five failures of FDIC-insured institutions nationwide. One of the institutions was a member of the Bank. With no credit exposure outstanding to the Bank, the institution was closed by the Pennsylvania Department of Banking and Securities on May 6, 2016. The FDIC was appointed receiver, and it entered into a purchase and assumption agreement with an out-of-district institution to assume substantially all of the assets and deposits of the failed institution.

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; losses have been reserved for the mortgage loan exposure in the MPF program.

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The following table presents the Bank’s top five members with respect to their TCE at December 31, 2016.

	December 31, 2016
(dollars in millions)	TCE		% of Total
PNC Bank, N.A., DE (1)	$	21,987.1	22.4	%
Chase Bank USA, N.A., DE	21,314.7		21.7
Ally Bank, UT (2)	14,009.7		14.3
TD Bank, N.A., DE	9,125.3		9.3
Santander Bank, N.A., DE (3)	7,127.6		7.3
	73,564.4		75.0
Other financial institutions	24,540.4		25.0
Total TCE outstanding	$	98,104.8	100.0	%

Notes:

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

⁽²⁾ For Bank membership purposes, principal place of business is Horsham, PA.

⁽³⁾ Santander Bank, N.A., is a subsidiary of Banco Santander, which is located in Spain.

Member Advance Concentration Risk. The following table lists the Bank’s top five borrowers based on advance balances at par as of December 31, 2016.

	December 31, 2016
(dollars in millions)	Advance Balance		% of Total
Chase Bank USA, N.A., DE	$	21,300.0	27.7	%
PNC Bank, N.A., DE (1)	17,535.0		22.8
Ally Bank, UT (2)	13,995.0		18.2
Santander Bank, N.A., DE (3)	5,950.0		7.8
Citizens Bank of Pennsylvania, PA	2,450.0		3.2
	61,230.0		79.7
Other borrowers	15,605.3		20.3
Total advances	$	76,835.3	100.0	%

Notes:

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

⁽²⁾ For Bank membership purposes, principal place of business is Horsham, PA.

⁽³⁾ Santander Bank, N.A., is a subsidiary of Banco Santander, which is located in Spain.

The average 2016 balances for the five largest borrowers totaled $51.2 billion, or 75.1% of total average advances outstanding. During 2016, the maximum outstanding balance to any one borrower was $21.3 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 has never incurred any losses on these advances. The Bank has implemented specific credit and collateral review monitoring for these members.

Letters of Credit. The following table presents the Bank’s total outstanding letters of credit, as of December 31, 2016 and 2015. The letter of credit product is collateralized under the same policies, procedures and guidelines that apply to advances.

(dollars in millions)	December 31, 2016		December 31, 2015
Letters of credit:
Public unit deposit	$	19,715.0	$	20,149.1
Other	21.8		22.5
Total (1)	$	19,736.8	$	20,171.6

Notes:

⁽¹⁾ For December 31, 2016 and December 31, 2015 respectively, excludes approved requests to issue future standby letters of credit of $467.0 million and $136.4 million; also excludes available master standby letters of credit of $635.9 million and $479.4 million for December 31, 2016 and December 31, 2015, respectively.

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As of December 31, 2016, the Bank had a concentration of letters of credit with two members (TD Bank and PNC Bank) totaling $12.5 billion or 63.5% of the total amount. At December 31, 2015, $12.9 billion or 63.9% of the letters of credit were concentrated with these same two members.

Collateral Policies and Practices. All members are required to maintain eligible collateral to secure their TCE. The Board approved several Collateral Policy updates during 2016. All Collateral Policy revisions are reflected in the Bank's Member Products Policy. The Collateral Policy changes approved and implemented during 2016 include those highlighted below:

• During the first quarter of 2016, Collateral Policy revisions that were Board-approved in late 2015 were implemented including: (1) a standard collateral weighting increase of 5% for multifamily loans; (2) standard fair loan value collateral weightings were applied to loans for members participating in the Bank’s loan collateral market value valuation program; and (3) the elimination of restrictions for agency Z-tranche securities.

• During the second quarter of 2016, the Board approved Collateral Policy revisions that modified the terms and conditions in which mortgage loan collateral could be pledged by insurance company members. Also approved was a clarification to the Collateral Policy in which promissory notes with an electronic signature are excluded from qualifying collateral.

The Bank periodically reviews the collateral pledged by members or affiliates, where applicable. Additionally, the Bank conducts periodic collateral verification reviews to ensure the eligibility, adequacy and sufficiency of the collateral pledged. The Bank may, in its discretion, require the delivery of loan collateral at any time.

The Bank reviews and assigns borrowing capacities based on this collateral, taking into account the known credit attributes in assigning the appropriate secondary market discounts to determine that a member’s TCE is fully collateralized. Other factors that the Bank may consider in calculating a member’s MBC include the collateral status for loans, frequency of loan data reporting, collateral field review results, the member’s financial strength and condition, and the concentration of collateral type by member.

The Bank uses a QCR that is designed to provide timely, detailed collateral information. Depending on a member’s credit product usage and financial condition, a member may be required to file the QCR on a quarterly or monthly basis. The QCR is designed to strengthen the Bank’s collateral analytical review procedures. The output of the QCR is a member’s MBC. For the small number of members who opt out of QCR filing, MBC is calculated by the Bank, based on the member’s regulatory filing data. For such members, final MBC is established at 20% of the aggregate weighted collateral value. Such members are required to file an Annual Collateral Certification Report.

The Bank does not accept subprime residential mortgage loans (defined as FICO^® score of 660 or below) as qualifying collateral unless there are other mitigating factors, including a 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) or less; or (2) a satisfactory payment history over the past 12 months (i.e., no 30-day delinquencies). Loans which do not have the mitigating factors described above are not included in a member’s MBC. For loans identified as low FICO^® with mitigating factors and for those in which no FICO^® score is available, a reduced collateral weighting ranging from 50-60%, depending on pledging and delivery status, will apply. The Bank allows nontraditional residential mortgage loans to be included in collateral and used to determine a member’s MBC.

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 Bank-wide exposure related to nontraditional, subprime and low FICO^® whole mortgage loans acquired through the Bank’s MPF program, and the Bank’s MBS investment portfolio.

The Bank may require specific loan level characteristic reporting on nontraditional residential mortgage loans and will generally assign a reduced collateral weighting ranging from 60-70% depending on pledging and delivery status. At December 31, 2016, less than 12% of the Bank’s total pledged collateral was considered to be nontraditional.

The Bank is allowed by regulation to expand eligible collateral for many of its members. Members that qualify as CFIs can pledge expanded collateral which includes small-business, small-farm, small-agribusiness and community development loans as collateral for credit products from the Bank. At December 31, 2016, loans to CFIs secured with both eligible standard and expanded collateral represented approximately $3.3 billion, or 4.3% of total par value of loans outstanding. Eligible

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expanded collateral represented 8.4% of total eligible collateral for these loans. However, these loans were collateralized by sufficient levels of standard collateral.

Collateral Agreements and Valuation. The Bank provides members with two types of 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 collateral pledge agreement, the Bank obtains a lien against specific eligible collateral assets of the member or its affiliate (if 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 or delivered to the Bank or its third party custodian.

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The following table summarizes average lending values assigned to various types of collateral which are part of the Bank’s Member Products Policy. The reported range of effective lending values applied to collateral may be impacted by collateral adjustments applied to individual members. At the discretion of the Bank, on a case-by-case basis, the collateral weighting on loan categories may be increased (up to a maximum of 85 percent) upon completion of specific market valuation of such collateral and authorization from the Bank’s Membership and Credit Committee.

Collateral Type	Standard Weighting (1)	Range of Effective Lending Values Applied to Collateral(2)	Combined Weighted Average Effective Lending Value
Blanket Lien
Single family mortgage loans (3)	80%	64-85%	80%
Multi-family mortgage loans	75%	65-85%	80%
Home equity loans/lines of credit	60%	60-80%	66%
CFI collateral	60%	50-60%	59%
Commercial real estate loans	70%	55-80%	70%
Other loan collateral (farmland)	70%	70%	70%
Delivered or Specific Pledge
FHLBank deposits	100%	100%	100%
U.S. government /U.S. Treasury/U.S. Agency securities and notes, REFCORP bonds	97%	97%	97%
U.S. Treasury Strips (interest-only and principal-only)	90%	N/A	N/A
State and local government securities (municipal) (rated A/AA/AAA)	88/90/92%	88-92%	90%
U.S. Agency MBS and CMOs	95%	95%	95%
Private label MBS and CMOs (rated A/AA/AAA)	70/75/85%	70-85%	81%
Commercial MBS (rated A/AA/AAA)	70/75/85%	74-84%	82%
Single-family mortgage loans(3) (4)	80%	65-84%	84%
Multi-family mortgage loans(4)	75%	75%	75%
Home equity loans/lines of credit(4)	60%	60%	60%
CFI collateral (4)	60%	60%	60%
Commercial real estate loans (4)	70%	60-70%	70%
Other loan collateral (farmland)(4)	70%	N/A	N/A
Notes:
(1) Represents the Bank's standard collateral weighting percentages.
(2) Effective lending value in excess of standard weighting is due to one or more large borrowing members utilizing the Bank’s market-value based collateral weighting program. This program permits a lending value in excess of the standard weighting.
(3) Includes nontraditional loans, loans with unknown FICO® scores, and low FICO® loans with mitigating factors, which all receive a lower collateral weighting.
(4) Standard weighting shown is for members in delivered status for Policy reasons, and is the same as Blanket Lien weighting. A 10% lower collateral weighting is applied to loans delivered for credit reasons.

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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 December 31, 2016 and 2015. The amount of excess collateral by individual borrowers varies significantly.

(dollars in millions) All members	December 31, 2016					December 31, 2015
	Amount			Percentage		Amount			Percentage
One-to-four single family residential mortgage loans	$	96,323.8		44.4	%	$	82,284.4		41.7	%
High quality investment securities(1)	11,279.0			5.2		10,055.1			5.1
ORERC/CFI eligible collateral	90,177.3			41.6		88,560.7			44.8
Multi-family residential mortgage loans	19,187.1			8.8		16,571.7			8.4
Total eligible collateral value	$	216,967.2		100.0	%	$	197,471.9		100.0	%
Total TCE	$	98,104.8				$	95,919.2
Collateralization ratio (eligible collateral value to TCE outstanding)	221.2		%			205.9		%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. Agency securities, REFCORP bonds, GSE MBS, commercial and residential private label MBS with a minimum credit rating of single A, which the Bank considers as part of its evaluation of the collateral. In addition, municipal securities (or portions thereof) with a real estate nexus (e.g. proceeds primarily used for real estate development) with a minimum credit rating of single A are included. Members 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 all non-government or agency securities are subject to weekly ratings reviews. Reported amount also includes pledged FHLBank cash deposits.

For member borrowers, the following tables present information on a combined basis regarding the type of collateral securing their outstanding credit exposure and the collateral status as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family   residential mortgage loans	$	70,375.2	37.8	%	$	22,188.8	92.3	%	$	6.5	0.7	%	$	92,570.5	43.8	%
High quality investment securities(1)	8,550.9		4.6		1,787.5		7.4		909.4		97.6		11,247.8		5.3
ORERC/ CFI eligible collateral	88,362.1		47.4		82.1		0.3		15.7		1.7		88,459.9		41.9
Multi-family residential mortgage   loans	19,086.3		10.2		6.7		—		—		—		19,093.0		9.0
Total eligible collateral value	$	186,374.5	100.0	%	$	24,065.1	100.0	%	$	931.6	100.0	%	$	211,371.2	100.0	%
Total TCE	$	74,861.8	76.3	%	$	22,841.3	23.3	%	$	401.7	0.4	%	$	98,104.8	100.0	%
Number of members	200		90.9	%	13		5.9	%	7		3.2	%	220		100.0	%

	December 31, 2015
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family   residential mortgage loans	$	66,514.2	37.8	%	$	11,547.9	81.8	%	$	116.9	21.8	%	$	78,179.0	41.0	%
High quality investment securities(1)	6,509.8		3.7		2,564.9		18.2		54.5		10.2		9,129.2		4.8
ORERC/ CFI eligible collateral	86,301.8		49.1		—		—		347.2		64.9		86,649.0		45.5
Multi-family residential mortgage   loans	16,474.6		9.4		—		—		16.5		3.1		16,491.1		8.7
Total eligible collateral value	$	175,800.4	100.0	%	$	14,112.8	100.0	%	$	535.1	100.0	%	$	190,448.3	100.0	%
Total TCE	$	83,049.8	86.6	%	$	12,781.2	13.3	%	$	88.2	0.1	%	$	95,919.2	100.0	%
Number of members	211		91.7	%	11		4.8	%	8		3.5	%	230		100.0	%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. Agency securities, REFCORP bonds, GSE MBS, commercial and residential private label MBS with a minimum credit rating of single A, which the Bank considers as part of its evaluation of the collateral. In addition, municipal securities (or portions thereof) with a real estate nexus (e.g. proceeds primarily used for real estate development) with a minimum credit rating of single A are included. Members have the option to deliver such high quality investment

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securities to the Bank to increase their maximum borrowing capacity. Upon delivery, these securities are valued daily and all non-government or agency securities are subject to weekly ratings reviews. Reported amount also includes pledged FHLBank cash deposits.

Credit and Counterparty Risk - Investments

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 December 31, 2016 and December 31, 2015, the Bank’s carrying value of investment securities issued by entities other than the U.S. government, Federal agencies or GSEs was $1.8 billion and $1.7 billion, respectively.

Investment Quality and External Credit Ratings. The following tables present the Bank’s investment carrying values as of December 31, 2016 and December 31, 2015 based on the lowest credit rating from the NRSROs (Moody’s, S&P and Fitch).

	December 31, 2016(1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Total
Money market investments:
Securities purchased under agreements    to resell	$	2,000.0	$	—	$	—	$	—	$	—	$	2,000.0
Federal funds sold	—		950.0		2,272.0		—		—		3,222.0
Total money market investments	2,000.0		950.0		2,272.0		—		—		5,222.0
Investment securities:
Certificates of deposit	—		—		400.0		—		—		400.0
GSE and TVA obligations	—		3,571.3		—		—		—		3,571.3
State or local agency obligations	28.4		339.9		—		—		—		368.3
Total non-MBS	28.4		3,911.2		400.0		—		—		4,339.6
Other U.S. obligations single family MBS	—		799.9		—		—		—		799.9
GSE single-family MBS	—		3,425.3		—		—		—		3,425.3
GSE multifamily MBS	—		2,356.1		—		—		—		2,356.1
Private label residential MBS	—		18.9		17.3		159.5		871.8		1,067.5
Total MBS	—		6,600.2		17.3		159.5		871.8		7,648.8
Total investments	$	2,028.4	$	11,461.4	$	2,689.3	$	159.5	$	871.8	$	17,210.4

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	December 31, 2015 (1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Total
Money market investments:
Securities purchased under agreements    to resell	$	500.0	$	—	$	—	$	—	$	500.0	$	1,000.0
Federal funds sold	—		1,850.0		2,130.0		—		—		3,980.0
Total money market investments	500.0		1,850.0		2,130.0		—		500.0		4,980.0
Investment securities:
GSE and TVA obligations	—		3,858.5		—		—		—		3,858.5
State or local agency obligations	30.5		264.5		8.7		—		—		303.7
Total non-MBS	30.5		4,123.0		8.7		—		—		4,162.2
Other U.S. obligations single family MBS	—		1,088.1		—		—		—		1,088.1
GSE single-family MBS	—		2,678.2		—		—		—		2,678.2
GSE multifamily MBS	—		1,873.6		—		—		—		1,873.6
Private label residential MBS	—		3.3		39.0		210.9		1,083.4		1,336.6
HELOCs	—		—		—		—		9.2		9.2
Total MBS	—		5,643.2		39.0		210.9		1,092.6		6,985.7
Total investments	$	530.5	$	11,616.2	$	2,177.7	$	210.9	$	1,592.6	$	16,127.9

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 $9.1 millionand $7.4 million at December 31, 2016 and December 31, 2015, respectively.

⁽²⁾ Balances exclude $1.9 million and $2.6 million pertaining to one unrated private label MBS security at December 31, 2016 and December 31, 2015, respectively.

⁽³⁾ Balances exclude total accrued interest of $28.1 million and $25.2 million at December 31, 2016 and December 31, 2015, 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 FHLBanks. In addition, the Bank maintains a contingency liquidity plan in the event of operational disruptions at the Bank and the OF. See the Liquidity and Funding Risk section of this Item 7 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 FRBs between financial institutions that are made on an overnight and term basis;and

• 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 December 31, 2016, the Bank had unsecured exposure to 11 counterparties totaling $3.6 billion with three counterparties each exceeding 10% of the total exposure. The following table presents the Banks' unsecured credit exposure

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with private counterparties by investment type at December 31, 2016 and December 31, 2015. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions)
Carrying Value (1)	December 31, 2016		December 31, 2015
Certificates of deposit	$	400.0	$	—
Federal funds sold	3,222.0		3,980.0
Total	$	3,622.0	$	3,980.0

Note:

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

As of December 31, 2016, 82.8% of the Bank’s unsecured investment credit exposure in Federal funds sold was 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. This percentage is 1% to 15% and is 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 December 31, 2016, 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 their 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.

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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 immediate parent for U.S. subsidiaries or 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)
December 31, 2016 (1) (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	550.0	$	—	$	550.0
U.S. subsidiaries of foreign commercial banks	—		72.0		—		72.0
Total domestic and U.S. subsidiaries of foreign commercial banks	—		622.0		—		622.0
U.S. branches and agency offices of foreign commercial banks:
Canada	—		850.0		—		850.0
Finland	950.0		—		—		950.0
France	—		300.0		—		300.0
Netherlands	—		700.0		—		700.0
Norway	—		200.0		—		200.0
Total U.S. branches and agency offices of foreign commercial banks	950.0		2,050.0		—		3,000.0
Total unsecured investment credit exposure	$	950.0	$	2,672.0	$	—	$	3,622.0

(in millions)
December 31, 2015  (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	950.0	$	380.0	$	—	$	1,330.0
U.S. branches and agency offices of foreign commercial banks:
Australia	400.0		—		—		400.0
Canada	—		650.0		—		650.0
Finland	500.0		—		—		500.0
Netherlands	—		600.0		—		600.0
Sweden	—		500.0		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	900.0		1,750.0		—		2,650.0
Total unsecured investment credit exposure	$	1,850.0	$	2,130.0	$	—	$	3,980.0

Notes:

⁽¹⁾ Does not reflect any changes in ratings, outlook or watch status occurring after December 31, 2016.

⁽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 December 31, 2016 or December 31, 2015.

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The following table presents at December 31, 2016 the remaining contractual maturity of the Bank's unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. subsidiaries or branches and agency offices of foreign commercial banks. The Bank also mitigates the credit risk on investments by generally investing in investments that have short-term maturities.

(in millions)
December 31, 2016
Carrying Value
Domicile of Counterparty	Overnight		Due 31 days through 90 days		Total
Domestic	$	550.0	$	—	$	550.0
U.S. subsidiaries of foreign commercial banks	72.0		—		72.0
Total domestic and U.S. subsidiaries of foreign commercial banks	622.0		—		622.0
U.S. branches and agency offices of foreign commercial banks:
Canada	700.0		150.0		850.0
Finland	950.0		—		950.0
France	50.0		250.0		300.0
Netherlands	700.0		—		700.0
Norway	200.0		—		200.0
Total U.S. branches and agency offices of foreign commercial banks	2,600.0		400.0		3,000.0
Total unsecured investment credit exposure	$	3,222.0	$	400.0	$	3,622.0

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

U.S. Treasury Bills, Agency Securities, 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. As a secondary liquidity portfolio, the Bank purchases investments such as U.S. Treasury, U.S. Agency and GSE/TVA securities. Further, the Bank maintains a portfolio of state and local agency obligations to enhance net interest income. These portfolios totaled $3.9 billion and $4.2 billion at December 31, 2016 and December 31, 2015, respectively. The portfolio in 2016 was impacted by the sale of 11 AFS Agency securities with a book value of $178.2 million.

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 at December 31, 2016 was $6.6 billion which was an increase of $941.4 million from December 31, 2015. This was due to purchases of $2.2 billion of securities and increases in the fair value of the securities, partially offset by paydowns of $1.3 billion.

Private Label MBS. The Bank also holds investments in private label MBS, which are 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. However, since the time of purchase, there have been significant downgrades. Current ratings are in the table below. The carrying value of the Bank’s private label MBS portfolio at December 31, 2016 was $1.1 billion which was a decrease of $279.0 million from December 31, 2015. This decline was primarily due to repayments. In addition, during 2016, the Bank sold five HELOC securities with a book value of $8.4 million and three private label MBS with a book value of $8.6 million. These sales were from the Bank's AFS investment portfolio.

Unrealized gains of OTTI securities in AOCI at December 31, 2016 was $67.4 million compared to $73.0 million at December 31, 2015. The decrease was due to recovery of OTTI and the sale of the HELOC securities at a gain. The weighted average prices on OTTI securities were 87.2 and 87.5 at December 31, 2016 and December 31, 2015, respectively. These fair values are determined using unobservable inputs (i.e., Level 3) derived from four third-party pricing services. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2016, the Bank classified private label MBS as Level 3. 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 and Estimates section in this Item 7.

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Approximately 14% of the Bank’s MBS portfolio at December 31, 2016 was issued by private label issuers. In late 2007, the Bank discontinued the purchase of private label MBS.

Participants in the mortgage market have often characterized 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 has been no universally accepted definition of these segments or classifications. The subprime segment of the mortgage market primarily served borrowers with poorer credit payment histories, and such loans typically had a mix of credit characteristics that indicate a higher likelihood of default and higher loss severities than Prime loans. Further, many mortgage participants classified single family loans with credit characteristics that range between Prime and subprime categories as Alt-A because these loans had a combination of characteristics of each category or may have been underwritten with low or no documentation compared to a full documentation mortgage loan. Industry participants often used this classification principally to describe loans for which the underwriting process was less rigorous and the documentation requirements of the borrower were reduced.

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 and by collateral type as of December 31, 2016.

	Private Label MBS
(dollars in millions)	Prime			Alt-A			Subprime			Total
Par by lowest external long-  term rating:
AA	$	1.6		$	17.2		$	—		$	18.8
A	5.8			11.5			—			17.3
BBB	134.9			22.4			3.2			160.5
Below investment grade:
BB	108.3			16.3			—			124.6
B	48.9			28.9			—			77.8
CCC	7.5			80.5			—			88.0
CC	1.1			—			—			1.1
D	317.3			360.7			1.7			679.7
Unrated	1.9			—			—			1.9
Total	$	627.3		$	537.5		$	4.9		$	1,169.7
Amortized cost	$	559.2		$	438.9		$	4.2		$	1,002.3
Gross unrealized losses (1)	(1.5		)	(1.1		)	(0.3		)	(2.9		)
Fair value	594.6			470.1			4.0			1,068.7
OTTI (2):
Total OTTI losses	$	—		$	—		$	—		$	—
OTTI losses reclassified to (from) AOCI	—			(0.2		)	—			(0.2		)
Net OTTI losses, credit portion	$	—		$	(0.2	)	$	—		$	(0.2	)
Weighted average fair value/par	94.8		%	87.5		%	81.6		%	91.4		%
Original weighted average credit support	6.6			9.8			10.0			8.1
Weighted-average credit support - current	7.5			5.5			35.5			6.7
Weighted avg. collateral delinquency(3)	9.6			15.6			19.4			12.4

Notes:

⁽¹⁾ Represents total gross unrealized losses including non-credit-related OTTI recognized in AOCI. The unpaid principal balance and amortized cost of private label MBS in a gross unrealized loss position was $298.3 million and $286.7 million, respectively at December 31, 2016.

⁽²⁾ For the year ended December 31, 2016.

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

OTTI. The Bank recognized $0.2 million and $1.8 million of credit-related OTTI charges in earnings during 2016 and 2015, respectively, and none in 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

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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 7 - OTTI to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

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 fourth quarter 2016 analysis are presented below.

	Significant Inputs for Private Label Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Prime	12.3	6.8	26.2	6.5
Alt-A	12.7	15.9	34.7	5.5
Subprime	4.3	26.9	56.2	35.5
Total Private Label Residential MBS	12.5	11.2	30.3	6.1

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 as follows:

(dollars in millions)	December 31, 2016			December 31, 2015
Number of private label MBS with an OTTI charge:
Life-to-date	60			60
Still outstanding	40			48
Total OTTI credit loss recorded life-to-date	$	456.1		$	455.9
Principal write-downs on private label MBS	(142.6		)	(139.6		)
Credit losses on private label MBS no longer owned:
Private label MBS sold	(116.5		)	(106.0		)
Private label MBS matured (less principal write-downs realized)	(4.4		)	(4.4		)
Remaining amount of previously recognized OTTI credit losses	$	192.6		$	205.9

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. OTTI recovered through interest income on these securities was $25.3 million, $27.4 million and $23.6 million for 2016, 2015 and 2014, respectively, and $112.1 million life-to-date. The interest income was recognized on 39, 37 and 38 private label MBS during 2016, 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 2016, three transfers during 2015, and none during 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. Those securities for which the Bank is recognizing recovery of OTTI may be more likely to incur a credit loss due to the nature of the accounting. The Bank cannot estimate the future amount of any additional credit losses. The FASB recently issued guidance

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which will amend the accounting for credit losses. See Note 2 to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K.

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 December 31, 2016. 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.

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 although the CE is not rated. The CE was originally established to be sufficient such that a Master Commitment (MC) has a AA credit rating. In December 2016, the Bank revised this requirement to a BBB credit rating for all new MCs and legacy MCs for specific products.

The Bank had net mortgage loans held for portfolio of $3.4 billion and $3.1 billion at December 31, 2016 and December 31, 2015, respectively, after an allowance for credit losses of $6.2 million and $5.7 million, respectively. The tables and graphs below present additional mortgage loan portfolio statistics including portfolio balances categorized by product. The data in the FICO^® and LTV ratio range graphs is based on original FICO^® scores and LTV ratios and unpaid principal balance for the loans remaining in the portfolio at December 31, 2016 and 2015. The geographic breakdown graphs are also based on the unpaid principal balance at December 31, 2016 and 2015.

(dollars in millions)	December 31, 2016			December 31, 2015
	Balance		% of Total	Balance		% of Total
Conventional loans:
MPF Original	$	2,035.7	61.4	$	1,968.0	65.3
MPF Plus	577.3		17.4	743.1		24.7
MPF 35	475.8		14.4	52.8		1.7
Total conventional loans	$	3,088.8	93.2	$	2,763.9	91.7
Government-insured loans:
MPF Government	224.3		6.8	248.8		8.3
Total par value	$	3,313.1	100.0	$	3,012.7	100.0

(dollars in millions)	2016			2015			2014
Mortgage loans interest income	$	117.4		$	120.5		$	129.4
Average mortgage loans portfolio balance	$	3,186.3		$	3,079.3		$	3,160.1
Average yield	3.68		%	3.91		%	4.09		%
Weighted average coupon (WAC)	4.54		%	4.76		%	4.93		%
Weighted average estimated life (WAL)	5.6 years			5.2 years			5.8 years

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Underwriting Standards. Purchased mortgage loans must meet certain underwriting standards established in the MPF Program guidelines. Key standards and/or eligibility guidelines include the following loan criteria:

• Conforming loan size, established annually; may not exceed the loan limits set by the Finance Agency;

• Fixed-rate, fully-amortizing loans with terms from 5 to 30 years;

• Secured by first lien mortgages on owner-occupied residential properties and second homes;

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• Generally, 95% maximum LTV; all LTV ratio criteria generally are based on the loan purpose, occupancy and borrower citizenship status; all loans with LTV ratios above 80% require PMI coverage; and

• Unseasoned or current production with up to 12 payments made by the borrowers.

The following types of mortgage loans are not eligible for delivery under the MPF Program: (1) mortgage loans that are not ratable by S&P; (2) mortgage loans not meeting the MPF Program eligibility requirements as set forth in the MPF Guides and agreements; and (3) mortgage loans that are classified as high cost, high rate, Home Ownership and Equity Protection Act (HOEPA) loans, or loans in similar categories defined under predatory lending or abusive lending laws.

Under the MPF Program, the FHLBank of Chicago (in its role as MPF Provider) and the PFI both conduct quality assurance reviews on a sample of the conventional mortgage loans to ensure compliance with MPF Program requirements. The PFI may be required to repurchase at book value the individual loans which fail these reviews. Subsequent to this quality assurance review, any loans which are discovered to breach representations and warranties may be required to be repurchased by the PFI. Additionally, MPF Government residential mortgage loans which are 90 days or more past due are contractually permitted to be repurchased by the PFI. For 2016 and 2015, the total funded amount of conventional and government repurchased mortgage loans was $13.6 million, or 1.7%, and $19.0 million, or 4.2%, respectively, of total funded loans.

Layers of Loss Protection. The Bank is required to put a CE structure in place at purchase that assures that the Bank’s exposure to credit risk on mortgage loans is no greater than that of a mortgage asset rated at least AA. In December 2016, the Bank revised this requirement to a BBB credit rating for all new MCs and legacy MCs for specific products. The PFI must bear a specified portion of the direct economic consequences of actual loan losses on the individual mortgage loans or pool of loans, which may be provided by a CE obligation or SMI. Each MPF product structure has various layers of loss protection as presented below.

Layer	MPF Original	MPF Plus	MPF 35
First	Borrower’s equity in the property	Borrower’s equity in the property	Borrower’s equity in the property
Second (required for mortgage loans with LTV greater than 80%)	PMI issued by qualified mortgage insurance companies (if applicable)	PMI issued by qualified mortgage insurance companies (if applicable)	PMI issued by qualified mortgage insurance companies (if applicable)
Third	Bank FLA (1) (allocated amount)	Bank FLA (1) (upfront amount)	Bank FLA (1) (upfront amount)
Fourth	PFI CE amount (2)	SMI and/or PFI CE amount, if applicable (2)	PFI CE amount (2)
Final	Bank loss	Bank loss	Bank loss

Notes:

⁽¹⁾ The FLA either builds over time or is an amount equal to an agreed-upon percentage of the aggregate balance of the mortgage loans purchased. The type of FLA is established by MPF product. The Bank does not receive fees in connection with the FLA.

⁽²⁾ The PFI’s CE amount for each pool of loans, together with any PMI or SMI, is sized at the time of loan purchase to equal the amount of losses in excess of the FLA to the equivalent of an AA rated mortgage investment.

By credit enhancing each loan pool, the PFI maintains an interest in the performance of the mortgage loans it sells to the Bank and may service for the Bank. For managing this risk, the PFI is paid a monthly CE fee by the Bank. CE fees are recorded as an offset to mortgage loan net interest income in the Statement of Income. For 2016, 2015, and 2014, CE fees were $3.1 million, $3.0 million and $3.2 million, respectively. Performance-based CE fees paid are reduced by losses absorbed through the FLA, where applicable.

MPF Original. Under MPF Original, the FLA is zero on the day the first loan is purchased and generally increases steadily over the life of the Master Commitment based on the month-end outstanding aggregate principal balance. Loan losses not covered by PMI, but not to exceed the FLA, are deducted from the FLA and recorded as losses by the Bank for financial reporting purposes. Losses in excess of FLA are allocated to the PFI under its CE obligation for each pool of loans. The PFI is paid a fixed CE fee for providing this CE obligation. Loan losses in excess of both the FLA and the CE amount are recorded as losses by the Bank based on the Bank’s participation interest in the master commitment.

MPF Plus. Under MPF Plus, the first layer of losses (following any PMI coverage) is applied to the FLA equal to a specified percentage of the loans in the pool as of the sale date. Any losses allocated to this FLA are the responsibility of the Bank. The PFI obtains additional CE in the form of a SMI policy to cover losses in excess of the deductible of the policy, which is equal to the FLA. Loan losses not covered by the FLA and SMI are paid by the PFI, up to the amount of the PFI’s CE obligation, if any, for each pool of loans. If applicable, the PFI is paid a fixed CE fee and a performance-based fee for providing

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the CE obligation. Loan losses applied to the FLA as well as losses in excess of the combined FLA, the SMI policy amount, and the PFI’s CE obligation are recorded by the Bank based on the Bank’s participation interest. Losses incurred by the Bank up to its exposure under the FLA may be able to be recaptured through the recovery of future performance-based CE fees earned by the PFI. Any loan losses in excess of both the FLA and the CE would be treated in the same manner as MPF Original. The MPF Plus product is currently not being offered by the Bank.

MPF 35. Under MPF 35, the FLA is equal to a specified percentage of the amount of loans funded in the Master Commitment. Loan losses not covered by PMI, but not to exceed the FLA, are deducted from the FLA and recorded as losses by the Bank for financial reporting purposes. Losses in excess of FLA are allocated to the PFI under its CE obligation. The PFI is paid a fixed CE fee and a performance-based fee for providing the CE obligation. Losses incurred by the Bank up to its exposure under the FLA may be recaptured through recovery of future performance-based CE fees earned by the PFI. Any loan losses in excess of both the FLA and the CE would be treated in the same manner as MPF Original.

The following table presents the outstanding balances in the FLAs for the MPF Original, MPF Plus, and MPF 35 products.

(in millions)	MPF Original		MPF Plus		MPF 35		Total
December 31, 2016	$	4.4	$	17.9	$	1.7	$	24.0
December 31, 2015	3.7		18.8		0.2		22.7
December 31, 2014	3.2		19.9		—		23.1

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to 10 mortgage insurance companies which provide PMI and/or 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 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 originations with PMI, the ratings model currently requires additional CE from the PFI to compensate for the mortgage insurer rating when it is below A+.

The MPF Plus product required SMI under the MPF Program when each pool was established. At December 31, 2016, seven 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 December 31, 2016, $28.2 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 December 31, 2016 was $8.7 million and $3.5 million, respectively. As of December 31, 2015 the unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI amounts was $10.8 million and $4.4 million, respectively.

BOB Loans. See Note 1 - Summary of Significant Accounting Policies in Item 8. in this Form 10-K for a description of the BOB program. At December 31, 2016, the allowance for credit losses on BOB loans was $2.2 million, an increase of $0.1 million from December 31, 2015.

Derivative Counterparties. To manage market risk, the Bank enters into derivative contracts. Derivative transactions may be either executed with a counterparty (referred to as uncleared 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 uncleared 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

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enhancements are used and are effective in mitigating the risk. The Bank manages credit risk through credit analysis, collateral management, and other credit enhancements.

Uncleared Derivatives. The Bank is subject to non-performance by counterparties to its uncleared derivative transactions. The Bank requires collateral on uncleared 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 uncleared derivative transactions with counterparties as of December 31, 2016.

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 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 December 31, 2016.

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 December 31, 2016 and December 31, 2015.

(in millions)	December 31, 2016
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:
Uncleared derivatives
AA	$	18.0	$	—		$	—	$	—
A	269.3		0.3			—		0.3
Liability positions with credit    exposure:
Uncleared derivatives
A	2,601.4		(17.2		)	19.8		2.6
BBB	1,605.7		(15.7		)	15.8		0.1
Cleared derivatives (2)	32,772.9		(50.1		)	129.0		78.9
Total derivative positions with credit exposure to non-member counterparties	37,267.3		(82.7		)	164.6		81.9
Member institutions (3)	15.4		—			—		—
Total	$	37,282.7	$	(82.7	)	$	164.6	$	81.9
Derivative positions without credit exposure	2,491.4
Total notional	$	39,774.1

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(in millions)	December 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:
Uncleared derivatives
AA	$	10.0	$	0.1		$	—		$	0.1
A	1,390.4		2.9			(1.9		)	1.0
Liability positions with credit exposure:
Cleared derivatives (2)	32,509.6		(167.7		)	232.2			64.5
Total derivative positions with credit exposure to non-member counterparties	33,910.0		(164.7		)	230.3			65.6
Member institutions (3)	9.9		0.3			—			0.3
Total	$	33,919.9	$	(164.4	)	$	230.3		$	65.9
Derivative positions without credit exposure	10,649.9
Total notional	$	44,569.8

Notes:

⁽¹⁾ This table does not reflect any changes in rating, outlook or watch status occurring after December 31, 2016. 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 uncleared derivative counterparties which represent more than 10% of the Bank’s total notional amount outstanding and net credit exposure as of December 31, 2016 and 2015.

Notional Greater Than 10%	December 31, 2016				December 31, 2015
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Morgan Stanley Capital	BBB	$	1,605.7	22.9	BBB	$	2,136.5	17.7
Bank of America, NA	A	1,130.6		16.2	A	1,530.5		12.7
Deutsche Bank AG	BBB	784.5		11.2	BBB	2,343.0		19.4
Barclays Bank	(1)	(1)		(1)	A	1,916.9		15.9
All others	n/a	3,480.4		49.7	n/a	4,133.3		34.3
Total		$	7,001.2	100.0		$	12,060.2	100.0

Net Credit Exposure   Greater Than 10%	December 31, 2016				December 31, 2015
(dollars in millions) Derivative Counterparty	Credit Rating	Net Credit Exposure		% of Net Credit Exposure	Credit Rating	Net Credit Exposure		% of Net Credit Exposure
Credit Suisse	A	$	1.4	45.9	(3)	(3)		(3)
Bank of America, NA	A	0.9		29.7	(3)	(3)		(3)
JP Morgan Chase Bank, NA	(2)	(2)		(2)	A	$	0.4	25.8
BNP Paribas	(2)	(2)		(2)	A	0.7		49.1
All others	n/a	0.7		24.4	n/a	0.3		25.1
Total		$	3.0	100.0		$	1.4	100.0

Notes:

⁽¹⁾ The percentage of notional was not greater than 10%.

⁽²⁾ The percentage of net credit exposure was not greater than 10%.

⁽³⁾ The counterparty had no credit exposure for the period-end.

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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)	December 31, 2016						December 31, 2015
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	$	11.3	$	11.3	$	12.3	$	32.6	$	32.6	$	32.6
France	10.1		10.1		6.8		0.6		—		0.4
United Kingdom	3.5		—		—		14.1		6.7		6.5
Germany	3.8		—		—		15.7		0.7		0.4
Total	$	28.7	$	21.4	$	19.1	$	63.0	$	40.0	$	39.9

Note: The average maturity of these derivative contracts is November 2021 and July 2019 at December 31, 2016 and December 31, 2015, 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)	December 31, 2016						December 31, 2015
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	$	—	$	—	$	—	$	1.3	$	—	$	0.4
Germany	0.1		—		—		—		—		—
Switzerland	0.3		—		—		—		—		—
United Kingdom	—		—		—		0.1		—		—
Total	$	0.4	$	—	$	—	$	1.4	$	—	$	0.4

Note: The average maturity of these derivative contracts is October 2019 and November 2019 at December 31, 2016 and December 31, 2015, respectively. 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.

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 through a focus on maintaining a liquidity and funding balance between its financial assets and financial liabilities. The Bank and the OF jointly monitor the combined refinancing risk of the FHLBank system. In managing and monitoring the amounts of assets that require refunding, the Bank may consider contractual maturities of the financial assets, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments and scheduled amortizations).

The Bank actively manages its liquidity position to maintain stable, reliable, and cost-effective sources of funds, while taking into account market conditions, member credit demand for short-and long-term loans, investment opportunities and the maturity profile of the Bank’s assets and liabilities. The Bank recognizes that managing liquidity is critical to achieving its statutory mission of providing funding to its members. In managing liquidity risk, 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. The Bank’s various liquidity requirements are designed to enhance the Bank’s protection against temporary disruptions in access to the debt markets. Longer term contingency liquidity is discussed in the contingency liquidity section below.

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Consolidated obligation bonds and discount notes, along with member deposits and capital, represent the primary funding sources used by the Bank to support its asset base. Consolidated obligations benefit from the Bank’s GSE status; however, they are not obligations of the U.S., and the U.S. government does not guarantee them.

Consolidated obligation 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 December 31, 2016. These ratings measure the likelihood of timely payment of principal and interest. In April 2016, Moody's affirmed the Aaa senior debt and P-1 ratings of the FHLBank System and affirmed the Aaa bank deposit and P-1 ratings of all 11 FHLBanks. The outlook on the FHLBank System's and FHLBanks' ratings is stable.

At December 31, 2016, the Bank’s consolidated obligation bonds outstanding increased to $67.2 billion compared to $48.6 billion at December 31, 2015. The Bank also issues discount notes, which are shorter-term consolidated obligations. Total discount notes outstanding at December 31, 2016 decreased to $28.5 billion compared to $42.3 billion at December 31, 2015. The decline in discount notes was offset by an increase in bonds. In 2016, there was increased demand for floating-rate, short-term bonds which were used to fund the increased member demand for floating-rate advances. In addition, the Bank reduced its refunding risk exposure by issuing some longer term bonds.

The Bank’s ability to operate its business, meet its obligations and generate net interest income depends primarily on the ability to issue large amounts of various debt structures at attractive rates. Post- election spreads deteriorated somewhat but have returned to pre-election levels and continue to improve. An increase in investor demand for term consolidated obligations was largely a result of rates moving higher.

Consolidated obligations bonds often have investor-determined features. The decision to issue a bond using a particular structure is based upon the desired amount of funding, and the ability of the Bank to hedge the risks. The issuance of a bond with a simultaneously-transacted interest-rate exchange agreement usually results in a funding vehicle with a lower cost than the Bank could otherwise achieve. The continued attractiveness of such debt/swap transactions depends on price relationships in both the consolidated bond and interest-rate exchange markets. If conditions in these markets change, the Bank may alter the types or terms of the bonds issued. The increase in funding alternatives available to the Bank through negotiated debt/swap transactions is beneficial to the Bank because it may reduce funding costs and provide additional asset/liability management tools. The types of consolidated obligations bonds issued can fluctuate based on comparative changes in their cost levels, supply and demand conditions, advance demand, and the Bank’s balance sheet management strategy.

During 2016, funding spreads (i.e., the cost of FHLBank debt relative to LIBOR) particularly short-term funding spreads, improved considerably. This development was driven by new regulations applicable to institutional money market funds. These reform measures, which took effect in October 2016, resulted in increased demand for FHLB debt, which, when combined with a corresponding increase in LIBOR, resulted in more attractive funding spreads during the fourth quarter of 2016. 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 December 31, 2016, callable bonds issued by the Bank were down approximately $1.4 billion from December 31, 2015. Note 14 - Consolidated Obligations to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K provides additional information regarding the Bank’s consolidated obligations.

The Bank’s investments also represent a key source of liquidity. Total investments available for liquidity purposes may include trading securities, AFS securities, Federal funds sold, securities purchased under agreements to resell, and certificates of deposit. The Bank also maintains a secondary liquidity portfolio which may include U.S. Treasuries, U.S. agency securities and other GSE securities that can be financed under normal market conditions in securities repurchase agreement transactions to raise additional funds. The Bank utilizes repurchase transactions as a contingent source of liquidity. In addition, U.S. Treasuries may be used as collateral for derivative counterparty obligations in lieu of cash.

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. The Bank was in compliance with these requirements at December 31, 2016.

Deposit Reserves. The Bank offers demand, overnight and term deposits for members and qualifying nonmembers. Total deposits at December 31, 2016 decreased to $558.9 million from $685.9 million at December 31, 2015. Factors that generally

86

influence deposit levels include turnover in members’ investment securities portfolios, changes in member demand for liquidity driven by member institution deposit growth, the slope of the yield curve and the Bank’s deposit pricing compared to other short-term money market rates. Fluctuations in this source of the Bank’s funding are typically offset by changes in the issuance of consolidated obligation discount notes. The Act requires the Bank to have assets, referred to as deposit reserves, invested in obligations of the United States, deposits in eligible banks or trust companies or loans with a maturity not exceeding five years, totaling at least equal to the current deposit balance. As of December 31, 2016 and 2015, excess deposit reserves were $82.6 billion and $78.9 billion, respectively.

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.

The Bank maintains contingency liquidity plans designed to enable it to meet its obligations and the liquidity needs of members in the event of short-term capital market disruptions, operational disruptions at other FHLBanks or the OF, or short-term disruptions of the consolidated obligations markets. Through February 19, 2016, the Bank had a Liquidity and Funds Management Policy which requires the Bank to maintain at least 90 days of liquidity to enable the Bank to meet its obligations in the event of a longer-term consolidated obligations market disruption. The Bank has determined that it no longer needs this requirement as other liquidity and funding risk measures have been introduced since the initial adoption of the 90 day measurement. Additionally, consistent with the 90-day measurement, the operations the Bank undertakes if a market or operational disruption occurred that prevented the issuance of new consolidated obligation bonds or discount notes through the capital markets would remain the same. The Bank could meet its obligations by: (1) allowing short-term liquid investments to mature; (2) purchasing Federal funds; (3) using eligible securities as collateral for repurchase agreement borrowings; and (4) if necessary, allowing advances to mature without renewal. The Bank’s GSE status and the FHLBank System consolidated obligation credit rating, which reflects the fact that all 11 FHLBanks share a joint and several liability on the consolidated obligations, have historically provided excellent capital market access.

The Bank’s liquidity measures are estimates which are dependent upon certain assumptions which may or may not prove valid in the event of an actual complete capital market disruption. Management believes that under normal operating conditions, routine member borrowing needs and consolidated obligation maturities could be met under these requirements; however, under extremely adverse market conditions, the Bank’s ability to meet a significant increase in member loan demand could be impaired without immediate access to the consolidated obligation debt markets. The Bank’s access to the capital markets has never been interrupted to the extent the Bank’s ability to meet its obligations was compromised, and the Bank currently has no reason to believe that its ability to issue consolidated obligations will be impeded to that extent. Specifically, the Bank’s sources of contingency liquidity include maturing overnight and short-term investments, maturing advances, unencumbered repurchase-eligible assets, trading securities, AFS securities and MBS repayments. Uses of contingency liquidity include net settlements of consolidated obligations, member loan commitments, mortgage loan purchase commitments, deposit outflows and maturing other borrowed funds. Excess contingency liquidity is calculated as the difference between sources and uses of contingency liquidity. At December 31, 2016 and 2015, excess contingency liquidity was approximately $27.6 billion and $20.8 billion, respectively.

The OF has developed a standard methodology for the allocation of the proceeds from the issuance of consolidated obligations when consolidated obligations cannot be issued in sufficient amounts to satisfy all FHLBank demand for funding during periods of financial distress and when its existing allocation processes are deemed insufficient. In general, this methodology provides that the proceeds in such circumstances will be allocated among the FHLBanks based on relative FHLBank total regulatory capital unless the OF determines that there is an overwhelming reason to adopt a different allocation method. As is the case during any instance of a disruption in the Bank's ability to access the capital markets, market conditions or this allocation could adversely impact the Bank's ability to finance operations, which could thereby adversely impact its financial condition and results of operations.

Repurchases of Excess Capital Stock. Beginning in December 2014, the Bank began to repurchase all excess capital stock on a weekly basis. Additionally, as of December 31, 2016 and 2015, the Bank had outstanding capital redemption requests of $5.2 million and $6.0 million respectively. See Note 16 - Capital to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in this Form 10-K for additional information.

Negative Pledge Requirement. Finance Agency regulations require the Bank to maintain qualifying assets free from any lien or pledge in an amount at least equal to its portion of the total consolidated obligations outstanding issued on its behalf.

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Qualifying assets meeting the negative pledge requirement are defined as: (1) cash; (2) obligations of, or fully guaranteed by, the United States; (3) secured advances; (4) mortgages which have any guaranty, insurance or commitment from the United States or a Federal agency; and (5) investments described in Section 16(a) of the Act, which includes securities that a fiduciary or trust fund may purchase under the laws of any of the three states in which the Bank operates. As of December 31, 2016 and 2015, the Bank held total negative pledge qualifying assets in excess of total consolidated obligations of $5.4 billion and $5.3 billion, respectively. The FHLBanks will continue to be required to operate individually and collectively to ensure that consolidated obligations maintain a high level of acceptance and are perceived by investors as presenting a low level of credit risk. See Legislative and Regulatory Developments section of this 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 10 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 this Form 10-K for additional information.

Consolidated obligation bonds and discount notes outstanding for each of the FHLBanks acting as primary obligor are presented in the following table, exclusive of combining adjustments. The Bank’s total consolidated obligation bonds and discount notes represented 9.7% and 10.0% of total FHLBank System consolidated obligations at December 31, 2016 and 2015, respectively.

	December 31, 2016						December 31, 2015
			Discount						Discount
(in millions - par value)	Bonds		Notes		Total		Bonds		Notes		Total
Atlanta	$	88,616.4	$	41,333.8	$	129,950.2	$	63,773.3	$	69,480.5	$	133,253.8
Boston	27,132.0		30,070.1		57,202.1		25,307.3		28,487.6		53,794.9
Chicago	37,134.1		35,969.3		73,103.4		22,684.3		41,584.5		64,268.8
Cincinnati	53,172.8		44,710.5		97,883.3		35,036.7		77,225.3		112,262.0
Dallas	27,132.8		26,964.3		54,097.1		18,044.0		20,544.8		38,588.8
Des Moines	90,052.6		81,018.9		171,071.5		30,899.0		99,074.2		129,973.2
Indianapolis	33,508.1		16,819.7		50,327.8		27,866.7		19,267.4		47,134.1
New York	84,327.5		49,392.4		133,719.9		67,216.6		46,875.9		114,092.5
Pittsburgh	67,195.7		28,529.6		95,725.3		48,515.7		42,318.5		90,834.2
San Francisco	50,220.4		33,528.8		83,749.2		51,691.7		27,662.9		79,354.6
Topeka	20,696.4		21,784.9		42,481.3		19,823.8		21,821.1		41,644.9
Total FHLBank System	$	579,188.8	$	410,122.3	$	989,311.1	$	410,859.1	$	494,342.7	$	905,201.8

Operational and Business Risks

Operational Risk. Operational 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 operational risk policies and procedures to manage each of the specific operational risks, which are categorized as financial reporting, compliance, fraud, legal, information and personnel. The Bank’s Internal Audit department, which reports directly to the Audit Committee of the Board, regularly monitors compliance with established policies and procedures. Management monitors the effectiveness of the internal control environment on an ongoing basis and takes action as appropriate to enhance the environment. Some operational risk may also result from external factors which are beyond the Bank’s control, such as the failure of other parties with which the Bank conducts business to adequately address their own operational risks. Governance over the management of operational risks takes place through the Bank’s various risk

88

management committees. Business areas retain primary responsibility for identifying, assessing and reporting their operational risks. To assist them in discharging this responsibility and to ensure that operational risk is managed consistently throughout the organization, the Bank has an effective operational risk management framework, which includes quantitative and qualitative key risk indicators, as well as a Bank-wide compliance framework designed to promote awareness of compliance requirements and monitor compliance activities.

In addition to the particular risks and challenges that it faces, the Bank also experiences ongoing operational risks that are similar to those of other large financial institutions. The Bank relies on third-party vendors and other service providers for ongoing support of business activities. Disruption or failure of service or breach of security at one of these suppliers could impact the Bank’s ability to conduct business or expose the Bank to financial loss, loss of intellectual property, or confidential information. The Bank has a vendor management office to manage third-party relationships. The Bank is also exposed to the risk that a catastrophic event, such as a terrorist event or a natural disaster, could result in significant business disruption and an inability to process transactions through normal business processes. To mitigate these risks, the Bank maintains and tests business continuity plans and has established backup facilities for critical business processes and systems away from, although in the same metropolitan area as, the main office. The Bank also has a reciprocal backup agreement in place with another FHLBank to provide short-term loans and debt servicing in the event that both of the Pittsburgh facilities are inoperable. The results of the Bank’s periodic business continuity tests are presented annually to the Board. Management can make no assurances that these measures will be sufficient to respond to the full range of catastrophic events that might occur.

The Bank's dependence on computer systems and technologies has increased its exposure to cyber-security risks and cyber incidents, including unauthorized access to digital systems for purposes of misappropriating assets or sensitive information, corrupting data or causing operational disruption or loss. To date, the Bank has experienced a limited number of successful desktop (e.g., malware) security incidents; however, these did not involve any breaches of data and the Bank’s technology control environment, along with security policies and standards, incident response procedures, security controls testing and dedicated information security resources, prevented any material impact to the Bank. While these security measures are in place and the Bank devotes significant resources to secure the Bank's computer systems and networks, it might not be able to anticipate or implement effective preventive measures against all security breaches. It may incur substantial costs and suffer other negative consequences as a result, including but not limited to remediation costs, increased security costs, lost revenue, litigation and reputational damage.

The Bank maintains insurance coverage for employee misappropriation, as well as director and officer liability protection. Additionally, insurance coverage is in place for electronic data-processing equipment and software, personal property, leasehold improvements, property damage, personal injury and cyber-related incidents. The Bank maintains additional insurance protection as deemed appropriate. The Bank regularly reviews its insurance coverage for adequacy as well as the financial claims paying ability of its insurance carriers.

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. Examples of external factors may include, but are not limited to: continued financial services industry consolidation, a declining membership base, concentration of borrowing among members, the introduction of new competing products and services, increased non-Bank competition, weakening of the FHLBank System’s GSE status, changes in the deposit and mortgage markets for the Bank’s members, mortgage market changes that could occur if new GSE legislation is implemented, and other factors that may have a significant direct or indirect impact on the ability of the Bank to achieve its mission and strategic objectives. 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.

A discussion of various Bank risks is also included in Item 1A. Risk Factors in this Form 10-K.

Item 7A:  Quantitative and Qualitative Disclosures about Market Risk

See the Risk Management section of Item 7. Management’s Discussion and Analysis in this Form 10-K.

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Item 8:  Financial Statements and Supplementary Financial Data

Management’s Annual Report on Internal Control over Financial Reporting

The management of the Bank is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Exchange Act Rule 13a-15(f). The Bank’s internal control over financial reporting is designed by and under the supervision of the Bank’s management, including the Chief Executive Officer, Chief Financial Officer, and the Chief Accounting Officer. The Bank’s internal controls over financial reporting are to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external reporting purposes in accordance with GAAP in the United States of America.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. The Bank’s management assessed the effectiveness of the Bank’s internal control over financial reporting as of December 31, 2016. In making this assessment, it used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in the Internal Control-Integrated Framework (2013). Based on its assessment, management of the Bank determined that as of December 31, 2016, the Bank’s internal control over financial reporting was effective based on those criteria.

The effectiveness of the Bank’s internal control over financial reporting as of December 31, 2016 has been audited by PricewaterhouseCoopers LLP, the Bank’s independent registered public accounting firm, as stated in their report that follows.

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Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders

of the Federal Home Loan Bank of Pittsburgh:

In our opinion, the accompanying statements of condition and the related statements of income, comprehensive income, changes in capital, and cash flows present fairly, in all material respects, the financial position of the Federal Home Loan Bank of Pittsburgh (the FHLBank) at December 31, 2016 and 2015, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2016 in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the FHLBank maintained, in all material respects, effective internal control over financial reporting as of December 31, 2016, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The FHLBank's management is responsible for these financial statements, for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management's Annual Report on Internal Control over Financial Reporting. Our responsibility is to express opinions on these financial statements and on the FHLBank's internal control over financial reporting based on our integrated audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement and whether effective internal control over financial reporting was maintained in all material respects. Our audits of the financial statements included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

A company's internal control over financial reporting is a process designed 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. A company's internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company's assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

/s/  PricewaterhouseCoopers LLP

Pittsburgh, Pennsylvania

March 9, 2017

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Federal Home Loan Bank of Pittsburgh

Statements of Income

	Year ended December 31,
(in thousands)	2016			2015			2014
Interest income:
Advances	$	589,296		$	345,957		$	255,863
Prepayment fees on advances, net	22,773			3,599			16,956
Interest-bearing deposits	1,276			348			351
Securities purchased under agreements to resell	3,199			965			73
Federal funds sold	24,028			7,230			3,856
Trading securities	11,265			9,784			7,663
Available-for-sale (AFS) securities	157,916			145,430			137,623
Held-to-maturity (HTM) securities	58,477			61,826			74,304
Mortgage loans held for portfolio	117,393			120,433			129,399
Total interest income	985,623			695,572			626,088
Interest expense:
Consolidated obligations - discount notes	110,276			54,126			24,201
Consolidated obligations - bonds	524,419			323,191			318,371
Mandatorily redeemable capital stock	297			145			165
Deposits	1,694			274			220
Other borrowings	15			20			29
Total interest expense	636,701			377,756			342,986
Net interest income	348,922			317,816			283,102
Provision (benefit) for credit losses	1,261			(167		)	(4,129		)
Net interest income after provision (benefit) for credit losses	347,661			317,983			287,231
Other noninterest income:
Total OTTI losses (Note 7)	—			(3,005		)	—
OTTI losses reclassified to (from) AOCI (Note 7)	(239		)	1,156			—
Net OTTI losses, credit portion (Note 7)	(239		)	(1,849		)	—
Net gains (losses) on trading securities (Note 4)	(583		)	1,598			22,408
Net realized gains from sale of AFS securities (Note 5)	12,591			—			—
Net gains (losses) on derivatives and hedging activities (Note 11)	(13,801		)	3,380			(37,500		)
Gains on litigation settlements, net	545			15,263			70,896
Standby letters of credit fees	24,662			23,655			17,383
Other, net	1,796			2,440			2,480
Total other noninterest income	24,971			44,487			75,667
Other expense:
Compensation and benefits	46,575			43,146			43,098
Other operating	27,080			24,191			27,228
Finance Agency	5,861			5,364			4,592
Office of Finance	4,175			4,720			3,772
Total other expense	83,691			77,421			78,690
Income before assessments	288,941			285,049			284,208
Affordable Housing Program (AHP) assessment (Note 15)	28,924			28,519			28,437
Net income	$	260,017		$	256,530		$	255,771

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

92

Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income

	Year ended December 31,
(in thousands)	2016			2015			2014
Net income	$	260,017		$	256,530		$	255,771
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities:
Unrealized gains (losses)	(10,292		)	(23,712		)	64,941
Reclassification of realized (gains) losses included in net income	(11,291		)	—			—
Total net unrealized gains (losses) on AFS	(21,583		)	(23,712		)	64,941
Net non-credit portion of OTTI losses on AFS securities:
Non-credit portion of OTTI losses transferred from HTM securities	—			(1,665		)	—
Net change in fair value of OTTI securities	(4,485		)	(20,325		)	16,809
Reclassification of net (gains) losses included in net income	(1,300		)	—			—
Net amount of impairment losses reclassified to non-interest income	239			509			—
Total net non-credit portion of OTTI gains (losses) on AFS securities	(5,546		)	(21,481		)	16,809
Net non-credit portion of OTTI losses on HTM securities:
Non-credit portion	—			(1,665		)	—
Transfer of non-credit portion from HTM to AFS securities	—			1,665			—
Total net non-credit portion of OTTI losses on HTM securities	—			—			—
Reclassification of net (gains) losses included in net income relating to hedging activities	(24		)	(25		)	(15		)
Pension and post-retirement benefits	(1,234		)	1,468			(1,642		)
Total other comprehensive income (loss)	(28,387		)	(43,750		)	80,093
Total comprehensive income	$	231,630		$	212,780		$	335,864

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

93

Federal Home Loan Bank of Pittsburgh

Statements of Condition

	December 31, 2016		December 31, 2015
(in thousands)
ASSETS
Cash and due from banks (Note 3)	$	3,587,605	$	2,376,964
Interest-bearing deposits	5,909		6,075
Federal funds sold	3,222,000		3,980,000
Securities purchased under agreements to resell	2,000,000		1,000,000
Investment securities:
Trading securities (Note 4)	395,247		394,737
AFS securities, at fair value (Note 5)	9,038,081		8,099,894
HTM securities; fair value of $2,576,982 and $2,684,071, respectively (Note 6)	2,566,135		2,663,304
Total investment securities	11,999,463		11,157,935
Advances, net (Note 8)	76,808,704		74,504,776
Mortgage loans held for portfolio (Note 9), net of allowance for credit losses of     $6,231 and $5,665, respectively (Note 10)	3,390,727		3,086,855
Banking on Business (BOB) loans, net of allowance for credit losses of $2,177 and     $2,052, respectively (Note 10)	12,276		11,276
Accrued interest receivable	124,247		107,345
Premises, software and equipment, net (Note 12)	9,762		10,687
Derivative assets (Note 11)	81,891		65,855
Other assets	17,492		22,015
Total assets	$	101,260,076	$	96,329,783

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Federal Home Loan Bank of Pittsburgh

Statements of Condition (continued)

	December 31, 2016		December 31, 2015
(in thousands, except par value)
LIABILITIES AND CAPITAL
Liabilities
Deposits: (Note 13)
Interest-bearing	$	505,430	$	635,468
Noninterest-bearing	53,461		50,469
Total deposits	558,891		685,937
Consolidated obligations, net: (Note 14)
Discount notes	28,500,341		42,275,544
Bonds	67,156,031		48,600,753
Total consolidated obligations, net	95,656,372		90,876,297
Mandatorily redeemable capital stock (Note 16)	5,216		6,053
Accrued interest payable	117,183		92,765
AHP payable (Note 15)	76,712		70,907
Derivative liabilities (Note 11)	14,010		42,508
Other liabilities	37,777		53,715
Total liabilities	96,466,161		91,828,182
Commitments and contingencies (Note 20)
Capital (Note 16)
Capital stock - putable ($100 par value) issued and outstanding 37,554 and 35,396 shares	3,755,411		3,539,648
Retained earnings:
Unrestricted	771,661		718,727
Restricted	214,547		162,543
Total retained earnings	986,208		881,270
Accumulated Other Comprehensive Income (AOCI)	52,296		80,683
Total capital	4,793,915		4,501,601
Total liabilities and capital	$	101,260,076	$	96,329,783

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

95

Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows

	Year Ended December 31,
(in thousands)	2016			2015			2014
OPERATING ACTIVITIES
Net income	$	260,017		$	256,530		$	255,771
Adjustments to reconcile net income to net cash provided by  operating activities:
Depreciation and amortization	(53,662		)	(59,674		)	(59,788		)
Net change in derivative and hedging activities	(6,542		)	54,567			83,449
Net OTTI credit losses	239			1,849			—
Net realized (gains) losses from sales of AFS securities	(12,591		)	—			—
Other adjustments	1,257			(185		)	(4,838		)
Net change in:
Trading securities	(510		)	(113,721		)	(51,717		)
Accrued interest receivable	(16,921		)	(21,240		)	9,266
Other assets	(789		)	(1,417		)	(903		)
Accrued interest payable	24,417			(10,387		)	5,463
Other liabilities	(3,223		)	28,150			21,099
Net cash provided by operating activities	$	191,692		$	134,472		$	257,802
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $166, $707 and $1,013   from other FHLBanks for mortgage loan program)	$	115,889		$	58,652		$	131,413
Securities purchased under agreements to resell	(1,000,000		)	(1,000,000		)	—
Federal funds sold	758,000			605,000			(1,710,000		)
AFS securities:
Proceeds (includes $206,608 from sale of AFS securities in 2016)	2,975,497			3,869,773			1,819,780
Purchases	(3,940,559		)	(3,566,673		)	(3,333,306		)
HTM securities:
Net change in short-term	(400,000		)	—			—
Proceeds from long-term maturities	593,297			705,178			749,354
Purchases of long-term	(97,248		)	(134,336		)	—
Advances:
Proceeds	693,665,140			535,178,961			647,779,277
Made	(696,161,992		)	(546,386,629		)	(661,191,580		)
Mortgage loans held for portfolio:
Proceeds	484,881			483,923			464,995
Purchases	(806,390		)	(463,969		)	(375,214		)
Proceeds from sales of foreclosed assets	11,333			11,050			17,748
Premises, software and equipment :
Proceeds from sale	335			—			900
Purchases	(2,329		)	(3,961		)	(3,923		)
Net cash (used in) investing activities	$	(3,804,146	)	$	(10,643,031	)	$	(15,650,556	)

96

Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (continued)
	Year Ended December 31,
(in thousands)	2016			2015			2014
FINANCING ACTIVITIES
Net change in:
Deposits and pass-through reserves	$	(129,451	)	$	35,376		$	(48,945	)
Net payments for derivative contracts with financing element	(18,504		)	(32,218		)	(32,699		)
Net proceeds from issuance of consolidated obligations:
Discount notes	106,234,942			154,729,878			131,729,844
Bonds (includes $65,576 from other FHLBanks during 2014)	67,259,615			35,225,737			26,050,080
Payments for maturing and retiring consolidated obligations:
Discount notes	(120,014,812		)	(149,530,556		)	(122,909,347		)
Bonds	(48,568,542		)	(30,285,157		)	(20,041,829		)
Proceeds from issuance of capital stock	3,573,624			3,153,069			2,135,063
Payments for repurchase/redemption of mandatorily redeemable   capital stock	(56,947		)	(31,162		)	(7,876		)
Payments for repurchase/redemption of capital stock	(3,301,751		)	(2,617,768		)	(2,047,808		)
Cash dividends paid	(155,079		)	(212,807		)	(103,943		)
Net cash provided by financing activities	$	4,823,095		$	10,434,392		$	14,722,540
Net increase (decrease) in cash and due from banks	$	1,210,641		$	(74,167	)	$	(670,214	)
Cash and due from banks at beginning of the period	2,376,964			2,451,131			3,121,345
Cash and due from banks at end of the period	$	3,587,605		$	2,376,964		$	2,451,131
Supplemental disclosures:
Interest paid	$	553,710		$	407,926		$	378,194
AHP payments	23,119			13,609			8,793
Transfers of mortgage loans to real estate owned	5,380			7,704			14,257
Non-cash transfer of OTTI HTM securities to AFS	—			10,286			—

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

97

Federal Home Loan Bank of Pittsburgh

Statements of Changes in Capital

	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
Comprehensive income (loss)	—		—			204,616			51,155		255,771			80,093		335,864
Issuance of capital stock	21,350		2,135,063			—			—		—			—		2,135,063
Repurchase/redemption of capital stock	(20,478	)	(2,047,808		)	—			—		—			—		(2,047,808		)
Net shares reclassified to mandatorily redeemable capital stock	(84	)	(8,422		)	—			—		—			—		(8,422		)
Cash dividends	—		—			(103,943		)	—		(103,943		)	—		(103,943		)
December 31, 2014	30,410		$	3,040,976		$	726,309		$	111,238	$	837,547		$	124,433	$	4,002,956

	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
Comprehensive income (loss)	—		—			205,225			51,305		256,530			(43,750		)	212,780
Issuance of capital stock	31,530		3,153,069			—			—		—			—			3,153,069
Repurchase/redemption of capital stock	(26,178	)	(2,617,768		)	—			—		—			—			(2,617,768		)
Net shares reclassified to mandatorily redeemable capital stock	(366	)	(36,629		)	—			—		—			—			(36,629		)
Cash dividends	—		—			(212,807		)	—		(212,807		)	—			(212,807		)
December 31, 2015	35,396		$	3,539,648		$	718,727		$	162,543	$	881,270		$	80,683		$	4,501,601

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI			Total Capital
December 31, 2015	35,396		$	3,539,648		$	718,727		$	162,543	$	881,270		$	80,683		$	4,501,601
Comprehensive income (loss)	—		—			208,013			52,004		260,017			(28,387		)	231,630
Issuance of capital stock	35,736		3,573,624			—			—		—			—			3,573,624
Repurchase/redemption of capital stock	(33,017	)	(3,301,751		)	—			—		—			—			(3,301,751		)
Net shares reclassified to mandatorily redeemable capital stock	(561	)	(56,110		)	—			—		—			—			(56,110		)
Cash dividends	—		—			(155,079		)	—		(155,079		)	—			(155,079		)
December 31, 2016	37,554		$	3,755,411		$	771,661		$	214,547	$	986,208		$	52,296		$	4,793,915

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

98

Federal Home Loan Bank of Pittsburgh

Notes to Financial Statements

Background Information

The Bank, a federally chartered corporation, is one of 11 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 18 - 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 ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. 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 Mortgage Partnership Finance (MPF) Program and purchase certain investments. See Note 14 - 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 the combined quarterly and annual financial reports of all 11 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve.

