10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2019

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  (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:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
—	—	—

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 every Interactive Data File required to be submitted 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 such files).  [x] Yes [] No

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

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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. []

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

There were 34,931,242 shares of common stock with a par value of $100 per share outstanding at October 31, 2019.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

Part I - FINANCIAL INFORMATION	1
Item 1: Financial Statements (unaudited)	44
Notes to Financial Statements (unaudited)	50
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations	1
Risk Management	23
Item 3: Quantitative and Qualitative Disclosures about Market Risk	87
Item 4: Controls and Procedures	87
Part II - OTHER INFORMATION	87
Item 1: Legal Proceedings	87
Item 1A: Risk Factors	87
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds	87
Item 3: Defaults upon Senior Securities	87
Item 4: Mine Safety Disclosures	87
Item 5: Other Information	87
Item 6: Exhibits	88
Signature	88

i

PART I - FINANCIAL INFORMATION

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

Forward-Looking Information

Statements contained in this Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank), may be “forward-looking statements.” These statements may use forward-looking terms, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty and that actual results could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following: economic and market conditions, including, but not limited to real estate, credit and mortgage markets; volatility of market prices, rates, and indices related to financial instruments, including but not limited to, the possible discontinuance of the London Interbank Offered Rate (LIBOR) and the related effect on the Bank's LIBOR-based financial products, investments and contracts; political, legislative, regulatory, litigation, or judicial events or actions; changes in assumptions used in the other-than-temporary impairment (OTTI) process; risks related to mortgage-backed securities (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 advance 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.

This Management's Discussion and Analysis (MD&A) should be read in conjunction with the Bank's unaudited interim financial statements and notes and any Risk Factors included in Part II, Item 1A of this Form 10-Q, as well as the Bank's 2018 Form 10-K (2018 Form 10-K), including Risk Factors included in Item 1A of that report.

Executive Summary

Overview. The Bank's financial condition and results of operations are influenced by 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 in connection with advances and debt, the Bank executes interest-rate exchange agreements. 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.

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.

1

Results of Operations. The Bank's net income totaled $70.3 million for the third quarter of 2019, compared to $98.5 million for the third quarter of 2018. The $28.2 million decrease in net income was driven primarily by the following:

• Interest income was $700.0 million for the third quarter of 2019, compared to $592.0 million for the third quarter of 2018. This increase was largely the result of higher average interest-earning asset balances as well as higher yields, driven by higher short-term interest rates.

• Interest expense was $590.9 million for the third quarter of 2019, compared to $471.9 million in the same prior-year period. This increase was primarily the result of higher average consolidated obligations balances as well as higher rates paid, driven by higher short-term interest rates.

• Other noninterest income was a loss of $6.7 million in the third quarter of 2019, compared to a gain of $12.0 million in the same prior-year period. This $18.7 million decrease was driven primarily by net losses on derivatives and hedging activities, partially offset by net gains on investment securities.

For the nine months ended September 30, 2019, net income was $236.0 million, compared to $268.9 million for the same prior-year period, a decrease of $32.9 million. The decrease in net income was primarily driven by the following:

• Interest income was $2.1 billion for the first nine months of 2019, compared to $1.6 billion for the first nine months of 2018. This increase was largely the result of higher average interest-earning asset balances as well as higher yields, driven by higher short-term interest rates.

• Interest expense was $1.8 billion for the first nine months of 2019, compared to $1.3 billion in the same prior-year period. This increase was primarily the result of higher average consolidated obligations as well as higher rates paid, driven by higher short-term interest rates.

• Other noninterest income was a loss of $14.0 million in the first nine months of 2019, compared to a gain of $21.3 million in the same prior-year period. This $35.3 million decrease was driven primarily by net losses on derivatives and hedging activities, partially offset by net gains on investment securities.

The net interest margin was 41 basis points and 51 basis points for the third quarter of 2019 and 2018, respectively. The net interest margin was 45 basis points and 49 basis points for the first nine months of 2019 and 2018, respectively.

Financial Condition. Advances. Advances totaled $70.3 billion at September 30, 2019, a decrease of $12.2 billion compared to $82.5 billion at December 31, 2018. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. While the advance portfolio decreased compared to December 31, 2018, the term of advances extended slightly. At September 30, 2019, approximately 55% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 54% at December 31, 2018.

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

Liquidity. The Bank maintains liquidity to meet member borrowing needs and regulatory standards. Liquidity is comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or available-for-sale (AFS). At September 30, 2019, the Bank held $14.0 billion of liquid assets compared to $9.2 billion at December 31, 2018. The $4.8 billion increase was primarily due to increased investment in U.S. Treasury obligations and changes in the liquidity regulations issued by the Finance Agency, effective March 31, 2019. At December 31, 2018, liquidity also included GSE and Tennessee Valley Authority (TVA) obligations classified as trading.

Investments. To enhance earnings, the Bank also maintains investments classified as AFS and HTM as well as certain trading securities. The Bank held $13.3 billion in its investment portfolio at September 30, 2019 compared with $10.9 billion at December 31, 2018, an increase of $2.4 billion. The increase reflects the addition of government-sponsored enterprises (GSEs) MBS to the AFS portfolio in response to widening mortgage spreads.

Consolidated Obligations. The Bank's consolidated obligations totaled $96.6 billion at September 30, 2019, a decrease of $4.6 billion from December 31, 2018. At September 30, 2019, bonds represented 71% of the Bank's consolidated obligations, compared with 64% at December 31, 2018. Discount notes represented 29% of the Bank's consolidated obligations at September 30, 2019 compared with 36% at year-end 2018. The overall decrease in consolidated obligations is largely consistent with the change in total assets.

2

Capital Position and Regulatory Requirements. Total capital at September 30, 2019 was $4.8 billion, compared to $5.4 billion at December 31, 2018. Total retained earnings at September 30, 2019 were $1.3 billion, up $32.9 million from year-end 2018, reflecting the Bank's net income for the first nine months of 2019 partially offset by dividends paid. Accumulated other comprehensive income (AOCI) was $104.0 million at September 30, 2019, an increase of $30.9 million from December 31, 2018. This increase was primarily due to changes in the fair values of securities within the AFS portfolio.

In February, April, July and October 2019, the Bank paid quarterly dividends of 7.75% annualized on activity stock and 4.5% annualized on membership stock. These dividends were based on stockholders' average balances for the fourth quarter of 2018 (February dividend), the first quarter of 2019 (April dividend), the second quarter of 2019 (July dividend) and the third quarter of 2019 (October dividend).

The Bank met all of its capital requirements as of September 30, 2019, and in the Federal Housing Finance Agency's (Finance Agency) most recent determination, as of June 30, 2019, the Bank was deemed "adequately capitalized."

3

Financial Highlights

The following are the financial highlights of the Bank. The Condensed Statements of Condition as of December 31, 2018 have been derived from the Bank's audited financial statements. Financial highlights for the other quarter-end periods have been derived from the Bank's unaudited financial statements.

Condensed Statements of Income

	Three months ended
	September 30,			June 30,			March 31,			December 31,			September 30,
(in millions)	2019			2019			2019			2018			2018
Net interest income	$	109.1		$	110.6		$	129.9		$	123.3		$	120.1
Provision for credit losses	0.4			1.0			0.4			0.3			—
Other noninterest income (loss)	(6.7		)	(11.4		)	4.1			(10.3		)	12.0
Other expense	23.2			22.6			24.6			25.8			22.6
Income before assessments	78.8			75.6			109.0			86.9			109.5
Affordable Housing Program (AHP) assessment (1)	8.5			7.9			11.0			8.7			11.0
Net income	$	70.3		$	67.7		$	98.0		$	78.2		$	98.5
Dividends	$	63.5		$	70.0		$	69.6		$	57.6		$	58.8
Dividends per share	1.87			2.04			1.83			1.55			1.65
Weighted average dividend rate	7.44		%	7.46		%	7.44		%	6.43		%	6.42		%
Dividend payout ratio (2)	90.40		%	103.39		%	71.01		%	73.74		%	59.71		%
Return on average equity	5.79		%	5.61		%	7.66		%	6.13		%	7.99		%
Return on average assets	0.26		%	0.27		%	0.38		%	0.31		%	0.41		%
Net interest margin (3)	0.41		%	0.45		%	0.51		%	0.50		%	0.51		%
Regulatory capital ratio (4)	4.88		%	4.70		%	4.99		%	4.95		%	5.16		%
GAAP capital ratio (5)	4.65		%	4.49		%	5.07		%	5.00		%	5.24		%
Total average equity to average assets	4.47		%	4.80		%	5.01		%	5.11		%	5.14		%

Notes:

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

⁽²⁾ Represents dividends paid as a percentage of net income for the respective periods presented.

⁽³⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

⁽⁴⁾ 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.

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

4

	Nine months ended
(in millions)	September 30, 2019			September 30, 2018
Net interest income	$	349.6		$	346.7
Provision for credit losses	1.8			2.8
Other noninterest income (loss)	(14.0		)	21.3
Other expense	70.4			66.3
Income before assessments	263.4			298.9
AHP assessment (1)	27.4			30.0
Net income	$	236.0		$	268.9
Dividends	$	203.1		$	171.5
Dividends per share	5.73			4.77
Weighted average dividend rate	7.45		%	6.42		%
Dividend payout ratio (2)	86.07		%	63.75		%
Return on average equity	6.38		%	7.35		%
Return on average assets	0.30		%	0.38		%
Net interest margin (3)	0.45		%	0.49		%
Regulatory capital ratio (4)	4.88		%	5.16		%
GAAP capital ratio (5)	4.65		%	5.24		%
Total average equity to average assets	4.75		%	5.11		%

Notes:

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

⁽²⁾ Represents dividends paid as a percentage of net income for the respective periods presented.

⁽³⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

⁽⁴⁾ 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.

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

Condensed Statements of Condition

	September 30,		June 30,		March 31,		December 31,		September 30,
(in millions)	2019		2019		2019		2018		2018
Cash and due from banks	$	13.8	$	66.2	$	79.9	$	71.3	$	158.6
Investments (1)	27,277.4		25,515.7		21,491.1		20,076.6		20,320.1
Advances	70,325.9		81,827.2		75,233.0		82,475.5		68,301.4
Mortgage loans held for portfolio, net	4,827.2		4,666.4		4,526.2		4,461.6		4,332.3
Total assets	102,913.7		112,520.8		101,772.0		107,486.5		93,481.9
Consolidated obligations:
Discount notes	28,155.7		35,010.0		26,731.3		36,896.6		27,756.0
Bonds	68,452.7		70,881.3		68,628.8		64,298.6		59,836.8
Total consolidated obligations	96,608.4		105,891.3		95,360.1		101,195.2		87,592.8
Deposits	556.2		559.0		623.2		387.0		502.2
Total liabilities	98,128.0		107,464.9		96,613.4		102,110.2		88,585.0
Capital stock - putable	3,372.9		3,643.2		3,745.6		4,027.3		3,546.6
Retained earnings	1,308.8		1,298.6		1,304.3		1,275.9		1,255.3
Total capital	4,785.7		5,055.9		5,158.6		5,376.3		4,896.9

Notes:

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

5

Earnings Performance

The following is Management's Discussion and Analysis of the Bank's earnings performance for the nine months ended September 30, 2019 and 2018, which should be read in conjunction with the Bank's unaudited interim financial statements included in this Form 10-Q as well as the audited financial statements included in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2018 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank's net income totaled $70.3 million for the third quarter of 2019, compared to $98.5 million for the third quarter of 2018. This $28.2 million decrease was driven primarily by higher interest expense, partially offset by higher interest income, related to higher short-term interest rates. In addition, an $18.7 million decrease in other noninterest income was driven primarily by net losses on derivatives and hedging activities, partially offset by net gains on investment securities. The Bank's return on average equity for the third quarter of 2019 was 5.79% compared to 7.99% for the third quarter of 2018.

For the nine months ended September 30, 2019, net income was $236.0 million, compared to $268.9 million for the same prior-year period, a decrease of $32.9 million. The decrease in net income was primarily driven by a $35.3 million decrease in other noninterest income, resulting from net losses on derivatives and hedging activities, partially offset by net gains on investment securities. The Bank's return on average equity for the first nine months of 2019 was 6.38% compared to 7.35% for the same prior year period.

6

Net Interest Income

The following table summarizes the yields and rates paid on interest-earning assets and interest-bearing liabilities, respectively, the average balance for each of the primary balance sheet classifications, and the net interest margin for the three and nine months ended September 30, 2019 and 2018.

Average Balances and Interest Yields/Rates Paid

	Three months ended September 30,
	2019					2018
(dollars in millions)	Average Balance		Interest Income/ Expense (1)		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (2)	$	10,532.4	$	59.1	2.23	$	6,680.7	$	32.9	1.96
Interest-bearing deposits (3)	1,598.5		9.4		2.32	815.0		3.8		1.84
Investment securities (4)	14,968.1		110.6		2.93	11,677.4		85.1		2.89
Advances (5)	74,816.4		478.5		2.54	70,765.2		432.0		2.42
Mortgage loans held for portfolio (6)	4,758.5		42.4		3.54	4,263.7		38.2		3.56
Total interest-earning assets	106,673.9		700.0		2.61	94,202.0		592.0		2.49
Other assets (7)	1,163.1					846.3
Total assets	$	107,837.0				$	95,048.3
Liabilities and capital:
Deposits (3)	$	582.8	$	2.9	1.99	$	462.3	$	2.0	1.74
Consolidated obligation discount notes	29,892.4		167.4		2.22	23,940.2		120.2		1.99
Consolidated obligation bonds (8)	71,164.2		413.9		2.31	65,001.0		349.3		2.13
Other borrowings	343.8		6.7		7.75	21.9		0.4		6.55
Total interest-bearing liabilities	101,983.2		590.9		2.30	89,425.4		471.9		2.09
Other liabilities	1,036.8					734.3
Total capital	4,817.0					4,888.6
Total liabilities and capital	$	107,837.0				$	95,048.3
Net interest spread					0.31					0.40
Impact of noninterest-bearing funds					0.10					0.11
Net interest income/net interest margin			$	109.1	0.41			$	120.1	0.51

Notes:

⁽¹⁾ On January 1, 2019, the Bank adopted ASU 2017-12. Changes in fair value of derivative instruments and the related hedged item for designated fair value hedges are now included in net interest income for reporting purposes. Prior to adoption, these amounts were reported in other noninterest income.

⁽²⁾ 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.

⁽³⁾ 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.

⁽⁴⁾ Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

⁽⁵⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $208.2 million and $(272.3) million in 2019 and 2018, respectively.

⁽⁶⁾ Nonaccrual mortgage loans are included in average balances in determining the average rate.

⁽⁷⁾ The allowance for credit losses and the noncredit portion of OTTI losses on investment securities is reflected in other assets for this presentation.

⁽⁸⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of $31.5 million and $(220.7) million in 2019 and 2018, respectively.

Net interest income for the third quarter of 2019 decreased $11.0 million from the same prior year period due to an increase in interest expense partially offset by higher interest income. Increased interest expense included higher funding costs on the Bank's consolidated obligations and interest expense on mandatorily redeemable capital stock. Interest-earning assets increased 13% and was primarily due to higher demand for advances and a higher amount of purchases in the Bank's liquidity

7

portfolio. The rate earned on interest-earning assets increased 12 basis points primarily due to a higher yield on advances. Interest income increased across all categories. The increase was driven by both higher volume and an increase in yield. The rate paid on interest-bearing liabilities increased 21 basis points due to higher funding costs on consolidated obligation bonds and discount notes. The impact of noninterest-bearing funds decreased one basis point.

Average Balances and Interest Yields/Rates Paid

	Nine months ended September 30,
	2019					2018
(dollars in millions)	Average Balance		Interest Income/ Expense (1)		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (2)	$	8,664.2	$	152.4	2.35	$	7,150.6	$	91.1	1.70
Interest-bearing deposits (3)	1,730.6		31.5		2.43	611.2		7.5		1.63
Investment securities (4)	13,416.8		307.5		3.06	11,448.7		230.0		2.69
Advances (5)	74,576.5		1,508.2		2.70	71,663.1		1,162.2		2.17
Mortgage loans held for portfolio (6)	4,622.5		126.9		3.67	4,114.6		110.0		3.58
Total interest-earning assets	103,010.6		2,126.5		2.76	94,988.2		1,600.8		2.26
Other assets (7)	1,095.0					798.7
Total assets	$	104,105.6				$	95,786.9
Liabilities and capital:
Deposits (3)	$	562.6	$	8.9	2.12	$	490.2	$	5.7	1.54
Consolidated obligation discount notes	28,174.2		497.4		2.36	24,955.1		318.4		1.71
Consolidated obligation bonds (8)	69,219.0		1,260.0		2.43	64,786.1		929.5		1.92
Other borrowings	184.0		10.6		7.73	11.3		0.5		6.31
Total interest-bearing liabilities	98,139.8		1,776.9		2.42	90,242.7		1,254.1		1.86
Other liabilities	1,017.9					651.7
Total capital	4,947.9					4,892.5
Total liabilities and capital	$	104,105.6				$	95,786.9
Net interest spread					0.34					0.40
Impact of noninterest-bearing funds					0.11					0.09
Net interest income/net interest margin			$	349.6	0.45			$	346.7	0.49

Notes:

⁽¹⁾ On January 1, 2019, the Bank adopted ASU 2017-12. Changes in fair value of derivative instruments and the related hedged item for designated fair value hedges are now included in net interest income for reporting purposes. Prior to adoption, these amounts were reported in other noninterest income.

⁽²⁾ 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.

⁽³⁾ 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.

⁽⁴⁾ Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

⁽⁵⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $50.3 million and $(235.5) million in 2019 and 2018, respectively.

⁽⁶⁾ Nonaccrual mortgage loans are included in average balances in determining the average rate.

⁽⁷⁾ The allowance for credit losses and the noncredit portion of OTTI losses on investment securities is reflected in other assets for this presentation.

⁽⁸⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of $(33.1) million and $(212.8) million in 2019 and 2018, respectively.

Net interest income for the first nine months of 2019 increased $2.9 million from the same prior year period due to an increase in interest income, partially offset by higher interest expense. Interest-earning assets increased 8% primarily due to higher demand for advances and a higher amount of purchases in the Bank's liquidity portfolio. The rate earned on interest-earning assets increased 50 basis points primarily due to a higher yield on advances. Interest income increased across all categories. The increase was driven by both higher volume and an increase in yield. The rate paid on interest-bearing

8

liabilities increased 56 basis points due to higher funding costs on consolidated obligation bonds and discount notes. The impact of noninterest-bearing funds increased two basis points due to higher interest rates.

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 for the three and nine months ended September 30, 2019 and 2018.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume 2019 compared to 2018
	Three months ended September 30,								Nine months ended September 30,
(in millions)	Volume		Rate			Total			Volume		Rate			Total
Federal funds sold	$	21.1	$	5.1		$	26.2		$	21.9	$	39.4		$	61.3
Interest-bearing deposits	4.4		1.2			5.6			18.9		5.1			24.0
Investment securities	24.3		1.2			25.5			42.6		34.9			77.5
Advances	25.4		21.1			46.5			48.9		297.1			346.0
Mortgage loans held for portfolio	4.4		(0.2		)	4.2			13.9		3.0			16.9
Total interest-earning assets	$	79.6	$	28.4		$	108.0		$	146.2	$	379.5		$	525.7
Interest-bearing deposits	$	0.6	$	0.3		$	0.9		$	0.9	$	2.3		$	3.2
Consolidated obligation discount notes	32.3		14.9			47.2			45.1		133.9			179.0
Consolidated obligation bonds	34.6		30.0			64.6			67.1		263.4			330.5
Other borrowings	6.2		0.1			6.3			10.0		0.1			10.1
Total interest-bearing liabilities	$	73.7	$	45.3		$	119.0		$	123.1	$	399.7		$	522.8
Total increase (decrease) in net interest income	$	5.9	$	(16.9	)	$	(11.0	)	$	23.1	$	(20.2	)	$	2.9

Interest income and interest expense both increased in both the quarter-over-quarter and year-over-year comparisons. In the quarterly comparison, the increase for both interest income and expense was primarily volume driven in addition to higher rates. In the year-over-year comparison, higher rates drove the increases in both interest income and expense augmented by higher volumes. The rate increase for both comparisons was primarily due to changes in market interest rates as the Federal funds target rate increased.

Interest expense on the average consolidated obligations portfolio increased in both comparisons. Rates paid on both discount notes and bonds rose due to the rise in market interest rates. Average discount note and bond balances increased in both comparisons. A portion of the bond portfolio is currently swapped to a variable rate; therefore, as the variable 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.

The following table presents the average par balances of the Bank's advance portfolio for the three and nine months ended September 30, 2019 and 2018. These balances do not reflect any hedge accounting adjustments.

(in millions)	Three months ended September 30,				Nine months ended September 30,
Product	2019		2018		2019		2018
RepoPlus/Mid-Term Repo	$	23,331.1	$	20,637.0	$	21,243.2	$	22,223.8
Core (Term)	51,257.1		50,365.3		53,263.1		49,639.5
Convertible Select	20.0		35.5		20.0		35.5
Total par value	$	74,608.2	$	71,037.8	$	74,526.3	$	71,898.8

Variances in total advances shown above were driven primarily by changes in large member activity.

9

Derivative Effects on Interest Income. On January 1, 2019, the Bank adopted ASU 2017-12. Changes in fair value of derivative instruments and the related hedged item for designated fair value hedges are now included in net interest income for reporting purposes. Prior to adoption, these amounts were reported in other noninterest income. See Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations and Note 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information. The following tables quantify the effects of the Bank's derivative activities on interest income and interest expense for the three and nine months ended September 30, 2019 and 2018.

Three Months Ended September 30, 2019 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives			Incr./ (Decr.) (%)
Assets:
Advances	$	74,816.4	$	478.5	2.54	$	470.1	2.49	$	8.4		0.05
Mortgage loans held for portfolio	4,758.5		42.4		3.54	43.2		3.60	(0.8		)	(0.06	)
All other interest-earning assets	27,099.0		179.1		2.62	180.3		2.64	(1.2		)	(0.02	)
Total interest-earning assets	$	106,673.9	$	700.0	2.61	$	693.6	2.58	$	6.4		0.03
Liabilities:
Consolidated obligation bonds	$	71,164.2	$	413.9	2.31	$	401.6	2.24	$	12.3		0.07
All other interest-bearing liabilities	30,819.0		177.0		2.28	177.0		2.28	—			—
Total interest-bearing liabilities	$	101,983.2	$	590.9	2.30	$	578.6	2.25	$	12.3		0.05
Net interest income/net  interest spread			$	109.1	0.31	$	115.0	0.33	$	(5.9	)	(0.02	)

Three Months Ended September 30, 2018 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives			Incr./ (Decr.) (%)
Assets:
Advances	$	70,765.2	$	432.0	2.42	$	417.6	2.34	$	14.4		0.08
Mortgage loans held for portfolio	4,263.7		38.2		3.56	39.2		3.64	(1.0		)	(0.08	)
All other interest-earning assets	19,173.1		121.8		2.52	122.1		2.53	(0.3		)	(0.01	)
Total interest-earning assets	$	94,202.0	$	592.0	2.49	$	578.9	2.44	$	13.1		0.05
Liabilities:
Consolidated obligation bonds	$	65,001.0	$	349.3	2.13	$	321.4	1.96	$	27.9		0.17
All other interest-bearing liabilities	24,424.4		122.6		1.99	122.6		1.99	—			—
Total interest-bearing liabilities	$	89,425.4	$	471.9	2.09	$	444.0	1.97	$	27.9		0.12
Net interest income/net  interest spread			$	120.1	0.40	$	134.9	0.47	$	(14.8	)	(0.07	)

10

Nine Months Ended September 30, 2019 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives			Incr./ (Decr.) (%)
Assets:
Advances	$	74,576.5	$	1,508.2	2.70	$	1,456.7	2.61	$	51.5		0.09
Mortgage loans held for portfolio	4,622.5		126.9		3.67	129.2		3.74	(2.3		)	(0.07	)
All other interest-earning assets	23,811.6		491.4		2.76	494.0		2.77	(2.6		)	(0.01	)
Total interest-earning assets	$	103,010.6	$	2,126.5	2.76	$	2,079.9	2.70	$	46.6		0.06
Liabilities:
Consolidated obligation bonds	$	69,219.0	$	1,260.0	2.43	$	1,194.5	2.31	$	65.5		0.12
All other interest-bearing liabilities	28,920.8		516.9		2.39	516.9		2.39	—			—
Total interest-bearing liabilities	$	98,139.8	$	1,776.9	2.42	$	1,711.4	2.33	$	65.5		0.09
Net interest income/net  interest spread			$	349.6	0.34	$	368.5	0.37	$	(18.9	)	(0.03	)

Nine Months Ended September 30, 2018 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives			Incr./ (Decr.) (%)
Assets:
Advances	$	71,663.1	$	1,162.2	2.17	$	1,140.1	2.13	$	22.1		0.04
Mortgage loans held for portfolio	4,114.6		110.0		3.58	112.6		3.66	(2.6		)	(0.08	)
All other interest-earning assets	19,210.5		328.6		2.29	332.5		2.31	(3.9		)	(0.02	)
Total interest-earning assets	$	94,988.2	$	1,600.8	2.26	$	1,585.2	2.23	$	15.6		0.03
Liabilities:
Consolidated obligation bonds	$	64,786.1	$	929.5	1.92	$	870.3	1.80	$	59.2		0.12
All other interest-bearing liabilities	25,456.6		324.6		1.70	324.6		1.70	—			—
Total interest-bearing liabilities	$	90,242.7	$	1,254.1	1.86	$	1,194.9	1.77	$	59.2		0.09
Net interest income/net  interest spread			$	346.7	0.40	$	390.3	0.46	$	(43.6	)	(0.06	)

The use of derivatives reduced net interest income and net interest spread for the three and nine months ended September 30, 2019 and 2018. The variances in the advances and consolidated obligation derivative impacts from period to period are driven by the change in the average 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 benchmark interest rates. 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 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 for Credit Losses. The provision for credit losses on mortgage loans held for portfolio and Banking on Business (BOB) loans was $371 thousand for the third quarter of 2019 compared to $47 thousand for the third quarter of 2018. For the nine months ended September 30, 2019 and 2018, the provision for credit losses on mortgage loans held for portfolio and BOB loans was $1.8 million and $2.8 million, respectively. The nine month decrease was primarily attributable to a non-recurring adjustment to the MPF Plus product which was made in the first quarter of 2018.

11

Other Noninterest Income

	Three months ended September 30,						Nine months ended September 30,
(in millions)	2019			2018			2019			2018
Net OTTI losses	$	(0.3	)	$	—		$	(0.3	)	$	(0.4	)
Net gains (losses) on investment securities	5.4			(3.0		)	23.3			(14.4		)
Net gains (losses) on derivatives and hedging activities	(17.4		)	7.8			(55.2		)	16.0
Standby letters of credit fees	5.3			5.8			16.3			17.3
Other, net	0.3			1.4			1.9			2.8
Total other noninterest income	$	(6.7	)	$	12.0		$	(14.0	)	$	21.3

The Bank's lower total other noninterest income for the third quarter and first nine months of 2019 compared to the same prior year periods was primarily due to the negative variance in net gains (losses) on derivatives and hedging activities, partially offset by the positive variance in net gains (losses) on investment securities. The net gains on investment securities reflects the impact of fair market value changes on Agency and U.S. Treasury investments held in the Bank's trading portfolio. The activity related to derivatives and hedging is discussed in more detail below.

Derivatives and Hedging Activities. The Bank enters into interest rate swaps, TBAs, interest rate caps and floors and swaption agreements, referred to 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. For 2019, due to the Bank's adoption of ASU 2017-12, fair value hedges impact net interest income and are discussed in more detail above. 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.

On January 1, 2019, the Bank adopted ASU 2017-12. Changes in fair value of the derivative instruments and the related hedged item for designated fair value hedges are now included in net interest income for reporting purposes. Prior to adoption, these amounts were reported in other noninterest income. See Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations and Note 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information. The following tables detail the net effect of derivatives and hedging activities on noninterest income for the three and nine months ended September 30, 2019 and 2018.

	Three months ended September 30, 2019
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	(1.9	)	$	(9.7	)	$	(9.0	)	$	2.9	$	—	$	—	$	(17.7	)
Other (1)	—			—			—			—		—		0.3		0.3
Total net gains (losses) on derivatives and hedging activities	$	(1.9	)	$	(9.7	)	$	(9.0	)	$	2.9	$	—	$	0.3	$	(17.4	)

12

	Three months ended September 30, 2018
(in millions)	Advances			Investments		Mortgage Loans		Bonds			Discount Notes		Other			Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	(0.2	)	$	0.2	$	—	$	2.6		$	—	$	—		$	2.6
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	0.5			7.1		4.1		(6.9		)	1.4		—			6.2
Other (1)	—			—		—		—			—		(1.0		)	(1.0		)
Total net gains (losses) on derivatives and hedging activities	$	0.3		$	7.3	$	4.1	$	(4.3	)	$	1.4	$	(1.0	)	$	7.8

	Nine months ended September 30, 2019
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	(15.1	)	$	(42.2	)	$	(31.9	)	$	33.7	$	0.2	$	—	$	(55.3	)
Other (1)	—			—			—			—		—		0.1		0.1
Total net gains (losses) on derivatives and hedging activities	$	(15.1	)	$	(42.2	)	$	(31.9	)	$	33.7	$	0.2	$	0.1	$	(55.2	)

	Nine months ended September 30, 2018
(in millions)	Advances		Investments		Mortgage Loans		Bonds			Discount Notes			Other			Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	0.3	$	2.8	$	—	$	(1.0	)	$	—		$	—		$	2.1
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	5.7		33.3		16.6		(39.1		)	(0.4		)	—			16.1
Other (1)	—		—		—		—			—			(2.2		)	(2.2		)
Total net gains (losses) on derivatives and hedging activities	$	6.0	$	36.1	$	16.6	$	(40.1	)	$	(0.4	)	$	(2.2	)	$	16.0

Notes:

⁽¹⁾ Represents the price alignment amount on derivatives for which variation margin is characterized as a daily settled contract.