99

Notes to Financial Statements (continued)

Note 1 – Summary of Significant Accounting Policies

Basis of Presentation

Cash Flows. In the Statement of Cash Flows, the Bank considers cash and due from banks as cash and cash equivalents.

Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly.

Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating 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. See Note 19 - Estimated Fair Values for more information.

Significant Accounting Policies

Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay between the time an exposure change is identified and the time excess collateral is returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information.

Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. Interest-bearing deposits include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans made to investment-grade counterparties. The Bank records securities purchased under agreements to resell as short-term collateralized loans to a third party which are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. Should the market value of the underlying securities decrease below the market value required as collateral, the counterparty has the option to provide additional collateral equivalent to the amount of the shortfall by (1) placing an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remitting an equivalent amount of cash; otherwise, the dollar value of the resale agreement will be decreased accordingly.

Investment Securities. The Bank classifies investment securities as trading, AFS and HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis.

Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on trading securities.”

Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” However, for AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in value related to the risk being hedged in noninterest income as “Net gains (losses) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.”

100

Notes to Financial Statements (continued)

Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts.

Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior.

Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in other noninterest income.

Investment Securities - OTTI.The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI quarterly. A security is considered impaired when its fair value is less than its amortized cost basis. In those cases, the Bank considers an OTTI to have occurred under any of the following conditions:

• it has an intent to sell the impaired debt security;

• if, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or

• it does not expect to recover the entire amortized cost basis of the impaired debt security.

Recognition of OTTI. If either of the first two conditions above is met, the Bank recognizes an OTTI charge in earnings equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statement of Condition date. For securities that meet the third condition above (that is, securities in an unrealized loss position) but do not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss.

To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow test for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost basis of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI, which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses.

The total OTTI is presented in the Statement of Income with an offset for the amount of the non-credit portion of OTTI that is recognized in AOCI. The remaining amount in the Statement of Income represents the credit loss for the period.

Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to

101

Notes to Financial Statements (continued)

the amount in AOCI related to the security, is reclassified out of AOCI and charged to earnings. The non-credit component, if any, is recognized in AOCI.

Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

Interest Income Recognition.When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows.

Variable Interest Entities (VIEs). The Bank has investments in VIEs that include, but are not limited to, senior interests in private label MBS. The carrying amounts and classification of the assets that relate to the Bank’s investments in VIEs are included in investment securities on the Statement of Condition. The Bank has no liabilities related to these VIEs. The maximum loss exposure for these VIEs is limited to the amortized cost of the Bank’s investments in the VIEs.

If the Bank determines it is the primary beneficiary of a VIE, it is required to consolidate that VIE. The Bank performs a quarterly evaluation to determine whether it is the primary beneficiary of any VIEs. To perform this evaluation, the Bank considers whether it has both:

• the power to direct the VIE’s activities that most significantly impact the VIEs’ economic performance; and

• the obligation to absorb the VIE’s losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.

Based on an evaluation of the above characteristics, the Bank has determined that consolidation is not required for its VIEs for the periods presented. The Bank typically does not have the power to direct the VIEs’ activities that most significantly impact the VIEs’ economic performance. In addition, the Bank has not provided financial or other support (explicitly or implicitly) to any VIE during the periods presented. Furthermore, the Bank was not previously contractually required to provide, nor does it intend to provide, such support in the future.

Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums and discounts and recognizes hedging adjustments to interest income using a contractual methodology. The Bank records interest on advances to interest income as earned.

Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit.

Advance Modifications. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the cash flows or if the Bank concludes the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance’s original contractual terms, then the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification.

Prepayment Fees.  The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Prepayment fees on advances, net” in the interest income section of the Statement of Income.

If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method.

102

Notes to Financial Statements (continued)

Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation.

The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses.

Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method.

CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses.

Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount and represent purchase price adjustments to the related loans acquired and are recorded as a part of the loan basis.

BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses in the Bank’s district of Delaware, Pennsylvania and West Virginia. The program’s objective is to assist in the growth and development of small business, including both the start-up and expansion of these businesses. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is for it to serve as a grant program to members to help facilitate community economic development; however, repayment provisions within the program require that the BOB program be accounted for as an unsecured loan program. Therefore, the accounting for the program follows the provisions of loan accounting whereby an asset (loan receivable) is recorded for disbursements to members and an allowance for credit losses is estimated and established through provision for credit losses. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank as stated in the agreements. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and ceases to accrue interest income, and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid.

Allowance for Credit Losses. Establishing Allowance for Credit Loss. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: (1) advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; (2) government-guaranteed or insured mortgage loans held for portfolio; (3) conventional MPF loans held for portfolio; and (4) BOB loans.

103

Notes to Financial Statements (continued)

Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

Nonaccrual Loans. The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection.

Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance.

Impairment Methodology. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other reliable source of repayment available. The Bank considers its impaired loans to be collateral-dependent. Collateral-dependent loans are impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as non-accrual loans.

Charge-off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets.

BOB Loans. See “BOB Loans” in this Note 1 for a description of the allowance for credit losses policies relating to the BOB program.

Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition.

Derivatives. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Derivative Designations. Each derivative is designated as either:

• a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or

• a non-qualifying hedge (an economic hedge) for asset and liability management purposes.

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Notes to Financial Statements (continued)

Accounting for Fair Value Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value hedge accounting whereby the offsetting changes in fair value of the hedged items may be recorded in earnings. Two approaches that the Bank uses for hedge accounting are:

• Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods. 

• Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability.

Fair value derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

For fair value hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

Accounting for Economic Hedges. An economic hedge is defined as a derivative, hedging specific or non-specific underlying assets, liabilities or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income. As a result, the Bank recognizes the net interest and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the economically hedged assets, liabilities, or firm commitments.

Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item.

Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments ); (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) it no longer designates the derivative as a hedging instrument (i.e., de-designation).

When hedge accounting is discontinued on a fair value hedge, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the contractual method.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

105

Notes to Financial Statements (continued)

Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that: (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument. However, if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as “trading” as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried at fair value and no portion of the contract is designated as a hedging instrument. The Bank currently does not have any instruments containing embedded derivatives that are not clearly and closely related to the economic characteristics of the host contract.

Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of assets, which range from one to ten years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. The Bank includes gains and losses on the disposal of premises, software and equipment in “Other noninterest income (loss).”

The cost of computer software developed or obtained for internal use is capitalized and amortized over its useful life. Hosting arrangements, also known as Software as a Service (SaaS), are assessed for whether they should be accounted for as a software license or a service contract and are capitalized or expensed, respectively, based on this assessment.

Consolidated Obligations. Consolidated obligations are recorded at amortized cost.

Discounts and Premiums. The Bank accretes/amortizes the discounts and premiums as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method.

Concessions. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. The OF prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense.

Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, charter termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows.

If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense.

Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank contributes 20% of its quarterly net income to a separate restricted retained earnings account until the account balance equals at least one percent of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 16 - Capital for more information.

Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal fees and expenses, are recorded in noninterest income as “Gains on litigation settlements, net” in the Statement of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash

106

Notes to Financial Statements (continued)

or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain.

Finance Agency Expenses. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the pro rata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank).

Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation.

AHP Assessment. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-to-moderate-income households. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism.

The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate. This will create a discount which will be the present value of the difference between the cash flow generated using an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 15 - AHP for more information.

107

Notes to Financial Statements (continued)

Note 2 – Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

The following table provides a brief description of recently issued accounting standards which may have an impact on the Bank.

Standard	Description	Effective Date and Transition	Effect on the Financial Statements or Other Significant Matters
Accounting Standards Update (ASU) 2016-15: Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments	This ASU is focused on reducing diversity in practice in the Statement of Cash Flows by providing clarification on eight classification issues.	This ASU is effective for the Bank no later than January 1, 2018 and will be adopted on a retrospective basis.	The Bank is continuing to evaluate the impact of this ASU on its financial statements. However, at the present time, the Bank does not believe that the impact will be material to its Statement of Cash Flows.
ASU 2016-13: Financial Instruments - Credit Losses	This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces today’s incurred loss model with a new model based on lifetime expected credit losses, which the FASB believes will result in more timely recognition of credit losses.	This ASU is effective for the Bank no later than January 1, 2020 and will generally be adopted on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance will be applied prospectively.	The Bank is continuing to evaluate the impact of this ASU on its financial statements and will continue to monitor interpretations made by standard-setters and regulators. The Bank expects its allowance for credit losses on MPF loans to increase; however, we do not currently have an estimate of this amount. The Bank has not yet determined the impact this standard will have on its private label MBS securities. The Bank will continue to evaluate the appropriateness of an allowance for credit losses on other specific elements of its financial statements.
ASU 2016-05: Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships	This ASU clarifies that a change in the counterparty to a derivative contract, in and of itself, does not require the dedesignation of the hedge relationship provided that all other hedge accounting criteria continue to be met. This position is consistent with the SEC staff’s position on novations.	This ASU was early-adopted by the Bank on a prospective basis as of January 1, 2016.	The implementation of this ASU had no impact on the Bank, as it was consistent with the Bank’s prior practice.
ASU 2016-02: Leases	This ASU amends the accounting for leases. It will require lessees to recognize a right-of-use asset and lease liability for virtually all leases.	This ASU is effective for the Bank no later than January 1, 2019 and will be adopted on a modified retrospective basis.	The Bank is continuing to evaluate the impact of this ASU on its financial statements. Upon adoption, the Bank will increase its assets and liabilities for capitalized leases. The Bank’s most significant lease is its headquarters. Future minimum lease payments under current accounting standards are disclosed in Note 20 - Commitments and Contingencies. Significantly all of these payments represent the building lease, and the Bank believes it is reasonable to use this as a basis to size the potential impact.

108

Notes to Financial Statements (continued)

Standard	Description	Effective Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2016-01: Financial Instruments - Recognition and Measurement of Financial Assets and Financial Liabilities	This ASU amends certain requirements for accounting for the recognition and measurement of financial instruments. Most notably, this guidance revises the accounting for equity securities, financial instruments measured under the fair value option, and certain disclosure requirements for fair value of financial instruments.	This ASU is effective for the Bank beginning January 1, 2018 and will be adopted on a modified retrospective basis.	This ASU is not expected to materially impact the Bank’s financial condition or results of operations. The Bank expects to update its financial statement disclosures to reflect the updated disclosure requirements for financial instruments not recognized at fair value in the financial statements and to meet the disaggregation requirements of this guidance.
ASU 2015-03: Simplifying the Presentation of Debt Issuance Costs	This ASU requires entities to present debt issuance costs as a direct deduction from the related debt on the Statement of Condition, consistent with debt discounts.	This ASU was adopted by the Bank on a retrospective basis as of January 1, 2016.	The impact of this ASU was an immaterial reclassification of debt issuance costs from Other Assets to Consolidated Obligations on the Bank’s Statement of Condition. For the Bank, debt issuance costs are concession fees paid to dealers in connection with the issuance of certain consolidated obligations.
ASU 2014-15: Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern	This ASU 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 financial statements. It also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern.	This ASU was adopted by the Bank in conjunction with the issuance of the December 31, 2016 financial statements.	The implementation of this ASU had no impact on the Bank’s financial statement disclosures.
ASU 2014-09: Revenue from Contracts with Customers	This ASU was issued to increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. It will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition.	This ASU is effective for the Bank beginning January 1, 2018 and will be adopted on either a full or modified retrospective basis.	This ASU is not expected to materially impact the Bank’s financial condition or results of operations, as the majority of the Bank’s revenue is derived from financial instruments, which are excluded from the scope of this guidance. The Bank continues to evaluate whether any other sources of its revenue will be impacted by this guidance.

Note 3 – Cash and Due from Banks

Cash and due from banks on the Statement of Condition includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank (FRB). The Bank maintains compensating and collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions about the withdrawal of funds.The average compensating and collected cash balances for the years ended December 31, 2016 and 2015 were $296.0 million and $298.8 million, respectively.

Pass-through Deposit Reserves.  The Bank acts as a pass-through correspondent for member institutions required to deposit reserves with the FRBs. The amount shown as cash and due from banks includes pass-through reserves deposited with FRBs of$33.1 millionand$22.4 millionas ofDecember 31,2016andDecember 31, 2015, respectively. The Bank includes member reserve balances in noninterest-bearing deposits within liabilities on the Statement of Condition.

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Notes to Financial Statements (continued)

Note 4 – Trading Securities

The following table presents trading securities as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Mutual funds	$	7,092	$	5,442
GSE and Tennessee Valley Authority (TVA) obligations	388,155		389,295
Total	$	395,247	$	394,737

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 $7.2 million and $5.6 million at December 31, 2016 and December 31, 2015, respectively, and are included in Other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for 2016, 2015 and 2014.

	Year ended December 31,
(in thousands)	2016			2015		2014
Net unrealized gains (losses) on trading securities held at year-end	$	(583	)	$	1,598	$	22,322
Net realized gains on trading securities sold/matured during the year	—			—		86
Net gains (losses) on trading securities	$	(583	)	$	1,598	$	22,408

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Notes to Financial Statements (continued)

Note 5 – Available-for-Sale (AFS) Securities

The following tables present AFS securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	2,000	$	—		$	—	$	—		$	2,000
GSE and TVA obligations	3,181,110		—			11,889		(9,806		)	3,183,193
State or local agency obligations	249,675		—			879		(14,142		)	236,412
Total non-MBS	$	3,432,785	$	—		$	12,768	$	(23,948	)	$	3,421,605
MBS:
Other U.S. obligations single family MBS	$	217,577	$	—		$	—	$	(1,143	)	$	216,434
GSE single-family MBS	3,218,268		—			5,577		(10,683		)	3,213,162
GSE multifamily MBS	1,508,003		—			6,112		(1,211		)	1,512,904
Private label residential MBS	606,859		(11		)	67,435		(307		)	673,976
Total MBS	$	5,550,707	$	(11	)	$	79,124	$	(13,344	)	$	5,616,476
Total AFS securities	$	8,983,492	$	(11	)	$	91,892	$	(37,292	)	$	9,038,081

	December 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	3,468,665		—			15,332		(14,792		)	3,469,205
State or local agency obligations	133,038		—			2,055		(973		)	134,120
Total non-MBS	$	3,603,696	$	—		$	17,392	$	(15,765	)	$	3,605,323
MBS:
Other U.S. obligations single family MBS	$	268,105	$	—		$	501	$	(70	)	$	268,536
GSE single-family MBS	2,378,589		—			9,965		(4,924		)	2,383,630
GSE multifamily MBS	1,008,511		—			5,614		(3,628		)	1,010,497
Private label MBS:
Private label residential MBS	751,703		(889		)	72,263		(337		)	822,740
HELOCs	7,572		—			1,596		—			9,168
Total private label MBS	759,275		(889		)	73,859		(337		)	831,908
Total MBS	$	4,414,480	$	(889	)	$	89,939	$	(8,959	)	$	4,494,571
Total AFS securities	$	8,018,176	$	(889	)	$	107,331	$	(24,724	)	$	8,099,894

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 Bank’s benefit obligation under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds. These obligations were $9.0 million and $6.7 million at December 31, 2016 and December 31, 2015, respectively and are included in Other liabilities in the Statement of Condition.

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Notes to Financial Statements (continued)

As of December 31, 2016, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $14.9 million, credit losses of $192.6 million and OTTI-related accretion adjustments of $43.8 million. As of December 31, 2015, these amounts were $9.7 million, $205.9 million, and $31.5 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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016			December 31, 2015
Non-credit portion of OTTI losses	$	(11	)	$	(889	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	67,435			73,859
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	67,424		$	72,970

The following tables summarize the AFS securities with unrealized losses as of December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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	$	1,976,842	$	(8,334	)	$	155,292	$	(1,472	)	$	2,132,134	$	(9,806	)
State or local agency obligations	161,288		(14,142		)	—		—			161,288		(14,142		)
Total non-MBS	$	2,138,130	$	(22,476	)	$	155,292	$	(1,472	)	$	2,293,422	$	(23,948	)
MBS:
Other U.S. obligations single-family MBS	$	145,946	$	(523	)	$	70,487	$	(620	)	$	216,433	$	(1,143	)
GSE single-family MBS	1,775,502		(7,920		)	351,883		(2,763		)	2,127,385		(10,683		)
GSE multifamily MBS	461,916		(992		)	92,755		(219		)	554,671		(1,211		)
Private label residential MBS	47,364		(11		)	2,853		(307		)	50,217		(318		)
Total MBS	$	2,430,728	$	(9,446	)	$	517,978	$	(3,909	)	$	2,948,706	$	(13,355	)
Total	$	4,568,858	$	(31,922	)	$	673,270	$	(5,381	)	$	5,242,128	$	(37,303	)

	December 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	$	2,396,493	$	(12,937	)	$	184,772	$	(1,855	)	$	2,581,265	$	(14,792	)
State or local agency obligations	41,727		(863		)	3,890		(110		)	45,617		(973		)
Total non-MBS	$	2,438,220	$	(13,800	)	$	188,662	$	(1,965	)	$	2,626,882	$	(15,765	)
MBS:
Other U.S. obligations single-family MBS	$	70,490	$	(48	)	$	11,984	$	(22	)	$	82,474	$	(70	)
GSE single-family MBS	465,658		(761		)	114,028		(4,163		)	579,686		(4,924		)
GSE multifamily MBS	420,982		(3,628		)	—		—			420,982		(3,628		)
Private label residential MBS	65,080		(775		)	9,332		(451		)	74,412		(1,226		)
Total MBS	$	1,022,210	$	(5,212	)	$	135,344	$	(4,636	)	$	1,157,554	$	(9,848	)
Total	$	3,460,430	$	(19,012	)	$	324,006	$	(6,601	)	$	3,784,436	$	(25,613	)

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 5.

112

Notes to Financial Statements (continued)

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. See Note 1 - Summary of Significant Accounting Policies. There were no transfers during 2016 and 2014. The Bank transferred three private label MBS from HTM to AFS during 2015, which is the period that an OTTI credit loss was recorded on the security.

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
December 31, 2015 transfer	$	7,556	$	(638	)	$	6,918
June 30, 2015 transfer	4,394		(1,026		)	3,368
Total 2015 transfers	$	11,950	$	(1,664	)	$	10,286

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	378,123	$	378,071	$	28,706	$	28,688
Due after one year through five years	1,408,405		1,405,080		1,925,398		1,919,024
Due after five years through ten years	644,126		651,857		812,550		825,558
Due in more than ten years	1,002,131		986,597		837,042		832,053
AFS securities excluding MBS	3,432,785		3,421,605		3,603,696		3,605,323
MBS	5,550,707		5,616,476		4,414,480		4,494,571
Total AFS securities	$	8,983,492	$	9,038,081	$	8,018,176	$	8,099,894

Interest Rate Payment Terms.  The following table details interest payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,347,980	$	3,518,980
Variable-rate	84,805		84,716
Total non-MBS	$	3,432,785	$	3,603,696
Amortized cost of AFS MBS:
Fixed-rate	$	1,343,699	$	1,593,414
Variable-rate	4,207,008		2,821,066
Total MBS	$	5,550,707	$	4,414,480
Total amortized cost of AFS securities	$	8,983,492	$	8,018,176

Realized Gains (Losses) on AFS Securities.  The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for 2016, 2015 and 2014.

	Year ended December 31, 2016
(in thousands)	2016			2015		2014
Proceeds from sale of AFS securities	$	206,608		$	—	$	—
Gross gains on sale of AFS securities	12,923			—		—
Gross losses on sale of AFS securities	(332		)	—		—

113

Notes to Financial Statements (continued)

Note 6 – Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	61	$	(2	)	$	400,059
State or local agency obligations	131,925		—		(10,519		)	121,406
Total non-MBS	$	531,925	$	61	$	(10,521	)	$	521,465
MBS:
Other U.S. obligations single-family MBS	$	583,550	$	3,320	$	(138	)	$	586,732
GSE single-family MBS	212,097		3,097		(23		)	215,171
GSE multifamily MBS	843,167		19,288		(3,569		)	858,886
Private label residential MBS	395,396		1,932		(2,600		)	394,728
Total MBS	$	2,034,210	$	27,637	$	(6,330	)	$	2,055,517
Total HTM securities	$	2,566,135	$	27,698	$	(16,851	)	$	2,576,982

	December 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	169,520	$	118	$	(14,484	)	$	155,154
MBS:
Other U.S. obligations single-family MBS	$	819,602	$	5,651	$	(5	)	$	825,248
GSE single-family MBS	294,568		4,459		(75		)	298,952
GSE multifamily MBS	863,122		30,124		(1,394		)	891,852
Private label residential MBS	516,492		1,717		(5,344		)	512,865
Total MBS	$	2,493,784	$	41,951	$	(6,818	)	$	2,528,917
Total HTM securities	$	2,663,304	$	42,069	$	(21,302	)	$	2,684,071

114

Notes to Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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:
Certificates of deposit	$	124,998	$	(2	)	$	—	$	—		$	124,998	$	(2	)
State or local agency obligations	13,612		(128		)	107,794		(10,391		)	121,406		(10,519		)
Total Non-MBS	$	138,610	$	(130	)	$	107,794	$	(10,391	)	$	246,404	$	(10,521	)
MBS:
Other U.S. obligations single-family MBS	$	53,513	$	(109	)	$	41,253	$	(29	)	$	94,766	$	(138	)
GSE single-family MBS	—		—			7,133		(23		)	7,133		(23		)
GSE multifamily MBS	165,914		(3,569		)	—		—			165,914		(3,569		)
Private label residential MBS	10,961		(115		)	222,585		(2,485		)	233,546		(2,600		)
Total MBS	$	230,388	$	(3,793	)	$	270,971	$	(2,537	)	$	501,359	$	(6,330	)
Total	$	368,998	$	(3,923	)	$	378,765	$	(12,928	)	$	747,763	$	(16,851	)

	December 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	$	20,154	$	(1	)	$	110,737	$	(14,483	)	$	130,891	$	(14,484	)
MBS:
Other U.S. obligations single-family MBS	$	10,237	$	(5	)	$	—	$	—		$	10,237	$	(5	)
GSE single-family MBS	—		—			9,091		(75		)	9,091		(75		)
GSE multifamily MBS	132,835		(1,394		)	—		—			132,835		(1,394		)
Private label residential MBS	110,665		(717		)	252,851		(4,627		)	363,516		(5,344		)
Total MBS	$	253,737	$	(2,116	)	$	261,942	$	(4,702	)	$	515,679	$	(6,818	)
Total	$	273,891	$	(2,117	)	$	372,679	$	(19,185	)	$	646,570	$	(21,302	)

Securities Transferred. The Bank transferred no private label MBS from HTM to AFS during 2016 or 2014 and three during 2015. See Note 5 - Available-for-Sale Securities for additional information.

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.

115

Notes to Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	400,000	$	400,059	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	47,850		45,605		57,490		55,797
Due after ten years	84,075		75,801		112,030		99,357
Total non-MBS	531,925		521,465		169,520		155,154
MBS	2,034,210		2,055,517		2,493,784		2,528,917
Total HTM securities	$	2,566,135	$	2,576,982	$	2,663,304	$	2,684,071

Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	400,000	$	28,565
Variable-rate	131,925		140,955
Total non-MBS	$	531,925	$	169,520
Amortized cost of HTM MBS:
Fixed-rate	$	952,329	$	1,023,636
Variable-rate	1,081,881		1,470,148
Total MBS	$	2,034,210	$	2,493,784
Total HTM securities	$	2,566,135	$	2,663,304

Note 7 – Other-Than-Temporary Impairment

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, the amount of 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. The Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis generated on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank.

The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as:

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

116

Notes to Financial Statements (continued)

To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased.

The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying an FHLBank's securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults, and loss severities. 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 is based upon an assessment of the individual housing markets. During the fourth quarter of 2016, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (3.0)% to 10.0% over the 12 month period beginning October 1, 2016. For the vast majority of markets the short-term forecast has changes from 2.0% to 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero.

All of the Bank's other-than-temporarily impaired securities were classified as AFS as of December 31, 2016. The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2016 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 amounts reflects the total AFS private label MBS balance.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost(1)		Fair Value
Private label residential MBS:
Prime	$	337,355	$	270,710	$	305,978
Alt-A	430,180		331,961		363,987
Subprime	1,739		1,028		1,158
Total OTTI securities	769,274		603,699		671,123
Private label MBS with no OTTI	3,160		3,160		2,853
Total AFS private label MBS	$	772,434	$	606,859	$	673,976

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.

117

Notes to Financial Statements (continued)

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 2016, 2015 and 2014.

(in thousands)	2016			2015			2014
Beginning balance	$	265,379		$	290,935		$	314,224
Additions:
Credit losses for which OTTI was not previously recognized	—			1,794			—
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	239			55			—
Reductions:
Securities sold and matured during the period (2)	(3,875		)	—			292
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(25,282		)	(27,405		)	(23,581		)
Ending balance	$	236,461		$	265,379		$	290,935

Notes:

⁽¹⁾ For 2016, 2015 and 2014, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016, 2015 and 2014, respectively.

⁽²⁾ 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 December 31, 2016, 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 December 31, 2016.

118

Notes to Financial Statements (continued)

Note 8 – Advances

General Terms. TheBank offers 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 ten years, and the interest rates reset periodically at a fixed spread to LIBOR or other specified indices.

At December 31, 2016 and December 31, 2015, the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0.49% to 7.40%. AHP subsidized advances have interest rates ranging from2.00%to5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016					December 31, 2015
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	38,571,864		0.91	%	$	33,192,256		0.70	%
Due after 1 year through 2 years	14,310,133			1.14		18,989,266			0.99
Due after 2 years through 3 years	7,477,536			1.29		13,071,338			0.96
Due after 3 years through 4 years	8,488,404			1.22		6,260,864			0.93
Due after 4 years through 5 years	7,161,763			1.23		1,800,994			1.68
Thereafter	825,608			2.64		1,018,555			2.66
Total par value	76,835,308			1.07	%	74,333,273			0.89	%
Discount on AHP advances	(2		)			(21		)
Deferred prepayment fees	(4,625		)			(4,749		)
Hedging adjustments	(21,977		)			176,273
Total book value	$	76,808,704				$	74,504,776

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. At December 31, 2016 and December 31, 2015, the Bank had convertible advances outstanding of $0.5 billion and $1.5 billion, respectively.

The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). At December 31, 2016 and at December 31, 2015, the Bank had $12.3 billion and $12.6 billion returnable advances, respectively. At December 31, 2016 and December 31, 2015, 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.

119

Notes to Financial Statements (continued)

The following table summarizes advances by the earlier of (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of December 31, 2016 and December 31, 2015 .

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	December 31, 2016		December 31, 2015		December 31, 2016		December 31, 2015
Due in 1 year or less	$	40,221,864	$	34,692,256	$	38,791,364	$	33,771,756
Due after 1 year through 2 years	12,700,133		18,939,266		14,116,133		18,629,266
Due after 2 years through 3 years	7,462,536		11,661,338		7,472,036		12,877,338
Due after 3 years through 4 years	8,463,404		6,245,864		8,488,404		6,255,364
Due after 4 years through 5 years	7,161,763		1,775,994		7,161,763		1,800,994
Thereafter	825,608		1,018,555		805,608		998,555
Total par value	$	76,835,308	$	74,333,273	$	76,835,308	$	74,333,273

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Fixed-rate – overnight	$	4,696,431	$	4,681,918
Fixed-rate – term:
Due in 1 year or less	16,177,369		13,532,806
Thereafter	9,815,844		13,121,108
Total fixed-rate	30,689,644		31,335,832
Variable-rate:
Due in 1 year or less	17,698,064		14,977,532
Thereafter	28,447,600		28,019,909
Total variable-rate	46,145,664		42,997,441
Total par value	$	76,835,308	$	74,333,273

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of December 31, 2016, the Bank had advances of $61.2 billion outstanding to the five largest borrowers, which represented 79.7% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2016.

As of December 31, 2015, the Bank had advances of $55.1 billion outstanding to the five largest borrowers, which represented 74.1% of total advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2015.

See Note 10 for information related to the Bank’s allowance for credit losses.

120

Notes to Financial Statements (continued)

Note 9 – Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans that 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 18 for further information regarding transactions with related parties.

The following table presents balances as of December 31, 2016 and December 31, 2015 for mortgage loans held for portfolio.

(in thousands)	December 31, 2016			December 31, 2015
Fixed-rate long-term single-family mortgages(1)	$	3,013,181		$	2,660,615
Fixed-rate medium-term single-family mortgages(1)	299,900			352,082
Total par value	3,313,081			3,012,697
Premiums	59,032			50,857
Discounts	(3,926		)	(3,899		)
Hedging adjustments	28,771			32,865
Total mortgage loans held for portfolio	$	3,396,958		$	3,092,520

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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Conventional loans	$	3,088,810	$	2,763,930
Government-guaranteed/insured loans	224,271		248,767
Total par value	$	3,313,081	$	3,012,697

See Note 10 - Allowance for Credit Losses for information related to the Bank’s credit risk on mortgage loans and allowance for credit losses.

Note 10 – 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 approach generally requires 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 help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products.

121

Notes to Financial Statements (continued)

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, regardless of the member’s 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 otherwise entitled to priority under applicable law and that 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 December 31, 2016 and December 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 December 31, 2016 and December 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 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.

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 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 December 31, 2016 and December 31, 2015, the MPF exposure under the FLA was $24.0 million and $22.7 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $3.1 million, $3.0 million and $3.2 million in 2016, 2015 and 2014, respectively.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent, troubled debt restructurings, and other loans where the borrower has filed for bankruptcy.

122

Notes to Financial Statements (continued)

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. The resulting loss is reduced by available CE. 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.

Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, the Bank evaluates the homogeneous mortgage loan portfolio collectively 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. 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.

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

(in thousands)	2016			2015			2014
Balance, beginning of period	$	5,665		$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(195		)	(815		)	299
Provision (benefit) for credit losses	761			(780		)	(4,398		)
Balance, December 31	$	6,231		$	5,665		$	7,260

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)	2016		2015		2014
Ending balance, individually evaluated for impairment	$	5,105	$	5,018	$	6,034
Ending balance, collectively evaluated for impairment	1,126		647		1,226
Total allowance for credit losses	$	6,231	$	5,665	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	58,522	$	60,762	$	68,144
Collectively evaluated for impairment	3,122,847		2,789,517		2,789,826
Total recorded investment	$	3,181,369	$	2,850,279	$	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.

123

Notes to Financial Statements (continued)

Rollforward of Allowance for Credit Losses. BOB Loans.

(in thousands)	2016			2015			2014
Balance, beginning of period	$	2,052		$	1,840		$	2,231
(Charge-offs) Recoveries, net	(221		)	(429		)	(610		)
Provision for credit losses	346			641			219
Balance, December 31	$	2,177		$	2,052		$	1,840

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans. At December 31, 2016, 2015 and 2014, the total recorded investments and related allowances for credit losses for BOB loans were all or substantively all characterized by loans collectively evaluated for impairment.

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)	December 31, 2016
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	45,687		$	14,293		$	—		$	59,980
Past due 60-89 days	9,194			3,371			50			12,615
Past due 90 days or more	21,386			4,179			204			25,769
Total past due loans	$	76,267		$	21,843		$	254		$	98,364
Total current loans	3,105,102			210,624			14,287			3,330,013
Total loans	$	3,181,369		$	232,467		$	14,541		$	3,428,377
Other delinquency statistics:
In process of foreclosures, included above (2)	$	11,464		$	1,077		$	—		$	12,541
Serious delinquency rate (3)	0.7		%	1.8		%	1.4		%	0.8		%
Past due 90 days or more still accruing interest	$	—		$	4,179		$	—		$	4,179
Loans on nonaccrual status	$	24,092		$	—		$	253		$	24,345

(in thousands)	December 31, 2015
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	42,746		$	14,997		$	86		$	57,829
Past due 60-89 days	11,752			4,260			78			16,090
Past due 90 days or more	25,169			4,382			156			29,707
Total past due loans	$	79,667		$	23,639		$	320		$	103,626
Total current loans	2,770,612			234,376			13,090			3,018,078
Total loans	$	2,850,279		$	258,015		$	13,410		$	3,121,704
Other delinquency statistics:
In process of foreclosures, included above (2)	$	15,353		$	1,356		$	—		$	16,709
Serious delinquency rate (3)	0.9		%	1.7		%	1.2		%	1.0		%
Past due 90 days or more still accruing interest	$	—		$	4,382		$	—		$	4,382
Loans on nonaccrual status	$	29,075		$	—		$	383		$	29,458

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.

124

Notes to Financial Statements (continued)

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.

	December 31, 2016
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,687	$	34,344	$	—
With a related allowance:
Conventional MPF loans	$	23,835	$	23,577	$	5,105
Total:
Conventional MPF loans	$	58,522	$	57,921	$	5,105

	December 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	33,737	$	33,428	$	—
With a related allowance:
Conventional MPF loans	$	27,025	$	26,774	$	5,018
Total:
Conventional MPF loans	$	60,762	$	60,202	$	5,018

125

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.

	Year ended December 31, 2016				Year ended December 31, 2015				Year ended December 31, 2014
(in thousands)	Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized
Conventional MPF loans	$	60,147	$	2,340	$	63,683	$	1,966	$	74,956	$	1,388

Notes:

⁽¹⁾ Includes gross charge-offs.

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. The recorded investment in mortgage loans classified as TDRs was $14.1 million and $16.9 million as of December 31, 2016 and December 31, 2015, 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 a period up to one year. 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 $3.9 million and $6.5 million of REO reported in Other assets on the Statement of Condition at December 31, 2016 and December 31, 2015, respectively.

Purchases, Sales and Reclassifications. During 2016 and 2015, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

126

Notes to Financial Statements (continued)

Note 11 – 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 interest-bearing liabilities 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 interest-bearing liabilities.

Consistent with Finance Agency requirements, the Bank enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions and to achieve the Bank’s risk management objectives. Finance Agency regulation and the Bank’s Risk Governance Policy prohibit trading in or the speculative use of derivative instruments and limit credit risk arising from these instruments. The Bank may use derivatives to reduce funding costs for consolidated obligations and to manage interest rate risk and mortgage prepayment risk positions. Derivatives are an integral part of the Bank’s financial management strategy. The Bank may use derivatives to:

• reduce interest rate sensitivity and repricing gaps of assets and liabilities;

• preserve a favorable interest rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., the consolidated obligation bond used to fund the advance);

• mitigate the adverse earnings effects of the shortening or extension of certain assets (e.g., advances or mortgage assets) and liabilities;

• manage embedded options in assets and liabilities;

• reduce funding costs by combining a derivative with a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation bond; and

• protect the value of existing asset or liability positions or firm commitments

Types of Derivatives. The Bank’s Risk Governance Policy establishes guidelines for its use of derivatives. The Bank can use instruments such as the following to reduce funding costs and to manage exposure to interest rate risks inherent in the normal course of business:

• interest rate swaps;

• interest rate swaptions; and

• interest rate caps or floors

Interest Rate Swaps.  An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time. The variable rate received or paid by the Bank in most derivatives is LIBOR.

Swaptions.  A swaption is an option that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank when it is planning to lend or borrow funds in the future against future interest rate changes. The Bank may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make fixed interest payments at a later date and a receiver swaption is the option to receive fixed interest payments at a later date.

Interest Rate Cap and Floor Agreements.  In an interest rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold (or cap) price. In an interest rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold (or floor) price. Caps and floors are designed as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level.

Application of Derivatives. The Bank documents at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value hedges to (1) assets and liabilities on the Statement of Condition, or (2) firm commitments. The Bank also formally assesses (both at the hedge’s inception and on a monthly basis) whether the derivatives that it uses in hedging transactions have been effective

127

Notes to Financial Statements (continued)

in offsetting changes in the fair value of the hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

Derivative financial instruments are designated by the Bank as follows:

• a qualifying fair value hedge of an associated financial instrument or firm commitment; or

• a non-qualifying economic hedge to manage certain defined risks on the Statement of Condition. These hedges are primarily used to: (1) manage mismatches between the coupon features of assets and liabilities, (2) offset prepayment risks in certain assets, (3) mitigate the income statement volatility that occurs when financial instruments are recorded at fair value and hedge accounting is not permitted, or (4) to reduce exposure to reset risk.

Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) 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 uncleared 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.

Types of Hedged Items. The Bank has the following types of hedged items:

Investments. The Bank primarily invests in certificates of deposit, U.S. Treasuries, U.S. agency obligations, MBS, and the taxable portion of state or local housing finance agency obligations, which may be classified as HTM, AFS or trading securities. The interest rate and prepayment risks associated with these investment securities are managed through a combination of debt issuance and derivatives. The Bank may manage the prepayment and interest rate risks by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with caps or floors, callable swaps or swaptions. The Bank may manage duration risk by funding investment securities with consolidated obligations that contain call features. The Bank may also manage the risk arising from changing market prices and volatility of investment securities by entering into economic derivatives that generally offset the changes in fair value of the securities. Derivatives hedging trading securities (carried at fair value) or HTM securities (carried at amortized cost) are designated as economic hedges. Derivatives hedging AFS securities may be designated as fair value hedges.

Advances. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. The Bank may use derivatives to manage the repricing and/or options characteristics of advances to match more closely the characteristics of the funding liabilities. In general, whenever a member executes a fixed-rate advance or a variable-rate advance with embedded options, the Bank may simultaneously execute a derivative that offsets the terms and embedded options, if any, in the advance. For example, the Bank may hedge a fixed-rate advance with an interest rate swap where the Bank pays a fixed-rate and receives a variable-rate, effectively converting the fixed-rate advance to a variable-rate advance. This type of hedge is typically treated as a fair value hedge. In addition, the Bank may hedge a callable, prepayable or convertible advance by entering into a cancellable interest-rate swap.

Mortgage Loans. The Bank invests in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate and prepayment risks associated with mortgage loans through a combination of debt issuance and, at times, derivatives, such as interest rate caps and floors, swaptions and callable swaps. Although these derivatives are valid economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and, therefore, do not receive hedge accounting.

Consolidated Obligations. The Bank may enter into derivatives to hedge the interest rate risk associated with its specific debt issuances. The Bank manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation.

For instance, in a typical transaction, fixed-rate consolidated obligations are issued by the Bank, and the Bank simultaneously enters into a matching derivative in which the counterparty pays fixed cash flows designed to mirror, in timing and amount, the cash outflows the Bank pays on the consolidated obligation. The Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate advances (typically one- or three-month LIBOR). The fixed-rate obligation and matching derivative are treated as fair value hedge relationships.

128

Notes to Financial Statements (continued)

This strategy of issuing consolidated obligations while simultaneously entering into derivatives enables the Bank to offer a wider range of attractively-priced advances to its members and may allow the Bank to reduce its funding costs. The continued attractiveness of this strategy depends on yield relationships between the Bank’s consolidated obligations and derivative markets. If conditions change, the Bank may alter the types or terms of the consolidated obligations that it issues.

Firm Commitments. The Bank’s mortgage loan purchase commitments are considered derivatives and are recorded at fair value. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Because the market in which the purchase of MPF loans differs from the principle market, the transaction price may not equal fair value on the date of the inception of the commitment and may result in a gain or loss for the Bank.

The Bank may also hedge a firm commitment for a forward starting advance through the use of an interest rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. Because the firm commitment ends at the same exact time that the advance is settled, the fair value change associated with the firm commitment is effectively rolled into the basis of the advance.

Financial Statement Effect and Additional Financial Information.Derivative Notional Amounts. The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects the Banks' involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Additionally, notional values are not meaningful measures of the risks associated with derivatives.

129

Notes to Financial Statements (continued)

The following tables summarize the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2016 and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	December 31, 2016
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	29,133,421	$	71,335		$	142,648
Derivatives not designated as hedging instruments:
Interest rate swaps	$	9,370,245	$	21,429		$	58,158
Interest rate caps	1,255,000		4,686			—
Mortgage delivery commitments	15,450		26			98
Total derivatives not designated as hedging instruments:	$	10,640,695	$	26,141		$	58,256
Total derivatives before netting and collateral adjustments	$	39,774,116	$	97,476		$	200,904
Netting adjustments and cash collateral(1)			(15,585		)	(186,894		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	81,891		$	14,010

	December 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	30,416,262	$	49,104		$	269,354
Derivatives not designated as hedging instruments:
Interest rate swaps	$	13,363,652	$	18,426		$	62,384
Interest rate swaptions	25,000		—			—
Interest rate caps	755,000		2,695			—
Mortgage delivery commitments	9,950		253			—
Total derivatives not designated as hedging instruments	$	14,153,602	$	21,374		$	62,384
Total derivatives before netting and collateral adjustments	$	44,569,864	$	70,478		$	331,738
Netting adjustments and cash collateral(1)			(4,623		)	(289,230		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	65,855		$	42,508

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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

130

Notes to Financial Statements (continued)

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

	Year ended December 31,
(in thousands)	2016			2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps (1)	$	3,307		$	4,769		$	4,287
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17,908	)	$	(21,514	)	$	(73,836	)
Interest rate swaptions	—			56			1,410
Interest rate caps	(1,183		)	(1,988		)	(4,496		)
Net interest settlements	864			10,959			26,369
Mortgage delivery commitments	1,098			11,074			8,739
Other	21			24			27
Total net gains (losses) related to derivatives not designated   as hedging instruments	$	(17,108	)	$	(1,389	)	$	(41,787	)
Net gains (losses) on derivatives and hedging activities	$	(13,801	)	$	3,380		$	(37,500	)

Note:

⁽¹⁾Pertains to totalnet gains for fair value hedge ineffectiveness.

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 2016, 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)
2016
Hedged item type:
Advances	$	196,099		$	(193,558	)	$	2,541	$	(100,091	)
Consolidated obligations – bonds	(83,647		)	84,094			447		68,153
AFS securities	20,449			(20,130		)	319		(23,150		)
Total	$	132,901		$	(129,594	)	$	3,307	$	(55,088	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income(1)
2015
Hedged item type:
Advances	$	110,659		$	(109,811	)	$	848	$	(198,536	)
Consolidated obligations – bonds	28,735			(25,822		)	2,913		218,194
AFS securities	(7,075		)	8,083			1,008		(19,032		)
Total	$	132,319		$	(127,550	)	$	4,769	$	626

131

Notes to Financial Statements (continued)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
2014
Hedged item type:
Advances	$	249,742		$	(245,817	)	$	3,925		$	(225,722	)
Consolidated obligations – bonds	74,726			(72,766		)	1,960			233,774
AFS securities	(32,530		)	30,932			(1,598		)	(11,442		)
Total	$	291,938		$	(287,651	)	$	4,287		$	(3,390	)

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 $(5.1) million, $0.8 million and $13.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2016, 2015 and 2014.

The Bank had no active cash flow hedging relationships during 2016, 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.

Uncleared Derivatives .For uncleared 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 uncleared derivatives.

Generally, the Bank’s ISDA agreements for uncleared 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 uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at December 31, 2016 was $53.6 million for which the Bank has posted cash collateral with a fair value of $42.3 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 $10.3 million of collateral to its derivative counterparties at December 31, 2016.

Cleared 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. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank 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.

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 fair value of cleared derivatives. 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 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 19 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative

132

Notes to Financial Statements (continued)

assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

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 by its clearing agents to post additional initial margin at December 31, 2016.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, 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. 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)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,778		$	39,068
Cleared derivatives	83,672			31,157
Total gross recognized amount	97,450			70,225
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(10,792		)	(37,981		)
Cleared derivatives	(4,793		)	33,358
Total gross amounts of netting adjustments and cash collateral	(15,585		)	(4,623		)
Net amounts after netting adjustments:
Uncleared derivatives	2,986			1,087
Cleared derivatives	78,879			64,515
Total net amounts after netting adjustments	81,865			65,602
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	26			253
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	26			253
Total derivative assets:
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total derivative assets as reported in the Statement of Condition	81,891			65,855
Net unsecured amount
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total net unsecured amount	$	81,891		$	65,855

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Notes to Financial Statements (continued)

	Derivative Liabilities
(in thousands)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	67,047		$	132,910
Cleared derivatives	133,759			198,828
Total gross recognized amount	200,806			331,738
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(53,135		)	(90,402		)
Cleared derivatives	(133,759		)	(198,828		)
Total gross amounts of netting adjustments and cash collateral	(186,894		)	(289,230		)
Net amounts after netting adjustments:
Uncleared derivatives	13,912			42,508
Cleared derivatives	—			—
Total net amounts after netting adjustments	13,912			42,508
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	98			—
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	98			—
Total derivative liabilities:
Uncleared derivatives	14,010			42,508
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	14,010			42,508
Net unsecured amount
Uncleared derivatives	14,010			42,508
Total net unsecured amount	$	14,010		$	42,508

Note:

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

134

Notes to Financial Statements (continued)

Note 12 – Premises, Software and Equipment

	December 31,
(in thousands)	2016		2015
Computer hardware and software	$	56,414	$	54,593
Furniture	915		915
Leasehold improvements	2,517		2,478
Equipment and other	982		980
Total premises, software and equipment, gross	60,828		58,966
Less: Accumulated depreciation and amortization	51,066		48,279
Total premises, software and equipment, net	$	9,762	$	10,687

Depreciation and amortization expense on premises, software, and equipment was $4.3 million, $3.7 million and $4.3 million for 2016, 2015 and 2014, respectively. Gains and losses on disposal of premises and equipment are included in other, net income on the Statement of Income. There were no material net realized gains (losses) on disposal of premises and equipment for 2016, 2015 or 2014.

Included in total depreciation and amortization expense is amortization expense on software of $3.7 million, $3.1 million and $3.7 million for 2016, 2015 and 2014, respectively. The unamortized software balance was $8.8 million and $9.5 million at December 31,2016 and 2015, respectively.

During 2016 and 2015, the Bank capitalized $3.1 million and $3.6 million, respectively, in costs associated with computer software developed for internal use.

Note 13 – Deposits

The Bank offers demand and overnight deposits to both members and qualifying nonmembers and term deposits to members. Noninterest-bearing demand and overnight deposits are comprised of funds collected by members pending disbursement to the mortgage loan holders, as well as member funds deposited at the FRB.

Interest-bearing deposits classified as demand and overnight pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit.The weighted-average interest rates paid on interest bearing deposits were 0.26%, 0.04% and 0.03% during 2016, 2015 and 2014, respectively.

The following table details interest-bearing and noninterest-bearing deposits as ofDecember 31,2016and2015.

	December 31,
(in thousands)	2016		2015
Interest-bearing:
Demand and overnight	$	505,430	$	635,468
Noninterest-bearing:
Demand and overnight	53,461		50,469
Total deposits	$	558,891	$	685,937

There were no outstanding term deposits as of December 31, 2016 and December 31, 2015.

135

Notes to Financial Statements (continued)

Note 14 – Consolidated Obligations

Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor.

The Finance Agency and the U.S. Secretary of the Treasury oversee the issuance of FHLBank debt through the OF. Consolidated bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on their maturity. Consolidated discount notes are issued primarily to raise short-term funds. These notes generally sell at less than their face amount and are redeemed at par value when they mature.

Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten 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. 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. However, 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 amounts of the11FHLBanks’ outstanding consolidated obligations were$989.3 billionand$905.2 billion atDecember 31,2016and2015, respectively. Regulations require the Bank to maintain unpledged qualifying assets equal to its participation of the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the United States; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or ever have been sold by Freddie Mac under the Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the Bank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they are free from lien or pledge for purposes of compliance with these regulations.

General Terms.  Consolidated obligations are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that can use a variety of indices for interest rate resets such as, LIBOR, and others. To meet the expected specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain features which may result in complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank may enter into derivatives containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond or a fixed-rate bond.The Bank has no outstanding consolidated obligations denominated in currencies other than U.S. dollars.

These consolidated obligations, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms:

Indexed Principal Redemption Bonds (index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. A form of an indexed principal redemption bond that the Bank has issued in the past is an Amortizing Prepayment Linked Security (APLS). The APLS redeem based on the prepayments of Fannie Mae, Freddie Mac, Ginnie Mae or private label reference pools. As of December 31, 2016 and 2015, most of the index amortizing notes had fixed-rate coupon payment terms. Usually, as market interest rates rise (fall), the average life of the index amortizing notes extends (contracts).

Optional Principal Redemption  Bonds (callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings.

Interest Rate Payment Terms.  With respect to interest payments, consolidated obligation bonds may also have the following terms:

136

Notes to Financial Statements (continued)

Step-up Bonds generally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on the step-up dates; and

Conversion Bonds have coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings.

The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016			2015
Par value of consolidated bonds:
Fixed-rate	$	30,020,671		$	31,945,658
Step-up	1,620,000			1,860,000
Floating-rate	35,155,000			14,650,000
Conversion bonds - fixed to floating	400,000			60,000
Total par value	67,195,671			48,515,658
Bond premiums	68,812			107,339
Bond discounts	(7,732		)	(9,629		)
Concession fees	(6,706		)	(5,229		)
Hedging adjustments	(94,014		)	(7,386		)
Total book value	$	67,156,031		$	48,600,753

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2016 and December 31, 2015.

	December 31, 2016				December 31, 2015
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	45,660,600	0.77	%	$	26,814,155	0.68	%
Due after 1 year through 2 years	8,767,580		1.16		8,753,810		1.21
Due after 2 years through 3 years	4,575,505		1.36		4,998,335		1.46
Due after 3 years through 4 years	2,225,710		1.74		2,017,720		1.84
Due after 4 years through 5 years	1,884,400		2.05		2,040,940		1.91
Thereafter	3,958,850		2.26		3,733,950		2.66
Index amortizing notes	123,026		4.74		156,748		4.73
Total par value	$	67,195,671	1.02	%	$	48,515,658	1.12	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2016 and December 31, 2015 .

	December 31,
(in thousands)	2016		2015
Noncallable	$	61,585,171	$	41,462,658
Callable	5,610,500		7,053,000
Total par value	$	67,195,671	$	48,515,658

137

Notes to Financial Statements (continued)

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31,
Year of Contractual Maturity or Next Call Date	2016		2015
Due in 1 year or less	$	50,586,100	$	33,517,155
Due after 1 year through 2 years	8,482,580		7,778,810
Due after 2 years through 3 years	4,375,505		3,672,335
Due after 3 years through 4 years	1,649,210		1,202,720
Due after 4 years through 5 years	849,400		810,940
Thereafter	1,129,850		1,376,950
Index amortizing notes	123,026		156,748
Total par value	$	67,195,671	$	48,515,658

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 December 31, 2016 and December 31, 2015.

	December 31,
(dollars in thousands)	2016			2015
Book value	$	28,500,341		$	42,275,544
Par value	28,529,619			42,318,509
Weighted average interest rate (1)	0.51		%	0.32		%

Note:

⁽¹⁾ Represents an implied rate.

138

Notes to Financial Statements (continued)

Note 15 – Affordable Housing Program (AHP)

In support of the goal of providing funding for housing and economic development in its district’s communities, the Bank administers a number of programs, some mandated and some voluntary, which make funds available through member financial institutions. In all of these programs, Bank funds flow through member financial institutions into areas of need throughout the region. AHP, mandated by the Act, is the largest and primary public policy program of the FHLBanks. The Act requires the Bank to contribute 10% of its current year net income (as defined by a Finance Agency advisory bulletin as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and make these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations.

Each FHLBank provides subsidies in the form of direct grants and/or below-market interest rate advances where the funds are used to assist in the purchase, construction or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must collectively set aside for the AHP the greater of $100 million or 10% of income subject to assessment. The Bank accrues this expense monthly based on its net income. The Bank reduces the AHP liability as members use subsidies.

If the Bank experienced a net loss during a quarter, but still had net earnings for the year, the Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net income. If the Bank had net income in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the Bank would have no obligation to the AHP for the year since each FHLBank’s required annual AHP contribution is limited to its annual net income. If the aggregate10%calculation described above was less than$100 millionfor all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal$100 million. The proration would be made on the basis of an FHLBank’s income in relation to the income of all FHLBanks for the previous year. There was no shortfall in2016,2015, or2014. If an FHLBank finds that its required contributions are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make any such application in2016,2015, or2014. The Bank had outstanding principal in AHP-related advances of$0.2 millionand$1.4 millionatDecember 31,2016andDecember 31, 2015, respectively.The Bank awards commitments that are disbursed over 24 to 36 months. The Bank has outstanding AHP commitments of $43.5 million, $38.5 million and $26.5 million as of December 31, 2016, 2015 and 2014, respectively.

The following table presents an analysis of the AHP payable for 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the year	$	70,907		$	55,997		$	36,353
Assessments	28,924			28,519			28,437
Subsidy usage, net	(23,119		)	(13,609		)	(8,793		)
Balance, end of the year	$	76,712		$	70,907		$	55,997

Note 16 – Capital

The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock.

• Risk-based capital (RBC). Under this capital requirement, the Bank must maintain at all times permanent capital, defined as Class B stock and retained earnings, in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of minimum capital levels than is required based on the Finance Agency rules and regulations.

• Total regulatory capital. Under this capital requirement, the Bank is required to maintain at all times a total capital-to-assets ratio of at least 4.0%. Total regulatory capital is the sum of permanent capital, Class A stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses; and

• Leverage capital. Under this third capital requirement, the Bank is required to maintain at all times a leverage capital-to-assets ratio of at least 5.0%. Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other capital without a weighting factor.

139

Notes to Financial Statements (continued)

At December 31, 2016, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion and $3.4 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2016. The Bank had $0.3 billion and $3.2 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2015.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2016 and 2015.

	December 31, 2016						December 31, 2015
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	907,515		$	4,746,834		$	820,621		$	4,426,971
Total capital-to-asset ratio	4.0		%	4.7		%	4.0		%	4.6		%
Total regulatory capital	4,050,403			4,746,834			3,853,451			4,426,971
Leverage ratio	5.0		%	7.0		%	5.0		%	6.9		%
Leverage capital	5,063,004			7,120,252			4,816,814			6,640,456

When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 14, 2016, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2016. 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 December 31, 2016.

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 December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016
Member(1)	Capital Stock		% of Total
Chase Bank USA, N.A., Wilmington, DE	$	873,834	23.2	%
PNC Bank, N.A., Pittsburgh, PA	859,402		22.9
Ally Bank, Midvale, UT	577,404		15.4

(dollars in thousands)	December 31, 2015
Member(1)	Capital Stock		% of Total
PNC Bank, N.A., Pittsburgh, PA	$	881,552	24.9	%
Santander Bank, N.A., Wilmington, DE	600,872		17.0
Chase Bank USA, N.A., Wilmington, DE	424,502		12.0
Ally Bank, Midvale, UT	391,287		11.0

Note:

⁽¹⁾For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, 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’ par value of $100, as mandated by each FHLBank’s capital plan.

At December 31, 2016 and December 31, 2015, the Bank had $5.2 million and $6.0 million, 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 recorded as interest expense were immaterial during 2016, 2015 and 2014.

140

Notes to Financial Statements (continued)

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the period	$	6,053		$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital	56,110			36,629			8,422
Redemption/repurchase of mandatorily redeemable stock	(56,947		)	(31,162		)	(7,876		)
Balance, end of the period	$	5,216		$	6,053		$	586

As of December 31, 2016, the total mandatorily redeemable capital stock reflected the balance for three institutions. Two institutions were merged out of district and are considered to be non-members. One 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 December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016		2015
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	419		—
Due after 3 years through 4 years	4,797		546
Due after 4 years through 5 years	—		5,507
Total	$	5,216	$	6,053

Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding.

Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a 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 December 31, 2016, retained earnings were $986.2 million, including $771.7 million of unrestricted retained earnings and $214.5 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.

141

Notes to Financial Statements (continued)

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. Dividends paid in 2016, 2015, and 2014 were as follows in the table below. These dividends were based on stockholders' average balances for the previous quarter.

	Dividend - Annual Yield
	2016		2015		2014
	Membership	Activity	Membership	Activity
February	3.0%	5.0%	(1)	(1)	2.5%
April	2.0%	5.0%	3.0%	5.0%	4.0%
July	2.0%	5.0%	3.0%	5.0%	4.0%
October	2.0%	5.0%	3.0%	5.0%	4.0%

Note:

⁽¹⁾ The Bank did not differentiate dividends on activity and membership stock prior to April 2015. In February 2015, the Bank paid a quarterly dividend on all capital stock equal to an annual yield of 4.0%. In addition, the Bank paid a special dividend of 2.5%. This special dividend was based on average member capital stock for the full year of 2014.

In February 2017, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 2.0% on activity stock and membership stock, respectively.

142

Notes to Financial Statements (continued)

The following table summarizes the changes in AOCI for 2016, 2015 and 2014.

(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	64,941			13,896			—			—			—			78,837
Net change in fair value of OTTI securities	—			2,913			—			—			—			2,913
Amortization on hedging activities	—			—			—			(15		)	—			(15		)
Pension and post-retirement	—			—			—			—			(1,642		)	(1,642		)
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(23,712		)	(21,510		)	—			—			—			(45,222		)
Non-credit component of OTTI losses	—			—			(1,665		)	—			—			(1,665		)
Non-credit OTTI losses transferred	—			(1,665		)	1,665			—			—			—
Net change in fair value of OTTI securities	—			1,185			—			—			—			1,185
Reclassifications from OCI to net income:
Non-credit OTTI to credit OTTI	—			509			—			—			—			509
Amortization on hedging activities	—			—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			—			1,468			1,468
December 31, 2015	$	8,748		$	72,970		$	—		$	247		$	(1,282	)	$	80,683

December 31, 2015	$	8,748		$	72,970		$	—	$	247		$	(1,282	)	$	80,683
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(10,292		)	(4,788		)	—		—			—			(15,080		)
Net change in fair value of OTTI securities	—			303			—		—			—			303
Reclassifications from OCI to net income:
Reclassification adjustment for net (gains) losses   included in net income	(11,291		)	(1,300		)	—		—			—			(12,591		)
Non-credit OTTI to credit OTTI	—			239			—		—			—			239
Amortization on hedging activities	—			—			—		(24		)	—			(24		)
Pension and post-retirement	—			—			—		—			(1,234		)	(1,234		)
December 31, 2016	$	(12,835	)	$	67,424		$	—	$	223		$	(2,516	)	$	52,296

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Notes to Financial Statements (continued)

Note 17 – Employee Retirement Plans

Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all officers and employees of the Bank that meet certain eligibility requirements.

The Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888, and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank.

The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). During 2012, the calculation of the discount rate used to determine the funding target was changed by the Moving Ahead for Progress in the 21st Century Act (MAP-21). Certain provisions of MAP-21 were extended in 2014. MAP-21 resulted in a higher discount rate, which increased the Bank’s funded status significantly. As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make.

The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2016 were less than 5% of total plan contributions during the plan year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2015 were less than 5% of total plan contributions during the plan year ended June 30, 2014.

(dollars in thousands)	2016				2015				2014
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,396			$	4,687			$	7,247
Defined Benefit Plan funded status as of July 1	104.1		%	(a)	107.0		%	(b)	111.4		%
Bank’s funded status as of July 1	129.6		%		126.7		%		128.6		%

^(a) The Defined Benefit Plan’s funded status as of July 1, 2016 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2016 through March 15, 2017. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2018).

^(b) The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results.

Included in the net pension costs above are discretionary contributions of$7.0 million, $4.3 millionand$6.9 millionin2016,2015, and2014, respectively.As the Defined Benefit Plan's year-end is June 30, the Bank's discretionary contributions, which occur during the Bank's calendar year, may be allocated to multiple Defined Benefit Plan years.

Qualified Defined Contribution Plan.The Bank also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax qualified defined contribution pension plan. The Bank’s contributions consist of a matching contribution equal to a percentageof voluntary employee contributions, subject to certain limitations. The Bank contributed$1.0 million,$1.2 millionand$1.0 millionfor2016,2015and2014, respectively.

Nonqualified Supplemental Deferred Compensation Plans.In addition, the Bank maintains nonqualified deferred compensation plans, available to select employees and directors, which are, in substance, unfunded supplemental defined contribution retirement plans. The plans’ liabilities consist of the accumulated compensation deferrals and accrued earnings (losses) on the deferrals. The Bank’s obligation from these plans was $8.5 millionand$6.5 millionatDecember 31, 2016and2015, respectively, and the Bank recognized operating expenses of$0.9 million,$0.2 million, and$0.6 million for 2016,2015and2014, respectively. Although the nonqualified compensation plans are unfunded, the Bank owns mutual funds held in a

144

Notes to Financial Statements (continued)

Rabbi trust to help secure the Bank’s obligation to participants and to partially offset the earnings (losses) of certain deferred compensation agreements. See Note 4 - Trading Securities for additional information.

Post-retirement Health Benefit Plan.  The Bank sponsors an unfunded retiree benefits program that includes health care and life insurance benefits for eligible retirees. Employees who retired prior to January 1, 1992 receive health care benefits at the Bank’s expense after age 65. Employees retiring after January 1, 1992 participate in a health reimbursement account (HRA). At the discretion of the Bank, the amount can be modified. A limited life insurance benefit is provided at the Bank’s expense for retirees who retired prior to January 1, 2009. Employees who retired after January 1, 1992 but prior to January1, 2009were required to meet specific eligibility requirements of age65 yearsor age 60 yearswith a minimum often yearsof service at the time of retirement to be eligible for retiree health and life insurance benefits. The Accumulated Post-retirement Benefit Obligation (APBO) was$1.9 millionat bothDecember 31, 2016andDecember 31, 2015.

Supplemental Executive Retirement Plan (SERP).  The Bank also maintains an unfunded SERP, a nonqualified defined benefit retirement plan, for certain executives. The SERP ensures, among other things, that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit pension plan in the absence of limits on benefits levels imposed by the Internal Revenue Service. The accumulated benefit obligation for the SERP was $6.3 million and $5.2 million at December 31, 2016 and 2015, respectively. As noted above, all nonqualified plans maintained by the Bank are unfunded; however, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants. See Note 5 - AFS Securities for additional information.

The Post-retirement Health Benefit Plan and SERP are not material to the Bank. However, the following table sets forth their benefit obligations recorded in “Other liabilities” and amounts recognized in AOCI. In addition, the Bank recognized $1.3 million, $1.2 million, and $953 thousand in “Compensation and benefits” expense related to these two plans at December 31, 2016, 2015 and 2014, respectively.

	SERP						Post-retirement Health Benefit Plan				Total
(in thousands)	2016			2015			2016		2015		2016			2015
Benefit obligations	$	8,992		$	6,673		$	1,884	$	1,876	$	10,876		$	8,549
Unrealized actuarial gains (losses) in AOCI	$	(3,039	)	$	(1,799	)	$	523	$	517	$	(2,516	)	$	(1,282	)

Note 18 – Transactions with Related Parties

The Bank is a cooperative whose member institutions own the capital stock of the Bank and may receive dividends on their investments. In addition, certain former members that still have outstanding transactions are also required to maintain their investment in Bank capital stock until the transactions mature or are paid off. All loans, including BOB loans, are issued to members and all mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts for members primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members are entered into in the normal course of business. In instances where the member also has an officer or a director who is a Director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as all other transactions. Related parties are defined as those parties meeting any one of the following criteria: (1) other FHLBanks in the System; (2) members with capital stock outstanding in excess of 10% of total capital stock outstanding; or (3) members and nonmember borrowers that have an officer or director who is a Director of the Bank.

The following table includes significant outstanding related party member balances.

	December 31,
(in thousands)	2016		2015
Investments	$	242,835	$	176,345
Advances	60,916,692		54,610,238
Letters of credit (1)	6,236,508		8,245,423
MPF loans	880,877		1,052,569
Deposits	16,510		24,636
Capital stock	2,707,466		2,366,721

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Notes to Financial Statements (continued)

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 interest expense on deposits were immaterial for the periods presented.

	Year ended December 31,
(in thousands)	2016		2015		2014
Interest income on investments	$	3,512	$	1,505	$	938
Interest income on advances (1)	383,958		200,743		138,121
Interest income on MPF loans	52,185		64,002		80,674
Letters of credit fees	8,574		10,796		8,481
Prepayment fees on advances	8,370		—		13,787

Note:

⁽¹⁾ For 2016, 2015 and 2014, respectively, includes contractual interest income of $433.5 million, $341.5 million, and $319.5 million; net interest settlements on derivatives in fair value hedge relationships of $(52.1) million, $(139.8) million, and $(177.8) million; and total amortization of basis adjustments of $2.5 million, $(0.9) million, and $(3.6) million.