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 $(17.7) million in the third quarter of 2019 compared to net gains of $6.2 million for the third quarter of 2018. For the nine months ended September 30, 2019, the Bank recorded net losses of $(55.3) million compared to net gains of $16.1 million for the same period in 2018. The losses during 2019 were primarily on the Bank's asset swaps due to decreases in interest rates throughout the year. In contrast, the gains during 2018 were due to increases in interest rates throughout the year. The total notional amount of economic hedges, which includes mortgage delivery commitments, was $9.2 billion at September 30, 2019 and $7.7 billion at December 31, 2018.

Other Expense

The Bank's total other expenses increased slightly to $23.2 million for the third quarter of 2019 compared to the same prior year period. For the first nine months of 2019 compared to the same prior year period, the Bank's total other expense increased $4.1 million, to $70.4 million. The increase was primarily due to higher fees paid to the Finance Agency and the Office of Finance (OF), technology-related costs and contractual service fees.

13

Financial Condition

The following should be read in conjunction with the Bank's unaudited interim financial statements in this Form 10-Q and the audited financial statements in the Bank's 2018 Form 10-K.

Assets

Total assets were $102.9 billion at September 30, 2019, compared with $107.5 billion at December 31, 2018, a decrease of $4.6 billion. The decrease was primarily due to lower advances, partially offset by an increase in the liquidity portfolio and investments. Advances totaled $70.3 billion at September 30, 2019, a decrease of $12.2 billion compared to $82.5 billion at December 31, 2018.

The Bank's core mission activities include the issuance of advances and acquiring member assets through the Mortgage Partnership Finance^® (MPF^®) program. The core mission asset ratio, defined as the ratio of par amount of advances and MPF loans relative to consolidated obligations and high quality liquid assets using full year average balances, was 83.0% and 84.6% as of September 30, 2019 and December 31, 2018, respectively.

Advances. Advances (par) totaled $70.1 billion at September 30, 2019 compared to $82.6 billion at December 31, 2018. At September 30, 2019, the Bank had advances to 164 borrowing members, compared to 184 borrowing members at December 31, 2018. 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. Advances outstanding to the Bank’s five largest borrowers increased to 79.3% of total advances as of September 30, 2019, compared to 77.2% at December 31, 2018. In the second quarter of 2019, Chase Bank USA, N.A. (Chase), one of the Bank’s five largest borrowers became a non-member as its charter was merged with an entity outside of the Bank’s district. Chase's outstanding advance balance as of September 30, 2019 is $8.0 billion.

14

The following table provides advances at par by redemption terms at September 30, 2019 and December 31, 2018.

	September 30,		December 31,
(in millions)	2019		2018
Fixed-rate
Due in 1 year or less (1)	$	16,976.8	$	22,556.5
Due after 1 year through 3 years	13,341.1		11,897.9
Due after 3 years through 5 years	2,916.5		4,973.7
Thereafter	610.2		632.6
Total par value	$	33,844.6	$	40,060.7
Fixed-rate, callable or prepayable(1)
Due after 1 year through 3 years	$	20.0	$	—
Total par value	$	20.0	$	—
Variable-rate
Due in 1 year or less (1)	$	11,494.9	$	8,813.9
Due after 1 year through 3 years	9,123.0		17,313.0
Due after 3 years through 5 years	100.0		100.0
Thereafter	3.1		3.1
Total par value	$	20,721.0	$	26,230.0
Variable-rate, callable or prepayable(2)
Due in 1 year or less	$	3,225.0	$	6,115.0
Due after 1 year through 3 years	11,835.0		9,725.0
Due after 3 years through 5 years	40.0		10.0
Total par value	$	15,100.0	$	15,850.0
Other(3)
Due in 1 year or less	$	131.3	$	147.1
Due after 1 year through 3 years	153.3		161.0
Due after 3 years through 5 years	67.7		75.0
Thereafter	64.3		73.8
Total par value	$	416.6	$	456.9
Total par balance	$	70,102.2	$	82,597.6

Notes:

⁽¹⁾ Includes overnight advances.

⁽²⁾ Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees.

⁽³⁾ Includes fixed-rate amortizing/mortgage matched, convertible, and other advances.

The Bank had no putable advances at September 30, 2019 or December 31, 2018.

15

The following table provides a distribution of the number of members, categorized by individual member asset size (as reported quarterly), that had an outstanding advance balance during the nine months ended September 30, 2019 and 2018. Commercial Bank, Savings Institution, and Credit Union members are classified by asset size as follows: Large (over $25 billion), Regional ($4 billion to $25 billion), Mid-size ($1.2 billion to $4 billion) and Community Financial Institutions (CFIs) (under $1.2 billion).

	September 30,		September 30,
Member Classification	2019		2018
Large	5		6
Regional	15		17
Mid-size	27		26
CFI (1)	162		173
Insurance	15		16
Total borrowing members during the period	224		238
Total membership	289		294
Percentage of members borrowing during the period	77.5	%	81.0	%

Notes:

⁽¹⁾ For purposes of this member classification reporting, the Bank groups community development financial institutions (CDFIs) with CFIs.

The following table provides information at par on advances by member classification at September 30, 2019 and December 31, 2018.

(in millions)	September 30, 2019		December 31, 2018
Member Classification
Large	$	47,900.0	$	63,675.0
Regional	4,934.3		8,835.7
Mid-size	3,630.8		4,062.9
CFI	3,311.6		3,739.0
Insurance	1,808.1		1,783.2
Non-member	8,517.4		501.8
Total	$	70,102.2	$	82,597.6

As of September 30, 2019, total advances decreased 15% compared with balances at December 31, 2018. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. In addition, in the second quarter of 2019, Chase became a non-member as its charter was merged with an entity outside of the Bank’s district. Advances of $8.0 billion to Chase moved from the Large member classification to Non-member in the table above.

See the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section of this Item 2 for further information on collateral policies and practices and details regarding eligible collateral, including amounts and percentages of eligible collateral securing member advances as of September 30, 2019.

Mortgage Loans Held for Portfolio.Mortgage loans held for portfolio, net of allowance for credit losses, totaled $4.8 billion and $4.5 billion at September 30, 2019 and December 31, 2018, respectively.

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 participating financial institutions (PFIs) under the MPF Program. The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged and not reaffirmed under the MPF Program to be troubled debt restructurings (TDRs), since some form of concession has been made by the Bank.

16

Foregone interest represents income the Bank would have recorded if the loan was paying according to its contractual terms. Foregone interest was immaterial for both the Bank's mortgage loans and BOB loans for the first nine months of 2019 and 2018. Balances regarding the Bank’s loan products are summarized below.

(in millions)	September 30, 2019		December 31, 2018
Advances (1)	$	70,325.9	$	82,475.5
Mortgage loans held for portfolio, net (2)	4,827.2		4,461.6
Nonaccrual mortgage loans (3)	17.9		16.6
Mortgage loans 90 days or more delinquent and still accruing interest (4)	3.8		4.1
BOB loans, net	20.0		17.3

Notes:

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

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

⁽³⁾ Nonaccrual mortgage loans are reported net of interest applied to principal and do not include performing TDRs.

⁽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, and the MPFOriginal portfolio continues to outperform the market based on national delinquency statistics. As of September 30, 2019, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.4% of the MPF Original portfolio and 2.0% of the MPF Plus portfolio compared with 0.4% and 2.2%, respectively, at December 31, 2018. The MPF 35 portfolio delinquency was 0.07 % and 0.02%, at September 30, 2019 and December 31, 2018, respectively.

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, specifically in cases where a member fails, management has determined that a zero ACL for advances is supportable 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 and Collateral discussion in Item 1. Business in the Bank's 2018 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 credit enhancement (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 based on realized losses incurred on the sale of mortgage loan collateral, including a factor that reduces estimated proceeds from primary mortgage insurance (PMI) given the credit deterioration experienced by those companies.

Mortgage loans are assessed by a third party's credit model at acquisition and a CE is calculated based on loan attributes and the Bank’s risk tolerance on its entire MPF portfolio. Credit losses on a mortgage loan may only be absorbed by the CE amount in the master commitment related to the loan. In addition, 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 First Loss Account (FLA). Additional eligible credit losses are covered by CEs provided by PFIs (available CE) until exhausted. Certain losses incurred by the Bank on MPF 35 and 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.

17

The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at September 30, 2019 and December 31, 2018.

	MPF CE structure September 30, 2019				ACL September 30, 2019
(in millions)	FLA		Available CE		Estimate of Credit Loss		Charge - offs			Reduction to the ACL due to CE			ACL
MPF Original	$	6.0	$	81.3	$	4.6	$	(1.3	)	$	(2.5	)	$	0.8
MPF 35	8.9		96.5		1.1		—			(1.1		)	—
MPF Plus	16.0		6.6		9.3		—			(1.8		)	7.5
Total	$	30.9	$	184.4	$	15.0	$	(1.3	)	$	(5.4	)	$	8.3

	MPF CE structure December 31, 2018				ACL December 31, 2018
(in millions)	FLA		Available CE		Estimate of Credit Loss		Charge - offs			Reduction to the ACL due to CE			ACL
MPF Original	$	5.4	$	80.0	$	4.5	$	(1.2	)	$	(2.9	)	$	0.4
MPF 35	7.0		74.3		0.3		—			(0.3		)	—
MPF Plus	16.5		7.6		8.9		—			(2.0		)	6.9
Total	$	28.9	$	161.9	$	13.7	$	(1.2	)	$	(5.2	)	$	7.3

The ACL on mortgage loans increased $1.0 million during the first nine months of 2019 due to an increase in the probability of default for MPF Original loans that are currently performing and an increase in the ACL associated with the MPF Plus product due to lower CE fee recovery resulting from a shorter weighted average life of the portfolio.

18

Cash and Investments. 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. Excess cash is typically invested in overnight investments. The Bank also maintains an investment portfolio to enhance earnings. These investments may be classified as trading, AFS or HTM.

The Bank maintains a liquidity portfolio comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or AFS. The liquidity portfolio at September 30, 2019 increased by $4.8 billion compared to December 31, 2018, primarily due to increased investment in U.S. Treasury obligations and as a result of changes in the liquidity regulations issued by the Finance Agency, effective March 31, 2019. At December 31, 2018, liquidity also included GSE and TVA obligations classified as trading.

The Bank's investment portfolio is comprised of trading, AFS and HTM investments (excluding those investments included in the liquidity portfolio). The investments must meet the Bank's risk guidelines and certain other requirements, such as yield. The Bank's investment portfolio totaled $13.3 billion and $10.9 billion at September 30, 2019 and December 31, 2018, respectively.

Investment securities, including all trading, AFS, and HTM securities, totaled $17.0 billion at September 30, 2019, compared to $12.2 billion at December 31, 2018. Details of the investment securities follow.

	Carrying Value
(in millions)	September 30, 2019			December 31, 2018
Trading securities:
Non-MBS:
U.S. Treasury obligations	$	3,667.3		$	997.1
GSE and TVA obligations	242.9			284.0
Total trading securities	$	3,910.2		$	1,281.1
Yield on trading securities	2.16		%	2.51		%
AFS securities:
GSE and TVA obligations	$	1,563.2		$	1,785.3
State or local agency obligations	250.0			245.9
MBS:
U.S. obligations single-family MBS	703.0			218.5
GSE single-family MBS	3,638.7			2,581.5
GSE multifamily MBS	4,125.0			2,605.5
Private label residential MBS	344.5			409.6
Total AFS securities	$	10,624.4		$	7,846.3
Yield on AFS securities	2.83		%	3.05		%
HTM securities:
Certificates of deposit	$	—		$	700.0
State or local agency obligations	98.5			102.7
MBS:
U.S. obligations single-family MBS	268.1			325.2
GSE single-family MBS	1,103.1			899.9
GSE multifamily MBS	804.9			853.0
Private label residential MBS	159.5			205.2
Total HTM securities	$	2,434.1		$	3,086.0
Yield on HTM securities	3.33		%	3.27		%
Total investment securities	$	16,968.7		$	12,213.4
Yield on investment securities	2.75		%	3.05		%

19

As of September 30, 2019, the Bank held securities from the following issuers with a book value greater than 10% of Bank total capital.

(in millions)	Total Book Value		Total Fair Value
Fannie Mae	$	6,551.3	$	6,572.3
U.S. Treasury	3,667.3		3,667.3
Freddie Mac	3,145.8		3,185.9
Federal Farm Credit Banks	1,696.4		1,696.4
Ginnie Mae	890.0		891.5
Total	$	15,950.8	$	16,013.4

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

Liabilities and Capital

Deposits. The Bank offers demand, overnight and term deposits for members and qualifying nonmembers. Total deposits at September 30, 2019 increased to $556.2 million from $387.0 million at December 31, 2018.

Consolidated Obligations. Consolidated obligations consist of bonds and discount notes. The Bank's consolidated obligations totaled $96.6 billion at September 30, 2019, a decrease of $4.6 billion from December 31, 2018.

At September 30, 2019, the Bank’s bonds outstanding increased to $68.4 billion compared to $64.3 billion at December 31, 2018. Conversely, discount notes outstanding at September 30, 2019 decreased to $28.2 billion from $36.9 billion at December 31, 2018. The overall decrease in consolidated obligations is largely consistent with the change in total assets.

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. For additional information on the Bank's consolidated obligations, refer to Note 14 to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data of the Bank's 2018 Form 10-K.

Commitments and Off-Balance Sheet Items. As of September 30, 2019, the Bank was obligated to fund approximately $10.9 million in additional advances and BOB loans, $103.6 million of mortgage loans, and to issue $1,472.0 million in consolidated obligations. In addition, the Bank had $18.6 billion in outstanding standby letters of credit as of September 30, 2019. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

Capital and Retained Earnings. 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)	September 30, 2019			December 31, 2018
Commercial banks	143	$	3,005.8	146	$	3,629.2
Savings institutions	53	159.3		58	197.9
Insurance companies	32	138.1		29	131.6
Credit unions	59	69.3		56	68.2
CDFI	2	0.4		2	0.4
Total member institutions / total GAAP capital stock	289	$	3,372.9	291	$	4,027.3
Mandatorily redeemable capital stock		343.7			24.1
Total capital stock		$	3,716.6		$	4,051.4

The total number of members as of September 30, 2019 decreased by two members compared to December 31, 2018. The Bank lost eight members in the first nine months of 2019 and added six new members. Two members merged their charters with entities outside of the Bank's district; one member completed their membership withdrawal; and five members merged with another institution within the Bank's district.

20

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 September 30, 2019 and December 31, 2018.

(dollars in millions)	September 30, 2019
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	1,107.0	29.8	%
Ally Bank, Midvale, UT	711.8		19.2

	December 31, 2018
	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	947.4	23.4	%
Ally Bank, Midvale, UT	903.5		22.3
Chase Bank USA, N.A., Wilmington, DE	537.2		13.3

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.

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

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

Management has developed and adopted a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The framework includes four risk elements that comprise the Bank's total retained earnings target: (1) market risk; (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 $469 million as of September 30, 2019. The Bank's retained earnings were $1,308.8 million at September 30, 2019.

Retained earnings increased $32.9 million to $1,308.8 million at September 30, 2019, compared to $1,275.9 million at December 31, 2018. The increase in retained earnings during the first nine months of 2019 reflected net income that was partially offset by dividends paid. Total retained earnings at September 30, 2019 included unrestricted retained earnings of $909.7 million and restricted retained earnings (RRE) of $399.1 million.

Capital Resources

The following should be read in conjunction with the unaudited interim financial statements included in this Form 10-Q, the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data and the Capital Resources section of Item 1. Business in the Bank's 2018 Form 10-K.

21

Risk-Based Capital (RBC)

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

(in millions)	September 30, 2019		December 31, 2018
Permanent capital:
Capital stock (1)	$	3,716.6	$	4,051.4
Retained earnings	1,308.8		1,275.9
Total permanent capital	$	5,025.4	$	5,327.3
RBC requirement:
Credit risk capital	$	364.7	$	375.7
Market risk capital	249.2		577.1
Operations risk capital	184.2		285.9
Total RBC requirement	$	798.1	$	1,238.7
Excess permanent capital over RBC requirement	$	4,227.3	$	4,088.6

Note:

⁽¹⁾ Capital stock includes mandatorily redeemable capital stock.

The decrease in the total RBC requirement as of September 30, 2019 is mainly related to the change in the market risk capital component. The change was primarily driven by a decrease in the severity of the scenarios modeled as a result of lower interest rates. The Finance Agency has issued an Advisory Bulletin effective for RBC reporting beginning with the first quarter of 2020, which revises the market risk scenario methodology and significantly lessens the influence of the level of rates on the scenarios under the current requirements. The Bank continues to maintain significant excess permanent capital over the RBC requirement.

On September 25, 2019, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2019. 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 September 30, 2019.

Critical Accounting Policies and Estimates

The Bank's financial statements are prepared by applying certain accounting policies. Note 1 - Summary of Significant Accounting Policies in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2018 Form 10-K describes the most significant accounting policies used by the Bank. In addition, the Bank's critical accounting policies and estimates are presented in Item 7. Management's Discussion and Analysis in the Bank's 2018 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank's reported results and financial position for the period or in future periods. Management views these policies as critical accounting policies.

During the nine months ended September 30, 2019, the Bank updated its critical accounting policy on Accounting for Derivatives as a result of adoption of ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities. Effective January 1, 2019, the Bank updated is application of hedge accounting for the designation of a fallback long-haul method for short-cut hedge strategies and the use of qualitative hedge effectiveness assessments for an appropriate subset of fair value relationships. In addition, the Bank modified its presentation of results of fair value hedges within its results of operations. See Note 9 - Derivatives and Hedging Activities in this Form 10-Q.

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

22

Legislative and Regulatory Developments

Advisory Bulletin 2019-03 Capital Stock Management.  On August 14, 2019, the Finance Agency issued an Advisory Bulletin (AB) providing guidance that augments existing statutory and regulatory capital requirements to require each FHLBank to maintain a ratio of at least 2% of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the Bank. Beginning in February 2020, the Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLBank’s capital management practices. The Bank does not expect the AB to have a material impact on the Bank’s capital management practices, financial condition, and/or results of operations.

Finance Agency Supervisory Letter - Planning for LIBOR Phase-Out.  On September 27, 2019, the Finance Agency issued a Supervisory Letter (Supervisory Letter) to the FHLBanks that the Finance Agency stated is designed to ensure the FHLBanks will be able to identify and prudently manage the risks associated with the termination of LIBOR in a safe and sound manner. The Supervisory Letter provides that the FHLBanks should, by March 31, 2020, cease entering into new LIBOR referenced financial assets, liabilities, and derivatives with maturities beyond December 31, 2021 for all product types except investments. With respect to investments, the FHLBanks should, by December 31, 2019, stop purchasing investments that reference LIBOR and mature after December 31, 2021. These phase-out dates do not apply to collateral accepted by the FHLBanks.  The Supervisory Letter also directs the FHLBanks to update their pledged collateral certification reporting requirements by March 31, 2020 in an effort to encourage members to distinguish LIBOR-linked collateral maturing after December 31, 2021.

As a result of the Supervisory Letter, beginning on December 31, 2019, the Bank will cease purchasing investments that reference LIBOR and mature after December 31, 2021. On March 31, 2020, the Bank expects to suspend transactions in certain advances linked to LIBOR that mature after December 31, 2021, and to no longer enter into derivatives indexed to LIBOR that mature after December 31, 2021. The Bank does not expect the Supervisory Letter to have a material impact on the Bank’s financial condition and results of operations.

Office of the Comptroller of the Currency (OCC), Board of Governors of the Federal Reserve System (Federal Reserve), and Federal Deposit Insurance Corporation (FDIC) Final Rules on Changes to Applicability Thresholds for Regulatory Capital and Liquidity Requirements. In October 2019, the OCC, the Federal Reserve and the FDIC adopted final rules that establish risk-based categories for determining the applicability of requirements under the regulatory capital rule and liquidity coverage ratio rule for large U.S. banking organizations. The rules establish four categories of standards and apply tailored capital and liquidity requirements for banking organizations subject to each category. Organizations in the lowest risk category, those with $100 billion or more in total consolidated assets and that do not meet the thresholds for one of the other categories (Category IV), with at least $50 billion, but less than $75 billion, of weighted short-term wholesale funding, are subject to reduced liquidity requirements equivalent to 70% of the full liquidity coverage ratio requirement. Organizations in the next lowest risk category, those with $250 billion or more in total consolidated assets that are not “global systemically important banking organizations” (GSIBs) (Category III), with less than $75 billion of weighted short-term wholesale funding, are subject to reduced liquidity requirements equivalent to 85% of the full liquidity coverage ratio requirement. Organizations in the highest risk categories, those with $700 billion or more in total consolidated assets (Category II) and GSIBs (Category I), continue to be subject to existing capital and liquidity requirements. These changes could result in reduced advance levels for the Bank.

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, business risk and various forms of operational and technology 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.

23

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, among others:

•market and interest rate risk;

•credit and counterparty risk;

•liquidity and funding risk; and

•operational and business risk.

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 the Bank's 2018 Form 10-K. Details regarding the Bank's risk governance framework and processes are included in the "Risk Governance" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2018 Form 10-K.

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

The current Board-approved floor for MV/CS is 90.0%. MV/CS is measured against the floor monthly. When MV/CS is below the established floor, excess capital stock repurchases and dividend payouts are restricted. See the “Capital and Retained Earnings” discussion in Financial Condition in this Item 2 for details regarding the Bank’s retained earnings policy. The MV/CS ratio was 138.6% at September 30, 2019 and 134.0% at December 31, 2018. The increase was primarily due to the growth in retained earnings and the decline in capital stock as a result of lower advances.

Qualitative and Quantitative Disclosures Regarding Market Risk

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

The Bank's Market Risk 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 the Bank's model risk management department, which is separate from the model owner. These model validations may include third-party specialists when appropriate. The model validations are supplemented by performance monitoring by the model owner which is reported to the Bank's model risk management department. In addition the Bank benchmarks model-derived fair values to those provided by third-party services or alternative internal valuation models. The benchmarking analysis is performed by a group that is separate from the model owner. Results of the model validations and benchmarking analysis, as well as any changes to the valuation methodologies and inputs, are reported to the Bank's Asset and Liability Committee (ALCO) (or subcommittee of), which is responsible for overseeing market risk.

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.

24

The following table presents the Bank's duration of equity exposure at September 30, 2019 and December 31, 2018. Given the low level of interest rates, an instantaneous parallel interest rate shock of "down 200 basis points" could not be meaningfully measured for these periods and therefore is not presented.

(in years)	Down 100 basis points	Base Case	Up 100  basis points	Up 200  basis points
Actual Duration of Equity:
September 30, 2019	0.6	0.0	1.1	1.6
December 31, 2018	(0.3)	0.1	0.3	0.5

Duration of equity changes in the first nine months of 2019 were primarily the result of lower interest rates and balance sheet management actions (e.g. funding and hedging 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.

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 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	Down 100 bps Parallel Shock	100 bps Steeper	100 bps Flatter	Up 200 bps Parallel Shock
September 30, 2019	(25)	31	55	(17)	(21)
December 31, 2018	(1)	(16)	(15)	23	23

Changes in ROE spread volatility in the first nine months of 2019 primarily reflect the impact of lower interest rates and balance sheet management actions (e.g. funding and hedging decisions). For each scenario, 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 September 30, 2019 and December 31, 2018.

Mark-to-Market Risk. The Bank measures earnings risk associated with certain mark-to-market positions, including economic hedges. This framework measures forward-looking, scenario-based exposure based on interest rate and volatility shocks that are applied to any existing transaction that is marked to market through the income statement without an offsetting mark arising from a qualifying hedge relationship. In addition, the Bank's Capital Markets and Corporate Risk Management departments monitor the actual profit/loss change on a daily, monthly cumulative, and quarterly cumulative basis. The Bank's ALCO monitors mark-to-market risk through a daily exposure guideline and quarterly profit/loss reporting trigger.

25

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

TCE.The Bank manages the credit risk of each member on the basis of the member’s total credit exposure (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; 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. At September 30, 2019, aggregate TCE was $90.4 billion, comprised of approximately $70.1 billion in advance principal outstanding, $19.9 billion in letters of credit (including forward commitments) and $0.4 billion in advance commitments, accrued interest, prepayment fees, MPF credit enhancement obligations and other fees.

The Bank establishes a maximum borrowing capacity (MBC) for each member based on collateral weightings applied to eligible collateral as described in the Bank’s Member Products Policy. Details regarding this policy are available in the Advance Products discussion in Item 1. Business in the Bank's 2018 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. At September 30, 2019 and December 31, 2018, on a borrower-by-borrower basis, the Bank had a perfected security interest in eligible collateral with an estimated collateral value (after collateral weightings) in excess of the book value of all members’ and nonmember housing associates’ obligations to the Bank.

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 internal credit rating (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 which include net income, capital levels, reserve coverage and other factors for the previous four quarters are used. The most recent quarter’s results are 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 well defined financial weaknesses as described in the Bank's policy. Members in these categories are reviewed for potential collateral delivery status. Other uses of the ICR include the scheduling of on-site collateral reviews. Insurance company members are rated on the same credit scale as depository institutions, but the analysis includes both quantitative and qualitative factors. 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.

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 advance exposure.

26

The following table presents the Bank’s top five financial entities with respect to their TCE at September 30, 2019.

	September 30, 2019
(dollars in millions)	TCE		% of Total
PNC Bank, National Association, DE (1)	$	21,942.2	24.3	%
Ally Bank, UT (2)	16,496.2		18.2
TD Bank, National Association, DE	11,017.4		12.2
Chase Bank USA, N.A., DE (3)	8,010.4		8.9
Santander Bank, National Association, DE (4)	7,594.1		8.4
	65,060.3		72.0
Other financial institutions	25,316.2		28.0
Total TCE outstanding	$	90,376.5	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⁾ In the second quarter of 2019, Chase became a non-member as its charter was merged with an entity outside of the Bank’s district.

⁽⁴⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

Advance Concentration Risk. The following table lists the Bank’s top five borrowers based on advance balances at par as of September 30, 2019.

	September 30, 2019
(dollars in millions)	Advance Balance		% of Total
PNC Bank, National Association, DE (1)	$	21,900.0	31.2	%
Ally Bank, UT (2)	16,450.0		23.5
Chase Bank USA, N.A., DE (3)	8,000.0		11.4
Santander Bank, National Association, DE (4)	6,725.0		9.6
First National Bank of Pennsylvania, PA	2,500.0		3.6
	55,575.0		79.3
Other borrowers	14,527.2		20.7
Total advances	$	70,102.2	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⁾ In the second quarter of 2019, Chase became a non-member as its charter was merged with an entity outside of the Bank’s district.

⁽⁴⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

The average year-to-date September 30, 2019 balances for the five largest borrowers totaled $58.3 billion, or 78.3% of total average advances outstanding. 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 implemented specific credit and collateral review monitoring for these members.

Letters of Credit. The letter of credit product is collateralized under the same policies, procedures and guidelines that apply to advances. Outstanding letters of credit totaled $18.6 billion at September 30, 2019, and $20.2 billion at December 31, 2018, primarily related to public unit deposits. Available master standby letters of credit of $1.0 billion at both September 30, 2019 and December 31, 2018, are not included in these totals. At September 30, 2019, the Bank had a concentration of letters of credit with TD Bank totaling $10.2 billion or 54.8% of the total amount. At December 31, 2018, $12.1 billion or 59.8% of the letters of credit were concentrated with TD Bank and PNC Bank.

Collateral Policies and Practices. All members are required to maintain eligible collateral to secure their TCE. Refer to the Risk Management section of the Bank's 2018 Form 10-K for additional information related to the Bank’s Collateral Policy.

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

27

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. Details regarding average lending values provided under both blanket liens and specific liens and delivery arrangements are available in the "Credit and Counterparty Risk - TCE and Collateral" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2018 Form 10-K.

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 members/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 September 30, 2019 and December 31, 2018.

	September 30, 2019
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	88,923.0	43.6	%	$	5,733.5	74.0	%	$	9,505.9	86.6	%	$	104,162.4	46.7	%
High quality investment securities	4,704.4		2.3		2,012.6		26.0		1,443.6		13.2		8,160.6		3.7
ORERC (1) /CFI eligible collateral	91,099.1		44.6		—		—		18.9		0.2		91,118.0		40.9
Multi-family residential mortgage   loans	19,405.8		9.5		—		—		0.1		—		19,405.9		8.7
Total eligible collateral value	$	204,132.3	100.0	%	$	7,746.1	100.0	%	$	10,968.5	100.0	%	$	222,846.9	100.0	%
Total TCE	$	79,552.7	88.1	%	$	1,834.9	2.0	%	$	8,988.9	9.9	%	$	90,376.5	100.0	%
Number of members	181		87.0	%	12		5.8	%	15		7.2	%	208		100.0	%

	December 31, 2018
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	84,382.9	40.7	%	$	20,917.0	92.4	%	$	14.3	1.1	%	$	105,314.2	45.5	%
High quality investment securities	11,484.7		5.5		1,719.3		7.6		1,252.5		97.1		14,456.5		6.2
ORERC/CFI eligible collateral	92,568.1		44.6		—		—		23.5		1.8		92,591.6		40.0
Multi-family residential mortgage   loans	19,173.1		9.2		—		—		0.1		—		19,173.2		8.3
Total eligible collateral value	$	207,608.8	100.0	%	$	22,636.3	100.0	%	$	1,290.4	100.0	%	$	231,535.5	100.0	%
Total TCE	$	86,398.3	82.8	%	$	16,986.0	16.2	%	$	1,012.7	1.0	%	$	104,397.0	100.0	%
Number of members	193		88.5	%	12		5.5	%	13		6.0	%	218		100.0	%

Note:

⁽¹⁾ Other real estate related collateral

28

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.

Investment Quality and External Credit Ratings. The following tables present the Bank’s investment carrying values as of September 30, 2019 and December 31, 2018, based on the lowest credit rating from the NRSROs (Moody’s, S&P and Fitch).

	September 30, 2019(1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	1,568.3	$	—	$	—	$	—	$	1,568.3
Securities purchased under agreements to resell	—		—		—		1,000.0		800.0		—		1,800.0
Federal funds sold	—		1,685.0		5,000.0		250.0		—		—		6,935.0
Total money market investments	—		1,685.0		6,568.3		1,250.0		800.0		—		10,303.3
Investment securities:
U.S. Treasury obligations	—		3,667.3		—		—		—		—		3,667.3
GSE and TVA obligations	—		1,806.1		—		—		—		—		1,806.1
State or local agency obligations	26.2		322.3		—		—		—		—		348.5
Total non-MBS	26.2		5,795.7		—		—		—		—		5,821.9
U.S. obligations single-family MBS	—		971.1		—		—		—		—		971.1
GSE single-family MBS	—		4,741.8		—		—		—		—		4,741.8
GSE multifamily MBS	—		4,929.9		—		—		—		—		4,929.9
Private label residential MBS	—		28.8		40.8		28.5		178.5		227.4		504.0
Total MBS	—		10,671.6		40.8		28.5		178.5		227.4		11,146.8
Total investments	$	26.2	$	18,152.3	$	6,609.1	$	1,278.5	$	978.5	$	227.4	$	27,272.0

29

	December 31, 2018 (1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	2,117.8	$	—	$	—	$	—	$	2,117.8
Securities purchased under agreements to resell	—		—		—		—		1,000.0		—		1,000.0
Federal funds sold	—		1,000.0		3,590.0		150.0		—		—		4,740.0
Total money market investments	—		1,000.0		5,707.8		150.0		1,000.0		—		7,857.8
Investment securities:
U.S. Treasury obligations	—		997.1		—		—		—		—		997.1
Certificates of deposit	—		200.0		500.0		—		—		—		700.0
GSE and TVA obligations	—		2,069.3		—		—		—		—		2,069.3
State or local agency obligations	25.4		323.2		—		—		—		—		348.6
Total non-MBS	25.4		3,589.6		500.0		—		—		—		4,115.0
U.S. obligations single-family MBS	—		543.7		—		—		—		—		543.7
GSE single-family MBS	—		3,481.4		—		—		—		—		3,481.4
GSE multifamily MBS	—		3,458.5		—		—		—		—		3,458.5
Private label residential MBS	—		40.9		53.0		47.5		197.4		276.0		614.8
Total MBS	—		7,524.5		53.0		47.5		197.4		276.0		8,098.4
Total investments	$	25.4	$	12,114.1	$	6,260.8	$	197.5	$	1,197.4	$	276.0	$	20,071.2

Notes:

⁽¹⁾ Balances exclude total accrued interest of $53.3 million and $35.6 million for September 30, 2019 and December 31, 2018, 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. Within the portfolio of short-term investments, the Bank faces credit risk from unsecured exposures. The Bank's unsecured credit investments have maturities generally ranging between overnight and six months and may include the following types:

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

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

• Certificates of deposit. Unsecured negotiable promissory notes issued by banks and payable to the bearer at maturity or 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.

30

As of September 30, 2019, the Bank had unsecured exposure to 16 counterparties totaling $8.5 billion, with one counterparty exceeding 10% of the total exposure. The following table presents the Bank's unsecured credit exposure with non-governmental counterparties by investment type at September 30, 2019 and December 31, 2018. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions)
Carrying Value (1)	September 30, 2019		December 31, 2018
Interest-bearing deposits	$	1,568.3	$	2,117.8
Certificates of deposit	—		700.0
Federal funds sold	6,935.0		4,740.0
Total	$	8,503.3	$	7,557.8

Note:

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

As of September 30, 2019, 59.2% of the Bank’s unsecured investment credit exposures were to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing exposures.

Finance Agency regulations include limits on the amount of unsecured credit the Bank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty's overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of the Bank's total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. 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 September 30, 2019, 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.

31

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)
September 30, 2019 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	3,218.3	$	250.0	$	3,468.3
U.S. branches and agency offices of foreign commercial banks:
Australia	1,000.0		—		—		1,000.0
Canada	—		1,600.0		—		1,600.0
Finland	685.0		—		—		685.0
France	—		700.0		—		700.0
Netherlands	—		800.0		—		800.0
Norway	—		250.0		—		250.0
Total U.S. branches and agency offices of foreign commercial banks	1,685.0		3,350.0		—		5,035.0
Total unsecured investment credit exposure	$	1,685.0	$	6,568.3	$	250.0	$	8,503.3

(in millions)
December 31, 2018 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	3,942.8	$	150.0	$	4,092.8
U.S. branches and agency offices of foreign commercial banks:
Australia	1,000.0		—		—		1,000.0
Austria	—		100.0		—		100.0
Canada	100.0		1,200.0		—		1,300.0
Finland	100.0		—		—		100.0
France	—		100.0		—		100.0
Germany	—		100.0		—		100.0
Netherlands	—		665.0		—		665.0
Norway	—		100.0		—		100.0
Total U.S. branches and agency offices of foreign commercial banks	1,200.0		2,265.0		—		3,465.0
Total unsecured investment credit exposure	$	1,200.0	$	6,207.8	$	150.0	$	7,557.8

Notes:

⁽¹⁾ Ratings are as of the respective dates.

⁽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 September 30, 2019 or December 31, 2018.

32

The following table presents 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)
September 30, 2019
	Carrying Value
Domicile of Counterparty	Overnight		Total
Domestic	$	3,468.3	$	3,468.3
U.S. branches and agency offices of foreign commercial banks:
Australia	1,000.0		1,000.0
Canada	1,600.0		1,600.0
Finland	685.0		685.0
France	700.0		700.0
Netherlands	800.0		800.0
Norway	250.0		250.0
Total U.S. branches and agency offices of foreign commercial banks	5,035.0		5,035.0
Total unsecured investment credit exposure	$	8,503.3	$	8,503.3

(in millions)
December 31, 2018
	Carrying Value
Domicile of Counterparty	Overnight		Due 2 days through 30 days		Due 31 days through 90 days		Total
Domestic	$	4,092.8	$	—	$	—	$	4,092.8
U.S. branches and agency offices of foreign commercial banks:
Australia	1,000.0		—		—		1,000.0
Austria	—		—		100.0		100.0
Canada	1,100.0		—		200.0		1,300.0
Finland	—		—		100.0		100.0
France	—		—		100.0		100.0
Germany	—		100.0		—		100.0
Netherlands	665.0		—		—		665.0
Norway	—		—		100.0		100.0
Total U.S. branches and agency offices of foreign commercial banks	2,765.0		100.0		600.0		3,465.0
Total unsecured investment credit exposure	$	6,857.8	$	100.0	$	600.0	$	7,557.8

U.S. Treasury Obligations. The Bank invests in U.S. Treasury obligations that are explicitly fully guaranteed by the U.S. government. This portfolio totaled $3.7 billion at September 30, 2019 and $1.0 billion at December 31, 2018.

Agency/GSE Securities and Agency/GSE MBS. The Bank invests in and is subject to credit risk related to securities issued by Federal Agencies or U.S. government corporations. In addition, the Bank invests in MBS issued by these same entities that are directly supported by underlying mortgage loans. Both the securities and MBS are either explicitly or implicitly guaranteed by the U.S. government. These portfolios totaled $12.4 billion at September 30, 2019 and $9.6 billion at December 31, 2018.

State and Local Agency Obligations. The Bank invests in and is subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans. These portfolios totaled $348.5 million at September 30, 2019 and $348.6 million at December 31, 2018.

33

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. In late 2007, the Bank discontinued the purchase of private label MBS. The carrying value of the Bank’s private label MBS portfolio at September 30, 2019 was $504.0 million, a decrease of $110.8 million from December 31, 2018. This decline was primarily due to repayments.

Unrealized gains of OTTI securities in AOCI at September 30, 2019 were $56.1 million compared to $65.1 million at December 31, 2018. The weighted average prices on OTTI securities were 87.2 and 87.5, at September 30, 2019 and December 31, 2018, respectively. These fair values are determined using unobservable inputs (i.e., Level 3) derived from multiple third-party pricing services. There continues to be unobservable inputs and alack of significant market activity for private label MBS; therefore, as of September 30, 2019, 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 Item 7. Management’s Discussion and Analysis in the Bank's 2018 Form 10-K.

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.

34

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 September 30, 2019.

	Private Label MBS
(dollars in millions)	Prime			Alt-A			Subprime			Total
Par by lowest external long-  term rating:
AA	$	23.7		$	5.0		$	—		$	28.7
A	27.6			13.3			—			40.9
BBB	25.7			—			3.2			28.9
Below investment grade:
BB	36.9			13.9			—			50.8
B	2.7			2.1			—			4.8
CCC	4.0			60.8			—			64.8
CC	—			34.5			—			34.5
D	32.5			9.7			—			42.2
Unrated	118.4			140.9			—			259.3
Total	$	271.5		$	280.2		$	3.2		$	554.9
Amortized cost	$	228.7		$	216.3		$	3.2		$	448.2
Gross unrealized losses (1)	(0.3		)	(0.1		)	(0.2		)	(0.6		)
Fair value	255.7			246.5			3.0			505.2
Net OTTI losses (2)	(0.1		)	(0.2		)	—			(0.3		)
Weighted average fair value/par	94.2		%	88.0		%	93.8		%	91.0		%
Original weighted average credit support	6.8			10.4			12.5			8.6
Weighted-average credit support - current	8.3			3.7			41.9			6.2
Weighted avg. collateral delinquency (3)	10.0			13.6			10.6			11.8

Notes:

⁽¹⁾ Represents total gross unrealized losses including non-credit-related other-than-temporary impairment recognized in AOCI. The unpaid principal balance and amortized cost of private label MBS in a gross unrealized loss position were both $46.8 million at September 30, 2019.

⁽²⁾ For the nine months ended September 30, 2019.

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

OTTI. The Bank recognized $0.3 million and an insignificant amount of credit-related OTTI charges in earnings during the three months ended September 30, 2019 and September 30, 2018, respectively, and $0.3 million and $0.4 million during the nine months ended September 30, 2019 and September 30, 2018, respectively. Because the Bank does not intend to sell and it is not more likely than not that the Bank will be required to sell any OTTI securities before anticipated recovery of their amortized cost basis, the Bank does not have an additional OTTI charge for the difference between amortized cost and fair value. The Bank has not recorded OTTI on any other type of security (i.e., U.S. Agency MBS or non-MBS securities).

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

35

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 third quarter of 2019 analysis are presented below.

	Significant Inputs for Private Label Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Category at origination	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Prime	15.3	8.8	25.2	7.7
Alt-A	15.8	15.6	40.5	3.8
Subprime	4.0	18.5	56.6	41.9
Total Private Label Residential MBS	15.5	12.4	33.3	5.9

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)	September 30, 2019			September 30, 2018
Number of private label MBS with an OTTI charge:
Life-to-date	60			60
Still outstanding	35			38
Total OTTI credit loss recorded life-to-date	$	458.3		$	457.4
Principal write-downs on private label MBS	(156.5		)	(149.6		)
Credit losses on private label MBS no longer owned:
Private label MBS sold	(116.5		)	(116.5		)
Private label MBS matured (less principal write-downs realized)	(18.7		)	(7.1		)
Remaining amount of previously recognized OTTI credit losses	$	166.6		$	184.2

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 $6.0 million for the third quarter of 2019 and $5.4 million for third quarter of 2018; $15.5 million and $15.6 million for the first nine months of 2019 and 2018, respectively; and $174.9 million life-to-date. The OTTI recovered through interest income was recognized on 35 and 34 private label MBS securities for the first nine months of 2019 and 2018, respectively. The same private label MBS can have multiple increases in cash flows that are deemed to be significant.

The Bank transfers private label MBS from HTM to AFS when an OTTI credit loss is recorded on a security. The Bank believes that a credit loss constitutes evidence of deterioration in the credit quality of the security. The Bank believes that the transfer increases its flexibility to potentially sell other-than-temporarily-impaired securities if it makes economic sense. There were no transfers during the first nine months of 2019 and 2018.

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, payments received on the securities themselves, 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 issued guidance which will amend the accounting for credit losses beginning January 1, 2020. See Note 1 to the Financial Statements for additional discussion.

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 housing price forecast by five percentage points and slows housing price recovery rates by 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

36

that were in an unrealized loss position at September 30, 2019. 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 on any mortgage loans acquired such that the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions. Loans are assessed by a third-party credit model at acquisition, and a CE is calculated based on loan attributes and the Bank’s risk tolerance in light of its entire MPF portfolio. The Bank had net mortgage loans held for portfolio of $4.8 billion and $4.5 billion at September 30, 2019 and December 31, 2018, respectively, after an allowance for credit losses of $8.3 million and $7.3 million at September 30, 2019 and December 31, 2018, respectively.

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to nine mortgage insurance companies which provide PMI and/or Supplemental Mortgage Insurance (SMI) for the Bank’s various products. To be active, the mortgage insurance company must be approved as a qualified insurer in accordance with the AMA regulation. Every two years, the Bank reviews the qualified insurers to determine if they continue to meet the financial and operational standards set by the Bank.

None of the Bank’s mortgage insurers currently maintain a rating by at least one NRSRO of A+ or better. 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 September 30, 2019, five 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 September 30, 2019, all of the SMI exposure is fully collateralized.

The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of September 30, 2019 was $6.3 million and $2.3 million, respectively. The corresponding amounts at December 31, 2018 were $5.1 million and $2.1 million.

BOB Loans. See Note 1 - Summary of Significant Accounting Policies in Item 8 in the Bank's 2018 Form 10-K for a description of the BOB program. At September 30, 2019 and December 31, 2018, the allowance for credit losses on BOB loans was $3.1 million and $2.6 million, respectively .

Derivative Counterparties. To manage interest rate 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 uses Chicago Mercantile Exchange (CME) Clearing as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral. 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, daily settlement and other credit enhancements are used and are effective in mitigating the risk. The Bank manages credit risk through credit analysis, collateral management, and other credit enhancements.

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

37

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 September 30, 2019.

Cleared Derivatives. The Bank is subject to credit risk exposure to the Clearing Houses and clearing agent. The requirement that the Bank post initial margin and exchange variation margin settlement payments, 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 accumulated through daily settlement of the current exposure arising from changes in the market value of the position since the trade was executed. 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 postings and variation margin settlement payments are made 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 September 30, 2019.

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 margin and variation margin settlements on cleared derivatives. 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 September 30, 2019 and December 31, 2018.

(in millions)	September 30, 2019
Credit Rating (1)	Notional Amount		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	$	240.0	$	3.2		$	(3.1	)	$	0.1
A	450.0		0.9			(0.7		)	0.2
BBB	480.0		4.4			(4.3		)	0.1
Liability positions with credit exposure:
Uncleared derivatives
A	2,631.6		(0.9		)	1.8			0.9
BBB	1,054.1		(1.5		)	2.2			0.7
Cleared derivatives (2)	34,082.1		1.7			184.2			185.9
Total derivative positions with credit exposure to non-member counterparties	38,937.8		7.8			180.1			187.9
Member institutions (3)	103.6		0.1			—			0.1
Total	$	39,041.4	$	7.9		$	180.1		$	188.0
Derivative positions without credit exposure	2,109.1
Total notional	$	41,150.5

38

(in millions)	December 31, 2018
Credit Rating (1)	Notional Amount		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	$	105.0	$	1.0		$	(0.5	)	$	0.5
A	539.0		2.1			(1.0		)	1.1
BBB	907.3		3.4			(3.1		)	0.3
Liability positions with credit exposure:
Uncleared derivatives
A	2,414.7		(28.2		)	30.7			2.5
BBB	1,610.3		(14.3		)	14.6			0.3
Cleared derivatives (2)	38,038.5		—			105.6			105.6
Total derivative positions with credit exposure to non-member counterparties	43,614.8		(36.0		)	146.3			110.3
Member institutions (3)	17.4		—			—			—
Total	$	43,632.2	$	(36.0	)	$	146.3		$	110.3
Derivative positions without credit exposure	2,142.5
Total notional	$	45,774.7

Notes:

⁽¹⁾ This table does not reflect any changes in rating, outlook or watch status occurring after September 30, 2019. 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 uncleared notional amount outstanding and net credit exposure as of September 30, 2019 and December 31, 2018.

Notional Greater Than 10%	September 30, 2019				December 31, 2018
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Bank of America, NA	A	$	2,358.8	33.4	(1)	(1)		(1)
Morgan Stanley Capital	BBB	1,054.1		14.9	BBB	$	1,610.3	20.8
Wells Fargo, NA	A	804.0		11.4	A	899.0		11.6
All others	n/a	2,851.6		40.3	n/a	5,226.9		67.6
Total		$	7,068.5	100.0		$	7,736.2	100.0

39

Net Credit Exposure   Greater Than 10%	September 30, 2019				December 31, 2018
(dollars in millions) Derivative Counterparty	Credit Rating	Net Credit Exposure		% of Net Credit Exposure	Credit Rating	Net Credit Exposure		% of Net Credit Exposure
Morgan Stanley Capital	BBB	$	0.7	31.3	(2)	(2)		(2)
Bank of America, NA	A	0.4		18.7	(2)	(2)		(2)
Credit Suisse	A	0.3		14.1	A	$	0.9	18.5
BNP Paribas	(3)	(3)		(3)	A	0.8		17.6
Toronto Dominion Bank	(2)	(2)		(2)	AA	0.5		11.0
All others	n/a	0.7		35.9	n/a	2.5		52.9
Total		$	2.1	100.0		$	4.7	100.0

Notes:

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

⁽²⁾ The percentage of credit exposure for the period-end was not greater than 10%.

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

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 which 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. In addition, the Bank is required to maintain a level of liquidity in accordance with the FHLBank Act, Finance Agency regulations and policies established by its management and board of directors. The Finance Agency issued an Advisory Bulletin on FHLBank liquidity (the Liquidity Guidance AB), effective March 31, 2019, that communicates the Finance Agency’s expectations with respect to the maintenance of sufficient liquidity to enable the Bank to provide advances and letters of credit for members. The Bank's liquidity resources are designed to support these strategies and requirements, which are described further in the Bank's 2018 Form 10-K. As a result of the new liquidity requirements, the Bank increased its liquidity portfolio at September 30, 2019 by $4.8 billion compared to December 31, 2018.

Asset/Liability Maturity Profile. The Bank is focused on maintaining adequate liquidity and funding balances with its financial assets and financial liabilities, and the FHLBanks work collectively to manage system-wide liquidity and funding needs. The FHLBanks jointly monitor the combined risks, primarily by tracking the maturities of financial assets and financial liabilities. The Bank also monitors the funding balance between financial assets and financial liabilities and is committed to prudent risk management practices. External factors including member borrowing needs, supply and demand in the debt markets, and other factors may affect liquidity balances and the funding balances between financial assets and financial liabilities.

Sources of Liquidity. The Bank's primary sources of liquidity are proceeds from the issuance of consolidated obligations and a liquidity investment portfolio, as well as proceeds from the issuance of capital stock.

Consolidated Obligations. 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. Investor demand for FHLBank debt remains strong. 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 September 30, 2019. These ratings measure the likelihood of timely payment of principal and interest. Note 10 - Consolidated Obligations to the unaudited financial statements in this Form 10-Q provides additional information regarding the Bank’s consolidated obligations.

40

Liquidity Investment Portfolio. The Bank’s liquidity for regulatory purposes is comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or AFS.

Contingency Liquidity. 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, certificates of deposits 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 September 30, 2019 and December 31, 2018, excess contingency liquidity was approximately $30.7 billion and $18.3 billion, respectively.

Funding and Debt Issuance. Changes or disruptions in the capital markets could limit the Bank’s ability to issue consolidated obligations. During the first nine months of 2019, the Bank maintained continual access to funding. Access to short-term debt markets has been reliable because investors, driven by increased liquidity preferences and risk aversion, including the effects of money market fund reform, have sought the FHLBank’s short-term debt as an asset of choice. This has led to advantageous funding opportunities and increased utilization of debt maturing in one year or less. The FHLBanks have comparatively stable access to funding through a diverse investor base at relatively favorable spreads to U.S. Treasury rates.

Refinancing Risk. There are inherent risks in utilizing short-term funding to support longer-dated assets and the Bank may be exposed to refinancing and investor concentration risks (collectively, refinancing risk). Refinancing risk includes the risk the Bank could have difficulty in rolling over short-term obligations when market conditions change. In managing and monitoring the amounts of financial assets that require refinancing, the Bank considers their contractual maturities, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments, embedded call optionality, and scheduled amortizations). 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).

Interest Rate Risk. The Bank may use a portion of the short-term consolidated obligations issued to fund both short- and long-term variable rate-indexed assets. However, funding longer-term variable rate-indexed assets with shorter-term liabilities generally does not expose the Bank to interest rate risk because the rates on the assets reset similar to the liabilities. The Bank measures and monitors interest rate-risk with commonly used methods and metrics, which include the calculations of market value of equity, duration of equity, and duration gap.

Regulatory Liquidity Requirements. The Bank is required to maintain a level of liquidity in accordance with certain Finance Agency guidance. Under these policies and guidelines, the Bank is required to maintain contingency liquidity to meet liquidity needs in an amount at least equal to its anticipated net cash outflows under certain scenarios. In accordance with the Liquidity Guidance AB effective March 31, 2019, one scenario assumes that the Bank cannot access the capital markets for a period of 10 days and during that time members would renew any maturing, prepaid or called advances. In addition, the Bank is required to perform and report to the Finance Agency the results of an annual liquidity stress test. The Bank was in compliance with these requirements at September 30, 2019. Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2018 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 the Bank's 2018 Form 10-K for additional information.

41

Operational and Business Risks

Operational Risk. Operational Risk is defined as the potential for loss resulting from inadequate or failed internal processes, people, and systems, or from external events and encompasses risks related to housing mission-related activities, including activities associated with affordable housing programs or goals. The Bank considers various sources of risk of unexpected loss, including human error, fraud, unenforceability of legal contracts, deficiencies in internal controls and/or information systems, or damage from fire, theft, natural disaster or acts of terrorism. Generally, the category of operational risk includes loss exposures of a physical or procedural nature. Specifically, operational risk includes compliance, fraud, information/transaction, legal, cyber, vendor, people, succession and model risk. The Bank has established policies and procedures to manage each of the specific operational risks.

Business Risk. Business risk is the possibility of an adverse impact on the Bank’s profitability or financial or business strategies resulting from external factors that may occur in the short-term and/or long-term. This risk includes the potential for strategic business constraints to be imposed through regulatory, legislative or political changes. The Bank’s Risk Management Committee monitors economic indicators and the external environment in which the Bank operates for alignment with the Bank's risk appetite.

The Bank continues to evaluate its risks and monitor the changes in the market as it relates to the cessation of LIBOR and the transition to an alternative rate (e.g., Secured Overnight Financing Rate -SOFR).  The Bank has developed a LIBOR transition plan which addresses considerations such as: exposure, fallback language, systems preparation, and balance sheet management.

The Bank has assessed its exposure to LIBOR by developing an inventory of all financial instruments impacted. The Bank assumes LIBOR will continue to exist as the market benchmark rate until the end of 2021. The following table presents the Bank’s LIBOR-indexed financial instruments by year of contractual maturity as of September 30, 2019.

(in millions)	2019		2020		2021		Thereafter		Total
	Par by contractual maturity
Advances	$	1,596.3	$	18,433.0	$	14,325.0	$	154.1	$	34,508.4
Investments:
Non-MBS	$	—	$	—	$	—	$	98.6	$	98.6
MBS	—		24.6		4.6		7,423.1		7,452.3
Total investments	$	—	$	24.6	$	4.6	$	7,521.7	$	7,550.9
Consolidated obligations	7,707.5		20,325.0		1,455.0		860.0		30,347.5
Total	$	9,303.8	$	38,782.6	$	15,784.6	$	8,535.8	$	72,406.8
	Notional by contractual maturity
Derivatives	$	2,980.5	$	14,086.0	$	9,154.8	$	8,979.9	$	35,201.2

To assess trigger events requiring potential fallback language, the Bank has evaluated its contracts. As to advance agreements with its members, the Bank has added or adjusted fallback language. Similarly, fallback language has been added to consolidated obligation agreements. As to derivatives and investments held by the Bank that are tied to LIBOR, the Bank is monitoring market-wide efforts to enhance fallback language for new activity and develop frameworks to address existing transactions.

42

The Bank continues to primarily execute variable rate instruments that are tied to LIBOR. The Bank is assessing its operational readiness including potential effects on core Bank systems.  From a balance sheet management perspective, the Bank has issued SOFR-indexed debt and begun offering SOFR-indexed advance products. On October 1, 2019, the Bank issued its first SOFR-indexed advance. Additionally, the Bank has been executing OIS-indexed derivatives as an alternative interest rate hedging strategy. The following table presents the Bank’s variable rate financial instruments by index as of September 30, 2019.

(in millions)	LIBOR		SOFR		OIS		Other		Total
	Par by variable rate index
Advances	$	34,508.4	$	—	$	—	$	1,312.5	$	35,820.9
Investments:
Non-MBS	$	98.6	$	—	$	—	$	—	$	98.6
MBS	7,452.3		$	—	—		366.0		7,818.3
Total investments	$	7,550.9	$	—	$	—	$	366.0	$	7,916.9
Consolidated obligations	30,347.5		9,172.0		—		—		39,519.5
Total	$	72,406.8	$	9,172.0	$	—	$	1,678.5	$	83,257.3
	Notional by variable rate index
Derivatives	$	35,201.2	$	2,424.0	$	3,421.8	$	—	$	41,047.0

In September 2019, the Finance Agency issued a supervisory letter to the FHLBanks providing LIBOR transition guidance. The supervisory letter states that by March 31, 2020, the FHLBanks should no longer enter into new financial assets, liabilities, and derivatives that reference LIBOR and mature after December 31, 2021, for all product types except investments. By December 31, 2019, the FHLBanks should stop purchasing investments that reference LIBOR and mature after December 31, 2021. See Item 2. Legislative and Regulatory Developments in this Form 10-Q for more information.

For additional information on operating and business risks to the Bank associated with the LIBOR transition, including those items that are dependent on actions by third parties and developments in the market, see Risk Factors in Item 1A and the "Operating and Business Risks" discussion in the Risk Management section of Item 7. in the Bank's 2018 Form 10-K.