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

(in thousands)	2016		2015		2014
Total MPF loan volume purchased	$	20,951	$	8,756	$	13,049

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

	Year ended December 31,
(in thousands)	2016		2015		2014
Servicing fee expense	$	1,398	$	1,147	$	994

	December 31,
(in thousands)	2016		2015
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,909	$	6,075

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. For 2016, 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 at fair value its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During 2014, the Bank was paid at fair value to assume the debt of FHLBank New York with a par value of $59.0 million and fair value of $65.6 million. During 2016 and 2015, 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 2016, 2015 and 2014.

Note 19– 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 December 31, 2016 and 2015. 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.

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Notes to Financial Statements (continued)

The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2016 and 2015 are presented in the table below.

Fair Value Summary Table
	December 31, 2016
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,587,605	$	3,587,605	$	—	$	—	$	—		$	3,587,605
Interest-bearing deposits	5,909		—		5,909		—		—			5,909
Federal funds sold	3,222,000		—		3,221,945		—		—			3,221,945
Securities purchased under agreement to resell	2,000,000		—		1,999,962		—		—			1,999,962
Trading securities	395,247		7,092		388,155		—		—			395,247
AFS securities	9,038,081		2,000		8,362,105		673,976		—			9,038,081
HTM securities	2,566,135		—		2,182,254		394,728		—			2,576,982
Advances	76,808,704		—		76,843,531		—		—			76,843,531
Mortgage loans held for portfolio, net	3,390,727		—		3,403,217		—		—			3,403,217
BOB loans, net	12,276		—		—		12,276		—			12,276
Accrued interest receivable	124,247		—		124,247		—		—			124,247
Derivative assets	81,891		—		97,476		—		(15,585		)	81,891
Liabilities:
Deposits	$	558,891	$	—	558,895		$	—	$	—		$	558,895
Discount notes	28,500,341		—		28,499,258		—		—			28,499,258
Bonds	67,156,031		—		67,163,445		—		—			67,163,445
Mandatorily redeemable capital stock (1)	5,216		5,286		—		—		—			5,286
Accrued interest payable (1)	117,183		—		117,113		—		—			117,113
Derivative liabilities	14,010		—		200,904		—		(186,894		)	14,010

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Notes to Financial Statements (continued)

	December 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,376,964	$	2,376,964	$	—	$	—	$	—		$	2,376,964
Interest-bearing deposits	6,075		—		6,075		—		—			6,075
Federal funds sold	3,980,000		—		3,979,884		—		—			3,979,884
Securities purchased under agreement to resell	1,000,000		—		999,984		—		—			999,984
Trading securities	394,737		5,442		389,295		—		—			394,737
AFS securities	8,099,894		1,998		7,265,988		831,908		—			8,099,894
HTM securities	2,663,304		—		2,171,206		512,865		—			2,684,071
Advances	74,504,776		—		74,434,577		—		—			74,434,577
Mortgage loans held for portfolio, net	3,086,855		—		3,219,846		—		—			3,219,846
BOB loans, net	11,276		—		—		11,276		—			11,276
Accrued interest receivable	107,345		—		107,345		—		—			107,345
Derivative assets	65,855		—		70,478		—		(4,623		)	65,855
Liabilities:
Deposits	$	685,937	$	—	$	685,951	$	—	$	—		$	685,951
Discount notes	42,276,815		—		42,269,700		—		—			42,269,700
Bonds	48,605,982		—		48,660,776		—		—			48,660,776
Mandatorily redeemable capital stock (1)	6,053		6,130		—		—		—			6,130
Accrued interest payable (1)	92,765		—		92,688		—		—			92,688
Derivative liabilities	42,508		—		331,738		—		(289,230		)	42,508

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. 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 2016 or 2015.

148

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. These instruments’ maturity term is overnight.

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. These instruments’ maturity term is overnight.

Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2016 and December 31, 2015. These instruments’ maturity term is overnight.

Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

• CO curve: GSE and other U.S. obligations

The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from two designated third-party vendors when available, and the default price is the average of the two prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS.

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 such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. 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.

As of December 31, 2016, four vendor prices were received for a majority of the Bank’s MBS holdings, and the final prices for nearly all of those securities were computed by averaging the four prices. Based on the Bank’s reviews of the pricing

149

Notes to Financial Statements (continued)

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. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2016, the Bank classified private label MBS 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 and a price adjustment reflective of a secondary mortgage market participant. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions used 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 uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared 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, and, if negative, as 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 and a pricing adjustment reflective of the secondary mortgage market.

BOB Loans. The fair value approximates the carrying value.

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Notes to Financial Statements (continued)

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. Substantially all of these instruments’ maturity terms are overnight.

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. 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 December 31, 2016 and 2015.

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.

151

Notes to Financial Statements (continued)

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2016 and 2015. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	December 31, 2016
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	388,155	$	—	$	—		$	388,155
Mutual funds	7,092		—		—		—			7,092
Total trading securities	$	7,092	$	388,155	$	—	$	—		$	395,247
AFS securities:
Non-MBS:
GSE and TVA obligations	$	—	$	3,183,193	$	—	$	—		$	3,183,193
State or local agency obligations	—		236,412		—		—			236,412
Mutual funds	2,000		—		—		—			2,000
MBS:
Other U.S. obligations single family MBS	—		216,434		—		—			216,434
GSE single-family MBS	—		3,213,162		—		—			3,213,162
GSE multifamily MBS	—		1,512,904		—		—			1,512,904
Private label residential MBS	—		—		673,976		—			673,976
Total AFS securities	$	2,000	$	8,362,105	$	673,976	$	—		$	9,038,081
Derivative assets:
Interest rate related	$	—	$	97,450	$	—	$	(15,585	)	$	81,865
Mortgage delivery commitments	—		26		—		—			26
Total derivative assets	$	—	$	97,476	$	—	$	(15,585	)	$	81,891
Total recurring assets at fair value	$	9,092	$	8,847,736	$	673,976	$	(15,585	)	$	9,515,219
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	200,806	$	—	$	(186,894	)	$	13,912
Mortgage delivery commitments	—		98		—		—			98
Total recurring liabilities at fair value (2)	$	—	$	200,904	$	—	$	(186,894	)	$	14,010
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	13,359	$	—		$	13,359
Real estate owned (3)	—		—		6,475		—			6,475
Total non-recurring assets at fair value	$	—	$	—	$	19,834	$	—		$	19,834

152

Notes to Financial Statements (continued)

	December 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	389,295	$	—	$	—		$	389,295
Mutual funds	5,442		—		—		—			5,442
Total trading securities	$	5,442	$	389,295	$	—	$	—		$	394,737
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	3,469,205	$	—	$	—		$	3,469,205
State or local agency obligations	—		134,120		—		—			134,120
Mutual funds	1,998		—		—		—			1,998
MBS:
Other U.S. obligations single family MBS	—		268,536		—		—			268,536
GSE single family MBS	—		2,383,630		—		—			2,383,630
GSE multifamily MBS	—		1,010,497		—		—			1,010,497
Private label MBS:
Private label residential MBS	—		—		822,740		—			822,740
HELOCs	—		—		9,168		—			9,168
Total AFS securities	$	1,998	$	7,265,988	$	831,908	$	—		$	8,099,894
Derivative assets:
Interest rate related	$	—	$	70,225	$	—	$	(4,623	)	$	65,602
Mortgage delivery commitments	—		253		—		—			253
Total derivative assets	$	—	$	70,478	$	—	$	(4,623	)	$	65,855
Total recurring assets at fair value	$	7,440	$	7,725,761	$	831,908	$	(4,623	)	$	8,560,486
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Total recurring liabilities at fair value (2)	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	32,294	$	—		$	32,294
Real estate owned (3)	—		—		8,175		—			8,175
Total non-recurring assets at fair value	$	—	$	—	$	40,469	$	—		$	40,469

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.

⁽³⁾ The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

There were no transfers between Levels 1 or 2 during 2016, 2015, or 2014.

153

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 years ended December 31, 2016, 2015 and 2014. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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 2016 or 2014. During 2015, the Bank transferred three private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded.

	AFS Private Label MBS-Residential Year Ended December 31, 2016			AFS Private Label MBS- HELOCs Year Ended December 31, 2016
Balance, beginning of period	$	822,740		$	9,168
Total gains (losses) (realized/unrealized) included in:
Sale of AFS	(117		)	1,417
Accretion of credit losses in interest income	18,566			203
Net OTTI losses, credit portion	(239		)	—
Net unrealized gains on AFS in OCI	29			—
Reclassification of non-credit portion included in net income	356			(1,417		)
Net change in fair value on OTTI AFS in OCI	303			—
Unrealized (losses) on OTTI AFS in OCI	(4,609		)	(179		)
Purchases, issuances, sales, and settlements:
Sales	(8,609		)	(8,510		)
Settlements	(154,444		)	(682		)
Balance at December 31	$	673,976		$	—
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2016	$	18,327		$	—

	AFS Private Label MBS-Residential Year Ended December 31, 2015			AFS Private Label MBS-HELOCs Year Ended December 31, 2015
Balance, beginning of period	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	18,479			1,382
Net OTTI losses, credit portion	(894		)	—
Net unrealized (losses) on AFS in OCI	(46		)	—
Reclassification of non-credit portion included in net income	509			—
Net change in fair value on OTTI AFS in OCI	1,185			—
Unrealized (losses) on OTTI AFS in OCI	(20,651		)	(859		)
Purchases, issuances, sales, and settlements:
Settlements	(157,211		)	(3,054		)
Transfer of OTTI securities from HTM to AFS	10,286			—
Balance at December 31	$	822,740		$	9,168
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2015	$	17,585		$	1,382

154

Notes to Financial Statements (continued)

	AFS Private Label MBS-Residential Year Ended December 31, 2014			AFS Private Label MBS-HELOCs Year Ended December 31, 2014
Balance, beginning of period	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	12,864			1,415
Net unrealized (losses) on AFS in OCI	(127		)	—
Net change in fair value on OTTI AFS in OCI	2,804			109
Unrealized gains on OTTI AFS in OCI	14,298			(402		)
Purchases, issuances, sales, and settlements:
Settlements	(182,380		)	(3,851		)
Balance at December 31	$	971,083		$	11,699
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2014	$	12,864		$	1,415

Note 20 – Commitments and Contingencies

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

(in thousands)	December 31, 2016						December 31, 2015
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	19,736,792	$	—	$	19,736,792	$	20,171,604
Commitments to fund additional advances and BOB loans	158,167		—		158,167		480,634
Commitments to fund or purchase mortgage loans	15,450		—		15,450		9,950
Unsettled consolidated obligation bonds, at par	2,015,000		—		2,015,000		261,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $467.0 million and $136.4 million at December 31, 2016 and 2015, respectively.

⁽²⁾ Letters of credit in the amount of $7.0 billion and $5.5 billion at December 31, 2016 and 2015, respectively, 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 approximately 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 overnight advance.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $5.0 million and $5.7 million as of December 31, 2016 and 2015, 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 Statement of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at December 31, 2016 and 2015. However, within the Bank’s Open RepoPlus advance product, there were conditional lines of credit outstanding of $7.1 billion and $7.4 billion at December 31, 2016 and 2015 respectively.

155

Notes to Financial Statements (continued)

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 60 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 11 - Derivatives and Hedging Activities in this Form 10-K for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Lease Commitments. The Bank charged to operating expense net rental costs of $2.1 million for each of the years 2016, 2015, and 2014. Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank. The table below presents the future minimum rentals for operating leases as of December 31, 2016.

	December 31, 2016
(in thousands)	Premises and Equipment
2017	$	2,014
2018	1,903
2019	1,878
2020	1,911
2021	1,928
Thereafter	6,624
Total	$	16,258

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 1, 8, 11, 14, 15, 16 and 18 also discuss other commitments and contingencies.

Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

None

Item 9A: Controls and Procedures

Disclosure 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 December 31, 2016.

Management’s Report on Internal Control Over Financial Reporting

See Item 8. Financial Statements and Supplementary Financial Data — Management’s Annual Report on Internal Control over Financial Reporting in this Form 10-K.

Changes in Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the fourth quarter of 2016 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

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Item 9B: Other Information

None

PART III 

Item 10: Directors, Executive Officers and Corporate Governance

As required by the Housing Act, the Bank’s Board is comprised of a combination of industry directors elected by the Bank’s member institutions (Member Directors) on a state-by-state basis and independent directors elected by a plurality of the Bank’s members (Independent Directors). No member of the Bank’s management may serve as a director of an FHLBank. The Bank’s Board currently includes ten Member Directors and seven Independent Directors. The Housing Act requires that all of the Bank's Directors be elected by the Bank's members.

Nomination of Member Directors

Member Directors are required by statute and regulation to meet certain specific criteria in order to be eligible to be elected and serve as Bank Directors. To be eligible, an individual must: (1) be an officer or director of a Bank member institution located in the state in which there is an open Bank Director position; (2) the member institution must be in compliance with the minimum capital requirements established by its regulator; and (3) the individual must be a U.S. citizen. See 12 U.S.C. 1427 and 12 C.F.R. 1261 et.seq. These criteria are the only permissible eligibility criteria that Member Directors must meet. The FHLBanks are not permitted to establish additional eligibility criteria or qualifications for Member Directors or nominees. For Member Directors, each eligible institution may nominate representatives from member institutions in its respective state to serve four-year terms on the Board of the Bank. As a matter of statute and regulation, only FHLBank stockholders may nominate and elect Member Directors. FHLBank Boards are not permitted to nominate or elect Member Directors. Specifically, institutions, which are members required to hold stock in the Bank as of the record date (i.e., December 31 of the year prior to the year in which the election is held), are entitled to participate in the election process. With respect to Member Directors, under Finance Agency regulations, no director, officer, employee, attorney, or agent of the Bank (except in his/her personal capacity) may, directly or indirectly, support the nomination or election of a particular individual for a Member Directorship. Because of the laws and regulations governing FHLBank Member Director nominations and elections, an FHLBank does not know what factors a Bank’s member institutions consider in selecting Member Director nominees or electing Member Directors. Under 12 C.F.R. 1261.9, if an FHLBank’s Board has performed a self-assessment, then, in publishing the nomination or election announcement, that FHLBank can include a statement indicating to the FHLBank’s members participating in the election what skills or experience the Board believes would enhance the FHLBank’s Board. In 2016, the Bank included a statement in its nomination announcement that the Board had identified the need for Board leadership continuity and that candidate diversity should be considered by members when nominating candidates for Member Directorships. In 2015, 2014 and 2013, the Bank followed this same process and included statements on the skill needs identified by the Board in each year and that diversity should be considered by members when nominating candidates for Member Directorships as well.

As a result of the merger of Mr. Ward’s institution with a Delaware institution, Mr. Ward resigned from the Board in 2016 as a Pennsylvania Member Director. Pursuant to Finance Agency Regulation 12 C.F.R. 1261.14, the Bank’s Board was required to elect an individual to fill the vacant seat for the remainder of the term. The Bank’s Board elected Mr. James R. Reske, Executive Vice President, Chief Financial Officer and Treasurer of First Commonwealth Bank effective September 1, 2016.

Nomination of Independent Directors

For the remainder of directors (referred to as Independent Directors), the members elect these individuals on a district-wide basis to four-year terms. Independent Directors cannot be officers or directors of a Bank member. Independent Director nominees must meet certain statutory and regulatory eligibility criteria and must have experience in, or knowledge of, one or more of the following areas: auditing and accounting, derivatives, financial management, organizational management, project development, and risk management practices. In the case of a public interest Independent Director nominee, such nominee must have four years’ experience representing consumer or community interests in banking services, credit needs, housing, or consumer financial protection. See 12 C.F.R. 1261.6.

157

Finance Agency regulations permit a Bank Director, officer, attorney, employee, or agent and the Bank’s Board and Advisory Council to support the candidacy of any person nominated by the Board for election to an Independent Directorship. Under the Finance Agency regulation governing Independent Directors, members are permitted to recommend candidates to be considered by the Bank to be included on the nominee slate and the Bank maintains a standing notice soliciting nominations for Independent Director positions on its public website.

In 2016, the Bank’s Independent Director nomination notice included a statement encouraging members to consider diversity and Board leadership continuity. Prior to finalizing the Independent Director nominee slate, the Bank’s Board (or representatives thereof) is required to consult with the Bank’s Affordable Housing Advisory Council and the slate must be sent to the Finance Agency for its review.

In 2016, the Bank’s Board selected incumbent directors Patrick A. Bond and Brian A. Hudson based on a determination that they met the required regulatory qualifications (financial management). Messrs. Bond and Hudson also meet the qualifications to serve as public interest directors and were designated as public interest directors as well.

Additionally, in 2016, as a result of Angela J. Yochem’s resignation from the Board, there was a vacancy created for the remainder of her term ending December 31, 2017. The Bank’s Board identified the need to replace Ms. Yochem’s information technology expertise. Pursuant to Finance Agency Regulation 12 C.F.R. 1261.14, the Bank’s Board elected Thomas H. Murphy, CIO of University of Pennsylvania.

In 2015, the Bank’s Board selected incumbent directors John K. Darr and Pamela Godwin as Independent director nominees, based on a determination that they met the required regulatory qualifications (financial management experience). Additionally, Mr. Darr met the identified need for hedging/derivatives experience and Ms. Godwin met the identified need for insurance company experience.

In 2014, the Bank’s Board selected Glenn R. Brooks as the public interest Independent Director nominee, based on a determination that he met the required regulatory qualifications for a public interest director described above. Mr. Brooks was elected to the Bank’s Board in 2014 (for a term beginning January 2015).

In 2013, the Bank’s Board selected Mr. Cortés as the Independent Director nominee based on a determination that he met the required regulatory qualifications (e.g., public interest director) described above.

2016 Member and Independent Director Elections

Voting rights and process with regard to the election of Member and Independent Directors are set forth in 12 U.S.C. 1427 and 12 C.F.R. 1261. For the election of both Member Directors and Independent Directors, each eligible institution is entitled to cast one vote for each share of stock that it was required to hold as of the record date (December 31 of the preceding year); however, the number of votes that each institution may cast for each directorship cannot exceed the average number of shares of stock that were required to be held by all member institutions located in that state on the record date. The only matter submitted to a vote of shareholders in 2016 was the election of vacant Member and Independent Directors, which occurred in the fourth quarter of 2016 as described above. The Bank conducted these elections to fill the open Member and Independent Directorships for 2016 designated by the Finance Agency.

In 2016, the nomination and election of Member Directors and Independent Directorswas conducted electronically. No meeting of the members was held in regard to the election. The Board of the Bank does not solicit proxies, nor are eligible institutions permitted to solicit or use proxies to cast their votes in an election for Member or Independent Directors. The election was conducted in accordance with 12 C.F.R. 1261. The Pennsylvania Member Directors elected were: Brendan J. McGill and James R. Biery. The Independent Directors re-elected were Mr. Bond and Mr. Hudson. Information about the results of the 2016 Member and Independent Director elections, including the votes cast, was reported in Form 8-K filed on November 14, 2016, included as Exhibit 22.1 to this Form 10-K.

Information Regarding Current FHLBank Directors

The following table sets forth certain information (ages as of February 28, 2017) regarding each of the Directors serving on the Bank’s Board, beginning on January 1, 2017. No Director of the Bank is related to any other Director or executive officer of the Bank by blood, marriage, or adoption.

158

Name	Age	Director Since	Term Expires	Board Committees
Patrick A. Bond (Independent) *	67	2007	2020	(a)(b)(c)(d)(e)(f)(g)(h)
John K. Darr (Vice Chair) (Independent) *	72	2008	2019	(a)(b)(c)(d)(e)(f)(g)(h)
Pamela C. Asbury (Member) ****	52	2015	2019	(d)(e)(h)
James R. Biery (Member)	68	2017	2020	(c)(e)(h)
Glenn R. Brooks (Independent)	53	2015	2018	(a)(d)(h)
Rev. Luis A. Cortés, Jr. (Independent) **	59	2007	2017	(a)(d)(g)(h)
Pamela H. Godwin (Independent)	67	2013	2019	(c)(f)(g)(h)
Brian A. Hudson (Independent)	62	2007	2020	(a)(b)(g)(h)
William C. Marsh (Member)	50	2012	2019	(d)(e)(h)
Brendan J. McGill (Member)	48	2017	2020	(d)(f)(h)
Charlotte B. McLaughlin (Member)	63	2011	2018	(b)(f)(g)(h)
Lynda A. Messick (Member) ***	64	2011	2018	(a)(c)(g)(h)
Thomas H. Murphy (Independent) *****	54	2016	2017	(c)(e)(h)
Charles J. Nugent (Member)	68	2010	2017	(b)(e)(g)(h)
Gerald P. Plush (Member)	58	2016	2019	(b)(f)(h)
James R. Reske (Member) ******	53	2016	2017	(a)(b)(h)
Bradford E. Ritchie (Member)	49	2011	2018	(c)(f)(h)

(a) Member of Audit Committee

(b) Member of Finance Committee

(c) Member of Governance and Public Policy Committee

(d) Member of Affordable Housing, Products and Services Committee

(e) Member of Operational Risk Committee

(f) Member of Human Resources and OMWI Committee

(g) Member of Executive Committee

(h) Member of Enterprise Risk Management (ERM) Committee. This is a committee of the whole.

* Serves on the Executive and ERM Committees and as a nonvoting ex-officio member of other committees.

** Rev. Cortés served a previous term from 2002 to 2004 as an appointed director.

*** Ms. Messick was elected by the Board in 2011 to fill a seat vacated by Mr. Gibson for a term that ended December 31, 2011. She was again elected in June 2012 to fill a seat vacated by Mr. Mason for a term that ended December 31, 2014.

**** Ms. Asbury was elected in 2015 by the Board to fill a seat vacated by Mr. Prizzia for a term ending December 31, 2015, as reported on Form 8-K filed by the Bank on January 29, 2015.

***** Pursuant to Finance Agency Regulation, Mr. Murphy was elected by the Bank’s Board effective November 14, 2016 to fill a seat vacated by Ms. Yochem for a term ending December 31, 2017, as reported on Form 8-K filed by the Bank on November 14, 2016.

****** Pursuant to Finance Agency Regulation, Mr. Reske was elected by the Bank’s Board effective September 1, 2016 to fill a seat vacated by Mr. Ward for a term ending December 31, 2017, as reported on Form 8-K filed by the Bank on September 7, 2016.

Patrick A. Bond (Chair). Patrick Bond joined the Board of Directors of the Bank in May 2007. He is a Founding General Partner of Mountaineer Capital, LP in Charleston, West Virginia. He graduated with a BS in Industrial Engineering and an MS in Industrial Engineering from West Virginia University. He is a Board Member of the West Virginia Symphony Orchestra, Treasurer of the Board of Charleston Area Alliance, Chairman of the Board of Directors of Mid-Atlantic Holdings, Board Member of Troy, LLC, and a former member of the Bank’s Affordable Housing Advisory Council.

John K. Darr (Vice Chair). John Darr joined the Board of Directors of the Bank in January 2008. Mr. Darr retired from the FHLBanks’ Office of Finance at the end of 2007 where he served as CEO and Managing Director for 15 years. He was responsible for issuing debt in the global capital markets on behalf of the FHLBanks, consistent with their mission of providing low-cost liquidity for member-owner financial institutions. He also was responsible for issuing the FHLBank System’s Combined Financial Statement and was intimately involved in the FHLBank System’s SEC Registration process. Mr. Darr has a total of 46 years of business experience, including several years as Treasurer of FHLBank San Francisco, serving as a control officer of three member institutions, and as CFO of Sallie Mae, CEO of a registered investment management company, and Managing Director of Mortgage Finance at a securities dealer. In addition to his service on the Board of FHLBank Pittsburgh, Mr. Darr is a Trustee of a mutual fund complex serving as a Trustee of Advisors Inner Circle Fund I, Advisors Inner Circle Fund II, and Bishop Street Funds. Mr. Darr also serves as a Director of two non-profit entities, including Meals on Wheels, Lewes/Rehoboth and the West Rehoboth Land Trust.

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Pamela C. Asbury.Pamela Asbury joined the Board of Directors of the Bank in January 2015. Ms. Asbury is Vice President of the U.S. life insurance companies of Genworth Financial, Inc., including Genworth Life Insurance Company and has over 30 years of experience in the insurance industry. She is an active member of insurance industry committees including the American Council of Life Insurers and has served as past chair of the LOMA Group Pension and Investment Products Committee and as a member of the Stable Value Investment Association. Ms. Asbury received her undergraduate degree from Virginia Commonwealth University’s School of Business and is a certified Six Sigma Black Belt under the GE Capital Project Management Program.

James R. Biery. James Biery joined the Board of Directors of the Bank in January 2017. Mr. Biery is Director of DNB First, NA where he currently is Chairman of the Benefits & Compensation, Audit, and Nominating & Corporate Governance Committees. Mr. Biery is the former President and CEO of the Pennsylvania Bankers Association (PBA), a position he held for the last 22 years of his 37-year tenure at the PBA which ended in November 2013. Mr. Biery is Chairman of the Pennsylvania Banking and Securities Commission. Mr. Biery chaired the Pennsylvania Department of Banking Transition Team under Governor Corbett and currently serves as a Board Member of the Pennsylvania Public School Employees Retirement System. Mr. Biery is Treasurer and Partner of Tri-County Investors. Mr. Biery is past Chairman of the State Association Division of the American Bankers Association, former Board member for Silver Spring Township Authority and the Eagle Foundation of the Cumberland Valley School District. Mr. Biery graduated from Lebanon Valley College and received a Masters in Governmental Administration from the Wharton Graduate School at the University of Pennsylvania.

Glenn R. Brooks. Glenn Brooks joined the Board of Directors of the Bank in January 2015. He is President of Leon N. Weiner & Associates, Inc., a Wilmington, Delaware based home-building, development and property management firm. The Weiner organization and its affiliated companies have developed and constructed more than 4,500 homes and 9,000 apartments as well as several hotels, office and retail properties. He is responsible for promoting, directing, and overseeing the expansion and growth of the Weiner organization’s development activities and is a member of the firm’s Board of Directors. He has been employed by the firm since 1986. Mr. Brooks served on the Bank’s Affordable Housing Advisory Council between 2004 and 2012. He served as Vice Chairman of the Council in 2006 and 2007 and as Chairman from 2008 to 2010. Mr. Brooks served as the Chairman of the Building Committee of Grove United Methodist Church in West Chester, Pennsylvania from 2009 through 2010. He also served as the President of the Board of Trustees for five years and currently serves on the church’s Finance and Steering Team. Mr. Brooks sits on the Multifamily Board of Trustees and served as Chairman of the Housing Credit Group Committee of the National Association of Homebuilders in 2015 and 2016. He holds a Bachelor of Business Degree from the College of William & Mary in Virginia.

Luis A. Cortés, Jr.Luis Cortés joined the Board of Directors of the Bank in April 2007. Reverend Cortés has served as the President and CEO of Esperanza since its inception in 1986. Esperanza is the largest Hispanic faith-based organization in the country. The not-for-profit corporation has over 340 employees and manages a $39 million budget. The organization is networked with over twelve thousand Latino congregations in the United States. He is also President Emeritus of Hispanic Clergy of Philadelphia, a religious organization. He has served as a Board member of the Bank from 2002 through 2004, which included his serving as Vice Chairman of the Board. He also serves on the Board of The Cancer Treatment Centers of America, a privately held cancer hospital as well as on the Board of the Kimmel Center in Philadelphia. He developed housing and commercial real estate in the millions of dollars in inner city communities and has published several books, two of which are focused on financial literacy.

Pamela H. Godwin. Pamela Godwin joined the Board of Directors of the Bank in January 2013. Pamela Godwin is President of Change Partners, Inc. an executive coaching and change management consulting firm. Previously, she was President and Chief Operating Officer of GMAC Insurance Personal Lines-Agency Division. Ms. Godwin is a director of Unum Group (NYSE) where she is Chair of the Governance Committee and a member of the Risk and Finance Committee. She is a 2011 NACD Board Leadership Fellow and serves on the board of the Philadelphia Chapter of NACD. Ms. Godwin is currently a member of the Board of Pathways PA. She is a member of Women Corporate Directors, the Committee of 200 and Philadelphia’s Forum of Executive Women, of which she is past President. A Phi Beta Kappa graduate of Pennsylvania State University, Ms. Godwin also holds the Chartered Property and Casualty Underwriter designation (CPCU).

Brian A. Hudson. Brian Hudson joined the Board of Directors of the Bank in May 2007. Mr. Hudson is currently the Executive Director and Chief Executive Officer of Pennsylvania Housing Finance Agency (PHFA) in Harrisburg, Pennsylvania. He has a BA from Pennsylvania State University. He is a CPA and a Certified Treasury Professional (CTP). He is a member and past President of the Board of National Council of State Housing Agencies, Chair of Commonwealth Cornerstone Group, Board member of National Housing Trust, and former member of the Federal Reserve Consumer Advisory Council.

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William C. Marsh. William Marsh joined the Board of Directors of the Bank in January 2012. Since January 2009 he has been Chairman of the Board, President and Chief Executive Officer of Emclaire Financial Corp. and The Farmers National Bank of Emlenton. Prior to that he served as Executive Vice President and Chief Financial Officer of these entities since June 2006. Mr. Marsh has served as the chief financial officer and executive of a number of publicly-traded bank holding companies since 1994. Prior to that he served as an audit manager with the international accounting firm, KPMG. Mr. Marsh is a CPA.

Brendan J. McGill. Brendan McGill joined the Board of Directors of the Bank in January 2017.Mr. McGill is President and Chief Operating Officer of Harleysville Savings Bank. Mr. McGill has served as a Director and President of Harleysville Savings Financial Corporation since September 2014 and as Chief Operating Officer since June 2010. Previously, Mr. McGill served as Executive Vice President and Chief Financial Officer from May 2009 until September 2014. From February 2000 until May 2009, Mr. McGill served as the company’s Senior Vice President, Treasurer and Chief Financial Officer. Mr. McGill joined the Harleysville Savings Bank in September 1999 as Senior Vice President, Chief Financial Officer and Treasurer.

Charlotte B. McLaughlin. Charlotte McLaughlin joined the Board of Directors of the Bank in January 2010. Ms. McLaughlin is Executive Vice President of PNC Bank, N.A. and President and Chief Executive Officer of PNC Capital Markets, LLC. Ms. McLaughlin is responsible for all aspects of PNC’s capital markets business, including product strategy, sales, risk management, and financial accountability. Ms. McLaughlin is also responsible for the Financial Institutions group. Ms. McLaughlin has over 35 years of banking and securities industry experience. She joined PNC’s Corporate Banking business in July 1996 as senior vice president and managing director, responsible for the Derivatives Trading and Foreign Exchange groups. In August 2001, she assumed responsibility for the fixed income sales and trading area. She was named to her current position in July 2002. Prior to joining PNC, Ms. McLaughlin served as manager of Global Rate Risk Management Products for Mellon Bank. She is a director of the ABA Securities Association, Inc. in Washington, D.C., director and executive committee member for the National Futures Association, and is a member of the external advisory board for Penn State Schreyer Honors College. Ms. McLaughlin received her BS degree from Pennsylvania State University in 1975 and received a master's degree in finance from the University of Pittsburgh in 1981.

Lynda A. Messick. Lynda Messick joined the Board of Directors of the Bank in 2012 to serve the remainder of the term of a Delaware Director whose bank was acquired. She is a Director of County Bank and was formerly the President and CEO of Community Bank Delaware since 2006, and was formerly the President of Delaware National Bank, a community bank she helped found in 1979. Ms. Messick is Chair of the Nanticoke Health Services board, a nonprofit health care provider in Sussex County Delaware. She also served on the Sussex County Pension committee and is a former board member of the American Red Cross of the Delmarva Peninsula, the United Way of Delaware, Junior Achievement of Delaware, the Rehoboth Beach Film Society, and the friends of the Lewes Canalfront Park. She is also treasurer of Micronics Inc. Board of Directors, a privately held water technology company. She is a former member of the Delaware Bankers' Association Board and the Independent Community Bankers Association of America (ICBAA) board. Ms. Messick also serves as a director of Atlantic Community Bankers Bank.

Thomas H. Murphy. Thomas Murphy joined the Board of Directors of the Bank in November 2016. He is the Chief Information Officer (CIO) at the University of Pennsylvania, where he is responsible for the central IT organization, information systems and computing. He has been the CIO at the University of Pennsylvania since 2013. From 2004 through 2012, Mr. Murphy was the Senior Vice President and Global CIO for AmerisourceBergen, a provider of pharmaceutical and healthcare services. He joined AmerisourceBergen from Royal Caribbean Cruise Lines where he also held the title of Global CIO. Mr. Murphy is the Chairperson of the Chief Information Security Officer (CISO) coalition, co-founder and Board Member of the Technology Business Management Council, and is on the National Leadership Board of the Professional Development Academy.

Charles J. Nugent. Charles Nugent joined the Board of Directors of the Bank in January 2010. Mr. Nugent is Vice President of Fulton Bank, N.A. Through December 2013, he also served as Senior Executive Vice President and Chief Financial Officer of Fulton Financial Corporation. Prior to joining Fulton in 1992, he served for eight years as the Chief Financial Officer of First Peoples Financial Corporation in New Jersey. Earlier in his career, he worked for Philadelphia National Corporation and Price Waterhouse. He has been active in a variety of community activities, having served on the Boards of Directors of St. Joseph’s Hospital of Lancaster, the United Way of Lancaster County, the Susquehanna Association for the Blind and Vision Impaired, the Lancaster Symphony Orchestra, the Hamilton Club of Lancaster and the YMCA of Lampeter Strasburg. Mr. Nugent earned a BS degree in Business Administration from LaSalle University. He is a CPA.

Gerald P. Plush. Gerald Plush joined the Board of Directors of the Bank in January 2016. Mr. Plush joined Santander in April of 2014 as Chief Financial Officer of Santander Holdings US (SHUSA), and is a Senior Executive Vice President of Santander Bank, NA. He currently serves as a member of the SHUSA Executive Management Committee and as a director for

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Santander Consumer USA. Prior to joining Santander, Mr. Plush served as President and Chief Operating Officer of Webster Bank, where he previously served as CFO and Chief Risk Officer and was a member of the board of directors. Prior to Webster Bank, he worked at MBNA America, most recently as Senior Executive Vice President and Managing Director for corporate development and acquisitions, where he also previously served in a number of senior roles, including as CFO - North America.

James R. Reske. James Reske joined the Board of Directors of the Bank in September 2016. Mr. Reske joined First Commonwealth Financial Corporation in April 2014 and is Executive Vice President, Chief Financial Officer and Treasurer of First Commonwealth Bank. Prior to joining First Commonwealth, Mr. Reske served as Executive Vice President, Chief Financial Officer, and Treasurer at United Community Financial Corporation in Youngstown, Ohio from 2008 until 2014. Mr. Reske's financial services career includes investment banking roles within the financial institutions groups at Keybanc Capital Markets, Inc. in Cleveland, Ohio and at Morgan Stanley & Company in New York. Mr. Reske also provided expertise and counsel to financial institutions and other organizations on mergers and acquisitions and capital markets activities as an attorney at Wachtell, Lipton, Rosen & Katz, as well as at Sullivan & Cromwell. Earlier in his career, Mr. Reske worked at the Board of Governors of the Federal Reserve System in Washington, D.C. and at the Federal Reserve Bank of Boston.

Bradford E. Ritchie. Bradford Ritchie joined the Board of Directors of the Bank in January 2011. Mr. Ritchie is currently the President of Summit Community Bank. Prior to joining Summit Community Bank he served as the President of Charleston Market of United Bank Inc. until July 2008. Before then, Mr. Ritchie spent seven years at Arnett & Foster, a West Virginia CPA firm. Mr. Ritchie is a graduate of West Virginia University with a degree in Business Administration/Accounting. He is a CPA and is a member of the Board of Directors of the West Virginia Society of Certified Public Accountants. Mr. Ritchie serves on the Board of Trustees of the University of Charleston and is a past director of the United Way of Central West Virginia and the Community Council of Charleston.

Audit Committee

The Audit Committee has a written charter adopted by the Bank’s Board of Directors. The Audit Committee is responsible for the appointment, compensation, and oversight of the Bank’s independent Registered Public Accounting Firm (RPAF) and Chief Internal Auditor. The Audit Committee is also responsible for approving all audit engagement fees, as well as any permitted non-audit services with the independent RPAF. The Audit Committee pre-approves all auditing services and permitted non-audit services to be performed for the Bank by the independent RPAF. The independent RPAF reports directly to the Audit Committee. The Bank’s Chief Internal Auditor also reports directly to the Committee. The Audit Committee assists the Board in fulfilling its responsibilities for general oversight of:

• The Bank’s financial reporting processes and the audit of the Bank’s financial statements, including the integrity of the Bank’s financial statements;

• The Bank’s administrative, operating, and internal accounting controls;

• The Bank’s compliance with legal and regulatory requirements;

• The independent auditors’ qualifications and independence; and

• The performance of the Bank’s internal audit function and independent auditors.

As of February 28, 2017, the Audit Committee was composed of Messrs. Hudson (Chair), Brooks, (Vice Chair), Rev. Cortés, Ms. Messick and Mr. Reske. The Audit Committee regularly holds separate sessions with the Bank’s management, internal auditors, and independent RPAF.

The Board has determined that Messrs. Hudson and Reske and Ms. Messick are each an “audit committee financial expert” within the meaning of the SEC rules. The Bank is required for the purposes of SEC rules regarding disclosure to use a definition of independence of a national securities exchange or a national securities association and to disclose whether each “audit committee financial expert” is “independent” under that definition. The Board has elected to use the New York Stock Exchange definition of independence, and under that definition, Messrs. Hudson and Reske and Ms. Messick are not independent; Mr. Brooks and Mr. Cortés is each independent under that definition. Messrs. Hudson, Brooks, Cortés, Reske and Ms. Messick are independent according to the Finance Agency rules applicable to members of the audit committees of the Boards of Directors of the FHLBanks.

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Executive Officers

The following table sets forth certain information (ages as of February 28, 2017) regarding the executive officers of the Bank.

Executive Officer	Age	Capacity In Which Serves
Winthrop Watson	62	President and Chief Executive Officer
Kristina K. Williams	52	Chief Operating Officer
John P. Cassidy	53	Chief Information Officer
David G. Paulson	52	Chief Financial Officer
Michael A. Rizzo	55	Chief Risk Officer
Dana A. Yealy	57	General Counsel and Corporate Secretary

Winthrop Watson was appointed by the Board of Directors as President and Chief Executive Officer effective January 1, 2011. Previously, he was Chief Operating Officer, a position that he assumed in November 2009. Prior to joining the Bank, Mr. Watson worked at J.P. Morgan for 24 years in a variety of capital markets and financial institution roles most recently as Managing Director in its Asia Pacific investment banking business. Earlier, Mr. Watson led the building of the company’s investment and commercial banking franchise for U.S. government-sponsored enterprises. Mr. Watson serves as a director of the Office of Finance of the Federal Home Loan Banks and the Pentegra Defined Benefit Plan. He is involved in the community as a board member of the Pittsburgh Ballet Theater, the Neighborhood Academy, the Pittsburgh Symphony Orchestra, Economics Pennsylvania and the Pennsylvania Economy League of Greater Pittsburgh. Mr. Watson holds an MBA from Stanford University and a BA from the University of Virginia.

Kristina K. Williams, Chief Operating Officer, joined the Bank in 2004 as Chief Accounting Officer and has held a number of executive positions at the Bank. As Chief Operating Officer, she has responsibility for all member-facing activities, including member services, community investment, product delivery, communications and information technology. Ms. Williams became Chief Financial Officer in 2006; Executive Vice President, with additional responsibility for technology and operating services and human resources, in 2010; and Chief Operating Officer in 2011. Previously, Ms. Williams served as Chief Financial Officer of Wholesale Banking for PNC Financial Services Group, where she also spent time in SEC and regulatory reporting and served as Director of Accounting Policy. Previous experience includes public accounting with PricewaterhouseCoopers and Deloitte & Touche. Ms. Williams graduated from West Liberty University, received her master’s in Professional Accountancy from West Virginia University and is a CPA. Ms. Williams is also a member of the American Institute of Certified Public Accountants, Pennsylvania Institute of Certified Public Accountants, and is the audit committee Chairperson on the Board of Directors for the West Liberty University Foundation.

John P. Cassidy joined the Bank in 1999. In January 2012, Mr. Cassidy was promoted to Chief Information Officer. He previously served as the Director of Information Technology since 2005. As the Director of Information Technology, Mr. Cassidy was responsible for the implementation and support of systems and technologies that support the Bank's business processes. Prior to joining the Bank, Mr. Cassidy held various IT leadership positions at DuPont, GMAC Mortgage, and Electronic Data Systems (EDS). In addition to a BS degree in Computer Science, Mr. Cassidy has an MBA with a focus on Information Technology from the Katz Graduate School of Business at the University of Pittsburgh.

David G. Paulson, Chief Financial Officer, joined the Bank in March 2010 as Director, Mortgage Finance and Balance Sheet Management. Mr. Paulson became the Managing Director of Capital Markets in 2012 and Chief Financial Officer in 2013. Mr. Paulson came to the Bank from National City Corporation, where he worked for 14 years in a number of capacities. Most recently, he served as Senior Vice President, Interest Rate Risk and Chief Investment Portfolio Manager. Prior to that, Mr. Paulson was a portfolio manager at Integra Financial Corporation. He holds a BS in Finance and an MBA, both from Duquesne University.

Michael A. Rizzo joined the Bank in March 2010 and is the Bank’s Chief Risk Officer. Mr. Rizzo served as the Chief Risk Officer of Residential Finance Group, the U.S. residential mortgage lending unit of GMAC ResCap. In addition, Mr. Rizzo served as Chief Credit Officer for Ally (GMAC) Bank mortgage operations. Previous experience includes approximately 15 years in risk and portfolio management roles with Provident Bank in Cincinnati, FleetBoston Financial Corporation and BankBoston. During his seven years with the Office of the Comptroller of the Currency (OCC), Mr. Rizzo was a commissioned national bank examiner and a CPA. He holds a BS degree in Accounting from Bucknell University.

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Dana Yealy joined the Bank in 1986, and has served as General Counsel since August 1991. Mr. Yealy is responsible for the legal, government relations, corporate secretary, and human resources functions of the Bank. Prior to joining the Bank, he was an attorney with the Federal Home Loan Bank of Dallas. Mr. Yealy earned his Bachelors degree in Economics from Westminster College, his Juris Doctorate from Dickinson School of Law, and his LL.M in Banking Law from the Boston University School of Law. Mr. Yealy is an active member of the Association of Corporate Counsel, the American Society of Corporate Secretaries, and the Society of Corporate Compliance and Ethics. Mr. Yealy is also a member of several committees of the American, Pennsylvania, and Allegheny County Bar Associations. Mr. Yealy is a Board member of the Pittsburgh Civic Light Opera.

Each executive officer serves at the pleasure of the Board of Directors.

Code of Conduct

The Bank has adopted a code of ethics for all of its employees and directors, including its Chief Executive Officer, Chief Financial Officer, Chief Accounting Officer, Controller, and those individuals who perform similar functions. A copy of the code of ethics, referred to as the Code of Conduct, is on the Bank’s public website, www.fhlb-pgh.com, and will be provided without charge upon written request to the Legal Department of the Bank at 601 Grant Street, Pittsburgh, Pennsylvania 15219, Attention: General Counsel. Any amendments to the Bank’s Code of Conduct are posted to the Bank’s public website.

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Item 11: Executive Compensation

Compensation Discussion and Analysis

Introduction

     This Compensation Discussion and Analysis (CD&A) presents information related to the Bank's compensation program for its Principal Executive Officer (the CEO) and other Named Executive Officers (other Executives and/or NEO). The information includes, among other things, the objectives of the Bank's compensation program and the elements of compensation the Bank provides to its CEO and other Executives.

The Bank's Board has determined that it is necessary to consider the nature, level, and cumulative effect of all elements of the Bank's compensation and benefits program to establish each element of the program at the appropriate level.

2016 Compensation Philosophy

The Bank's compensation program is designed to:

• Attract, motivate, and retain staff critical to the Bank's long-term success and thereby

• Enable the Bank to meet its public policy mission while balancing the evolving needs of customers and shareholders.

For 2016, the Bank's CEO and other Executives were compensated through a mix of base salary, eligibility for incentive compensation awards, benefits, and perquisites. Base salary was the core component of the total compensation package. The Bank's executive compensation for the CEO and other Executives was benchmarked against three peer groups: (1) commercial banks (using a “Divisional Head” benchmark); (2) other FHLBanks; and (3) named executive officer benchmarks from publicly traded banks/financial institutions with $10 billion to $20 billion in assets. The peer group data was collected and analyzed by the Bank’s compensation consultant, McLagan, an Aon Hewitt company. For certain positions, when considering data from the larger peer group companies, and with input from McLagan, applicable job specific benchmarks for the Bank’s CEO and other Executives were identified, as they were determined to be market comparable and represented realistic employment opportunities. Typically, the identified positions at the larger peer group institutions were at a lower level than the comparative Bank executive officer title (e.g., comparison of the CEO position to a COO or similar position(s) at such larger peer group companies). The Bank targets the median total compensation for the benchmarked positions. See the table below setting forth the peer companies used in benchmarking both base salary and incentive compensation. As the Bank is a cooperative, it does not offer equity-based compensation as is typically offered in publicly traded financial services institutions; however, the Bank’s incentive compensation and enhanced retirement benefits for the CEO and other Executives together provide a competitive compensation package.

For 2016, the Bank executive officer incentive compensation plan (in which the CEO and other Executives participated) continued to be aligned with market practices and provided for deferral of 50% of the incentive award, with payment of such deferred amount contingent on the Bank meeting ongoing performance criteria over the long-term performance period.

As part of an overall review of the Bank's compensation programs, the Bank evaluated the various aspects of these programs, taking into consideration associated risk as it pertains to the expectations and goals of each element of compensation. The Bank does not offer commission or similar bonus compensation programs. The Bank does, however, offer incentive compensation plans and recognizes the need to minimize risk in connection with any incentive plan. The performance goals under the incentive compensation plans are consistent with the risk appetite of the Bank. Additionally, to encourage long term performance, the Bank's incentive compensation plans for its CEO and other Executives require deferred payment of a portion of earned incentive compensation and condition the payment of these deferred amounts upon future Bank performance. Details regarding the 2016 incentive compensation goals are discussed below.

As discussed above, for 2016, for the CEO and other Executives, the Bank engaged McLagan to perform a base salary and incentive compensation benchmarking review. This review included the following three peer groups.

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1. The commercial bank peer group (using a “Divisional Head” benchmark) included the following firms:

ABN AMRO	DVB Bank	Nord/LB
AIB	DZ Bank	Nordea Bank
Ally Financial Inc.	East West Bancorp	OCBC Bank
Associated Bank	Espirito Santo Investment	People’s United Bank
Australia & New Zealand Banking Group	Fannie Mae	PNC Bank
Banco Bilbao Vizcaya Argentaria	Fifth Third Bank	Rabobank
Banco Hapoalim	First Citizens Bank	Regions Financial Corporation
Bank of America	First Niagara	Royal Bank of Canada
Bank of Ireland Corporate Banking	Freddie Mac	Royal Bank of Scotland Group
Bank of the West	Haitong	Santander Bank, NA
Bayerische Landesbank	Hancock Bank	Siemens Financial Services
BBVA Compass	HSBC	Societe Generale
BMO Financial Group	Huntington Bancshares, Inc.	Standard Chartered Bank
BNP Paribas	ING	State Street Bank & Trust Company
BOK Financial Corporation	Investors Bancorp, Inc.	SunTrust Banks
Branch Banking & Trust Co.	JP Morgan	SVB Financial Group
Capital One	KBC Bank	Synovus
CIBC World Markets	KeyCorp	TD Ameritrade
Citigroup	Landesbank Baden-Wuerttemberg	TD Securities
Citizens Financial Group	Lloyds Banking Group	The Bank of New York Mellon
City National Bank	M&T Bank Corporation	The Bank of Nova Scotia
Comerica	Macquarie Bank	The CIT Group
Commerce Bank	Mizuho Bank	The Northern Trust Corporation
Commerzbank	Mizuho Capital Markets	U.S. Bancorp
Commonwealth Bank of Australia	Mizuho Trust & Banking Co. (USA)	Umpqua Holding Corporation
Credit Agricole CIB	MUFG Securities	UniCredit
Credit Industriel et Commercial	MUFG Union Bank	Webster Bank
Cullen Frost Bankers, Inc.	National Australia Bank	Wells Fargo Bank
DBS Bank	Natixis	Westpac Banking Corporation
DnB Bank	Nomura Securities	Zions Bancorporation

2. The Federal Home Loan Bank peer group included all of the other Federal Home Loan Banks.

3. The CEO and other Executives’ benchmarks from publicly traded banks/financial institutions with $10 billion to $20 billion in assets included the following firms:

BancorpSouth Inc.

Bank of Hawaii Corp.

F.N.B. Corp.

Fulton Financial Corp.

Hilltop Holdings Inc.

IBERIABANK Corp.

International Bancshares Corp.

MB Financial Inc.

Old National Bancorp

PrivateBancorp Inc.

Sterling Bancorp

Texas Capital Bancshares Inc.

Trustmark Corp.

UMB Financial Corp.

United Bankshares Inc.

Washington Federal Inc.

Western Alliance Bancorp

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Human Resources and Office of Minority and Women Inclusion (OMWI) Committee's Role and Responsibilities

The Human Resources and OMWI Committee of the Board is responsible for the establishment and oversight of the CEO's compensation and oversight of other Executives' compensation. This includes setting the objectives of and reviewing performance under the Bank's compensation, benefits, and perquisites programs for the CEO and other Executives.

Additionally, the Human Resources and OMWI Committee has adopted the practice of periodically retaining compensation and benefit consultants and other advisors, as well as reviewing analysis from the Bank's Human Resources Department (HR Department), to assist in performing its duties regarding the CEO's and other Executives' compensation.

Role of the Federal Housing Finance Agency

The FHLBank’s regulator, the Finance Agency, has been granted certain authority over executive compensation. Specifically under the Housing Act: (1) the Director of the Finance Agency is authorized to prohibit executive compensation that is not reasonable and comparable with compensation in similar businesses; (2) if an FHLBank is undercapitalized, the Director of the Finance Agency may also restrict executive compensation; and (3) if an FHLBank is determined to be in a troubled condition, the Finance Agency may reduce or prohibit certain golden parachute payments in the event that an FHLBank is subject to a triggering event (for example, insolvency, subject to appointment of a conservator or receiver). Under the Finance Agency Executive Compensation Regulation, additional advance notice and approval requirements are imposed in regard to an FHLBank entering into or adopting: (1) employment agreements; (2) severance policy/agreements; (3) incentive compensation award payouts; (4) material modifications to nonqualified plans; and (5) any ad hoc termination payments. The Finance Agency has implemented this authority by requiring the FHLBanks to submit to the Agency for non-objection salary, incentive compensation and benefits changes which affect an FHLBank’s NEOs.

The Finance Agency has established the following standards against which it will evaluate the compensation of each FHLBank executive: (1) each individual executive's compensation should be reasonable and comparable to that offered to executives in similar positions at comparable financial institutions; (2) such compensation should be consistent with sound risk management and preservation of the par value of FHLBank stock; (3) a significant percentage of incentive-based compensation should be tied to longer-term performance indicators; and (4) the Board should promote accountability and transparency with respect to the process of setting compensation.

Determining the CEO's Cash Compensation

For 2016, the Human Resources and OMWI Committee used the analysis from McLagan for benchmarking the CEO's cash compensation. In determining Mr. Watson's cash compensation (including both base salary and incentive compensation), it was compared to the median for all of the peer groups as listed in the tables above. Based on this analysis, Mr. Watson’s 2016 base salary was $775,753.

Determining Other Executives' Cash Compensation

In 2016, other Executives' base salaries and incentive compensation levels were determined by the CEO and validated using the results of the McLagan study and were reviewed and approved by the Human Resources and OMWI Committee. The annual review of the McLagan study and corresponding Board review of these findings validated the appropriateness of compensation levels for the CEO and other Executives.

Effective January 1, 2016, base salary increases were provided to the other Executives and are reflected in the Summary Compensation Table presented in this Item 11. Executive Compensation.

Executive Officer Incentive Plans

2016 Executive Officer Incentive Compensation Plan (2016 Plan). The 2016 Plan is designed to retain and motivate the CEO and other Executives and reward (1) achievement of key annual goals and (2) maintenance of satisfactory financial condition and member value over the longer term. The 2016 Plan established the following award opportunity levels (expressed as a percentage of base salary):

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Participant Level	Threshold	Target	Maximum
CEO	60%	75%	100%
COO	55%	70%	85%
CFO	50%	65%	80%
Other NEOs	40%	55%	70%

The Board has evaluated the performance of the CEO and other Executives against the incentive goals for 2016 set forth in the Non-Equity Incentive Plan Compensation section following the Summary Compensation Table below and determined the total incentive award (if any) based on that performance. The total incentive award was divided into two parts: (1) a current incentive award; and (2) a deferred incentive award, payable in installments. The following table illustrates how the 2016 current awards and deferred incentive award installments would be paid under the 2016 Plan:

Payment	Description	Payment Year*
Current Incentive Award	50% of total award	2017
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2018
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2019
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2020

* Payment will be made no later than March 15 in the year indicated.

Payment of each deferred incentive award installment under the 2016 Plan is contingent on the Bank continuing to meet certain Bank performance criteria and the participant meeting his or her requirements described below. The amount of the deferred incentive award payout opportunity is set forth in the Grants of Plan-Based Awards table. See “Stated Bank Performance Criteria, 2016” under Grants of Plan-Based Awards table for details regarding the Bank performance criteria.

Participant Requirements of Continued Employment and Satisfactory Performance. Participants who terminate employment with the Bank for any reason other than death, disability, involuntary termination without cause or retirement (as defined in the 2016 Plan) prior to the current incentive award payout date will not be eligible for an award. Participants who terminate employment due to retirement or involuntary termination (other than for cause) after the current incentive award payout date but before completion of the payment of all corresponding deferred incentive award installments shall receive such deferred incentive award installment payments at the same time as such payments are made to plan participants who are current Bank employees. Participants who otherwise resign employment before the completion of the payment of all corresponding deferred incentive award installments shall not receive payment of such installments. In the event of a participant’s employment termination due to death or disability, the participant shall receive payout of deferred award installments. Any participant who is terminated by the Bank for cause (as defined in the 2016 Plan) prior to receiving payment of all corresponding deferred incentive award installments shall not receive payment of any remaining unpaid deferred incentive award installments. Finally, the plan provides for vesting of deferred award installments in the event of a Change in Control. See Exhibit 10.12.2 to the 2015 Form 10-K for the full terms of the 2016 Plan.

2017 Executive Officer Incentive Compensation Plan (2017 Plan). The 2017 Plan is identical to the 2016 Plan noted above. Following December 31, 2017, the Board will evaluate performance against the incentive goals set forth under the Grants of Plan-Based Awards table applicable to awards granted for 2017 and determine the total incentive award (if any) based on that performance. The total incentive award will be divided into two parts: (1) a current incentive award; and (2) a deferred incentive award, payable in installments. The following table illustrates how the 2017 current awards and deferred incentive award installments would be paid under the 2017 Plan:

Payment	Description	Payment Year*
Current Incentive Award	50% of total award	2018
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2019
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2020
Deferred Incentive Award installment	Up to 33 1/3% of deferred incentive award	2021

* Payment will be made no later than March 15 in the year indicated.

Payment of each deferred incentive award installment under the 2017 Plan is contingent on the Bank continuing to meet certain Bank performance criteria and the participant meeting his or her requirements described below. The amount of the

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deferred incentive award payout opportunity is set forth in the Grants of Plan-Based Awards table. See “Stated Bank Performance Criteria, 2017” under Grants of Plan-Based Awards table for details regarding the Bank performance criteria.

Participant Requirements of Continued Employment and Satisfactory Performance. These terms in the 2017 Plan are the same as set forth in the 2016 Plan described above. See Exhibit 10.12.3 to this Form 10-K for the full terms of the 2017 Plan.

Additional Incentives for Other Executives

From time to time, the CEO has recommended for the other Executives, and the Board has approved, additional incentive awards in connection with specific projects or other objectives of a unique, challenging, and time-sensitive nature. No such additional incentive awards were granted for any of the other Executives in 2016.

Perquisites and Other Benefits

The Board views the perquisites afforded to the CEO and other Executives as an element of the total compensation program, provided primarily as a benefit associated with their overall position duties and responsibilities. Examples of perquisites for the CEO and/or other Executives may include the following:

• Personal use of a Bank-owned/leased automobile;

• Financial and tax planning;

• Payment of relocation expenses; and

• Business club membership.

The Bank may also provide a tax gross-up for some of the perquisites offered, including relocation benefits. Additionally, for the CEO and other Executives, the Bank provides parking. Perquisites for the CEO and other Executives are detailed on the Summary Compensation Table and accompanying narrative, where an individual’s aggregate perquisites exceeded $10,000.

Employee Benefits

The Board and Bank management are committed to providing competitive, high-quality benefits designed to promote health, well-being, and income protection for all employees. The Bank offers all employees a core level of benefits and the opportunity to choose from a variety of optional benefits. Core and optional benefits offered include, but are not limited to, medical, dental, prescription drug, vision, long-term disability, short-term disability, flexible spending accounts, worker's compensation insurance, and life and accident insurance. The CEO and other Executives participate in these benefits on the same basis as all other full-time employees. In addition, the CEO and other Executives are eligible for individual disability income insurance if the individual’s salary exceeds the monthly long term disability limit.

Qualified and Nonqualified Defined Benefit Plans

The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra Defined Benefit Plan), a tax-qualified, multi-employer defined-benefit retirement plan. The Pentegra Defined Benefit Plan is a funded, noncontributory plan that covers all eligible employees. For all employees hired prior to January 1, 2008, benefits under the plan are based upon a 2% accrual rate, the employees' years of benefit service and the average annual salary for the three consecutive years of highest salary during benefit service. The regular form of retirement benefits provides a single life annuity, with a guaranteed minimum 12-year payment. A lump-sum payment and other additional payment options are also available. Employees are not vested until they have completed five years of employment. The benefits are not subject to offset for Social Security or any other retirement benefits received.

For all employees hired on or after January 1, 2008, benefits under the plan are based upon a 1.5% accrual rate, the employees' years of benefit service and the average annual salary for the five consecutive years of highest salary during benefit service. The regular form of retirement benefit payment is guaranteed for the life of the retiree but not less than 120 monthly installments. If a retiree dies before 120 monthly installments have been paid, the beneficiary would be entitled to the commuted value of such unpaid installments paid in a lump sum. Employees are not vested until they have completed five years of employment. The benefits are not subject to offset for Social Security or any other retirement benefits received.

The CEO and other Executives also participate in a Supplemental Executive Retirement Plan (SERP). The SERP provides the CEO and other Executives with a retirement benefit that the Bank is unable to offer under the Pentegra Defined Benefit

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Plan due to Internal Revenue Code (IRC) and Pentegra Defined Benefit Plan limitations, including the IRC limitations on qualified pension plan benefits for employees earning cash compensation of at least $265 thousand for 2016.

As a nonqualified plan, the SERP benefits do not receive the same tax treatment and funding protection as the Pentegra Defined Benefit Plan, and the Bank's obligations under the SERP are a general obligation of the Bank. The terms of the SERP provide for distributions from the SERP upon termination of employment with the Bank or in the event of the death or disability of the employee. Payment options under the SERP include annuity options as well as a lump-sum distribution option.

Qualified and Nonqualified Defined Contribution Plans

Eligible employees have the option to participate in the Financial Institutions Thrift Plan (Thrift Plan), a qualified defined contribution plan under the IRC. Subject to IRC and Thrift Plan limitations, employees can contribute up to 50% of their base salary in the Thrift Plan. The Bank matches employee contributions based on their length of service and the amount of employee contribution as follows:

Years of service:	Bank match:
During the 2nd and 3rd years of employment	100% match up to 3% of employee's base salary
During the 4th and 5th years of employment	150% match up to 3% of employee's base salary
Upon completion of five or more years of employment	200% match up to 3% of employee's base salary

In addition to the Thrift Plan, the CEO and other Executives are also eligible to participate in the Supplemental Thrift Plan, an unfunded nonqualified defined contribution plan that, in many respects, mirrors the Thrift Plan. The Supplemental Thrift Plan ensures, among other things, that the CEO and other Executives whose benefits under the Thrift Plan would otherwise be restricted by certain provisions of the IRC or limitations in the Thrift Plan are able to make elective pretax deferrals and receive the Bank matching contributions on those deferrals. In addition, the Supplemental Thrift Plan permits deferrals of Bank matching contributions on the current portion of the incentive compensation awards, subject to the limits on deferrals of compensation under the Supplemental Thrift Plan. Effective January 1, 2015, upon amendment of the Supplemental Thrift Plan, participants are permitted to elect to defer a portion of their incentive awards to this Plan as well. Any such awards which are deferred to the Supplemental Thrift Plan are subject to a separate payment election.

The CEO and other Executives may defer up to 80% of their total cash compensation, less their contributions to the qualified Thrift Plan. For each deferral period in the Supplemental Thrift Plan, the Bank credits a matching contribution equal to:

• 200% match on up to 3% of the CEO's or other Executives' base salary and current incentive compensation irrespective of their years of service; less

• The Bank's matching contribution to the qualified Thrift Plan.

The terms of the Supplemental Thrift Plan generally provide for distributions upon termination of employment with the Bank, in the event of the death of the employee or upon disability, at the discretion of the Human Resources and OMWI Committee, and in accordance with applicable IRC and other applicable requirements. Payment options under the Supplemental Thrift Plan include a lump-sum payment and annual installments for up to 10 years. No loans are permitted from the Supplemental Thrift Plan.

The current incentive award portion of any incentive compensation award for the CEO and other Executives is eligible for a Bank matching contribution under the Supplemental Thrift Plan; any incentive award installments further deferred to the Plan are not eligible for a Bank matching contribution. A description of the Supplemental Thrift Plan is also contained in the Supplemental Thrift Plan filed as Exhibit 10.6.2 to the Bank’s First Quarter 2015 Form 10-Q.

Rabbi Trust Arrangements

The Bank has established Rabbi trusts to partially help secure benefits under both the SERP and Supplemental Thrift Plan. See the Pension Benefits Table and Nonqualified Deferred Compensation Table and narratives below for more information.

Additional Retirement Benefits

The Bank offers post-retirement medical benefit dollars in the form of a Health Reimbursement Account (HRA) for retirees and their spouses age 65 and older. HRA dollars can be used to purchase individual healthcare coverage and other eligible out-of-pocket healthcare expenses.

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Severance Policy (excluding Change-in-Control)

The Bank provides severance benefits to the CEO and other Executives. These benefits reflect the potential difficulty employees may encounter in their search for comparable employment within a short period of time. The Board determined that such severance arrangements are a common practice in the marketplace.

The Bank's severance policy is designed to help bridge this gap in employment. The policy provides the following for other Executives:

• Four weeks' base salary continuation per year of service, with a minimum of 26 weeks and a maximum of 52 weeks;

• Taxable compensation in the amount equivalent to the amount the Bank pays for medical coverage for its active employees for the length of the salary continuation; and

• Individualized outplacement service for a maximum of 12 months.

The Board provided a separate severance agreement as part of the employment offer for the CEO. It is the same as above except that it provides for severance in the amount of 12 months of salary which is more fully described in the Post-Termination Compensation Table below.

Change-in-Control (CIC) Agreements

The Bank has entered into CIC agreements with the CEO and other Executives. The Board believes that CIC agreements are an important recruitment and retention tool and, that such agreements enable the CEO and other Executives to effectively perform and meet their obligations to the Bank if faced with the possibility of consolidation with another FHLBank. These agreements are a common practice in the marketplace.

In the event of a merger of the Bank with another FHLBank, where the merger results in the termination of employment (including resignation for “good reason” as defined under the CIC agreement) for the CEO or any other Executives, each such individual(s) is (are) eligible for severance payments under his/her CIC agreement. Such severance is in lieu of severance under the severance policy discussed above. The severance policy (and in the case of the CEO, his separate severance agreement) continues to apply to employment terminations of the other Executives, other than those resulting from a Bank merger.

Benefits under the CIC agreement for the CEO and other Executives are as follows:

• 2.99 times base salary (CEO); two times base salary (other Executives);

• For the CEO, a payment of 2.99 times target incentive award opportunity in the year of termination, a pro-rated incentive payment in the year of termination and a payment equal to the additional benefit that the CEO would have received under the Bank’s qualified and nonqualified retirement plans calculated as if the CEO had three additional years of both age and service at the time of separation from the Bank;

• For the other Executives, a payment of two times target incentive award opportunity in the year of termination, a pro-rated incentive payment in the year of termination and a payment equal to the additional benefit that the other Executives would have received under the Bank’s qualified and nonqualified retirement plans calculated as if the other Executive had two additional years of both age and service at the time of separation from the Bank;

• An amount equal to three (CEO) or two (other Executives) times six percent of the Executive’s annual compensation (as defined in the Supplemental Thrift Plan) at the time of separation from the Bank;

• Taxable compensation equivalent to the Bank’s monthly contribution to its active employees’ medical plan coverage for the benefits continuation period of 18 months; and

• Individualized outplacement service for a maximum of 12 months and financial planning.

See Exhibit 10.9.1 to the Bank’s second quarter 2016 Form 10-Q for details regarding the change-in-control agreements.

Compensation Committee Interlocks and Insider Participation

There were no Interlocks in 2016 and there are no current Interlocks. With respect to Directors Godwin, McLaughlin, McGill, Plush and Ritchie, see Item 13. Certain Relationships and Related Transactions, and Director Independence of this Form 10-K and for information regarding transactions with PNC Bank, N.A., and Santander Bank, N.A., respectively, which were approved under the Bank's Related Person Transaction Policy.

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The Human Resources and OMWI Committee has reviewed and discussed the CD&A with management. Based on that review and discussion, the Human Resources and OMWI Committee has recommended to the Board that the CD&A be included in the Bank’s 2016 Form 10-K.

The Human Resources and OMWI Committee of the Board of Directors

Ms. Pamela H. Godwin            Chair

Ms. Charlotte B. McLaughlin        Vice-Chair

Mr. Brenden J. McGill

Mr. Gerald P. Plush

Mr. Bradford E. Ritchie

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Summary Compensation Table (SCT)

Name and Principal Position	Year	Salary		Bonus	Non-Equity Incentive Plan Compensation		Change in Pension Value and Nonqualified Deferred Compensation Earnings(6)		All Other Compensation		Total
Winthrop Watson (1) President and CEO	2016	$	775,753	$—	$	753,061	$	360,000	$	68,737	$	1,957,551
	2015	725,003		—	738,723		249,000		73,137		1,785,863
	2014	694,980		—	578,406		335,000		62,394		1,670,780
Kristina K. Williams (2) Chief Operating Officer	2016	$	489,781	$—	$	379,394	$	276,000	$	43,561	$	1,188,736
	2015	466,458		—	343,849		110,000		39,834		960,141
	2014	448,518		—	260,658		476,000		39,227		1,224,403
David G. Paulson (3) Chief Financial Officer	2016	$	385,081	$—	$	258,164	$	109,000	$	30,787	$	783,032
	2015	327,450		—	194,148		46,000		24,781		592,379
	2014	292,956		—	125,260		83,000		23,679		524,895
Michael A. Rizzo (4) Chief Risk Officer	2016	$	365,878	$—	$	228,359	$	109,000	$	28,267	$	731,504
	2015	322,644		—	206,414		52,000		24,525		605,583
	2014	313,246		—	155,800		114,000		25,732		608,778
Dana A. Yealy (5) General Counsel	2016	$	347,139	$—	$	215,805	$	419,000	$	27,046	$	1,008,990
	2015	306,120		—	193,520		141,000		23,168		663,808
	2014	291,542		—	144,426		802,000		23,827		1,261,795

Notes:

⁽¹⁾   For 2016, Mr. Watson’s non-equity incentive plan compensation was the incentive plan described above and was based on the 2016 performance against goals as set forth below as well as deferred incentive earned in 2016 under the 2013, 2014, and 2015 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $68,295 and the remainder is insurance premium contributions. For 2015, Mr. Watson’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2015 Form 10-K as well as deferred incentive earned in the 2012, 2013, and 2014 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $62,655 and the remainder is in insurance premium contributions, parking, spouse travel and mileage. For 2014, Mr. Watson’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2014 Form 10-K as well as deferred incentive earned in the 2012 and 2013 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $61,949 and the remainder is insurance premium contributions.

⁽²⁾  For 2016, Ms. William’s non-equity incentive plan compensation was the incentive plan described above and was based on the 2016 performance against goals as set forth below as well as deferred incentive earned in 2016 under the 2013, 2014, and 2015 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $39,882 and the remainder is insurance premium contributions. For 2015, Ms. William’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2015 Form 10-K as well as deferred incentive earned in the 2012, 2013, and 2014 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $36,678 and the remainder is insurance premium contributions. For 2014, Ms. William’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2014 Form 10-K as well as deferred incentive earned in the 2012 and 2013 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $36,614 and the remainder is insurance premium contributions.

⁽³⁾   For 2016, Mr. Paulson’s non-equity incentive plan compensation was the incentive plan described above and was based on the 2016 performance against goals as set forth below as well as deferred incentive earned in 2016 under the 2013, 2014, and 2015 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $30,764 and the remainder is insurance premium contributions. For 2015, Mr. Paulson’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2015 Form 10-K as well as the deferred incentive earned under the Key Employee Plan and in the 2013 and 2014 Executive Officer Incentive Compensation Plans. All other compensation included employer contributions to defined contribution plans of $24,754 and the remainder is insurance premium contributions. In 2014, Mr. Paulson became the Bank’s principal financial officer as of September 1 with the CAO reporting to him. At that time, Mr. Paulson also received a base pay increase that was subject to non-objection by the Finance Agency. For 2014, Mr. Paulson’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2014 Form 10-K as well as the deferred incentive earned in 2012 under the Key Employee Plan and

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in 2013 under the Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $23,652 and the remainder is insurance premium contributions.

⁽⁴⁾   For 2016, Mr. Rizzo’s non-equity incentive plan compensation was the incentive plan described above and was based on the 2016 performance against goals as set forth below as well as deferred incentive earned in 2016 under the 2013, 2014, and 2015 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $28,244 and the remainder is insurance premium contributions. For 2015, Mr. Rizzo’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2015 Form 10-K as well as the deferred incentive earned in the 2012, 2013, and 2014 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $24,498 and the remainder is insurance premium contributions. For 2014, Mr. Rizzo’s non-equity incentive plan compensation was the incentive plan described in the Bank’s 2014 Form 10-K as well as the deferred incentive earned in the 2012 and 2013 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $25,705 and the remainder is insurance premium contributions.

⁽⁵⁾   For 2016, Mr. Yealy's non-equity incentive plan compensation was the incentive plan described above and was based on the 2016 performance against goals as set forth below as well as deferred incentive earned in 2016 under the 2013, 2014, and 2015 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $27,023 and the remainder is insurance premium contributions. For 2015, Mr. Yealy's non-equity incentive plan compensation was the incentive plan described in the Bank’s 2015 Form 10-K as well as the deferred incentive earned in the 2012, 2013, and 2014 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $23,141 and the remainder is insurance premium contributions. For 2014, Mr. Yealy's non-equity incentive plan compensation was the incentive plan described in the Bank’s 2014 Form 10-K as well as the deferred incentive earned in the 2012 and 2013 Executive Officer Incentive Compensation Plan. All other compensation included employer contributions to defined contribution plans of $23,800 and the remainder is insurance premium contributions.

⁽⁶⁾   The change in pension value is the sum of the change in the Pentegra Defined Benefit Plan and the change in the SERP as described below. No amount of above market earnings on nonqualified deferred compensation is reported because above market rates are not possible under the Supplemental Thrift Plan, the only such plan that the Bank offers.

Non-Equity Incentive Plan Compensation

Under the 2016 Plan, the actual annual award opportunity for January 1, 2016, through December 31, 2016, and payouts are based on a percentage of the executive's base salary as of December 31, 2016. Each goal includes performance measures at threshold, target and maximum. The specific performance goals and total weighting for each goal for the CEO and other Executives are as follows. However, some goals have different weightings for the CRO as noted below.

A. Increase member use of core products by year-end 2016. Core products include: Advances, MPF, letters of credit, safekeeping and four community investment products (Affordable Housing Program, Community Lending Program, Banking On Business, First Front Door and the West Virginia Flood Relief Program) (30% weighting);

B. Profitability as measured by adjusted earnings relative to GAAP capital in excess of average three month LIBOR within identified risk parameters (40% weighting) (35% CRO weighting);

C. KRI performance (10% weighting) (15% CRO weighting);

D. Peer operating expense scorecard - basket of four metrics (10% weighting);

E. Strengthen employee engagement and diversity and inclusion (10% weighting).

Adjusted earnings referenced above are quantified in the table below.

(in thousands)
2016 GAAP net income	$ 260,017
Adjustments:
Advance prepayment fees	$ 22,773
Mortgage delivery commitments	(10,800)
Earnings at risk (EaR) and unrealized gain/loss on securities	(1,920)
Legal settlements	545
Derivative ineffectiveness	(7,892)
Subtotal - adjustments	$ 2,706
AHP	(270)
Adjusted earnings	$ 257,581

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The table below includes the performance goal, weighting, achievement levels, and payout percentages for the NEOs per the terms of the 2016 Plan.

			To Achieve:				Payout % (2)
Goal (1)	Other NEO Weighting	CRO Weighting	Threshold Payout	Target Payout	Maximum Payout	2016 Results	CEO	COO	CFO	CRO	Other NEOs
A	30%	30%	662	695	750	727	26.86%	23.62%	22.11%	19.12%	19.12%
B	40%	35%	405	480	530	516 bps	37.20%	32.32%	30.32%	23.03%	26.32%
C	10%	15%	6 of 9	7 of 9	All	8.25	9.06%	7.94%	7.44%	9.66%	6.44%
D	10%	10%	Rank 8	Rank 6	Rank 2	Rank 1	10.00%	8.50%	8.00%	7.00%	7.00%
E	10%	10%	1 of 4	2 of 4	3 of 4	3	10.00%	8.50%	8.00%	7.00%	7.00%
Total Payout							93.12%	80.88%	75.87%	65.81%	65.88%

Notes:

⁽¹⁾ Refer to the incentive goal scorecard attached to the 2016 Plan which is Exhibit 10.12.2 to the Bank’s 2015 Form 10-K.

⁽²⁾ For performance achievement between threshold and target or target and maximum, the 2016 Plan provides for interpolation to determine the incentive compensation payout. To calculate payout for achievement between target and maximum, linear interpolation was used.

Named Executive Officer	Salary on which incentive is based (1)		Maximum incentive payout % potential	Maximum incentive payout potential $(2)		2016 actual incentive payout (A)		2015 deferred incentive $ (B) (4)		2014 deferred incentive $ (C) (5)		2013 deferred incentive $ (D) (6)		Total incentive payout (3)
Winthrop Watson	$	775,753	100%	$	775,753	$	361,214	$	151,043	$	117,054	$	123,750	$	753,061
Kristina K. Williams	$	489,781	85%	$	416,314	$	198,057	$	72,884	$	53,107	$	55,346	$	379,394
David G. Paulson	$	385,081	80%	$	308,065	$	146,091	$	51,164	$	31,208	$	29,701	$	258,164
Michael A. Rizzo	$	365,878	70%	$	256,115	$	120,382	$	43,691	$	31,405	$	32,881	$	228,359
Dana A. Yealy	$	347,139	70%	$	242,997	$	114,340	$	41,454	$	29,175	$	30,836	$	215,805

Notes:

⁽¹⁾ Base salary in effect on December 31, 2016 used to calculate payouts.

⁽²⁾ NEOs will be paid 50% of the incentive payout for 2016 in 2017 (see column A) and the remaining amount will be deferred and contingently payable in 2018, 2019 and 2020.

⁽³⁾ Total incentive payout includes the sum of columns (A) (B) (C) and (D).

⁽⁴⁾ Based on the provisions of the 2015 Executive Officer Incentive Compensation Plan, the deferral amount from the 2015 plan year includes a 25% increase since the deferral criteria were met at the maximum level payout.

⁽⁵⁾ Based on the provisions of the 2014 Executive Officer Incentive Compensation Plan, the deferral amount from the 2014 plan year includes a 10% increase since the deferral criteria were met at the maximum level payout.

⁽⁶⁾ Based on the provisions of the 2013 Executive Officer Incentive Compensation Plan, the deferral amount from the 2013 plan year includes a 10% increase since the deferral criteria were met at the maximum level payout.

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The following table illustrates for each participant the maximum amount of unpaid deferred installments as of December 31, 2016 distributable under the 2013, 2014, 2015 and 2016 plans.

Name and Principal Position	Amount Distributable in 2017		Amount Distributable in 2018		Amount Distributable in 2019		Amount Distributable in 2020		Total(1)(2)
Winthrop Watson President and CEO		$391,847		$418,603		$301,549		$150,506		$1,262,505
Kristina K. Williams Chief Operating Officer		$181,337		$208,515		$155,408		$82,524		$627,783
David G. Paulson Chief Financial Officer		$112,072		$143,243		$112,035		$60,871		$428,222
Michael A. Rizzo Chief Risk Officer		$107,976		$125,255		$93,850		$50,159		$377,240
Dana A. Yealy General Counsel		$101,465		$118,271		$89,096		$47,642		$356,473

Notes:

⁽¹⁾ Based on the provisions of the 2015 and 2016 Executive Officer Incentive Compensation Plans, the deferral amount from the 2015 and 2016 plan years includes a 25% increase since the deferral criteria were assumed to have been met at the maximum level payout.

⁽²⁾ Based on the provisions of the 2013 and 2014 Executive Officer Incentive Compensation Plans, the deferral amount from the 2013 and 2014 plan years includes a 10% increase since the deferral criteria were assumed to have been met at the maximum level payout.

Change in Pension Value

The Pentegra Defined Benefit Plan provides a benefit of 2.00% of a participant's highest 3-year average earnings, multiplied by the participant's years of benefit service for employees hired prior to January 1, 2008; or 1.50% of a participant's highest 5-year average earnings, multiplied by the participant's years of benefit service for employees hired on or after January 1, 2008. Earnings are defined as base salary, subject to an annual IRS limit of $265 thousand for 2016. Annual benefits provided under the Pentegra Defined Benefit Plan also are subject to IRS limits, which vary by age and benefit payment type. The participant's accrued benefits are calculated as of December 31, 2015 and December 31, 2016. The present value is calculated using the accrued benefit at each date multiplied by a present value factor based on an assumed age 65 retirement date. As of December 31, 2015, 50% of the benefit is valued using the RP-2014 mortality table for white collar workers (with mortality improvement scale MP-2015) and 50% of the benefit is valued using the RP-2000 static mortality table for lump sums projected to 2015. As of December 31, 2016, 55% of the benefit is valued using the RP-2014 mortality table for white collar workers (with mortality improvement scale MP-2016) and 45% of the benefit is valued using the RP-2000 static mortality table for lump sums projected to 2016. The interest rates used are 4.34% as of December 31, 2015 and 4.14% as of December 31, 2016. The difference between the present value of the December 31, 2016 accrued benefit and the present value of the December 31, 2015 accrued benefit is the “change in pension value” for the Defined Benefit Plan.

The SERP provides benefits under the same terms and conditions as the Pentegra Defined Benefit Plan, except earnings are defined as base salary plus incentive compensation. Also, the SERP does not limit annual earnings or benefits. Benefits provided under the Pentegra Defined Benefit Plan are an offset to the benefits provided under the SERP. The participants' benefits are calculated as of December 31, 2015 and December 31, 2016. The present value is calculated by multiplying the benefits accrued at each date by a present value factor based on an assumed age 65 retirement date. As of December 31, 2015, the benefit is valued using the RP-2014 mortality table for white collar workers (with mortality improvement scale MP-2015). As of December 31, 2016, the benefit is valued using the RP-2014 mortality table for white collar workers (with mortality improvement scale MP-2016). The interest rates used are 4.25% as of December 31, 2015 and 4.00% as of December 31, 2016. The difference between the present value of the December 31, 2016 accrued benefit and the present value of the December 31, 2015 accrued benefit is the “change in pension value” for the SERP.

The total change in pension value is the sum of the change in the Pentegra Defined Benefit Plan and the change in the SERP.

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Grants of Plan-Based Awards

The following table is based on salary as of December 31, 2016 and shows the value of non-equity incentive plan awards granted to the CEO and other Executives in 2016 or future periods, as applicable. Note that these amounts are based on the potential awards available under the terms of the 2016 Plan, not actual performance. Actual performance under the 2016 Plan is as reflected in the SCT and in the detailed incentive award tables set forth below the SCT.

2016 Grants

Name and Principal Position		Performance Achieved in 2016	Amount Payable 2017	Amount Payable 2018	Amount Payable 2019	Amount Payable 2020
Winthrop Watson President and CEO	Threshold Target Maximum	Total Opportunity $465,452 $581,815 $775,753	50% Payout $232,726 $290,907 $387,877	Deferred Amount $96,969 $121,211 $161,615	Deferred Amount $96,969 $121,211 $161,615	Deferred Amount $96,969 $121,211 $161,615
Kristina K. Williams Chief Operating Officer	Threshold Target Maximum	Total Opportunity $269,380 $342,847 $416,314	50% Payout $134,690 $171,423 $208,157	Deferred Amount $56,121 $71,426 $86,732	Deferred Amount $56,121 $71,426 $86,732	Deferred Amount $56,121 $71,426 $86,732
David G. Paulson Chief Financial Officer	Threshold Target Maximum	Total Opportunity $192,541 $250,303 $308,065	50% Payout $96,270 $125,151 $154,032	Deferred Amount $40,113 $52,146 $64,180	Deferred Amount $40,113 $52,146 $64,180	Deferred Amount $40,113 $52,146 $64,180
Michael A. Rizzo Chief Risk Officer	Threshold Target Maximum	Total Opportunity $146,351 $201,233 $256,115	50% Payout $73,176 $100,616 $128,057	Deferred Amount $30,490 $41,924 $53,357	Deferred Amount $30,490 $41,924 $53,357	Deferred Amount $30,490 $41,924 $53,357
Dana A. Yealy General Counsel	Threshold Target Maximum	Total Opportunity $138,856 $190,926 $242,997	50% Payout $69,428 $95,463 $121,499	Deferred Amount $28,928 $39,776 $50,624	Deferred Amount $28,928 $39,776 $50,624	Deferred Amount $28,928 $39,776 $50,624

Note: As described above in the 2016 Plan, payment of each deferred incentive award installment is contingent on the participant meeting the required criteria and the Bank meeting the Stated Bank Performance Criteria described below. For the 2016 Plan, the first year payout is 50% of the award amount and then 33 1/3% of the remaining 50% in each deferral installment over the next three years based on whether or not the stated payment criteria were met. The deferred amount shown for each of the years 2018, 2019, and 2020 is 125% of the maximum deferred amount if both MV/CS and retained earnings levels are maintained, which we have assumed is met in each year for purposes of this calculation.

Stated Bank Performance Criteria, 2016. Payment of each deferred incentive award installment in 2018, 2019, and 2020 related to December 31, 2016 is contingent on the Bank continuing to meet the following stated Bank performance criteria as well as being contingent on the participant continuing to meet his/her requirements. In no event shall the aggregate amount of any current incentive award and deferred incentive award installments paid to a participant in any payment year exceed 100% of the participant's base salary.

• MV/CS - The annual MV/CS must have an average above 105% (the annual average amount will be calculated using the ending amount of each month during the year); and

• Retained Earnings Level - Have retained earnings that exceed the Bank's retained earnings target at each year-end of the applicable deferred payment period.

Each of the two stated criteria above is equal to 50% of the deferred incentive payment amount. At least one of these criteria above must have been met in the preceding year for any installment payment to be made.If both of these criteria are met in the preceding year, the payment will be made at 125% of the deferred amount. The Board will also consider the following criteria and may exercise its discretion to adjust an award:

• Remediation of Examination Findings. This criterion is defined as the Bank making sufficient progress, as determined by the Finance Agency and communicated to Bank management or the Board, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management attention; and

• Timeliness of Finance Agency, SEC, and OF Filings. This criterion is defined as SEC periodic filings, call report filings with the Finance Agency, and FRS filings with the OF that are timely filed and no material restatement by the Bank is required.

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Estimated future payouts presented above were calculated based on the executives' base salary as of January 1, 2016. The actual amount of the payout will be based on the executives' base salary at December 31, 2016.

2017 Grants

Name and Principal Position		Performance Achieved in 2017	Amount Payable 2018	Amount Payable 2019	Amount Payable 2020	Amount Payable 2021
Winthrop Watson President and CEO	Threshold Target Maximum	Total Opportunity $484,070 $605,087 $806,783	50% Payout $242,035 $302,544 $403,392	Deferred Amount $168,080	Deferred Amount $168,080	Deferred Amount $168,080
Kristina K. Williams Chief Operating Officer	Threshold Target Maximum	Total Opportunity $280,155 $356,561 $432,967	50% Payout $140,078 $178,281 $216,484	Deferred Amount $90,201	Deferred Amount $90,201	Deferred Amount $90,201
David G. Paulson Chief Financial Officer	Threshold Target Maximum	Total Opportunity $202,168 $262,818 $323,468	50% Payout $101,084 $131,409 $161,734	Deferred Amount $67,389	Deferred Amount $67,389	Deferred Amount $67,389
Michael A. Rizzo Chief Risk Officer	Threshold Target Maximum	Total Opportunity $152,205 $209,282 $266,359	50% Payout $76,103 $104,641 $133,180	Deferred Amount $55,491	Deferred Amount $55,491	Deferred Amount $55,491
Dana A. Yealy General Counsel	Threshold Target Maximum	Total Opportunity $143,021 $196,654 $250,287	50% Payout $71,511 $98,327 $125,144	Deferred Amount $52,143	Deferred Amount $52,143	Deferred Amount $52,143

Note: As described above in the 2017 Plan, payment of each deferred incentive award installment is contingent on the participant meeting the required criteria and the Bank meeting the Stated Bank Performance Criteria described below. For the 2017 Plan, the first year payout is 50% of the award amount and then 33 1/3% of the remaining 50% in each deferral installment over the next three years based on whether or not the stated payment criteria were met. The deferred amount shown for each of the years 2019, 2020, and 2021 is 125% of the maximum deferred amount if both MV/CS and retained earnings levels are maintained, which we have assumed is met in each year for purposes of this calculation.

Under the 2017 Plan, the actual annual award opportunity for January 1, 2017, through December 31, 2017, and payouts are based on a percentage of the executive's base salary as of December 31, 2017. Each goal includes performance measures at threshold, target and maximum. The specific performance goals and total weighting for each goal for the CEO and other Executives are as follows. However, some goals have different weightings for the CRO as noted below.

• Increase member use of core products by year-end 2017. Core products include: Advances, MPF, letters of credit, safekeeping and four community investment products (Affordable Housing Program, Community Lending Program, Banking On Business and First Front Door) (30% weighting);

• Profitability as measured by adjusted earnings relative to GAAP capital in excess of average three month LIBOR within identified risk parameters (35% weighting) (30% CRO weighting);

• KRI performance (10% weighting) (15% CRO weighting);

• Peer operating expense scorecard - basket of four metrics (10% weighting);

• Strengthen employee engagement and diversity and inclusion. Create and implement OMWI strategic plan (15% weighting).

Adjusted earnings and other measures referenced above are as defined in the 2017 Plan. See Exhibit 10.12.3 to this Form 10-K.

Stated Bank Performance Criteria, 2017. Payment of each deferred incentive award installment in 2019, 2020, and 2021 related to December 31, 2017 is contingent on the Bank continuing to meet the stated Bank performance criteria as well as being contingent on the participant continuing to meet his/her requirements. In no event shall the aggregate amount of any current incentive award and deferred incentive award installments paid to a participant in any payment year exceed 100% of the participant's base salary.

• MV/CS - The annual MV/CS must have an average above 105% (the annual average amount will be calculated using the ending amount of each month during the year); and

• Retained Earnings Level - Have retained earnings that exceed the Bank's retained earnings target at each year-end of the applicable deferred payment period.

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Each of the two stated criteria above is equal to 50% of the deferred incentive payment amount. At least one of these criteria above must have been met in the preceding year for any installment payment to be made. If both of these criteria are met in the preceding year, the payment will be made at 125% of the deferred amount. The Board will also consider the following criteria and may exercise its discretion to adjust an award:

• Remediation of Examination Findings. This criterion is defined as the Bank making sufficient progress, as determined by the Finance Agency and communicated to Bank management or the Board, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management attention; and

• Timeliness of Finance Agency, SEC, and OF Filings. This criterion is defined as SEC periodic filings, call report filings with the Finance Agency, and FRS filings with the OF that are timely filed and no material restatement by the Bank is required.

Estimated future payouts presented above were calculated based on the executives' base salary as of January 1, 2017. The actual amount of the payout will be based on the executives' base salary at December 31, 2017.

Pension Benefits

Name and Principal Position	Plan Name	Number of Years Credit Service	Present Value of Accumulated Benefits		Payments During Last Fiscal Year
Winthrop Watson President and CEO	Pentegra Defined Benefit Plan	6.58	$	315,000		$—
	SERP	7.08	$	1,030,000		$—
Kristina K. Williams Chief Operating Officer	Pentegra Defined Benefit Plan	11.50	$	543,000		$—
	SERP	12.00	$	874,000		$—
David G. Paulson Chief Financial Officer	Pentegra Defined Benefit Plan	6.25	$	178,000		$—
	SERP	6.75	$	137,000		$—
Michael A. Rizzo Chief Risk Officer	Pentegra Defined Benefit Plan	6.33	$	229,000		$—
	SERP	6.83	$	175,000		$—
Dana A. Yealy General Counsel	Pentegra Defined Benefit Plan	30.83	$	1,751,000		$—
	SERP	31.33	$	1,069,000		$—

The description of the Pentegra Defined Benefit Plan contained in the Summary Plan Description for the Financial Institutions Retirement Fund and the description of the SERP contained in the Supplemental Executive Retirement Plan are included as Exhibit 10.5.1 to the 2013 Form 10-K and Exhibit 10.5.2 to the Bank’s First Quarter 2015 Form 10-Q. See “Qualified and Non-Qualified Defined Benefit Plans” under “Compensation Discussion and Analysis” in this Item 11. of this Form 10-K for the different purposes for each plan.

This table represents an estimate of retirement benefits payable at normal retirement age in the form of the actuarial present value of the accumulated benefit. The amounts were computed as of the same plan measurement date that the Bank uses for financial statement reporting purposes. The same assumptions were used that the Bank uses to derive amounts for disclosure for financial reporting, except the above information assumed normal retirement age as defined in the plan. See narrative discussion of the “Change in Pension Value” column under the SCT.

Compensation used in calculating the benefit for the Pentegra Defined Benefit Plan includes base salary only. Compensation used in calculating the benefit for the SERP includes the current incentive award portion of any award under the Bank’s executive compensation plan. Benefits under the SERP vest after completion of 5 years of employment (the vesting requirement under the Pentegra Defined Benefit Plan) subject to the forfeiture for cause provisions of the SERP.

Normal Retirement: Upon termination of employment at or after age 65 where an executive has met the vesting requirement of completing 5 years of employment, an executive hired prior to January 1, 2008 is entitled to a normal retirement benefit under the Pentegra Defined Benefit Plan equal to: 2% of his/her highest three-year average salary multiplied by his/her years' of benefit service. Under the SERP normal retirement benefit, the executive also would receive 2% of his/her highest three-year average incentive payment (as defined in the SERP) for such same three-year period multiplied by his/her years of benefit service. An executive hired on or after January 1, 2008 is entitled to a normal retirement benefit under the Pentegra Defined Benefit Plan equal to: 1.5% of his/her highest five-year average salary multiplied by his/her years of benefit service.

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Under the SERP normal retirement benefit, the executive also would receive 1.5% of his/her highest five-year average incentive payment (as defined in the SERP) for such same five-year period multiplied by his/her years of benefit service.

Early Retirement: Upon termination of employment prior to age 65, executives meeting the 5 year vesting and age 45 (age 55 if hired on or after January 1, 2008) early retirement eligibility criteria are entitled to an early retirement benefit. The early retirement benefit amount, for those hired prior to January 1, 2008, is calculated by taking the normal retirement benefit amount and reducing it by 3% times the difference between the age of the early retiree and age 65. For example, if an individual retires at age 61, the early retirement benefit amount would be 88% of the normal retirement benefit amount, a total reduction of 12%. The early retirement benefit amount, for those hired after January 1, 2008, is calculated by taking the normal retirement benefit amount and reducing it by 4% (for ages 55 through 59) and 6% (for ages 60 through 64) times the difference between the age of the early retiree and age 65. At December 31, 2016, Mr. Watson, Ms. Williams, Mr. Rizzo, and Mr. Yealy were eligible for early retirement benefits.

Non-Qualified Deferred Compensation

Name and Principal Position	Executive Contributions in 2016			Registrant Contributions in 2016		Aggregate Earnings (Losses) in 2016		Aggregate Withdrawals/ Distributions		Aggregate Balance at December 31, 2016
Winthrop Watson President and CEO		$	318,402		$62,477		$148,839		$—		$2,128,013
Kristina K. Williams Chief Operating Officer		$	90,452		$33,760		$166,607		$—		$1,360,544
David Paulson Chief Financial Officer		$	51,207		$19,532		$13,344		$—		$426,105
Michael A. Rizzo Chief Risk Officer		$	49,465		$20,927		$38,250		$—		$392,342
Dana A. Yealy (1) General Counsel		$	113,662		$19,212		$142,734		$—		$1,641,823

Note:

⁽¹⁾ Aggregate Balance at December 31, 2016 also includes further deferral of deferred compensation of $94,031 and applicable investment earnings of $304.

See descriptions in the Qualified and Nonqualified Defined Contribution Plans section of the CD&A. A description of the Supplemental Thrift Plan is in Exhibit 10.6.2 to the Bank’s First Quarter 2015 Form 10-Q.

Amounts shown as "Executive Contributions in 2016" were deferred and reported as "Salary" in the SCT. Amounts shown as "Registrant Contributions in 2016" are reported as "All Other Compensation" in the SCT.

The CEO and other Executives may defer up to 80% of their total cash compensation (base salary and annual incentivecompensation), less their contributions to the qualified thrift plan. All benefits are fully vested at all times subject to the forfeiture for cause provisions of the Supplemental Thrift Plan.

The investment options available under the nonqualified deferred compensation plan are closely matched to those available under the qualified defined contribution plan. Investment options include stock funds, bond funds, money market funds and target retirement funds.

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Post-Termination Compensation

The CEO and other Executives would have received the benefits below in accordance with the Bank's severance policy (or in the case of the CEO the terms of his separate agreement, as applicable) if their employment had been severed without cause during 2016.

Post-Termination Compensation - Severance (Excluding Change-In-Control)

Name and Principal Position	Base Salary			Medical Coverage (1)			Executive Outplacement (2)			Total
	Length	Amount		Length	Amount		Length	Amount
Winthrop Watson President and CEO	52 weeks	$	775,753	52 weeks	$	13,580	12 months	$	11,000	$	800,333
Kristina K. Williams Chief Operating Officer	48 weeks	$	452,106	48 weeks	$	12,535	12 months	$	11,000	$	475,641
David G. Paulson Chief Financial Officer	26 weeks	$	192,541	26 weeks	$	6,790	12 months	$	11,000	$	210,330
Michael A. Rizzo Chief Risk Officer	26 weeks	$	182,939	26 weeks	$	6,790	12 months	$	11,000	$	200,729
Dana A. Yealy General Counsel	52 weeks	$	347,139	52 weeks	$	13,580	12 months	$	11,000	$	371,719

Notes:

⁽¹⁾ Additional taxable compensation equivalent to the Bank’s share of medical coverage costs for its active employees.

⁽²⁾ Estimated cost based on one year of individualized outplacement services with a firm of the Bank's choosing.

Under the CIC Agreements, in the event of employment termination other than for cause (including constructive discharge) following a change in control event, in place of the severance benefits above, the CEO and other Executives would instead receive the benefits below.

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Post-Termination Compensation - Change-In-Control

Name and Principal Position	Base Salary(1)		Potential Incentive Award(2) (7)		Medical Coverage (3)		Outplace- ment Services and Financial Planning(4)*		Additional Severance Amount (5)**	Accelerated Deferred Incentive Installment Amount(7)		Severance/ Defined Contribution Match Amount(6)**	Total
Winthrop Watson President and CEO	$	2,319,501	$	1,739,626	$	20,370	$	26,000	$1,178,000	$	1,262,504	$244,362	$	6,790,363
Kristina K. Williams Chief Operating Officer	$	979,562	$	685,693	$	20,370	$	26,000	$609,000	$	627,784	$99,915	$	3,048,324
David G. Paulson Chief Financial Officer	$	770,162	$	500,605	$	20,370	$	26,000	$231,000	$	428,224	$76,246	$	2,052,607
Michael A. Rizzo Chief Risk Officer	$	731,756	$	402,466	$	20,370	$	26,000	$240,000	$	377,241	$68,053	$	1,865,886
Dana A. Yealy General Counsel	$	694,278	$	381,853	$	20,370	$	26,000	$844,000	$	356,473	$64,568	$	2,387,542

n/a - not applicable

* Estimated cost based on one year of individualized outplacement services with a firm of the Bank's choosing.

** Includes both qualified and nonqualified plans.

Notes:

⁽¹⁾ CIC agreements stipulate 2.99 times base salary (CEO) and two times base salary (other Executives).

⁽²⁾ CIC agreements stipulate an amount equal to 2.99 times (CEO) and two times (other Executives) the payout award that could have been received at target payout amount.

⁽³⁾ CIC agreements stipulate 18 months of additional taxable compensation equivalent to the Bank’s share of medical coverage costs for its active employees.

⁽⁴⁾ CIC agreements stipulate 12 months of outplacement services and $15,000 for financial planning for eligible participants.

⁽⁵⁾ CIC agreements stipulate additional severance in an amount equivalent to the additional benefit that the CEO and other Executives would receive for three (CEO) and two (other Executives) additional years of both age and service at the same annual compensation at the time of separation from the Bank under the qualified and nonqualified defined benefit plans.

⁽⁶⁾ CIC agreements stipulate additional severance in an amount equivalent to three (CEO) and two (other Executives) years of defined contribution match. Note that compensation for the defined contribution match includes base compensation and annual incentive.

⁽⁷⁾ The 2013, 2014, and 2015 Executive Officer Incentive Compensation Plans provide for vesting of the remaining unpaid deferred award installments that correspond to each participant’s 2013, 2014 and 2015 current incentive award. The 2016 Executive Officer Incentive Compensation Plan also provides for vesting of deferred award installments in the event of a Change in Control. As a result, the unpaid deferred award installments for each participant that corresponds to the 2016 current incentive award would also be paid out upon a CIC event along with the 2013, 2014 and 2015 Plans’ unpaid deferred installments. This payment is in addition to any current incentive award payout reflected in the SCT. The unpaid deferred installments that would vest for each participant are as set forth above in the deferred installments table. See Exhibit 10.12 to the Bank’s 2013 Form 10-K for the full terms of the 2014 Plan. See Exhibit 10.11.1 to the Bank’s 2013 Form 10-K for the terms of the 2013 Plan. See Exhibit 10.12.2 to the Bank’s 2014 Form 10-K for the terms of the 2015 Plan. See Exhibit 10.12.2 to the Bank’s 2015 Form 10-K for the terms of the 2016 Plan.

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DIRECTOR COMPENSATION

The Bank's directors were compensated in accordance with the 2016 Directors’ Compensation Policy (2016 Compensation Policy) as adopted by the Bank's Board. Under the 2016 Compensation Policy, the total annual director fees were paid as a combination of a quarterly retainer fee and per meeting fees. The following table sets forth the maximum fees that Bank directors could earn in 2016.

	Retainer Fees	Meeting Fees	Total
Board Chair	$61,666	$63,334	$125,000
Board Vice Chair	$51,933	$51,817	$103,750
Committee Chair	$51,933	$51,817	$103,750
Director	$45,625	$45,625	$91,250

The 2016 Compensation Policy fee levels were as set forth in Exhibit 10.4.1 to the Bank's 2015 Form 10-K. The Finance Agency has determined that the payment of director compensation is subject to Finance Agency review. Compensation can exceed the guidelines under the 2016 Compensation Policy based on a Director assuming additional responsibilities, such as chairing a Committee or Board meeting.

Name	Fees Earned or Paid in Cash		All Other Compensation		Total Compensation
Patrick A. Bond (Chair)	$	125,000	$	23	$	125,023
John K. Darr (Vice Chair)	103,750		23		103,773
Pamela C. Asbury	91,250		23		91,273
Glenn R. Brooks	91,250		23		91,273
Luis A. Cortés Jr.	96,761		23		96,784
Pamela H. Godwin	103,750		23		103,773
Brian A. Hudson	103,750		23		103,773
William C. Marsh	91,250		23		91,273
Charlotte B. McLaughlin	103,750		23		103,773
Lynda A. Messick	91,250		23		91,273
John S. Milinovich	103,750		23		103,773
Charles J. Nugent	103,750		23		103,773
Thomas H. Murphy*	13,555		23		13,578
Gerald P. Plush	91,250		23		91,273
James R. Reske*	30,333		23		30,356
Bradford E. Ritchie	91,250		23		91,273
Frederick E. Schea	91,250		23		91,273
Patrick J. Ward*	57,942		23		57,965
Angela J. Yochem*	45,624		23		45,647

* Each of these directors served on the Board for only a portion of 2016.

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"Total Compensation" does not include previously deferred director fees for prior years' service and earnings on such fees for those directors participating in the Bank's nonqualified deferred compensation deferred fees plan for directors. The plan allows directors to defer their fees for the year in total and receive earnings based on returns available under or comparable to certain publicly available mutual funds, including equity funds and money market funds. No Bank matching contributions are made under the plan. Directors that attended all Board and applicable Committee meetings in 2016 received the maximum total fees. In 2016, the Bank had a total of eight Board meetings and 51 Board Committee meetings (including Executive Committee meetings).

"All Other Compensation" for each includes $23 per director annual premium for director travel and accident insurance.

For 2017, the Bank's Board adopted and submitted to the Finance Agency the 2017 Directors' Compensation Policy with the basis for fee payment being a combination of quarterly retainer and per-meeting fees, as was the case under the 2016 Directors’ Compensation Policy. In general, the 2017 Directors' Compensation Policy provides for total fees for the Chair of $137,500; $115,000 for the Vice Chair and for each of the Committee Chairs; and $102,500 for each of the other Directors. See Exhibit 10.4.1 to the Bank 2016 Form 10-K for additional details on the 2017 Directors' Compensation Policy.

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Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

Generally, the Bank may issue capital stock only to members. As a result, the Bank does not offer any compensation plan under which equity securities of the Bank are authorized for issuance.

Member Institutions Holding 5% or More of Outstanding Capital Stock

as of February 28, 2017

Name	Address	Capital Stock		% of Total Capital Stock
PNC Bank, N.A. (a)	222 Delaware Avenue Wilmington, Delaware 19899	$	999,401,700	26.8	%
Chase Bank USA, N.A.	201 North Walnut Street Wilmington, Delaware 19801	877,898,600		23.5	%
Ally Bank (b)	6985 Union Park Center, Suite 435 Midvale, Utah 84047	345,403,800		9.3	%
Santander Bank, N.A.	824 North Market Street, Suite 100 Wilmington, Delaware 19801	234,115,900		6.3	%

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

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

Additionally, due to the fact that a majority of the Board of the Bank is elected from the membership of the Bank, these elected directors are officers and/or directors of member institutions that own the Bank’s capital stock. These institutions are provided in the following table.

Capital Stock Outstanding to Member Institutions

Whose Officers and/or Directors Served as a Director of the Bank

as of February 28, 2017

Name	Address	Capital Stock		% of Total Capital Stock
PNC Bank, N.A. (a)	222 Delaware Avenue Wilmington, Delaware 19899	$	999,401,700	26.8	%
Santander Bank, N.A.	824 North Market Street, Suite 100 Wilmington, Delaware 19801	234,115,900		6.3	%
First Commonwealth Bank	600 Philadelphia Street Indiana, Pennsylvania 15701	38,250,300		1.0	%
Fulton Bank, N.A.	One Penn Square, P.O. Box 4887 Lancaster, Pennsylvania 17604	33,842,000		0.9	%
Genworth Life Insurance Company	2711 Centerville Road, Suite 400 Wilmington, Delaware 19808	18,596,500		0.5	%
Summit Community Bank, Inc.	300 North Main Street Moorefield, West Virginia 26836	8,121,700		0.2	%
Harleysville Savings Bank	271 Main Street Harleysville, Pennsylvania 19438	5,702,200		0.2	%
DNB First, NA	4 Brandywine Avenue Downingtown, Pennsylvania 19335	4,261,600		0.1	%
The Farmers National Bank of Emlenton	612 Main Street Emlenton, Pennsylvania 16373	3,785,500		0.1	%
Atlantic Community Bankers Bank	1400 Market Street Camp Hill, Pennsylvania 17011	2,556,800		*
County Bank	19927 Shuttle Road Rehoboth Beach, Delaware 19971	151,500		*

*Less than 0.1%.

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

Note: In accordance with Section 10(c) of the Act and the terms of the Bank’s security agreement with each member, the capital stock held by each member is pledged to the Bank as additional collateral to secure that member’s loans and other indebtedness to the Bank.

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Item 13: Certain Relationships and Related Transactions, and Director Independence

Corporate Governance Guidelines

The Bank has adopted corporate governance guidelines titled “Governance Principles” which are available at www.fhlb-pgh.comby first clicking “About Us” and then “Corporate Governance.” The Governance Principles are also available in print to any member upon written request to the Bank, 601 Grant Street, Pittsburgh, Pennsylvania 15219, Attention: General Counsel. These principles were adopted by the Board of Directors to best ensure that the Board of Directors is independent from management, that the Board of Directors adequately performs its function as the overseer of management and to help ensure that the interests of the Board of Directors and management align with the interests of the Bank’s members.

On an annual basis, each director and executive officer is obligated to complete a director and officer questionnaire which requires disclosure of any transactions with the Bank in which the director or executive officer, or any member of his or her immediate family, have a direct or indirect material interest. All directors must adhere to the Bank’s Code of Conduct which addresses conflicts of interest. Under the Code of Conduct, only the Board can grant a waiver of the Code’s requirements in regard to a director or executive officer.

Bank’s Cooperative Structure

All members are required by law to purchase capital stock in the Bank. The capital stock of the Bank can be purchased only by members. As a cooperative, the Bank’s products and services are provided almost exclusively to its members. In the ordinary course of business, transactions between the Bank and its members are carried out on terms that are established by the Bank, including pricing and collateralization terms that treat all similarly situated members on a nondiscriminatory basis. Loans included in such transactions did not involve more than the normal risk of collectability or present other unfavorable terms. Currently, ten of the Bank’s seventeen directors are officers or directors of members. In recognition of the Bank’s status as a cooperative, in correspondence from the Office of Chief Counsel of the Division of Corporation Finance of the SEC, dated September 28, 2005, transactions in the ordinary course of the Bank’s business with member institutions are excluded from SEC Related Person Transaction disclosure requirements. No individual director or executive officer of the Bank or any of their immediate family members has been indebted to the Bank at any time.

Related Person Transaction Policy

In addition to the Bank’s Code of Conduct which continues to govern potential director and executive officer conflicts of interest, originally effective January 31, 2007 (most recently updated effective November 1, 2016), the Bank adopted a written Related Person Transaction Policy. The Policy is subject to annual review and approval and was most recently re-approved by the Board in February 2017. In accordance with the terms of the Policy, the Bank will enter into Related Person Transactions that are not in the ordinary course of Bank business only when the Governance and Public Policy Committee of the Board determines that the Related Person Transaction is in the best interests of the Bank and its investors. Ordinary course of Bank business is defined as providing the Bank’s products and services, including affordable housing products, to member institutions on terms no more favorable than the terms of comparable transactions with similarly situated members. A Related Person Transaction requiring disclosure is a transaction, arrangement or relationship (or a series of transactions, arrangements or relationships) in which the Bank was, is or will be a participant, the amount involved exceeds $120 thousand and in which a Related Person had, has or will have a direct or indirect material interest. A Related Person is any director or executive officer of the Bank, any member of their immediate families or any holder of 5 percent or more of the Bank’s outstanding capital stock. A transaction with a company with which a Related Person is associated is deemed pre-approved where the Related Person: (1) serves only as a director of such company; (2) is only an employee (and not an executive officer) of such company; or (3) is the beneficial owner of less than 10 percent of such company’s shares.

Related Person Transactions

Beginning in 1997, the Bank began purchasing bonds issued by Pennsylvania Housing Finance Agency (PHFA). On May 14, 2007, Brian Hudson, Executive Director and Chief Executive Officer of PHFA, was appointed as a director of the Bank by the Finance Agency. On June 25, 2007, in accordance with the Related Person Transaction Policy, the Governance Committee approved the Bank’s continued purchases of PHFA bonds. In 2016, the Bank purchased $76.7 million in PHFA bonds. As of February 28, 2017, the total outstanding principal amount of PHFA bonds held by the Bank was $253.7 million. The greatest aggregate outstanding principal amount of all PHFA bonds held by the Bank in 2016 was $247.8 million. The greatest amount of

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any single PHFA bond held by the Bank in 2016 was $37.8 million. In 2016, the Bank received $2.8 million in interest payments on outstanding PHFA bonds and $10.2 million in principal payments due to bond calls and redemptions.

PHFA, as the state housing finance agency for Pennsylvania, provides funding for housing for very-low- and low-income households. As a result, many of the projects that PHFA provides funding to are projects that also apply for and receive funding from the Bank’s AHP program. Consequently, on June 25, 2007, the Governance Committee also approved the Bank continuing to enter into AHP grant transactions in which PHFA participates. In 2016, the Bank approved $3.9 million in AHP grants for eight projects in which PHFA served as a sponsor or otherwise participated. AHP grants were approved in accordance with the competitive AHP scoring regulations of the Finance Agency, including the requirement that any FHLBank director who is associated with, or whose institution is associated with, an AHP grant under consideration for approval, recuse themselves from the consideration of the grant by the Bank’s Board. See 12 C.F.R. 1291.10. The Bank followed this process in regard to its Board’s consideration and approval of these AHP grants at its meeting in December 2016. Mr. Hudson did not participate in the consideration or approval of these $3.9 million in grant requests presented to the Board.

Since December 2000, as permitted under the Finance Agency’s AHP Regulations at 12 C.F.R. 1291.7 PHFA has been a party to an AHP project monitoring agreement with the Bank under which PHFA agrees to monitor the AHP compliance requirements for the Bank with respect to projects in which PHFA also monitors federal tax credit compliance. The Bank pays PHFA a fee of $225 for each AHP project monitored by PHFA during the year. In 2016, the Bank paid PHFA $225 in AHP monitoring fees. The amount of fees paid by the Bank fluctuates each year and is dependent on the number of projects the Bank identifies each year that need to be monitored for compliance with AHP requirements.

As a state housing finance agency, PHFA is eligible to apply to the Bank and be approved as a non-member housing associate borrower from the Bank in accordance with Finance Agency Regulations. See 12 C.F.R. 1264.3. The Bank approved PHFA as a housing associate borrower on December 19, 2007. With the approval of PHFA as a housing associate, the Bank has three housing associate borrowers. The terms of any Bank loans to such housing associates are ordinary course of business transactions governed by the Bank’s Member Products Policy and applied to all housing associates. Under the terms of the Bank’s Related Person Transaction Policy, provided that the loans to any related person are in accordance with the terms of the Bank’s Member Products Policy, then, such transactions are within the ordinary course of business of the Bank and not subject to Governance Committee approval. As of February 28, 2017, there were no outstanding loans from the Bank to PHFA.

In 2001, in furtherance of its mission to provide funding for economic development in the Bank’s district, the Bank entered into an agreement to make up to a $500,000 capital contribution to Mountaineer Capital, LP (Mountaineer Capital). Mountaineer Capital is a Small Business Investment Company (SBIC) which provides financing for small businesses in West Virginia. On May 14, 2007, Patrick Bond, General Partner for Mountaineer Capital, was appointed to serve as a director of the Bank. On January 23, 2007, the Bank made a capital contribution of $50,000 to Mountaineer Capital. At year-end 2007, the total amount of Bank capital contributions was $375,000. On February 12, 2008, the Governance Committee approved a $50,000 capital contribution request and granted approval for additional capital contributions to Mountaineer Capital in accordance with the terms of the Bank’s agreement, up to a total amount of $500,000. Through February 28, 2017, the Bank’s total capital contributions to Mountaineer Capital were $475,000. Mountaineer Capital has informed the Bank and its other limited partners that it is no longer seeking further capital contributions.

In December 2016, under the Related Person Transaction Policy, the Governance and Public Policy Committee approved a $650,000 AHP grant to an affordable housing project sponsored by Esperanza, the non-profit organization for which Director Cortés serves as executive director. The approval was subject to the project scoring sufficiently under the Bank’s AHP competitive requirements and that the project otherwise complied with the terms of applicable regulations and Bank policies. Mr. Cortés did not participate in the Committee’s determination.

On February 19, 2009, the Governance Committee approved the Bank entering into interest bearing deposit, Federal funds, unsecured note purchase (including TLGP investments) and other money market transactions with Bank members, including five (5) percent or greater shareholders of the Bank and Member Directors’ institutions. Beginning in 2011, the Governance Committee continued re-authorization in regard to additional member money market transactions annually. All such transactions must be in accordance with the terms of the Bank’s investment and counterparty policy statements and limits.

In 2016, the Bank engaged in Federal funds transactions with the following related persons:

Fulton Bank. The largest principal amount outstanding with Fulton Bank during 2016 was $45 million and the total amount of interest paid was $11,537.

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Santander Bank. The largest principal amount outstanding with Santander Bank during 2016 was $100 million and the total amount of interest paid was $972.

Through February 28, 2017, the Bank had $180 million of additional Federal funds transactions with related persons.

Prior to Director McLaughlin’s service on the Board, the Bank had approved, pursuant to applicable Bank policies, the use of PNC Capital Markets, LLC (PNC Capital Markets) as an authorized Bank broker for Bank investment transactions. On February 24, 2011, the Governance Committee initially approved (and continued such authorization in 2012 through 2016) the Bank entering into MBS and other authorized investments using as its broker PNC Capital Markets; provided that, PNC Capital Markets meets the Bank’s applicable credit and other Bank policy requirements regarding authorized Bank brokers. Ms. McLaughlin is an Executive Vice President of PNC Bank, N.A. and also serves as a managing member of PNC Capital Markets. Ms. McLaughlin did not participate in the Governance Committee’s determination. There were no Bank investment transactions executed in 2016 in which PNC Capital Markets served as broker.

Under the terms of the Bank’s Related Person Transaction Policy as most recently approved, the Governance Committee annually reviews previously approved Related Person Transactions to determine whether to authorize any new Related Person Transactions with each Related Person that the Committee has previously approved. Such re-authorization applies solely to new Related Person Transactions with such entity(ies) and does not affect the authorized status of any existing and outstanding Related Person Transactions. In February 2017, the Committee considered the previously approved PHFA, PNC Capital Markets and member money market transactions as described above and determined to continue the authorization of new Related Person Transactions with these entities. The Committee also approved the continued waiver of daylight overdraft fees due from any member, including any Related Person, provided that the Bank does not incur a charge. In February 2017, the Committee granted standing authorization to the Bank using PNC Capital Markets as a dealer for consolidated obligations on which the Bank is primary obligor; provided that, PNC Capital Markets satisfies the criteria under applicable Bank policies.

Director Independence

Under the Act, Bank management is not allowed to serve on the Bank’s Board. Consequently, all directors of the Bank are outside directors. As discussed in Item 10. Directors, Executive Officers and Corporate Governance in this Form 10-K, directors are classified under the Act as either being a Member Director or an Independent Director. By statute, the Board cannot expand or reduce the number of directors that serve on the Board. Only the Finance Agency has the authority to determine how many seats exist on the Board, which is currently set at 17. As of February 28, 2017, the Board was comprised of 17 directors: ten Member Directors and seven Independent Directors.

The Bank’s Directors are prohibited from personally owning stock in the Bank. In addition, the Bank is required to determine whether its directors are independent under two distinct director independence standards. First, the Act and Finance Agency Regulations establish substantive independence criteria, including independence criteria for directors who serve on the Bank’s Audit Committee. Second, the SEC rules require, for disclosure purposes, that the Bank’s Board apply the independence criteria of a national securities exchange or automated quotation system in assessing the independence of its directors.

The Act and Finance Agency Regulations. Following the enactment of the Housing Act amendments to the Act on July 30, 2008, an individual is not eligible to be an Independent Bank director if the individual serves as an officer, employee, or director of any member of the Bank, or of any recipient of loans from the Bank. During 2016 and through February 28, 2017, none of the Bank’s Independent Directors were an officer, employee or director of any member or of any institution that received advances from the Bank.

Effective on enactment of the Housing Act, the FHLBanks are required to comply with the substantive Audit Committee director independence standards under Section 10A(m) of the Exchange Act. Rule 10A-3(b)(ii)(B) implementing Section 10A(m) provides that in order to be considered to be independent, a member of an audit committee may not: a) accept directly or indirectly a compensatory fee (other than from the issuer for service on the Board) or b) be an affiliated person of the issuer, defined as someone who directly or indirectly controls the issuer. The SEC implementing regulations provide that a person will be deemed not to control an issuer if the person does not own directly or indirectly more than 10% of any class of voting equity securities. The existence of this safe harbor does not create a presumption in any way that a person exceeding the ownership requirement controls or is otherwise an affiliate of a specified person.In regard to the Bank and the other FHLBanks, this provision of the Housing Act raises an issue whether a Member Director whose institution is a 10% or greater Bank shareholder could be viewed as an affiliate of the Bank, rendering such Member Director ineligible to serve on the Bank’s Audit Committee. Because of the cooperative structure of the FHLBanks, the limited items on which FHLBank stockholders may vote and the statutory cap limiting the votes that any one member may cast for a director to the state average, it is not clear that

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the fact that a Member Director’s institution that is a 10% or greater Bank shareholder is an affiliate of the Bank. Nevertheless, none of the Bank’s current Audit Committee members nor those who served during 2016 were Member Directors from institutions that were 10% or greater Bank shareholders.

In addition, the Finance Agency director independence standards prohibit individuals from serving as members of the Bank’s Audit Committee if they have one or more disqualifying relationships with the Bank or its management that would interfere with the exercise of that individual’s independent judgment. Disqualifying relationships considered by the Board are: employment with the Bank at any time during the last five years; acceptance of compensation from the Bank other than for service as a director; being a consultant, advisor, promoter, underwriter or legal counsel for the Bank at any time within the last five years; and being an immediate family member of an individual who is or who has been within the past five years, a Bank executive officer. As of February 28, 2017, all current members of the Audit Committee were independent under the substantive Act and Finance Agency regulatory criteria.

SEC Rules. Pursuant to the SEC rules applicable to the Bank for disclosure purposes, the Bank’s Board has adopted the independence standards of the New York Stock Exchange (NYSE) to determine which of its directors are independent, which members of its Human Resources Committee are not independent, which members of its Audit Committee are not independent and whether the Bank’s Audit Committee financial expert is independent. As the Bank is not a listed company, the NYSE director independence standards are not substantive standards that are applied to determine whether individuals can serve as members of the Bank’s Board or its Human Resources, or Audit Committees.

After applying the NYSE independence standards, the Board determined that for purposes of the SEC disclosure rules, as of February 17, 2017, with respect to the Bank’s current directors, six of the Bank’s Independent Directors, Directors Bond, Brooks, Cortés, Darr, Godwin and Murphy are independent. In determining that Director Cortés was independent, the Board considered that Esperanza, the non-profit organization for which Director Cortés serves as President, has received AHP grants and charitable contributions from the Bank from time to time, including both when Director Cortés was a Bank Director and when he was not a Bank Director.

With respect to the Bank’s remaining current Independent Director, the Board determined that in view of the historic and ongoing relationship and transactions described above with respect to PHFA that Director Hudson is not independent.

The Board was unable to affirmatively determine that there are no material relationships (as defined in the NYSE rules) between the Bank and its Member Directors, and on February 17, 2017 concluded that none of the Bank’s current Member Directors was independent under the NYSE independence standards. In making this determination, the Board considered the cooperative relationship between the Bank and its Member Directors. Specifically, the Board considered the fact that each of the Bank’s Member Directors are officers or directors of a Bank member institution, and each member institution has access to, and is encouraged to use, the Bank’s products and services. Furthermore, the Board considered the appropriateness of making a determination of independence with respect to the Member Directors based on a member’s given level of business as of a particular date, when the level of each member’s business with the Bank is dynamic and the Bank’s desire as a cooperative is to increase its level of business with each of its members. As the scope and breadth of a member’s business with the Bank changes, such member’s relationship with the Bank might, at any time, constitute a disqualifying transaction or business relationship under the NYSE’s independence standards. For Member Directors Milinovich, Schea, and Ward, who served on the Board in 2016 but not in 2017, the Board determined that they were not independent as well.

The Board’s Human Resources Committee has responsibility for overseeing executive compensation. Applying the NYSE independence standards for compensation committee members, the Board determined that the current Member Directors serving on the Human Resources Committee, Directors McLaughlin, McGill, Plush and Ritchie are not independent. The Board determined that Director Godwin is independent.

The Board has a standing Audit Committee. The Board determined that none of the current Member Directors serving as members of the Bank’s Audit Committee, Directors Messick and Reske are independent under the NYSE standards for Audit Committee members. In addition, the Board determined that Director Hudson is not independent under the NYSE independence standards for audit committee members. The Board has determined that Directors Brooks and Cortés are independent. All of the Bank’s Audit Committee members are independent under the Finance Agency independence standards.

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Item 14: Principal Accountant Fees and Services

The following table sets forth the aggregate fees billed to the Bank for 2016 and 2015 by its independent registered public accounting firm, PricewaterhouseCoopers LLP.

(in thousands)	2016		2015
Audit fees	$	853	$	784
Audit-related fees	53		54
All other fees	10		24
Total fees	$	916	$	862

Audit fees consist of fees billed for professional services rendered for the audits of the financial statements, reviews of interim financial statements, and audits of the Bank’s internal controls over financial reporting for the years ended December 31, 2016 and 2015.

Audit-related fees consist of fees billed during2016and2015for assurance and related services reasonably related to the performance of the audit or review of the financial statements. Audit-related fees werefor assurance and related services primarily for accounting consultations and fees related to participation in, and presentations at, conferences.

The Bank is exempt from all Federal, state and local income taxation with the exception of real estate property taxes and certain employer payroll taxes. There were no tax fees paid during 2016 and 2015.

The Audit Committee approves the annual engagement letter for the Bank’s audit. All other services provided by the independent accounting firm are pre-approved by the Audit Committee. The Audit Committee delegates to the Chair of the Audit Committee the authority to pre-approve non-audit services not prohibited by law to be performed by the independent auditors, subject to any single request involving a fee of $100,000 or higher being circulated to all Audit Committee members for their information and comment. The Chair shall report any decision to pre-approve such services to the full Audit Committee at its next meeting.

The Bank paid additional fees to PricewaterhouseCoopers LLP in the form of assessments paid to the OF. These fees were approximately $55 thousand and $57 thousand for 2016 and 2015, respectively. These fees were classified as Other Expense - Office of Finance on the Statement of Income and were not included in the totals above.

PART IV

Item 15: Exhibits and Financial Statement Schedules

(a)(1) Financial Statements

The following Financial Statements and related notes, together with the report of PricewaterhouseCoopers LLP, appear in Item 8.

Statements of Income for each of the years ended December 31, 2016, 2015 and 2014

Statements of Comprehensive Income for each of the years ended December 31, 2016, 2015 and 2014

Statements of Condition as of December 31, 2016 and 2015

Statements of Cash Flows for each of the years ended December 31, 2016, 2015 and 2014

Statements of Changes in Capital for each of the years ended December 31, 2016, 2015 and 2014

(2) Financial Statement Schedules

The schedules required by the applicable accounting regulations of the Securities and Exchange Commission that would normally appear in Item 8. Financial Statements and Supplementary Data are included in the Earnings Performance and Financial Condition sections within Item 7. Management’s Discussion and Analysis.

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(b) Index of Exhibits

The following is a list of the exhibits filed with the Bank’s 2016 Form 10-K or incorporated herein by reference:

Exhibit No.	Description	Method of Filing +
3.1	Certificate of Organization	Incorporated by reference to the correspondingly numbered Exhibit to the Bank’s registration statement on Form 10 filed with the SEC on June 9, 2006.
3.2	The Bylaws of the Federal Home Loan Bank of Pittsburgh as amended effective March 10, 2016	Incorporated by reference to Exhibit 3.2.1 to the Bank's Form 10-K filed with the SEC on March 10, 2016.
4.1	Bank Capital Plan	Incorporated by reference to the correspondingly numbered Exhibit to the Bank’s registration statement on Form 10 filed with the SEC on June 9, 2006.
4.1.1	Amended Bank Capital Plan	Incorporated by reference to the correspondingly numbered Exhibit to the Bank's Form 10-Q filed with the SEC on August 9, 2010.
4.1.2	Amended Bank Capital Plan as further amended effective September 5, 2011	Incorporated by reference to Exhibit 99.2 to the Bank's current report filed on Form 8-K on August 5, 2011.
4.1.3	Amended Bank Capital Plan effective October 6, 2014	Incorporated by reference to Exhibit 99.3 to the Bank’s current report on Form 8-K filed on July 29, 2014.
10.1	April 2012 Severance Policy*	Incorporated by reference to Exhibit 10.1.1 to the Bank's Form 10-K filed with the SEC on March 13, 2014.
10.1.1	January 2015 Severance Policy*	Incorporated by reference to Exhibit 10.1.2 to the Bank's Form 10-K filed with the SEC on March 12, 2015.
10.2	Services Agreement with FHLBank of Chicago	Incorporated by reference to Exhibit 10.7 to the Bank’s registration statement on Form 10 filed with the SEC on June 9, 2006.
10.3	Federal Home Loan Banks P&I Funding and Contingency Plan Agreement	Incorporated by reference to Exhibit 10.10 to Amendment No. 1 to the Bank's registration statement on Form 10 filed with the SEC on July 19, 2006.
10.4	2016 Directors’ Compensation Policy*	Incorporated by reference to Exhibit 10.4.1 to the Bank's Form 10-K filed with the SEC on March 10, 2016.
10.4.1	2017 Directors’ Compensation Policy*	Filed herewith.
10.5	Supplemental Executive Retirement Plan Amended and Restated Effective June 26, 2007, Revised December 19, 2008, December 18, 2009 and October 26, 2012*	Incorporated by reference to Exhibit 10.5 to the Bank's Form 10-K filed with the SEC on March 14, 2013.
10.5.1	Pentegra Defined Benefit Plan for Financial Institutions Summary Plan Description Dated July 1, 2013*	Incorporated by reference to the correspondingly numbered Exhibit to the Bank's Form 10-K filed with the SEC on March 13, 2014.
10.5.2	Supplemental Executive Retirement Plan as amended March 26, 2015*	Incorporated by reference to Exhibit 10.5.2 to the Bank's Form 10-Q filed with the SEC on May 7, 2015.
10.6	Supplemental Thrift Plan Amended and Restated Effective June 26, 2007, Revised September 26, 2007, December 19, 2008, December 18, 2009, and October 26, 2012*	Incorporated by reference to Exhibit 10.6 to the Bank's Form 10-K filed with the SEC on March 14, 2013.
10.6.1	Pentegra Defined Contribution Plan for Financial Institutions Summary Plan Description Dated May 1, 2012*	Incorporated by reference to Exhibit 10.6.1 to the Bank's Form 10-K filed with the SEC on March 14, 2013.
10.6.2	Supplemental Thrift Plan as amended March 26, 2015*	Incorporated by reference to Exhibit 10.6.2 to the Bank's Form 10-Q filed with the SEC on May 7, 2015.
10.6.3	Pentegra Defined Contribution Plan for Financial Institutions Summary Plan Description dated January 1, 2015*	Incorporated by reference to Exhibit 10.6.3 to the Bank's Form 10-K filed with the SEC on March 10, 2016.
10.7	Mortgage Partnership Finance® Services Agreement Dated August 31, 2007, with FHLBank of Chicago	Incorporated by reference to Exhibit 10.17 to the Bank's Form 10-Q filed with the SEC on November 7, 2007.
10.7.1	Mortgage Partnership Finance® Consolidated Interbank Agreement dated July 22, 2016	Incorporated by reference to the correspondingly filed Exhibit to the Bank's Form 10-Q filed with the SEC on August 9, 2016.
10.8	Form of Change in Control Agreement with Executive Officers Yealy and Williams*	Incorporated by reference to Exhibit 10.18 to the Bank's Form 10-K filed with the SEC on March 13, 2008.
10.8.1	Change in Control Agreement with Mr. Rizzo*	Incorporated by reference to Exhibit 10.9.1 to the Bank's Form 10-K filed with the SEC on March 18, 2011.
10.8.2	Change in Control Agreement with Mr. Watson*	Incorporated by reference to Exhibit 10.9.2 to the Bank's Form 10-K filed with the SEC on March 18, 2010.

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Exhibit No.	Description	Method of Filing +
10.8.3	Amended and Restated Change in Control Agreement with Mr. Watson effective January 1, 2011*	Incorporated by reference to Exhibit 10.9.4 to the Bank's Form 10-K filed with the SEC on March 18, 2011.
10.8.4	Form of Change in Control Agreement with Executive Officers Mason and Paulson*	Incorporated by reference to Exhibit 10.8.4 to the Bank’s Form 10-K filed with the SEC on March 13, 2014.
10.9	Form of Amendment to Change in Control Agreement with Executive Officers Watson, Williams, Paulson, Rizzo, Mason, and Yealy effective January 1, 2015*	Incorporated by reference to Exhibit 10.9 to the Bank’s Form 10-K filed with the SEC on March 12, 2015.
10.9.1	August 2016 Form of Executive Officer Severance (CIC) Agreement*	Incorporated by reference to the correspondingly filed Exhibit to the Bank’s Form 10-Q filed with the SEC on August 9, 2016.
10.10	2012 Executive Officer Incentive Compensation Plan*	Incorporated by reference to Exhibit 10.10 to the Bank's Form 10-K filed with the SEC on March 15, 2012.
10.11	2013 Executive Officer Incentive Compensation Plan*	Incorporated by reference to Exhibit 10.11 to the Bank's Form 10-K filed with the SEC on March 14, 2013.
10.11.1	2013 Amended Executive Officer Incentive Compensation Plan*	Incorporated by reference to Exhibit 10.11.1 to the Bank's Form 10-Q filed with the SEC on May 8, 2013.
10.12	2014 Executive Officer Incentive Compensation Plan*	Incorporated by reference to the correspondingly numbered Exhibit to the Bank’s Form 10-K filed March 13, 2014.
10.12.1	2015 Executive Incentive Compensation Plan*	Incorporated by reference to Exhibit 10.12.2 to the Bank’s Form 10-K filed March 12, 2015.
10.12.2	2016 Executive Incentive Compensation Plan*	Incorporated by reference to Exhibit 10.12.2 to the Bank’s Form 10-K filed March 10, 2016.
10.12.3	2017 Executive Incentive Compensation Plan*	Filed herewith.
10.13	Offer Letter for Winthrop Watson*	Incorporated by reference to Exhibit 10.15 to the Bank's Form 10-Q filed with the SEC on November 12, 2009.
10.14	Joint Capital Enhancement Agreement dated February 28, 2011	Incorporated by reference to Exhibit 99.1 of the Bank's Form 8-K filed with the SEC on March 1, 2011.
10.14.1	Amended Joint Capital Enhancement Agreement dated August 5, 2011	Incorporated by reference to Exhibit 99.1 of the Bank's Form 8-K filed with the SEC on August 5, 2011.
10.15	Form of Director and Officer Indemnification Agreement*	Incorporated by reference to correspondingly numbered Exhibit to the Bank’s Form 10-Q filed with the SEC on August 9, 2016.
12.1	Ratio of Earnings to Fixed Charges	Filed herewith.
22.1	Election of Directors Report	Incorporated by reference to Exhibit 99.2 of the Bank's current report on Form 8-K filed with the SEC on November 14, 2016.
24.0	Power of Attorney	Filed herewith.
31.1	Certification of the Principal Executive Officer pursuant to Rule 13a-14(a)	Filed herewith.
31.2	Certification of the Principal Financial Officer pursuant to Rule 13a-14(a)	Filed herewith.
31.3	Certification of the Principal Accounting Officer pursuant to Rule 13a-14(a)	Filed herewith.
32.1	Certification of the Principal Executive Officer pursuant to 18 U.S.C. § 1350	Filed herewith.
32.2	Certification of the Principal Financial Officer pursuant to 18 U.S.C. § 1350	Filed herewith.
32.3	Certification of the Principal Accounting Officer pursuant to 18 U.S.C. § 1350	Filed herewith.
99.1	Federal Home Loan Bank of Pittsburgh Board of Directors Audit Committee Charter	Filed herewith.
99.2	Report of the Audit Committee	Furnished herewith.
101	Interactive Data File (XBRL)	Filed herewith.