43

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statements of Income (unaudited)

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Interest income:
Advances	$	478,477		$	431,995		$	1,508,189		$	1,162,240
Interest-bearing deposits	9,347			3,787			31,437			7,454
Securities purchased under agreements to resell	10,168			3,119			25,871			5,567
Federal funds sold	48,954			29,806			126,551			85,511
Trading securities	18,309			3,414			41,317			9,152
Available-for-sale (AFS) securities	71,884			57,068			201,198			164,903
Held-to-maturity (HTM) securities	20,401			24,590			65,027			55,969
Mortgage loans held for portfolio	42,452			38,213			126,922			110,041
Total interest income	699,992			591,992			2,126,512			1,600,837
Interest expense:
Consolidated obligations - discount notes	167,435			120,249			497,369			318,436
Consolidated obligations - bonds	413,901			349,285			1,259,974			929,504
Deposits	2,922			2,031			8,929			5,657
Mandatorily redeemable capital stock and other borrowings	6,715			362			10,635			533
Total interest expense	590,973			471,927			1,776,907			1,254,130
Net interest income	109,019			120,065			349,605			346,707
Provision for credit losses	371			47			1,820			2,842
Net interest income after provision for credit losses	108,648			120,018			347,785			343,865
Other noninterest income (loss):
Net OTTI losses (Note 5)	(271		)	(17		)	(330		)	(359		)
Net gains (losses) on investment securities (Note 2)	5,441			(3,001		)	23,355			(14,403		)
Net gains (losses) on derivatives and hedging activities (Note 9)	(17,397		)	7,831			(55,201		)	16,002
Standby letters of credit fees	5,274			5,853			16,310			17,336
Other, net	322			1,347			1,875			2,757
Total other noninterest income (loss)	(6,631		)	12,013			(13,991		)	21,333
Other expense:
Compensation and benefits	11,129			12,588			36,909			36,737
Other operating	8,657			7,426			24,151			21,640
Finance Agency	1,589			1,408			4,775			4,364
Office of Finance	1,812			1,188			4,581			3,595
Total other expense	23,187			22,610			70,416			66,336
Income before assessments	78,830			109,421			263,378			298,862
Affordable Housing Program (AHP) assessment	8,554			10,978			27,400			29,938
Net income	$	70,276		$	98,443		$	235,978		$	268,924

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

44

Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income (unaudited)

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Net income	$	70,276		$	98,443		$	235,978		$	268,924
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities	(5,595		)	(7,447		)	39,623			(21,348		)
Net non-credit portion of OTTI gains (losses) on AFS securities	(4,609		)	1,582			(9,053		)	4,986
Reclassification of net (gains) included in net income relating to hedging activities	(10		)	(8		)	(25		)	(20		)
Pension and post-retirement benefits	106			148			317			444
Total other comprehensive income (loss)	(10,108		)	(5,725		)	30,862			(15,938		)
Total comprehensive income	$	60,168		$	92,718		$	266,840		$	252,986

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

45

Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)

(in thousands)	September 30, 2019		December 31, 2018
ASSETS
Cash and due from banks	$	13,789	$	71,320
Interest-bearing deposits	1,573,679		2,123,240
Federal funds sold	6,935,000		4,740,000
Securities purchased under agreements to resell	1,800,000		1,000,000
Investment securities:
Trading securities (Note 2)	3,910,178		1,281,053
AFS securities at fair value (Note 3)	10,624,401		7,846,257
HTM securities; fair value of $2,494,373 and $3,101,133, respectively (Note 4)	2,434,134		3,086,032
Total investment securities	16,968,713		12,213,342
Advances (Note 6)	70,325,927		82,475,547
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of     $8,260 and $7,309, respectively (Note 8)	4,827,164		4,461,612
Banking on Business (BOB) loans, net of allowance for credit losses of     $3,113 and $2,560, respectively	20,031		17,371
Accrued interest receivable	209,931		234,161
Derivative assets (Note 9)	188,079		110,269
Other assets	51,340		39,657
Total assets	$	102,913,653	$	107,486,519

LIABILITIES AND CAPITAL
Liabilities
Deposits	$	556,201	$	387,085
Consolidated obligations:(Note 10)
Discount notes	28,155,723		36,896,603
Bonds	68,452,712		64,298,628
Total consolidated obligations	96,608,435		101,195,231
Mandatorily redeemable capital stock (Note 11)	343,711		24,099
Accrued interest payable	222,064		226,537
AHP payable	108,494		99,578
Derivative liabilities (Note 9)	2,694		25,511
Other liabilities	286,404		152,184
Total liabilities	98,128,003		102,110,225
Commitments and contingencies (Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding       33,729 and 40,272 shares, respectively	3,372,867		4,027,244
Retained earnings:
Unrestricted	909,676		924,001
Restricted	399,099		351,903
Total retained earnings	1,308,775		1,275,904
Accumulated Other Comprehensive Income (AOCI)	104,008		73,146
Total capital	4,785,650		5,376,294
Total liabilities and capital	$	102,913,653	$	107,486,519

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

46

Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows (unaudited)

	Nine months ended September 30,
(in thousands)	2019			2018
OPERATING ACTIVITIES
Net income	$	235,978		$	268,924
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	(43,187		)	(23,489		)
Net change in derivative and hedging activities	(356,493		)	225,738
Net OTTI credit losses	330			359
Other adjustments	3,330			2,845
Net change in:
Trading securities	(2,629,125		)	(239,069		)
Accrued interest receivable	24,378			(42,798		)
Other assets	(3,699		)	(3,751		)
Accrued interest payable	(4,458		)	66,762
Other liabilities	7,792			27,062
Net cash provided by (used in) operating activities	$	(2,765,154	)	$	282,583
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $59 and ($232) from (to) other FHLBanks for mortgage loan program)	$	513,383		$	(656,415	)
Securities purchased under agreements to resell	(800,000		)	(2,500,000		)
Federal funds sold	(2,195,000		)	705,000
AFS securities:
Proceeds	1,674,435			1,977,377
Purchases	(4,188,255		)	(870,249		)
HTM securities:
Proceeds	1,522,679			2,548,232
Purchases	(871,744		)	(3,755,994		)
Advances:
Repaid	817,451,571			999,888,251
Originated	(804,957,652		)	(994,112,448		)
Mortgage loans held for portfolio:
Proceeds	389,771			321,551
Purchases	(768,024		)	(746,769		)
Other investing activities	2,856			4,713
Net cash provided by investing activities	$	7,774,020		$	2,803,249
The accompanying notes are an integral part of these financial statements.

47

Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited)
(continued)
	Nine months ended September 30,
(in thousands)	2019			2018
FINANCING ACTIVITIES
Net change in deposits	$	176,370		$	(34,511	)
Net proceeds from issuance of consolidated obligations:
Discount notes	358,760,329			305,179,971
Bonds	52,331,314			43,237,480
Payments for maturing and retiring consolidated obligations:
Discount notes	(367,478,383		)	(313,612,417		)
Bonds	(48,318,155		)	(40,848,313		)
Proceeds from issuance of capital stock	4,863,370			4,069,981
Payments for repurchase/redemption of capital stock	(5,156,630		)	(4,139,332		)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(41,505		)	(23,622		)
Cash dividends paid	(203,107		)	(171,433		)
Net cash (used in) financing activities	$	(5,066,397	)	$	(6,342,196	)
Net (decrease) in cash and due from banks	$	(57,531	)	$	(3,256,364	)
Cash and due from banks at beginning of the period	71,320			3,414,992
Cash and due from banks at end of the period	$	13,789		$	158,628
Supplemental disclosures:
Interest paid	$	1,830,611		$	1,207,897
AHP payments	18,484			22,815
Transfers of mortgage loans to real estate owned	1,894			3,460
Capital stock reclassified to mandatorily redeemable capital stock	361,117			42,733

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

48

Federal Home Loan Bank of Pittsburgh

Statements of Changes in Capital (unaudited)

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI			Total Capital
June 30, 2018	39,505		$	3,950,450		$	899,131		$	316,569	$	1,215,700		$	100,751		$	5,266,901
Comprehensive income	—		—			78,754			19,689		98,443			(5,725		)	92,718
Issuance of capital stock	13,355		1,335,517			—			—		—			—			1,335,517
Repurchase/redemption of capital stock	(16,967	)	(1,696,679		)	—			—		—			—			(1,696,679		)
Net shares reclassified to mandatorily    redeemable capital stock	(427	)	(42,716		)	—			—		—			—			(42,716		)
Cash dividends	—		—			(58,784		)	—		(58,784		)	—			(58,784		)
September 30, 2018	35,466		$	3,546,572		$	919,101		$	336,258	$	1,255,359		$	95,026		$	4,896,957
June 30, 2019	36,432		$	3,643,190		$	913,555		$	385,044	$	1,298,599		$	114,116		$	5,055,905
Comprehensive income	—		—			56,221			14,055		70,276			(10,108		)	60,168
Issuance of capital stock	15,780		1,578,013			—			—		—			—			1,578,013
Repurchase/redemption of capital stock	(18,483	)	(1,848,336		)	—			—		—			—			(1,848,336		)
Cash dividends	—		—			(60,100		)	—		(60,100		)	—			(60,100		)
September 30, 2019	33,729		$	3,372,867		$	909,676		$	399,099	$	1,308,775		$	104,008		$	4,785,650

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI			Total Capital
December 31, 2017	36,587		$	3,658,656		$	875,395		$	282,473	$	1,157,868		$	110,964		$	4,927,488
Comprehensive income	—		—			215,139			53,785		268,924			(15,938		)	252,986
Issuance of capital stock	40,700		4,069,981			—			—		—			—			4,069,981
Repurchase/redemption of capital stock	(41,394	)	(4,139,332		)	—			—		—			—			(4,139,332		)
Net shares reclassified to mandatorily    redeemable capital stock	(427	)	(42,733		)	—			—		—			—			(42,733		)
Cash dividends	—		—			(171,433		)	—		(171,433		)	—			(171,433		)
September 30, 2018	35,466		$	3,546,572		$	919,101		$	336,258	$	1,255,359		$	95,026		$	4,896,957

December 31, 2018	40,272		$	4,027,244		$	924,001		$	351,903	$	1,275,904		$	73,146	$	5,376,294
Comprehensive income	—		—			188,782			47,196		235,978			30,862		266,840
Issuance of capital stock	48,634		4,863,370			—			—		—			—		4,863,370
Repurchase/redemption of capital stock	(51,566	)	(5,156,630		)	—			—		—			—		(5,156,630		)
Net shares reclassified to mandatorily    redeemable capital stock	(3,611	)	(361,117		)	—			—		—			—		(361,117		)
Cash dividends	—		—			(203,107		)	—		(203,107		)	—		(203,107		)
September 30, 2019	33,729		$	3,372,867		$	909,676		$	399,099	$	1,308,775		$	104,008	$	4,785,650

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

49

Federal Home Loan Bank of Pittsburgh

Notes to Unaudited 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, do not hold capital stock.

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

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

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2018 included in the Bank's 2018 Form 10-K.

50

Notes to Unaudited Financial Statements (continued)

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

The Bank adopted the following new accounting standards during the nine months ended September 30, 2019.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
Accounting Standards Update (ASU) 2018-16: Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes	This ASU adds the OIS rate based on SOFR as a benchmark interest rate for hedge accounting purposes to facilitate the transition of the replacement of LIBOR.	The Bank adopted this ASU on January 1, 2019 on a prospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations. This guidance could affect the Bank’s hedging strategies and application of hedge accounting for qualifying new or re-designated hedging relationships entered into on or after January 1, 2019.
ASU 2018-08: Contributions Received and Contributions Made	This ASU clarifies the distinction between exchange transactions and contributions, including whether a contribution is conditional.	The Bank adopted this ASU on January 1, 2019 on a modified prospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations. The Bank will apply the amended guidance when accounting for contributions made.
ASU 2017-12: Targeted Improvements to Accounting for Hedging Activities, as amended	This ASU makes amendments to the accounting for derivatives and hedging activities intended to better portray the economics of the transactions.	The Bank adopted this ASU on January 1, 2019 and applied it to existing hedging relationships as of January 1, 2019.	The adoption of this ASU did not affect the Bank’s application of hedge accounting for existing hedge strategies, with the following exceptions: 1) designation of a fallback long-haul method for its short-cut hedge strategies and 2) use of qualitative hedge effectiveness assessments for an appropriate subset of fair value hedge relationships. Upon adoption, the Bank modified its presentation of hedge results for fair value hedges within the results of operations, as well as relevant disclosures. See Note 9 - Derivatives and Hedging Activities for further discussion. The Bank will continue to assess opportunities enabled by the new guidance to expand its risk management strategies.
ASU 2017-08: Premium Amortization on Purchased Callable Debt Securities	This ASU requires that the amortization period for premiums on certain purchased callable debt securities be shortened to the earliest call date, rather than contractual maturity.	This ASU was adopted by the Bank on January 1, 2019 on a modified retrospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations.
ASU 2016-02: Leases, as amended	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.	The Bank adopted this ASU on January 1, 2019 on a modified retrospective basis. The Bank was not required to restate comparative reporting periods.	The adoption of this ASU did not materially impact the Bank’s financial condition, results of operations, and statement of cash flows. Upon adoption, the Bank increased its “Other Assets” and “Other Liabilities” for operating leases capitalized. The Bank’s most significant lease is its headquarters.

51

Notes to Unaudited Financial Statements (continued)

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
ASU 2018-15: Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Service Arrangement That Is a Service Contract	This ASU reduces diversity in practice by aligning the requirements for capitalizing implementation costs incurred in a hosting arrangement with internal-use software.	This ASU is effective for the Bank beginning January 1, 2020 and will be adopted on a prospective basis.	The adoption of this ASU will not have a significant impact on the Bank’s financial condition or results of operations.
ASU 2018-14: Changes to the Disclosure Requirements for Defined Benefit Plans	This ASU adds, removes, and clarifies certain disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans.	This ASU will be effective for the Bank for the year ending December 31, 2020.	The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate.
ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement	This ASU adds, removes, and modifies certain fair value disclosure requirements.	This ASU is effective for the Bank beginning January 1, 2020 and permits early adoption of the removed and modified disclosure requirements.	The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate.
ASU 2016-13: Financial Instruments - Credit Losses, as amended	This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces the current 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 beginning 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 adoption of this ASU will not have a significant impact on the Bank's financial statements. The Bank will continue to monitor interpretations made by standard-setters and regulators. The Bank expects to recognize zero credit losses on advances and GSE/U.S. investments. The Bank expects an immaterial impact on all other financial instruments.

Note 2 – Trading Securities

The following table presents trading securities as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
U.S. Treasury obligations	$	3,667,298	$	997,061
GSE and TVA obligations	242,880		283,992
Total	$	3,910,178	$	1,281,053

The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2019 and 2018.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2019		2018			2019		2018
Net unrealized gains (losses) on trading securities held at period-end	$	5,429	$	(2,578	)	$	22,840	$	(10,292	)
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	12		(423		)	515		(4,111		)
Net gains (losses) on trading securities	$	5,441	$	(3,001	)	$	23,355	$	(14,403	)

52

Notes to Unaudited Financial Statements (continued)

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

The following tables present AFS securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,534,648	$	—	$	28,534	$	(6	)	$	1,563,176
State or local agency obligations	239,200		—		10,766		—			249,966
Total non-MBS	$	1,773,848	$	—	$	39,300	$	(6	)	$	1,813,142
MBS:
U.S. obligations single-family MBS	$	698,039	$	—	$	5,274	$	(269	)	$	703,044
GSE single-family MBS	3,626,167		—		17,194		(4,626		)	3,638,735
GSE multifamily MBS	4,132,135		—		5,286		(12,447		)	4,124,974
Private label residential MBS	288,622		—		56,080		(196		)	344,506
Total MBS	$	8,744,963	$	—	$	83,834	$	(17,538	)	$	8,811,259
Total AFS securities	$	10,518,811	$	—	$	123,134	$	(17,544	)	$	10,624,401

	December 31, 2018
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,771,573	$	—	$	15,801	$	(2,057	)	$	1,785,317
State or local agency obligations	250,789		—		1,975		(6,825		)	245,939
Total non-MBS	$	2,022,362	$	—	$	17,776	$	(8,882	)	$	2,031,256
MBS:
U.S. obligations single-family MBS	$	216,594	$	—	$	1,988	$	(88	)	$	218,494
GSE single-family MBS	2,575,361		—		12,013		(5,871		)	2,581,503
GSE multifamily MBS	2,612,289		—		550		(7,385		)	2,605,454
Private label residential MBS	344,631		—		65,133		(214		)	409,550
Total MBS	$	5,748,875	$	—	$	79,684	$	(13,558	)	$	5,815,001
Total AFS securities	$	7,771,237	$	—	$	97,460	$	(22,440	)	$	7,846,257

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, OTTI recognized, and/or fair value hedge accounting adjustments.

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

As of September 30, 2019, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.9 million, credit losses of $166.6 million and OTTI-related accretion adjustments of $73.3 million. As of December 31, 2018, these amounts were $18.5 million, $183.5 million and $77.5 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 September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Non-credit portion of OTTI losses	$	—	$	—
Net unrealized gains on OTTI securities since their last OTTI credit charge	56,080		65,133
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	56,080	$	65,133

53

Notes to Unaudited Financial Statements (continued)

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	5,440	$	(6	)	$	—	$	—		$	5,440	$	(6	)
MBS:
U.S. obligations single-family MBS	$	183,217	$	(269	)	$	—	$	—		$	183,217	$	(269	)
GSE single-family MBS	1,413,697		(4,231		)	106,255		(395		)	1,519,952		(4,626		)
GSE multifamily MBS	2,673,652		(9,036		)	923,323		(3,411		)	3,596,975		(12,447		)
Private label residential MBS	—		—			2,964		(196		)	2,964		(196		)
Total MBS	$	4,270,566	$	(13,536	)	$	1,032,542	$	(4,002	)	$	5,303,108	$	(17,538	)
Total	$	4,276,006	$	(13,542	)	$	1,032,542	$	(4,002	)	$	5,308,548	$	(17,544	)

	December 31, 2018
	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	$	27,641	$	(98	)	$	273,433	$	(1,959	)	$	301,074	$	(2,057	)
State or local agency obligations	20,575		(180		)	122,664		(6,645		)	143,239		(6,825		)
Total non-MBS	$	48,216	$	(278	)	$	396,097	$	(8,604	)	$	444,313	$	(8,882	)
MBS:
U.S. obligations single-family MBS	$	61,868	$	(88	)	$	—	$	—		$	61,868	$	(88	)
GSE single-family MBS	499,383		(1,423		)	185,711		(4,448		)	685,094		(5,871		)
GSE multifamily MBS	1,600,825		(2,933		)	522,918		(4,452		)	2,123,743		(7,385		)
Private label residential MBS	—		—			2,946		(214		)	2,946		(214		)
Total MBS	$	2,162,076	$	(4,444	)	$	711,575	$	(9,114	)	$	2,873,651	$	(13,558	)
Total	$	2,210,292	$	(4,722	)	$	1,107,672	$	(17,718	)	$	3,317,964	$	(22,440	)

Note:

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

54

Notes to Unaudited Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	—	$	—	$	334,985	$	334,428
Due after one year through five years	515,685		522,912		436,904		441,263
Due after five years through ten years	718,079		730,704		660,043		664,031
Due in more than ten years	540,084		559,526		590,430		591,534
Total non-MBS	1,773,848		1,813,142		2,022,362		2,031,256
MBS	8,744,963		8,811,259		5,748,875		5,815,001
Total AFS securities	$	10,518,811	$	10,624,401	$	7,771,237	$	7,846,257

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,773,848	$	1,937,376
Variable-rate	—		84,986
Total non-MBS	$	1,773,848	$	2,022,362
Amortized cost of AFS MBS:
Fixed-rate	$	1,472,926	$	1,261,019
Variable-rate	7,272,037		4,487,856
Total MBS	$	8,744,963	$	5,748,875
Total amortized cost of AFS securities	$	10,518,811	$	7,771,237

55

Notes to Unaudited Financial Statements (continued)

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

The following tables present HTM securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	98,575	$	—	$	(3,586	)	$	94,989
MBS:
U.S. obligations single-family MBS	$	268,051	$	1,602	$	(7	)	$	269,646
GSE single-family MBS	1,103,088		27,720		(151		)	1,130,657
GSE multifamily MBS	804,941		33,626		(158		)	838,409
Private label residential MBS	159,479		1,660		(467		)	160,672
Total MBS	$	2,335,559	$	64,608	$	(783	)	$	2,399,384
Total HTM securities	$	2,434,134	$	64,608	$	(4,369	)	$	2,494,373

	December 31, 2018
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	700,000	$	64	$	—		$	700,064
State or local agency obligations	102,705		—		(3,969		)	98,736
Total non-MBS	$	802,705	$	64	$	(3,969	)	$	798,800
MBS:
U.S. obligations single-family MBS	$	325,178	$	2,195	$	(4	)	$	327,369
GSE single-family MBS	899,875		13,402		(92		)	913,185
GSE multifamily MBS	853,053		9,224		(6,818		)	855,459
Private label residential MBS	205,221		1,765		(666		)	206,320
Total MBS	$	2,283,327	$	26,586	$	(7,580	)	$	2,302,333
Total HTM securities	$	3,086,032	$	26,650	$	(11,549	)	$	3,101,133

56

Notes to Unaudited Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	—	$	—		$	94,989	$	(3,586	)	$	94,989	$	(3,586	)
MBS:
U.S. obligations single-family MBS	$	15,072	$	(7	)	$	—	$	—		$	15,072	$	(7	)
GSE single-family MBS	27,445		(125		)	3,928		(26		)	31,373		(151		)
GSE multifamily MBS	75,981		(158		)	—		—			75,981		(158		)
Private label residential MBS	36,368		(253		)	6,794		(214		)	43,162		(467		)
Total MBS	$	154,866	$	(543	)	$	10,722	$	(240	)	$	165,588	$	(783	)
Total	$	154,866	$	(543	)	$	105,711	$	(3,826	)	$	260,577	$	(4,369	)

	December 31, 2018
	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	$	—	$	—		$	98,736	$	(3,969	)	$	98,736	$	(3,969	)
MBS:
U.S. obligations single-family MBS	$	19,016	$	(4	)	$	—	$	—		$	19,016	$	(4	)
GSE single-family MBS	22,995		(62		)	4,443		(30		)	27,438		(92		)
GSE multifamily MBS	25,963		(56		)	319,473		(6,762		)	345,436		(6,818		)
Private label residential MBS	36,413		(402		)	7,904		(264		)	44,317		(666		)
Total MBS	$	104,387	$	(524	)	$	331,820	$	(7,056	)	$	436,207	$	(7,580	)
Total	$	104,387	$	(524	)	$	430,556	$	(11,025	)	$	534,943	$	(11,549	)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	700,000	$	700,064
Due after one year through five years	—		—		—		—
Due after five years through ten years	34,515		33,894		37,015		36,288
Due after ten years	64,060		61,095		65,690		62,448
Total non-MBS	98,575		94,989		802,705		798,800
MBS	2,335,559		2,399,384		2,283,327		2,302,333
Total HTM securities	$	2,434,134	$	2,494,373	$	3,086,032	$	3,101,133

57

Notes to Unaudited Financial Statements (continued)

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	700,000
Variable-rate	98,575		102,705
Total non-MBS	$	98,575	$	802,705
Amortized cost of HTM MBS:
Fixed-rate	$	1,852,054	$	1,682,100
Variable-rate	483,505		601,227
Total MBS	$	2,335,559	$	2,283,327
Total HTM securities	$	2,434,134	$	3,086,032

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

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, 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. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2018 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - OTTI to the audited financial statements in the Bank’s 2018 Form 10-K.

The Bank performed a cash flow analysis using third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. During the third quarter of 2019, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (6.0)% to 10.0% over the 12 month period beginning July 1, 2019. 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.

All of the Bank's other-than-temporarily impaired securities were classified as AFS as of September 30, 2019. The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2019 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	$	149,780	$	107,445	$	133,848
Alt-A	241,881		178,017		207,694
Total OTTI securities	391,661		285,462		341,542
Private label MBS with no OTTI	3,160		3,160		2,964
Total AFS private label MBS	$	394,821	$	288,622	$	344,506

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 OTTI recognized.

58

Notes to Unaudited 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 the three and nine months ended September 30, 2019 and 2018.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Beginning balance	$	181,867		$	201,105		$	191,234		$	210,875
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	271			17			330			359
Reductions:
Securities sold and matured during the period(2)	(3,853		)	—			(3,810		)	—
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(6,009		)	(5,441		)	(15,478		)	(15,553		)
Ending balance	$	172,276		$	195,681		$	172,276		$	195,681

Notes:

⁽¹⁾ For the three months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of the applicable year. For the nine months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to January 1 of the applicable year.

⁽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 September 30, 2019, 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 September 30, 2019.

59

Notes to Unaudited Financial Statements (continued)

Note 6 – Advances

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

At September 30, 2019 and December 31, 2018, the Bank had advances outstanding, including AHP advances, at interest rates ranging from 1.15% to 7.40% and 0.83% and 7.40%, respectively.

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019					December 31, 2018
Year of Redemption	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	31,827,906		2.21	%	$	37,632,513		2.56	%
Due after 1 year through 2 years	27,660,634			2.34		24,728,488			2.58
Due after 2 years through 3 years	6,811,811			2.57		14,368,363			2.64
Due after 3 years through 4 years	2,338,975			2.57		4,360,603			2.58
Due after 4 years through 5 years	785,223			2.30		798,145			2.87
Thereafter	677,605			2.76		709,479			2.79
Total par value	70,102,154			2.31	%	82,597,591			2.58	%
Deferred prepayment fees	(1,850		)			(59		)
Hedging adjustments	225,623					(121,985		)
Total book value	$	70,325,927				$	82,475,547

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. In addition, 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 September 30, 2019 and December 31, 2018, 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.

60

Notes to Unaudited Financial Statements (continued)

The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2019 and December 31, 2018.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Due in 1 year or less	$	41,622,906	$	43,667,513	$	31,847,906	$	37,652,513
Due after 1 year through 2 years	17,935,634		20,703,488		27,660,634		24,728,488
Due after 2 years through 3 years	6,781,811		12,368,363		6,811,811		14,368,363
Due after 3 years through 4 years	2,338,975		4,350,603		2,332,975		4,360,603
Due after 4 years through 5 years	745,223		798,145		785,223		792,145
Thereafter	677,605		709,479		663,605		695,479
Total par value	$	70,102,154	$	82,597,591	$	70,102,154	$	82,597,591

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Fixed-rate – overnight	$	3,757,878	$	4,934,461
Fixed-rate – term:
Due in 1 year or less	13,350,193		17,769,178
Thereafter	17,173,148		17,813,978
Total fixed-rate	34,281,219		40,517,617
Variable-rate:
Due in 1 year or less	14,719,835		14,928,874
Thereafter	21,101,100		27,151,100
Total variable-rate	35,820,935		42,079,974
Total par value	$	70,102,154	$	82,597,591

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2019, the Bank had advances of $55.6 billion outstanding to the five largest borrowers, which represented 79.3% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at September 30, 2019.

As of December 31, 2018, the Bank had advances of $63.7 billion outstanding to the five largest borrowers, which represented 77.2% 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, 2018.

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

61

Notes to Unaudited Financial Statements (continued)

Note 7 – 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 12 for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2019 and December 31, 2018 for mortgage loans held for portfolio.

(in thousands)	September 30, 2019			December 31, 2018
Fixed-rate long-term single-family mortgages (1)	$	4,569,635		$	4,180,239
Fixed-rate medium-term single-family mortgages (1)	174,288			201,923
Total par value	4,743,923			4,382,162
Premiums	79,666			72,756
Discounts	(3,771		)	(4,123		)
Hedging adjustments	15,606			18,126
Total mortgage loans held for portfolio	$	4,835,424		$	4,468,921

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 September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Conventional loans	$	4,565,197	$	4,194,364
Government-guaranteed/insured loans	178,726		187,798
Total par value	$	4,743,923	$	4,382,162

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

Note 8 – Allowance for Credit Losses

The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured MPF 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. This approach includes an ongoing review of each borrower’s financial condition in conjunction with the Bank's 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. The Bank perfects its security interest in all pledged collateral. The FHLBank Act

62

Notes to Unaudited Financial Statements (continued)

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 September 30, 2019 and December 31, 2018, 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 September 30, 2019 and December 31, 2018, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products.

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 enhancements. 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. The allowance for credit losses on BOB loans was immaterial as of September 30, 2019 and December 31, 2018 and is not included in the tables that follow.

TDRs - 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 immaterial.

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the participating financial institution (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 collectibility 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 September 30, 2019 and December 31, 2018, the MPF exposure under the FLA was $31.2 million and $29.1 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $1.3 million and $1.2 million for the third quarter 2019 and 2018, and $3.9 million and $3.3 million for the nine months ended September 30, 2019 and 2018, respectively.

63

Notes to Unaudited Financial Statements (continued)

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, TDRs 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 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.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	8,493		$	8,054		$	7,309		$	5,954
(Charge-offs) Recoveries, net (1)	(172		)	(152		)	(85		)	(558		)
Provision (benefit) for credit losses	(61		)	(284		)	1,036			2,222
Balance, September 30	$	8,260		$	7,618		$	8,260		$	7,618

Note:

⁽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)	September 30, 2019		December 31, 2018
Ending balance, individually evaluated for impairment	$	5,988	$	6,238
Ending balance, collectively evaluated for impairment	2,272		1,071
Total allowance for credit losses	$	8,260	$	7,309
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	44,254	$	46,287
Collectively evaluated for impairment	4,631,955		4,251,857
Total recorded investment	$	4,676,209	$	4,298,144

64

Notes to Unaudited Financial Statements (continued)

Credit Quality Indicators -Mortgage Loans.Key credit quality indicators include the migration of past due loans and nonaccrual loans.

(in thousands)	September 30, 2019
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	38,112		$	7,095		$	45,207
Past due 60-89 days	6,926			1,865			8,791
Past due 90 days or more	13,800			3,929			17,729
Total past due loans	$	58,838		$	12,889		$	71,727
Total current loans	4,617,371			171,597			4,788,968
Total loans	$	4,676,209		$	184,486		$	4,860,695
Other delinquency statistics:
In process of foreclosures, included above (3)	$	5,162		$	1,393		$	6,555
Serious delinquency rate (4)	0.3		%	2.1		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	3,928		$	3,928
Loans on nonaccrual status	$	17,375		$	—		$	17,375

(in thousands)	December 31, 2018
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	33,935		$	9,533		$	43,468
Past due 60-89 days	10,055			1,668			11,723
Past due 90 days or more	12,495			4,245			16,740
Total past due loans	$	56,485		$	15,446		$	71,931
Total current loans	4,241,659			178,607			4,420,266
Total loans	$	4,298,144		$	194,053		$	4,492,197
Other delinquency statistics:
In process of foreclosures, included above (3)	$	6,458		$	1,450		$	7,908
Serious delinquency rate (4)	0.3		%	2.2		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	4,245		$	4,245
Loans on nonaccrual status	$	15,728		$	—		$	15,728

Notes:

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

⁽²⁾ The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at September 30, 2019, or December 31, 2018.

⁽³⁾ 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.

⁽⁴⁾ 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.

TDRs - Mortgage Loans - Conventional MPF. 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. The Bank offers a loan modification program for its MPF Program. Loan modifications may include temporary interest rate reductions, deferral or temporary reductions in payment, or capitalization of past due amounts. 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 $8.8 million and $9.1 million as of September 30, 2019 and December 31, 2018, respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

65

Notes to Unaudited Financial Statements (continued)

Real Estate Owned (REO). The Bank had $1.9 million and $2.9 million of REO reported in Other assets on the Statement of Condition at September 30, 2019 and December 31, 2018, respectively.

Purchases, Sales and Reclassifications. During the nine months ended September 30, 2019 and 2018, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Note 9 – Derivatives and Hedging Activities

As indicated in Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q, beginning on January 1, 2019, the Bank adopted new hedge accounting guidance. Changes in the fair value of the derivative instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, for fair value hedge relationships, hedge ineffectiveness (which is represented by the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item attributable to the hedged risk) was recorded in other noninterest income as net gains (losses) on 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 that 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. For additional information on the Bank's derivative transactions, see Note 11 - Derivatives and Hedging Activities to the audited financial statements in the Bank's 2018 Form 10-K.