+ Incorporated document references to filings by the registrant are to SEC File No. 000-51395.

* Denotes management contract or compensatory plan.

Item 16: Form 10-K Summary

None

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GLOSSARY

ABS: Asset-Backed Securities

ACL: Allowance for Credit Losses

AMA: Acquired member assets

APBO: Accumulated Post-retirement Benefit Obligation

Accumulated Other Comprehensive Income (Loss) (AOCI): Represents gains and losses of the Bank that have not yet been realized; balance is presented in the Equity section of the Statement of Condition.

Advance: Secured loan made to a member

Affordable Housing Program (AHP): Bank program that provides primarily direct grants and/or subsidized loans to assist members in meeting communities’ affordable housing needs. Each FHLBank sets aside 10% of its pre-assessment income to fund the program with a minimum $100 million annual contribution by all 12 FHLBanks.

Banking On Business (BOB): Bank program that assists eligible small businesses with start-up and expansion. A small business is defined asany firm, proprietorship, partnership or corporation that has less than 50 employees and the lesser of $10 million in annual receipts or the annual receipts limits set by the Small Business Administration’s (SBA) size standards by North American Industry Classification (NAIC).

CFTC: Commodity Futures Trading Commission

Capital stock: The five-year redeemable stock issued by the Bank pursuant to its capital plan.

Collateral: Property subject to a security interest that secures the discharge of an obligation (e.g., mortgage or debt obligation); a security interest that the Bank is required by statute to obtain and thereafter maintain beginning at the time of origination or renewal of a loan.

Collateralized mortgage obligation (CMO): Type of bond that divides cash flows from a pool of mortgages into multiple classes with different maturities or risk profiles.

Committee on Uniform Securities Identification Procedures (CUSIP): CUSIP-based identifiers provide a unique name for a wide range of global financial instruments including equity and debt issues, derivatives and syndicated loans. The CUSIP consists of a combination of nine characters, both letters and numbers, which identify a company or issuer and the type of security.

Community Development Financial Institution (CDFI): Private institutions that provide financial services dedicated to economic development and community revitalization in underserved markets; include community development loan funds, venture capital funds and state-chartered credit unions without Federal deposit insurance. Effective February 4, 2010, CDFIs were eligible to become Bank members.

Community Financial Institution (CFI): Bank member that has deposits insured under the FDIC and is exempt from the requirement of having at least 10% of total assets in residential mortgage loans.

Community Lending Program (CLP): Bank program that funds community and development projects. When loans are repaid, the money is available to be lent to other projects.

Consolidated Obligation (CO): Bonds and discount notes that are the joint and several liability of all 12 FHLBanks and are issued and serviced through the OF. These instruments are the primary source of funds for the FHLBanks.

Conventional loan/mortgage: Mortgage that is neither insured nor guaranteed by the FHA, VA or any other agency of the Federal government.

  Core Based Statistical Areas (CBSA): Refers collectively to metropolitan and micropolitan statistical areas as defined

       by the United States Office of Management and Budget. As currently defined, a CBSA must contain at least one urban

       area of 10,000 or more people.

Cost of funds: Estimated cost of issuing FHLBank System consolidated obligations and discount notes.

Credit enhancement (CE) fee: Fee payable monthly by an MPF Bank to a PFI in consideration of the PFI’s obligation to fund the realized loss for a Master Commitment; based on fee rate applicable to such Master Commitment and subject to terms of the Master Commitment and applicable MPF mortgage product, which may include performance and risk participation features.

Delivery commitment: Mandatory commitment of the parties, evidenced by a written, machine- or electronically generated transmission issued by an MPF Bank to a PFI accepting the PFI’s oral mortgage loan delivery commitment offer.

Demand Deposit Account (DDA): The account each member maintains with the Bank. All incoming and outgoing wires, loan credits and debits, as well as any principal and interest payments from securities and loans are posted into the DDA.

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Duration:  A common measure of the price sensitivity of an asset or liability to specified changes in interest rates.

 FFIEC: Federal Financial Institutions Examination Council

Federal Deposit Insurance Corporation (FDIC): Federal agency established in 1933 that guarantees (with limits) funds on deposit in member banks and performs other functions such as making loans to or buying assets from member banks to facilitate mergers or prevent failures.

Federal Home Loan Bank Act of 1932 (the Act): Enacted by Congress in 1932 creating the FHLBank Board, whose role was to supervise a series of discount banks across the country. The intent was to increase the supply of money available to local institutions that made home loans and to serve them as a reserve credit resource. The FHLBank Board became the Federal Housing Board in 1989, which was replaced by The Federal Housing Finance Agency in 2008.

Federal Home Loan Bank Office of Finance (OF): FHLBank System’s centralized debt issuance facility that also prepares combined financial statements, selects/evaluates underwriters, develops/maintains the infrastructure needed to meet FHLBank System goals, and administers REFCORP and FICO^® funding programs.

Federal Home Loan Mortgage Corporation, (Freddie Mac or FHLMC): GSE chartered by Congress in 1970 to keep money flowing to mortgage lenders in support of homeownership and rental housing.

Federal Housing Administration (FHA): Government agency established in 1934 and insures lenders against loss on residential mortgages.

Federal Housing Finance Agency (FHFA or Finance Agency): Independent regulatory agency (established on enactment of the Housing Act) of the executive branch ensuring the FHLBanks, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation operate in a safe and sound manner, carry out their statutory missions and remain adequately capitalized and able to raise funds in the capital markets.

Federal National Mortgage Association (Fannie Mae or FNMA): GSE established in 1938 to expand the flow of mortgage money by creating a secondary market.

Federal Reserve Bank (FRB): One part of the Federal Reserve System. There are a total of 12 regional privately-owned FRBs located in major cities throughout the U.S., which divide the nation into 12 districts. The FRBs act as fiscal agents for the U.S. Treasury; each have their own nine-member board of directors. The FRBs are located in Boston, New York City, Philadelphia, Cleveland, Richmond, Atlanta, Chicago, St. Louis, Minneapolis, Kansas City, Dallas and San Francisco.

Federal Reserve Board (Federal Reserve): Governing body over the Federal Reserve System, the Federal Reserve is responsible for: (1) conducting the nation’s monetary policy; (2) supervising and regulating banking institutions; (3) maintaining the stability of the financial system and containing systemic risk; and (4) providing financial services to depository institutions, the U.S. government and foreign official institutions.

Federal Reserve System: Central banking system of the U.S.

Financial Accounting Standards Board (FASB): Board created in 1973 responsible for establishing and interpreting generally accepted accounting principles and improving standards of financial accounting and reporting for the guidance and education of the public, including issuers, auditors and users of financial information.

Financing Corporation (FICO^®): Mixed-ownership, government corporation in charge of servicing debt on bonds that were issued as a result of the savings and loan “bailout”. Mixed-ownership corporations are those with capital stock owned by both the United States and borrowers or other private holders.

First Front Door (FFD): Bank program developed to provide grant assistance to cover the down payment and

       closing costs to first time homebuyers at or below 80% median income.

First Loss Account (FLA): Notational account established by an MPF Bank for each Master Commitment based on and in the amount required under the applicable MPF mortgage product description and Master Commitment.

Generally Accepted Accounting Principles (GAAP): Accounting term that encompasses the conventions, rules, and procedures necessary to define accepted accounting practice at a particular time. GAAP includes not only broad guidelines of general application, but also detailed practices and procedures. Those conventions, rules, and procedures provide a standard by which to measure financial presentations.

Government National Mortgage Association (Ginnie Mae or GNMA): GSE established by Congress in 1968 that guarantees securities backed by a pool of mortgages.

Government-sponsored enterprise (GSE): A private organization with a government charter whose function is to provide liquidity for the residential loan market or another identified government purpose.

HARP: Home Affordable Refinance Program

HELOC: Home Equity Line of Credit

Housing and Economic Recovery Act of 2008 (the Housing Act or HERA): Enacted by Congress in 2008; designed primarily to address the subprime mortgage crisis. Established the Finance Agency, replacing the Federal Housing Finance Board and the Office of Federal Housing Enterprise Oversight.

Internal Credit Rating (ICR): A scoring system used by the Bank to measure the financial condition of a member or housing associate and is based on quantitative and qualitative factors.

194

Joint and several liability: Obligation for which multiple parties are each individually and all collectively liable for payment.

Loan to Value (LTV): The loan-to-value (LTV) ratio expresses the amount of a first mortgage lien as a percentage of

       the total appraised value of real property.

London Interbank Offered Rate (LIBOR): Offer rate that a Euromarket bank demands to place a deposit at (or equivalently, make a loan to) another Euromarket bank in London. LIBOR is frequently used as the reference rate for the floating-rate coupon in interest rate swaps and option contracts such as caps and floors.

Master Commitment: A document executed by a PFI and an MPF Bank, which provides the terms under which the PFI will deliver mortgage loans to the MPF Bank.

Master Servicer: Financial institution that the MPF Provider has engaged to perform various master servicing duties on its behalf in connection with the MPF Program.

Maximum Borrowing Capacity (MBC): Total possible borrowing limit for an individual member. This is determined based on the type and amount of collateral each member has available to pledge as security for Bank advances. It is computed using specific asset balances (market and/or book values) from qualifying collateral categories, which are discounted by applicable collateral weighting percentages. The MBC is equal to the aggregate collateral value net of any pledged assets.

Mortgage-Backed securities (MBS): Investment instruments backed by mortgage loans as security.

Mortgage Partnership Finance^® (MPF^®) Program: FHLBank of Chicago program offered by select FHLBanks to their members to provide an alternative for funding mortgages through the creation of a secondary market.

National Credit Union Administration (NCUA):  Independent federal agency that charters and supervises federal credit unions, backed by the full faith and credit of the U.S. government.

Nationally Recognized Statistical Rating Organization (NRSRO): Credit rating agency registered with the SEC. Currently nine firms are registered as NRSROs.

ORERC: Other real estate-related collateral.

Other-than-Temporary Impairment (OTTI):  From an accounting standpoint, an “impairment” of a debt or equity security occurs when the fair value of the security is less than its amortized cost basis, i.e., whenever a security has an unrealized loss.

 OTTI Governance Committee: FHLB System OTTI governance committee formed by the FHLBs with the

       responsibility for reviewing and approving the key modeling assumptions, inputs and methodologies to be used to

       generate cash flow projections, which are used in analyzing credit losses and determining OTTI for private label MBS.

PMI: Primary Mortgage Insurance

Pair-off fee: A fee assessed against a PFI when the aggregate principal balance of mortgages funded or purchased under a delivery commitment falls above or below the tolerance specified.

Participating Financial Institution (PFI): Bank member participating in the MPF Program, which is legally bound to originate, sell and/or service mortgages in accordance with the PFI Agreement, which it signs with the MPF Bank of which it is a member.

Permanent capital: Retained earnings plus capital stock; capital stock includes mandatorily redeemable capital stock.

QCR: Qualifying Collateral Report

RBC: Risk Based Capital

ROE: Return on Equity

RRE: Restricted Retained Earnings

Real Estate Owned (REO): Mortgaged property acquired by a servicer on behalf of the mortgagee, through foreclosure or deed in lieu of foreclosure.

Resolution Funding Corporation (REFCORP): Mixed-ownership, government corporation created by Congress in 1989 to issue “bailout” bonds and raise industry funds to finance activities of the Resolution Trust Corporation, and merge or close insolvent institutions inherited from the disbanded Federal Savings and Loan Insurance Corporation. Mixed-ownership corporations are those with capital stock owned by both the United States and borrowers or other private holders.

SERP: Supplemental Executive Retirement Plan.

Servicer: Institution approved to service mortgages funded or purchased by an MPF Bank. The term servicer refers to the institution acting in the capacity of a servicer of mortgages for an MPF Bank under a PFI Agreement.

Standby letter of credit: Document issued by the FHLBanks on behalf of a member as a guarantee against which funds can be drawn, that is used to facilitate various types of business transactions the member may have with third parties. Standby is defined as the Bank standing by to make good on the obligation made by the member to the beneficiary.

Supplemental Mortgage Insurance (SMI) policy: Any and all supplemental or pool mortgage guarantee insurance policies applicable to mortgages delivered under the Master Commitment.

TDR: Troubled Debt Restructure

195

TAP auction debt: Term used to address multiple FHLBank debt issuances within a given quarter which have the same terms. As an FHLBank issues debt with terms similar to other FHLBank debt already issued, the FHLBank ‘taps’ the original issuance and is assigned the same CUSIP; this creates one larger, more liquid issue.

Total Credit Exposure (TCE): In addition to TCP, it includes accrued interest on all outstanding advances and

       estimated potential prepayment fee amounts, where applicable, for advances to members in full delivery

       collateral status.

Underlying: A specified interest rate, security price, commodity price, foreign exchange rate, index of prices or rates or other variable. An underlying may be the price or rate of an asset or liability, but is not the asset or liability itself.

Variable Interest Entities (VIEs): An entity (the investee) in which the investor holds a controlling interest that is not based on the majority of voting rights. It is closely related to the concept of a special purpose entity. The importance of identifying a VIE is that a company needs to consolidate such entities if it is the primary beneficiary of the VIE.

Veterans Affairs, Department of (VA): Federal agency with oversight for programs created for veterans of the U.S. armed forces. Mortgage loans granted by a lending institution to qualified veterans or to their surviving spouses may be guaranteed by the VA.

Weighted average coupon (WAC): Weighted average of the interest rates of loans within a pool or portfolio.

Weighted average life (WAL): The average amount of time that will elapse from the date of a security’s issuance until each dollar of principal is repaid. The WAL of mortgage loans or MBS is only an assumption. The average amount of time that each dollar of principal is actually outstanding is influenced by, among other factors, the rate at which principal, both scheduled and unscheduled, is paid on the mortgage loans.

196

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: March 9, 2017

By: /s/Winthrop Watson

Winthrop Watson

President and Chief Executive Officer

Signature	Capacity	Date
/s/ Winthrop Watson Winthrop Watson	President and Chief Executive Officer	March 9, 2017
/s/ David G. Paulson David G. Paulson	Chief Financial Officer	March 9, 2017
/s/ Edward V. Weller Edward V. Weller	Chief Accounting Officer	March 9, 2017
*/s/ Patrick A. Bond Patrick A. Bond	Chairman of the Board of Directors	March 9, 2017
*/s/ John K. Darr John K. Darr	Vice Chairman of the Board of Directors	March 9, 2017
*/s/ Pamela C. Asbury Pamela C. Asbury	Director	March 9, 2017
*/s/ James R. Biery James R. Biery	Director	March 9, 2017
*/s/ Glenn R. Brooks Glenn R. Brooks	Director	March 9, 2017
*/s/ Rev. Luis A. Cortés, Jr. Rev. Luis A. Cortés, Jr.	Director	March 9, 2017

197

Signature	Capacity	Date
*/s/ Pamela H. Godwin Pamela H. Godwin	Director	March 9, 2017
*/s/ Brian A. Hudson Brian A. Hudson	Director	March 9, 2017
*/s/ William C. Marsh William C. Marsh	Director	March 9, 2017
*/s/ Brendan J. McGill Brendan J. McGill	Director	March 9, 2017
*/s/ Charlotte B. McLaughlin Charlotte B. McLaughlin	Director	March 9, 2017
*/s/ Lynda A. Messick Lynda A. Messick	Director	March 9, 2017
*/s/ Thomas H. Murphy Thomas H. Murphy	Director	March 9, 2017
*/s/ Charles J. Nugent Charles J. Nugent	Director	March 9, 2017
*/s/ Gerald P. Plush Gerald P. Plush	Director	March 9, 2017
*/s/ James R. Reske James R. Reske	Director	March 9, 2017
*/s/ Bradford E. Ritchie Bradford E. Ritchie	Director	March 9, 2017
*By: /s/ Dana A. Yealy Dana A. Yealy, Attorney-in-fact

198

EX-10.4.1

2017 DIRECTORS’ COMPENSATION POLICY

OBJECTIVE

Section 1261.22 of the Rules and Regulations of the Federal Housing Finance Agency require the Board of Directors to adopt a written policy to provide for the payment of reasonable compensation to Bank Directors for the performance of their duties as members of the Board of Directors. Pursuant to that regulation, this Directors' Compensation Policy ("Policy") sets forth the activities and functions for which attendance is necessary and appropriate and may be compensated, and sets forth the methodology for determining the amount of compensation to be paid. This Policy shall be reviewed annually by the Governance and Public Policy Committee.

POLICY

Total Compensation

The compensation paid to Directors shall be in conformity with the guidelines set forth in this Policy. The Policy guidelines on Director Compensation for 2017 are $137,500 for the Chair, $115,000 for the Vice Chair of the Board and for each Committee Chair, and $102,500 for each of the other Directors. Compensation can exceed the guidelines set forth above based on a Director assuming additional responsibilities, such as chairing a Committee or Board meeting.

Quarterly Retainer

In order to compensate Directors for their time while serving as Directors outside of normal Committee and Board meetings, Directors shall be paid a quarterly retainer. The retainer shall compensate Directors for their time preparing for meetings, attending Affordable Housing Advisory Council meetings, attending Bank System meetings, Board training sessions, and other activities outside of normal Committee and Board meetings. The amount of the quarterly retainer varies depending on the responsibilities of the Director as set forth below:

Chairman$16,957

Vice Chairman$14,391

Committee Chairman$14,391

Director$12,813

Board Meeting Fees

In order to compensate Directors for their time while serving as Directors, each Director that attends a meeting of the Board of Directors (including Committee meetings and participating by telephone) shall be paid a Board Meeting Attendance Fee. The amount of the Board Meeting Attendance Fee varies depending on the role served at the meeting. The following Board Meeting Attendance Fees shall be paid to Directors in attendance at Board of Director's meetings (including telephonic Board meetings):

Chairman$5,806

Vice Chairman$4,786

Committee Chairman$4,786

Director$4,270

In the absence of the Chairman, the Acting Chairman, whether it be the Vice Chairman or Chairman Pro Tem, shall receive the Chairman Board Meeting Attendance Fee. Board Meeting Attendance Fees are paid per meeting day. Board meeting fees are rounded down to the nearest dollar.

Standing Committee Meeting Fees

In order to compensate Directors for their time while serving as Directors, each Director that attends a Standing Committee meeting (including participating by telephone) shall be paid a Standing Committee Meeting Attendance Fee. The amount of the Standing Committee Meeting Attendance Fee varies among Directors in attendance at the meeting. The following Standing Committee Meeting Attendance Fees shall be paid to Directors in attendance at Committee Director's meetings:

Chairman$5,806

Vice Chairman$4,786

Committee Chairman$4,786

Director$4,270

Committee Meeting Attendance Fees are paid per meeting day, not per Committee meeting. No Committee Attendance Fee will be paid if a Board Meeting Attendance Fee is paid for the same day.Committee meeting fees are rounded down to the nearest dollar.

Prorated Fees

A Director’s quarterly retainer fees will be prorated for the number of days in the quarter that they actually served on the Board in the event a Director leaves the Board mid-quarter.

Methodology

In 2015, McLagan Partners conducted a director compensation study for the FHLBanks, which formed the basis for the Bank’s Director Compensation Policy, both as to the levels of compensation to be paid, as well as to the structure of how it would be paid. In 2016, the Board did not immediately move Director compensation to the levels recommended by McLagan; instead, the Board transitioned to the recommended levels over a a two-year period.

Attendance

Directors must fulfill their responsibilities by regularly attending and participating, either in person or telephonically, in at least 75 percent of meetings of the Board of Directors and assigned Committees within a given calendar year. The Board of Directors reserves the right to direct the Corporate Secretary to adjust downward or eliminate the fourth quarter retainer payment to any Director who fails to meet this attendance requirement.

Travel

The Directors shall be reimbursed for travel, subsistence and other related expenses incurred in connection with the Directors duties under the terms and conditions of the Bank's Travel and Expense Policy; provided, however, a Director may not be paid or reimbursed for gift or entertainment expenses.

Disclosure

The Bank shall disclose in its annual report to the Federal Housing Finance Agency the following items:

(i) the sum of the total compensation paid to its Directors in that year;

(ii) the sum of the total expenses paid to its Directors in that year;

(iii) the total compensation paid to each Director in that year;

(iv) the total expenses paid to each Director in that year;

(v) the total of all expenses incurred at group functions that are not reimbursed to individual Directors in that year;

(vi) the total number of Board meetings and Committee meetings held in that year;

(vii) the total number of Board and Committee meetings that each Director attended in that year; and

(viii) a summary of this Policy.

EX-10.12.3

FEDERAL HOME LOAN BANK OF PITTSBURGH

EXECUTIVE OFFICER INCENTIVE COMPENSATION PLAN

2017

I.    EFFECTIVE DATE

This Executive Officer Incentive Compensation Plan (“Executive Officer Plan” or “Plan”) of the Federal Home Loan Bank of Pittsburgh was originally established effective as of January 1, 2013 and shall continue in effect until terminated by the Bank’s Board of Directors. Incentive Awards (“Awards”) may be paid for the Plan Year (January 1 to December 31, each year) in accordance with the provisions of this Plan. The goals for the Plan Year and terms of the Awards shall be set forth in a separate Attachment to this Plan.

II.    PURPOSE AND OBJECTIVES

The Plan is designed to retain and motivate executive officers and reward the: (i) achievement of key annual goals and (ii) maintenance of satisfactory financial condition and member value over the longer term.

III.    PLAN ADMINISTRATION

The Plan is administered by the President; the Human Resources Committee of the Board of Directors (the “Committee”); and the Board of Directors (the “Board”).

A. Responsibilities of the President

The President will provide recommendations to the Committee and the Board regarding Plan participation, Bank performance goals, Bank achievements, and Awards for the Bank’s executive officers.

B.    Responsibilities of the Committee

The Committee will review all Plan recommendations and revisions (including all performance goals and Awards) from the President and present final recommendations to the Board for its approval. In addition, the Committee will review the performance of the President and the Bank’s other executive officers and make recommendations regarding any Award payouts under the Plan.

C.    Responsibilities of the Board

The Board will review and approve (as it determines appropriate) recommendations from the Committee.

IV.    ELIGIBILITY

The Bank’s executive officers are eligible to participate on the terms described in this Executive Officer Plan. Upon designation as a participant, each participant will be provided a copy of the Plan.

V. EXECUTIVE OFFICER PLAN AWARD OPPORTUNITY LEVELS

A summary of the Award levels is attached as Attachment A. Each participant shall be provided with a separate document showing his/her level of participation in the Plan.

VI.    PERFORMANCE MEASURES

The Plan Year for the Award opportunity shall mean the annual period ending December 31, (unless otherwise specifically stated in regard to a goal(s) in the applicable goal attachment to this Executive Officer Plan for the Plan Year). The Plan goals can be both quantitative and qualitative. Overall performance of Bank goals, and individual and group goals (as applicable), as well as individual performance objectives as measured through the Bank’s performance evaluation process, in aggregate, quantify the performance measures under the Plan that will be considered when determining overall actual performance and any Award payout amount.

Certain positions have a greater and more direct impact than others on the achievement of Bank performance. Those differences are recognized by varying the incentive opportunity expressed as a percentage of a participant's base salary. For executive management, generally, the greater the control and influence a participant can exert over Bank goals, the larger a portion of their incentive Award will be based on Bank performance. Executive officer goals may consist solely of Bank goals or they may include a combination of Bank goals and individual or group goals as determined by the Board.

In general, goals requiring attainment of specified performance or completion of specified tasks and activities shall not be considered as having been met when the actual performance as measured by completion of the activities has not been attained. Interpolation of Award amounts is permissible for achieved performance (measured by completion of the stated goals) at levels between threshold and target, and target and maximum. Awards for performance results between the threshold and target levels are calculated as a percentage of the target level. Awards for performance between the target and maximum levels are calculated as a percentage of maximum. Additionally, the specific terms of an approved goal(s) may establish further standards for interpolation.

VII. AWARD DETERMINATION AND PAYMENT

No participant has a vested right to any Award under the Plan until: (i) a determination of an Award payment has been made by the Board; (ii) the participant has met all applicable requirements for such Award and for receiving payment of such an Award, including, without limitation, any continued service and performance requirements as set forth in this Plan; and (iii) all the other conditions and criteria regarding payment of such Award as set forth in this Executive Officer Plan are met.

At the conclusion of the applicable Plan Year after considering the Bank's performance against the Bank goal(s), individual performance, and actual overall Bank performance, the President shall recommend to the Committee the Awards to be paid to the Bank’s executive officers, excluding the President. With respect to the determination of any Awards to the executive officers under this Plan, the Committee and the Board shall consider, in addition to individual and overall Bank performance, Bank financial condition, operating environment, and any other factors it considers relevant, including,

without limitation, the extent (if any) to which any extraordinary or non-recurring transaction had a material effect on whether a goal(s) was attained.

A participant who is on formal corrective action for performance at any time during the Plan Year, or is rated as “Unsatisfactory” or “Needs Improvement” on their most recent performance evaluation will be ineligible to receive any payment of any Award.

In order for any Award payment to be made, the most recent examination by the Federal Housing Finance Agency (“Finance Agency”) of the participant’s area(s) of responsibility must not have identified any unsafe or unsound practice or condition.

A.Assessment of Performance

Following December 31 of each year, the Board will evaluate performance against the incentive goals set forth on the attached Annual Goal Scorecard and determine the total amount of the Award (if any) based on that performance (such amount shall be referred to as the “Total Award”). The Total Award, if any, will be divided such that: 1) 50 percent of the Total Award shall be referred to as the “Current Incentive Award” and 2) the remaining 50 percent of the Total Award shall be referred to as the “Deferred Incentive Award.” The following illustrates how the 2013 Current Award and Deferred Incentive Award would be paid:

Payment	Description	Payment Year*
Current Incentive Award	50% of the Total Award	2014
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2015
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2016
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2017

*Payment will be made no later than March 15 in the year indicated.

All payments are subject to the terms of this Plan, including Section B below. In no event shall the aggregate amount of any Current Incentive Award and Deferred Incentive Award installments paid to a participant in any payment year exceed 100 percent of the participant’s base salary.

B. Payment of Each Deferred Incentive Award Installment Contingent on the Bank Continuing to Meet Stated Criteria and Contingent on the Participant Meeting Stated Payment Criteria

1.    Maintenance of Satisfactory Bank Performance

Except as set forth in Subsection 2., it is intended that a condition to payment of each Deferred Incentive Award installment is that in the annual period preceding the designated Payment Year for such installment, the Board determines that the Bank has met at least one (1) of the Deferred Incentive Award criteria set forth in Attachment B to this Plan. If the Board determines that the Bank has not met any of the stated criteria, then, such Deferred Incentive Award installment payment shall not be made. For the avoidance of doubt, if the Bank fails to meet at least one (1) of the criteria in the year

preceding a designated Payment Year for one installment of a Deferred Incentive Award and such installment payment is not made, but then, the Bank meets at least one of the criteria in the annual period before the designated Payment Year for the next installment payment, then, a subsequent Deferred Incentive Award installment payment shall be made. The actual amount of each Deferred Incentive Award installment payment shall be determined pro-rata or on such other basis as the Board shall determine in assessing the extent to which the stated criteria set forth on Attachment B were met by the Bank during the preceding annual period. In no case may the maximum amount of any Deferred Incentive Award installment be paid unless all of the stated criteria in Attachment B have been met in the preceding year. This provision shall not in any manner limit the Board’s authority under Articles VIII. and IX. of the Plan.

2. Board Discretion—Strategic Transactions

If prior to payout of all Deferred Incentive Award payments, Bank management recommends and the Board approves, a PLMBS risk reduction strategy including, without limitation, sale of some or all of the Bank’s PLMBS portfolio, then, the maintenance of satisfactory Bank performance requirement stated above in Subsection 1. requiring that the Bank meet at least one (1) of the stated criteria set forth in Attachment B shall not serve as a condition that must be met prior to payout of the remaining Deferred Incentive Award payments. In such case, the Bank does not have to meet any of the Deferred Incentive Award criteria in the annual period preceding each designated Payment Year and the Board may waive this condition separately on a year-by-year basis as to each remaining unpaid Deferred Incentive Award installment. If the Board does not take action with respect to an installment to waive the condition in the year preceding the Payment Year(s) for such installment, then, such condition shall not be waived as to that installment. The Bank shall provide notice to the Finance Agency of any Board-approved PLMBS risk reduction strategy with such notice to be provided prior to the Bank executing any PLMBS bond sales pursuant to such strategy. Notice to the Finance Agency shall not be required in regard to occasional PLMBS bond sales outside of such Board-approved strategy.

If prior to the payout of all Deferred Incentive Award payments a Change in Control event occurs (as defined below) then, in such case, the Deferred Incentive Award criteria set forth on Attachment B are inapplicable and all unpaid Deferred Incentive Awards: (i) shall vest 30 days after the Finance Agency issues its written approval of such a transaction and (ii) shall be paid to the participants 30 days after the closing of the transaction.

For purposes of this section “Change in Control” shall mean: (i) the merger, reorganization, or consolidation of the Bank with or into another Federal Home Loan Bank or other entity, (ii) the sale or transfer of all or substantially all of the business or assets of the Bank to another Federal Home Loan Bank or other entity, (iii) the purchase by the Bank or transfer to the Bank of all or substantially all of the business or assets of another Federal Home Loan Bank, (iv) a change in the composition of the Board of Directors, as a result of one or a series of related transactions, that causes the number of directors of the Bank elected by members of the Bank located in Pennsylvania, West Virginia, and Delaware to cease to constitute a majority of the directors of the Bank that are elected by members of the Bank (excluding, for purposes of this clause (iv), non-member independent directors), or (v) the liquidation of the Bank. Provided that the term "reorganization" contained in this definition shall not include any reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. Section

1421, et seq., as amended, and 12 U.S.C. Section 4501 et seq., as amended, and which the Director of the Finance Agency (or successor agency) has determined should not be a basis for making payment under this Plan, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the Agency's supervision of the Bank or because any of the conditions identified in 12 U.S.C. Section 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the Agency has required the Bank to take under 12 U.S.C. Section 1431(d)).

3. Termination of Employment; Pro-Rated and Deferred Incentive Award Payments; Participant Performance Condition

Participants who terminate employment with the Bank for any reason, other than death, disability, or retirement prior to the Current Incentive Award payout date will not be eligible for such an Award. Participants who are hired during the Plan Year or whose employment ends due to involuntary termination¹ (excluding involuntary termination for cause²), death, disability, or retirement prior to the Current Incentive Award payout date may be eligible to be considered for a pro-rated Current Incentive Award.³ 

Participants who terminate employment due to retirement or involuntary termination (other than for cause) after the Current Incentive Award payout date but before completion of the payment of all corresponding Deferred Incentive Award installments (as set forth above) shall receive such Deferred Incentive Award installment payments at the same time as such payments are made to Plan participants who are current Bank employees. Participants who otherwise resign employment before the completion of the payment of all corresponding Deferred Incentive Award installments shall not receive payment of such installments. Any participant that is terminated by the Bank for cause (as defined in this Plan) prior to receiving payment of all corresponding Deferred Incentive Award installments shall not receive payment of any remaining unpaid Deferred Incentive Award installments. This provision shall not in any manner limit the Board’s authority under Articles VIII. and IX. of the Plan.

In the case of a participant whose employment terminates due to death or disability before completion of the payment of all corresponding Deferred Incentive Award installments, such installments shall promptly vest following the death or disability and the remaining installments shall be paid by the Bank within 90 days of the date of death or determination of disability.

¹ “Involuntary termination” shall be interpreted consistent with “separation from service” as defined in the IRS 409A Regulations and exclude termination for cause and shall include a “resignation for good reason” as defined by the IRS 409A Regulations.

² For purposes of the Plan, “cause” means: (1) continued failure of the Participant to perform his or her duties with the Bank (other than any such failure resulting from disability), after a demand for performance, pursuant to a resolution of the Board, is delivered to the participant by the chair of the board, which specifically identifies the manner in which the participant has not performed his or her duties; (2) personal dishonesty, incompetence, willful misconduct, breach of fiduciary duty involving personal profit, intentional failure to perform stated duties, or willful violation of any law, rule, or regulation (other than routine traffic violations or similar offenses); or (3) removal of the participant by or at the direction of the Federal Housing Finance Agency pursuant to federal laws, rules, and regulations, including 12 U.S.C. §4501 et. seq. as amended or by any successor agency to the Federal Housing Finance Agency pursuant to a similar statute.

³“Retirement” for purposes of this Plan is defined as a participant meeting one of the following criteria: (1) 60 years of age or older with at least 5 years of service; (2) 65 years of age or older regardless of service; (3) age 55 or older with at least 10 years of service; or (4) the combination of the participant’s age and years of service equals or exceeds 80; provided that, in each such case, the participant enters into a non-solicitation agreement in the form required by the Bank regarding the Bank’s customer’s and employees. “Disability” shall be interpreted consistent with IRS 409A Regulations.

C.    Provisions Applicable to All Awards Under the Plan

Except as expressly set forth otherwise in this Plan, payments under the Plan are intended to satisfy the “short-term deferral” exception under Section 409A of the Internal Revenue Code (“Code”). Each payment under the Plan will be treated as a separate payment for purposes of Section 409A of the Code and corresponding IRS 409A Regulations. Appropriate provisions shall be made for any taxes that the Bank determines are required to be withheld from any Awards under the applicable laws or other regulations of any governmental authority, whether federal, state, or local. For the avoidance of doubt, Participants will be solely responsible for any applicable taxes (including income and excise taxes) and penalties, and any interest that accrues thereon, that they incur in connection with the receipt of any Award under the Plan. This Plan and the payment of any Award hereunder shall be subject to the Finance Agency’s authority over executive compensation pursuant to 12 U.S.C.§ 4518. The payment of any Award shall be subject to such obligations, terms, and conditions as the Committee or the Board may specify in making the Award and, in exercising its discretion to make any Award determination hereunder, the Board may choose to consider factors such as overall Bank financial performance, operating environment, and other relevant considerations. Acceptance of any Award shall constitute agreement by the participant to all obligations, terms, conditions, and restrictions so imposed.

VIII.    CLAWBACK AND REDUCTION OF AWARDS

In the event of gross misconduct, gross negligence, materially inaccurate financial statements, erroneous performance metrics related to incentive goal calculation or conviction of a felony, the Board will have the authority to adjust Award amounts or reclaim Award payments. For the avoidance of doubt, the Board may in its sole discretion, decline to adjust the terms of any outstanding Award if it determines that such adjustment would violate applicable law or result in adverse tax consequences to a participant or the Bank.

The Board will utilize its discretion to reduce the amount of any Current Award and Deferred Award installments if it determines that:

(i) Operational errors or omissions result in material revisions to the financial results, information submitted to the Finance Agency, or data used to determine incentive award payment amounts;

(ii) The submission of information to the Securities and Exchange Commission (“SEC”), the Office of Finance (“OF”), and/or the Finance Agency has not been provided in a timely manner; or

(iii) The Bank fails to make sufficient progress, as determined by the Finance Agency and communicated to Bank management and/or the Board by the Finance Agency, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management’s attention.

IX.    TERMINATION OR AMENDMENT

The Plan, in whole or in part, may at any time or from time to time be amended, suspended, or reinstated and may at any time be terminated by action of the Board. The Board has the power and authority to construe, interpret, and administer the Plan. Any decision arising out of or in connection with the construction, interpretation, or administration of the Plan will lie within the Board's absolute discretion and will be binding on all parties. No provision of this Plan shall create any right to continued employment.

Attachments

Attachment A— 2017 Award Levels

Participant Level	Threshold Incentive Award Opportunity	Target Incentive Award Opportunity	Maximum Incentive Award Opportunity
Level A	60%	75%	100%
Level B	55%	70%	85%
Level C	50%	65%	80%
Level D	40%	55%	70%

Attachment B

2017

Criteria for Payment of Deferred Award Installments

(1) Market Value of Equity to Par Value of Capital Stock (MV/CS) - Maintain MV/CS above 105% on average throughout the year.

(2) Retained Earnings Level - Maintain enough retained earnings to exceed the Bank's retained earnings target at each year end of deferred payment period.

The Board will consider the following criteria and may exercise its discretion to adjust an award based on such criteria:

Remediation of Examination Findings. Defined as the Bank making sufficient progress, as determined by the FHFA and communicated to Bank management or the Board of Directors by the FHFA, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management's attention. Refers to examination findings from the examination during the applicable deferral year for the installment. For example, for the 2014 installment (payable in 2015), the applicable examination is the 2014 examination.

Timeliness of FHFA, SEC, and OF Filings. Filings defined as SEC periodic filings, call report filings with FHFA, and FRS filings with OF that are timely filed and no material restatement by the Bank is required.

Notes: at least one of the (1) and (2) stated quantifiable criteria above must have been met in the preceding year in order for any installment payment to be made. In the event that both of the (1) and (2) stated quantifiable criteria are met in the preceding year, the payment will be made at 125% of the deferred amount. In no event shall the aggregate amount of any Current Incentive Award and Deferred Incentive Award installments paid to a participant in any payment year exceed 100 percent of the participant's base salary.

2017 Incentive Goal Scorecard

Goal	Weight	Risk Mgmt Weight	Threshold	Target	Max	YTD As of __. 2017	Full Yr. Forecast
Increase member use of core products by year-end 2017. Core products include: Advances, MPF, letters of credit, safekeeping and four community investment products (Affordable Housing Program, Community Lending Program, Banking On Business and First Front Door).	30%	30%	655	690	745
Profitability as measured by adjusted earnings relative to GAAP capital in excess of average three month LIBOR within identified risk parameters (see Attachment A)	35%	30%	375	449	500
KRI Performance (see Attachment B)	10%	15%	8 of 12	10 of 12	All
Peer operating expense scorecard - basket of 4 metrics (see Attachment C)	10%	10%	Rank 8	Rank 6	Rank 2
Strengthen employee engagement and diversity and inclusion Create and implement OMWI strategic plan (see Attachment D)	15%	15%	1 of 3	2 of 3	3 of 3

2017 Incentive Goal Scorecard
Attachment A

Goal	Weight	Risk Mgmt Weight
Profitability as measured by adjusted earnings relative to GAAP capital in excess of average three month LIBOR within identified risk parameters (actual duration of equity) GAAP Net Income adjusted for: •    Advance prepayment fees •    Mortgage Delivery Commitments (MPF G&L) •    EaR and unrealized G&L on securities (change from base removed) •    Legal settlements (i.e., PLMBS litigation) •    Derivative ineffectiveness	35%	30%

2017 Incentive Goal Scorecard
Attachment B

Goal	Weight	Risk Mgmt Weight
KRI Performance - Consistent with the Bank’s Risk Appetite Statement that “everyone is a risk manager” and the continuous focus on nurturing an enterprise risk management (ERM) culture, KRIs provide a representation of the key risks to be managed and monitored across the Bank. KRI performance includes the following metrics: •Retained Earnings Target# •Return on Equity Spread Volatility •FHFA Liquidity Advance Renewal •Aggregate Refunding Risk •MPF Original Performance Ratio •Derivative Counterparty Credit •Liquidity Counterparty Credit •Stressed Collateral Shortfall / Retained Earnings# •Compliance Concerns •Critical Services Availability •Security “Protect” Composite # •Security “Detect” Composite # At the end of each calendar month, 8.33% (1/12th) of the annual performance award will be determined by the KRI performance results. The four KRIs marked (#) above are measured on a quarterly basis. Their results would be reflected in the monthly measurement based on their most recent known performance. For these quarterly KRIs, actual data or remedial actions might be incorporated in the interim months between the quarterly measurement. For example, for the Retained Earnings Target metric that compares actual retained earnings to the level of retained earnings needed for the risks that Bank takes, management determines the retained earnings needed each quarter-end but updates the metric each month with the actual retained earnings balance. Potentially, if the quarterly Security "protect" and "detect" control metrics were to measure yellow or red, management might react to correct the deficiencies and remeasure KRI performance in the interim months. •Threshold – eight KRIs are green* •Target – ten KRIs are green* •Maximum - all KRIs are green*                                  (*) 50% award if one KRI is red; no award if two KRIs are red	10%	15%

2017 Expense Scorecard

Attachment C

	Total	Expense/	CAGR			Combined
	Expense	NII	3 years	5 years	Total	Rank
FHLBank 1	-	-	-	-	-	1
FHLBank 2	-	-	-	-	-	2	Max
FHLBank 3	-	-	-	-	-	3
FHLBank 4	-	-	-	-	-	4
FHLBank 5	-	-	-	-	-	5
FHLBank 6	-	-	-	-	-	6	Target
FHLBank 7	-	-	-	-	-	7
FHLBank 8	-	-	-	-	-	8	Threshold
FHLBank 9	-	-	-	-	-	9
FHLBank 10	-	-	-	-	-	10

• NII is defined as total net interest income plus other non interest income (as defined in FRS reporting) which attempts to include letter of credit fees which are not specifically reported by the individual FHLBanks.

• The FHLBank of Des Moines will be excluded from the population of system banks as their historical results for the CAGR calculations would be distorted due to its merger with the Seattle bank in 2015.

2017 Incentive Goal Scorecard
Attachment D

Goal	Weight	Risk Mgmt Weight
Employee Engagement & D&I Continue to focus on the development and motivation of the Bank’s employees through efforts to strengthen (1) employee engagement and (2) diversity and inclusion (D&I), •    Through an integrated talent management system, continue to evolve management tools and support to drive employee engagement, attraction, retention and performance. •    Implement Integrated Talent Management Strategy •    Implement new D&I strategic plan action items OMWI Increase focus on OMWI initiatives by creating and implementing a OMWI Strategic Plan that includes a build out of processes and tools, extending sourcing and hiring practices, adding training curriculum and increasing the diversity of vendors including capital markets counterparties. •    The OMWI strategic plan will incorporate best practices as well as amended regulatory (FHFA) regulations and guidance. The Human Resources Committee of the Board will approve the specifics of the program to be implemented in order to achieve this goal. Note: Achievement levels are subject to the Bank’s practice of interpolation.	15%	15%

EX-12.1

Federal Home Loan Bank of Pittsburgh

Computation of Ratio of Earnings to Fixed Charges

(unaudited)

	For the year ended December 31,
(dollars in thousands)	2016		2015		2014		2013		2012
Earnings
Income before assessments	$	288,941	$	285,049	$	284,208	$	164,453	$	144,193
Fixed charges	637,407		378,462		343,693		402,142		521,341
Earnings available for fixed charges	926,348		663,511		627,901		566,595		665,534
Fixed charges
Interest expense	636,701		377,756		342,986		401,437		520,619
Interest portion of net rent expense(1)	706		706		707		705		722
Total fixed charges	$	637,407	$	378,462	$	343,693	$	402,142	$	521,341
Ratio of earnings to fixed charges	1.45		1.75		1.83		1.41		1.28

Notes:

⁽¹⁾ Represents one-third (the proportion deemed representative of the interest portion) of rent expense.

EX-24.0

POWER OF ATTORNEY

KNOW ALL PERSONS BY THESE PRESENTS, that each of the undersigned Directors of the Federal Home Loan Bank of Pittsburgh (the “Corporation”), a corporation organized under federal law with a principal place of business in Pennsylvania, hereby names, constitutes, and appoints Dana A. Yealy, Managing Director, General Counsel & Corporate Secretary, as such person’s true and lawful attorney-in-fact to sign in his or her name, place, and stead, and to do any and all things and execute any and all instruments that such attorney-in-fact may deem necessary or advisable under the Securities Exchange Act of 1934, as amended, and any rules, regulations, and requirements of the Securities and Exchange Commission (the “Commission”), in connection with the filing with the Commission of an Annual Report on Form 10-K of the Corporation for the fiscal year ended December 31, 2016 (the “Form 10-K”); including specifically, but without limiting the generality of the foregoing, the power and authority to sign his or her name in his or her capacity as a member of the Board of Directors of the Corporation to the Form 10-K and such other form or forms as may be appropriate to be filed with the Commission as he may deem appropriate, together with all exhibits thereto, and to any and all amendments thereto and to any other documents filed with the Commission, as fully for all intents and purposes as he or she might or could do in person, and hereby ratifies and confirms that said attorney-in-fact and agent, acting alone may lawfully do or cause to be done by virtue hereof.

WITNESS the due execution hereof by the following persons in the capacities indicated as of this 17th day of February 2017.

Name/SignatureCapacity

/s/ Patrick A. Bond Patrick A. Bond	Chairman of the Board of Directors
/s/ John K. Darr John K. Darr	Vice Chairman of the Board of Directors
/s/ Pamela C. Asbury Pamela C. Asbury	Director
/s/ James R. Biery James R. Biery	Director
/s/ Glenn R. Brooks Glenn R. Brooks	Director
/s/ Luis A. Cortes Luis A. Cortes	Director
/s/ Pamela H. Godwin Pamela H. Godwin	Director
/s/ Brian A. Hudson Brian A. Hudson	Director
/s/ William C. Marsh William C. Marsh	Director
/s/ Brendan J. Mcgill Brendan J. McGill	Director
/s/ Charlotte B. Mclaughlin Charlotte B. McLaughlin	Director
/s/ Lynda A. Messick Lynda A. Messick	Director
/s/ Thomas H. Murphy Thomas H. Murphy	Director
/s/ Charles J. Nugent Charles J. Nugent	Director
/s/ Gerald P. Plush Gerald P. Plush	Director
/s/ James R. Reske James R. Reske	Director
/s/ Bradford E. Ritchie Bradford E. Ritchie	Director

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 Annual Report on Form 10-K for the year ended December 31, 2016 of 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:     March 9, 2017/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 Annual Report on Form 10-K for the year ended December 31, 2016 of 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: March 9, 2017/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 Annual Report on Form 10-K for the year ended December 31, 2016 of 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:     March 9, 2017/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-K of the registrant for the year ended December 31, 2016 (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:     March 9, 2017/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-K of the registrant for the year ended December 31, 2016 (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:     March 9, 2017/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-K of the registrant for the year ended December 31, 2016 (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:     March 9, 2017/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.

EX-99.1

FEDERAL HOME LOAN BANK OF PITTSBURGH CHARTER FOR THE AUDIT COMMITTEE

OF THE BOARD OF DIRECTORS

January 2017

Purpose and Authority

The Audit Committee (Committee) is a committee of the Board of Directors (Board) of the Federal Home Loan Bank of Pittsburgh (Bank) that assists the Board in fulfilling its responsibilities for general oversight of:

1. The Bank's financial reporting processes and the audit of the Bank's financial statements, including the integrity of the Bank's financial statements;

2. The Bank's administrative, operating, and internal accounting controls;

3. The Bank's compliance with legal and regulatory requirements;

4. The independent auditors' qualifications and independence; and

5. The performance of the Bank's internal audit function and independent auditors.

The Committee has the authority to obtain advice and assistance from outside legal,

accounting, or other advisors as the Committee deems necessary to carry out its duties and the Committee shall receive appropriate funding, as determined by the Committee, from the Bank for payment of compensation to the outside legal, accounting, or other advisors employed by the Committee and any administrative expenses necessary or appropriate for the Committee to carry out its duties.

The Committee has the authority to seek any information it requires from the Bank officers and employees, all of whom are directed to cooperate with the Committee's requests, or external parties.

Membership and Structure

The Committee shall consist of at least five Directors of the Board. The Committee shall include, to the extent practicable, a balance of representatives from community financial institutions and other members and will also include a balance of independent and member Directors. In order to provide continuity and experience, Committee members shall serve staggered terms. The Chairperson and Vice Chairperson of the Board are non-voting ex officio members of the Committee who may participate in discussion and debate, but do not count for quorum requirements.

Each member of the Committee must meet the applicable financial literacy and expertise requirements. At least one member must have adequate accounting or related financial management experience to meet the applicable requirements for designation as "financial expert."

The Committee shall consist of members of the Board, each of whom shall be independent. Any member of the Board shall be considered sufficiently independent if that Director does not have a disqualifying relationship with the Bank or its management that would interfere with the exercise of that Director's independent judgment. Such disqualifying relationships include, but are not limited to:

a. Being employed by the Bank in the current year or any of the past five years;

b. Accepting any compensation from the Bank other than compensation for service as a Board Director;

c. Serving or having served in any of the past five years as a consultant, advisor, promoter, underwriter, or legal counsel of or to the Bank; or

d. Being an immediate family member of an individual who is, or has been in any of the past five years, employed by the Bank as an executive officer.

Meetings and Procedures

The Committee shall convene at least four times each year, with additional meetings as the Committee deems appropriate. The Committee Chair is responsible for the agenda and minutes. The Committee shall meet as needed in separate executive sessions and also in private sessions with management, the internal auditors, and the independent auditors to facilitate full communication. The Committee shall meet at least quarterly with the Chief Internal Auditor. The Committee shall be given open access to the Bank's internal auditors, Board, the Bank executives, and independent auditors, as well as the Bank's books, records, facilities, and other personnel. Written minutes of the Committee will be prepared by the Committee liaisons for each meeting. Detailed minutes of any executive session of the Committee will not be maintained; however, topics discussed will be noted in the written minutes. The approved original minutes will be forwarded to the Corporate Secretary for distribution to the full Board and filing with the Federal Housing Finance Agency (FHFA).

Charter

The Committee and the Board shall annually review, assess the adequacy of and, where appropriate, amend the Committee charter; and re-adopt and re-approve the Committee charter not less often than every three years.

The Committee shall prepare a written report to be included in the Bank's Annual Report on Form 10-K (Form 10-K) that will indicate that the Committee is governed by a charter, which will be included as an appendix to the Form 10-K at least once every three years, and that all the members of the Committee are independent as defined by the FHFA. The report will include that the Committee has complied with the requirements of the communication with Audit Committees and has received the written disclosures and letter from the independent auditors as required by Public Company Accounting Oversight Board (PCAOB) Rule 3526.

Duties and Responsibilities

Internal Audit:

1. Review and approve the Internal Audit Charter annually.

2. Select, evaluate at least annually, and determine the compensation of the Chief Internal Auditor. This includes an appropriate focus on performing audit activities and should only include incentives tied to actions and outcomes within the Chief Internal Auditor's control and influence.

3. Where appropriate, replace the Chief Internal Auditor. The Chief Internal Auditor may be removed only with the approval of the Committee. The Chief Internal Auditor shall report directly to the Committee on substantive matters and is ultimately accountable to the Committee and the Board in order to maintain independence and objectivity.

4. Provide that the Chief Internal Auditor shall have unrestricted access to the Committee without the need for any prior management knowledge or approval.

5. Review at least annually the overall scope, qualifications, training, resources, activities, organizational structure, significant accounting policies, and effectiveness of the internal audit function, including the quality and appropriateness of Chief Internal Auditor and staff training.

6. Review and approve the annual Internal Audit Plan and budget.

7. Oversee the internal audit function by reviewing the scope of audit services required, including information security,the significant risks and exposures,and the internal audit activities and findings; including follow-up on findings.

8. Periodically review and approve Internal Audit's methodology and any significant changes to the methodology.

9. Annually review the results of the internal Quality Assurance Reviews, and the results of the external Quality Assurance Review, when performed.

10. Meet in executive session at least quarterly with the Chief Internal Auditor.

Annually and on behalf of the Board, the Committee should review the Bank's Report on Consistency with the Guidance that must be submitted to the FHFA Chief Accountant by the Bank no later than June 30 of each year.

Financial Statements:

1. Review the basis for the Bank's financial statements and the independent auditor's opinion rendered with respect to the financial statements, including the nature and extent of any significant changes in accounting principles or the application therein.

2. Ensure policies are in place that are designed to achieve disclosure and transparency regarding the Bank's true financial performance and governance practices.

3. Recommend to the Board, based on review and discussions, whether the audited financial statements should be included in the Form 10-K.

4. Review other sections of the Form 10-K and related regulatory filings before release and consider the accuracy and completeness of the information.

5. Discuss earnings press releases as well as corporate policies with respect to financial information.

Internal Controls:

1. Ensure that senior management has established and is maintaining an adequate and effective internal control system within the Bank. This includes the review of the adequacy of the internal controls including the identification of significant changes to the internal control system, the resolution of identified material weaknesses and significant deficiencies, and the prevention or detection of management override or compromise of the internal control system.

2. Direct senior management to maintain the reliability and integrity of the accounting policies and financial reporting and disclosure practices of the Bank.

3. Review the adequacy of the Bank's SOX 404 process.

4. Review the adequacy and effectiveness of the internal controls regarding information security.

Independent Auditors:

1. Oversee the work of any registered public accounting firm employed by the Bank for the purpose of preparing or issuing an audit report or related work, and ensure that each such registered public accounting firm shall report directly to the Committee .

2. Be directly responsible for the appointment, compensation, retention, and oversight of the independent auditor and provide that the independent auditor reports directly to the Committee. Review the performance of the independent auditor annually. Require the independent auditor to rotate the lead audit partner, and the partner responsible for reviewing the audit at least every five years or as required by applicable regulations.

3. Review and approve in advance the scope of the fiscal year's independent audit and the audit fee as documented in the engagement letter.

4. Establish policies for the independent auditors' activities and any fees beyond the core audit, approve in advance all non-audit services to be performed by the independent auditors that are not otherwise prohibited by law and associated fees, and monitor the usage and fees paid to the independent auditors. The Committee delegates to the Chair of the Committee the authority to pre-approve non-audit services not prohibited by law to be performed by the independent auditors, subject to any single request involving a fee of $100,000 or higher being circulated to all Committee members for their information and comment. The Chair shall report any decision to pre-approve such services to the full Committee at its next meeting.

5. Obtain annually a written statement from the independent auditors regarding their independence for compliance with PCAOB Rule 3526.

6. Discuss with the independent auditors the requirements under Auditing Standard No. 16, "Communications with Audit Committees," including uncorrected misstatements and the quality of the Bank's accounting principles and underlying estimates in the financial statements.

7. Review and discuss with the independent auditors their annual written statement delineating all relationships or services between the independent auditors and the Bank, or any other relationship or services that may impact their objectivity and independence.

8. Understand the extent of independent auditor review over the security for computer systems, facilities, and backup systems.

9. Set clear hiring policies for employees or former employees of the independent auditors, and monitor compliance with such policies.

10. Review with management and the independent auditors:

• The Bank's annual audited and quarterly financial statements, including the Bank's disclosures in "Management's Discussion and Analysis of Financial Condition and Results of Operations;"

• The results of the independent auditors' audit and the independent auditors' opinion on the annual financial statements;

• Changes in accounting principles or application thereof ,significant judgment areas, and significant and complex transactions; and

• Any disagreements between management and the independent auditors, about matters that individually or in the aggregate should be significant to the Bank's financial statements or the independent auditors' report, and any serious difficulties the independent auditors encountered in dealing with management related to the performance of the audit.

11. At least annually, obtain from and review a report by the independent auditors describing (a) the independent auditors' internal quality control procedures, and (b) any material issues raised by the most recent internal quality control review, or peer review,or by any governmental or professional inquiry or investigation within the preceding year regarding any audit performed by the independent auditors, and any steps taken to address such issues.

12. Provide that the independent auditor shall have unrestricted access to the Committee without the need for any prior management knowledge or approval.

13. Meet in executive session at least annually with the independent auditors.

Compliance:

1. Review the policies and procedures established by senior management designed to ensure compliance with applicable laws, regulations, and policies and monitor the results of these compliance efforts.

2. Review the results of significant investigations, examinations, or reviews performed

by regulatory authorities and management's response.

Other:

1. Review the policies and procedures established by senior management to assess and monitor implementation of the Bank's strategic business plan and the operating

goals and objectives contained therein.

2. Oversee the Bank's internal fraud risk assessment and the concerns reporting process.

3. Oversee the Bank's travel and entertainment process.

4. Conduct or authorize investigations into any matters within the Committee's scope of responsibilities.

5. Consider such other matters regarding the Bank's financial affairs, its controls, and the internal and independent auditors of the Bank as the Committee, in its discretion, may determine to be advisable.

6. Report regularly to the Board with respect to the Committee's activities.

7. Provide an independent, direct channel of communication between the Board and the internal and independent auditors.

8. Evaluate the performance of the Committee annually.

9. Bi-annually consider the need for an independent consultant or accounting firm to conduct an evaluation of one or more accounting policy areas.

10. Establish a procedure for the receipt, retention, and treatment of complaints received regarding accounting, internal accounting controls, or auditing matters. This will include the confidential, anonymous submission by employees of concerns regarding questionable accounting or auditing matters.

Approved by the Board of Directors: December 15, 2016

EX-99.2

The Audit Committee for 2017 is comprised of five directors: Brian A. Hudson, Glenn R. Brooks, Luis A. Cortes, Jr., Lynda A. Messick and James R. Reske. The Audit Committee has adopted and is governed by a written charter. The Audit Committee has reviewed and discussed the audited financial statements with management. The Audit Committee has discussed with its independent public accounting firm PricewaterhouseCoopers LLP (PwC) the matters required to be discussed by Public Company Accounting Oversight Board Auditing Standard No. 16, Communications withAudit Committees, as modified, reorganized or supplemented. The Audit Committee has also received the written disclosures and the letter from PwC required by Public Company Accounting Oversight Board regarding the independent accountant’s communications with the audit committee concerning independence and has discussed with PwC its independence.

Based on the review and discussion referred to above, the Audit Committee recommends to the Board of Directors that the audited financial statements be included in the FHLBank’s 2016 Annual Report on Form 10-K for filing with the Securities and Exchange Commission.

THE AUDIT COMMITTEE

Brian A. Hudson, Chair

Glenn R. Brooks, Vice Chair

Luis A. Cortes, Jr.

Lynda A. Messick

James R. Reske

March 9, 2017

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Document and Entity Information - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Feb. 28, 2017
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-K
Document Period End Date	Dec. 31, 2016
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	FY
Amendment Flag	false
Entity Common Stock, Shares Outstanding		37,286,645
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Public Float	$ 0

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Statements of Income - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Interest income:
Advances	$ 589,296	$ 345,957	$ 255,863
Prepayment fees on advances, net	22,773	3,599	16,956
Interest-bearing deposits	1,276	348	351
Securities purchased under agreements to resell	3,199	965	73
Federal funds sold	24,028	7,230	3,856
Trading securities	11,265	9,784	7,663
Available-for-sale (AFS) securities	157,916	145,430	137,623
Held-to-maturity (HTM) securities	58,477	61,826	74,304
Mortgage loans held for portfolio	117,393	120,433	129,399
Total interest income	985,623	695,572	626,088
Interest expense:
Consolidated obligations - discount notes	110,276	54,126	24,201
Consolidated obligations - bonds	524,419	323,191	318,371
Mandatorily redeemable capital stock	297	145	165
Deposits	1,694	274	220
Other borrowings	15	20	29
Total interest expense	636,701	377,756	342,986
Net interest income	348,922	317,816	283,102
Provision (benefit) for credit losses	1,261	(167)	(4,129)
Net interest income after provision (benefit) for credit losses	347,661	317,983	287,231
Other noninterest income (loss):
Total OTTI losses (Note 7)	0	(3,005)	0
OTTI losses reclassified to (from) AOCI (Note 7)	(239)	1,156	0
Net OTTI losses, credit portion (Note 7)	(239)	(1,849)	0
Net gains (losses) on trading securities (Note 4)	(583)	1,598	22,408
Net realized gains from sale of AFS securities (Note 5)	12,591	0	0
Net gains (losses) on derivatives and hedging activities (Note 11)	(13,801)	3,380	(37,500)
Gains on litigation settlements, net	545	15,263	70,896
Standby letters of credit fees	24,662	23,655	17,383
Other, net	1,796	2,440	2,480
Total other noninterest income	24,971	44,487	75,667
Other expense:
Compensation and benefits	46,575	43,146	43,098
Other operating	27,080	24,191	27,228
Finance Agency	5,861	5,364	4,592
Office of Finance	4,175	4,720	3,772
Total other expense	83,691	77,421	78,690
Income before assessments	288,941	285,049	284,208
Affordable Housing Program (AHP) assessment (Note 15)	28,924	28,519	28,437
Net income	$ 260,017	$ 256,530	$ 255,771

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Statements of Comprehensive Income - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Net income	$ 260,017	$ 256,530	$ 255,771
Net unrealized gains (losses) on AFS securities:
Unrealized gains (losses)	(10,292)	(23,712)	64,941
Reclassification of realized (gains) losses included in net income	(11,291)	0	0
Total net unrealized gains (losses) on AFS	(21,583)	(23,712)	64,941
Net non-credit portion of OTTI losses on AFS securities:
Non-credit portion of OTTI losses transferred from HTM securities	0	(1,665)	0
Net Change in Fair Value of OTTI Securities	(4,485)	(20,325)	16,809
Reclassification of gains included in net income	(1,300)	0	0
Net amount of impairment losses reclassified to non-interest income	239	509	0
Total net non-credit portion of OTTI gains (losses) on AFS securities	(5,546)	(21,481)	16,809
Net non-credit portion of OTTI losses on HTM securities:
Non-credit portion	0	(1,665)	0
Transfer of non-credit portion from HTM to AFS securities	0	1,665	0
Total net non-credit portion of OTTI losses on HTM securities	0	0	0
Reclassification of net (gains) losses included in net income relating to hedging activities	(24)	(25)	(15)
Pension and post-retirement benefits	(1,234)	1,468	(1,642)
Total other comprehensive income (loss)	(28,387)	(43,750)	80,093
Total comprehensive income	$ 231,630	$ 212,780	$ 335,864

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Statements of Condition - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Assets
Cash and due from banks (Note 3)	$ 3,587,605	$ 2,376,964
Interest-bearing deposits	5,909	6,075
Federal funds sold	3,222,000	3,980,000
Securities purchased under agreements to resell	2,000,000	1,000,000
Investment securities:
Trading securities (Note 4)	395,247	394,737
AFS securities, at fair value (Note 5)	9,038,081	8,099,894
HTM securities; fair value of $2,576,982 and $2,684,071, respectively (Note 6)	2,566,135	2,663,304
Total investment securities	11,999,463	11,157,935
Advances, net (Note 8)	76,808,704	74,504,776
Mortgage loans held for portfolio (Note 9), net of allowance for credit losses of $6,231 and $5,665, respectively (Note 10)	3,390,727	3,086,855
Banking on Business (BOB) loans, net of allowance for credit losses of $2,177 and $2,052, respectively (Note 10)	12,276	11,276
Accrued interest receivable	124,247	107,345
Premises, software and equipment, net (Note 12)	9,762	10,687
Derivative assets (Note 11)	81,891	65,855
Other assets	17,492	22,015
Total assets	101,260,076	96,329,783
Deposits: (Note 13)
Interest-bearing	505,430	635,468
Noninterest-bearing	53,461	50,469
Total deposits	558,891	685,937
Consolidated obligations, net: (Note 14)
Discount notes	28,500,341	42,275,544
Bonds	67,156,031	48,600,753
Total consolidated obligations, net	95,656,372	90,876,297
Mandatorily redeemable capital stock ( Note 16)	5,216	6,053
Accrued interest payable	117,183	92,765
AHP payable (Note 15)	76,712	70,907
Derivative liabilities ( Note 11)	14,010	42,508
Other Liabilities	37,777	53,715
Total liabilities	96,466,161	91,828,182
Commitments and contingencies (Note 20)
Capital (Note 16)
Capital stock - putable ($100 par value) issued and outstanding 37,554 and 35,396 shares	3,755,411	3,539,648
Retained earnings:
Unrestricted	771,661	718,727
Restricted	214,547	162,543
Total retained earnings	986,208	881,270
Accumulated Other Comprehensive Income (AOCI)	52,296	80,683
Total capital	4,793,915	4,501,601
Total liabilities and capital	$ 101,260,076	$ 96,329,783

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Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Assets
HTM securities - fair value	$ 2,576,982	$ 2,684,071
Allowance for credit losses on mortgage loans held for portfolio	6,231	5,665
Allowance for credit losses on BOB loans	$ 2,177	$ 2,052
Capital
Capital stock, par value	$ 100	$ 100
Capital stock, shares outstanding	37,554	35,396

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Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
OPERATING ACTIVITIES
Net income	$ 260,017	$ 256,530	$ 255,771
Adjustments to reconcile net income to net cash provided by operating activities
Depreciation and amortization	(53,662)	(59,674)	(59,788)
Net change in derivative and hedging activities	(6,542)	54,567	83,449
Net OTTI credit losses	239	1,849	0
Net realized (gains) losses from sales of AFS securities	(12,591)	0	0
Other adjustments	1,257	(185)	(4,838)
Net change in:
Trading securities	(510)	(113,721)	(51,717)
Accrued interest receivable	(16,921)	(21,240)	9,266
Other assets	(789)	(1,417)	(903)
Accrued interest payable	24,417	(10,387)	5,463
Other liabilities	(3,223)	28,150	21,099
Net cash provided by operating activities	191,692	134,472	257,802
Net change in:
Interest-bearing deposits (including $166, $707 and $1,013 from other FHLBanks for mortgage loan program)	115,889	58,652	131,413
Securities purchased under agreements to resell	(1,000,000)	(1,000,000)	0
Federal funds sold	758,000	605,000	(1,710,000)
AFS securities:
Proceeds (includes $206,608 from sale of AFS securities in 2016)	2,975,497	3,869,773	1,819,780
Purchases	(3,940,559)	(3,566,673)	(3,333,306)
HTM Securities
Net change in short-term	(400,000)	0	0
Proceeds from long-term maturities	593,297	705,178	749,354
Purchases of long-term	(97,248)	(134,336)	0
Advances
Proceeds	693,665,140	535,178,961	647,779,277
Made	(696,161,992)	(546,386,629)	(661,191,580)
Mortgage loans held for portfolio:
Proceeds	484,881	483,923	464,995
Purchases	(806,390)	(463,969)	(375,214)
Proceeds from sales of foreclosed assets	11,333	11,050	17,748
Premises, software and equipment :
Proceeds from sale	335	0	900
Purchases	(2,329)	(3,961)	(3,923)
Net cash (used in) investing activities	(3,804,146)	(10,643,031)	(15,650,556)
Net change in:
Deposits and pass-through reserves	(129,451)	35,376	(48,945)
Net payments for derivative contracts with financing element	(18,504)	(32,218)	(32,699)
Net proceeds from issuance of consolidated obligations:
Discount notes	106,234,942	154,729,878	131,729,844
Bonds (includes $65,576 from other FHLBanks during 2014)	67,259,615	35,225,737	26,050,080
Payments for maturing and retiring consolidated obligations:
Discount notes	(120,014,812)	(149,530,556)	(122,909,347)
Bonds	(48,568,542)	(30,285,157)	(20,041,829)
Proceeds from Issuance of capital stock	3,573,624	3,153,069	2,135,063
Payments for repurchase/redemption of mandatorily redeemable capital stock	(56,947)	(31,162)	(7,876)
Payments for repurchase/redemption of capital stock	(3,301,751)	(2,617,768)	(2,047,808)
Cash dividends paid	(155,079)	(212,807)	(103,943)
Net cash provided by financing activities	4,823,095	10,434,392	14,722,540
Net increase (decrease) in cash and due from banks	1,210,641	(74,167)	(670,214)
Cash and due from banks at beginning of the period	2,376,964	2,451,131	3,121,345
Cash and due from banks at end of the period	3,587,605	2,376,964	2,451,131
Supplemental disclosures:
Interest paid	553,710	407,926	378,194
AHP payments	23,119	13,609	8,793
Transfers of mortgage loans to real estate owned	5,380	7,704	14,257
Non-cash transfer of OTTI HTM securities to AFS	$ 0	$ 10,286	$ 0

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Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Statement of Cash Flows [Abstract]
Interest-bearing deposits from other FHLBanks for mortgage loan program	$ 166	$ 707	$ 1,013
Proceeds from sale of AFS securities	206,608	0	0
Proceeds from Bonds Transferred from Other Federal Home Loan Banks			$ 65,576

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Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	$ 4,501,601	$ 4,002,956	$ 3,692,202
Comprehensive income (loss)	231,630	212,780	335,864
Issuance of Capital Stock	3,573,624	3,153,069	2,135,063
Repurchase/redemption of capital stock	(3,301,751)	(2,617,768)	(2,047,808)
Net shares reclassified to mandatorily redeemable capital stock	(56,110)	(36,629)	(8,422)
Cash dividends	(155,079)	(212,807)	(103,943)
Total capital, ending balance	$ 4,793,915	$ 4,501,601	$ 4,002,956
Common Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Balance Shares, Beginning Balance	35,396	30,410	29,622
Total capital, beginning balance	$ 3,539,648	$ 3,040,976	$ 2,962,143
Issuance of Capital Stock, Shares	35,736	31,530	21,350
Issuance of Capital Stock	$ 3,573,624	$ 3,153,069	$ 2,135,063
Repurchase/redemption of capital stock, shares	(33,017)	(26,178)	(20,478)
Repurchase/redemption of capital stock	$ (3,301,751)	$ (2,617,768)	$ (2,047,808)
Net shares reclassified to mandatorily redeemable capital stock, shares	(561)	(366)	(84)
Net shares reclassified to mandatorily redeemable capital stock	$ (56,110)	$ (36,629)	$ (8,422)
Balance Shares, Ending Balance	37,554	35,396	30,410
Total capital, ending balance	$ 3,755,411	$ 3,539,648	$ 3,040,976
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	718,727	726,309	625,636
Comprehensive income (loss)	208,013	205,225	204,616
Cash dividends	(155,079)	(212,807)	(103,943)
Total capital, ending balance	771,661	718,727	726,309
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	162,543	111,238	60,083
Comprehensive income (loss)	52,004	51,305	51,155
Total capital, ending balance	214,547	162,543	111,238
Retained Earnings, Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	881,270	837,547	685,719
Comprehensive income (loss)	260,017	256,530	255,771
Cash dividends	(155,079)	(212,807)	(103,943)
Total capital, ending balance	986,208	881,270	837,547
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	80,683	124,433	44,340
Comprehensive income (loss)	(28,387)	(43,750)	80,093
Total capital, ending balance	$ 52,296	$ 80,683	$ 124,433

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Background Information

12 Months Ended

Dec. 31, 2016

Nature of Operations [Abstract]

Background Information

Background Information

The Bank, a federally chartered corporation, is one of 11 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 18 - 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 ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. 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 Mortgage Partnership Finance (MPF) Program and purchase certain investments. See Note 14 - 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 the combined quarterly and annual financial reports of all 11 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve.

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Significant Accounting Policies

12 Months Ended

Dec. 31, 2016

Accounting Policies [Abstract]

Significant Accounting Policies

Summary of Significant Accounting Policies

Basis of Presentation

Cash Flows. In the Statement of Cash Flows, the Bank considers cash and due from banks as cash and cash equivalents.

Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly.

Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating 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. See Note 19 - Estimated Fair Values for more information.

Significant Accounting Policies

Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay between the time an exposure change is identified and the time excess collateral is returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information.

Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. Interest-bearing deposits include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans made to investment-grade counterparties. The Bank records securities purchased under agreements to resell as short-term collateralized loans to a third party which are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. Should the market value of the underlying securities decrease below the market value required as collateral, the counterparty has the option to provide additional collateral equivalent to the amount of the shortfall by (1) placing an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remitting an equivalent amount of cash; otherwise, the dollar value of the resale agreement will be decreased accordingly.

Investment Securities. The Bank classifies investment securities as trading, AFS and HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis.

Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on trading securities.”

Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” However, for AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in value related to the risk being hedged in noninterest income as “Net gains (losses) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.”

Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts.

Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior.

Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in other noninterest income.

Investment Securities - OTTI.The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI quarterly. A security is considered impaired when its fair value is less than its amortized cost basis. In those cases, the Bank considers an OTTI to have occurred under any of the following conditions:

• it has an intent to sell the impaired debt security;

• if, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or

• it does not expect to recover the entire amortized cost basis of the impaired debt security.

Recognition of OTTI. If either of the first two conditions above is met, the Bank recognizes an OTTI charge in earnings equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statement of Condition date. For securities that meet the third condition above (that is, securities in an unrealized loss position) but do not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss.

To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow test for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost basis of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI, which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses.

The total OTTI is presented in the Statement of Income with an offset for the amount of the non-credit portion of OTTI that is recognized in AOCI. The remaining amount in the Statement of Income represents the credit loss for the period.

Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and charged to earnings. The non-credit component, if any, is recognized in AOCI.

Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

Interest Income Recognition.When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows.

Variable Interest Entities (VIEs). The Bank has investments in VIEs that include, but are not limited to, senior interests in private label MBS. The carrying amounts and classification of the assets that relate to the Bank’s investments in VIEs are included in investment securities on the Statement of Condition. The Bank has no liabilities related to these VIEs. The maximum loss exposure for these VIEs is limited to the amortized cost of the Bank’s investments in the VIEs.

If the Bank determines it is the primary beneficiary of a VIE, it is required to consolidate that VIE. The Bank performs a quarterly evaluation to determine whether it is the primary beneficiary of any VIEs. To perform this evaluation, the Bank considers whether it has both:

• the power to direct the VIE’s activities that most significantly impact the VIEs’ economic performance; and

• the obligation to absorb the VIE’s losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.

Based on an evaluation of the above characteristics, the Bank has determined that consolidation is not required for its VIEs for the periods presented. The Bank typically does not have the power to direct the VIEs’ activities that most significantly impact the VIEs’ economic performance. In addition, the Bank has not provided financial or other support (explicitly or implicitly) to any VIE during the periods presented. Furthermore, the Bank was not previously contractually required to provide, nor does it intend to provide, such support in the future.

Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums and discounts and recognizes hedging adjustments to interest income using a contractual methodology. The Bank records interest on advances to interest income as earned.

Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit.

Advance Modifications. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the cash flows or if the Bank concludes the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance’s original contractual terms, then the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification.

Prepayment Fees.  The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Prepayment fees on advances, net” in the interest income section of the Statement of Income.

If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method.

Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation.

The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses.

Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method.

CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses.

Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount and represent purchase price adjustments to the related loans acquired and are recorded as a part of the loan basis.

BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses in the Bank’s district of Delaware, Pennsylvania and West Virginia. The program’s objective is to assist in the growth and development of small business, including both the start-up and expansion of these businesses. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is for it to serve as a grant program to members to help facilitate community economic development; however, repayment provisions within the program require that the BOB program be accounted for as an unsecured loan program. Therefore, the accounting for the program follows the provisions of loan accounting whereby an asset (loan receivable) is recorded for disbursements to members and an allowance for credit losses is estimated and established through provision for credit losses. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank as stated in the agreements. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and ceases to accrue interest income, and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid.

Allowance for Credit Losses. Establishing Allowance for Credit Loss. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: (1) advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; (2) government-guaranteed or insured mortgage loans held for portfolio; (3) conventional MPF loans held for portfolio; and (4) BOB loans.

Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

Nonaccrual Loans. The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection.

Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance.

Impairment Methodology. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other reliable source of repayment available. The Bank considers its impaired loans to be collateral-dependent. Collateral-dependent loans are impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as non-accrual loans.

Charge-off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets.

BOB Loans. See “BOB Loans” in this Note 1 for a description of the allowance for credit losses policies relating to the BOB program.

Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition.

Derivatives. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Derivative Designations. Each derivative is designated as either:

• a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or

• a non-qualifying hedge (an economic hedge) for asset and liability management purposes.

Accounting for Fair Value Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value hedge accounting whereby the offsetting changes in fair value of the hedged items may be recorded in earnings. Two approaches that the Bank uses for hedge accounting are:

• Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods. 

• Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability.

Fair value derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

For fair value hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

Accounting for Economic Hedges. An economic hedge is defined as a derivative, hedging specific or non-specific underlying assets, liabilities or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income. As a result, the Bank recognizes the net interest and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the economically hedged assets, liabilities, or firm commitments.

Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item.

Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments ); (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) it no longer designates the derivative as a hedging instrument (i.e., de-designation).

When hedge accounting is discontinued on a fair value hedge, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the contractual method.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that: (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument. However, if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as “trading” as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried at fair value and no portion of the contract is designated as a hedging instrument. The Bank currently does not have any instruments containing embedded derivatives that are not clearly and closely related to the economic characteristics of the host contract.

Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of assets, which range from one to ten years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. The Bank includes gains and losses on the disposal of premises, software and equipment in “Other noninterest income (loss).”

The cost of computer software developed or obtained for internal use is capitalized and amortized over its useful life. Hosting arrangements, also known as Software as a Service (SaaS), are assessed for whether they should be accounted for as a software license or a service contract and are capitalized or expensed, respectively, based on this assessment.

Consolidated Obligations. Consolidated obligations are recorded at amortized cost.

Discounts and Premiums. The Bank accretes/amortizes the discounts and premiums as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method.

Concessions. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. The OF prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense.

Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, charter termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows.

If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense.

Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank contributes 20% of its quarterly net income to a separate restricted retained earnings account until the account balance equals at least one percent of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 16 - Capital for more information.

Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal fees and expenses, are recorded in noninterest income as “Gains on litigation settlements, net” in the Statement of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain.

Finance Agency Expenses. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the pro rata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank).

Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation.

AHP Assessment. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-to-moderate-income households. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism.

The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate. This will create a discount which will be the present value of the difference between the cash flow generated using an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 15 - AHP for more information.

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Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

12 Months Ended

Dec. 31, 2016

Accounting Adjustments, Changes In Accounting Principle And Recently Issued Accounting Standards And Interpretations [Abstract]

New Accounting Pronouncements and Changes in Accounting Principles

Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

The following table provides a brief description of recently issued accounting standards which may have an impact on the Bank.

Standard	Description	Effective Date and Transition	Effect on the Financial Statements or Other Significant Matters
Accounting Standards Update (ASU) 2016-15: Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments	This ASU is focused on reducing diversity in practice in the Statement of Cash Flows by providing clarification on eight classification issues.	This ASU is effective for the Bank no later than January 1, 2018 and will be adopted on a retrospective basis.	The Bank is continuing to evaluate the impact of this ASU on its financial statements. However, at the present time, the Bank does not believe that the impact will be material to its Statement of Cash Flows.
ASU 2016-13: Financial Instruments - Credit Losses	This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces today’s incurred loss model with a new model based on lifetime expected credit losses, which the FASB believes will result in more timely recognition of credit losses.	This ASU is effective for the Bank no later than January 1, 2020 and will generally be adopted on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance will be applied prospectively.	The Bank is continuing to evaluate the impact of this ASU on its financial statements and will continue to monitor interpretations made by standard-setters and regulators. The Bank expects its allowance for credit losses on MPF loans to increase; however, we do not currently have an estimate of this amount. The Bank has not yet determined the impact this standard will have on its private label MBS securities. The Bank will continue to evaluate the appropriateness of an allowance for credit losses on other specific elements of its financial statements.
ASU 2016-05: Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships	This ASU clarifies that a change in the counterparty to a derivative contract, in and of itself, does not require the dedesignation of the hedge relationship provided that all other hedge accounting criteria continue to be met. This position is consistent with the SEC staff’s position on novations.	This ASU was early-adopted by the Bank on a prospective basis as of January 1, 2016.	The implementation of this ASU had no impact on the Bank, as it was consistent with the Bank’s prior practice.
ASU 2016-02: Leases	This ASU amends the accounting for leases. It will require lessees to recognize a right-of-use asset and lease liability for virtually all leases.	This ASU is effective for the Bank no later than January 1, 2019 and will be adopted on a modified retrospective basis.	The Bank is continuing to evaluate the impact of this ASU on its financial statements. Upon adoption, the Bank will increase its assets and liabilities for capitalized leases. The Bank’s most significant lease is its headquarters. Future minimum lease payments under current accounting standards are disclosed in Note 20 - Commitments and Contingencies. Significantly all of these payments represent the building lease, and the Bank believes it is reasonable to use this as a basis to size the potential impact.

Standard	Description	Effective Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2016-01: Financial Instruments - Recognition and Measurement of Financial Assets and Financial Liabilities	This ASU amends certain requirements for accounting for the recognition and measurement of financial instruments. Most notably, this guidance revises the accounting for equity securities, financial instruments measured under the fair value option, and certain disclosure requirements for fair value of financial instruments.	This ASU is effective for the Bank beginning January 1, 2018 and will be adopted on a modified retrospective basis.	This ASU is not expected to materially impact the Bank’s financial condition or results of operations. The Bank expects to update its financial statement disclosures to reflect the updated disclosure requirements for financial instruments not recognized at fair value in the financial statements and to meet the disaggregation requirements of this guidance.
ASU 2015-03: Simplifying the Presentation of Debt Issuance Costs	This ASU requires entities to present debt issuance costs as a direct deduction from the related debt on the Statement of Condition, consistent with debt discounts.	This ASU was adopted by the Bank on a retrospective basis as of January 1, 2016.	The impact of this ASU was an immaterial reclassification of debt issuance costs from Other Assets to Consolidated Obligations on the Bank’s Statement of Condition. For the Bank, debt issuance costs are concession fees paid to dealers in connection with the issuance of certain consolidated obligations.
ASU 2014-15: Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern	This ASU 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 financial statements. It also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern.	This ASU was adopted by the Bank in conjunction with the issuance of the December 31, 2016 financial statements.	The implementation of this ASU had no impact on the Bank’s financial statement disclosures.
ASU 2014-09: Revenue from Contracts with Customers	This ASU was issued to increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. It will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition.	This ASU is effective for the Bank beginning January 1, 2018 and will be adopted on either a full or modified retrospective basis.	This ASU is not expected to materially impact the Bank’s financial condition or results of operations, as the majority of the Bank’s revenue is derived from financial instruments, which are excluded from the scope of this guidance. The Bank continues to evaluate whether any other sources of its revenue will be impacted by this guidance.

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Cash and Due from Banks

12 Months Ended

Dec. 31, 2016

Cash and Due from Banks [Abstract]

Cash and Due from Banks

Cash and Due from Banks

Cash and due from banks on the Statement of Condition includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank (FRB). The Bank maintains compensating and collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions about the withdrawal of funds.The average compensating and collected cash balances for the years ended December 31, 2016 and 2015 were $296.0 million and $298.8 million, respectively.

Pass-through Deposit Reserves.  The Bank acts as a pass-through correspondent for member institutions required to deposit reserves with the FRBs. The amount shown as cash and due from banks includes pass-through reserves deposited with FRBs of$33.1 millionand$22.4 millionas ofDecember 31,2016andDecember 31, 2015, respectively. The Bank includes member reserve balances in noninterest-bearing deposits within liabilities on the Statement of Condition.

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Trading Securities

12 Months Ended

Dec. 31, 2016

Trading Securities [Abstract]

Trading Securities

Trading Securities

The following table presents trading securities as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Mutual funds	$	7,092	$	5,442
GSE and Tennessee Valley Authority (TVA) obligations	388,155		389,295
Total	$	395,247	$	394,737

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 $7.2 million and $5.6 million at December 31, 2016 and December 31, 2015, respectively, and are included in Other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for 2016, 2015 and 2014.

	Year ended December 31,
(in thousands)	2016			2015		2014
Net unrealized gains (losses) on trading securities held at year-end	$	(583	)	$	1,598	$	22,322
Net realized gains on trading securities sold/matured during the year	—			—		86
Net gains (losses) on trading securities	$	(583	)	$	1,598	$	22,408

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Available-for-Sale (AFS) Securities

12 Months Ended

Dec. 31, 2016

Available-for-sale Securities [Abstract]

Available-for-Sale (AFS) Securities

Available-for-Sale (AFS) Securities

The following tables present AFS securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	2,000	$	—		$	—	$	—		$	2,000
GSE and TVA obligations	3,181,110		—			11,889		(9,806		)	3,183,193
State or local agency obligations	249,675		—			879		(14,142		)	236,412
Total non-MBS	$	3,432,785	$	—		$	12,768	$	(23,948	)	$	3,421,605
MBS:
Other U.S. obligations single family MBS	$	217,577	$	—		$	—	$	(1,143	)	$	216,434
GSE single-family MBS	3,218,268		—			5,577		(10,683		)	3,213,162
GSE multifamily MBS	1,508,003		—			6,112		(1,211		)	1,512,904
Private label residential MBS	606,859		(11		)	67,435		(307		)	673,976
Total MBS	$	5,550,707	$	(11	)	$	79,124	$	(13,344	)	$	5,616,476
Total AFS securities	$	8,983,492	$	(11	)	$	91,892	$	(37,292	)	$	9,038,081

	December 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	3,468,665		—			15,332		(14,792		)	3,469,205
State or local agency obligations	133,038		—			2,055		(973		)	134,120
Total non-MBS	$	3,603,696	$	—		$	17,392	$	(15,765	)	$	3,605,323
MBS:
Other U.S. obligations single family MBS	$	268,105	$	—		$	501	$	(70	)	$	268,536
GSE single-family MBS	2,378,589		—			9,965		(4,924		)	2,383,630
GSE multifamily MBS	1,008,511		—			5,614		(3,628		)	1,010,497
Private label MBS:
Private label residential MBS	751,703		(889		)	72,263		(337		)	822,740
HELOCs	7,572		—			1,596		—			9,168
Total private label MBS	759,275		(889		)	73,859		(337		)	831,908
Total MBS	$	4,414,480	$	(889	)	$	89,939	$	(8,959	)	$	4,494,571
Total AFS securities	$	8,018,176	$	(889	)	$	107,331	$	(24,724	)	$	8,099,894

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 Bank’s benefit obligation under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds. These obligations were $9.0 million and $6.7 million at December 31, 2016 and December 31, 2015, respectively and are included in Other liabilities in the Statement of Condition.

As of December 31, 2016, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $14.9 million, credit losses of $192.6 million and OTTI-related accretion adjustments of $43.8 million. As of December 31, 2015, these amounts were $9.7 million, $205.9 million, and $31.5 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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016			December 31, 2015
Non-credit portion of OTTI losses	$	(11	)	$	(889	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	67,435			73,859
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	67,424		$	72,970

The following tables summarize the AFS securities with unrealized losses as of December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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	$	1,976,842	$	(8,334	)	$	155,292	$	(1,472	)	$	2,132,134	$	(9,806	)
State or local agency obligations	161,288		(14,142		)	—		—			161,288		(14,142		)
Total non-MBS	$	2,138,130	$	(22,476	)	$	155,292	$	(1,472	)	$	2,293,422	$	(23,948	)
MBS:
Other U.S. obligations single-family MBS	$	145,946	$	(523	)	$	70,487	$	(620	)	$	216,433	$	(1,143	)
GSE single-family MBS	1,775,502		(7,920		)	351,883		(2,763		)	2,127,385		(10,683		)
GSE multifamily MBS	461,916		(992		)	92,755		(219		)	554,671		(1,211		)
Private label residential MBS	47,364		(11		)	2,853		(307		)	50,217		(318		)
Total MBS	$	2,430,728	$	(9,446	)	$	517,978	$	(3,909	)	$	2,948,706	$	(13,355	)
Total	$	4,568,858	$	(31,922	)	$	673,270	$	(5,381	)	$	5,242,128	$	(37,303	)

	December 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	$	2,396,493	$	(12,937	)	$	184,772	$	(1,855	)	$	2,581,265	$	(14,792	)
State or local agency obligations	41,727		(863		)	3,890		(110		)	45,617		(973		)
Total non-MBS	$	2,438,220	$	(13,800	)	$	188,662	$	(1,965	)	$	2,626,882	$	(15,765	)
MBS:
Other U.S. obligations single-family MBS	$	70,490	$	(48	)	$	11,984	$	(22	)	$	82,474	$	(70	)
GSE single-family MBS	465,658		(761		)	114,028		(4,163		)	579,686		(4,924		)
GSE multifamily MBS	420,982		(3,628		)	—		—			420,982		(3,628		)
Private label residential MBS	65,080		(775		)	9,332		(451		)	74,412		(1,226		)
Total MBS	$	1,022,210	$	(5,212	)	$	135,344	$	(4,636	)	$	1,157,554	$	(9,848	)
Total	$	3,460,430	$	(19,012	)	$	324,006	$	(6,601	)	$	3,784,436	$	(25,613	)

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 5.

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. See Note 1 - Summary of Significant Accounting Policies. There were no transfers during 2016 and 2014. The Bank transferred three private label MBS from HTM to AFS during 2015, which is the period that an OTTI credit loss was recorded on the security.

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
December 31, 2015 transfer	$	7,556	$	(638	)	$	6,918
June 30, 2015 transfer	4,394		(1,026		)	3,368
Total 2015 transfers	$	11,950	$	(1,664	)	$	10,286

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	378,123	$	378,071	$	28,706	$	28,688
Due after one year through five years	1,408,405		1,405,080		1,925,398		1,919,024
Due after five years through ten years	644,126		651,857		812,550		825,558
Due in more than ten years	1,002,131		986,597		837,042		832,053
AFS securities excluding MBS	3,432,785		3,421,605		3,603,696		3,605,323
MBS	5,550,707		5,616,476		4,414,480		4,494,571
Total AFS securities	$	8,983,492	$	9,038,081	$	8,018,176	$	8,099,894

Interest Rate Payment Terms.  The following table details interest payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,347,980	$	3,518,980
Variable-rate	84,805		84,716
Total non-MBS	$	3,432,785	$	3,603,696
Amortized cost of AFS MBS:
Fixed-rate	$	1,343,699	$	1,593,414
Variable-rate	4,207,008		2,821,066
Total MBS	$	5,550,707	$	4,414,480
Total amortized cost of AFS securities	$	8,983,492	$	8,018,176

Realized Gains (Losses) on AFS Securities.  The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for 2016, 2015 and 2014.

	Year ended December 31, 2016
(in thousands)	2016			2015		2014
Proceeds from sale of AFS securities	$	206,608		$	—	$	—
Gross gains on sale of AFS securities	12,923			—		—
Gross losses on sale of AFS securities	(332		)	—		—

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Held-to-Maturity (HTM) Securities

12 Months Ended

Dec. 31, 2016

Held-to-maturity Securities [Abstract]

Held-to-Maturity (HTM) Securities

Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	61	$	(2	)	$	400,059
State or local agency obligations	131,925		—		(10,519		)	121,406
Total non-MBS	$	531,925	$	61	$	(10,521	)	$	521,465
MBS:
Other U.S. obligations single-family MBS	$	583,550	$	3,320	$	(138	)	$	586,732
GSE single-family MBS	212,097		3,097		(23		)	215,171
GSE multifamily MBS	843,167		19,288		(3,569		)	858,886
Private label residential MBS	395,396		1,932		(2,600		)	394,728
Total MBS	$	2,034,210	$	27,637	$	(6,330	)	$	2,055,517
Total HTM securities	$	2,566,135	$	27,698	$	(16,851	)	$	2,576,982

	December 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	169,520	$	118	$	(14,484	)	$	155,154
MBS:
Other U.S. obligations single-family MBS	$	819,602	$	5,651	$	(5	)	$	825,248
GSE single-family MBS	294,568		4,459		(75		)	298,952
GSE multifamily MBS	863,122		30,124		(1,394		)	891,852
Private label residential MBS	516,492		1,717		(5,344		)	512,865
Total MBS	$	2,493,784	$	41,951	$	(6,818	)	$	2,528,917
Total HTM securities	$	2,663,304	$	42,069	$	(21,302	)	$	2,684,071

The following tables summarize the HTM securities with unrealized losses as of December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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:
Certificates of deposit	$	124,998	$	(2	)	$	—	$	—		$	124,998	$	(2	)
State or local agency obligations	13,612		(128		)	107,794		(10,391		)	121,406		(10,519		)
Total Non-MBS	$	138,610	$	(130	)	$	107,794	$	(10,391	)	$	246,404	$	(10,521	)
MBS:
Other U.S. obligations single-family MBS	$	53,513	$	(109	)	$	41,253	$	(29	)	$	94,766	$	(138	)
GSE single-family MBS	—		—			7,133		(23		)	7,133		(23		)
GSE multifamily MBS	165,914		(3,569		)	—		—			165,914		(3,569		)
Private label residential MBS	10,961		(115		)	222,585		(2,485		)	233,546		(2,600		)
Total MBS	$	230,388	$	(3,793	)	$	270,971	$	(2,537	)	$	501,359	$	(6,330	)
Total	$	368,998	$	(3,923	)	$	378,765	$	(12,928	)	$	747,763	$	(16,851	)

	December 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	$	20,154	$	(1	)	$	110,737	$	(14,483	)	$	130,891	$	(14,484	)
MBS:
Other U.S. obligations single-family MBS	$	10,237	$	(5	)	$	—	$	—		$	10,237	$	(5	)
GSE single-family MBS	—		—			9,091		(75		)	9,091		(75		)
GSE multifamily MBS	132,835		(1,394		)	—		—			132,835		(1,394		)
Private label residential MBS	110,665		(717		)	252,851		(4,627		)	363,516		(5,344		)
Total MBS	$	253,737	$	(2,116	)	$	261,942	$	(4,702	)	$	515,679	$	(6,818	)
Total	$	273,891	$	(2,117	)	$	372,679	$	(19,185	)	$	646,570	$	(21,302	)

Securities Transferred. The Bank transferred no private label MBS from HTM to AFS during 2016 or 2014 and three during 2015. See Note 5 - Available-for-Sale Securities for additional information.

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	400,000	$	400,059	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	47,850		45,605		57,490		55,797
Due after ten years	84,075		75,801		112,030		99,357
Total non-MBS	531,925		521,465		169,520		155,154
MBS	2,034,210		2,055,517		2,493,784		2,528,917
Total HTM securities	$	2,566,135	$	2,576,982	$	2,663,304	$	2,684,071

Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	400,000	$	28,565
Variable-rate	131,925		140,955
Total non-MBS	$	531,925	$	169,520
Amortized cost of HTM MBS:
Fixed-rate	$	952,329	$	1,023,636
Variable-rate	1,081,881		1,470,148
Total MBS	$	2,034,210	$	2,493,784
Total HTM securities	$	2,566,135	$	2,663,304

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Other-Than-Temporary Impairment

12 Months Ended

Dec. 31, 2016

Other than Temporary Impairment Losses, Investments [Abstract]

Other Than Temporary Impairment

Other-Than-Temporary Impairment

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, the amount of 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. The Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis generated on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank.

The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as:

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased.

The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying an FHLBank's securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults, and loss severities. 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 is based upon an assessment of the individual housing markets. During the fourth quarter of 2016, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (3.0)% to 10.0% over the 12 month period beginning October 1, 2016. For the vast majority of markets the short-term forecast has changes from 2.0% to 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero.

All of the Bank's other-than-temporarily impaired securities were classified as AFS as of December 31, 2016. The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2016 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 amounts reflects the total AFS private label MBS balance.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost(1)		Fair Value
Private label residential MBS:
Prime	$	337,355	$	270,710	$	305,978
Alt-A	430,180		331,961		363,987
Subprime	1,739		1,028		1,158
Total OTTI securities	769,274		603,699		671,123
Private label MBS with no OTTI	3,160		3,160		2,853
Total AFS private label MBS	$	772,434	$	606,859	$	673,976

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 2016, 2015 and 2014.

(in thousands)	2016			2015			2014
Beginning balance	$	265,379		$	290,935		$	314,224
Additions:
Credit losses for which OTTI was not previously recognized	—			1,794			—
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	239			55			—
Reductions:
Securities sold and matured during the period (2)	(3,875		)	—			292
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(25,282		)	(27,405		)	(23,581		)
Ending balance	$	236,461		$	265,379		$	290,935

Notes:

⁽¹⁾ For 2016, 2015 and 2014, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016, 2015 and 2014, respectively.

⁽²⁾ 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 December 31, 2016, 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 December 31, 2016.

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Advances

12 Months Ended

Dec. 31, 2016

Advances [Abstract]

Advances

Advances

General Terms. TheBank offers 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 ten years, and the interest rates reset periodically at a fixed spread to LIBOR or other specified indices.

At December 31, 2016 and December 31, 2015, the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0.49% to 7.40%. AHP subsidized advances have interest rates ranging from2.00%to5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016					December 31, 2015
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	38,571,864		0.91	%	$	33,192,256		0.70	%
Due after 1 year through 2 years	14,310,133			1.14		18,989,266			0.99
Due after 2 years through 3 years	7,477,536			1.29		13,071,338			0.96
Due after 3 years through 4 years	8,488,404			1.22		6,260,864			0.93
Due after 4 years through 5 years	7,161,763			1.23		1,800,994			1.68
Thereafter	825,608			2.64		1,018,555			2.66
Total par value	76,835,308			1.07	%	74,333,273			0.89	%
Discount on AHP advances	(2		)			(21		)
Deferred prepayment fees	(4,625		)			(4,749		)
Hedging adjustments	(21,977		)			176,273
Total book value	$	76,808,704				$	74,504,776

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. At December 31, 2016 and December 31, 2015, the Bank had convertible advances outstanding of $0.5 billion and $1.5 billion, respectively.

The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). At December 31, 2016 and at December 31, 2015, the Bank had $12.3 billion and $12.6 billion returnable advances, respectively. At December 31, 2016 and December 31, 2015, 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 the earlier of (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of December 31, 2016 and December 31, 2015 .

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	December 31, 2016		December 31, 2015		December 31, 2016		December 31, 2015
Due in 1 year or less	$	40,221,864	$	34,692,256	$	38,791,364	$	33,771,756
Due after 1 year through 2 years	12,700,133		18,939,266		14,116,133		18,629,266
Due after 2 years through 3 years	7,462,536		11,661,338		7,472,036		12,877,338
Due after 3 years through 4 years	8,463,404		6,245,864		8,488,404		6,255,364
Due after 4 years through 5 years	7,161,763		1,775,994		7,161,763		1,800,994
Thereafter	825,608		1,018,555		805,608		998,555
Total par value	$	76,835,308	$	74,333,273	$	76,835,308	$	74,333,273

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Fixed-rate – overnight	$	4,696,431	$	4,681,918
Fixed-rate – term:
Due in 1 year or less	16,177,369		13,532,806
Thereafter	9,815,844		13,121,108
Total fixed-rate	30,689,644		31,335,832
Variable-rate:
Due in 1 year or less	17,698,064		14,977,532
Thereafter	28,447,600		28,019,909
Total variable-rate	46,145,664		42,997,441
Total par value	$	76,835,308	$	74,333,273

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of December 31, 2016, the Bank had advances of $61.2 billion outstanding to the five largest borrowers, which represented 79.7% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2016.

As of December 31, 2015, the Bank had advances of $55.1 billion outstanding to the five largest borrowers, which represented 74.1% of total advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2015.

See Note 10 for information related to the Bank’s allowance for credit losses.

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Mortgage Loans Held for Portfolio

12 Months Ended

Dec. 31, 2016

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 that 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 18 for further information regarding transactions with related parties.

The following table presents balances as of December 31, 2016 and December 31, 2015 for mortgage loans held for portfolio.

(in thousands)	December 31, 2016			December 31, 2015
Fixed-rate long-term single-family mortgages(1)	$	3,013,181		$	2,660,615
Fixed-rate medium-term single-family mortgages(1)	299,900			352,082
Total par value	3,313,081			3,012,697
Premiums	59,032			50,857
Discounts	(3,926		)	(3,899		)
Hedging adjustments	28,771			32,865
Total mortgage loans held for portfolio	$	3,396,958		$	3,092,520

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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Conventional loans	$	3,088,810	$	2,763,930
Government-guaranteed/insured loans	224,271		248,767
Total par value	$	3,313,081	$	3,012,697

See Note 10 - 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

12 Months Ended

Dec. 31, 2016

Receivables [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 approach generally requires 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 help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s 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, regardless of the member’s 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 otherwise entitled to priority under applicable law and that 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 December 31, 2016 and December 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 December 31, 2016 and December 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 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.

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 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 December 31, 2016 and December 31, 2015, the MPF exposure under the FLA was $24.0 million and $22.7 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $3.1 million, $3.0 million and $3.2 million in 2016, 2015 and 2014, respectively.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent, troubled debt restructurings, 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. The resulting loss is reduced by available CE. 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.

Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, the Bank evaluates the homogeneous mortgage loan portfolio collectively 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. 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.

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

(in thousands)	2016			2015			2014
Balance, beginning of period	$	5,665		$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(195		)	(815		)	299
Provision (benefit) for credit losses	761			(780		)	(4,398		)
Balance, December 31	$	6,231		$	5,665		$	7,260

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)	2016		2015		2014
Ending balance, individually evaluated for impairment	$	5,105	$	5,018	$	6,034
Ending balance, collectively evaluated for impairment	1,126		647		1,226
Total allowance for credit losses	$	6,231	$	5,665	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	58,522	$	60,762	$	68,144
Collectively evaluated for impairment	3,122,847		2,789,517		2,789,826
Total recorded investment	$	3,181,369	$	2,850,279	$	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.

(in thousands)	2016			2015			2014
Balance, beginning of period	$	2,052		$	1,840		$	2,231
(Charge-offs) Recoveries, net	(221		)	(429		)	(610		)
Provision for credit losses	346			641			219
Balance, December 31	$	2,177		$	2,052		$	1,840

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans. At December 31, 2016, 2015 and 2014, the total recorded investments and related allowances for credit losses for BOB loans were all or substantively all characterized by loans collectively evaluated for impairment.

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)	December 31, 2016
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	45,687		$	14,293		$	—		$	59,980
Past due 60-89 days	9,194			3,371			50			12,615
Past due 90 days or more	21,386			4,179			204			25,769
Total past due loans	$	76,267		$	21,843		$	254		$	98,364
Total current loans	3,105,102			210,624			14,287			3,330,013
Total loans	$	3,181,369		$	232,467		$	14,541		$	3,428,377
Other delinquency statistics:
In process of foreclosures, included above (2)	$	11,464		$	1,077		$	—		$	12,541
Serious delinquency rate (3)	0.7		%	1.8		%	1.4		%	0.8		%
Past due 90 days or more still accruing interest	$	—		$	4,179		$	—		$	4,179
Loans on nonaccrual status	$	24,092		$	—		$	253		$	24,345

(in thousands)	December 31, 2015
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	42,746		$	14,997		$	86		$	57,829
Past due 60-89 days	11,752			4,260			78			16,090
Past due 90 days or more	25,169			4,382			156			29,707
Total past due loans	$	79,667		$	23,639		$	320		$	103,626
Total current loans	2,770,612			234,376			13,090			3,018,078
Total loans	$	2,850,279		$	258,015		$	13,410		$	3,121,704
Other delinquency statistics:
In process of foreclosures, included above (2)	$	15,353		$	1,356		$	—		$	16,709
Serious delinquency rate (3)	0.9		%	1.7		%	1.2		%	1.0		%
Past due 90 days or more still accruing interest	$	—		$	4,382		$	—		$	4,382
Loans on nonaccrual status	$	29,075		$	—		$	383		$	29,458

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.

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.

	December 31, 2016
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,687	$	34,344	$	—
With a related allowance:
Conventional MPF loans	$	23,835	$	23,577	$	5,105
Total:
Conventional MPF loans	$	58,522	$	57,921	$	5,105

	December 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	33,737	$	33,428	$	—
With a related allowance:
Conventional MPF loans	$	27,025	$	26,774	$	5,018
Total:
Conventional MPF loans	$	60,762	$	60,202	$	5,018

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.

	Year ended December 31, 2016				Year ended December 31, 2015				Year ended December 31, 2014
(in thousands)	Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized
Conventional MPF loans	$	60,147	$	2,340	$	63,683	$	1,966	$	74,956	$	1,388

Notes:

⁽¹⁾ Includes gross charge-offs.

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. The recorded investment in mortgage loans classified as TDRs was $14.1 million and $16.9 million as of December 31, 2016 and December 31, 2015, 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 a period up to one year. 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 $3.9 million and $6.5 million of REO reported in Other assets on the Statement of Condition at December 31, 2016 and December 31, 2015, respectively.

Purchases, Sales and Reclassifications. During 2016 and 2015, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

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Derivatives and Hedging Activities

12 Months Ended

Dec. 31, 2016

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 interest-bearing liabilities 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 interest-bearing liabilities.

Consistent with Finance Agency requirements, the Bank enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions and to achieve the Bank’s risk management objectives. Finance Agency regulation and the Bank’s Risk Governance Policy prohibit trading in or the speculative use of derivative instruments and limit credit risk arising from these instruments. The Bank may use derivatives to reduce funding costs for consolidated obligations and to manage interest rate risk and mortgage prepayment risk positions. Derivatives are an integral part of the Bank’s financial management strategy. The Bank may use derivatives to:

• reduce interest rate sensitivity and repricing gaps of assets and liabilities;

• preserve a favorable interest rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., the consolidated obligation bond used to fund the advance);

• mitigate the adverse earnings effects of the shortening or extension of certain assets (e.g., advances or mortgage assets) and liabilities;

• manage embedded options in assets and liabilities;

• reduce funding costs by combining a derivative with a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation bond; and

• protect the value of existing asset or liability positions or firm commitments

Types of Derivatives. The Bank’s Risk Governance Policy establishes guidelines for its use of derivatives. The Bank can use instruments such as the following to reduce funding costs and to manage exposure to interest rate risks inherent in the normal course of business:

• interest rate swaps;

• interest rate swaptions; and

• interest rate caps or floors

Interest Rate Swaps.  An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time. The variable rate received or paid by the Bank in most derivatives is LIBOR.

Swaptions.  A swaption is an option that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank when it is planning to lend or borrow funds in the future against future interest rate changes. The Bank may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make fixed interest payments at a later date and a receiver swaption is the option to receive fixed interest payments at a later date.

Interest Rate Cap and Floor Agreements.  In an interest rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold (or cap) price. In an interest rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold (or floor) price. Caps and floors are designed as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level.

Application of Derivatives. The Bank documents at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value hedges to (1) assets and liabilities on the Statement of Condition, or (2) firm commitments. The Bank also formally assesses (both at the hedge’s inception and on a monthly basis) whether the derivatives that it uses in hedging transactions have been effective in offsetting changes in the fair value of the hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

Derivative financial instruments are designated by the Bank as follows:

• a qualifying fair value hedge of an associated financial instrument or firm commitment; or

• a non-qualifying economic hedge to manage certain defined risks on the Statement of Condition. These hedges are primarily used to: (1) manage mismatches between the coupon features of assets and liabilities, (2) offset prepayment risks in certain assets, (3) mitigate the income statement volatility that occurs when financial instruments are recorded at fair value and hedge accounting is not permitted, or (4) to reduce exposure to reset risk.

Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) 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 uncleared 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.

Types of Hedged Items. The Bank has the following types of hedged items:

Investments. The Bank primarily invests in certificates of deposit, U.S. Treasuries, U.S. agency obligations, MBS, and the taxable portion of state or local housing finance agency obligations, which may be classified as HTM, AFS or trading securities. The interest rate and prepayment risks associated with these investment securities are managed through a combination of debt issuance and derivatives. The Bank may manage the prepayment and interest rate risks by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with caps or floors, callable swaps or swaptions. The Bank may manage duration risk by funding investment securities with consolidated obligations that contain call features. The Bank may also manage the risk arising from changing market prices and volatility of investment securities by entering into economic derivatives that generally offset the changes in fair value of the securities. Derivatives hedging trading securities (carried at fair value) or HTM securities (carried at amortized cost) are designated as economic hedges. Derivatives hedging AFS securities may be designated as fair value hedges.

Advances. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. The Bank may use derivatives to manage the repricing and/or options characteristics of advances to match more closely the characteristics of the funding liabilities. In general, whenever a member executes a fixed-rate advance or a variable-rate advance with embedded options, the Bank may simultaneously execute a derivative that offsets the terms and embedded options, if any, in the advance. For example, the Bank may hedge a fixed-rate advance with an interest rate swap where the Bank pays a fixed-rate and receives a variable-rate, effectively converting the fixed-rate advance to a variable-rate advance. This type of hedge is typically treated as a fair value hedge. In addition, the Bank may hedge a callable, prepayable or convertible advance by entering into a cancellable interest-rate swap.

Mortgage Loans. The Bank invests in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate and prepayment risks associated with mortgage loans through a combination of debt issuance and, at times, derivatives, such as interest rate caps and floors, swaptions and callable swaps. Although these derivatives are valid economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and, therefore, do not receive hedge accounting.

Consolidated Obligations. The Bank may enter into derivatives to hedge the interest rate risk associated with its specific debt issuances. The Bank manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation.

For instance, in a typical transaction, fixed-rate consolidated obligations are issued by the Bank, and the Bank simultaneously enters into a matching derivative in which the counterparty pays fixed cash flows designed to mirror, in timing and amount, the cash outflows the Bank pays on the consolidated obligation. The Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate advances (typically one- or three-month LIBOR). The fixed-rate obligation and matching derivative are treated as fair value hedge relationships.

This strategy of issuing consolidated obligations while simultaneously entering into derivatives enables the Bank to offer a wider range of attractively-priced advances to its members and may allow the Bank to reduce its funding costs. The continued attractiveness of this strategy depends on yield relationships between the Bank’s consolidated obligations and derivative markets. If conditions change, the Bank may alter the types or terms of the consolidated obligations that it issues.

Firm Commitments. The Bank’s mortgage loan purchase commitments are considered derivatives and are recorded at fair value. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Because the market in which the purchase of MPF loans differs from the principle market, the transaction price may not equal fair value on the date of the inception of the commitment and may result in a gain or loss for the Bank.

The Bank may also hedge a firm commitment for a forward starting advance through the use of an interest rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. Because the firm commitment ends at the same exact time that the advance is settled, the fair value change associated with the firm commitment is effectively rolled into the basis of the advance.

Financial Statement Effect and Additional Financial Information.Derivative Notional Amounts. The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects the Banks' involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Additionally, notional values are not meaningful measures of the risks associated with derivatives.

The following tables summarize the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2016 and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	December 31, 2016
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	29,133,421	$	71,335		$	142,648
Derivatives not designated as hedging instruments:
Interest rate swaps	$	9,370,245	$	21,429		$	58,158
Interest rate caps	1,255,000		4,686			—
Mortgage delivery commitments	15,450		26			98
Total derivatives not designated as hedging instruments:	$	10,640,695	$	26,141		$	58,256
Total derivatives before netting and collateral adjustments	$	39,774,116	$	97,476		$	200,904
Netting adjustments and cash collateral(1)			(15,585		)	(186,894		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	81,891		$	14,010

	December 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	30,416,262	$	49,104		$	269,354
Derivatives not designated as hedging instruments:
Interest rate swaps	$	13,363,652	$	18,426		$	62,384
Interest rate swaptions	25,000		—			—
Interest rate caps	755,000		2,695			—
Mortgage delivery commitments	9,950		253			—
Total derivatives not designated as hedging instruments	$	14,153,602	$	21,374		$	62,384
Total derivatives before netting and collateral adjustments	$	44,569,864	$	70,478		$	331,738
Netting adjustments and cash collateral(1)			(4,623		)	(289,230		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	65,855		$	42,508

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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

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

	Year ended December 31,
(in thousands)	2016			2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps (1)	$	3,307		$	4,769		$	4,287
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17,908	)	$	(21,514	)	$	(73,836	)
Interest rate swaptions	—			56			1,410
Interest rate caps	(1,183		)	(1,988		)	(4,496		)
Net interest settlements	864			10,959			26,369
Mortgage delivery commitments	1,098			11,074			8,739
Other	21			24			27
Total net gains (losses) related to derivatives not designated   as hedging instruments	$	(17,108	)	$	(1,389	)	$	(41,787	)
Net gains (losses) on derivatives and hedging activities	$	(13,801	)	$	3,380		$	(37,500	)

Note:

⁽¹⁾Pertains to totalnet gains for fair value hedge ineffectiveness.

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 2016, 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)
2016
Hedged item type:
Advances	$	196,099		$	(193,558	)	$	2,541	$	(100,091	)
Consolidated obligations – bonds	(83,647		)	84,094			447		68,153
AFS securities	20,449			(20,130		)	319		(23,150		)
Total	$	132,901		$	(129,594	)	$	3,307	$	(55,088	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income(1)
2015
Hedged item type:
Advances	$	110,659		$	(109,811	)	$	848	$	(198,536	)
Consolidated obligations – bonds	28,735			(25,822		)	2,913		218,194
AFS securities	(7,075		)	8,083			1,008		(19,032		)
Total	$	132,319		$	(127,550	)	$	4,769	$	626

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
2014
Hedged item type:
Advances	$	249,742		$	(245,817	)	$	3,925		$	(225,722	)
Consolidated obligations – bonds	74,726			(72,766		)	1,960			233,774
AFS securities	(32,530		)	30,932			(1,598		)	(11,442		)
Total	$	291,938		$	(287,651	)	$	4,287		$	(3,390	)

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 $(5.1) million, $0.8 million and $13.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2016, 2015 and 2014.

The Bank had no active cash flow hedging relationships during 2016, 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.

Uncleared Derivatives .For uncleared 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 uncleared derivatives.

Generally, the Bank’s ISDA agreements for uncleared 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 uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at December 31, 2016 was $53.6 million for which the Bank has posted cash collateral with a fair value of $42.3 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 $10.3 million of collateral to its derivative counterparties at December 31, 2016.

Cleared 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. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank 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.

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 fair value of cleared derivatives. 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 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 19 - 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.

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 by its clearing agents to post additional initial margin at December 31, 2016.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, 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. 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)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,778		$	39,068
Cleared derivatives	83,672			31,157
Total gross recognized amount	97,450			70,225
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(10,792		)	(37,981		)
Cleared derivatives	(4,793		)	33,358
Total gross amounts of netting adjustments and cash collateral	(15,585		)	(4,623		)
Net amounts after netting adjustments:
Uncleared derivatives	2,986			1,087
Cleared derivatives	78,879			64,515
Total net amounts after netting adjustments	81,865			65,602
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	26			253
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	26			253
Total derivative assets:
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total derivative assets as reported in the Statement of Condition	81,891			65,855
Net unsecured amount
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total net unsecured amount	$	81,891		$	65,855

	Derivative Liabilities
(in thousands)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	67,047		$	132,910
Cleared derivatives	133,759			198,828
Total gross recognized amount	200,806			331,738
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(53,135		)	(90,402		)
Cleared derivatives	(133,759		)	(198,828		)
Total gross amounts of netting adjustments and cash collateral	(186,894		)	(289,230		)
Net amounts after netting adjustments:
Uncleared derivatives	13,912			42,508
Cleared derivatives	—			—
Total net amounts after netting adjustments	13,912			42,508
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	98			—
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	98			—
Total derivative liabilities:
Uncleared derivatives	14,010			42,508
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	14,010			42,508
Net unsecured amount
Uncleared derivatives	14,010			42,508
Total net unsecured amount	$	14,010		$	42,508

Note:

⁽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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Premises, Software and Equipment

12 Months Ended

Dec. 31, 2016

Property, Plant and Equipment [Abstract]

Premises, Software and Equipment

Premises, Software and Equipment

	December 31,
(in thousands)	2016		2015
Computer hardware and software	$	56,414	$	54,593
Furniture	915		915
Leasehold improvements	2,517		2,478
Equipment and other	982		980
Total premises, software and equipment, gross	60,828		58,966
Less: Accumulated depreciation and amortization	51,066		48,279
Total premises, software and equipment, net	$	9,762	$	10,687

Depreciation and amortization expense on premises, software, and equipment was $4.3 million, $3.7 million and $4.3 million for 2016, 2015 and 2014, respectively. Gains and losses on disposal of premises and equipment are included in other, net income on the Statement of Income. There were no material net realized gains (losses) on disposal of premises and equipment for 2016, 2015 or 2014.

Included in total depreciation and amortization expense is amortization expense on software of $3.7 million, $3.1 million and $3.7 million for 2016, 2015 and 2014, respectively. The unamortized software balance was $8.8 million and $9.5 million at December 31,2016 and 2015, respectively.

During 2016 and 2015, the Bank capitalized $3.1 million and $3.6 million, respectively, in costs associated with computer software developed for internal use.

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Deposits

12 Months Ended

Dec. 31, 2016

Deposits [Abstract]

Deposits

Deposits

The Bank offers demand and overnight deposits to both members and qualifying nonmembers and term deposits to members. Noninterest-bearing demand and overnight deposits are comprised of funds collected by members pending disbursement to the mortgage loan holders, as well as member funds deposited at the FRB.

Interest-bearing deposits classified as demand and overnight pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit.The weighted-average interest rates paid on interest bearing deposits were 0.26%, 0.04% and 0.03% during 2016, 2015 and 2014, respectively.

The following table details interest-bearing and noninterest-bearing deposits as ofDecember 31,2016and2015.

	December 31,
(in thousands)	2016		2015
Interest-bearing:
Demand and overnight	$	505,430	$	635,468
Noninterest-bearing:
Demand and overnight	53,461		50,469
Total deposits	$	558,891	$	685,937

There were no outstanding term deposits as of December 31, 2016 and December 31, 2015.

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Consolidated Obligations

12 Months Ended

Dec. 31, 2016

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor.

The Finance Agency and the U.S. Secretary of the Treasury oversee the issuance of FHLBank debt through the OF. Consolidated bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on their maturity. Consolidated discount notes are issued primarily to raise short-term funds. These notes generally sell at less than their face amount and are redeemed at par value when they mature.

Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten 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. 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. However, 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 amounts of the11FHLBanks’ outstanding consolidated obligations were$989.3 billionand$905.2 billion atDecember 31,2016and2015, respectively. Regulations require the Bank to maintain unpledged qualifying assets equal to its participation of the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the United States; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or ever have been sold by Freddie Mac under the Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the Bank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they are free from lien or pledge for purposes of compliance with these regulations.

General Terms.  Consolidated obligations are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that can use a variety of indices for interest rate resets such as, LIBOR, and others. To meet the expected specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain features which may result in complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank may enter into derivatives containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond or a fixed-rate bond.The Bank has no outstanding consolidated obligations denominated in currencies other than U.S. dollars.

These consolidated obligations, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms:

Indexed Principal Redemption Bonds (index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. A form of an indexed principal redemption bond that the Bank has issued in the past is an Amortizing Prepayment Linked Security (APLS). The APLS redeem based on the prepayments of Fannie Mae, Freddie Mac, Ginnie Mae or private label reference pools. As of December 31, 2016 and 2015, most of the index amortizing notes had fixed-rate coupon payment terms. Usually, as market interest rates rise (fall), the average life of the index amortizing notes extends (contracts).

Optional Principal Redemption  Bonds (callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings.

Interest Rate Payment Terms.  With respect to interest payments, consolidated obligation bonds may also have the following terms:

Step-up Bonds generally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on the step-up dates; and

Conversion Bonds have coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings.

The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016			2015
Par value of consolidated bonds:
Fixed-rate	$	30,020,671		$	31,945,658
Step-up	1,620,000			1,860,000
Floating-rate	35,155,000			14,650,000
Conversion bonds - fixed to floating	400,000			60,000
Total par value	67,195,671			48,515,658
Bond premiums	68,812			107,339
Bond discounts	(7,732		)	(9,629		)
Concession fees	(6,706		)	(5,229		)
Hedging adjustments	(94,014		)	(7,386		)
Total book value	$	67,156,031		$	48,600,753

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2016 and December 31, 2015.

	December 31, 2016				December 31, 2015
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	45,660,600	0.77	%	$	26,814,155	0.68	%
Due after 1 year through 2 years	8,767,580		1.16		8,753,810		1.21
Due after 2 years through 3 years	4,575,505		1.36		4,998,335		1.46
Due after 3 years through 4 years	2,225,710		1.74		2,017,720		1.84
Due after 4 years through 5 years	1,884,400		2.05		2,040,940		1.91
Thereafter	3,958,850		2.26		3,733,950		2.66
Index amortizing notes	123,026		4.74		156,748		4.73
Total par value	$	67,195,671	1.02	%	$	48,515,658	1.12	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2016 and December 31, 2015 .

	December 31,
(in thousands)	2016		2015
Noncallable	$	61,585,171	$	41,462,658
Callable	5,610,500		7,053,000
Total par value	$	67,195,671	$	48,515,658

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31,
Year of Contractual Maturity or Next Call Date	2016		2015
Due in 1 year or less	$	50,586,100	$	33,517,155
Due after 1 year through 2 years	8,482,580		7,778,810
Due after 2 years through 3 years	4,375,505		3,672,335
Due after 3 years through 4 years	1,649,210		1,202,720
Due after 4 years through 5 years	849,400		810,940
Thereafter	1,129,850		1,376,950
Index amortizing notes	123,026		156,748
Total par value	$	67,195,671	$	48,515,658

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 December 31, 2016 and December 31, 2015.

	December 31,
(dollars in thousands)	2016			2015
Book value	$	28,500,341		$	42,275,544
Par value	28,529,619			42,318,509
Weighted average interest rate (1)	0.51		%	0.32		%

Note:

⁽¹⁾ Represents an implied rate.

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Affordable Housing Program (AHP)

12 Months Ended

Dec. 31, 2016

Affordable Housing Program [Abstract]

Affordable Housing Program (AHP)

Affordable Housing Program (AHP)

In support of the goal of providing funding for housing and economic development in its district’s communities, the Bank administers a number of programs, some mandated and some voluntary, which make funds available through member financial institutions. In all of these programs, Bank funds flow through member financial institutions into areas of need throughout the region. AHP, mandated by the Act, is the largest and primary public policy program of the FHLBanks. The Act requires the Bank to contribute 10% of its current year net income (as defined by a Finance Agency advisory bulletin as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and make these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations.

Each FHLBank provides subsidies in the form of direct grants and/or below-market interest rate advances where the funds are used to assist in the purchase, construction or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must collectively set aside for the AHP the greater of $100 million or 10% of income subject to assessment. The Bank accrues this expense monthly based on its net income. The Bank reduces the AHP liability as members use subsidies.

If the Bank experienced a net loss during a quarter, but still had net earnings for the year, the Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net income. If the Bank had net income in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the Bank would have no obligation to the AHP for the year since each FHLBank’s required annual AHP contribution is limited to its annual net income. If the aggregate10%calculation described above was less than$100 millionfor all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal$100 million. The proration would be made on the basis of an FHLBank’s income in relation to the income of all FHLBanks for the previous year. There was no shortfall in2016,2015, or2014. If an FHLBank finds that its required contributions are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make any such application in2016,2015, or2014. The Bank had outstanding principal in AHP-related advances of$0.2 millionand$1.4 millionatDecember 31,2016andDecember 31, 2015, respectively.The Bank awards commitments that are disbursed over 24 to 36 months. The Bank has outstanding AHP commitments of $43.5 million, $38.5 million and $26.5 million as of December 31, 2016, 2015 and 2014, respectively.

The following table presents an analysis of the AHP payable for 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the year	$	70,907		$	55,997		$	36,353
Assessments	28,924			28,519			28,437
Subsidy usage, net	(23,119		)	(13,609		)	(8,793		)
Balance, end of the year	$	76,712		$	70,907		$	55,997

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Capital

12 Months Ended

Dec. 31, 2016

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. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock.

• Risk-based capital (RBC). Under this capital requirement, the Bank must maintain at all times permanent capital, defined as Class B stock and retained earnings, in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of minimum capital levels than is required based on the Finance Agency rules and regulations.

• Total regulatory capital. Under this capital requirement, the Bank is required to maintain at all times a total capital-to-assets ratio of at least 4.0%. Total regulatory capital is the sum of permanent capital, Class A stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses; and

• Leverage capital. Under this third capital requirement, the Bank is required to maintain at all times a leverage capital-to-assets ratio of at least 5.0%. Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other capital without a weighting factor.

At December 31, 2016, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion and $3.4 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2016. The Bank had $0.3 billion and $3.2 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2015.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2016 and 2015.

	December 31, 2016						December 31, 2015
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	907,515		$	4,746,834		$	820,621		$	4,426,971
Total capital-to-asset ratio	4.0		%	4.7		%	4.0		%	4.6		%
Total regulatory capital	4,050,403			4,746,834			3,853,451			4,426,971
Leverage ratio	5.0		%	7.0		%	5.0		%	6.9		%
Leverage capital	5,063,004			7,120,252			4,816,814			6,640,456

When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 14, 2016, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2016. 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 December 31, 2016.

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 December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016
Member(1)	Capital Stock		% of Total
Chase Bank USA, N.A., Wilmington, DE	$	873,834	23.2	%
PNC Bank, N.A., Pittsburgh, PA	859,402		22.9
Ally Bank, Midvale, UT	577,404		15.4

(dollars in thousands)	December 31, 2015
Member(1)	Capital Stock		% of Total
PNC Bank, N.A., Pittsburgh, PA	$	881,552	24.9	%
Santander Bank, N.A., Wilmington, DE	600,872		17.0
Chase Bank USA, N.A., Wilmington, DE	424,502		12.0
Ally Bank, Midvale, UT	391,287		11.0

Note:

⁽¹⁾For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, 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’ par value of $100, as mandated by each FHLBank’s capital plan.

At December 31, 2016 and December 31, 2015, the Bank had $5.2 million and $6.0 million, 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 recorded as interest expense were immaterial during 2016, 2015 and 2014.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the period	$	6,053		$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital	56,110			36,629			8,422
Redemption/repurchase of mandatorily redeemable stock	(56,947		)	(31,162		)	(7,876		)
Balance, end of the period	$	5,216		$	6,053		$	586

As of December 31, 2016, the total mandatorily redeemable capital stock reflected the balance for three institutions. Two institutions were merged out of district and are considered to be non-members. One 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 December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016		2015
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	419		—
Due after 3 years through 4 years	4,797		546
Due after 4 years through 5 years	—		5,507
Total	$	5,216	$	6,053

Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding.

Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a 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 December 31, 2016, retained earnings were $986.2 million, including $771.7 million of unrestricted retained earnings and $214.5 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. Dividends paid in 2016, 2015, and 2014 were as follows in the table below. These dividends were based on stockholders' average balances for the previous quarter.

	Dividend - Annual Yield
	2016		2015		2014
	Membership	Activity	Membership	Activity
February	3.0%	5.0%	(1)	(1)	2.5%
April	2.0%	5.0%	3.0%	5.0%	4.0%
July	2.0%	5.0%	3.0%	5.0%	4.0%
October	2.0%	5.0%	3.0%	5.0%	4.0%

Note:

⁽¹⁾ The Bank did not differentiate dividends on activity and membership stock prior to April 2015. In February 2015, the Bank paid a quarterly dividend on all capital stock equal to an annual yield of 4.0%. In addition, the Bank paid a special dividend of 2.5%. This special dividend was based on average member capital stock for the full year of 2014.

In February 2017, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 2.0% on activity stock and membership stock, respectively.

The following table summarizes the changes in AOCI for 2016, 2015 and 2014.

(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	64,941			13,896			—			—			—			78,837
Net change in fair value of OTTI securities	—			2,913			—			—			—			2,913
Amortization on hedging activities	—			—			—			(15		)	—			(15		)
Pension and post-retirement	—			—			—			—			(1,642		)	(1,642		)
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(23,712		)	(21,510		)	—			—			—			(45,222		)
Non-credit component of OTTI losses	—			—			(1,665		)	—			—			(1,665		)
Non-credit OTTI losses transferred	—			(1,665		)	1,665			—			—			—
Net change in fair value of OTTI securities	—			1,185			—			—			—			1,185
Reclassifications from OCI to net income:
Non-credit OTTI to credit OTTI	—			509			—			—			—			509
Amortization on hedging activities	—			—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			—			1,468			1,468
December 31, 2015	$	8,748		$	72,970		$	—		$	247		$	(1,282	)	$	80,683

December 31, 2015	$	8,748		$	72,970		$	—	$	247		$	(1,282	)	$	80,683
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(10,292		)	(4,788		)	—		—			—			(15,080		)
Net change in fair value of OTTI securities	—			303			—		—			—			303
Reclassifications from OCI to net income:
Reclassification adjustment for net (gains) losses   included in net income	(11,291		)	(1,300		)	—		—			—			(12,591		)
Non-credit OTTI to credit OTTI	—			239			—		—			—			239
Amortization on hedging activities	—			—			—		(24		)	—			(24		)
Pension and post-retirement	—			—			—		—			(1,234		)	(1,234		)
December 31, 2016	$	(12,835	)	$	67,424		$	—	$	223		$	(2,516	)	$	52,296

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Employee Retirement Plans

12 Months Ended

Dec. 31, 2016

Compensation and Retirement Disclosure [Abstract]

Employee Retirement Plans

Employee Retirement Plans

Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all officers and employees of the Bank that meet certain eligibility requirements.

The Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888, and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank.

The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). During 2012, the calculation of the discount rate used to determine the funding target was changed by the Moving Ahead for Progress in the 21st Century Act (MAP-21). Certain provisions of MAP-21 were extended in 2014. MAP-21 resulted in a higher discount rate, which increased the Bank’s funded status significantly. As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make.

The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2016 were less than 5% of total plan contributions during the plan year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2015 were less than 5% of total plan contributions during the plan year ended June 30, 2014.

(dollars in thousands)	2016				2015				2014
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,396			$	4,687			$	7,247
Defined Benefit Plan funded status as of July 1	104.1		%	(a)	107.0		%	(b)	111.4		%
Bank’s funded status as of July 1	129.6		%		126.7		%		128.6		%

^(a) The Defined Benefit Plan’s funded status as of July 1, 2016 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2016 through March 15, 2017. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2018).

^(b) The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results.

Included in the net pension costs above are discretionary contributions of$7.0 million, $4.3 millionand$6.9 millionin2016,2015, and2014, respectively.As the Defined Benefit Plan's year-end is June 30, the Bank's discretionary contributions, which occur during the Bank's calendar year, may be allocated to multiple Defined Benefit Plan years.

Qualified Defined Contribution Plan.The Bank also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax qualified defined contribution pension plan. The Bank’s contributions consist of a matching contribution equal to a percentageof voluntary employee contributions, subject to certain limitations. The Bank contributed$1.0 million,$1.2 millionand$1.0 millionfor2016,2015and2014, respectively.

Nonqualified Supplemental Deferred Compensation Plans.In addition, the Bank maintains nonqualified deferred compensation plans, available to select employees and directors, which are, in substance, unfunded supplemental defined contribution retirement plans. The plans’ liabilities consist of the accumulated compensation deferrals and accrued earnings (losses) on the deferrals. The Bank’s obligation from these plans was $8.5 millionand$6.5 millionatDecember 31, 2016and2015, respectively, and the Bank recognized operating expenses of$0.9 million,$0.2 million, and$0.6 million for 2016,2015and2014, respectively. Although the nonqualified compensation plans are unfunded, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants and to partially offset the earnings (losses) of certain deferred compensation agreements. See Note 4 - Trading Securities for additional information.