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 executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	September 30, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	31,980,742	$	17,162	$	4,891
Derivatives not designated as hedging instruments:
Interest rate swaps	$	7,711,212	$	1,185	$	6,946
Interest rate caps or floors	1,355,000		333		—
Mortgage delivery commitments	103,597		130		70
Total derivatives not designated as hedging instruments:	$	9,169,809	$	1,648	$	7,016
Total derivatives before netting and collateral adjustments	$	41,150,551	$	18,810	$	11,907
Netting adjustments and cash collateral (1)			169,269		(9,213		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	188,079	$	2,694

66

Notes to Unaudited Financial Statements (continued)

	December 31, 2018
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	38,062,453	$	9,858	$	60,119
Derivatives not designated as hedging instruments:
Interest rate swaps	$	6,259,799	$	7,701	$	24,533
Interest rate caps or floors	1,435,000		2,267		—
Mortgage delivery commitments	17,391		29		22
Total derivatives not designated as hedging instruments:	$	7,712,190	$	9,997	$	24,555
Total derivatives before netting and collateral adjustments	$	45,774,643	$	19,855	$	84,674
Netting adjustments and cash collateral (1)			90,414		(59,163		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	110,269	$	25,511

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

The following table presents, 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. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value and are included in net interest income.

(in thousands)	Gains/(Losses) on Derivative			Gains/ (Losses) on Hedged Item			Net Interest Settlements			Effect of Derivatives on Net Interest Income			Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2019
Hedged item type:
Advances	$	(34,790	)	$	34,652		$	8,521		$	8,383		$	478,477
AFS securities	(30,639		)	29,136			2,918			1,415			71,884
Mortgage loans held for portfolio	—			(755		)	—			(755		)	42,452
Consolidated obligations – bonds	15,163			(15,402		)	(12,098		)	(12,337		)	(413,901		)
Total	$	(50,266	)	$	47,631		$	(659	)	$	(3,294	)
Nine months ended September 30, 2019
Hedged item type:
Advances	$	(347,838	)	$	347,605		$	51,693		$	51,460		$	1,508,189
AFS securities	(102,668		)	98,539			1,534			(2,595		)	201,198
Mortgage loans held for portfolio	—			(2,320		)	—			(2,320		)	126,922
Consolidated obligations – bonds	162,570			(164,114		)	(63,985		)	(65,529		)	(1,259,974		)
Total	$	(287,936	)	$	279,710		$	(10,758	)	$	(18,984	)

67

Notes to Unaudited Financial Statements (continued)

Prior to January 1, 2019, changes in fair value of derivative instruments and the related hedged items for designated fair value hedges were reported in other noninterest income and are presented in the table below.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness in Other Noninterest Income			Net Interest Settlements in Net Interest Income (1)
Three months ended September 30, 2018
Hedged item type:
Advances	$	33,114		$	(33,317	)	$	(203	)	$	14,352
AFS securities	15,244			(14,985		)	259			(252		)
Consolidated obligations – bonds	9,498			(6,874		)	2,624			(27,712		)
	$	57,856		$	(55,176	)	$	2,680		$	(13,612	)
Nine months ended September 30, 2018
Hedged item type:
Advances	$	199,529		$	(199,270	)	$	259		$	22,191
AFS securities	69,139			(66,328		)	2,811			(3,844		)
Consolidated obligations – bonds	(86,959		)	85,990			(969		)	(59,019		)
	$	181,709		$	(179,608	)	$	2,101		$	(40,672	)

Notes:

⁽¹⁾ These amounts do not include $(1.2) million and $(3.0) million for the three months and nine months ended September 30, 2018 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2019
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships			Cumulative Amount of Fair Value Hedging Adjustments
Advances	$	17,152,581	$	225,616	$	7		$	225,623
AFS securities	1,418,999		75,962		1,314			77,276
Consolidated obligations – bonds	13,758,798		41,397		(513		)	40,884

Note:

⁽¹⁾ Includes carrying value of hedged items in current fair value hedging relationships.

68

Notes to Unaudited Financial Statements (continued)

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in other noninterest income for periods prior to January 1, 2019.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Derivatives designated as hedging instruments:
Interest rate swaps (1)	N/A			$	2,680		N/A			$	2,101
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,873	)	$	9,331		$	(49,797	)	$	25,467
Interest rate caps or floors	(1,129		)	(388		)	(1,933		)	885
Net interest settlements	(676		)	(2,033		)	(3,642		)	(8,192		)
To Be Announced (TBA)	(21		)	(46		)	(21		)	(46		)
Mortgage delivery commitments	(11		)	(714		)	17			(2,050		)
Other	10			7			25			19
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(17,700	)	$	6,157		$	(55,351	)	$	16,083
Other - price alignment amount on cleared derivatives (2)	303			(1,006		)	150			(2,182		)
Net gains (losses) on derivatives and hedging activities	$	(17,397	)	$	7,831		$	(55,201	)	$	16,002

Notes:

⁽¹⁾Pertains to totalnet gains (losses) for fair value hedge ineffectiveness included in other noninterest income.

⁽²⁾ This amount is for derivatives for which variation margin is characterized as a daily settled contract.

The Bank had no active cash flow hedging relationships during the first nine months of 2019 or 2018.

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 is subject to certain ISDA agreements for uncleared derivatives 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 were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at September 30, 2019 was $0.6 million. The Bank had no collateral posted against this position and even 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 not have been required to deliver any additional collateral to its derivative counterparties at September 30, 2019.

Cleared Derivatives. For cleared derivatives, Derivative Clearing Organizations (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 margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank 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 through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is

69

Notes to Unaudited Financial Statements (continued)

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 paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses CME Clearing as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral.

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

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 September 30, 2019.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, theBank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. 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 nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

70

Notes to Unaudited Financial Statements (continued)

The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	15,658		$	17,899
Cleared derivatives	3,022			1,927
Total gross recognized amount	18,680			19,826
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(13,648		)	(13,290		)
Cleared derivatives	182,917			103,704
Total gross amounts of netting adjustments and cash collateral	169,269			90,414
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,010			4,609
Cleared derivatives	185,939			105,631
Total net amounts after netting adjustments and cash collateral	187,949			110,240
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	130			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	130			29
Total derivative assets:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total derivative assets as reported in the Statement of Condition	188,079			110,269
Net unsecured amount:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total net unsecured amount	$	188,079		$	110,269

71

Notes to Unaudited Financial Statements (continued)

	Derivative Liabilities
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	10,553		$	64,038
Cleared derivatives	1,284			20,614
Total gross recognized amount	11,837			84,652
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(7,929		)	(57,236		)
Cleared derivatives	(1,284		)	(1,927		)
Total gross amounts of netting adjustments and cash collateral	(9,213		)	(59,163		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,624			6,802
Cleared derivatives	—			18,687
Total net amounts after netting adjustments and cash collateral	2,624			25,489
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	70			22
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	70			22
Total derivative liabilities
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total derivative liabilities as reported in the Statement of Condition	2,694			25,511
Net unsecured amount:
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total net unsecured amount	$	2,694		$	25,511

Note:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

72

Notes to Unaudited Financial Statements (continued)

Note 10 – 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 to have 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.

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, 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 the FHLBanks’ outstanding consolidated obligations were$1,010.3 billionand$1,031.6 billion atSeptember 30, 2019andDecember 31, 2018, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2018 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019			December 31, 2018
Par value of consolidated bonds:
Fixed-rate	$	28,724,180		$	30,158,640
Step-up	1,290,000			1,902,280
Floating-rate	38,169,500			31,917,500
Conversion bonds - fixed to floating	160,000			390,000
Total par value	68,343,680			64,368,420
Bond premiums	83,705			71,636
Bond discounts	(8,680		)	(10,079		)
Concession fees	(6,877		)	(8,119		)
Hedging adjustments	40,884			(123,230		)
Total book value	$	68,452,712		$	64,298,628

73

Notes to Unaudited Financial Statements (continued)

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2019 and December 31, 2018.

	September 30, 2019				December 31, 2018
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	47,764,195	2.06	%	$	37,281,455	2.15	%
Due after 1 year through 2 years	10,249,170		2.21		14,056,285		2.40
Due after 2 years through 3 years	3,425,240		2.46		3,929,705		2.48
Due after 3 years through 4 years	1,610,050		2.58		2,249,320		2.38
Due after 4 years through 5 years	1,114,725		2.74		2,287,180		2.96
Thereafter	4,180,300		2.78		4,564,475		2.80
Total par value	$	68,343,680	2.16	%	$	64,368,420	2.30	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Noncallable	$	60,578,680	$	56,277,140
Callable	7,765,000		8,091,280
Total par value	$	68,343,680	$	64,368,420

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2019 and December 31, 2018.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Due in 1 year or less	$	53,266,195	$	45,099,735
Due after 1 year through 2 years	8,884,170		13,149,285
Due after 2 years through 3 years	2,888,240		2,662,705
Due after 3 years through 4 years	1,159,050		1,604,320
Due after 4 years through 5 years	800,725		708,900
Thereafter	1,345,300		1,143,475
Total par value	$	68,343,680	$	64,368,420

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 September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019			December 31, 2018
Book value	$	28,155,723		$	36,896,603
Par value	28,210,549			36,984,987
Weighted average interest rate (1)	2.07		%	2.36		%

Note:

⁽¹⁾ Represents an implied rate.

74

Notes to Unaudited Financial Statements (continued)

Note 11 – Capital

The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 16 to the audited financial statements in the Bank’s 2018 Form 10-K. At September 30, 2019, 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 $3.0 billion in B1 membership stock and B2 activity stock, respectively, at September 30, 2019. The Bank had $0.4 billion and $3.7 billion in B1 membership stock and B2 activity stock, respectively, at December 31, 2018.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2019 and December 31, 2018.

	September 30, 2019						December 31, 2018
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	798,145		$	5,025,353		$	1,238,722		$	5,327,247
Total capital-to-asset ratio	4.0		%	4.9		%	4.0		%	5.0		%
Total regulatory capital	4,116,546			5,025,353			4,301,712			5,327,247
Leverage ratio	5.0		%	7.3		%	5.0		%	7.4		%
Leverage capital	5,145,683			7,538,029			5,377,141			7,990,870

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 25, 2019, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2019. 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 September 30, 2019.

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

At September 30, 2019 and December 31, 2018, the Bank had $343.7 million and $24.1 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. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $6.7 million and $10.6 million during the three and nine months ended September 30, 2019, respectively. Estimated dividends on mandatorily redeemable capital stock wereimmaterial during the three and nine months ended September 30, 2018.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2019 and 2018.

	Nine months ended September 30,
(in thousands)	2019			2018
Balance, beginning of the period	$	24,099		$	5,113
Capital stock subject to mandatory redemption reclassified from capital	361,117			42,733
Redemption/repurchase of mandatorily redeemable stock	(41,505		)	(23,622		)
Balance, end of the period	$	343,711		$	24,224

As of September 30, 2019, the total mandatorily redeemable capital stock reflected the balance for five institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated.

75

Notes to Unaudited Financial Statements (continued)

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Due in 1 year or less	$	3,448	$	290
Due after 1 year through 2 years	—		3,787
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	21		22
Due after 4 years through 5 years	340,000		20,000
Past contractual redemption date due to remaining activity	242		—
Total	$	343,711	$	24,099

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. The Bank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At September 30, 2019, retained earnings were $1,308.8 million, including $909.7 million of unrestricted retained earnings and $399.1 million of restricted 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 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. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid through the third quarter of 2019 and 2018 are presented in the table below.

	Dividend - Annual Yield
	2019		2018
	Membership	Activity	Membership	Activity
February	4.5%	7.75%	3.5%	6.75%
April	4.5%	7.75%	3.5%	6.75%
July	4.5%	7.75%	3.5%	6.75%

In October 2019, the Bank paid a quarterly dividend equal to an annual yield of 7.75% and 4.5% on activity and membership stock, respectively.

76

Notes to Unaudited Financial Statements (continued)

The following table summarizes the changes in AOCI for the three months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2018	$	27,309		$	76,357		$	188		$	(3,103	)	$	100,751
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,447		)	1,565			—			—			(5,882		)
Noncredit OTTI to credit OTTI	—			17			—			—			17
Amortization on hedging activities	—			—			(8		)	—			(8		)
Pension and post-retirement	—			—			—			148			148
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
June 30, 2019	$	55,105		$	60,689		$	161		$	(1,839	)	$	114,116
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(5,595		)	(4,880		)	—			—			(10,475		)
Noncredit OTTI to credit OTTI	—			271			—			—			271
Amortization on hedging activities	—			—			(10		)	—			(10		)
Pension and post-retirement	—			—			—			106			106
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2017	$	41,210		$	72,953		$	200		$	(3,399	)	$	110,964
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(21,348		)	4,627			—			—			(16,721		)
Noncredit OTTI to credit OTTI	—			359			—			—			359
Amortization on hedging activities	—			—			(20		)	—			(20		)
Pension and post-retirement	—			—			—			444			444
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
December 31, 2018	$	9,887		$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	39,623			(9,383		)	—			—			30,240
Noncredit OTTI to credit OTTI	—			330			—			—			330
Amortization on hedging activities	—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			317			317
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

77

Notes to Unaudited Financial Statements (continued)

Note 12 – Transactions with Related Parties

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2019		December 31, 2018
Advances	$	40,408,992	$	63,112,341
Letters of credit (1)	2,865,820		4,839,828
MPF loans	504,903		570,986
Deposits	17,342		8,824
Capital stock	1,948,681		2,729,092

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.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Interest income on advances	$	280,009	$	241,588	$	980,227	$	786,673
Interest income on MPF loans	6,774		7,984		21,603		25,469
Letters of credit fees	1,333		1,412		4,446		4,363

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Servicing fee expense	$	911	$	795	$	2,613	$	2,253

(in thousands)	September 30, 2019		December 31, 2018
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,352	$	5,411

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. There was no lending activity during the three months ended September 30, 2019. During the nine months ended September 30, 2019, the total amount loaned to and were repaid from other FHLBanks was $500.0 million. There was no borrowing activity during the three months and nine months ended September 30, 2019. During the three and nine months ended 2018, there was no lending or borrowing 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. During the nine months ended September 30, 2019 and 2018, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2019 and 2018.

In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations.Additional discussions regarding related party transactions can be found in Note 18 to the audited financial statements in the Bank's 2018 Form 10-K.

78

Notes to Unaudited Financial Statements (continued)

Note 13 – Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2019 and December 31, 2018. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2019 and December 31, 2018 are presented in the table below.

Fair Value Summary Table
	September 30, 2019
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	13,789	$	13,789	$	—	$	—	$	—		$	13,789
Interest-bearing deposits	1,573,679		1,568,327		5,352		—		—			1,573,679
Federal funds sold	6,935,000		—		6,934,988		—		—			6,934,988
Securities purchased under agreement to resell (2)	1,800,000		—		1,800,018		—		—			1,800,018
Trading securities	3,910,178		—		3,910,178		—		—			3,910,178
AFS securities	10,624,401		—		10,279,895		344,506		—			10,624,401
HTM securities	2,434,134		—		2,333,701		160,672		—			2,494,373
Advances	70,325,927		—		70,296,295		—		—			70,296,295
Mortgage loans held for portfolio, net	4,827,164		—		5,017,321		—		—			5,017,321
BOB loans, net	20,031		—		—		20,031		—			20,031
Accrued interest receivable	209,931		—		209,931		—		—			209,931
Derivative assets	188,079		—		18,810		—		169,269			188,079
Liabilities:
Deposits	$	556,201	$	—	$	556,201	$	—	$	—		$	556,201
Discount notes	28,155,723		—		28,158,925		—		—			28,158,925
Bonds	68,452,712		—		68,643,478		—		—			68,643,478
Mandatorily redeemable capital stock (3)	343,711		350,426		—		—		—			350,426
Accrued interest payable (3)	222,064		—		215,349		—		—			215,349
Derivative liabilities	2,694		—		11,907		—		(9,213		)	2,694

79

Notes to Unaudited Financial Statements (continued)

	December 31, 2018
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	71,320	$	71,320	$	—	$	—	$	—		$	71,320
Interest-bearing deposits	2,123,240		2,117,829		5,411		—		—			2,123,240
Federal funds sold	4,740,000		—		4,739,984		—		—			4,739,984
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,032		—		—			1,000,032
Trading securities	1,281,053		—		1,281,053		—		—			1,281,053
AFS securities	7,846,257		—		7,436,707		409,550		—			7,846,257
HTM securities	3,086,032		—		2,894,813		206,320		—			3,101,133
Advances	82,475,547		—		82,408,752		—		—			82,408,752
Mortgage loans held for portfolio, net	4,461,612		—		4,381,484		—		—			4,381,484
BOB loans, net	17,371		—		—		17,371		—			17,371
Accrued interest receivable	234,161		—		234,161		—		—			234,161
Derivative assets	110,269		—		19,855		—		90,414			110,269
Liabilities:
Deposits	$	387,085	$	—	$	387,085	$	—	$	—		$	387,085
Discount notes	36,896,603		—		36,891,722		—		—			36,891,722
Bonds	64,298,628		—		64,125,928		—		—			64,125,928
Mandatorily redeemable capital stock (3)	24,099		24,571		—		—		—			24,571
Accrued interest payable (3)	226,537		—		226,065		—		—			226,065
Derivative liabilities	25,511		—		84,674		—		(59,163		)	25,511

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 and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

⁽²⁾ 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 September 30, 2019 and December 31, 2018. These instruments’ maturity term is overnight.

⁽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.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. 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

80

Notes to Unaudited Financial Statements (continued)

the beginning of the quarter in which the changes occur. There were no such transfers during the nine months ended September 30, 2019 or 2018.

Summary of Valuation Methodologies and Primary Inputs

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below.

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 multiple designated third-party vendors when available, and the default price is the average of the 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 multiple 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 its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. 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 September 30, 2019, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. In addition, there were minimal outliers to evaluate. 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 September 30, 2019, the Bank classified private label MBS as Level 3.

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

81

Notes to Unaudited Financial Statements (continued)

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. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

The discounted cash flow analysis used to determine the net present 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 (rates projected in order to calculate cash flows through contractual term). LIBOR Swap curve, OIS curve or SOFR curve through contractual term.

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

Mortgage delivery commitments:

• 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.

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 and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, CME. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

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.

Impaired Mortgage Loans Held for Portfolio and REO. 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.

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.

82

Notes to Unaudited 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 September 30, 2019 and December 31, 2018. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral 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.

	September 30, 2019
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	3,667,298	$	—	$	—		$	3,667,298
GSE and TVA obligations	—		242,880		—		—			242,880
Total trading securities	$	—	$	3,910,178	$	—	$	—		$	3,910,178
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,563,176	$	—	$	—		$	1,563,176
State or local agency obligations	—		249,966		—		—			249,966
MBS:
U.S. obligations single-family MBS	—		703,044		—		—			703,044
GSE single-family MBS	—		3,638,735		—		—			3,638,735
GSE multifamily MBS	—		4,124,974		—		—			4,124,974
Private label residential MBS	—		—		344,506		—			344,506
Total AFS securities	$	—	$	10,279,895	$	344,506	$	—		$	10,624,401
Derivative assets:
Interest rate related	$	—	$	18,680	$	—	$	169,269		$	187,949
Mortgage delivery commitments	—		130		—		—			130
Total derivative assets	$	—	$	18,810	$	—	$	169,269		$	188,079
Total recurring assets at fair value	$	—	$	14,208,883	$	344,506	$	169,269		$	14,722,658
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	11,837	$	—	$	(9,213	)	$	2,624
Mortgage delivery commitments	—		70		—		—			70
Total recurring liabilities at fair value (2)	$	—	$	11,907	$	—	$	(9,213	)	$	2,694
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	6,184	$	—		$	6,184
REO	—		—		2,105		—			2,105
Total non-recurring assets at fair value	$	—	$	—	$	8,289	$	—		$	8,289

83

Notes to Unaudited Financial Statements (continued)

	December 31, 2018
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	997,061	$	—	$	—		$	997,061
GSE and TVA obligations	—		283,992		—		—			283,992
Total trading securities	$	—	$	1,281,053	$	—	$	—		$	1,281,053
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,785,317	$	—	$	—		1,785,317
State or local agency obligations	—		245,939		—		—			245,939
MBS:
U.S. obligations single-family MBS	—		218,494		—		—			218,494
GSE single-family MBS	—		2,581,503		—		—			2,581,503
GSE multifamily MBS	—		2,605,454		—		—			2,605,454
Private label residential MBS	—		—		409,550		—			409,550
Total AFS securities	$	—	$	7,436,707	$	409,550	$	—		$	7,846,257
Derivative assets:
Interest rate related	$	—	$	19,826	$	—	$	90,414		$	110,240
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	19,855	$	—	$	90,414		$	110,269
Total recurring assets at fair value	$	—	$	8,737,615	$	409,550	$	90,414		$	9,237,579
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	84,652	$	—	$	(59,163	)	$	25,489
Mortgage delivery commitments	—		22		—		—			22
Total recurring liabilities at fair value (2)	$	—	$	84,674	$	—	$	(59,163	)	$	25,511
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	8,965	$	—		$	8,965
REO	—		—		6,621		—			6,621
Total non-recurring assets at fair value	$	—	$	—	$	15,586	$	—		$	15,586

Notes:

⁽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 by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first nine months of 2019 and 2018.

84

Notes to Unaudited Financial Statements (continued)

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018. 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 the first nine months of 2019 or 2018.

	AFS Private Label MBS-Residential
	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	371,402		$	475,713		$	409,550		$	524,543
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,794			4,098			11,589			11,677
Net OTTI losses, credit portion	(271		)	(17		)	(330		)	(359		)
Net unrealized gains (losses) on AFS in OCI	(14		)	18			18			48
Reclassification of non-credit portion included in net income	271			17			330			359
Unrealized gains (losses) on OTTI AFS in OCI	(4,880		)	1,565			(9,383		)	4,627
Purchases, issuances, sales, and settlements:
Settlements	(26,796		)	(41,734		)	(67,268		)	(101,235		)
Balance at September 30	$	344,506		$	439,660		$	344,506		$	439,660
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 September 30	$	3,558		$	4,081		$	8,887		$	11,318

85

Notes to Unaudited Financial Statements (continued)

Note 14 – Commitments and Contingencies

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

(in thousands)	September 30, 2019						December 31, 2018
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	18,631,301	$	—	$	18,631,301	$	20,250,625
Commitments to fund additional advances and BOB loans	10,900		—		10,900		10,987
Commitments to purchase mortgage loans	103,597		—		103,597		17,391
Unsettled consolidated obligation bonds, at par	1,472,000		—		1,472,000		196,500
Unsettled consolidated obligation discount notes, at par	—		—		—		583,940

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $220.7 million and $75.3 million at September 30, 2019 and December 31, 2018, respectively.

⁽²⁾ Letters of credit in the amount of $4.4 billion and $3.9 billion at September 30, 2019 and December 31, 2018, 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 $2.9 million and $3.9 million as of September 30, 2019 and December 31, 2018, 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. Refer to Note 8 - Allowance for Credit Losses in this Form 10-Q. 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 September 30, 2019 or December 31, 2018. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $10.1 billion and $8.7 billion at September 30, 2019 and December 31, 2018, 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 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

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

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

86

Item 3: Quantitative and Qualitative Disclosures about Market Risk

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

Item 4: Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer, chief financial officer, and chief accounting officer, the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended (the 1934 Act). Based on this evaluation, the Bank’s chief executive officer, chief financial officer, and chief accounting officer concluded that the Bank’s disclosure controls and procedures were effective as of September 30, 2019.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the third quarter of 2019 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

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

Item 1A: Risk Factors

There are no material changes in the Bank's Risk Factors from those previously disclosed in Part I, Item 1A. Risk Factors in the Bank's 2018 Form 10-K.

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

Not applicable.

Item 3: Defaults upon Senior Securities

None.

Item 4: Mine Safety Disclosures

Not applicable.

Item 5: Other Information

None.

87

Item 6: Exhibits

Exhibit 10.1	2020 Directors’ Compensation Policy*	Filed herewith.
Exhibit 31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Filed herewith.
Exhibit 31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer	Filed herewith.
Exhibit 31.3	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer	Filed herewith.
Exhibit 32.1	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Furnished herewith.
Exhibit 32.2	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer	Furnished herewith.
Exhibit 32.3	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer	Furnished herewith.
Exhibit 101	Interactive Data File (XBRL)	Filed herewith.

* Denotes management contract or compensatory plan.

SIGNATURES

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)

By: /s/ David G. Paulson

David G. Paulson

Chief Financial Officer

(Principal Financial Officer and Authorized Officer)

By: /s/ Edward V. Weller

Edward V. Weller

Chief Accounting Officer

(Authorized Officer)

Date: November 7, 2019

88

EX-10.1

2020 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 2020 are $147,500 for the Chair, $125,000 for the Vice Chair of the Board and for each Committee Chair, and $112,500 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                    $18,750

Vice Chairman                 $15,937

Committee Chairman                $15,937

Director                    $14,374

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                    $6,041

Vice Chairman                 $5,104

Committee Chairman                $5,104

Director                    $4,583

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 (rounded 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                    $6,041

Vice Chairman                    $5,104

Committee Chairman                $5,104

Director                    $4,583

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 (rounded 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 2017, McLagan Partners conducted a director compensation study for the FHLBanks, which was valid for the 2018 and 2019 calendar years and formed the basis for the Bank’s Director Compensation Policy. Directors used the study to determine both the levels of compensation to be paid, as well as to the structure of how it would be paid. In 2018, the Board did not immediately move Director compensation to the levels recommended by McLagan; instead, the Board agreed to transition to the recommended levels over 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-31.1

Exhibit 31.1

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Executive Officer

I, Winthrop Watson, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date:     November 7, 2019/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

EX-31.2

Exhibit 31.2

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, David G. Paulson, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date:     November 7, 2019/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

EX-31.3

Exhibit 31.3

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Accounting Officer

I, Edward V. Weller, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date:     November 7, 2019/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

EX-32.1

Exhibit 32.1

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

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

as Adopted Pursuant to Section 906

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

I, Winthrop Watson, state and attest that:

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2019 (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:     November 7, 2019/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

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

EX-32.2

Exhibit 32.2

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

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

as Adopted Pursuant to Section 906

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

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

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2019 (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:     November 7, 2019/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

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

EX-32.3

Exhibit 32.3

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

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

as Adopted Pursuant to Section 906

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

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

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2019 (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:     November 7, 2019/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

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

XML

Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019 USD ($) Institutions $ / shares	Sep. 30, 2018 USD ($)	Sep. 30, 2019 USD ($) Institutions $ / shares	Sep. 30, 2018 USD ($)	Dec. 31, 2018 $ / shares
Capital [Abstract]
Balance, beginning of the period			$ 24,099	$ 5,113
Capital stock subject to mandatory redemption reclassified from capital		$ 42,716	361,117	42,733
Redemption/repurchase of mandatorily redeemable stock			(41,505)	(23,622)
Balance, end of the period	$ 343,711	$ 24,224	$ 343,711	$ 24,224
Capital stock, Par value Per Share | $ / shares	$ 100		$ 100		$ 100
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions	5		5
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions	4		4
Financial instruments subject to mandatory redemption, due to relocation | Institutions	1		1
Interest Expense, Capital Securities	$ 6,700		$ 10,600

XML

Commitments and Contingencies (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019		Dec. 31, 2018
Loss Contingencies [Line Items]
Off-balance Sheet Risks, with annual renewal option	$ 4,400,000		$ 3,900,000
Other Liabilities - Standby Letter of Credit Fees	$ 286,404		152,184
Maximum Commitment Period	60 days
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Total	$ 220,700		75,300
Open RepoPlus Advance Product
Loss Contingencies [Line Items]
Open Repo Plus Product Outstanding	10,100,000		8,700,000
Standby letters of credit outstanding (1) (2)
Loss Contingencies [Line Items]
Expiration Date Within One Year	18,631,301
Expiration Date After One Year	0
Total	18,631,301	[1],[2]	20,250,625
Other Liabilities - Standby Letter of Credit Fees	2,900		3,900
Commitments to fund additional advances and BOB loans
Loss Contingencies [Line Items]
Expiration Date Within One Year	10,900
Expiration Date After One Year	0
Total	10,900		10,987
Unsettled consolidated obligation bonds, at par
Loss Contingencies [Line Items]
Expiration Date Within One Year	1,472,000
Expiration Date After One Year	0
Total	1,472,000		196,500
Unsettled consolidated obligation discount notes, at par [Member]
Loss Contingencies [Line Items]
Expiration Date Within One Year	0
Expiration Date After One Year	0
Total	0		583,940
Mortgage Receivable [Member] | Commitments to purchase mortgage loans
Loss Contingencies [Line Items]
Expiration Date Within One Year	103,597
Expiration Date After One Year	0
Total	$ 103,597		$ 17,391
Maximum
Loss Contingencies [Line Items]
Letter of Credit Renewal Period	5 years

[1] Excludes approved requests to issue future standby letters of credit of $220.7 million and $75.3 million at September 30, 2019 and December 31, 2018, respectively.

[2] Letters of credit in the amount of $4.4 billion and $3.9 billion at September 30, 2019 and December 31, 2018, 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.

XML

Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Related Party Transaction [Line Items]
Proceeds from Other Federal Home Loan Banks			$ 500,000
Loans to Other Federal Home Loan Banks			500,000
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	$ 911	$ 795	2,613	$ 2,253
Interest-bearing deposits maintained with FHLBank of Chicago	$ 5,352		$ 5,352		$ 5,411

XML

Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Short-term and Long-term Debt [Line Items]
Par value	$ 68,343,680	$ 64,368,420
Noncallable
Schedule of Short-term and Long-term Debt [Line Items]
Par value	60,578,680	56,277,140
Callable
Schedule of Short-term and Long-term Debt [Line Items]
Par value	$ 7,765,000	$ 8,091,280

XML

Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value	$ 4,743,923	$ 4,382,162
Government-guaranteed/insured loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value	178,726	187,798
Conventional MPF Loan [Member]
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value	$ 4,565,197	$ 4,194,364

XML

Other-Than-Temporary Impairment (OTTI Securities) (Details) - USD ($) $ in Thousands		Sep. 30, 2019		Dec. 31, 2018
Other than Temporary Impairment, Disclosure [Line Items]
AFS Securities-Amortized Cost	[1]	$ 10,518,811		$ 7,771,237
AFS Securities		10,624,401		7,846,257
Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
AFS Securities-Unpaid Principal Balance		394,821
AFS Securities-Amortized Cost	[1]	288,622	[2]	344,631
AFS Securities		344,506		$ 409,550
Private label MBS [Member] | Available-for-sale Securities
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance		391,661
OTTI Securities-Amortized Cost	[2]	285,462
OTTI Securities-Fair Value		341,542
Available-for-sale Securities | Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Private label MBS with no OTTI-Unpaid Principal Balance		3,160
Private label MBS with no OTTI - Amortized Cost	[2]	3,160
Private label MBS with no OTTI-Fair Value		2,964
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Private label MBS [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance		149,780
OTTI Securities-Amortized Cost	[2]	107,445
OTTI Securities-Fair Value		133,848
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Private label MBS [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance		241,881
OTTI Securities-Amortized Cost	[2]	178,017
OTTI Securities-Fair Value		$ 207,694

[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, OTTI recognized, and/or fair value hedge accounting adjustments.

[2] 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 OTTI recognized.

XML

Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Advances, Weighted Average Interest Rate, Rolling Year [Abstract]
Due in 1 year or less	2.21%	2.56%
Due after 1 year through 2 years	2.34%	2.58%
Due after 2 years through 3 years	2.57%	2.64%
Due after 3 years through 4 years	2.57%	2.58%
Due after 4 years through 5 years	2.30%	2.87%
Thereafter	2.76%	2.79%
Total par value, Weighted Average Interest Rate	2.31%	2.58%
Advances, Maturity, Rolling Year, Par Value [Abstract]
Due in 1 year or less	$ 31,827,906	$ 37,632,513
Due after 1 year through 2 years	27,660,634	24,728,488
Due after 2 years through 3 years	6,811,811	14,368,363
Due after 3 years through 4 years	2,338,975	4,360,603
Due after 4 years through 5 years	785,223	798,145
Thereafter	677,605	709,479
Total Par Value	70,102,154	82,597,591
Deferred prepayment fees	(1,850)	(59)
Hedging adjustments	225,623	(121,985)
Total book value	$ 70,325,927	$ 82,475,547

XML

Capital (Tables)

9 Months Ended

Sep. 30, 2019

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2019 and December 31, 2018.

	September 30, 2019						December 31, 2018
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	798,145		$	5,025,353		$	1,238,722		$	5,327,247
Total capital-to-asset ratio	4.0		%	4.9		%	4.0		%	5.0		%
Total regulatory capital	4,116,546			5,025,353			4,301,712			5,327,247
Leverage ratio	5.0		%	7.3		%	5.0		%	7.4		%
Leverage capital	5,145,683			7,538,029			5,377,141			7,990,870

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2019 and 2018.

	Nine months ended September 30,
(in thousands)	2019			2018
Balance, beginning of the period	$	24,099		$	5,113
Capital stock subject to mandatory redemption reclassified from capital	361,117			42,733
Redemption/repurchase of mandatorily redeemable stock	(41,505		)	(23,622		)
Balance, end of the period	$	343,711		$	24,224

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Due in 1 year or less	$	3,448	$	290
Due after 1 year through 2 years	—		3,787
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	21		22
Due after 4 years through 5 years	340,000		20,000
Past contractual redemption date due to remaining activity	242		—
Total	$	343,711	$	24,099

Schedule of Dividends Paid [Table Text Block]

Dividends paid through the third quarter of 2019 and 2018 are presented in the table below.

	Dividend - Annual Yield
	2019		2018
	Membership	Activity	Membership	Activity
February	4.5%	7.75%	3.5%	6.75%
April	4.5%	7.75%	3.5%	6.75%
July	4.5%	7.75%	3.5%	6.75%

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for the three months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2018	$	27,309		$	76,357		$	188		$	(3,103	)	$	100,751
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,447		)	1,565			—			—			(5,882		)
Noncredit OTTI to credit OTTI	—			17			—			—			17
Amortization on hedging activities	—			—			(8		)	—			(8		)
Pension and post-retirement	—			—			—			148			148
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
June 30, 2019	$	55,105		$	60,689		$	161		$	(1,839	)	$	114,116
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(5,595		)	(4,880		)	—			—			(10,475		)
Noncredit OTTI to credit OTTI	—			271			—			—			271
Amortization on hedging activities	—			—			(10		)	—			(10		)
Pension and post-retirement	—			—			—			106			106
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2017	$	41,210		$	72,953		$	200		$	(3,399	)	$	110,964
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(21,348		)	4,627			—			—			(16,721		)
Noncredit OTTI to credit OTTI	—			359			—			—			359
Amortization on hedging activities	—			—			(20		)	—			(20		)
Pension and post-retirement	—			—			—			444			444
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
December 31, 2018	$	9,887		$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	39,623			(9,383		)	—			—			30,240
Noncredit OTTI to credit OTTI	—			330			—			—			330
Amortization on hedging activities	—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			317			317
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

XML

Mortgage Loans Held for Portfolio (Tables)

9 Months Ended

Sep. 30, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of September 30, 2019 and December 31, 2018 for mortgage loans held for portfolio.

(in thousands)	September 30, 2019			December 31, 2018
Fixed-rate long-term single-family mortgages (1)	$	4,569,635		$	4,180,239
Fixed-rate medium-term single-family mortgages (1)	174,288			201,923
Total par value	4,743,923			4,382,162
Premiums	79,666			72,756
Discounts	(3,771		)	(4,123		)
Hedging adjustments	15,606			18,126
Total mortgage loans held for portfolio	$	4,835,424		$	4,468,921

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 September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Conventional loans	$	4,565,197	$	4,194,364
Government-guaranteed/insured loans	178,726		187,798
Total par value	$	4,743,923	$	4,382,162

XML

Background Information (Details)	Sep. 30, 2019 Banks
Nature of Operations [Line Items]
Number of Federal Home Loan Banks	11
Minimum
Nature of Operations [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%

XML

Held-to-Maturity (HTM) Securities

9 Months Ended

Sep. 30, 2019

Held-to-maturity Securities

Investment Holdings [Line Items]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	98,575	$	—	$	(3,586	)	$	94,989
MBS:
U.S. obligations single-family MBS	$	268,051	$	1,602	$	(7	)	$	269,646
GSE single-family MBS	1,103,088		27,720		(151		)	1,130,657
GSE multifamily MBS	804,941		33,626		(158		)	838,409
Private label residential MBS	159,479		1,660		(467		)	160,672
Total MBS	$	2,335,559	$	64,608	$	(783	)	$	2,399,384
Total HTM securities	$	2,434,134	$	64,608	$	(4,369	)	$	2,494,373

	December 31, 2018
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	700,000	$	64	$	—		$	700,064
State or local agency obligations	102,705		—		(3,969		)	98,736
Total non-MBS	$	802,705	$	64	$	(3,969	)	$	798,800
MBS:
U.S. obligations single-family MBS	$	325,178	$	2,195	$	(4	)	$	327,369
GSE single-family MBS	899,875		13,402		(92		)	913,185
GSE multifamily MBS	853,053		9,224		(6,818		)	855,459
Private label residential MBS	205,221		1,765		(666		)	206,320
Total MBS	$	2,283,327	$	26,586	$	(7,580	)	$	2,302,333
Total HTM securities	$	3,086,032	$	26,650	$	(11,549	)	$	3,101,133

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	—	$	—		$	94,989	$	(3,586	)	$	94,989	$	(3,586	)
MBS:
U.S. obligations single-family MBS	$	15,072	$	(7	)	$	—	$	—		$	15,072	$	(7	)
GSE single-family MBS	27,445		(125		)	3,928		(26		)	31,373		(151		)
GSE multifamily MBS	75,981		(158		)	—		—			75,981		(158		)
Private label residential MBS	36,368		(253		)	6,794		(214		)	43,162		(467		)
Total MBS	$	154,866	$	(543	)	$	10,722	$	(240	)	$	165,588	$	(783	)
Total	$	154,866	$	(543	)	$	105,711	$	(3,826	)	$	260,577	$	(4,369	)

	December 31, 2018
	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	$	—	$	—		$	98,736	$	(3,969	)	$	98,736	$	(3,969	)
MBS:
U.S. obligations single-family MBS	$	19,016	$	(4	)	$	—	$	—		$	19,016	$	(4	)
GSE single-family MBS	22,995		(62		)	4,443		(30		)	27,438		(92		)
GSE multifamily MBS	25,963		(56		)	319,473		(6,762		)	345,436		(6,818		)
Private label residential MBS	36,413		(402		)	7,904		(264		)	44,317		(666		)
Total MBS	$	104,387	$	(524	)	$	331,820	$	(7,056	)	$	436,207	$	(7,580	)
Total	$	104,387	$	(524	)	$	430,556	$	(11,025	)	$	534,943	$	(11,549	)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	700,000	$	700,064
Due after one year through five years	—		—		—		—
Due after five years through ten years	34,515		33,894		37,015		36,288
Due after ten years	64,060		61,095		65,690		62,448
Total non-MBS	98,575		94,989		802,705		798,800
MBS	2,335,559		2,399,384		2,283,327		2,302,333
Total HTM securities	$	2,434,134	$	2,494,373	$	3,086,032	$	3,101,133

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	700,000
Variable-rate	98,575		102,705
Total non-MBS	$	98,575	$	802,705
Amortized cost of HTM MBS:
Fixed-rate	$	1,852,054	$	1,682,100
Variable-rate	483,505		601,227
Total MBS	$	2,335,559	$	2,283,327
Total HTM securities	$	2,434,134	$	3,086,032

XML

Allowance for Credit Losses

9 Months Ended

Sep. 30, 2019

Loans and Leases Receivable Disclosure [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 MPF 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. This approach includes an ongoing review of each borrower’s financial condition in conjunction with the Bank's 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. 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 September 30, 2019 and December 31, 2018, 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 September 30, 2019 and December 31, 2018, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products.

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 enhancements. 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. The allowance for credit losses on BOB loans was immaterial as of September 30, 2019 and December 31, 2018 and is not included in the tables that follow.

TDRs - 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 immaterial.

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the participating financial institution (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 collectibility 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 September 30, 2019 and December 31, 2018, the MPF exposure under the FLA was $31.2 million and $29.1 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $1.3 million and $1.2 million for the third quarter 2019 and 2018, and $3.9 million and $3.3 million for the nine months ended September 30, 2019 and 2018, 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, TDRs 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 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.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	8,493		$	8,054		$	7,309		$	5,954
(Charge-offs) Recoveries, net (1)	(172		)	(152		)	(85		)	(558		)
Provision (benefit) for credit losses	(61		)	(284		)	1,036			2,222
Balance, September 30	$	8,260		$	7,618		$	8,260		$	7,618

Note:

⁽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)	September 30, 2019		December 31, 2018
Ending balance, individually evaluated for impairment	$	5,988	$	6,238
Ending balance, collectively evaluated for impairment	2,272		1,071
Total allowance for credit losses	$	8,260	$	7,309
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	44,254	$	46,287
Collectively evaluated for impairment	4,631,955		4,251,857
Total recorded investment	$	4,676,209	$	4,298,144

Credit Quality Indicators -Mortgage Loans.Key credit quality indicators include the migration of past due loans and nonaccrual loans.

(in thousands)	September 30, 2019
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	38,112		$	7,095		$	45,207
Past due 60-89 days	6,926			1,865			8,791
Past due 90 days or more	13,800			3,929			17,729
Total past due loans	$	58,838		$	12,889		$	71,727
Total current loans	4,617,371			171,597			4,788,968
Total loans	$	4,676,209		$	184,486		$	4,860,695
Other delinquency statistics:
In process of foreclosures, included above (3)	$	5,162		$	1,393		$	6,555
Serious delinquency rate (4)	0.3		%	2.1		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	3,928		$	3,928
Loans on nonaccrual status	$	17,375		$	—		$	17,375

(in thousands)	December 31, 2018
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	33,935		$	9,533		$	43,468
Past due 60-89 days	10,055			1,668			11,723
Past due 90 days or more	12,495			4,245			16,740
Total past due loans	$	56,485		$	15,446		$	71,931
Total current loans	4,241,659			178,607			4,420,266
Total loans	$	4,298,144		$	194,053		$	4,492,197
Other delinquency statistics:
In process of foreclosures, included above (3)	$	6,458		$	1,450		$	7,908
Serious delinquency rate (4)	0.3		%	2.2		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	4,245		$	4,245
Loans on nonaccrual status	$	15,728		$	—		$	15,728

Notes:

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

⁽²⁾ The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at September 30, 2019, or December 31, 2018.

⁽³⁾ 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.

⁽⁴⁾ 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.

TDRs - Mortgage Loans - Conventional MPF. 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. The Bank offers a loan modification program for its MPF Program. Loan modifications may include temporary interest rate reductions, deferral or temporary reductions in payment, or capitalization of past due amounts. 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 $8.8 million and $9.1 million as of September 30, 2019 and December 31, 2018, respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

Real Estate Owned (REO). The Bank had $1.9 million and $2.9 million of REO reported in Other assets on the Statement of Condition at September 30, 2019 and December 31, 2018, respectively.

Purchases, Sales and Reclassifications. During the nine months ended September 30, 2019 and 2018, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

XML

Statement of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
ASSETS
Held to maturity securities - fair value	$ 2,494,373	$ 3,101,133
Allowance for Credit losses, Mortgage Loans	8,260	7,309
Allowance for Credit Losses, BOB loans	$ 3,113	$ 2,560
Stockholders' Equity Attributable to Parent [Abstract]
Capital Stock, Par value Per Share	$ 100	$ 100
Capital Stock, Shares, Issued and Outstanding	33,729	40,272

XML

Advances (Tables)

9 Months Ended

Sep. 30, 2019

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date

The following table details interest rate payment terms by year of redemption for advances as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Fixed-rate – overnight	$	3,757,878	$	4,934,461
Fixed-rate – term:
Due in 1 year or less	13,350,193		17,769,178
Thereafter	17,173,148		17,813,978
Total fixed-rate	34,281,219		40,517,617
Variable-rate:
Due in 1 year or less	14,719,835		14,928,874
Thereafter	21,101,100		27,151,100
Total variable-rate	35,820,935		42,079,974
Total par value	$	70,102,154	$	82,597,591

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019					December 31, 2018
Year of Redemption	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	31,827,906		2.21	%	$	37,632,513		2.56	%
Due after 1 year through 2 years	27,660,634			2.34		24,728,488			2.58
Due after 2 years through 3 years	6,811,811			2.57		14,368,363			2.64
Due after 3 years through 4 years	2,338,975			2.57		4,360,603			2.58
Due after 4 years through 5 years	785,223			2.30		798,145			2.87
Thereafter	677,605			2.76		709,479			2.79
Total par value	70,102,154			2.31	%	82,597,591			2.58	%
Deferred prepayment fees	(1,850		)			(59		)
Hedging adjustments	225,623					(121,985		)
Total book value	$	70,325,927				$	82,475,547

The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2019 and December 31, 2018.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Due in 1 year or less	$	41,622,906	$	43,667,513	$	31,847,906	$	37,652,513
Due after 1 year through 2 years	17,935,634		20,703,488		27,660,634		24,728,488
Due after 2 years through 3 years	6,781,811		12,368,363		6,811,811		14,368,363
Due after 3 years through 4 years	2,338,975		4,350,603		2,332,975		4,360,603
Due after 4 years through 5 years	745,223		798,145		785,223		792,145
Thereafter	677,605		709,479		663,605		695,479
Total par value	$	70,102,154	$	82,597,591	$	70,102,154	$	82,597,591

XML

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2019	Oct. 31, 2019
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Pittsburgh
Entity Central Index Key	0001330399
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Sep. 30, 2019
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q3
Amendment Flag	false
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Common Stock, Shares Outstanding		34,931,242
Entity Shell Company	false
Entity Current Reporting Status	Yes

XML

Background Information Background Information (Notes)

9 Months Ended

Sep. 30, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Nature of Operations [Text Block]

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, do not hold capital stock.

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

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

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2018 included in the Bank's 2018 Form 10-K.

XML

Transactions with Related Parties

9 Months Ended

Sep. 30, 2019

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2019		December 31, 2018
Advances	$	40,408,992	$	63,112,341
Letters of credit (1)	2,865,820		4,839,828
MPF loans	504,903		570,986
Deposits	17,342		8,824
Capital stock	1,948,681		2,729,092

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.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Interest income on advances	$	280,009	$	241,588	$	980,227	$	786,673
Interest income on MPF loans	6,774		7,984		21,603		25,469
Letters of credit fees	1,333		1,412		4,446		4,363

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Servicing fee expense	$	911	$	795	$	2,613	$	2,253

(in thousands)	September 30, 2019		December 31, 2018
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,352	$	5,411

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. There was no lending activity during the three months ended September 30, 2019. During the nine months ended September 30, 2019, the total amount loaned to and were repaid from other FHLBanks was $500.0 million. There was no borrowing activity during the three months and nine months ended September 30, 2019. During the three and nine months ended 2018, there was no lending or borrowing 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. During the nine months ended September 30, 2019 and 2018, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2019 and 2018.

In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations.Additional discussions regarding related party transactions can be found in Note 18 to the audited financial statements in the Bank's 2018 Form 10-K.

XML

Trading Securities (Tables)

9 Months Ended

Sep. 30, 2019

Debt and Equity Securities, FV-NI [Line Items]

Schedule of Trading Securities

The following table presents trading securities as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
U.S. Treasury obligations	$	3,667,298	$	997,061
GSE and TVA obligations	242,880		283,992
Total	$	3,910,178	$	1,281,053

Trading Securities [Member]

Debt and Equity Securities, FV-NI [Line Items]

Net Gains (Losses) on Trading Securities

The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2019 and 2018.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2019		2018			2019		2018
Net unrealized gains (losses) on trading securities held at period-end	$	5,429	$	(2,578	)	$	22,840	$	(10,292	)
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	12		(423		)	515		(4,111		)
Net gains (losses) on trading securities	$	5,441	$	(3,001	)	$	23,355	$	(14,403	)

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		$ 41,150,551	$ 45,774,643
Derivative Asset, before netting and collateral adjustments		18,810	19,855
Derivative Liability, before netting and collateral adjustments		11,907	84,674
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	169,269	90,414
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(9,213)	(59,163)
Derivative assets		188,079	110,269
Derivative liabilities		2,694	25,511
Cash Collateral posted		191,000	154,800
Cash Collateral received		12,500	5,200
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		31,980,742	38,062,453
Derivative Asset, before netting and collateral adjustments		17,162	9,858
Derivative Liability, before netting and collateral adjustments		4,891	60,119
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		9,169,809	7,712,190
Derivative Asset, before netting and collateral adjustments		1,648	9,997
Derivative Liability, before netting and collateral adjustments		7,016	24,555
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		7,711,212	6,259,799
Derivative Asset, before netting and collateral adjustments		1,185	7,701
Derivative Liability, before netting and collateral adjustments		6,946	24,533
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		1,355,000	1,435,000
Derivative Asset, before netting and collateral adjustments		333	2,267
Derivative Liability, before netting and collateral adjustments		0	0
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member]
Derivatives, Fair Value [Line Items]
Notional Amount of Derivatives		103,597	17,391
Derivative Asset, before netting and collateral adjustments		130	29
Derivative Liability, before netting and collateral adjustments		$ 70	$ 22

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

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

XML

Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Sep. 30, 2019 USD ($)
Derivative [Line Items]
Derivative, Net Liability Position, Aggregate Fair Value	$ 0.6

XML

Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Amortized Cost:
Amortized Cost	[1]	$ 10,518,811	$ 7,771,237
Fair Value:
Fair Value		10,624,401	7,846,257
Total non-MBS
Amortized Cost:
Due in one year or less		0	334,985
Due after one year through five years		515,685	436,904
Due after five years through ten years		718,079	660,043
Due in more than ten years		540,084	590,430
Amortized Cost	[1]	1,773,848	2,022,362
Fair Value:
Due in one year or less		0	334,428
Due after one year through five years		522,912	441,263
Due after five years through ten years		730,704	664,031
Due in more than ten years		559,526	591,534
Fair Value		1,813,142	2,031,256
MBS [Member]
Amortized Cost:
Amortized Cost	[1]	8,744,963	5,748,875
Fair Value:
Fair Value		$ 8,811,259	$ 5,815,001

[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, OTTI recognized, and/or fair value hedge accounting adjustments.

XML

Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Debt Securities, Trading, and Equity Securities, FV-NI [Abstract]
Net unrealized gains (losses) on trading securities held at period-end	$ 5,429	$ (2,578)	$ 22,840	$ (10,292)
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	12	(423)	515	(4,111)
Net gains (losses) on trading securities	$ 5,441	$ (3,001)	$ 23,355	$ (14,403)

XML

Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Fair Value:
Less than 12 Months	$ 154,866	$ 104,387
Greater than 12 Months	105,711	430,556
Fair Value	260,577	534,943
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(543)	(524)
Unrealized Loss Position 12 Months or Longer	(3,826)	(11,025)
Total Unrealized Loss Position	(4,369)	(11,549)
State or local agency obligations [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	94,989	98,736
Fair Value	94,989	98,736
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	0	0
Unrealized Loss Position 12 Months or Longer	(3,586)	(3,969)
Total Unrealized Loss Position	(3,586)	(3,969)
U.S. obligations single-family MBS
Fair Value:
Less than 12 Months	15,072	19,016
Greater than 12 Months	0	0
Fair Value	15,072	19,016
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(7)	(4)
Unrealized Loss Position 12 Months or Longer	0	0
Total Unrealized Loss Position	(7)	(4)
GSE MBS [Member] | Single Family [Member]
Fair Value:
Less than 12 Months	27,445	22,995
Greater than 12 Months	3,928	4,443
Fair Value	31,373	27,438
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(125)	(62)
Unrealized Loss Position 12 Months or Longer	(26)	(30)
Total Unrealized Loss Position	(151)	(92)
GSE MBS [Member] | Multifamily [Member]
Fair Value:
Less than 12 Months	75,981	25,963
Greater than 12 Months	0	319,473
Fair Value	75,981	345,436
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(158)	(56)
Unrealized Loss Position 12 Months or Longer	0	(6,762)
Total Unrealized Loss Position	(158)	(6,818)
Private label MBS [Member]
Fair Value:
Less than 12 Months	36,368	36,413
Greater than 12 Months	6,794	7,904
Fair Value	43,162	44,317
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(253)	(402)
Unrealized Loss Position 12 Months or Longer	(214)	(264)
Total Unrealized Loss Position	(467)	(666)
Total MBS [Member]
Fair Value:
Less than 12 Months	154,866	104,387
Greater than 12 Months	10,722	331,820
Fair Value	165,588	436,207
Unrealized Losses:
Unrealized Loss Position Less than 12 Months	(543)	(524)
Unrealized Loss Position 12 Months or Longer	(240)	(7,056)
Total Unrealized Loss Position	$ (783)	$ (7,580)

XML

Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	$ 5,055,905	$ 5,266,901	$ 5,376,294	$ 4,927,488
Comprehensive Income	60,168	92,718	266,840	252,986
Issuance of capital stock	1,578,013	1,335,517	4,863,370	4,069,981
Repurchase/redemption of capital stock	(1,848,336)	(1,696,679)	(5,156,630)	(4,139,332)
Net shares reclassified to mandatorily redeemable capital stock		(42,716)	(361,117)	(42,733)
Cash dividends	(60,100)	(58,784)	(203,107)	(171,433)
Total capital, ending balance	$ 4,785,650	$ 4,896,957	$ 4,785,650	$ 4,896,957
Capital Stock - Putable
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Balance, shares beginning balance	36,432	39,505	40,272	36,587
Total capital, beginning balance	$ 3,643,190	$ 3,950,450	$ 4,027,244	$ 3,658,656
Issuance of capital stock, shares	15,780	13,355	48,634	40,700
Issuance of capital stock	$ 1,578,013	$ 1,335,517	$ 4,863,370	$ 4,069,981
Repurchase/redemption of capital stock, shares	(18,483)	(16,967)	(51,566)	(41,394)
Repurchase/redemption of capital stock	$ (1,848,336)	$ (1,696,679)	$ (5,156,630)	$ (4,139,332)
Net shares reclassified to mandatorily redeemable capital stock, shares		(427)	(3,611)	(427)
Net shares reclassified to mandatorily redeemable capital stock		$ (42,716)	$ (361,117)	$ (42,733)
Balance, shares ending balance	33,729	35,466	33,729	35,466
Total capital, ending balance	$ 3,372,867	$ 3,546,572	$ 3,372,867	$ 3,546,572
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	913,555	899,131	924,001	875,395
Comprehensive Income	56,221	78,754	188,782	215,139
Cash dividends	(60,100)	(58,784)	(203,107)	(171,433)
Total capital, ending balance	909,676	919,101	909,676	919,101
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	385,044	316,569	351,903	282,473
Comprehensive Income	14,055	19,689	47,196	53,785
Total capital, ending balance	399,099	336,258	399,099	336,258
Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	1,298,599	1,215,700	1,275,904	1,157,868
Comprehensive Income	70,276	98,443	235,978	268,924
Cash dividends	(60,100)	(58,784)	(203,107)	(171,433)
Total capital, ending balance	1,308,775	1,255,359	1,308,775	1,255,359
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	114,116	100,751	73,146	110,964
Comprehensive Income	(10,108)	(5,725)	30,862	(15,938)
Total capital, ending balance	$ 104,008	$ 95,026	$ 104,008	$ 95,026

XML

Capital

9 Months Ended

Sep. 30, 2019

Capital [Abstract]

Capital

Capital

The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 16 to the audited financial statements in the Bank’s 2018 Form 10-K. At September 30, 2019, 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 $3.0 billion in B1 membership stock and B2 activity stock, respectively, at September 30, 2019. The Bank had $0.4 billion and $3.7 billion in B1 membership stock and B2 activity stock, respectively, at December 31, 2018.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2019 and December 31, 2018.

	September 30, 2019						December 31, 2018
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	798,145		$	5,025,353		$	1,238,722		$	5,327,247
Total capital-to-asset ratio	4.0		%	4.9		%	4.0		%	5.0		%
Total regulatory capital	4,116,546			5,025,353			4,301,712			5,327,247
Leverage ratio	5.0		%	7.3		%	5.0		%	7.4		%
Leverage capital	5,145,683			7,538,029			5,377,141			7,990,870

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 25, 2019, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2019. 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 September 30, 2019.

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

At September 30, 2019 and December 31, 2018, the Bank had $343.7 million and $24.1 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. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $6.7 million and $10.6 million during the three and nine months ended September 30, 2019, respectively. Estimated dividends on mandatorily redeemable capital stock wereimmaterial during the three and nine months ended September 30, 2018.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2019 and 2018.

	Nine months ended September 30,
(in thousands)	2019			2018
Balance, beginning of the period	$	24,099		$	5,113
Capital stock subject to mandatory redemption reclassified from capital	361,117			42,733
Redemption/repurchase of mandatorily redeemable stock	(41,505		)	(23,622		)
Balance, end of the period	$	343,711		$	24,224

As of September 30, 2019, the total mandatorily redeemable capital stock reflected the balance for five institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Due in 1 year or less	$	3,448	$	290
Due after 1 year through 2 years	—		3,787
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	21		22
Due after 4 years through 5 years	340,000		20,000
Past contractual redemption date due to remaining activity	242		—
Total	$	343,711	$	24,099

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. The Bank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At September 30, 2019, retained earnings were $1,308.8 million, including $909.7 million of unrestricted retained earnings and $399.1 million of restricted 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 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. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid through the third quarter of 2019 and 2018 are presented in the table below.

	Dividend - Annual Yield
	2019		2018
	Membership	Activity	Membership	Activity
February	4.5%	7.75%	3.5%	6.75%
April	4.5%	7.75%	3.5%	6.75%
July	4.5%	7.75%	3.5%	6.75%

In October 2019, the Bank paid a quarterly dividend equal to an annual yield of 7.75% and 4.5% on activity and membership stock, respectively.