Post-retirement Health Benefit Plan.  The Bank sponsors an unfunded retiree benefits program that includes health care and life insurance benefits for eligible retirees. Employees who retired prior to January 1, 1992 receive health care benefits at the Bank’s expense after age 65. Employees retiring after January 1, 1992 participate in a health reimbursement account (HRA). At the discretion of the Bank, the amount can be modified. A limited life insurance benefit is provided at the Bank’s expense for retirees who retired prior to January 1, 2009. Employees who retired after January 1, 1992 but prior to January1, 2009were required to meet specific eligibility requirements of age65 yearsor age 60 yearswith a minimum often yearsof service at the time of retirement to be eligible for retiree health and life insurance benefits. The Accumulated Post-retirement Benefit Obligation (APBO) was$1.9 millionat bothDecember 31, 2016andDecember 31, 2015.

Supplemental Executive Retirement Plan (SERP).  The Bank also maintains an unfunded SERP, a nonqualified defined benefit retirement plan, for certain executives. The SERP ensures, among other things, that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit pension plan in the absence of limits on benefits levels imposed by the Internal Revenue Service. The accumulated benefit obligation for the SERP was $6.3 million and $5.2 million at December 31, 2016 and 2015, respectively. As noted above, all nonqualified plans maintained by the Bank are unfunded; however, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants. See Note 5 - AFS Securities for additional information.

The Post-retirement Health Benefit Plan and SERP are not material to the Bank. However, the following table sets forth their benefit obligations recorded in “Other liabilities” and amounts recognized in AOCI. In addition, the Bank recognized $1.3 million, $1.2 million, and $953 thousand in “Compensation and benefits” expense related to these two plans at December 31, 2016, 2015 and 2014, respectively.

	SERP						Post-retirement Health Benefit Plan				Total
(in thousands)	2016			2015			2016		2015		2016			2015
Benefit obligations	$	8,992		$	6,673		$	1,884	$	1,876	$	10,876		$	8,549
Unrealized actuarial gains (losses) in AOCI	$	(3,039	)	$	(1,799	)	$	523	$	517	$	(2,516	)	$	(1,282	)

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Transactions with Related Parties

12 Months Ended

Dec. 31, 2016

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The Bank is a cooperative whose member institutions own the capital stock of the Bank and may receive dividends on their investments. In addition, certain former members that still have outstanding transactions are also required to maintain their investment in Bank capital stock until the transactions mature or are paid off. All loans, including BOB loans, are issued to members and all mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts for members primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members are entered into in the normal course of business. In instances where the member also has an officer or a director who is a Director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as all other transactions. Related parties are defined as those parties meeting any one of the following criteria: (1) other FHLBanks in the System; (2) members with capital stock outstanding in excess of 10% of total capital stock outstanding; or (3) members and nonmember borrowers that have an officer or director who is a Director of the Bank.

The following table includes significant outstanding related party member balances.

	December 31,
(in thousands)	2016		2015
Investments	$	242,835	$	176,345
Advances	60,916,692		54,610,238
Letters of credit (1)	6,236,508		8,245,423
MPF loans	880,877		1,052,569
Deposits	16,510		24,636
Capital stock	2,707,466		2,366,721

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 interest expense on deposits were immaterial for the periods presented.

	Year ended December 31,
(in thousands)	2016		2015		2014
Interest income on investments	$	3,512	$	1,505	$	938
Interest income on advances (1)	383,958		200,743		138,121
Interest income on MPF loans	52,185		64,002		80,674
Letters of credit fees	8,574		10,796		8,481
Prepayment fees on advances	8,370		—		13,787

Note:

⁽¹⁾ For 2016, 2015 and 2014, respectively, includes contractual interest income of $433.5 million, $341.5 million, and $319.5 million; net interest settlements on derivatives in fair value hedge relationships of $(52.1) million, $(139.8) million, and $(177.8) million; and total amortization of basis adjustments of $2.5 million, $(0.9) million, and $(3.6) million.

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

(in thousands)	2016		2015		2014
Total MPF loan volume purchased	$	20,951	$	8,756	$	13,049

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

	Year ended December 31,
(in thousands)	2016		2015		2014
Servicing fee expense	$	1,398	$	1,147	$	994

	December 31,
(in thousands)	2016		2015
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,909	$	6,075

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. For 2016, 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 at fair value its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During 2014, the Bank was paid at fair value to assume the debt of FHLBank New York with a par value of $59.0 million and fair value of $65.6 million. During 2016 and 2015, 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 2016, 2015 and 2014.

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Estimated Fair Values

12 Months Ended

Dec. 31, 2016

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 December 31, 2016 and 2015. 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 Banks’ financial instruments at December 31, 2016 and 2015 are presented in the table below.

Fair Value Summary Table
	December 31, 2016
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,587,605	$	3,587,605	$	—	$	—	$	—		$	3,587,605
Interest-bearing deposits	5,909		—		5,909		—		—			5,909
Federal funds sold	3,222,000		—		3,221,945		—		—			3,221,945
Securities purchased under agreement to resell	2,000,000		—		1,999,962		—		—			1,999,962
Trading securities	395,247		7,092		388,155		—		—			395,247
AFS securities	9,038,081		2,000		8,362,105		673,976		—			9,038,081
HTM securities	2,566,135		—		2,182,254		394,728		—			2,576,982
Advances	76,808,704		—		76,843,531		—		—			76,843,531
Mortgage loans held for portfolio, net	3,390,727		—		3,403,217		—		—			3,403,217
BOB loans, net	12,276		—		—		12,276		—			12,276
Accrued interest receivable	124,247		—		124,247		—		—			124,247
Derivative assets	81,891		—		97,476		—		(15,585		)	81,891
Liabilities:
Deposits	$	558,891	$	—	558,895		$	—	$	—		$	558,895
Discount notes	28,500,341		—		28,499,258		—		—			28,499,258
Bonds	67,156,031		—		67,163,445		—		—			67,163,445
Mandatorily redeemable capital stock (1)	5,216		5,286		—		—		—			5,286
Accrued interest payable (1)	117,183		—		117,113		—		—			117,113
Derivative liabilities	14,010		—		200,904		—		(186,894		)	14,010

	December 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,376,964	$	2,376,964	$	—	$	—	$	—		$	2,376,964
Interest-bearing deposits	6,075		—		6,075		—		—			6,075
Federal funds sold	3,980,000		—		3,979,884		—		—			3,979,884
Securities purchased under agreement to resell	1,000,000		—		999,984		—		—			999,984
Trading securities	394,737		5,442		389,295		—		—			394,737
AFS securities	8,099,894		1,998		7,265,988		831,908		—			8,099,894
HTM securities	2,663,304		—		2,171,206		512,865		—			2,684,071
Advances	74,504,776		—		74,434,577		—		—			74,434,577
Mortgage loans held for portfolio, net	3,086,855		—		3,219,846		—		—			3,219,846
BOB loans, net	11,276		—		—		11,276		—			11,276
Accrued interest receivable	107,345		—		107,345		—		—			107,345
Derivative assets	65,855		—		70,478		—		(4,623		)	65,855
Liabilities:
Deposits	$	685,937	$	—	$	685,951	$	—	$	—		$	685,951
Discount notes	42,276,815		—		42,269,700		—		—			42,269,700
Bonds	48,605,982		—		48,660,776		—		—			48,660,776
Mandatorily redeemable capital stock (1)	6,053		6,130		—		—		—			6,130
Accrued interest payable (1)	92,765		—		92,688		—		—			92,688
Derivative liabilities	42,508		—		331,738		—		(289,230		)	42,508

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. 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 2016 or 2015.

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. These instruments’ maturity term is overnight.

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. These instruments’ maturity term is overnight.

Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2016 and December 31, 2015. These instruments’ maturity term is overnight.

Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

• CO curve: GSE and other U.S. obligations

The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from two designated third-party vendors when available, and the default price is the average of the two prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS.

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 such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. 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.

As of December 31, 2016, four vendor prices were received for a majority of the Bank’s MBS holdings, and the final prices for nearly all 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. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2016, the Bank classified private label MBS 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 and a price adjustment reflective of a secondary mortgage market participant. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions used 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 uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared 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, and, if negative, as 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 and a pricing adjustment reflective of the secondary mortgage market.

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. Substantially all of these instruments’ maturity terms are overnight.

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. 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 December 31, 2016 and 2015.

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 Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2016 and 2015. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	December 31, 2016
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	388,155	$	—	$	—		$	388,155
Mutual funds	7,092		—		—		—			7,092
Total trading securities	$	7,092	$	388,155	$	—	$	—		$	395,247
AFS securities:
Non-MBS:
GSE and TVA obligations	$	—	$	3,183,193	$	—	$	—		$	3,183,193
State or local agency obligations	—		236,412		—		—			236,412
Mutual funds	2,000		—		—		—			2,000
MBS:
Other U.S. obligations single family MBS	—		216,434		—		—			216,434
GSE single-family MBS	—		3,213,162		—		—			3,213,162
GSE multifamily MBS	—		1,512,904		—		—			1,512,904
Private label residential MBS	—		—		673,976		—			673,976
Total AFS securities	$	2,000	$	8,362,105	$	673,976	$	—		$	9,038,081
Derivative assets:
Interest rate related	$	—	$	97,450	$	—	$	(15,585	)	$	81,865
Mortgage delivery commitments	—		26		—		—			26
Total derivative assets	$	—	$	97,476	$	—	$	(15,585	)	$	81,891
Total recurring assets at fair value	$	9,092	$	8,847,736	$	673,976	$	(15,585	)	$	9,515,219
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	200,806	$	—	$	(186,894	)	$	13,912
Mortgage delivery commitments	—		98		—		—			98
Total recurring liabilities at fair value (2)	$	—	$	200,904	$	—	$	(186,894	)	$	14,010
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	13,359	$	—		$	13,359
Real estate owned (3)	—		—		6,475		—			6,475
Total non-recurring assets at fair value	$	—	$	—	$	19,834	$	—		$	19,834

	December 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	389,295	$	—	$	—		$	389,295
Mutual funds	5,442		—		—		—			5,442
Total trading securities	$	5,442	$	389,295	$	—	$	—		$	394,737
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	3,469,205	$	—	$	—		$	3,469,205
State or local agency obligations	—		134,120		—		—			134,120
Mutual funds	1,998		—		—		—			1,998
MBS:
Other U.S. obligations single family MBS	—		268,536		—		—			268,536
GSE single family MBS	—		2,383,630		—		—			2,383,630
GSE multifamily MBS	—		1,010,497		—		—			1,010,497
Private label MBS:
Private label residential MBS	—		—		822,740		—			822,740
HELOCs	—		—		9,168		—			9,168
Total AFS securities	$	1,998	$	7,265,988	$	831,908	$	—		$	8,099,894
Derivative assets:
Interest rate related	$	—	$	70,225	$	—	$	(4,623	)	$	65,602
Mortgage delivery commitments	—		253		—		—			253
Total derivative assets	$	—	$	70,478	$	—	$	(4,623	)	$	65,855
Total recurring assets at fair value	$	7,440	$	7,725,761	$	831,908	$	(4,623	)	$	8,560,486
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Total recurring liabilities at fair value (2)	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	32,294	$	—		$	32,294
Real estate owned (3)	—		—		8,175		—			8,175
Total non-recurring assets at fair value	$	—	$	—	$	40,469	$	—		$	40,469

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.

⁽³⁾ The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

There were no transfers between Levels 1 or 2 during 2016, 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 years ended December 31, 2016, 2015 and 2014. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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 2016 or 2014. During 2015, the Bank transferred three private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded.

	AFS Private Label MBS-Residential Year Ended December 31, 2016			AFS Private Label MBS- HELOCs Year Ended December 31, 2016
Balance, beginning of period	$	822,740		$	9,168
Total gains (losses) (realized/unrealized) included in:
Sale of AFS	(117		)	1,417
Accretion of credit losses in interest income	18,566			203
Net OTTI losses, credit portion	(239		)	—
Net unrealized gains on AFS in OCI	29			—
Reclassification of non-credit portion included in net income	356			(1,417		)
Net change in fair value on OTTI AFS in OCI	303			—
Unrealized (losses) on OTTI AFS in OCI	(4,609		)	(179		)
Purchases, issuances, sales, and settlements:
Sales	(8,609		)	(8,510		)
Settlements	(154,444		)	(682		)
Balance at December 31	$	673,976		$	—
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2016	$	18,327		$	—

	AFS Private Label MBS-Residential Year Ended December 31, 2015			AFS Private Label MBS-HELOCs Year Ended December 31, 2015
Balance, beginning of period	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	18,479			1,382
Net OTTI losses, credit portion	(894		)	—
Net unrealized (losses) on AFS in OCI	(46		)	—
Reclassification of non-credit portion included in net income	509			—
Net change in fair value on OTTI AFS in OCI	1,185			—
Unrealized (losses) on OTTI AFS in OCI	(20,651		)	(859		)
Purchases, issuances, sales, and settlements:
Settlements	(157,211		)	(3,054		)
Transfer of OTTI securities from HTM to AFS	10,286			—
Balance at December 31	$	822,740		$	9,168
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2015	$	17,585		$	1,382

	AFS Private Label MBS-Residential Year Ended December 31, 2014			AFS Private Label MBS-HELOCs Year Ended December 31, 2014
Balance, beginning of period	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	12,864			1,415
Net unrealized (losses) on AFS in OCI	(127		)	—
Net change in fair value on OTTI AFS in OCI	2,804			109
Unrealized gains on OTTI AFS in OCI	14,298			(402		)
Purchases, issuances, sales, and settlements:
Settlements	(182,380		)	(3,851		)
Balance at December 31	$	971,083		$	11,699
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2014	$	12,864		$	1,415

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Commitments and Contingencies

12 Months Ended

Dec. 31, 2016

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)	December 31, 2016						December 31, 2015
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	19,736,792	$	—	$	19,736,792	$	20,171,604
Commitments to fund additional advances and BOB loans	158,167		—		158,167		480,634
Commitments to fund or purchase mortgage loans	15,450		—		15,450		9,950
Unsettled consolidated obligation bonds, at par	2,015,000		—		2,015,000		261,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $467.0 million and $136.4 million at December 31, 2016 and 2015, respectively.

⁽²⁾ Letters of credit in the amount of $7.0 billion and $5.5 billion at December 31, 2016 and 2015, respectively, 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 approximately 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 overnight advance.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $5.0 million and $5.7 million as of December 31, 2016 and 2015, 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 Statement of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at December 31, 2016 and 2015. However, within the Bank’s Open RepoPlus advance product, there were conditional lines of credit outstanding of $7.1 billion and $7.4 billion at December 31, 2016 and 2015 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 60 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 11 - Derivatives and Hedging Activities in this Form 10-K for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Lease Commitments. The Bank charged to operating expense net rental costs of $2.1 million for each of the years 2016, 2015, and 2014. Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank. The table below presents the future minimum rentals for operating leases as of December 31, 2016.

	December 31, 2016
(in thousands)	Premises and Equipment
2017	$	2,014
2018	1,903
2019	1,878
2020	1,911
2021	1,928
Thereafter	6,624
Total	$	16,258

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 1, 8, 11, 14, 15, 16 and 18 also discuss other commitments and contingencies.

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Significant Accounting Policies (Policies)

12 Months Ended

Dec. 31, 2016

Accounting Policies [Abstract]

Use of Estimates

Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly.

Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating 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. See Note 19 - Estimated Fair Values for more information.

Financial Instruments Meeting Netting Requirements

Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay between the time an exposure change is identified and the time excess collateral is returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information.

Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell

Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. Interest-bearing deposits include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans made to investment-grade counterparties. The Bank records securities purchased under agreements to resell as short-term collateralized loans to a third party which are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. Should the market value of the underlying securities decrease below the market value required as collateral, the counterparty has the option to provide additional collateral equivalent to the amount of the shortfall by (1) placing an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remitting an equivalent amount of cash; otherwise, the dollar value of the resale agreement will be decreased accordingly.

Trading

Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on trading securities.”

Available-for-Sale (AFS)

Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” However, for AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in value related to the risk being hedged in noninterest income as “Net gains (losses) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.”

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so.

Held-to-Maturity (HTM)

Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts.

Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term.

Investment Securities - OTTI

Investment Securities - OTTI.The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI quarterly. A security is considered impaired when its fair value is less than its amortized cost basis. In those cases, the Bank considers an OTTI to have occurred under any of the following conditions:

• it has an intent to sell the impaired debt security;

• if, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or

• it does not expect to recover the entire amortized cost basis of the impaired debt security.

Recognition of OTTI. If either of the first two conditions above is met, the Bank recognizes an OTTI charge in earnings equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statement of Condition date. For securities that meet the third condition above (that is, securities in an unrealized loss position) but do not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss.

To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow test for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost basis of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI, which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses.

The total OTTI is presented in the Statement of Income with an offset for the amount of the non-credit portion of OTTI that is recognized in AOCI. The remaining amount in the Statement of Income represents the credit loss for the period.

Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and charged to earnings. The non-credit component, if any, is recognized in AOCI.

Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value.

Interest Income Recognition.When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows.

The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as:

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased.

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, the amount of 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. The Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis generated on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank.

Variable Interest Entities (VIEs)

Variable Interest Entities (VIEs). The Bank has investments in VIEs that include, but are not limited to, senior interests in private label MBS. The carrying amounts and classification of the assets that relate to the Bank’s investments in VIEs are included in investment securities on the Statement of Condition. The Bank has no liabilities related to these VIEs. The maximum loss exposure for these VIEs is limited to the amortized cost of the Bank’s investments in the VIEs.

If the Bank determines it is the primary beneficiary of a VIE, it is required to consolidate that VIE. The Bank performs a quarterly evaluation to determine whether it is the primary beneficiary of any VIEs. To perform this evaluation, the Bank considers whether it has both:

• the power to direct the VIE’s activities that most significantly impact the VIEs’ economic performance; and

• the obligation to absorb the VIE’s losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.

Based on an evaluation of the above characteristics, the Bank has determined that consolidation is not required for its VIEs for the periods presented. The Bank typically does not have the power to direct the VIEs’ activities that most significantly impact the VIEs’ economic performance. In addition, the Bank has not provided financial or other support (explicitly or implicitly) to any VIE during the periods presented. Furthermore, the Bank was not previously contractually required to provide, nor does it intend to provide, such support in the future.

Advances

Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums and discounts and recognizes hedging adjustments to interest income using a contractual methodology. The Bank records interest on advances to interest income as earned.

Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit.

Advance Modifications. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the cash flows or if the Bank concludes the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance’s original contractual terms, then the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification.

Prepayment Fees.  The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Prepayment fees on advances, net” in the interest income section of the Statement of Income.

If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method.

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation.

The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses

Premiums and Discounts

Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method.

CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses.

Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount and represent purchase price adjustments to the related loans acquired and are recorded as a part of the loan basis.

BOB Loans

BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses in the Bank’s district of Delaware, Pennsylvania and West Virginia. The program’s objective is to assist in the growth and development of small business, including both the start-up and expansion of these businesses. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is for it to serve as a grant program to members to help facilitate community economic development; however, repayment provisions within the program require that the BOB program be accounted for as an unsecured loan program. Therefore, the accounting for the program follows the provisions of loan accounting whereby an asset (loan receivable) is recorded for disbursements to members and an allowance for credit losses is estimated and established through provision for credit losses. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank as stated in the agreements. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and ceases to accrue interest income, and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid.

Allowance for Credit Losses

Allowance for Credit Losses. Establishing Allowance for Credit Loss. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: (1) advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; (2) government-guaranteed or insured mortgage loans held for portfolio; (3) conventional MPF loans held for portfolio; and (4) BOB loans.

Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level.

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 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.

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 approach generally requires 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 help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s 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, regardless of the member’s 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 otherwise entitled to priority under applicable law and that 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 December 31, 2016 and December 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 December 31, 2016 and December 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 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.

Nonaccrual Loans

Nonaccrual Loans. The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection.

Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance.

Impairment Methodology. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement.

Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other reliable source of repayment available. The Bank considers its impaired loans to be collateral-dependent. Collateral-dependent loans are impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as non-accrual loans.

Charge-off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets.

Real Estate Owned (REO)

Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition

Derivatives

Derivatives. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative.

Derivative Designations. Each derivative is designated as either:

• a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or

• a non-qualifying hedge (an economic hedge) for asset and liability management purposes.

Accounting for Fair Value Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value hedge accounting whereby the offsetting changes in fair value of the hedged items may be recorded in earnings. Two approaches that the Bank uses for hedge accounting are:

• Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods. 

• Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability.

Fair value derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date.

Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

For fair value hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.”

Accounting for Economic Hedges. An economic hedge is defined as a derivative, hedging specific or non-specific underlying assets, liabilities or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income. As a result, the Bank recognizes the net interest and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the economically hedged assets, liabilities, or firm commitments.

Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item.

Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments ); (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) it no longer designates the derivative as a hedging instrument (i.e., de-designation).

When hedge accounting is discontinued on a fair value hedge, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the contractual method.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

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.

Uncleared Derivatives .For uncleared 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 uncleared derivatives.

Generally, the Bank’s ISDA agreements for uncleared 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 uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at December 31, 2016 was $53.6 million for which the Bank has posted cash collateral with a fair value of $42.3 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 $10.3 million of collateral to its derivative counterparties at December 31, 2016.

Cleared 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. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank 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.

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 fair value of cleared derivatives. 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 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 19 - 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.

Embedded Derivatives

Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that: (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument. However, if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as “trading” as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried at fair value and no portion of the contract is designated as a hedging instrument. The Bank currently does not have any instruments containing embedded derivatives that are not clearly and closely related to the economic characteristics of the host contract.

Premises, Software and Equipment

Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of assets, which range from one to ten years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. The Bank includes gains and losses on the disposal of premises, software and equipment in “Other noninterest income (loss).”

The cost of computer software developed or obtained for internal use is capitalized and amortized over its useful life.

Consolidated Obligations

Consolidated Obligations. Consolidated obligations are recorded at amortized cost.

Discounts and Premiums. The Bank accretes/amortizes the discounts and premiums as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method.

Concessions. The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. The OF prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense.

Mandatorily Redeemable Capital Stock

Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, charter termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows.

If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense.

Restricted Retained Earnings (RRE)

Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank contributes 20% of its quarterly net income to a separate restricted retained earnings account until the account balance equals at least one percent of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 16 - Capital for more information.

Each FHLBank is required to contribute 20% of its net income each quarter to a 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 December 31, 2016, retained earnings were $986.2 million, including $771.7 million of unrestricted retained earnings and $214.5 million of RRE.

Gains on Litigation Settlements, Net

Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal fees and expenses, are recorded in noninterest income as “Gains on litigation settlements, net” in the Statement of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain.

Finance Agency Expenses

Finance Agency Expenses. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the pro rata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank).

Office of Finance Expenses

Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation.

AHP Assesment

AHP Assessment. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-to-moderate-income households. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism.

The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate. This will create a discount which will be the present value of the difference between the cash flow generated using an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 15 - AHP for more information.

Collectively Evaluated Mortgage Loans

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent, troubled debt restructurings, 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. The resulting loss is reduced by available CE. 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.

Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, the Bank evaluates the homogeneous mortgage loan portfolio collectively 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. 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.

Qualified Defined Benefit Multiemployer Plan

Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all officers and employees of the Bank that meet certain eligibility requirements.

The Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888, and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank.

The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). During 2012, the calculation of the discount rate used to determine the funding target was changed by the Moving Ahead for Progress in the 21st Century Act (MAP-21). Certain provisions of MAP-21 were extended in 2014. MAP-21 resulted in a higher discount rate, which increased the Bank’s funded status significantly. As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make.

The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2016 were less than 5% of total plan contributions during the plan year ended June 30, 2015. The Bank’s contributions to the Defined Benefit Plan during 2015 were less than 5% of total plan contributions during the plan year ended June 30, 2014.

(dollars in thousands)	2016				2015				2014
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,396			$	4,687			$	7,247
Defined Benefit Plan funded status as of July 1	104.1		%	(a)	107.0		%	(b)	111.4		%
Bank’s funded status as of July 1	129.6		%		126.7		%		128.6		%

Fair Value Hierarchy

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. 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

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. These instruments’ maturity term is overnight.

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. These instruments’ maturity term is overnight.

Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2016 and December 31, 2015. These instruments’ maturity term is overnight.

Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

• CO curve: GSE and other U.S. obligations

The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from two designated third-party vendors when available, and the default price is the average of the two prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS.

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 such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. 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.

As of December 31, 2016, four vendor prices were received for a majority of the Bank’s MBS holdings, and the final prices for nearly all 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. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2016, the Bank classified private label MBS 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 and a price adjustment reflective of a secondary mortgage market participant. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions used 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 uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared 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, and, if negative, as 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 and a pricing adjustment reflective of the secondary mortgage market.

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. Substantially all of these instruments’ maturity terms are overnight.

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. 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 December 31, 2016 and 2015.

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 Transfer

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans

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 overnight advance.

he 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 Statement of Condition.

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Trading Securities (Tables)

12 Months Ended

Dec. 31, 2016

Schedule of Trading Securities and Other Trading Assets [Line Items]

Schedule of Trading Securities

The following table presents trading securities as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Mutual funds	$	7,092	$	5,442
GSE and Tennessee Valley Authority (TVA) obligations	388,155		389,295
Total	$	395,247	$	394,737

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 (losses) on trading securities for 2016, 2015 and 2014.

	Year ended December 31,
(in thousands)	2016			2015		2014
Net unrealized gains (losses) on trading securities held at year-end	$	(583	)	$	1,598	$	22,322
Net realized gains on trading securities sold/matured during the year	—			—		86
Net gains (losses) on trading securities	$	(583	)	$	1,598	$	22,408

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Available-for-Sale (AFS) Securities (Tables)

12 Months Ended

Dec. 31, 2016

Schedule of Available-for-sale Securities [Line Items]

Schedule of Available-for-sale Securities Reconciliation

The following tables present AFS securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost(1)		OTTI Recognized in AOCI(2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	2,000	$	—		$	—	$	—		$	2,000
GSE and TVA obligations	3,181,110		—			11,889		(9,806		)	3,183,193
State or local agency obligations	249,675		—			879		(14,142		)	236,412
Total non-MBS	$	3,432,785	$	—		$	12,768	$	(23,948	)	$	3,421,605
MBS:
Other U.S. obligations single family MBS	$	217,577	$	—		$	—	$	(1,143	)	$	216,434
GSE single-family MBS	3,218,268		—			5,577		(10,683		)	3,213,162
GSE multifamily MBS	1,508,003		—			6,112		(1,211		)	1,512,904
Private label residential MBS	606,859		(11		)	67,435		(307		)	673,976
Total MBS	$	5,550,707	$	(11	)	$	79,124	$	(13,344	)	$	5,616,476
Total AFS securities	$	8,983,492	$	(11	)	$	91,892	$	(37,292	)	$	9,038,081

	December 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	3,468,665		—			15,332		(14,792		)	3,469,205
State or local agency obligations	133,038		—			2,055		(973		)	134,120
Total non-MBS	$	3,603,696	$	—		$	17,392	$	(15,765	)	$	3,605,323
MBS:
Other U.S. obligations single family MBS	$	268,105	$	—		$	501	$	(70	)	$	268,536
GSE single-family MBS	2,378,589		—			9,965		(4,924		)	2,383,630
GSE multifamily MBS	1,008,511		—			5,614		(3,628		)	1,010,497
Private label MBS:
Private label residential MBS	751,703		(889		)	72,263		(337		)	822,740
HELOCs	7,572		—			1,596		—			9,168
Total private label MBS	759,275		(889		)	73,859		(337		)	831,908
Total MBS	$	4,414,480	$	(889	)	$	89,939	$	(8,959	)	$	4,494,571
Total AFS securities	$	8,018,176	$	(889	)	$	107,331	$	(24,724	)	$	8,099,894

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.

Schedule of Transfers From Held to Maturity to Available for Sale

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
December 31, 2015 transfer	$	7,556	$	(638	)	$	6,918
June 30, 2015 transfer	4,394		(1,026		)	3,368
Total 2015 transfers	$	11,950	$	(1,664	)	$	10,286

Schedule of Realized Gain (Loss)

  The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for 2016, 2015 and 2014.

	Year ended December 31, 2016
(in thousands)	2016			2015		2014
Proceeds from sale of AFS securities	$	206,608		$	—	$	—
Gross gains on sale of AFS securities	12,923			—		—
Gross losses on sale of AFS securities	(332		)	—		—

Available-for-sale Securities [Member]

Schedule of Available-for-sale Securities [Line Items]

Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comprehensive Income

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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016			December 31, 2015
Non-credit portion of OTTI losses	$	(11	)	$	(889	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	67,435			73,859
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	67,424		$	72,970

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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	$	1,976,842	$	(8,334	)	$	155,292	$	(1,472	)	$	2,132,134	$	(9,806	)
State or local agency obligations	161,288		(14,142		)	—		—			161,288		(14,142		)
Total non-MBS	$	2,138,130	$	(22,476	)	$	155,292	$	(1,472	)	$	2,293,422	$	(23,948	)
MBS:
Other U.S. obligations single-family MBS	$	145,946	$	(523	)	$	70,487	$	(620	)	$	216,433	$	(1,143	)
GSE single-family MBS	1,775,502		(7,920		)	351,883		(2,763		)	2,127,385		(10,683		)
GSE multifamily MBS	461,916		(992		)	92,755		(219		)	554,671		(1,211		)
Private label residential MBS	47,364		(11		)	2,853		(307		)	50,217		(318		)
Total MBS	$	2,430,728	$	(9,446	)	$	517,978	$	(3,909	)	$	2,948,706	$	(13,355	)
Total	$	4,568,858	$	(31,922	)	$	673,270	$	(5,381	)	$	5,242,128	$	(37,303	)

	December 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	$	2,396,493	$	(12,937	)	$	184,772	$	(1,855	)	$	2,581,265	$	(14,792	)
State or local agency obligations	41,727		(863		)	3,890		(110		)	45,617		(973		)
Total non-MBS	$	2,438,220	$	(13,800	)	$	188,662	$	(1,965	)	$	2,626,882	$	(15,765	)
MBS:
Other U.S. obligations single-family MBS	$	70,490	$	(48	)	$	11,984	$	(22	)	$	82,474	$	(70	)
GSE single-family MBS	465,658		(761		)	114,028		(4,163		)	579,686		(4,924		)
GSE multifamily MBS	420,982		(3,628		)	—		—			420,982		(3,628		)
Private label residential MBS	65,080		(775		)	9,332		(451		)	74,412		(1,226		)
Total MBS	$	1,022,210	$	(5,212	)	$	135,344	$	(4,636	)	$	1,157,554	$	(9,848	)
Total	$	3,460,430	$	(19,012	)	$	324,006	$	(6,601	)	$	3,784,436	$	(25,613	)

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 5.

Investments Classified by Contractual Maturity Date

The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	378,123	$	378,071	$	28,706	$	28,688
Due after one year through five years	1,408,405		1,405,080		1,925,398		1,919,024
Due after five years through ten years	644,126		651,857		812,550		825,558
Due in more than ten years	1,002,131		986,597		837,042		832,053
AFS securities excluding MBS	3,432,785		3,421,605		3,603,696		3,605,323
MBS	5,550,707		5,616,476		4,414,480		4,494,571
Total AFS securities	$	8,983,492	$	9,038,081	$	8,018,176	$	8,099,894

Schedule of Interest Rate Payment Terms For Investments

The following table details interest payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,347,980	$	3,518,980
Variable-rate	84,805		84,716
Total non-MBS	$	3,432,785	$	3,603,696
Amortized cost of AFS MBS:
Fixed-rate	$	1,343,699	$	1,593,414
Variable-rate	4,207,008		2,821,066
Total MBS	$	5,550,707	$	4,414,480
Total amortized cost of AFS securities	$	8,983,492	$	8,018,176

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Held-to-Maturity (HTM) Securities (Tables)

12 Months Ended

Dec. 31, 2016

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities

The following tables present HTM securities as of December 31, 2016 and December 31, 2015.

	December 31, 2016
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	61	$	(2	)	$	400,059
State or local agency obligations	131,925		—		(10,519		)	121,406
Total non-MBS	$	531,925	$	61	$	(10,521	)	$	521,465
MBS:
Other U.S. obligations single-family MBS	$	583,550	$	3,320	$	(138	)	$	586,732
GSE single-family MBS	212,097		3,097		(23		)	215,171
GSE multifamily MBS	843,167		19,288		(3,569		)	858,886
Private label residential MBS	395,396		1,932		(2,600		)	394,728
Total MBS	$	2,034,210	$	27,637	$	(6,330	)	$	2,055,517
Total HTM securities	$	2,566,135	$	27,698	$	(16,851	)	$	2,576,982

	December 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	169,520	$	118	$	(14,484	)	$	155,154
MBS:
Other U.S. obligations single-family MBS	$	819,602	$	5,651	$	(5	)	$	825,248
GSE single-family MBS	294,568		4,459		(75		)	298,952
GSE multifamily MBS	863,122		30,124		(1,394		)	891,852
Private label residential MBS	516,492		1,717		(5,344		)	512,865
Total MBS	$	2,493,784	$	41,951	$	(6,818	)	$	2,528,917
Total HTM securities	$	2,663,304	$	42,069	$	(21,302	)	$	2,684,071

Held-to-maturity Securities [Member]

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 December 31, 2016 and December 31, 2015. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	December 31, 2016
	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:
Certificates of deposit	$	124,998	$	(2	)	$	—	$	—		$	124,998	$	(2	)
State or local agency obligations	13,612		(128		)	107,794		(10,391		)	121,406		(10,519		)
Total Non-MBS	$	138,610	$	(130	)	$	107,794	$	(10,391	)	$	246,404	$	(10,521	)
MBS:
Other U.S. obligations single-family MBS	$	53,513	$	(109	)	$	41,253	$	(29	)	$	94,766	$	(138	)
GSE single-family MBS	—		—			7,133		(23		)	7,133		(23		)
GSE multifamily MBS	165,914		(3,569		)	—		—			165,914		(3,569		)
Private label residential MBS	10,961		(115		)	222,585		(2,485		)	233,546		(2,600		)
Total MBS	$	230,388	$	(3,793	)	$	270,971	$	(2,537	)	$	501,359	$	(6,330	)
Total	$	368,998	$	(3,923	)	$	378,765	$	(12,928	)	$	747,763	$	(16,851	)

	December 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	$	20,154	$	(1	)	$	110,737	$	(14,483	)	$	130,891	$	(14,484	)
MBS:
Other U.S. obligations single-family MBS	$	10,237	$	(5	)	$	—	$	—		$	10,237	$	(5	)
GSE single-family MBS	—		—			9,091		(75		)	9,091		(75		)
GSE multifamily MBS	132,835		(1,394		)	—		—			132,835		(1,394		)
Private label residential MBS	110,665		(717		)	252,851		(4,627		)	363,516		(5,344		)
Total MBS	$	253,737	$	(2,116	)	$	261,942	$	(4,702	)	$	515,679	$	(6,818	)
Total	$	273,891	$	(2,117	)	$	372,679	$	(19,185	)	$	646,570	$	(21,302	)

Investments Classified by Contractual Maturity Date

The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2016 and December 31, 2015 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)	December 31, 2016				December 31, 2015
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	400,000	$	400,059	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	47,850		45,605		57,490		55,797
Due after ten years	84,075		75,801		112,030		99,357
Total non-MBS	531,925		521,465		169,520		155,154
MBS	2,034,210		2,055,517		2,493,784		2,528,917
Total HTM securities	$	2,566,135	$	2,576,982	$	2,663,304	$	2,684,071

Schedule of Interest Rate Payment Terms For Investments

The following table details interest rate payment terms at December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	400,000	$	28,565
Variable-rate	131,925		140,955
Total non-MBS	$	531,925	$	169,520
Amortized cost of HTM MBS:
Fixed-rate	$	952,329	$	1,023,636
Variable-rate	1,081,881		1,470,148
Total MBS	$	2,034,210	$	2,493,784
Total HTM securities	$	2,566,135	$	2,663,304

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Other-Than-Temporary Impairment (Tables)

12 Months Ended

Dec. 31, 2016

Other than Temporary Impairment Losses, Investments [Abstract]

Schedule of Other Than Temporarily Impaired Charges of Securities

The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2016 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 amounts reflects the total AFS private label MBS balance.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost(1)		Fair Value
Private label residential MBS:
Prime	$	337,355	$	270,710	$	305,978
Alt-A	430,180		331,961		363,987
Subprime	1,739		1,028		1,158
Total OTTI securities	769,274		603,699		671,123
Private label MBS with no OTTI	3,160		3,160		2,853
Total AFS private label MBS	$	772,434	$	606,859	$	673,976

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 2016, 2015 and 2014.

(in thousands)	2016			2015			2014
Beginning balance	$	265,379		$	290,935		$	314,224
Additions:
Credit losses for which OTTI was not previously recognized	—			1,794			—
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	239			55			—
Reductions:
Securities sold and matured during the period (2)	(3,875		)	—			292
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(25,282		)	(27,405		)	(23,581		)
Ending balance	$	236,461		$	265,379		$	290,935

Notes:

⁽¹⁾ For 2016, 2015 and 2014, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016, 2015 and 2014, respectively.

⁽²⁾ 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 (Tables)

12 Months Ended

Dec. 31, 2016

Advances [Abstract]

Advances Tables

The following table summarizes advances by the earlier of (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of December 31, 2016 and December 31, 2015 .

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	December 31, 2016		December 31, 2015		December 31, 2016		December 31, 2015
Due in 1 year or less	$	40,221,864	$	34,692,256	$	38,791,364	$	33,771,756
Due after 1 year through 2 years	12,700,133		18,939,266		14,116,133		18,629,266
Due after 2 years through 3 years	7,462,536		11,661,338		7,472,036		12,877,338
Due after 3 years through 4 years	8,463,404		6,245,864		8,488,404		6,255,364
Due after 4 years through 5 years	7,161,763		1,775,994		7,161,763		1,800,994
Thereafter	825,608		1,018,555		805,608		998,555
Total par value	$	76,835,308	$	74,333,273	$	76,835,308	$	74,333,273

The following table details the Bank’s advances portfolio by year of contractual maturity as of December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016					December 31, 2015
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	38,571,864		0.91	%	$	33,192,256		0.70	%
Due after 1 year through 2 years	14,310,133			1.14		18,989,266			0.99
Due after 2 years through 3 years	7,477,536			1.29		13,071,338			0.96
Due after 3 years through 4 years	8,488,404			1.22		6,260,864			0.93
Due after 4 years through 5 years	7,161,763			1.23		1,800,994			1.68
Thereafter	825,608			2.64		1,018,555			2.66
Total par value	76,835,308			1.07	%	74,333,273			0.89	%
Discount on AHP advances	(2		)			(21		)
Deferred prepayment fees	(4,625		)			(4,749		)
Hedging adjustments	(21,977		)			176,273
Total book value	$	76,808,704				$	74,504,776

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Fixed-rate – overnight	$	4,696,431	$	4,681,918
Fixed-rate – term:
Due in 1 year or less	16,177,369		13,532,806
Thereafter	9,815,844		13,121,108
Total fixed-rate	30,689,644		31,335,832
Variable-rate:
Due in 1 year or less	17,698,064		14,977,532
Thereafter	28,447,600		28,019,909
Total variable-rate	46,145,664		42,997,441
Total par value	$	76,835,308	$	74,333,273

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Mortgage Loans Held for Portfolio (Tables)

12 Months Ended

Dec. 31, 2016

Mortgage Loans on Real Estate [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of December 31, 2016 and December 31, 2015 for mortgage loans held for portfolio.

(in thousands)	December 31, 2016			December 31, 2015
Fixed-rate long-term single-family mortgages(1)	$	3,013,181		$	2,660,615
Fixed-rate medium-term single-family mortgages(1)	299,900			352,082
Total par value	3,313,081			3,012,697
Premiums	59,032			50,857
Discounts	(3,926		)	(3,899		)
Hedging adjustments	28,771			32,865
Total mortgage loans held for portfolio	$	3,396,958		$	3,092,520

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 December 31, 2016 and December 31, 2015.

(in thousands)	December 31, 2016		December 31, 2015
Conventional loans	$	3,088,810	$	2,763,930
Government-guaranteed/insured loans	224,271		248,767
Total par value	$	3,313,081	$	3,012,697

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Allowance for Credit Losses (Tables)

12 Months Ended

Dec. 31, 2016

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)	December 31, 2016
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	45,687		$	14,293		$	—		$	59,980
Past due 60-89 days	9,194			3,371			50			12,615
Past due 90 days or more	21,386			4,179			204			25,769
Total past due loans	$	76,267		$	21,843		$	254		$	98,364
Total current loans	3,105,102			210,624			14,287			3,330,013
Total loans	$	3,181,369		$	232,467		$	14,541		$	3,428,377
Other delinquency statistics:
In process of foreclosures, included above (2)	$	11,464		$	1,077		$	—		$	12,541
Serious delinquency rate (3)	0.7		%	1.8		%	1.4		%	0.8		%
Past due 90 days or more still accruing interest	$	—		$	4,179		$	—		$	4,179
Loans on nonaccrual status	$	24,092		$	—		$	253		$	24,345

(in thousands)	December 31, 2015
Recorded investment:(1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	42,746		$	14,997		$	86		$	57,829
Past due 60-89 days	11,752			4,260			78			16,090
Past due 90 days or more	25,169			4,382			156			29,707
Total past due loans	$	79,667		$	23,639		$	320		$	103,626
Total current loans	2,770,612			234,376			13,090			3,018,078
Total loans	$	2,850,279		$	258,015		$	13,410		$	3,121,704
Other delinquency statistics:
In process of foreclosures, included above (2)	$	15,353		$	1,356		$	—		$	16,709
Serious delinquency rate (3)	0.9		%	1.7		%	1.2		%	1.0		%
Past due 90 days or more still accruing interest	$	—		$	4,382		$	—		$	4,382
Loans on nonaccrual status	$	29,075		$	—		$	383		$	29,458

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.

Individually Evaluated Impaired Loan Statistic By Product Level

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.

	December 31, 2016
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,687	$	34,344	$	—
With a related allowance:
Conventional MPF loans	$	23,835	$	23,577	$	5,105
Total:
Conventional MPF loans	$	58,522	$	57,921	$	5,105

	December 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	33,737	$	33,428	$	—
With a related allowance:
Conventional MPF loans	$	27,025	$	26,774	$	5,018
Total:
Conventional MPF loans	$	60,762	$	60,202	$	5,018

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.

	Year ended December 31, 2016				Year ended December 31, 2015				Year ended December 31, 2014
(in thousands)	Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized		Average Recorded Investment (1)		Interest Income Recognized
Conventional MPF loans	$	60,147	$	2,340	$	63,683	$	1,966	$	74,956	$	1,388

Conventional MPF Loans [Member]

Financing Receivable, Allowance for Credit Losses [Line Items]

Rollforward of Allowance for Credit Losses on Mortgage Loans

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

(in thousands)	2016			2015			2014
Balance, beginning of period	$	5,665		$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(195		)	(815		)	299
Provision (benefit) for credit losses	761			(780		)	(4,398		)
Balance, December 31	$	6,231		$	5,665		$	7,260

Allowance for Credit Losses and Recorded Investment By Impairment Methodology

(in thousands)	2016		2015		2014
Ending balance, individually evaluated for impairment	$	5,105	$	5,018	$	6,034
Ending balance, collectively evaluated for impairment	1,126		647		1,226
Total allowance for credit losses	$	6,231	$	5,665	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	58,522	$	60,762	$	68,144
Collectively evaluated for impairment	3,122,847		2,789,517		2,789,826
Total recorded investment	$	3,181,369	$	2,850,279	$	2,857,970

BOB Loans [Member]

Financing Receivable, Allowance for Credit Losses [Line Items]

Rollforward of Allowance for Credit Losses on Mortgage Loans

Rollforward of Allowance for Credit Losses. BOB Loans.

(in thousands)	2016			2015			2014
Balance, beginning of period	$	2,052		$	1,840		$	2,231
(Charge-offs) Recoveries, net	(221		)	(429		)	(610		)
Provision for credit losses	346			641			219
Balance, December 31	$	2,177		$	2,052		$	1,840

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Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Instruments

The following tables summarize the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2016 and December 31, 2015. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	December 31, 2016
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	29,133,421	$	71,335		$	142,648
Derivatives not designated as hedging instruments:
Interest rate swaps	$	9,370,245	$	21,429		$	58,158
Interest rate caps	1,255,000		4,686			—
Mortgage delivery commitments	15,450		26			98
Total derivatives not designated as hedging instruments:	$	10,640,695	$	26,141		$	58,256
Total derivatives before netting and collateral adjustments	$	39,774,116	$	97,476		$	200,904
Netting adjustments and cash collateral(1)			(15,585		)	(186,894		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	81,891		$	14,010

	December 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	30,416,262	$	49,104		$	269,354
Derivatives not designated as hedging instruments:
Interest rate swaps	$	13,363,652	$	18,426		$	62,384
Interest rate swaptions	25,000		—			—
Interest rate caps	755,000		2,695			—
Mortgage delivery commitments	9,950		253			—
Total derivatives not designated as hedging instruments	$	14,153,602	$	21,374		$	62,384
Total derivatives before netting and collateral adjustments	$	44,569,864	$	70,478		$	331,738
Netting adjustments and cash collateral(1)			(4,623		)	(289,230		)
Derivative assets and derivative liabilities as reported on the Statement of Condition			$	65,855		$	42,508

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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

Net Gains (Losses) on Derivatives and Hedging Activities

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

	Year ended December 31,
(in thousands)	2016			2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps (1)	$	3,307		$	4,769		$	4,287
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(17,908	)	$	(21,514	)	$	(73,836	)
Interest rate swaptions	—			56			1,410
Interest rate caps	(1,183		)	(1,988		)	(4,496		)
Net interest settlements	864			10,959			26,369
Mortgage delivery commitments	1,098			11,074			8,739
Other	21			24			27
Total net gains (losses) related to derivatives not designated   as hedging instruments	$	(17,108	)	$	(1,389	)	$	(41,787	)
Net gains (losses) on derivatives and hedging activities	$	(13,801	)	$	3,380		$	(37,500	)

Note:

⁽¹⁾Pertains to totalnet gains for fair value hedge ineffectiveness.

Effect of Fair Value Hedged-Related Derivative Instruments

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 2016, 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)
2016
Hedged item type:
Advances	$	196,099		$	(193,558	)	$	2,541	$	(100,091	)
Consolidated obligations – bonds	(83,647		)	84,094			447		68,153
AFS securities	20,449			(20,130		)	319		(23,150		)
Total	$	132,901		$	(129,594	)	$	3,307	$	(55,088	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income(1)
2015
Hedged item type:
Advances	$	110,659		$	(109,811	)	$	848	$	(198,536	)
Consolidated obligations – bonds	28,735			(25,822		)	2,913		218,194
AFS securities	(7,075		)	8,083			1,008		(19,032		)
Total	$	132,319		$	(127,550	)	$	4,769	$	626

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income(1)
2014
Hedged item type:
Advances	$	249,742		$	(245,817	)	$	3,925		$	(225,722	)
Consolidated obligations – bonds	74,726			(72,766		)	1,960			233,774
AFS securities	(32,530		)	30,932			(1,598		)	(11,442		)
Total	$	291,938		$	(287,651	)	$	4,287		$	(3,390	)

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 $(5.1) million, $0.8 million and $13.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2016, 2015 and 2014.

Offsetting Assets

When it has met the netting requirements, 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. 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)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,778		$	39,068
Cleared derivatives	83,672			31,157
Total gross recognized amount	97,450			70,225
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(10,792		)	(37,981		)
Cleared derivatives	(4,793		)	33,358
Total gross amounts of netting adjustments and cash collateral	(15,585		)	(4,623		)
Net amounts after netting adjustments:
Uncleared derivatives	2,986			1,087
Cleared derivatives	78,879			64,515
Total net amounts after netting adjustments	81,865			65,602
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	26			253
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	26			253
Total derivative assets:
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total derivative assets as reported in the Statement of Condition	81,891			65,855
Net unsecured amount
Uncleared derivatives	3,012			1,340
Cleared derivatives	78,879			64,515
Total net unsecured amount	$	81,891		$	65,855

Offsetting Liabilities

	Derivative Liabilities
(in thousands)	December 31, 2016			December 31, 2015
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	67,047		$	132,910
Cleared derivatives	133,759			198,828
Total gross recognized amount	200,806			331,738
Gross amounts of netting adjustments and cash collateral:
Uncleared derivatives	(53,135		)	(90,402		)
Cleared derivatives	(133,759		)	(198,828		)
Total gross amounts of netting adjustments and cash collateral	(186,894		)	(289,230		)
Net amounts after netting adjustments:
Uncleared derivatives	13,912			42,508
Cleared derivatives	—			—
Total net amounts after netting adjustments	13,912			42,508
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	98			—
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	98			—
Total derivative liabilities:
Uncleared derivatives	14,010			42,508
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	14,010			42,508
Net unsecured amount
Uncleared derivatives	14,010			42,508
Total net unsecured amount	$	14,010		$	42,508

Note:

⁽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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Premises, Software and Equipment (Tables)

12 Months Ended

Dec. 31, 2016

Property, Plant and Equipment [Abstract]

Schedule of premises, software and equipment

Premises, Software and Equipment

	December 31,
(in thousands)	2016		2015
Computer hardware and software	$	56,414	$	54,593
Furniture	915		915
Leasehold improvements	2,517		2,478
Equipment and other	982		980
Total premises, software and equipment, gross	60,828		58,966
Less: Accumulated depreciation and amortization	51,066		48,279
Total premises, software and equipment, net	$	9,762	$	10,687

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Deposits (Tables)

12 Months Ended

Dec. 31, 2016

Deposits [Abstract]

Schedule of Deposits

The following table details interest-bearing and noninterest-bearing deposits as ofDecember 31,2016and2015.

	December 31,
(in thousands)	2016		2015
Interest-bearing:
Demand and overnight	$	505,430	$	635,468
Noninterest-bearing:
Demand and overnight	53,461		50,469
Total deposits	$	558,891	$	685,937

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Consolidated Obligations (Tables)

12 Months Ended

Dec. 31, 2016

Schedule of Short-term and Long-term Debt [Line Items]

Schedule of Consolidated Bonds Interest Rate Payment Type

The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016			2015
Par value of consolidated bonds:
Fixed-rate	$	30,020,671		$	31,945,658
Step-up	1,620,000			1,860,000
Floating-rate	35,155,000			14,650,000
Conversion bonds - fixed to floating	400,000			60,000
Total par value	67,195,671			48,515,658
Bond premiums	68,812			107,339
Bond discounts	(7,732		)	(9,629		)
Concession fees	(6,706		)	(5,229		)
Hedging adjustments	(94,014		)	(7,386		)
Total book value	$	67,156,031		$	48,600,753

Schedule of Consolidated Bonds by Contractual Maturity

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2016 and December 31, 2015.

	December 31, 2016				December 31, 2015
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	45,660,600	0.77	%	$	26,814,155	0.68	%
Due after 1 year through 2 years	8,767,580		1.16		8,753,810		1.21
Due after 2 years through 3 years	4,575,505		1.36		4,998,335		1.46
Due after 3 years through 4 years	2,225,710		1.74		2,017,720		1.84
Due after 4 years through 5 years	1,884,400		2.05		2,040,940		1.91
Thereafter	3,958,850		2.26		3,733,950		2.66
Index amortizing notes	123,026		4.74		156,748		4.73
Total par value	$	67,195,671	1.02	%	$	48,515,658	1.12	%

Schedule of Consolidated Bonds by Call Features

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2016 and December 31, 2015 .

	December 31,
(in thousands)	2016		2015
Noncallable	$	61,585,171	$	41,462,658
Callable	5,610,500		7,053,000
Total par value	$	67,195,671	$	48,515,658

Schedule of Consolidated Bonds by Contractual Maturity or Next Call Date

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2016 and December 31, 2015.

(in thousands)	December 31,
Year of Contractual Maturity or Next Call Date	2016		2015
Due in 1 year or less	$	50,586,100	$	33,517,155
Due after 1 year through 2 years	8,482,580		7,778,810
Due after 2 years through 3 years	4,375,505		3,672,335
Due after 3 years through 4 years	1,649,210		1,202,720
Due after 4 years through 5 years	849,400		810,940
Thereafter	1,129,850		1,376,950
Index amortizing notes	123,026		156,748
Total par value	$	67,195,671	$	48,515,658

Schedule of Consolidated Discount Notes Outstanding

The following table details the Bank’s consolidated obligation discount notes as of December 31, 2016 and December 31, 2015.

	December 31,
(dollars in thousands)	2016			2015
Book value	$	28,500,341		$	42,275,544
Par value	28,529,619			42,318,509
Weighted average interest rate (1)	0.51		%	0.32		%

Note:

⁽¹⁾ Represents an implied rate.

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Affordable Housing Program (AHP) (Tables)

12 Months Ended

Dec. 31, 2016

Affordable Housing Program [Abstract]

Analysis of AHP Liability

The following table presents an analysis of the AHP payable for 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the year	$	70,907		$	55,997		$	36,353
Assessments	28,924			28,519			28,437
Subsidy usage, net	(23,119		)	(13,609		)	(8,793		)
Balance, end of the year	$	76,712		$	70,907		$	55,997

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Capital (Tables)

12 Months Ended

Dec. 31, 2016

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

he following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2016 and 2015.

	December 31, 2016						December 31, 2015
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	907,515		$	4,746,834		$	820,621		$	4,426,971
Total capital-to-asset ratio	4.0		%	4.7		%	4.0		%	4.6		%
Total regulatory capital	4,050,403			4,746,834			3,853,451			4,426,971
Leverage ratio	5.0		%	7.0		%	5.0		%	6.9		%
Leverage capital	5,063,004			7,120,252			4,816,814			6,640,456

Schedule of Concentration in Capital Stock Held

he following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of December 31, 2016 and December 31, 2015.

(dollars in thousands)	December 31, 2016
Member(1)	Capital Stock		% of Total
Chase Bank USA, N.A., Wilmington, DE	$	873,834	23.2	%
PNC Bank, N.A., Pittsburgh, PA	859,402		22.9
Ally Bank, Midvale, UT	577,404		15.4

(dollars in thousands)	December 31, 2015
Member(1)	Capital Stock		% of Total
PNC Bank, N.A., Pittsburgh, PA	$	881,552	24.9	%
Santander Bank, N.A., Wilmington, DE	600,872		17.0
Chase Bank USA, N.A., Wilmington, DE	424,502		12.0
Ally Bank, Midvale, UT	391,287		11.0

Note:

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

Schedule of Mandatorily Redeemable Capital Stock

he following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2016, 2015, and 2014.

(in thousands)	2016			2015			2014
Balance, beginning of the period	$	6,053		$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital	56,110			36,629			8,422
Redemption/repurchase of mandatorily redeemable stock	(56,947		)	(31,162		)	(7,876		)
Balance, end of the period	$	5,216		$	6,053		$	586

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

he following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2016 and December 31, 2015.

	December 31,
(in thousands)	2016		2015
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	419		—
Due after 3 years through 4 years	4,797		546
Due after 4 years through 5 years	—		5,507
Total	$	5,216	$	6,053

Schedule of Dividends Paid

hese dividends were based on stockholders' average balances for the previous quarter.

	Dividend - Annual Yield
	2016		2015		2014
	Membership	Activity	Membership	Activity
February	3.0%	5.0%	(1)	(1)	2.5%
April	2.0%	5.0%	3.0%	5.0%	4.0%
July	2.0%	5.0%	3.0%	5.0%	4.0%
October	2.0%	5.0%	3.0%	5.0%	4.0%

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for 2016, 2015 and 2014.

(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	64,941			13,896			—			—			—			78,837
Net change in fair value of OTTI securities	—			2,913			—			—			—			2,913
Amortization on hedging activities	—			—			—			(15		)	—			(15		)
Pension and post-retirement	—			—			—			—			(1,642		)	(1,642		)
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
December 31, 2014	$	32,460		$	94,451		$	—		$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(23,712		)	(21,510		)	—			—			—			(45,222		)
Non-credit component of OTTI losses	—			—			(1,665		)	—			—			(1,665		)
Non-credit OTTI losses transferred	—			(1,665		)	1,665			—			—			—
Net change in fair value of OTTI securities	—			1,185			—			—			—			1,185
Reclassifications from OCI to net income:
Non-credit OTTI to credit OTTI	—			509			—			—			—			509
Amortization on hedging activities	—			—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			—			1,468			1,468
December 31, 2015	$	8,748		$	72,970		$	—		$	247		$	(1,282	)	$	80,683

December 31, 2015	$	8,748		$	72,970		$	—	$	247		$	(1,282	)	$	80,683
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(10,292		)	(4,788		)	—		—			—			(15,080		)
Net change in fair value of OTTI securities	—			303			—		—			—			303
Reclassifications from OCI to net income:
Reclassification adjustment for net (gains) losses   included in net income	(11,291		)	(1,300		)	—		—			—			(12,591		)
Non-credit OTTI to credit OTTI	—			239			—		—			—			239
Amortization on hedging activities	—			—			—		(24		)	—			(24		)
Pension and post-retirement	—			—			—		—			(1,234		)	(1,234		)
December 31, 2016	$	(12,835	)	$	67,424		$	—	$	223		$	(2,516	)	$	52,296

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Employee Retirement Plans (Tables)

12 Months Ended

Dec. 31, 2016

Compensation and Retirement Disclosure [Abstract]

Pentegra DB Plan Net Pension Cost and Funded Status

(dollars in thousands)	2016				2015				2014
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,396			$	4,687			$	7,247
Defined Benefit Plan funded status as of July 1	104.1		%	(a)	107.0		%	(b)	111.4		%
Bank’s funded status as of July 1	129.6		%		126.7		%		128.6		%

^(a) The Defined Benefit Plan’s funded status as of July 1, 2016 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2016 through March 15, 2017. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2018).

^(b) The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results.

Schedule of Amounts Recognized in Balance Sheet

the following table sets forth their benefit obligations recorded in “Other liabilities” and amounts recognized in AOCI. In addition, the Bank recognized $1.3 million, $1.2 million, and $953 thousand in “Compensation and benefits” expense related to these two plans at December 31, 2016, 2015 and 2014, respectively.

	SERP						Post-retirement Health Benefit Plan				Total
(in thousands)	2016			2015			2016		2015		2016			2015
Benefit obligations	$	8,992		$	6,673		$	1,884	$	1,876	$	10,876		$	8,549
Unrealized actuarial gains (losses) in AOCI	$	(3,039	)	$	(1,799	)	$	523	$	517	$	(2,516	)	$	(1,282	)

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Transactions with Related Parties (Tables)

12 Months Ended

Dec. 31, 2016

Related Party Transaction [Line Items]

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member balances.

	December 31,
(in thousands)	2016		2015
Investments	$	242,835	$	176,345
Advances	60,916,692		54,610,238
Letters of credit (1)	6,236,508		8,245,423
MPF loans	880,877		1,052,569
Deposits	16,510		24,636
Capital stock	2,707,466		2,366,721

Note:

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

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 interest expense on deposits were immaterial for the periods presented.

	Year ended December 31,
(in thousands)	2016		2015		2014
Interest income on investments	$	3,512	$	1,505	$	938
Interest income on advances (1)	383,958		200,743		138,121
Interest income on MPF loans	52,185		64,002		80,674
Letters of credit fees	8,574		10,796		8,481
Prepayment fees on advances	8,370		—		13,787

Note:

⁽¹⁾ For 2016, 2015 and 2014, respectively, includes contractual interest income of $433.5 million, $341.5 million, and $319.5 million; net interest settlements on derivatives in fair value hedge relationships of $(52.1) million, $(139.8) million, and $(177.8) million; and total amortization of basis adjustments of $2.5 million, $(0.9) million, and $(3.6) million.

Schedule of Related Party Transactions, Mortgage Loans

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

(in thousands)	2016		2015		2014
Total MPF loan volume purchased	$	20,951	$	8,756	$	13,049

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.

	Year ended December 31,
(in thousands)	2016		2015		2014
Servicing fee expense	$	1,398	$	1,147	$	994

	December 31,
(in thousands)	2016		2015
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,909	$	6,075

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Estimated Fair Values (Tables)

12 Months Ended

Dec. 31, 2016

Fair Value Disclosures [Abstract]

Fair Value Summary

The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2016 and 2015 are presented in the table below.

Fair Value Summary Table
	December 31, 2016
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,587,605	$	3,587,605	$	—	$	—	$	—		$	3,587,605
Interest-bearing deposits	5,909		—		5,909		—		—			5,909
Federal funds sold	3,222,000		—		3,221,945		—		—			3,221,945
Securities purchased under agreement to resell	2,000,000		—		1,999,962		—		—			1,999,962
Trading securities	395,247		7,092		388,155		—		—			395,247
AFS securities	9,038,081		2,000		8,362,105		673,976		—			9,038,081
HTM securities	2,566,135		—		2,182,254		394,728		—			2,576,982
Advances	76,808,704		—		76,843,531		—		—			76,843,531
Mortgage loans held for portfolio, net	3,390,727		—		3,403,217		—		—			3,403,217
BOB loans, net	12,276		—		—		12,276		—			12,276
Accrued interest receivable	124,247		—		124,247		—		—			124,247
Derivative assets	81,891		—		97,476		—		(15,585		)	81,891
Liabilities:
Deposits	$	558,891	$	—	558,895		$	—	$	—		$	558,895
Discount notes	28,500,341		—		28,499,258		—		—			28,499,258
Bonds	67,156,031		—		67,163,445		—		—			67,163,445
Mandatorily redeemable capital stock (1)	5,216		5,286		—		—		—			5,286
Accrued interest payable (1)	117,183		—		117,113		—		—			117,113
Derivative liabilities	14,010		—		200,904		—		(186,894		)	14,010

	December 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,376,964	$	2,376,964	$	—	$	—	$	—		$	2,376,964
Interest-bearing deposits	6,075		—		6,075		—		—			6,075
Federal funds sold	3,980,000		—		3,979,884		—		—			3,979,884
Securities purchased under agreement to resell	1,000,000		—		999,984		—		—			999,984
Trading securities	394,737		5,442		389,295		—		—			394,737
AFS securities	8,099,894		1,998		7,265,988		831,908		—			8,099,894
HTM securities	2,663,304		—		2,171,206		512,865		—			2,684,071
Advances	74,504,776		—		74,434,577		—		—			74,434,577
Mortgage loans held for portfolio, net	3,086,855		—		3,219,846		—		—			3,219,846
BOB loans, net	11,276		—		—		11,276		—			11,276
Accrued interest receivable	107,345		—		107,345		—		—			107,345
Derivative assets	65,855		—		70,478		—		(4,623		)	65,855
Liabilities:
Deposits	$	685,937	$	—	$	685,951	$	—	$	—		$	685,951
Discount notes	42,276,815		—		42,269,700		—		—			42,269,700
Bonds	48,605,982		—		48,660,776		—		—			48,660,776
Mandatorily redeemable capital stock (1)	6,053		6,130		—		—		—			6,130
Accrued interest payable (1)	92,765		—		92,688		—		—			92,688
Derivative liabilities	42,508		—		331,738		—		(289,230		)	42,508

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 Measurements

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2016 and 2015. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	December 31, 2016
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	388,155	$	—	$	—		$	388,155
Mutual funds	7,092		—		—		—			7,092
Total trading securities	$	7,092	$	388,155	$	—	$	—		$	395,247
AFS securities:
Non-MBS:
GSE and TVA obligations	$	—	$	3,183,193	$	—	$	—		$	3,183,193
State or local agency obligations	—		236,412		—		—			236,412
Mutual funds	2,000		—		—		—			2,000
MBS:
Other U.S. obligations single family MBS	—		216,434		—		—			216,434
GSE single-family MBS	—		3,213,162		—		—			3,213,162
GSE multifamily MBS	—		1,512,904		—		—			1,512,904
Private label residential MBS	—		—		673,976		—			673,976
Total AFS securities	$	2,000	$	8,362,105	$	673,976	$	—		$	9,038,081
Derivative assets:
Interest rate related	$	—	$	97,450	$	—	$	(15,585	)	$	81,865
Mortgage delivery commitments	—		26		—		—			26
Total derivative assets	$	—	$	97,476	$	—	$	(15,585	)	$	81,891
Total recurring assets at fair value	$	9,092	$	8,847,736	$	673,976	$	(15,585	)	$	9,515,219
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	200,806	$	—	$	(186,894	)	$	13,912
Mortgage delivery commitments	—		98		—		—			98
Total recurring liabilities at fair value (2)	$	—	$	200,904	$	—	$	(186,894	)	$	14,010
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	13,359	$	—		$	13,359
Real estate owned (3)	—		—		6,475		—			6,475
Total non-recurring assets at fair value	$	—	$	—	$	19,834	$	—		$	19,834

	December 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Recurring fair value measurements - Assets:
Trading securities:
Non MBS:
GSE and TVA obligations	$	—	$	389,295	$	—	$	—		$	389,295
Mutual funds	5,442		—		—		—			5,442
Total trading securities	$	5,442	$	389,295	$	—	$	—		$	394,737
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	3,469,205	$	—	$	—		$	3,469,205
State or local agency obligations	—		134,120		—		—			134,120
Mutual funds	1,998		—		—		—			1,998
MBS:
Other U.S. obligations single family MBS	—		268,536		—		—			268,536
GSE single family MBS	—		2,383,630		—		—			2,383,630
GSE multifamily MBS	—		1,010,497		—		—			1,010,497
Private label MBS:
Private label residential MBS	—		—		822,740		—			822,740
HELOCs	—		—		9,168		—			9,168
Total AFS securities	$	1,998	$	7,265,988	$	831,908	$	—		$	8,099,894
Derivative assets:
Interest rate related	$	—	$	70,225	$	—	$	(4,623	)	$	65,602
Mortgage delivery commitments	—		253		—		—			253
Total derivative assets	$	—	$	70,478	$	—	$	(4,623	)	$	65,855
Total recurring assets at fair value	$	7,440	$	7,725,761	$	831,908	$	(4,623	)	$	8,560,486
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Total recurring liabilities at fair value (2)	$	—	$	331,738	$	—	$	(289,230	)	$	42,508
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio (3)	$	—	$	—	$	32,294	$	—		$	32,294
Real estate owned (3)	—		—		8,175		—			8,175
Total non-recurring assets at fair value	$	—	$	—	$	40,469	$	—		$	40,469

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.