The following table summarizes the changes in AOCI for the three months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2018	$	27,309		$	76,357		$	188		$	(3,103	)	$	100,751
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,447		)	1,565			—			—			(5,882		)
Noncredit OTTI to credit OTTI	—			17			—			—			17
Amortization on hedging activities	—			—			(8		)	—			(8		)
Pension and post-retirement	—			—			—			148			148
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
June 30, 2019	$	55,105		$	60,689		$	161		$	(1,839	)	$	114,116
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(5,595		)	(4,880		)	—			—			(10,475		)
Noncredit OTTI to credit OTTI	—			271			—			—			271
Amortization on hedging activities	—			—			(10		)	—			(10		)
Pension and post-retirement	—			—			—			106			106
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

The following table summarizes the changes in AOCI for the nine months ended September 30, 2019 and 2018.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2017	$	41,210		$	72,953		$	200		$	(3,399	)	$	110,964
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(21,348		)	4,627			—			—			(16,721		)
Noncredit OTTI to credit OTTI	—			359			—			—			359
Amortization on hedging activities	—			—			(20		)	—			(20		)
Pension and post-retirement	—			—			—			444			444
September 30, 2018	$	19,862		$	77,939		$	180		$	(2,955	)	$	95,026
December 31, 2018	$	9,887		$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	39,623			(9,383		)	—			—			30,240
Noncredit OTTI to credit OTTI	—			330			—			—			330
Amortization on hedging activities	—			—			(25		)	—			(25		)
Pension and post-retirement	—			—			—			317			317
September 30, 2019	$	49,510		$	56,080		$	151		$	(1,733	)	$	104,008

XML

Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2019

Impairment of Investments, Policy

The Bank performed a cash flow analysis using third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. During the third quarter of 2019, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (6.0)% to 10.0% over the 12 month period beginning July 1, 2019. 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.

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy

The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured MPF 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. This approach includes an ongoing review of each borrower’s financial condition in conjunction with the Bank's 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. 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 September 30, 2019 and December 31, 2018, 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 September 30, 2019 and December 31, 2018, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products.

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the participating financial institution (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 collectibility is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank.

Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually

Derivatives, Policy

The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.

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 is subject to certain ISDA agreements for uncleared derivatives 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 were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero.

Fair Value Measurement, Policy

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

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

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

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

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

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur.

Fair Value of Financial Instruments, Policy

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from multiple 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.

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. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

The discounted cash flow analysis used to determine the net present 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 (rates projected in order to calculate cash flows through contractual term). LIBOR Swap curve, OIS curve or SOFR curve through contractual term.

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

Mortgage delivery commitments:

• 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.

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 and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, CME. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

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.

Impaired Mortgage Loans Held for Portfolio and REO. 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.

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.

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.

Fair Value Transfer, Policy

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.

XML

Statements of Condition - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
ASSETS
Cash and due from banks	$ 13,789	$ 71,320
Interest-bearing deposits	1,573,679	2,123,240
Federal funds sold	6,935,000	4,740,000
Securities purchased under agreements to resell	1,800,000	1,000,000
Investment securities
Trading securities (Note 2)	3,910,178	1,281,053
AFS securities at fair value (Note 3)	10,624,401	7,846,257
HTM securities; fair value of $2,494,373 and $3,101,133, respectively (Note 4)	2,434,134	3,086,032
Total investment securities	16,968,713	12,213,342
Advances (Note 6)	70,325,927	82,475,547
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $8,260 and $7,309, respectively (Note 8)	4,827,164	4,461,612
Banking on Business (BOB) loans, net of allowance for credit losses of $3,113 and $2,560, respectively	20,031	17,371
Accrued interest receivable	209,931	234,161
Derivative assets (Note 9)	188,079	110,269
Other assets	51,340	39,657
Total assets	102,913,653	107,486,519
Liabilities
Deposits	556,201	387,085
Consolidated obligations: (Note 10)
Discount notes	28,155,723	36,896,603
Bonds	68,452,712	64,298,628
Total consolidated obligations	96,608,435	101,195,231
Mandatorily redeemable capital stock (Note 11)	343,711	24,099
Accrued interest payable	222,064	226,537
AHP payable	108,494	99,578
Derivative liabilities (Note 9)	2,694	25,511
Other liabilities	286,404	152,184
Total liabilities	98,128,003	102,110,225
Commitments and contingencies ( Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding 33,729 and 40,272 shares, respectively	3,372,867	4,027,244
Retained earnings:
Unrestricted	909,676	924,001
Restricted	399,099	351,903
Total retained earnings	1,308,775	1,275,904
Accumulated Other Comprehensive Income (AOCI)	104,008	73,146
Total capital	4,785,650	5,376,294
Total liabilities and capital	$ 102,913,653	$ 107,486,519

XML

Other-Than-Temporary Impairment (Tables)

9 Months Ended

Sep. 30, 2019

Other Than Temporary Impairment [Abstract]

Schedule of Other Than Temporarily Impaired Charges of Securities

The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2019 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	$	149,780	$	107,445	$	133,848
Alt-A	241,881		178,017		207,694
Total OTTI securities	391,661		285,462		341,542
Private label MBS with no OTTI	3,160		3,160		2,964
Total AFS private label MBS	$	394,821	$	288,622	$	344,506

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 OTTI recognized.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and nine months ended September 30, 2019 and 2018.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Beginning balance	$	181,867		$	201,105		$	191,234		$	210,875
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	271			17			330			359
Reductions:
Securities sold and matured during the period(2)	(3,853		)	—			(3,810		)	—
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(6,009		)	(5,441		)	(15,478		)	(15,553		)
Ending balance	$	172,276		$	195,681		$	172,276		$	195,681

Notes:

⁽¹⁾ For the three months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of the applicable year. For the nine months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to January 1 of the applicable year.

⁽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.

XML

Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Maximum Exposure Under First Loss Account	$ 31.2		$ 31.2		$ 29.1
Credit Enhancement Fees	1.3	$ 1.2	3.9	$ 3.3
REO	1.9		1.9		2.9
TDR	$ 8.8		$ 8.8		$ 9.1

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands		3 Months Ended			9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018		Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income		$ (3,294)			$ (18,984)
Net Fair Value Hedge Ineffectiveness			$ 2,680			$ 2,101
Derivative Instruments, Other Gain (Loss)	[1]		(1,006)			(2,182)
Net gains (losses) on derivatives and hedging activities		(17,397)	7,831		(55,201)	16,002
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness			2,680	[2]		2,101
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments			9,331			25,467
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments			(388)			885
Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments			(2,033)			(8,192)
Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA's [Member] [Domain]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(21)	(46)		(21)	(46)
Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments			6,157			16,083
Not Designated as Hedging Instrument [Member] | Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments			7			19
Mortgage Receivable [Member] | Forward Contracts [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(11)	(714)		17	(2,050)
Gain (Loss) on Derivative Instruments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments, Other Gain (Loss)	[1]	303			150
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(15,873)			(49,797)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(1,129)			(1,933)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(676)			(3,642)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(17,700)			(55,351)
Net gains (losses) on derivatives and hedging activities		(17,397)			(55,201)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		10			25
Consolidated Obligations Bonds [Member] | Interest Expense [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income		$ (12,337)			$ (65,529)
Consolidated Obligations Bonds [Member] | Gain (Loss) on Derivative Instruments [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness			$ 2,624			$ (969)

[1] This amount is for derivatives for which variation margin is characterized as a daily settled contract.

[2] Pertains to total net gains (losses) for fair value hedge ineffectiveness included in other noninterest income.

XML

Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Amortized Cost:
Amortized Cost	$ 2,434,134	$ 3,086,032
Fair Value:
Fair Value	2,494,373	3,101,133
Total non-MBS
Amortized Cost:
Due in one year or less	0	700,000
Due after one year through five years	0	0
Due after five years through ten years	34,515	37,015
Due after ten years	64,060	65,690
Amortized Cost	98,575	802,705
Fair Value:
Due in one year or less	0	700,064
Due after one year through five years	0	0
Due after five years through ten years	33,894	36,288
Due after ten years	61,095	62,448
Fair Value	94,989	798,800
MBS [Member]
Amortized Cost:
Amortized Cost	2,335,559	2,283,327
Fair Value:
Fair Value	$ 2,399,384	$ 2,302,333

XML

Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost	[1]	$ 10,518,811	$ 7,771,237
Total non-MBS
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost	[1]	1,773,848	2,022,362
Total MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost	[1]	8,744,963	5,748,875
Fixed Interest Rate [Member] | Total non-MBS
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost		1,773,848	1,937,376
Fixed Interest Rate [Member] | Total MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost		1,472,926	1,261,019
Variable interest rate [Member] | Total non-MBS
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost		0	84,986
Variable interest rate [Member] | Total MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities-Amortized Cost		$ 7,272,037	$ 4,487,856

[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, OTTI recognized, and/or fair value hedge accounting adjustments.

XML

Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($)		Sep. 30, 2019		Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	$ 10,518,811,000		$ 7,771,237,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		123,134,000		97,460,000
Gross Unrealized Losses		(17,544,000)		(22,440,000)
AFS Securities		10,624,401,000		7,846,257,000
GSE and TVA obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	1,534,648,000		1,771,573,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		28,534,000		15,801,000
Gross Unrealized Losses		(6,000)		(2,057,000)
AFS Securities		1,563,176,000		1,785,317,000
State or local agency obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	239,200,000		250,789,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		10,766,000		1,975,000
Gross Unrealized Losses		0		(6,825,000)
AFS Securities		249,966,000		245,939,000
Total non-MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	1,773,848,000		2,022,362,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		39,300,000		17,776,000
Gross Unrealized Losses		(6,000)		(8,882,000)
AFS Securities		1,813,142,000		2,031,256,000
U.S. obligations single-family MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	698,039,000		216,594,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		5,274,000		1,988,000
Gross Unrealized Losses		(269,000)		(88,000)
AFS Securities		703,044,000		218,494,000
GSE MBS [Member] | GSE single-family MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	3,626,167,000		2,575,361,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		17,194,000		12,013,000
Gross Unrealized Losses		(4,626,000)		(5,871,000)
AFS Securities		3,638,735,000		2,581,503,000
GSE MBS [Member] | GSE multifamily MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	4,132,135,000		2,612,289,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		5,286,000		550,000
Gross Unrealized Losses		(12,447,000)		(7,385,000)
AFS Securities		4,124,974,000		2,605,454,000
Private label MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	288,622,000	[3]	344,631,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		56,080,000		65,133,000
Gross Unrealized Losses		(196,000)		(214,000)
AFS Securities		344,506,000		409,550,000
Total MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	[1]	8,744,963,000		5,748,875,000
OTTI Recognized in AOCI (2)	[2]	0		0
Gross Unrealized Gains		83,834,000		79,684,000
Gross Unrealized Losses		(17,538,000)		(13,558,000)
AFS Securities		$ 8,811,259,000		$ 5,815,001,000

[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, OTTI recognized, and/or fair value hedge accounting adjustments.

[2] Represents the non-credit portion of an OTTI recognized during the life of the security.

[3] 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 OTTI recognized.

XML

Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Dec. 31, 2017
Capital [Abstract]
Due in 1 year or less	$ 3,448	$ 290
Due after 1 year through 2 years	0	3,787
Due after 2 years through 3 years	0	0
Due after 3 years through 4 years	21	22
Due after 4 years through 5 years	340,000	20,000
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five	242	0
Total	$ 343,711	$ 24,099	$ 24,224	$ 5,113

XML

Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Dec. 31, 2017
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		$ 13,789	$ 71,320
Trading securities		3,910,178	1,281,053
AFS Securities		10,624,401	7,846,257
Debt Securities, Held-to-maturity		2,434,134	3,086,032
Held to maturity securities - fair value		2,494,373	3,101,133
Accrued interest receivable		209,931	234,161
Derivative assets		188,079	110,269
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	169,269	90,414
Mandatorily redeemable capital stock (Note 11)		343,711	24,099	$ 24,224	$ 5,113
Accrued interest payable		222,064	226,537
Derivative liabilities		2,694	25,511
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(9,213)	(59,163)
Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		13,789	71,320
Interest-bearing deposits		1,568,327	2,117,829
Federal funds sold		0	0
Securities purchased under agreement to resell (2)		0	0
Trading securities		0	0
AFS Securities		0	0
Held to maturity securities - fair value		0	0
Advances		0	0
Accrued interest receivable		0	0
Derivative assets		0	0
Deposits		0	0
Mandatorily redeemable capital stock (Note 11)		350,426	24,571
Accrued interest payable		0	0
Derivative liabilities		0	0
Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		0	0
Interest-bearing deposits		5,352	5,411
Federal funds sold		6,934,988	4,739,984
Securities purchased under agreement to resell (2)		1,800,018	1,000,032
Trading securities		3,910,178	1,281,053
AFS Securities		10,279,895	7,436,707
Held to maturity securities - fair value		2,333,701	2,894,813
Advances		70,296,295	82,408,752
Accrued interest receivable		209,931	234,161
Derivative assets		18,810	19,855
Deposits		556,201	387,085
Mandatorily redeemable capital stock (Note 11)		0	0
Accrued interest payable		215,349	226,065
Derivative liabilities		11,907	84,674
Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		0	0
Interest-bearing deposits		0	0
Federal funds sold		0	0
Securities purchased under agreement to resell (2)		0	0
Trading securities		0	0
AFS Securities		344,506	409,550
Held to maturity securities - fair value		160,672	206,320
Advances		0	0
Accrued interest receivable		0	0
Derivative assets		0	0
Deposits		0	0
Mandatorily redeemable capital stock (Note 11)		0	0
Accrued interest payable		0	0
Derivative liabilities		0	0
Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		13,789	71,320
Interest-bearing deposits		1,573,679	2,123,240
Federal funds sold		6,934,988	4,739,984
Securities purchased under agreement to resell (2)		1,800,018	1,000,032
Trading securities		3,910,178	1,281,053
AFS Securities		10,624,401	7,846,257
Held to maturity securities - fair value		2,494,373	3,101,133
Advances		70,296,295	82,408,752
Accrued interest receivable		209,931	234,161
Derivative assets		188,079	110,269
Deposits		556,201	387,085
Mandatorily redeemable capital stock (Note 11)	[3]	350,426	24,571
Accrued interest payable	[3]	215,349	226,065
Derivative liabilities		2,694	25,511
Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		13,789	71,320
Interest-bearing deposits		1,573,679	2,123,240
Federal funds sold		6,935,000	4,740,000
Securities purchased under agreement to resell (2)	[4]	1,800,000	1,000,000
Trading securities		3,910,178	1,281,053
AFS Securities		10,624,401	7,846,257
Debt Securities, Held-to-maturity		2,434,134	3,086,032
Advances		70,325,927	82,475,547
Accrued interest receivable		209,931	234,161
Derivative assets		188,079	110,269
Deposits		556,201	387,085
Mandatorily redeemable capital stock (Note 11)		343,711	24,099
Accrued interest payable		222,064	226,537
Derivative liabilities		2,694	25,511
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0	0
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,158,925	36,891,722
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0	0
Consolidated Obligations, Discount Notes | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,158,925	36,891,722
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		28,155,723	36,896,603
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0	0
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		68,643,478	64,125,928
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0	0
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		68,643,478	64,125,928
Consolidated Obligation Bonds | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		68,452,712	64,298,628
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0	0
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		5,017,321	4,381,484
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0	0
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		5,017,321	4,381,484
Mortgage loans held for portfolio, net | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		4,827,164	4,461,612
Banking on Business Loans | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0	0
Banking on Business Loans | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0	0
Banking on Business Loans | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		20,031	17,371
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		20,031	17,371
Banking on Business Loans | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		$ 20,031	$ 17,371

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued 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] 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 September 30, 2019 and December 31, 2018. These instruments’ maturity term is overnight.

XML

Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 53,266,195	$ 45,099,735
Due after 1 year through 2 years	8,884,170	13,149,285
Due after 2 years through 3 years	2,888,240	2,662,705
Due after 3 years through 4 years	1,159,050	1,604,320
Due after 4 years through 5 years	800,725	708,900
Thereafter	1,345,300	1,143,475
Total par value	$ 68,343,680	$ 64,368,420

XML

Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,434,134	$ 3,086,032
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	98,575	802,705
Total non-MBS | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	0	700,000
Total non-MBS | Variable interest rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	98,575	102,705
Total MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,335,559	2,283,327
Total MBS [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,852,054	1,682,100
Total MBS [Member] | Variable interest rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 483,505	$ 601,227

XML

Advances (Narrative) (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2019 USD ($) Institutions	Dec. 31, 2018 USD ($) Institutions
Federal Home Loan Bank Advances
Total Par Value | $	$ 70,102,154	$ 82,597,591
Advances, Five Largest Borrowers Amount Outstanding | $	$ 55,600,000	$ 63,700,000
Number Of Top Advances Borrowers | Institutions	5	5
Advances, Five Largest Borrowers, Percent of Total	79.30%	77.20%
Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | Institutions	3	3
Maximum
Federal Home Loan Bank Advances
Advances, Maturity Period, Fixed Rate	30 years
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	10 years
Interest rate of advances	7.40%	7.40%
Minimum
Federal Home Loan Bank Advances
Advances, Maturity Period, Fixed Rate	1 day
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	1 day
Interest rate of advances	1.15%	0.83%

XML

Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value		$ 4,743,923	$ 4,382,162
Premiums	[1]	79,666	72,756
Discounts		(3,771)	(4,123)
Hedging adjustments		15,606	18,126
Total mortgage loans held for portfolio		4,835,424	4,468,921
Fixed-rate long-term single-family mortgages (1) | Single Family [Member]
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value		4,569,635	4,180,239
Fixed-rate medium-term single-family mortgages (1) | Single Family [Member]
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Total Par value		$ 174,288	$ 201,923

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

XML

Trading Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Debt and Equity Securities, FV-NI [Line Items]
Trading securities	$ 3,910,178	$ 1,281,053
U.S. Treasury obligations
Debt and Equity Securities, FV-NI [Line Items]
Trading securities	3,667,298	997,061
GSE and TVA obligations [Member]
Debt and Equity Securities, FV-NI [Line Items]
Trading securities	$ 242,880	$ 283,992

XML

Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2019

Related Party Transaction [Line Items]

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2019		December 31, 2018
Advances	$	40,408,992	$	63,112,341
Letters of credit (1)	2,865,820		4,839,828
MPF loans	504,903		570,986
Deposits	17,342		8,824
Capital stock	1,948,681		2,729,092

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.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Interest income on advances	$	280,009	$	241,588	$	980,227	$	786,673
Interest income on MPF loans	6,774		7,984		21,603		25,469
Letters of credit fees	1,333		1,412		4,446		4,363

FHLBank of Chicago [Member]

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2019		2018		2019		2018
Servicing fee expense	$	911	$	795	$	2,613	$	2,253

(in thousands)	September 30, 2019		December 31, 2018
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,352	$	5,411

XML

Allowance for Credit Losses (Tables)

9 Months Ended

Sep. 30, 2019

Financing Receivable, Allowance for Credit Loss [Line Items]

Past Due Financing Receivables

Credit Quality Indicators -Mortgage Loans.Key credit quality indicators include the migration of past due loans and nonaccrual loans.

(in thousands)	September 30, 2019
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	38,112		$	7,095		$	45,207
Past due 60-89 days	6,926			1,865			8,791
Past due 90 days or more	13,800			3,929			17,729
Total past due loans	$	58,838		$	12,889		$	71,727
Total current loans	4,617,371			171,597			4,788,968
Total loans	$	4,676,209		$	184,486		$	4,860,695
Other delinquency statistics:
In process of foreclosures, included above (3)	$	5,162		$	1,393		$	6,555
Serious delinquency rate (4)	0.3		%	2.1		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	3,928		$	3,928
Loans on nonaccrual status	$	17,375		$	—		$	17,375

(in thousands)	December 31, 2018
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
Past due 30-59 days	$	33,935		$	9,533		$	43,468
Past due 60-89 days	10,055			1,668			11,723
Past due 90 days or more	12,495			4,245			16,740
Total past due loans	$	56,485		$	15,446		$	71,931
Total current loans	4,241,659			178,607			4,420,266
Total loans	$	4,298,144		$	194,053		$	4,492,197
Other delinquency statistics:
In process of foreclosures, included above (3)	$	6,458		$	1,450		$	7,908
Serious delinquency rate (4)	0.3		%	2.2		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	4,245		$	4,245
Loans on nonaccrual status	$	15,728		$	—		$	15,728

Notes:

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

⁽²⁾ The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at September 30, 2019, or December 31, 2018.

⁽³⁾ 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.

⁽⁴⁾ 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.

Mortgage loans held for portfolio, net

Financing Receivable, Allowance for Credit Loss [Line Items]

Allowance for Credit Losses on Financing Receivables

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

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	8,493		$	8,054		$	7,309		$	5,954
(Charge-offs) Recoveries, net (1)	(172		)	(152		)	(85		)	(558		)
Provision (benefit) for credit losses	(61		)	(284		)	1,036			2,222
Balance, September 30	$	8,260		$	7,618		$	8,260		$	7,618

Note:

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

(in thousands)	September 30, 2019		December 31, 2018
Ending balance, individually evaluated for impairment	$	5,988	$	6,238
Ending balance, collectively evaluated for impairment	2,272		1,071
Total allowance for credit losses	$	8,260	$	7,309
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	44,254	$	46,287
Collectively evaluated for impairment	4,631,955		4,251,857
Total recorded investment	$	4,676,209	$	4,298,144

XML

Available-for-Sale (AFS) Securities

9 Months Ended

Sep. 30, 2019

Available-for-sale Securities

Investment Holdings [Line Items]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

Available-for-Sale (AFS) Securities

The following tables present AFS securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,534,648	$	—	$	28,534	$	(6	)	$	1,563,176
State or local agency obligations	239,200		—		10,766		—			249,966
Total non-MBS	$	1,773,848	$	—	$	39,300	$	(6	)	$	1,813,142
MBS:
U.S. obligations single-family MBS	$	698,039	$	—	$	5,274	$	(269	)	$	703,044
GSE single-family MBS	3,626,167		—		17,194		(4,626		)	3,638,735
GSE multifamily MBS	4,132,135		—		5,286		(12,447		)	4,124,974
Private label residential MBS	288,622		—		56,080		(196		)	344,506
Total MBS	$	8,744,963	$	—	$	83,834	$	(17,538	)	$	8,811,259
Total AFS securities	$	10,518,811	$	—	$	123,134	$	(17,544	)	$	10,624,401

	December 31, 2018
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,771,573	$	—	$	15,801	$	(2,057	)	$	1,785,317
State or local agency obligations	250,789		—		1,975		(6,825		)	245,939
Total non-MBS	$	2,022,362	$	—	$	17,776	$	(8,882	)	$	2,031,256
MBS:
U.S. obligations single-family MBS	$	216,594	$	—	$	1,988	$	(88	)	$	218,494
GSE single-family MBS	2,575,361		—		12,013		(5,871		)	2,581,503
GSE multifamily MBS	2,612,289		—		550		(7,385		)	2,605,454
Private label residential MBS	344,631		—		65,133		(214		)	409,550
Total MBS	$	5,748,875	$	—	$	79,684	$	(13,558	)	$	5,815,001
Total AFS securities	$	7,771,237	$	—	$	97,460	$	(22,440	)	$	7,846,257

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, OTTI recognized, and/or fair value hedge accounting adjustments.

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

As of September 30, 2019, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.9 million, credit losses of $166.6 million and OTTI-related accretion adjustments of $73.3 million. As of December 31, 2018, these amounts were $18.5 million, $183.5 million and $77.5 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 September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Non-credit portion of OTTI losses	$	—	$	—
Net unrealized gains on OTTI securities since their last OTTI credit charge	56,080		65,133
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	56,080	$	65,133

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	5,440	$	(6	)	$	—	$	—		$	5,440	$	(6	)
MBS:
U.S. obligations single-family MBS	$	183,217	$	(269	)	$	—	$	—		$	183,217	$	(269	)
GSE single-family MBS	1,413,697		(4,231		)	106,255		(395		)	1,519,952		(4,626		)
GSE multifamily MBS	2,673,652		(9,036		)	923,323		(3,411		)	3,596,975		(12,447		)
Private label residential MBS	—		—			2,964		(196		)	2,964		(196		)
Total MBS	$	4,270,566	$	(13,536	)	$	1,032,542	$	(4,002	)	$	5,303,108	$	(17,538	)
Total	$	4,276,006	$	(13,542	)	$	1,032,542	$	(4,002	)	$	5,308,548	$	(17,544	)

	December 31, 2018
	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	$	27,641	$	(98	)	$	273,433	$	(1,959	)	$	301,074	$	(2,057	)
State or local agency obligations	20,575		(180		)	122,664		(6,645		)	143,239		(6,825		)
Total non-MBS	$	48,216	$	(278	)	$	396,097	$	(8,604	)	$	444,313	$	(8,882	)
MBS:
U.S. obligations single-family MBS	$	61,868	$	(88	)	$	—	$	—		$	61,868	$	(88	)
GSE single-family MBS	499,383		(1,423		)	185,711		(4,448		)	685,094		(5,871		)
GSE multifamily MBS	1,600,825		(2,933		)	522,918		(4,452		)	2,123,743		(7,385		)
Private label residential MBS	—		—			2,946		(214		)	2,946		(214		)
Total MBS	$	2,162,076	$	(4,444	)	$	711,575	$	(9,114	)	$	2,873,651	$	(13,558	)
Total	$	2,210,292	$	(4,722	)	$	1,107,672	$	(17,718	)	$	3,317,964	$	(22,440	)

Note:

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

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	—	$	—	$	334,985	$	334,428
Due after one year through five years	515,685		522,912		436,904		441,263
Due after five years through ten years	718,079		730,704		660,043		664,031
Due in more than ten years	540,084		559,526		590,430		591,534
Total non-MBS	1,773,848		1,813,142		2,022,362		2,031,256
MBS	8,744,963		8,811,259		5,748,875		5,815,001
Total AFS securities	$	10,518,811	$	10,624,401	$	7,771,237	$	7,846,257

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,773,848	$	1,937,376
Variable-rate	—		84,986
Total non-MBS	$	1,773,848	$	2,022,362
Amortized cost of AFS MBS:
Fixed-rate	$	1,472,926	$	1,261,019
Variable-rate	7,272,037		4,487,856
Total MBS	$	8,744,963	$	5,748,875
Total amortized cost of AFS securities	$	10,518,811	$	7,771,237

XML

Mortgage Loans Held for Portfolio

9 Months Ended

Sep. 30, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in 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 12 for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2019 and December 31, 2018 for mortgage loans held for portfolio.

(in thousands)	September 30, 2019			December 31, 2018
Fixed-rate long-term single-family mortgages (1)	$	4,569,635		$	4,180,239
Fixed-rate medium-term single-family mortgages (1)	174,288			201,923
Total par value	4,743,923			4,382,162
Premiums	79,666			72,756
Discounts	(3,771		)	(4,123		)
Hedging adjustments	15,606			18,126
Total mortgage loans held for portfolio	$	4,835,424		$	4,468,921

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 September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Conventional loans	$	4,565,197	$	4,194,364
Government-guaranteed/insured loans	178,726		187,798
Total par value	$	4,743,923	$	4,382,162

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

XML

Estimated Fair Values

9 Months Ended

Sep. 30, 2019

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. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2019 and December 31, 2018. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2019 and December 31, 2018 are presented in the table below.

Fair Value Summary Table
	September 30, 2019
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	13,789	$	13,789	$	—	$	—	$	—		$	13,789
Interest-bearing deposits	1,573,679		1,568,327		5,352		—		—			1,573,679
Federal funds sold	6,935,000		—		6,934,988		—		—			6,934,988
Securities purchased under agreement to resell (2)	1,800,000		—		1,800,018		—		—			1,800,018
Trading securities	3,910,178		—		3,910,178		—		—			3,910,178
AFS securities	10,624,401		—		10,279,895		344,506		—			10,624,401
HTM securities	2,434,134		—		2,333,701		160,672		—			2,494,373
Advances	70,325,927		—		70,296,295		—		—			70,296,295
Mortgage loans held for portfolio, net	4,827,164		—		5,017,321		—		—			5,017,321
BOB loans, net	20,031		—		—		20,031		—			20,031
Accrued interest receivable	209,931		—		209,931		—		—			209,931
Derivative assets	188,079		—		18,810		—		169,269			188,079
Liabilities:
Deposits	$	556,201	$	—	$	556,201	$	—	$	—		$	556,201
Discount notes	28,155,723		—		28,158,925		—		—			28,158,925
Bonds	68,452,712		—		68,643,478		—		—			68,643,478
Mandatorily redeemable capital stock (3)	343,711		350,426		—		—		—			350,426
Accrued interest payable (3)	222,064		—		215,349		—		—			215,349
Derivative liabilities	2,694		—		11,907		—		(9,213		)	2,694

	December 31, 2018
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	71,320	$	71,320	$	—	$	—	$	—		$	71,320
Interest-bearing deposits	2,123,240		2,117,829		5,411		—		—			2,123,240
Federal funds sold	4,740,000		—		4,739,984		—		—			4,739,984
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,032		—		—			1,000,032
Trading securities	1,281,053		—		1,281,053		—		—			1,281,053
AFS securities	7,846,257		—		7,436,707		409,550		—			7,846,257
HTM securities	3,086,032		—		2,894,813		206,320		—			3,101,133
Advances	82,475,547		—		82,408,752		—		—			82,408,752
Mortgage loans held for portfolio, net	4,461,612		—		4,381,484		—		—			4,381,484
BOB loans, net	17,371		—		—		17,371		—			17,371
Accrued interest receivable	234,161		—		234,161		—		—			234,161
Derivative assets	110,269		—		19,855		—		90,414			110,269
Liabilities:
Deposits	$	387,085	$	—	$	387,085	$	—	$	—		$	387,085
Discount notes	36,896,603		—		36,891,722		—		—			36,891,722
Bonds	64,298,628		—		64,125,928		—		—			64,125,928
Mandatorily redeemable capital stock (3)	24,099		24,571		—		—		—			24,571
Accrued interest payable (3)	226,537		—		226,065		—		—			226,065
Derivative liabilities	25,511		—		84,674		—		(59,163		)	25,511

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 and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

⁽²⁾ 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 September 30, 2019 and December 31, 2018. These instruments’ maturity term is overnight.

⁽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.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

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

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

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

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

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the nine months ended September 30, 2019 or 2018.