⁽³⁾ The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation

Reconciliation of Level 3 Assets and Liabilities

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 years ended December 31, 2016, 2015 and 2014. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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 2016 or 2014. During 2015, the Bank transferred three private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded.

	AFS Private Label MBS-Residential Year Ended December 31, 2016			AFS Private Label MBS- HELOCs Year Ended December 31, 2016
Balance, beginning of period	$	822,740		$	9,168
Total gains (losses) (realized/unrealized) included in:
Sale of AFS	(117		)	1,417
Accretion of credit losses in interest income	18,566			203
Net OTTI losses, credit portion	(239		)	—
Net unrealized gains on AFS in OCI	29			—
Reclassification of non-credit portion included in net income	356			(1,417		)
Net change in fair value on OTTI AFS in OCI	303			—
Unrealized (losses) on OTTI AFS in OCI	(4,609		)	(179		)
Purchases, issuances, sales, and settlements:
Sales	(8,609		)	(8,510		)
Settlements	(154,444		)	(682		)
Balance at December 31	$	673,976		$	—
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2016	$	18,327		$	—

	AFS Private Label MBS-Residential Year Ended December 31, 2015			AFS Private Label MBS-HELOCs Year Ended December 31, 2015
Balance, beginning of period	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	18,479			1,382
Net OTTI losses, credit portion	(894		)	—
Net unrealized (losses) on AFS in OCI	(46		)	—
Reclassification of non-credit portion included in net income	509			—
Net change in fair value on OTTI AFS in OCI	1,185			—
Unrealized (losses) on OTTI AFS in OCI	(20,651		)	(859		)
Purchases, issuances, sales, and settlements:
Settlements	(157,211		)	(3,054		)
Transfer of OTTI securities from HTM to AFS	10,286			—
Balance at December 31	$	822,740		$	9,168
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2015	$	17,585		$	1,382

	AFS Private Label MBS-Residential Year Ended December 31, 2014			AFS Private Label MBS-HELOCs Year Ended December 31, 2014
Balance, beginning of period	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	12,864			1,415
Net unrealized (losses) on AFS in OCI	(127		)	—
Net change in fair value on OTTI AFS in OCI	2,804			109
Unrealized gains on OTTI AFS in OCI	14,298			(402		)
Purchases, issuances, sales, and settlements:
Settlements	(182,380		)	(3,851		)
Balance at December 31	$	971,083		$	11,699
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2014	$	12,864		$	1,415

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Commitments and Contingencies (Tables)

12 Months Ended

Dec. 31, 2016

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)	December 31, 2016						December 31, 2015
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	19,736,792	$	—	$	19,736,792	$	20,171,604
Commitments to fund additional advances and BOB loans	158,167		—		158,167		480,634
Commitments to fund or purchase mortgage loans	15,450		—		15,450		9,950
Unsettled consolidated obligation bonds, at par	2,015,000		—		2,015,000		261,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $467.0 million and $136.4 million at December 31, 2016 and 2015, respectively.

⁽²⁾ Letters of credit in the amount of $7.0 billion and $5.5 billion at December 31, 2016 and 2015, respectively, 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 approximately 5 years.

Schedule of Future Minimum Rental Payments for Operating Leases

The table below presents the future minimum rentals for operating leases as of December 31, 2016.

	December 31, 2016
(in thousands)	Premises and Equipment
2017	$	2,014
2018	1,903
2019	1,878
2020	1,911
2021	1,928
Thereafter	6,624
Total	$	16,258

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Background Information (Details)	Dec. 31, 2016 Banks
Nature of Operations [Line Items]
Number of FHLBanks	11
Minimum [Member]
Nature of Operations [Line Items]
Related Party Transaction, Definition, Capital Stock, Percent	10.00%

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Cash and Due from Banks (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Cash and Cash Equivalents [Line Items]
Average Collected Cash Balances	$ 296.0	$ 298.8
Pass-through Reserve	$ 33.1	$ 22.4

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Trading Securities (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 395,247	$ 394,737
Deferred Compensation Liabilities	7,200	5,600
Mutual Funds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	7,092	5,442
GSE securities and Tennessee Valley Authority (TVA) obligations [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 388,155	$ 389,295

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Trading Securities [Abstract]
Net gains (losses) on trading securities held at period end	$ (583)	$ 1,598	$ 22,322
Net realized gains (losses) on securities sold/matured during the year	0	0	86
Net gains (losses) on trading securities	$ (583)	$ 1,598	$ 22,408

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Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($)		Dec. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 8,983,492,000	$ 8,018,176,000
OTTI Recognized in AOCI(2)	[2]	(11,000)	(889,000)
Gross Unrealized Gain		91,892,000	107,331,000
Gross Unrealized Losses		(37,292,000)	(24,724,000)
Fair Value		9,038,081,000	8,099,894,000
Total Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	3,432,785,000	3,603,696,000
OTTI Recognized in AOCI(2)	[2]	0	0
Gross Unrealized Gain		12,768,000	17,392,000
Gross Unrealized Losses		(23,948,000)	(15,765,000)
Fair Value		3,421,605,000	3,605,323,000
Mutual Funds [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	2,000,000	1,993,000
OTTI Recognized in AOCI(2)	[2]	0	0
Gross Unrealized Gain		0	5,000
Gross Unrealized Losses		0	0
Fair Value		2,000,000	1,998,000
GSE and TVA obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	3,181,110,000	3,468,665,000
OTTI Recognized in AOCI(2)	[2]	0	0
Gross Unrealized Gain		11,889,000	15,332,000
Gross Unrealized Losses		(9,806,000)	(14,792,000)
Fair Value		3,183,193,000	3,469,205,000
State or local agency obligations
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	249,675,000	133,038,000
OTTI Recognized in AOCI(2)	[2]	0	0
Gross Unrealized Gain		879,000	2,055,000
Gross Unrealized Losses		(14,142,000)	(973,000)
Fair Value		236,412,000	134,120,000
Total MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	5,550,707,000	4,414,480,000
OTTI Recognized in AOCI(2)	[2]	(11,000)	(889,000)
Gross Unrealized Gain		79,124,000	89,939,000
Gross Unrealized Losses		(13,344,000)	(8,959,000)
Fair Value		5,616,476,000	4,494,571,000
Other US Obligations single family MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	217,577,000	268,105,000
OTTI Recognized in AOCI(2)	[2]	0	0
Gross Unrealized Gain		0	501,000
Gross Unrealized Losses		(1,143,000)	(70,000)
Fair Value		216,434,000	268,536,000
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]		759,275,000
OTTI Recognized in AOCI(2)	[2]		(889,000)
Gross Unrealized Gain			73,859,000
Gross Unrealized Losses			(337,000)
Fair Value			831,908,000
HELOCs
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]		7,572,000
OTTI Recognized in AOCI(2)			0
Gross Unrealized Gain			1,596,000
Gross Unrealized Losses			0
Fair Value			9,168,000
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	606,859,000	751,703,000
OTTI Recognized in AOCI(2)	[2]	(11,000)	(889,000)
Gross Unrealized Gain		67,435,000	72,263,000
Gross Unrealized Losses		(307,000)	(337,000)
Fair Value		673,976,000	822,740,000
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	3,218,268,000	2,378,589,000
OTTI Recognized in AOCI(2)		0	0	[2]
Gross Unrealized Gain		5,577,000	9,965,000
Gross Unrealized Losses		(10,683,000)	(4,924,000)
Fair Value		3,213,162,000	2,383,630,000
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	1,508,003,000	1,008,511,000
OTTI Recognized in AOCI(2)		0	0
Gross Unrealized Gain		6,112,000	5,614,000
Gross Unrealized Losses		(1,211,000)	(3,628,000)
Fair Value		$ 1,512,904,000	$ 1,010,497,000

[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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Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) - USD ($) $ in Thousands		Dec. 31, 2016		Dec. 31, 2015
Reconciliation Table of AFS AOCI [Line Items]
Non-credit portion of OTTI losses		$ (11)	[1]	$ (889)
Net unrealized gains on OTTI securities since their last OTTI credit charge		67,435		73,859
Net non-credit portion of OTTI gains on AFS securities in AOCI	[1]	11		889
Accumulated Other-than-Temporary Impairment Attributable to Parent [Member]
Reconciliation Table of AFS AOCI [Line Items]
Net non-credit portion of OTTI gains on AFS securities in AOCI		$ 67,424		$ 72,970

[1] Represents the non-credit portion of an OTTI recognized during the life of the security.

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Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands		Dec. 31, 2016		Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Fair Value		$ 4,568,858		$ 3,460,430
Unrealized Losses		(31,922)		(19,012)
Greater than 12 Months		673,270		324,006
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(5,381)		(6,601)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		5,242,128		3,784,436
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(37,303)		(25,613)
GSE and TVA obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		1,976,842		2,396,493
Unrealized Losses		(8,334)		(12,937)
Greater than 12 Months		155,292		184,772
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(1,472)		(1,855)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		2,132,134		2,581,265
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(9,806)		(14,792)
State or local agency [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		161,288		41,727
Unrealized Losses		(14,142)		(863)
Greater than 12 Months		0		3,890
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		0		(110)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		161,288		45,617
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(14,142)		(973)
Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		2,138,130		2,438,220
Unrealized Losses		(22,476)		(13,800)
Greater than 12 Months		155,292		188,662
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(1,472)		(1,965)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		2,293,422		2,626,882
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(23,948)		(15,765)
Other US Obligations single family MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		145,946		70,490
Unrealized Losses		(523)		(48)
Greater than 12 Months		70,487		11,984
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(620)		(22)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		216,433		82,474
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss		(1,143)	[1]	(70)
Total MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		2,430,728		1,022,210
Unrealized Losses		(9,446)		(5,212)
Greater than 12 Months		517,978		135,344
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(3,909)		(4,636)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		2,948,706		1,157,554
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(13,355)		(9,848)
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		47,364		65,080
Unrealized Losses		(11)		(775)
Greater than 12 Months		2,853		9,332
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(307)		(451)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		50,217		74,412
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(318)		(1,226)
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		1,775,502		465,658
Unrealized Losses		(7,920)		(761)
Greater than 12 Months		351,883		114,028
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(2,763)		(4,163)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		2,127,385		579,686
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	(10,683)		(4,924)
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Available-for-sale Securities [Line Items]
Fair Value		461,916		420,982
Unrealized Losses		(992)		(3,628)
Greater than 12 Months		92,755		0
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(219)		0
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value		554,671		420,982
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss	[1]	$ (1,211)		$ (3,628)

[1] Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5.

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Available-for-Sale (AFS) Securities (Securities Transferred) (Details) $ in Thousands	3 Months Ended		12 Months Ended
	Dec. 31, 2015 USD ($)	Jun. 30, 2015 USD ($)	Dec. 31, 2016 USD ($) loan	Dec. 31, 2015 USD ($) loan	Dec. 31, 2014 USD ($) loan
Schedule of Available-for-sale Securities [Line Items]
Fair Value			$ 0	$ 10,286	$ 0
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan			0	3	0
Amortized Cost	$ 7,556	$ 4,394		$ 11,950
OTTI Recognized in OCI	(638)	(1,026)		(1,664)
Fair Value	$ 6,918	$ 3,368		$ 10,286

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Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Amortized Cost:
Amortized Cost	[1]	$ 8,983,492	$ 8,018,176
Fair Value:
Fair Value		9,038,081	8,099,894
Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Due in one year or less, Amortized Cost		378,123	28,706
Due in one year or less		378,071	28,688
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis		1,408,405	1,925,398
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value		1,405,080	1,919,024
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis		644,126	812,550
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value		651,857	825,558
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis		1,002,131	837,042
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value		986,597	832,053
Amortized Cost:
Amortized Cost	[1]	3,432,785	3,603,696
Fair Value:
Fair Value		3,421,605	3,605,323
MBS [Member]
Amortized Cost:
Amortized Cost	[1]	5,550,707	4,414,480
Fair Value:
Fair Value		$ 5,616,476	$ 4,494,571

[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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Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	$ 8,983,492	$ 8,018,176
Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	3,432,785	3,603,696
MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	[1]	5,550,707	4,414,480
Fixed-rate | Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		3,347,980	3,518,980
Fixed-rate | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		1,343,699	1,593,414
Variable-rate | Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		84,805	84,716
Variable-rate | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		$ 4,207,008	$ 2,821,066

[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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Available-for-Sale (AFS) Securities (Realized Gains and Losses on Securities) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Proceeds from sale of AFS securities	$ 206,608	$ 0	$ 0
Gross gains on sale of AFS securities	12,923	0	0
Gross losses on sale of AFS securities	$ (332)	$ 0	$ 0

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Available-for-Sale (AFS) Securities (Narrative) (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2016 USD ($) loan	Dec. 31, 2015 USD ($) loan	Dec. 31, 2014 USD ($) loan	Dec. 31, 2013 USD ($)
Schedule of Available-for-sale Securities [Line Items]
Supplemental retirement obligation	$ 10,876	$ 8,549
Credit losses	236,461	265,379	$ 290,935	$ 314,224
MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Available For Sale Securities, Unamortized Discount (Premium), Net	$ 14,900	$ 9,700
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Number of securities transferred from HTM to AFS | loan	0	3	0
SERP [Member]
Schedule of Available-for-sale Securities [Line Items]
Supplemental retirement obligation	$ 8,992	$ 6,673
Available-for-sale Securities [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit losses	192,600	205,900
OTTI related Accretion Adjustment	$ 43,800	$ 31,500

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Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,566,135	$ 2,663,304
Gross Unrealized Holding Gains	27,698	42,069
Gross Unrealized Holding Losses	(16,851)	(21,302)
Fair Value	2,576,982	2,684,071
Certificates of Deposit [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	400,000
Gross Unrealized Holding Gains	61
Gross Unrealized Holding Losses	(2)
Fair Value	400,059
State or local agency [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	131,925	169,520
Gross Unrealized Holding Gains	0	118
Gross Unrealized Holding Losses	(10,519)	(14,484)
Fair Value	121,406	155,154
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	531,925	169,520
Gross Unrealized Holding Gains	61
Gross Unrealized Holding Losses	(10,521)
Fair Value	521,465	155,154
Other US Obligations single family MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	583,550	819,602
Gross Unrealized Holding Gains	3,320	5,651
Gross Unrealized Holding Losses	(138)	(5)
Fair Value	586,732	825,248
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,034,210	2,493,784
Gross Unrealized Holding Gains	27,637	41,951
Gross Unrealized Holding Losses	(6,330)	(6,818)
Fair Value	2,055,517	2,528,917
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	395,396	516,492
Gross Unrealized Holding Gains	1,932	1,717
Gross Unrealized Holding Losses	(2,600)	(5,344)
Fair Value	394,728	512,865
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	212,097	294,568
Gross Unrealized Holding Gains	3,097	4,459
Gross Unrealized Holding Losses	(23)	(75)
Fair Value	215,171	298,952
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	843,167	863,122
Gross Unrealized Holding Gains	19,288	30,124
Gross Unrealized Holding Losses	(3,569)	(1,394)
Fair Value	$ 858,886	$ 891,852

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Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Fair Value:
Less than 12 Months	$ 368,998	$ 273,891
Greater than 12 Months	378,765	372,679
Fair Value	747,763	646,570
Unrealized Losses:
Less than 12 Months	(3,923)	(2,117)
Greater than 12 Months	(12,928)	(19,185)
Unrealized Losses	(16,851)	(21,302)
Certificates of Deposit [Member]
Fair Value:
Less than 12 Months	124,998
Greater than 12 Months	0
Fair Value	124,998
Unrealized Losses:
Less than 12 Months	(2)
Greater than 12 Months	0
Unrealized Losses	(2)
State or local agency [Member]
Fair Value:
Less than 12 Months	13,612	20,154
Greater than 12 Months	107,794	110,737
Fair Value	121,406	130,891
Unrealized Losses:
Less than 12 Months	(128)	(1)
Greater than 12 Months	(10,391)	(14,483)
Unrealized Losses	(10,519)	(14,484)
Non-MBS [Member]
Fair Value:
Less than 12 Months	138,610
Greater than 12 Months	107,794
Fair Value	246,404
Unrealized Losses:
Less than 12 Months	(130)
Greater than 12 Months	(10,391)
Unrealized Losses	(10,521)
Other US Obligations single family MBS [Member]
Fair Value:
Less than 12 Months	53,513	10,237
Greater than 12 Months	41,253	0
Fair Value	94,766	10,237
Unrealized Losses:
Less than 12 Months	(109)	(5)
Greater than 12 Months	(29)	0
Unrealized Losses	(138)	(5)
MBS [Member]
Fair Value:
Less than 12 Months	230,388	253,737
Greater than 12 Months	270,971	261,942
Fair Value	501,359	515,679
Unrealized Losses:
Less than 12 Months	(3,793)	(2,116)
Greater than 12 Months	(2,537)	(4,702)
Unrealized Losses	(6,330)	(6,818)
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Fair Value:
Less than 12 Months	10,961	110,665
Greater than 12 Months	222,585	252,851
Fair Value	233,546	363,516
Unrealized Losses:
Less than 12 Months	(115)	(717)
Greater than 12 Months	(2,485)	(4,627)
Unrealized Losses	(2,600)	(5,344)
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	7,133	9,091
Fair Value	7,133	9,091
Unrealized Losses:
Less than 12 Months	0	0
Greater than 12 Months	(23)	(75)
Unrealized Losses	(23)	(75)
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	165,914	132,835
Greater than 12 Months	0	0
Fair Value	165,914	132,835
Unrealized Losses:
Less than 12 Months	(3,569)	(1,394)
Greater than 12 Months	0	0
Unrealized Losses	$ (3,569)	$ (1,394)

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Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,566,135	$ 2,663,304
HTM securities - fair value	2,576,982	2,684,071
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Due in one year or less	400,000	0
Due after one year through five years	0	0
Due after five years through ten years	47,850	57,490
Due after ten years	84,075	112,030
Amortized Cost	531,925	169,520
Due in one year or less	400,059	0
Due after one year through five years	0	0
Due after five years through ten years	45,605	55,797
Due after ten years	75,801	99,357
HTM securities - fair value	521,465	155,154
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,034,210	2,493,784
HTM securities - fair value	$ 2,055,517	$ 2,528,917

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Held-to-Maturity (HTM) Securities (Interest Rate Payment terms of HTM) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,566,135	$ 2,663,304
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	531,925	169,520
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,034,210	2,493,784
Fixed-rate | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	400,000	28,565
Fixed-rate | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	952,329	1,023,636
Variable-rate | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	131,925	140,955
Variable-rate | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 1,081,881	$ 1,470,148

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Other-Than-Temporary Impairment (Narrative) (Details)	Dec. 31, 2016
Other than Temporary Impairment, Disclosure [Line Items]
Projected Housing Price Change Rate In the next 12 months - Min	(3.00%)
Projected Housing price Change Rate in the next 12 months- Max	10.00%
Projected Housing Price Change Rate Vast Majority - Min	2.00%
Projected Housing Price Change Rate Vast Majority - Max	6.00%

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Other-Than-Temporary Impairment (OTTI Securities) (Details) - Residential Mortgage Backed Securities [Member] - Private label MBS [Member] $ in Thousands	Dec. 31, 2016 USD ($)
Other than Temporary Impairment, Disclosure [Line Items]
AFS Private label MBS - Total Unpaid Principal Balance	$ 772,434
AFS Private label MBS - Total Amortized Cost	606,859	[1]
AFS Private label MBS - Total Fair Value	673,976
Available-for-sale Securities [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Unpaid Principal Balance	769,274
Unpaid Principal Balance with no OTTI	3,160
Amortized Cost	603,699	[1]
Amortized Cost with no OTTI	3,160	[1]
Fair Value	671,123
Fair Value with no OTTI	2,853
Available-for-sale Securities [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Unpaid Principal Balance	337,355
Amortized Cost	270,710	[1]
Fair Value	305,978
Available-for-sale Securities [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Unpaid Principal Balance	430,180
Amortized Cost	331,961	[1]
Fair Value	363,987
Available-for-sale Securities [Member] | Subprime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Unpaid Principal Balance	1,739
Amortized Cost	1,028	[1]
Fair Value	$ 1,158

[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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Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Beginning balance		$ 265,379	$ 290,935	$ 314,224
Credit losses for which OTTI was not previously recognized		0	1,794	0
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	[1]	239	55	0
Securities sold and matured during the period (2)	[2]	(3,875)	0	292
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)		(25,282)	(27,405)	(23,581)
Ending balance		$ 236,461	$ 265,379	$ 290,935

[1] For 2016, 2015 and 2014, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016, 2015 and 2014, respectively.

[2] 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 (Narrative) (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2016 USD ($) Institutions	Dec. 31, 2015 USD ($) Institutions
Federal Home Loan Bank, Advances [Line Items]
Federal Home Loan Bank, Advances, Par Value	$ 76,835,308	$ 74,333,273
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	$ 61,200,000	$ 55,100,000
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	79.70%	74.10%
Number of Top Advances Borrowers | Institutions	5	5
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | Institutions	3	4
Federal Home Loan Bank, Advances, Convertible Option [Member]
Federal Home Loan Bank, Advances [Line Items]
Federal Home Loan Bank, Advances, Par Value	$ 500,000	$ 1,500,000
Federal Home Loan Bank, Advances, Callable Option [Member]
Federal Home Loan Bank, Advances [Line Items]
Federal Home Loan Bank, Advances, Par Value	$ 12,300,000	$ 12,600,000
Minimum [Member]
Federal Home Loan Bank, Advances [Line Items]
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate	1 day
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	30 days
Interest rate of advances	0.49%
AHP subsidized loans, interest rate	2.00%
Maximum [Member]
Federal Home Loan Bank, Advances [Line Items]
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%

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Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Federal Home Loan Bank, Advances, Maturity, Rolling Year [Abstract]
Due in 1 year or less	$ 38,571,864	$ 33,192,256
Due after 1 year through 2 years	14,310,133	18,989,266
Due after 2 years through 3 years	7,477,536	13,071,338
Due after 3 years through 4 years	8,488,404	6,260,864
Due after 4 years through 5 years	7,161,763	1,800,994
Thereafter	825,608	1,018,555
Total par value	76,835,308	74,333,273
Discount on AHP advances	(2)	(21)
Deferred prepayment fees	(4,625)	(4,749)
Hedging adjustments	(21,977)	176,273
Total book value	$ 76,808,704	$ 74,504,776
Federal Home Loan Bank, Advances, Weighted Average Interest Rate [Abstract]
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months	0.91%	0.70%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two	1.14%	0.99%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three	1.29%	0.96%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four	1.22%	0.93%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five	1.23%	1.68%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five	2.64%	2.66%
Total par value, Weighted Average Interest Rate	1.07%	0.89%

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Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract]
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months	$ 40,221,864	$ 34,692,256
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two	12,700,133	18,939,266
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three	7,462,536	11,661,338
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four	8,463,404	6,245,864
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five	7,161,763	1,775,994
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five	825,608	1,018,555
Total par value	76,835,308	74,333,273
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract]
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Next Rolling Twelve Months	38,791,364	33,771,756
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two	14,116,133	18,629,266
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three	7,472,036	12,877,338
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four	8,488,404	6,255,364
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five	7,161,763	1,800,994
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five	805,608	998,555
Total par value	$ 76,835,308	$ 74,333,273

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Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Advances [Abstract]
Fixed-rate – overnight	$ 4,696,431	$ 4,681,918
Due in 1 year or less	16,177,369	13,532,806
Thereafter	9,815,844	13,121,108
Total fixed-rate	30,689,644	31,335,832
Variable rate - due in 1 year or less	17,698,064	14,977,532
Thereafter	28,447,600	28,019,909
Total variable-rate	46,145,664	42,997,441
Total par value	$ 76,835,308	$ 74,333,273

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio		$ 3,313,081	$ 3,012,697
Premiums		59,032	50,857
Discounts		(3,926)	(3,899)
Hedging adjustments		28,771	32,865
Total mortgage loans held for portfolio		3,396,958	3,092,520
Government-guaranteed/insured loans [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio		224,271	248,767
Conventional loans [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio		3,088,810	2,763,930
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	[1]	3,013,181	2,660,615
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	[1]	$ 299,900	$ 352,082

[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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Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
Allowance for Loan and Lease Losses [Roll Forward]
Balance, beginning of period		$ 5,665
Provision for credit losses		1,261		$ (167)		$ (4,129)
Balance , end of period		6,231		5,665
Total recorded investment	[1]	3,428,377		3,121,704
Conventional MPF Loans [Member]
Allowance for Loan and Lease Losses [Roll Forward]
Balance, beginning of period		5,665		7,260		11,359
(Charge-offs) Recoveries, net		(195)		(815)		299
Provision for credit losses		761		(780)		(4,398)
Balance , end of period		6,231		5,665		7,260
Ending balance, individually evaluated for impairment		5,105		5,018		6,034
Ending balance, collectively evaluated for impairment		1,126		647		1,226
Individually evaluated for impairment, with or without a related allowance		58,522		60,762		68,144
Collectively evaluated for impairment		3,122,847		2,789,517		2,789,826
Total recorded investment		$ 3,181,369	[1]	2,850,279	[1]	2,857,970
BOB Loans [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Loss Given Default, Rate		100.00%
Allowance for Loan and Lease Losses [Roll Forward]
Balance, beginning of period		$ 2,052		1,840		2,231
(Charge-offs) Recoveries, net		(221)		(429)		(610)
Provision for credit losses		346		641		219
Balance , end of period		2,177		2,052		$ 1,840
Total recorded investment	[1]	$ 14,541		$ 13,410

[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.

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Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands		Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
Financing Receivable, Recorded Investment [Line Items]
Total past due loans	[1]	$ 98,364		$ 103,626
Total current loans	[1]	3,330,013		3,018,078
Total recorded investment	[1]	3,428,377		3,121,704
In process of foreclosure, included above (2)	[2]	$ 12,541		$ 16,709
Serious delinquency rate (3)	[3]	0.80%		1.00%
Past due 90 days or more still accruing interest		$ 4,179		$ 4,382
Loans on nonaccrual status		24,345		29,458
Conventional MPF Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		76,267		79,667	[1]
Total current loans		3,105,102		2,770,612
Total recorded investment		3,181,369	[1]	2,850,279	[1]	$ 2,857,970
In process of foreclosure, included above (2)		$ 11,464		$ 15,353
Serious delinquency rate (3)		0.70%		0.90%
Past due 90 days or more still accruing interest		$ 0		$ 0
Loans on nonaccrual status		24,092		29,075
BOB Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		254		320	[1]
Total current loans		14,287		13,090
Total recorded investment	[1]	14,541		13,410
In process of foreclosure, included above (2)		$ 0		$ 0
Serious delinquency rate (3)		1.40%		1.20%
Past due 90 days or more still accruing interest		$ 0		$ 0
Loans on nonaccrual status		253		383
Government-Guaranteed or Insured Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans	[1]	21,843		23,639
Total current loans		210,624		234,376
Total recorded investment	[1]	232,467		258,015
In process of foreclosure, included above (2)		$ 1,077		$ 1,356
Serious delinquency rate (3)		1.80%		1.70%
Past due 90 days or more still accruing interest		$ 4,179		$ 4,382
Loans on nonaccrual status		0		0
Financing Receivables, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		59,980		57,829
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional MPF Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		45,687		42,746
Financing Receivables, 30 to 59 Days Past Due [Member] | BOB Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		0		86
Financing Receivables, 30 to 59 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		14,293		14,997
Financing Receivables, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		12,615		16,090
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional MPF Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		9,194		11,752
Financing Receivables, 60 to 89 Days Past Due [Member] | BOB Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		50		78
Financing Receivables, 60 to 89 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		3,371		4,260
Financing Receivables, Equal to Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		25,769		29,707
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional MPF Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		21,386		25,169
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | BOB Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		204		156
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Total past due loans		$ 4,179		$ 4,382

[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.

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Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) - Conventional MPF Loans [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Financing Receivable, Impaired [Line Items]
With no related allowance	$ 34,687	$ 33,737
With a related allowance	23,835	27,025
Total recorded investment	58,522	60,762
With no related allowance	34,344	33,428
With a related allowance	23,577	26,774
Total Unpaid Principal Balance	57,921	60,202
Related Allowance for Credit Losses	5,105	5,018
Average Recorded Investment	60,147	63,683	$ 74,956
Interest Income Recognized	$ 2,340	$ 1,966	$ 1,388

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Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Financing Receivable, Allowance for Credit Losses [Line Items]
Maximum Exposure Under First Loss Account	$ 24.0	$ 22.7
Credit Enhancement Fees	3.1	3.0	$ 3.2
Financing Receivable, Modifications, Recorded Investment	14.1	16.9
Real Estate Owned (REO)	$ 3.9	$ 6.5

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		$ 39,774,116	$ 44,569,864
Derivative Asset, Fair Value, Gross Asset		97,476	70,478
Derivative Liabilities, fair Value, Gross Liability		200,904	331,738
Netting adjustments: Derivative Assets	[1],[2]	(15,585)	(4,623)
Netting adjustments: Derivative Liabilities	[1],[2]	(186,894)	(289,230)
Derivative assets		81,891	65,855
Derivative liabilities		14,010	42,508
Derivative Liability, Collateral, Right to Reclaim Cash, Offset		171,300	287,000
Derivative Asset, Collateral, Obligation to Return Cash, Offset		1	2,400
Designated as Hedging Instrument [Member] | Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		29,133,421	30,416,262
Derivative Asset, Fair Value, Gross Asset		71,335	49,104
Derivative Liabilities, fair Value, Gross Liability		142,648	269,354
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		10,640,695	14,153,602
Derivative Asset, Fair Value, Gross Asset		26,141	21,374
Derivative Liabilities, fair Value, Gross Liability		58,256	62,384
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		9,370,245	13,363,652
Derivative Asset, Fair Value, Gross Asset		21,429	18,426
Derivative Liabilities, fair Value, Gross Liability		58,158	62,384
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives			25,000
Derivative Asset, Fair Value, Gross Asset			0
Derivative Liabilities, fair Value, Gross Liability			0
Not Designated as Hedging Instrument [Member] | Interest Rate Caps
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		1,255,000	755,000
Derivative Asset, Fair Value, Gross Asset		4,686	2,695
Derivative Liabilities, fair Value, Gross Liability		0	0
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		15,450	9,950
Derivative Asset, Fair Value, Gross Asset		26	253
Derivative Liabilities, fair Value, Gross Liability		$ 98	$ 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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

[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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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	$ 3,307	$ 4,769	$ 4,287
Net gains (losses) related to derivatives not designated as hedging instruments	(17,108)	(1,389)	(41,787)
Net gains (losses) on derivatives and hedging activities	(13,801)	3,380	(37,500)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	3,307	4,769	4,287	[1]
Net gains (losses) related to derivatives not designated as hedging instruments	(17,908)	(21,514)	(73,836)
Interest Rate Swaption [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	0	56	1,410
Interest Rate Caps
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	(1,183)	(1,988)	(4,496)
Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	864	10,959	26,369
Forward Contracts [Member] | Mortgages [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	1,098	11,074	8,739
Intermediary Transactions Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	$ 21	$ 24	$ 27

[1] Pertains to total net gains for fair value hedge ineffectiveness.

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		$ 132,901	$ 132,319	$ 291,938
Gains/(Losses) on Hedged Item		(129,594)	(127,550)	(287,651)
Net Fair Value Hedge Ineffectiveness		3,307	4,769	4,287
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	[1]	(55,088)	626	(3,390)
Amortization and accretion of hedged items		(5,100)	800	13,800
Advances
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		196,099	110,659	249,742
Gains/(Losses) on Hedged Item		(193,558)	(109,811)	(245,817)
Net Fair Value Hedge Ineffectiveness		2,541	848	3,925
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income		(100,091)	(198,536)	(225,722)
Consolidated Obligations -bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		(83,647)	28,735	74,726
Gains/(Losses) on Hedged Item		84,094	(25,822)	(72,766)
Net Fair Value Hedge Ineffectiveness		447	2,913	1,960
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income		68,153	218,194	233,774
Available-for-sale Securities [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		20,449	(7,075)	(32,530)
Gains/(Losses) on Hedged Item		(20,130)	8,083	30,932
Net Fair Value Hedge Ineffectiveness		319	1,008	(1,598)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income		$ (23,150)	$ (19,032)	$ (11,442)

[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 $(5.1) million, $0.8 million and $13.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2016, 2015 and 2014.

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Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($)		Dec. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Gross recognized amount		$ 97,450,000	$ 70,225,000
Gross amounts of netting adjustments and cash collateral	[1],[2]	(15,585,000)	(4,623,000)
Net amounts after netting adjustments		81,865,000	65,602,000
Derivative instruments not meeting netting requirements	[3]	26,000	253,000
Derivative assets		81,891,000	65,855,000
Net unsecured amount		81,891,000	65,855,000
Uncleared derivatives
Derivative [Line Items]
Gross recognized amount		13,778,000	39,068,000
Gross amounts of netting adjustments and cash collateral		(10,792,000)	(37,981,000)
Net amounts after netting adjustments		2,986,000	1,087,000
Derivative instruments not meeting netting requirements		26,000	253,000
Derivative assets		3,012,000	1,340,000
Net unsecured amount		3,012,000	1,340,000
Cleared derivatives
Derivative [Line Items]
Gross recognized amount		83,672,000	31,157,000
Gross amounts of netting adjustments and cash collateral		(4,793,000)	33,358,000
Net amounts after netting adjustments		78,879,000	64,515,000
Derivative instruments not meeting netting requirements		0	0
Derivative assets		78,879,000	64,515,000
Net unsecured amount		$ 78,879,000	$ 64,515,000

[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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

[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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Derivatives and Hedging Activities Offsetting liabilities (Details) - USD ($)		Dec. 31, 2016	Dec. 31, 2015
Offsetting Liabilities [Line Items]
Gross recognized amount		$ 200,806,000	$ 331,738,000
Gross amounts of netting adjustments and cash collateral	[1],[2]	(186,894,000)	(289,230,000)
Net amounts after netting adjustments		13,912,000	42,508,000
Derivative instruments not meeting netting requirements	[3]	98,000	0
Derivative liabilities		14,010,000	42,508,000
Net unsecured amount		14,010,000	42,508,000
Uncleared derivatives
Offsetting Liabilities [Line Items]
Gross recognized amount		67,047,000	132,910,000
Gross amounts of netting adjustments and cash collateral		(53,135,000)	(90,402,000)
Net amounts after netting adjustments		13,912,000	42,508,000
Derivative instruments not meeting netting requirements		98,000	0
Derivative liabilities		14,010,000	42,508,000
Net unsecured amount		14,010,000	42,508,000
Cleared derivatives
Offsetting Liabilities [Line Items]
Gross recognized amount		133,759,000	198,828,000
Gross amounts of netting adjustments and cash collateral		(133,759,000)	(198,828,000)
Net amounts after netting adjustments		0	0
Derivative instruments not meeting netting requirements		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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

[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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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Dec. 31, 2016 USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative, Net Liability Position	$ 53.6
Collateral Already Posted	42.3
Additional Collateral	$ 10.3

XML

Premises, Software and Equipment (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Property, Plant and Equipment [Line Items]
Total premises, software and equipment, gross	$ 60,828	$ 58,966
Less: Accumulated depreciation and amortization	51,066	48,279
Total premises, software and equipment, net	9,762	10,687
Computer hardware and software [Member]
Property, Plant and Equipment [Line Items]
Total premises, software and equipment, gross	56,414	54,593
Furniture [Member]
Property, Plant and Equipment [Line Items]
Total premises, software and equipment, gross	915	915
Leasehold improvements [Member]
Property, Plant and Equipment [Line Items]
Total premises, software and equipment, gross	2,517	2,478
Equipment and other [Member]
Property, Plant and Equipment [Line Items]
Total premises, software and equipment, gross	$ 982	$ 980

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Premises, Software and Equipment (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Property, Plant and Equipment [Line Items]
Depreciation and amortization expense	$ 4.3	$ 3.7	$ 4.3
Capitalized Computer Software, Amortization	3.7	3.1	$ 3.7
Unamortized software balance	8.8	9.5
Capitalized costs associated with computer software developed for internal use	$ 3.1	$ 3.6
Maximum [Member]
Property, Plant and Equipment [Line Items]
Property, Plant and Equipment, Useful Life	10 years
Minimum [Member]
Property, Plant and Equipment [Line Items]
Property, Plant and Equipment, Useful Life	1 year

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Deposits (Details) - USD ($)	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Deposits [Abstract]
Weighted Average Rate Interest Bearing Deposits	0.26%	0.04%	0.03%
Term Deposits	$ 0	$ 0
Interest-bearing Deposit, Demand	505,430,000	635,468,000
Noninterest-bearing Deposit, Demand	53,461,000	50,469,000
Total deposits	$ 558,891,000	$ 685,937,000

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Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Fixed-rate	$ 30,020,671	$ 31,945,658
Step-up	1,620,000	1,860,000
Floating-rate	35,155,000	14,650,000
Conversion bonds - fixed to floating	400,000	60,000
Total par value	67,195,671	48,515,658
Bond premiums	68,812	107,339
Bond discounts	(7,732)	(9,629)
Concession fees	(6,706)	(5,229)
Hedging adjustments	(94,014)	(7,386)
Total book value	$ 67,156,031	$ 48,600,753

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Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 45,660,600	$ 26,814,155
Due in 1 year or less, Weighted Average Interest Rate	0.77%	0.68%
Due after 1 year through 2 years	$ 8,767,580	$ 8,753,810
Due after 1 year through 2 years, Weighted Average Interest Rate	1.16%	1.21%
Due after 2 years through 3 years	$ 4,575,505	$ 4,998,335
Due after 2 years through 3 years, Weighted Average Interest Rate,	1.36%	1.46%
Due after 3 years through 4 years	$ 2,225,710	$ 2,017,720
Due after 3 years through 4 years, Weighted Average Interest Rate	1.74%	1.84%
Due after 4 years through 5 years	$ 1,884,400	$ 2,040,940
Due after 4 years through 5 years, Weighted Average Interest Rate	2.05%	1.91%
Thereafter	$ 3,958,850	$ 3,733,950
Thereafter, Weighted Average Interest Rate	2.26%	2.66%
Index amortizing notes	$ 123,026	$ 156,748
Index amortizing , Weighted Average Interest Rate,	4.74%	4.73%
Total par value	$ 67,195,671	$ 48,515,658
Total par, Weighted Average Interest Rate	1.02%	1.12%

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Total par value	$ 67,195,671	$ 48,515,658
Noncallable
Schedule of Short-term and Long-term Debt [Line Items]
Total par value	61,585,171	41,462,658
Callable
Schedule of Short-term and Long-term Debt [Line Items]
Total par value	$ 5,610,500	$ 7,053,000

XML

Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 50,586,100	$ 33,517,155
Due after 1 year through 2 years	8,482,580	7,778,810
Due after 2 years through 3 years	4,375,505	3,672,335
Due after 3 years through 4 years	1,649,210	1,202,720
Due after 4 years through 5 years	849,400	810,940
Thereafter	1,129,850	1,376,950
Index amortizing notes	123,026	156,748
Total par value	$ 67,195,671	$ 48,515,658

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Book value		$ 28,500,341	$ 42,275,544
Par value		$ 28,529,619	$ 42,318,509
Weighted average interest rate (1)	[1]	0.51%	0.32%

[1] Represents an implied rate.

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Consolidated Obligations (Narrative) (Details) $ in Billions	Dec. 31, 2016 USD ($) Banks	Dec. 31, 2015 USD ($)
Narrative [Abstract]
Number of FHLBanks | Banks	11
FHLB Total CO | $	$ 989.3	$ 905.2

XML

Affordable Housing Program (AHP) (Details) - USD ($)	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Affordable Housing Program [Abstract]
AHP, Contribution Requirement, Amount	$ 100,000,000
AHP, Contribution Requirement, Percentage	10.00%
AHP Advances Principal Outstanding	$ 200,000	$ 1,400,000
AHP Open Committments	43,500,000	38,500,000	$ 26,500,000
Affordable Housing Program [Roll Forward]
Balance, beginning of the year	70,907,000	55,997,000	36,353,000
Assessments	28,924,000	28,519,000	28,437,000
Subsidy usage, net	(23,119,000)	(13,609,000)	(8,793,000)
Balance, end of the year	$ 76,712,000	$ 70,907,000	$ 55,997,000

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Capital (Capital Requirements) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Number of Finance Agency Regulatory Capital Requirements	3
Multiplier for Determining Permanent Capital in Leverage Capital Calculation	1.5
NumberOfSubclassesOfCapitalStock	2
Risk-based capital - Required	$ 907,515	$ 820,621
Risk-Based Capital, Actual	$ 4,746,834	$ 4,426,971
Total capital-to-asset ratio - Required	4.00%	4.00%
Total capital-to-asset ratio, Actual	4.70%	4.60%
Total Regulatory Capital, Required	$ 4,050,403	$ 3,853,451
Total Regulatory Capital, Actual	$ 4,746,834	$ 4,426,971
Leverage ratio - Required	5.00%	5.00%
Federal Home Loan Bank, Leverage Ratio, Actual	7.00%	6.90%
Leverage Capital, Required	$ 5,063,004	$ 4,816,814
Leverage capital - Actual	7,120,252	6,640,456
Subclass B1
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Capital Stock	300,000	300,000
Subclass B2
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]
Capital Stock	$ 3,400,000	$ 3,200,000

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Capital (Capital Concentrations) (Details) - Capital Stock Ownership By Third Party [Member] - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Capital [Line Items]
% of Total		10.00%
Chase Bank USA, N.A., Wilmington, DE
Capital [Line Items]
Capital Stock		$ 873,834	$ 424,502
% of Total		23.20%	12.00%
PNC Bank, N.A., Pittsburgh, PA
Capital [Line Items]
Capital Stock	[1]	$ 859,402	$ 881,552
% of Total	[1]	22.90%	24.90%
Ally Bank, Midvale, UT
Capital [Line Items]
Capital Stock	[1]	$ 577,404	$ 391,287
% of Total	[1]	15.40%	11.00%
Santander Bank, N.A., Wilmington, DE
Capital [Line Items]
Capital Stock			$ 600,872
% of Total			17.00%

[1] For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA.

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Capital (Mandatorily Redeemable Capital Stock) (Details)	12 Months Ended
	Dec. 31, 2016 USD ($) Institutions $ / shares	Dec. 31, 2015 USD ($) $ / shares	Dec. 31, 2014 USD ($)
Capital [Abstract]
Capital stock, par value | $ / shares	$ 100	$ 100
Balance, end of the period	$ 5,216,000	$ 6,053,000	$ 586,000
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions	3
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions	2
Financial Instruments Subject to Mandatory Redemption, Redemption, Withdrawals	1
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance, beginning of the period	$ 6,053,000	586,000	40,000
Capital stock subject to mandatory redemption reclassified from capital	56,110,000	36,629,000	8,422,000
Redemption/repurchase of mandatorily redeemable stock	(56,947,000)	(31,162,000)	(7,876,000)
Balance, end of the period	$ 5,216,000	$ 6,053,000	$ 586,000

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Capital [Abstract]
Due after 2 years through 3 years	$ 419	$ 0
Due after 3 years through 4 years	4,797	546
Due after 4 years through 5 years	0	5,507
Total	$ 5,216	$ 6,053	$ 586	$ 40

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Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands													1 Months Ended	12 Months Ended
	Feb. 28, 2017	Oct. 28, 2016	Jul. 29, 2016	Apr. 29, 2016	Feb. 29, 2016	Oct. 30, 2015	Jul. 31, 2015	Apr. 30, 2015	Oct. 31, 2014	Jul. 31, 2014	Apr. 30, 2014	Feb. 21, 2014	Feb. 28, 2015	Dec. 31, 2016	Dec. 31, 2015
Capital [Line Items]
Balance, end of the period														$ 5,216
Joint capital enhancement agreement, percentage														20.00%
Percent of Average Balance of Outstanding Consolidated Obligations For Each Previous Quarter														1.00%
Retained Earnings														$ 986,208	$ 881,270
Unrestricted Retained Earnings														771,661	718,727
Restricted Retained Earnings														$ 214,547	$ 162,543
Dividends Cash									4.00%	4.00%	4.00%	2.50%	4.00%
Special Dividends													2.50%
Subclass B1
Capital [Line Items]
Dividends Cash		2.00%	2.00%	2.00%	3.00%	3.00%	3.00%	3.00%
Subclass B1 | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash	2.00%
Subclass B2
Capital [Line Items]
Dividends Cash		5.00%	5.00%	5.00%	5.00%	5.00%	5.00%	5.00%
Subclass B2 | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash	5.00%

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	$ 52,296	$ 80,683
Net unrealized gains (losses)	(10,292)	(23,712)	$ 64,941
Non credit component OTTI losses - Net	239	(1,156)	0
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax	0	(1,665)	0
Other Comprehensive Income (Loss), Transfers from Held-to-maturity to Available-for-Sale Securities, before Tax	0	1,665	0
Net Change in Fair Value of OTTI Securities	(4,485)	(20,325)	16,809
Reclassification adjustment included in net income	(11,291)	0	0
Amortization on hedging activities	24	25	15
Other Comprehensive (Income) Loss, Pension and Other Postretirement Benefit Plans, Adjustment, before Tax, Portion Attributable to Parent	1,234	(1,468)	1,642
Net Unrealized Gains(Losses) on AFS [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	(12,835)	8,748	32,460	$ (32,481)
Net Unrealized Gains (losses) on Hedging Activities
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	223	247	272	287
Amortization on hedging activities	(24)	(25)	(15)
Pension and Post Retirement Plans [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	(2,516)	(1,282)	(2,750)	(1,108)
Other Comprehensive (Income) Loss, Pension and Other Postretirement Benefit Plans, Adjustment, before Tax, Portion Attributable to Parent	(1,234)	1,468	(1,642)
Total AOCI [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	52,296	80,683	124,433	44,340
Net unrealized gains (losses)	(15,080)	(45,222)	78,837
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Loss, before Tax, Including Portion Attributable to Noncontrolling Interest		(1,665)
Net Change in Fair Value of OTTI Securities	303	1,185	2,913
Reclassification adjustment included in net income	(12,591)
Reclassification adjustment of noncredit OTTI losses included in net income	239	509
Amortization on hedging activities	(24)	(25)	(15)
Other Comprehensive (Income) Loss, Reclassification Adjustment from AOCI, Pension and Other Postretirement Benefit Plans, before Tax	(1,234)	1,468	(1,642)
Available-for-sale Securities [Member] | Noncredit OTTI Gains(Losses) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance	67,424	72,970	94,451	77,642
Net unrealized gains (losses)	(4,788)	(21,510)	13,896
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax		(1,665)
Net Change in Fair Value of OTTI Securities	303	1,185	2,913
Reclassification adjustment included in net income	(1,300)
Reclassification adjustment of noncredit OTTI losses included in net income	$ 239	509
Held-to-maturity Securities [Member] | Noncredit OTTI Gains(Losses) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI - Balance			$ 0	$ 0
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Loss, before Tax, Including Portion Attributable to Noncontrolling Interest, Held-to-maturity Securities		(1,665)
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax		$ 1,665

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Employee Retirement Plans (Multiemployer Plan) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Jul. 01, 2016		Jul. 01, 2015		Jul. 01, 2014
Multiemployer Plans [Line Items]
Multiemployer Plan Number	333
Net pension cost charged to compensation and benefit expense for the year ended December 31	$ 1,300	$ 1,200	$ 953
Pentegra Defined Benefit Plan [Member]
Multiemployer Plans [Line Items]
Net pension cost charged to compensation and benefit expense for the year ended December 31	7,396	4,687	7,247
Defined Benefit Plan funded status as of July 1				104.10%	[1]	107.00%	[2]	111.40%
Bank’s funded status as of July 1				129.60%		126.70%		128.60%
Discretionary Pension Contributions	$ 7,000	$ 4,300	$ 6,900
Multiemployer Plans, Pension [Member]
Multiemployer Plans [Line Items]
Entity Tax Identification Number	135645888

[1] The Defined Benefit Plan’s funded status as of July 1, 2016 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2016 through March 15, 2017. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2018).

[2] The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results.

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Employee Retirement Plans (Narrative) (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Employee Retirement Plans [Line Items]
Defined Contribution Plan, Cost Recognized	$ 1.0	$ 1.2	$ 1.0
Nonqualified Supplemental Deferred Compensation Plans [Member]
Employee Retirement Plans [Line Items]
Deferred Compensation Arrangement with Individual, Recorded Liability	8.5	6.5
Deferred Compensation Arrangement with Individual, Employer Contribution	$ 0.9	0.2	$ 0.6
Post-retirement Health Benefit Plan [Member]
Employee Retirement Plans [Line Items]
Eligibility requirements, period of service	10 years
Accumulated benefit obligation	$ 1.9	1.9
SERP [Member]
Employee Retirement Plans [Line Items]
Accumulated benefit obligation	$ 6.3	$ 5.2
Maximum [Member] | Post-retirement Health Benefit Plan [Member]
Employee Retirement Plans [Line Items]
Eligibility requirements, age of participants	65 years
Minimum [Member] | Post-retirement Health Benefit Plan [Member]
Employee Retirement Plans [Line Items]
Eligibility requirements, age of participants	60 years

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Employee Retirement Plans (Schedule of Amounts Recognized in Balance Sheet and Accumulated Other Comprehensive Income) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Net Periodic Benefit Cost	$ 1,300	$ 1,200	$ 953
Benefit Obligation	10,876	8,549
Unrealized actuarial gains (losses) in AOCI	(2,516)	(1,282)
SERP [Member]
Defined Benefit Plan Disclosure [Line Items]
Benefit Obligation	8,992	6,673
Unrealized actuarial gains (losses) in AOCI	(3,039)	(1,799)
Post-retirement Health Benefit Plan
Defined Benefit Plan Disclosure [Line Items]
Benefit Obligation	1,884	1,876
Unrealized actuarial gains (losses) in AOCI	$ 523	$ 517

XML

Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Related Party Transaction [Line Items]
Federal funds sold		$ 3,222,000	$ 3,980,000
Investments		11,999,463	11,157,935
Advances		76,808,704	74,504,776
MPF loans		3,313,081	3,012,697
Capital stock		3,755,411	3,539,648
Total MPF loan volume purchased		806,390	463,969	$ 375,214
Principal Owner [Member]
Related Party Transaction [Line Items]
Investments		242,835	176,345
Advances		60,916,692	54,610,238
Letters of credit (1)	[1]	6,236,508	8,245,423
MPF loans		880,877	1,052,569
Deposits		16,510	24,636
Capital stock		2,707,466	2,366,721
Total MPF loan volume purchased		$ 20,951	$ 8,756	$ 13,049

[1] Letters of credit are off-balance sheet commitments.

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Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Related Party Transaction [Line Items]
Interest income on advances (1)		$ 589,296	$ 345,957	$ 255,863
Interest income on MPF loans		117,393	120,433	129,399
Letters of credit fees		1,796	2,440	2,480
Prepayment fees on advances, net		22,773	3,599	16,956
Net interest settlements on derivatives in fair value hedging relationships		(13,801)	3,380	(37,500)
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on investments		3,512	1,505	938
Interest income on advances (1)	[1]	383,958	200,743	138,121
Interest income on MPF loans		52,185	64,002	80,674
Prepayment fees on advances, net		8,370	0	13,787
Contractual interest income		433,500	341,500	319,500
Net interest settlements on derivatives in fair value hedging relationships		(52,100)	(139,800)	(177,800)
Amortization of basis adjustments		2,500	(900)	(3,600)
Standby Letters of Credit [Member] | Principal Owner [Member]
Related Party Transaction [Line Items]
Letters of credit fees		$ 8,574	$ 10,796	$ 8,481

[1] For 2016, 2015 and 2014, respectively, includes contractual interest income of $433.5 million, $341.5 million, and $319.5 million; net interest settlements on derivatives in fair value hedge relationships of $(52.1) million, $(139.8) million, and $(177.8) million; and total amortization of basis adjustments of $2.5 million, $(0.9) million, and $(3.6) million.

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Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Related Party Transaction [Line Items]
Fair Value of Consolidated Obligation Bonds	$ 67,156,031	$ 48,600,753
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	1,398	1,147	$ 994
Interest-bearing deposits maintained with FHLBank of Chicago	$ 5,909	$ 6,075
Bonds [Member] | FHLBank of New York [Member]
Related Party Transaction [Line Items]
Par value of consolidated bonds			59,000
Fair Value of Consolidated Obligation Bonds			$ 65,600

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Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and Due from Banks		$ 3,587,605	$ 2,376,964
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
HTM Securities		2,566,135	2,663,304
HTM securities - fair value		2,576,982	2,684,071
Accrued Interest Receivable		124,247	107,345
Derivative assets		81,891	65,855
Netting adjustments: Derivative Assets	[1],[2]	(15,585)	(4,623)
Mandatorily redeemable capital stock (1)		5,216	6,053	$ 586	$ 40
Accrued interest payable		117,183	92,765
Derivative liabilities		14,010	42,508
Netting adjustments: Derivative Liabilities	[1],[2]	(186,894)	(289,230)
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and Due from Banks		3,587,605	2,376,964
Interest-bearing deposits		5,909	6,075
Federal funds sold		3,222,000	3,980,000
Securities Purchased under Agreements to Resell		2,000,000	1,000,000
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
HTM Securities		2,566,135	2,663,304
Advances		76,808,704	74,504,776
Accrued Interest Receivable		124,247	107,345
Derivative assets		81,891	65,855
Deposits		558,891	685,937
Mandatorily redeemable capital stock (1)	[3]	5,216	6,053
Accrued interest payable	[3]	117,183	92,765
Derivative liabilities		14,010	42,508
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligations, Discount Notes [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,500,341	42,276,815
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligation Bonds [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		67,156,031	48,605,982
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Residential Portfolio Segment [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		3,390,727	3,086,855
Carrying (Reported) Amount, Fair Value Disclosure [Member] | BOB loans [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		12,276	11,276
Estimate of Fair Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and Due from Banks		3,587,605	2,376,964
Interest-bearing deposits		5,909	6,075
Federal funds sold		3,221,945	3,979,884
Securities Purchased under Agreements to Resell		1,999,962	999,984
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
HTM securities - fair value		2,576,982	2,684,071
Advances		76,843,531	74,434,577
Accrued Interest Receivable		124,247	107,345
Derivative assets		81,891	65,855
Deposits		558,895	685,951
Mandatorily redeemable capital stock (1)	[3]	5,286	6,130
Accrued interest payable	[3]	117,113	92,688
Derivative liabilities		14,010	42,508
Estimate of Fair Value Measurement [Member] | Consolidated Obligations, Discount Notes [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,499,258	42,269,700
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		67,163,445	48,660,776
Estimate of Fair Value Measurement [Member] | Residential Portfolio Segment [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		3,403,217	3,219,846
Estimate of Fair Value Measurement [Member] | BOB loans [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		12,276	11,276
Fair Value, Inputs, Level 1 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and Due from Banks		3,587,605	2,376,964
Interest-bearing deposits		0	0
Federal funds sold		0	0
Securities Purchased under Agreements to Resell		0	0
Trading securities		7,092	5,442
AFS securities		2,000	1,998
HTM securities - fair value		0	0
Advances		0	0
Accrued Interest Receivable		0	0
Derivative assets		0	0
Deposits		0	0
Mandatorily redeemable capital stock (1)	[3]	5,286	6,130
Accrued interest payable	[3]	0	0
Derivative liabilities		0	0
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligations, Discount Notes [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0	0
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0	0
Fair Value, Inputs, Level 1 [Member] | Residential Portfolio Segment [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		0	0
Fair Value, Inputs, Level 1 [Member] | BOB loans [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		0	0
Fair Value, Inputs, Level 2 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and Due from Banks		0	0
Interest-bearing deposits		5,909	6,075
Federal funds sold		3,221,945	3,979,884
Securities Purchased under Agreements to Resell		1,999,962	999,984
Trading securities		388,155	389,295
AFS securities		8,362,105	7,265,988
HTM securities - fair value		2,182,254	2,171,206
Advances		76,843,531	74,434,577
Accrued Interest Receivable		124,247	107,345
Derivative assets		97,476	70,478
Deposits		558,895	685,951
Mandatorily redeemable capital stock (1)	[3]	0	0
Accrued interest payable	[3]	117,113	92,688
Derivative liabilities		200,904	331,738
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligations, Discount Notes [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,499,258	42,269,700
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		67,163,445	48,660,776
Fair Value, Inputs, Level 2 [Member] | Residential Portfolio Segment [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		3,403,217	3,219,846
Fair Value, Inputs, Level 2 [Member] | BOB loans [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		0	0
Fair Value, Inputs, Level 3 [Member]
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
Securities Purchased under Agreements to Resell		0	0
Trading securities		0	0
AFS securities		673,976	831,908
HTM securities - fair value		394,728	512,865
Advances		0	0
Accrued Interest Receivable		0	0
Derivative assets		0	0
Deposits		0	0
Mandatorily redeemable capital stock (1)		0	0
Accrued interest payable		0	0
Derivative liabilities		0
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligations, Discount Notes [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0	0
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0	0
Fair Value, Inputs, Level 3 [Member] | Residential Portfolio Segment [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		0	0
Fair Value, Inputs, Level 3 [Member] | BOB loans [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		12,276	11,276
Fair Value, Measurements, Recurring [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Netting adjustments: Derivative Assets	[4]	(15,585)	(4,623)
Netting adjustments: Derivative Liabilities	[4],[5]	(186,894)	(289,230)
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
Derivative assets		81,891	65,855
Derivative liabilities		13,912	42,508
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Derivative assets		0	0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Trading securities		388,155	389,295
AFS securities		8,362,105	7,265,988
Derivative assets		97,476	70,478
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
AFS securities		673,976	831,908
Derivative assets		$ 0	0
Derivative liabilities			$ 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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

[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.

[4] 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.

[5] Derivative liabilities represent the total liabilities at fair value.

XML

Estimated Fair Values (Valuation Techniques) (Details)	Dec. 31, 2016 vendor
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Fair Value Measurements, Valuation Techniques, Number of Designated Third Party Pricing Vendors	4

XML

Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 395,247	$ 394,737
AFS securities		9,038,081	8,099,894
Derivative assets		81,891	65,855
Netting adjustments: Derivative Assets	[1],[2]	(15,585)	(4,623)
Derivative liabilities		14,010	42,508
Netting adjustments: Derivative Liabilities	[1],[2]	(186,894)	(289,230)
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
Derivative assets		81,891	65,855
Derivative liabilities		14,010	42,508
Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Derivative assets		0	0
Derivative liabilities		0	0
Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		388,155	389,295
AFS securities		8,362,105	7,265,988
Derivative assets		97,476	70,478
Derivative liabilities		200,904	331,738
Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0	0
AFS securities		673,976	831,908
Derivative assets		0	0
Derivative liabilities		0
Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Netting adjustments: Derivative Assets	[3]	(15,585)	(4,623)
Netting adjustments: Derivative Liabilities	[3],[4]	(186,894)	(289,230)
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		395,247	394,737
AFS securities		9,038,081	8,099,894
Derivative assets		81,891	65,855
Total assets at fair value		9,515,219	8,560,486
Derivative liabilities		13,912	42,508
Total recurring liabilities at fair value (2)	[4]	14,010	42,508
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Derivative assets		0	0
Total assets at fair value		9,092	7,440
Total recurring liabilities at fair value (2)		0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		388,155	389,295
AFS securities		8,362,105	7,265,988
Derivative assets		97,476	70,478
Total assets at fair value		8,847,736	7,725,761
Total recurring liabilities at fair value (2)	[4]	200,904	331,738
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		673,976	831,908
Derivative assets		0	0
Total assets at fair value		673,976	831,908
Derivative liabilities			0
Total recurring liabilities at fair value (2)		0	0	[4]
Fair Value, Measurements, Nonrecurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets at fair value		19,834	40,469
Impaired mortgage loans held for portfolio (3)	[5]	13,359	32,294
Real estate owned (3)	[5]	6,475	8,175
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Total assets at fair value		19,834	40,469
Impaired mortgage loans held for portfolio (3)	[5]	13,359	32,294
Real estate owned (3)	[5]	6,475	8,175
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Netting adjustments: Derivative Assets	[3]	(15,585)	(4,623)
Netting adjustments: Derivative Liabilities	[3]	(186,894)	(289,230)
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		81,865	65,602
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0	0
Derivative liabilities		0
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		97,450	70,225
Derivative liabilities		200,806	331,738
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0	0
Derivative liabilities		0
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Netting adjustments: Derivative Assets		0	0
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		26	253
Derivative liabilities		98
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0	0
Derivative liabilities		0
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		26	253
Derivative liabilities		98
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0	0
Derivative liabilities		0
GSE and TVA obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		388,155	389,295
AFS securities		3,183,193	3,469,205
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		388,155	389,295
AFS securities		3,183,193	3,469,205
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0	0
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		388,155	389,295
AFS securities		3,183,193	3,469,205
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0
AFS securities		0
State or local agency [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		236,412	134,120
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		236,412	134,120
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0	0
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		236,412	134,120
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Mutual Funds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		7,092	5,442
AFS securities		2,000	1,998
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
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 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Other US Obligations single family MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		216,434	268,536
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		216,434	268,536
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0	0
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		216,434	268,536
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		3,213,162	2,383,630
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		3,213,162	2,383,630
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		3,213,162	2,383,630
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		1,512,904	1,010,497
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		1,512,904	1,010,497
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		1,512,904	1,010,497
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities			831,908
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		673,976	822,740
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		0
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities			9,168
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities			9,168
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		673,976	822,740
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities		$ 673,976	$ 822,740

[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 $171.3 million and $287.0 million at December 31, 2016 and December 31, 2015. Cash collateral received was $1 thousand and $2.4 million at December 31, 2016 and December 31, 2015.

[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] 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.

[4] Derivative liabilities represent the total liabilities at fair value.

[5] The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

XML

Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Sale of AFS		$ 1,300	$ 0	$ 0
Net OTTI losses, credit portion	[1]	(239)	(55)	0
Net change in fair value on OTTI AFS in OCI		(4,485)	(20,325)	16,809
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1		9,168	11,699	14,428
Sale of AFS		1,417
Accretion of credit losses in interest income		203	1,382	1,415
Net OTTI losses, credit portion		0	0
Net unrealized (losses) on AFS in OCI		0	0	0
Reclassification of non-credit portion included in net income		(1,417)	0
Net change in fair value on OTTI AFS in OCI		0	0	109
Unrealized (losses) on OTTI AFS in OCI		(179)	(859)	(402)
Purchases, issuances, sales, and settlements:
Sales		(8,510)
Settlements		(682)	(3,054)	(3,851)
Transfer of OTTI securities from HTM to AFS			0
Balance at December 31		0	9,168	11,699
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		0	1,382	1,415
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1		822,740	971,083	1,123,624
Sale of AFS		(117)
Accretion of credit losses in interest income		18,566	18,479	12,864
Net OTTI losses, credit portion		(239)	(894)
Net unrealized (losses) on AFS in OCI		29	(46)	(127)
Reclassification of non-credit portion included in net income		356	509
Net change in fair value on OTTI AFS in OCI		303	1,185	2,804
Unrealized (losses) on OTTI AFS in OCI		(4,609)	(20,651)	14,298
Purchases, issuances, sales, and settlements:
Sales		(8,609)
Settlements		(154,444)	(157,211)	(182,380)
Transfer of OTTI securities from HTM to AFS			10,286
Balance at December 31		673,976	822,740	971,083
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		$ 18,327	$ 17,585	$ 12,864

[1] For 2016, 2015 and 2014, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016, 2015 and 2014, respectively.

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Commitments and Contingencies (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016		Dec. 31, 2015
Loss Contingencies [Line Items]
Other liabilities	$ 37,777		$ 53,715
Maximum Commitment Period	60 days
Open RepoPlus Advance Product [Member]
Loss Contingencies [Line Items]
Line of Credit Facility, Remaining Borrowing Capacity	$ 7,100,000		7,400,000
Maximum [Member]
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	5 years
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Off-balance sheet commitments	$ 467,000		136,400
Standby Letters of Credit [Member]
Loss Contingencies [Line Items]
Expire Within One Year	19,736,792
Expire After One Year	0
Off-balance sheet commitments	19,736,792	[1],[2]	20,171,604
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Annual Renewal Option	7,000,000		5,500,000
Other liabilities	5,000		5,700
Loan Origination Commitments [Member]
Loss Contingencies [Line Items]
Expire Within One Year	158,167
Expire After One Year	0
Off-balance sheet commitments	158,167		480,634
Consolidated Obligations, Bonds [Member]
Loss Contingencies [Line Items]
Expire Within One Year	2,015,000
Expire After One Year	0
Off-balance sheet commitments	2,015,000		261,000
Mortgages [Member] | Forward Contracts [Member]
Loss Contingencies [Line Items]
Expire Within One Year	15,450
Expire After One Year	0
Off-balance sheet commitments	$ 15,450		$ 9,950

[1] $7.0 billion and $5.5 billion at December 31, 2016 and 2015, respectively, 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 approximately 5 years.

[2] Excludes approved requests to issue future standby letters of credit of $467.0 million and $136.4 million at December 31, 2016 and 2015, respectively.

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Commitments and Contingencies (Lease Commitments) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Operating Leased Assets [Line Items]
Net rental costs	$ 2,100	$ 2,100	$ 2,100
2017	2,014
2018	1,903
2019	1,878
2020	1,911
2021	1,928
Thereafter	6,624
Total	$ 16,258