Summary of Valuation Methodologies and Primary Inputs

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below.

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 multiple designated third-party vendors when available, and the default price is the average of the 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 multiple 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 its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. 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 September 30, 2019, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. In addition, there were minimal outliers to evaluate. 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 September 30, 2019, the Bank classified private label MBS as Level 3.

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. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

The discounted cash flow analysis used to determine the net present 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 (rates projected in order to calculate cash flows through contractual term). LIBOR Swap curve, OIS curve or SOFR curve through contractual term.

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

Mortgage delivery commitments:

• 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.

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 and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, CME. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

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.

Impaired Mortgage Loans Held for Portfolio and REO. 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.

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 September 30, 2019 and December 31, 2018. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral 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.

	September 30, 2019
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	3,667,298	$	—	$	—		$	3,667,298
GSE and TVA obligations	—		242,880		—		—			242,880
Total trading securities	$	—	$	3,910,178	$	—	$	—		$	3,910,178
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,563,176	$	—	$	—		$	1,563,176
State or local agency obligations	—		249,966		—		—			249,966
MBS:
U.S. obligations single-family MBS	—		703,044		—		—			703,044
GSE single-family MBS	—		3,638,735		—		—			3,638,735
GSE multifamily MBS	—		4,124,974		—		—			4,124,974
Private label residential MBS	—		—		344,506		—			344,506
Total AFS securities	$	—	$	10,279,895	$	344,506	$	—		$	10,624,401
Derivative assets:
Interest rate related	$	—	$	18,680	$	—	$	169,269		$	187,949
Mortgage delivery commitments	—		130		—		—			130
Total derivative assets	$	—	$	18,810	$	—	$	169,269		$	188,079
Total recurring assets at fair value	$	—	$	14,208,883	$	344,506	$	169,269		$	14,722,658
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	11,837	$	—	$	(9,213	)	$	2,624
Mortgage delivery commitments	—		70		—		—			70
Total recurring liabilities at fair value (2)	$	—	$	11,907	$	—	$	(9,213	)	$	2,694
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	6,184	$	—		$	6,184
REO	—		—		2,105		—			2,105
Total non-recurring assets at fair value	$	—	$	—	$	8,289	$	—		$	8,289

	December 31, 2018
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	997,061	$	—	$	—		$	997,061
GSE and TVA obligations	—		283,992		—		—			283,992
Total trading securities	$	—	$	1,281,053	$	—	$	—		$	1,281,053
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,785,317	$	—	$	—		1,785,317
State or local agency obligations	—		245,939		—		—			245,939
MBS:
U.S. obligations single-family MBS	—		218,494		—		—			218,494
GSE single-family MBS	—		2,581,503		—		—			2,581,503
GSE multifamily MBS	—		2,605,454		—		—			2,605,454
Private label residential MBS	—		—		409,550		—			409,550
Total AFS securities	$	—	$	7,436,707	$	409,550	$	—		$	7,846,257
Derivative assets:
Interest rate related	$	—	$	19,826	$	—	$	90,414		$	110,240
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	19,855	$	—	$	90,414		$	110,269
Total recurring assets at fair value	$	—	$	8,737,615	$	409,550	$	90,414		$	9,237,579
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	84,652	$	—	$	(59,163	)	$	25,489
Mortgage delivery commitments	—		22		—		—			22
Total recurring liabilities at fair value (2)	$	—	$	84,674	$	—	$	(59,163	)	$	25,511
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	8,965	$	—		$	8,965
REO	—		—		6,621		—			6,621
Total non-recurring assets at fair value	$	—	$	—	$	15,586	$	—		$	15,586

Notes:

⁽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 by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first nine months of 2019 and 2018.

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018. 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 the first nine months of 2019 or 2018.

	AFS Private Label MBS-Residential
	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	371,402		$	475,713		$	409,550		$	524,543
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,794			4,098			11,589			11,677
Net OTTI losses, credit portion	(271		)	(17		)	(330		)	(359		)
Net unrealized gains (losses) on AFS in OCI	(14		)	18			18			48
Reclassification of non-credit portion included in net income	271			17			330			359
Unrealized gains (losses) on OTTI AFS in OCI	(4,880		)	1,565			(9,383		)	4,627
Purchases, issuances, sales, and settlements:
Settlements	(26,796		)	(41,734		)	(67,268		)	(101,235		)
Balance at September 30	$	344,506		$	439,660		$	344,506		$	439,660
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 September 30	$	3,558		$	4,081		$	8,887		$	11,318

XML

Available-for-Sale (AFS) Securities (Tables) - Available-for-sale Securities

9 Months Ended

Sep. 30, 2019

Debt Securities, Available-for-sale [Line Items]

Schedule of Available-for-sale Securities Reconciliation

The following tables present AFS securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,534,648	$	—	$	28,534	$	(6	)	$	1,563,176
State or local agency obligations	239,200		—		10,766		—			249,966
Total non-MBS	$	1,773,848	$	—	$	39,300	$	(6	)	$	1,813,142
MBS:
U.S. obligations single-family MBS	$	698,039	$	—	$	5,274	$	(269	)	$	703,044
GSE single-family MBS	3,626,167		—		17,194		(4,626		)	3,638,735
GSE multifamily MBS	4,132,135		—		5,286		(12,447		)	4,124,974
Private label residential MBS	288,622		—		56,080		(196		)	344,506
Total MBS	$	8,744,963	$	—	$	83,834	$	(17,538	)	$	8,811,259
Total AFS securities	$	10,518,811	$	—	$	123,134	$	(17,544	)	$	10,624,401

	December 31, 2018
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,771,573	$	—	$	15,801	$	(2,057	)	$	1,785,317
State or local agency obligations	250,789		—		1,975		(6,825		)	245,939
Total non-MBS	$	2,022,362	$	—	$	17,776	$	(8,882	)	$	2,031,256
MBS:
U.S. obligations single-family MBS	$	216,594	$	—	$	1,988	$	(88	)	$	218,494
GSE single-family MBS	2,575,361		—		12,013		(5,871		)	2,581,503
GSE multifamily MBS	2,612,289		—		550		(7,385		)	2,605,454
Private label residential MBS	344,631		—		65,133		(214		)	409,550
Total MBS	$	5,748,875	$	—	$	79,684	$	(13,558	)	$	5,815,001
Total AFS securities	$	7,771,237	$	—	$	97,460	$	(22,440	)	$	7,846,257

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, OTTI recognized, and/or fair value hedge accounting adjustments.

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

Reconciliation of OTTI on Investments Recognized in AOCI

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Non-credit portion of OTTI losses	$	—	$	—
Net unrealized gains on OTTI securities since their last OTTI credit charge	56,080		65,133
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	56,080	$	65,133

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	5,440	$	(6	)	$	—	$	—		$	5,440	$	(6	)
MBS:
U.S. obligations single-family MBS	$	183,217	$	(269	)	$	—	$	—		$	183,217	$	(269	)
GSE single-family MBS	1,413,697		(4,231		)	106,255		(395		)	1,519,952		(4,626		)
GSE multifamily MBS	2,673,652		(9,036		)	923,323		(3,411		)	3,596,975		(12,447		)
Private label residential MBS	—		—			2,964		(196		)	2,964		(196		)
Total MBS	$	4,270,566	$	(13,536	)	$	1,032,542	$	(4,002	)	$	5,303,108	$	(17,538	)
Total	$	4,276,006	$	(13,542	)	$	1,032,542	$	(4,002	)	$	5,308,548	$	(17,544	)

	December 31, 2018
	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	$	27,641	$	(98	)	$	273,433	$	(1,959	)	$	301,074	$	(2,057	)
State or local agency obligations	20,575		(180		)	122,664		(6,645		)	143,239		(6,825		)
Total non-MBS	$	48,216	$	(278	)	$	396,097	$	(8,604	)	$	444,313	$	(8,882	)
MBS:
U.S. obligations single-family MBS	$	61,868	$	(88	)	$	—	$	—		$	61,868	$	(88	)
GSE single-family MBS	499,383		(1,423		)	185,711		(4,448		)	685,094		(5,871		)
GSE multifamily MBS	1,600,825		(2,933		)	522,918		(4,452		)	2,123,743		(7,385		)
Private label residential MBS	—		—			2,946		(214		)	2,946		(214		)
Total MBS	$	2,162,076	$	(4,444	)	$	711,575	$	(9,114	)	$	2,873,651	$	(13,558	)
Total	$	2,210,292	$	(4,722	)	$	1,107,672	$	(17,718	)	$	3,317,964	$	(22,440	)

Note:

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

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	—	$	—	$	334,985	$	334,428
Due after one year through five years	515,685		522,912		436,904		441,263
Due after five years through ten years	718,079		730,704		660,043		664,031
Due in more than ten years	540,084		559,526		590,430		591,534
Total non-MBS	1,773,848		1,813,142		2,022,362		2,031,256
MBS	8,744,963		8,811,259		5,748,875		5,815,001
Total AFS securities	$	10,518,811	$	10,624,401	$	7,771,237	$	7,846,257

Schedule of Interest Rate Payment Terms For Investments

The following table details interest payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,773,848	$	1,937,376
Variable-rate	—		84,986
Total non-MBS	$	1,773,848	$	2,022,362
Amortized cost of AFS MBS:
Fixed-rate	$	1,472,926	$	1,261,019
Variable-rate	7,272,037		4,487,856
Total MBS	$	8,744,963	$	5,748,875
Total amortized cost of AFS securities	$	10,518,811	$	7,771,237

XML

Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
OPERATING ACTIVITIES
Net income	$ 235,978	$ 268,924
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	(43,187)	(23,489)
Net change in derivative and hedging activities	(356,493)	225,738
Net OTTI credit losses	330	359
Other adjustments	3,330	2,845
Net change in:
Trading securities	(2,629,125)	(239,069)
Accrued interest receivable	24,378	(42,798)
Other assets	(3,699)	(3,751)
Accrued interest payable	(4,458)	66,762
Other liabilities	7,792	27,062
Net cash provided by (used in) operating activities	(2,765,154)	282,583
Net change in:
Interest-bearing deposits (including $59 and ($232) from (to) other FHLBanks for mortgage loan program)	513,383	(656,415)
Securities purchased under agreements to resell	(800,000)	(2,500,000)
Federal funds sold	(2,195,000)	705,000
AFS securities:
Proceeds	1,674,435	1,977,377
Purchases	(4,188,255)	(870,249)
HTM securities:
Proceeds	1,522,679	2,548,232
Purchases	(871,744)	(3,755,994)
Advances:
Repaid	817,451,571	999,888,251
Originated	(804,957,652)	(994,112,448)
Mortgage loans held for portfolio:
Proceeds	389,771	321,551
Purchases	(768,024)	(746,769)
Other investing activities	2,856	4,713
Net cash provided by investing activities	7,774,020	2,803,249
FINANCING ACTIVITIES
Net change in deposits	176,370	(34,511)
Net proceeds from issuance of consolidated obligations:
Discount notes	358,760,329	305,179,971
Bonds	52,331,314	43,237,480
Payments for maturing and retiring consolidated obligations
Discount notes	(367,478,383)	(313,612,417)
Bonds	(48,318,155)	(40,848,313)
Proceeds from issuance of capital stock	4,863,370	4,069,981
Payments for repurchase/redemption of capital stock	(5,156,630)	(4,139,332)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(41,505)	(23,622)
Cash dividends paid	(203,107)	(171,433)
Net cash (used in) financing activities	(5,066,397)	(6,342,196)
Net (decrease) in cash and due from banks	(57,531)	(3,256,364)
Cash and due from banks at beginning of the period	71,320	3,414,992
Cash and due from banks at end of the period	13,789	158,628
Supplemental disclosures:
Interest paid	1,830,611	1,207,897
AHP payments	18,484	22,815
Transfers of mortgage loans to real estate owned	1,894	3,460
Capital stock reclassified to mandatorily redeemable capital stock	$ 361,117	$ 42,733

XML

Statements of Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Interest income:
Advances	$ 478,477	$ 431,995	$ 1,508,189	$ 1,162,240
Interest-bearing deposits	9,347	3,787	31,437	7,454
Securities purchased under agreements to resell	10,168	3,119	25,871	5,567
Federal funds sold	48,954	29,806	126,551	85,511
Trading securities	18,309	3,414	41,317	9,152
Available-for-sale (AFS) securities	71,884	57,068	201,198	164,903
Held-to-maturity (HTM) securities	20,401	24,590	65,027	55,969
Mortgage loans held for portfolio	42,452	38,213	126,922	110,041
Total interest income	699,992	591,992	2,126,512	1,600,837
Interest expense:
Consolidated obligations - discount notes	167,435	120,249	497,369	318,436
Consolidated obligations - bonds	413,901	349,285	1,259,974	929,504
Deposits	2,922	2,031	8,929	5,657
Mandatorily redeemable capital stock and other borrowings	6,715	362	10,635	533
Total interest expense	590,973	471,927	1,776,907	1,254,130
Net interest income	109,019	120,065	349,605	346,707
Provision for credit losses	371	47	1,820	2,842
Net interest income after provision for credit losses	108,648	120,018	347,785	343,865
Other noninterest income (loss):
Net OTTI losses (Note 5)	(271)	(17)	(330)	(359)
Net gains (losses) on investment securities (Note 2)	5,441	(3,001)	23,355	(14,403)
Net gains (losses) on derivatives and hedging activities (Note 9)	(17,397)	7,831	(55,201)	16,002
Standby letters of credit fees	5,274	5,853	16,310	17,336
Other, net	322	1,347	1,875	2,757
Total other noninterest income (loss)	(6,631)	12,013	(13,991)	21,333
Other Expense
Compensation and benefits	11,129	12,588	36,909	36,737
Other operating	8,657	7,426	24,151	21,640
Finance Agency	1,589	1,408	4,775	4,364
Office of Finance	1,812	1,188	4,581	3,595
Total other expense	23,187	22,610	70,416	66,336
Income before assessments	78,830	109,421	263,378	298,862
Affordable Housing Program (AHP) assessment	8,554	10,978	27,400	29,938
Net Income	$ 70,276	$ 98,443	$ 235,978	$ 268,924

XML

Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,434,134	$ 3,086,032
Gross Unrealized Holding Gains	64,608	26,650
Gross Unrealized Holding Losses	(4,369)	(11,549)
Fair Value	2,494,373	3,101,133
Certificates of Deposit [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		700,000
Gross Unrealized Holding Gains		64
Gross Unrealized Holding Losses		0
Fair Value		700,064
State or local agency obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	98,575	102,705
Gross Unrealized Holding Gains	0	0
Gross Unrealized Holding Losses	(3,586)	(3,969)
Fair Value	94,989	98,736
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	98,575	802,705
Gross Unrealized Holding Gains		64
Gross Unrealized Holding Losses		(3,969)
Fair Value	94,989	798,800
U.S. obligations single-family MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	268,051	325,178
Gross Unrealized Holding Gains	1,602	2,195
Gross Unrealized Holding Losses	(7)	(4)
Fair Value	269,646	327,369
GSE MBS [Member] | Single Family [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,103,088	899,875
Gross Unrealized Holding Gains	27,720	13,402
Gross Unrealized Holding Losses	(151)	(92)
Fair Value	1,130,657	913,185
GSE MBS [Member] | Multifamily [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	804,941	853,053
Gross Unrealized Holding Gains	33,626	9,224
Gross Unrealized Holding Losses	(158)	(6,818)
Fair Value	838,409	855,459
Total MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,335,559	2,283,327
Gross Unrealized Holding Gains	64,608	26,586
Gross Unrealized Holding Losses	(783)	(7,580)
Fair Value	2,399,384	2,302,333
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	159,479	205,221
Gross Unrealized Holding Gains	1,660	1,765
Gross Unrealized Holding Losses	(467)	(666)
Fair Value	$ 160,672	$ 206,320

XML

Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		$ 4,276,006	$ 2,210,292
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(13,542)	(4,722)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		1,032,542	1,107,672
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(4,002)	(17,718)
AFS - Total FV - Unrealized Loss Position		5,308,548	3,317,964
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(17,544)	(22,440)
GSE and TVA obligations [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		5,440	27,641
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(6)	(98)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		0	273,433
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		0	(1,959)
AFS - Total FV - Unrealized Loss Position		5,440	301,074
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(6)	(2,057)
State or local agency obligations [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months			20,575
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss			(180)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer			122,664
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss			(6,645)
AFS - Total FV - Unrealized Loss Position			143,239
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]		(6,825)
Total non-MBS
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months			48,216
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss			(278)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer			396,097
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss			(8,604)
AFS - Total FV - Unrealized Loss Position			444,313
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]		(8,882)
U.S. obligations single-family MBS
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		183,217	61,868
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(269)	(88)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		0	0
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		0	0
AFS - Total FV - Unrealized Loss Position		183,217	61,868
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(269)	(88)
GSE MBS [Member] | GSE single-family MBS
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		1,413,697	499,383
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(4,231)	(1,423)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		106,255	185,711
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(395)	(4,448)
AFS - Total FV - Unrealized Loss Position		1,519,952	685,094
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(4,626)	(5,871)
GSE MBS [Member] | GSE multifamily MBS
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		2,673,652	1,600,825
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(9,036)	(2,933)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		923,323	522,918
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(3,411)	(4,452)
AFS - Total FV - Unrealized Loss Position		3,596,975	2,123,743
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(12,447)	(7,385)
Private label MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		0	0
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		0	0
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		2,964	2,946
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(196)	(214)
AFS - Total FV - Unrealized Loss Position		2,964	2,946
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	(196)	(214)
Total MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - FV - Continuous Unrealized Loss Position, Less than 12 Months		4,270,566	2,162,076
AFS - Unrealized losses - Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(13,536)	(4,444)
AFS - FV - Continuous Unrealized Loss Position, 12 Months or Longer		1,032,542	711,575
AFS - Unrealized losses - Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(4,002)	(9,114)
AFS - Total FV - Unrealized Loss Position		5,303,108	2,873,651
AFS - Total Unrealized losses - Unrealized Loss Position, Accumulated Loss	[1]	$ (17,538)	$ (13,558)

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

XML

Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($)		Sep. 30, 2019	Dec. 31, 2018
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		$ 18,680,000	$ 19,826,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	169,269,000	90,414,000
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		187,949,000	110,240,000
Derivative Asset, Not Subject to Master Netting Arrangement	[3]	130,000	29,000
Derivative assets		188,079,000	110,269,000
Derivative Asset, Fair Value, Amount Offset Against Collateral		188,079,000	110,269,000
Over the Counter [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		15,658,000	17,899,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(13,648,000)	(13,290,000)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		2,010,000	4,609,000
Derivative Asset, Not Subject to Master Netting Arrangement	[3]	130,000	29,000
Derivative assets		2,140,000	4,638,000
Derivative Asset, Fair Value, Amount Offset Against Collateral		2,140,000	4,638,000
Exchange Cleared [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		3,022,000	1,927,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		182,917,000	103,704,000
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		185,939,000	105,631,000
Derivative Asset, Not Subject to Master Netting Arrangement	[3]	0	0
Derivative assets		185,939,000	105,631,000
Derivative Asset, Fair Value, Amount Offset Against Collateral		$ 185,939,000	$ 105,631,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued 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).

XML

Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance				$ 7,309
Financing Receivable, Credit Loss, Expense (Reversal)		$ (371)	$ (47)	(1,820)	$ (2,842)
Ending Balance		8,260		8,260
Total recorded investment	[1]	4,860,695		4,860,695		$ 4,492,197
Conventional MPF Loan [Member]
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance		8,493	8,054	7,309	5,954
(Charge-offs) Recoveries, net	[2]	(172)	(152)	(85)	(558)
Financing Receivable, Credit Loss, Expense (Reversal)		(61)	(284)	1,036	2,222
Ending Balance		8,260	$ 7,618	8,260	$ 7,618
Ending balance, individually evaluated for impairment		5,988		5,988		6,238
Ending balance, collectively evaluated for impairment		2,272		2,272		1,071
Individually evaluated for impairment, with or without a related allowance		44,254		44,254		46,287
Collectively evaluated for impairment		4,631,955		4,631,955		4,251,857
Total recorded investment	[1]	$ 4,676,209		$ 4,676,209		$ 4,298,144

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

[2] Net charge-offs that the Bank does not expect to recover through CE receivable.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($)	3 Months Ended			9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018		Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ (50,266,000)	$ 57,856,000		$ (287,936,000)	$ 181,709,000
Gains/(Losses) on Hedged Item	47,631,000	(55,176,000)		279,710,000	(179,608,000)
Net Interest Settlements on FV Hedges	(659,000)	(13,612,000)	[1]	(10,758,000)	(40,672,000)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(3,294,000)			(18,984,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net		2,680,000			2,101,000
Interest income on advances	478,477,000	431,995,000		1,508,189,000	1,162,240,000
Interest Income on Available-for-sale	71,884,000			201,198,000
Interest Income on MPF loans	42,452,000	38,213,000		126,922,000	110,041,000
Interest Expense on Consolidated obligation - bonds	(413,901,000)	(349,285,000)		(1,259,974,000)	(929,504,000)
amortization and accretion of hedged items		(1,200,000)			(3,000,000)
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net		2,680,000	[2]		2,101,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		9,331,000			25,467,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(388,000)			885,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(2,033,000)			(8,192,000)
Interest Income [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(34,790,000)			(347,838,000)
Gains/(Losses) on Hedged Item	34,652,000			347,605,000
Net Interest Settlements on FV Hedges	8,521,000	14,352,000		51,693,000	22,191,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	8,383,000			51,460,000
Interest Income [Member] | Interest Rate Swap [Member] | Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(30,639,000)			(102,668,000)
Gains/(Losses) on Hedged Item	29,136,000			98,539,000
Net Interest Settlements on FV Hedges	2,918,000	(252,000)		1,534,000	(3,844,000)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	1,415,000			(2,595,000)
Interest Income [Member] | Interest Rate Swap [Member] | Mortgage Receivable [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	0			0
Gains/(Losses) on Hedged Item	(755,000)			(2,320,000)
Net Interest Settlements on FV Hedges	0			0
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(755,000)			(2,320,000)
Gain (Loss) on Derivative Instruments [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		33,114,000			199,529,000
Gains/(Losses) on Hedged Item		(33,317,000)			(199,270,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net		(203,000)			259,000
Gain (Loss) on Derivative Instruments [Member] | Interest Rate Swap [Member] | Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		15,244,000			69,139,000
Gains/(Losses) on Hedged Item		(14,985,000)			(66,328,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net		259,000			2,811,000
Gain (Loss) on Derivative Instruments [Member] | Interest Rate Swap [Member] | Consolidated Obligations Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative		9,498,000			(86,959,000)
Gains/(Losses) on Hedged Item		(6,874,000)			85,990,000
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net		2,624,000			(969,000)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(15,873,000)			(49,797,000)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(1,129,000)			(1,933,000)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net	(676,000)			(3,642,000)
Interest Expense [Member] | Interest Rate Swap [Member] | Consolidated Obligations Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	15,163,000			162,570,000
Gains/(Losses) on Hedged Item	(15,402,000)			(164,114,000)
Net Interest Settlements on FV Hedges	(12,098,000)	$ (27,712,000)		(63,985,000)	$ (59,019,000)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	$ (12,337,000)			$ (65,529,000)

[1] These amounts do not include $(1.2) million and $(3.0) million for the three months and nine months ended September 30, 2018 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

[2] Pertains to total net gains (losses) for fair value hedge ineffectiveness included in other noninterest income.

XML

Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Beginning balance		$ 181,867	$ 201,105	$ 191,234	$ 210,875
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	[1]	271	17	330	359
Securities sold and matured during the period(2)	[2]	(3,853)	0	(3,810)	0
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)		(6,009)	(5,441)	(15,478)	(15,553)
Ending balance		$ 172,276	$ 195,681	$ 172,276	$ 195,681

[1] For the three months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of the applicable year. For the nine months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to January 1 of the applicable year.

[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.

XML

Advances (Advances by Year of Redemption or Next Call Date and Year of Redemption or Next Convertible Date) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Advances [Abstract]
Due in 1 year or less	$ 41,622,906	$ 43,667,513
Due after 1 year through 2 years	17,935,634	20,703,488
Due after 2 years through 3 years	6,781,811	12,368,363
Due after 3 years through 4 years	2,338,975	4,350,603
Due after 4 years through 5 years	745,223	798,145
Thereafter	677,605	709,479
Due in 1 year or less	31,847,906	37,652,513
Due after 1 year through 2 years	27,660,634	24,728,488
Due after 2 years through 3 years	6,811,811	14,368,363
Due after 3 years through 4 years	2,332,975	4,360,603
Due after 4 years through 5 years	785,223	792,145
Thereafter	663,605	695,479
Total Par Value	$ 70,102,154	$ 82,597,591

XML

Capital (Capital Requirements) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Capital [Abstract]
Number of Finance Agency Regulatory Capital Requirements	3
Number Of Subclasses Of Capital Stock	2
Risk-Based Capital, Required	$ 798,145	$ 1,238,722
Risk-Based Capital, Actual	$ 5,025,353	$ 5,327,247
Total capital-to-asset ratio, Required	4.00%	4.00%
Total capital-to-asset ratio, Actual	4.90%	5.00%
Total regulatory capital, Required	$ 4,116,546	$ 4,301,712
Total regulatory capital, Actual	$ 5,025,353	$ 5,327,247
Leverage ratio - Required	5.00%	5.00%
Leverage ratio, Actual	7.30%	7.40%
Leverage capital, Required	$ 5,145,683	$ 5,377,141
Leverage capital, Actual	$ 7,538,029	$ 7,990,870

XML

Estimated Fair Values (Level 3 Reconciliation) (Details) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2019 USD ($)	Sep. 30, 2018 USD ($)	Sep. 30, 2019 USD ($) loan	Sep. 30, 2018 USD ($) loan
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI losses, credit portion	[1]	$ (271)	$ (17)	$ (330)	$ (359)
Private label MBS [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan				0	0
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-sale Securities
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of period		371,402	475,713	$ 409,550	$ 524,543
Accretion of credit losses in interest income		4,794	4,098	11,589	11,677
Net OTTI losses, credit portion		(271)	(17)	(330)	(359)
Net unrealized gains (losses) on AFS in OCI		(14)	18	18	48
Reclassification of non-credit portion included in net income		271	17	330	359
Unrealized gains (losses) on OTTI AFS in OCI		(4,880)	1,565	(9,383)	4,627
Purchases, issuances, sales, and settlements:
Settlements		(26,796)	(41,734)	(67,268)	(101,235)
Balance at September 30		344,506	439,660	344,506	439,660
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 September 30		$ 3,558	$ 4,081	$ 8,887	$ 11,318

[1] For the three months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of the applicable year. For the nine months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to January 1 of the applicable year.

XML

Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Related Party Transaction [Line Items]
Interest income on advances	$ 478,477	$ 431,995	$ 1,508,189	$ 1,162,240
Interest Income on MPF loans	42,452	38,213	126,922	110,041
Letters of credit fees	322	1,347	1,875	2,757
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances	280,009	241,588	980,227	786,673
Interest Income on MPF loans	6,774	7,984	21,603	25,469
Standby Letters of Credit | Principal Owner [Member]
Related Party Transaction [Line Items]
Letters of credit fees	$ 1,333	$ 1,412	$ 4,446	$ 4,363

XML

Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 47,764,195	$ 37,281,455
Due in 1 year or less, Weighted Average Interest Rate	2.06%	2.15%
Due after 1 year through 2 years	$ 10,249,170	$ 14,056,285
Due after 1 year through 2 years, Weighted Average Interest Rate	2.21%	2.40%
Due after 2 years through 3 years	$ 3,425,240	$ 3,929,705
Due after 2 years through 3 years, Weighted Average Interest Rate	2.46%	2.48%
Due after 3 years through 4 years	$ 1,610,050	$ 2,249,320
Due after 3 years through 4 years, Weighted Average Interest	2.58%	2.38%
Due after 4 years through 5 years	$ 1,114,725	$ 2,287,180
Due after 4 years through 5 years, Weighted Average Interest Rate	2.74%	2.96%
Thereafter	$ 4,180,300	$ 4,564,475
Thereafter, Weighted Average Interest Rate	2.78%	2.80%
Total par value	$ 68,343,680	$ 64,368,420
Total par, Weighted Average Interest Rate	2.16%	2.30%

XML

Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Dec. 31, 2018	Jun. 30, 2018	Dec. 31, 2017
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	$ 4,785,650	$ 4,896,957	$ 4,785,650	$ 4,896,957	$ 5,055,905	$ 5,376,294	$ 5,266,901	$ 4,927,488
Amortization on hedging activities	(10)	(8)	(25)	(20)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	106	148	317	444
Net Unrealized Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	49,510	19,862	49,510	19,862	55,105	9,887	27,309	41,210
Net unrealized gains (losses)	(5,595)	(7,447)	39,623	(21,348)
Net Unrealized Gains on Hedging Activities[Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	151	180	151	180	161	176	188	200
Amortization on hedging activities	(10)	(8)	(25)	(20)
Pension and Post Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	(1,733)	(2,955)	(1,733)	(2,955)	(1,839)	(2,050)	(3,103)	(3,399)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	106	148	317	444
AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	104,008	95,026	104,008	95,026	114,116	73,146	100,751	110,964
Net unrealized gains (losses)	(10,475)	(5,882)	30,240	(16,721)
Total Noncredit OTTI to credit OTTI	271	17	330	359
Amortization on hedging activities	(10)	(8)	(25)	(20)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	106	148	317	444
Available-for-sale Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	56,080	77,939	56,080	77,939	$ 60,689	$ 65,133	$ 76,357	$ 72,953
Net unrealized gains (losses)	(4,880)	1,565	(9,383)	4,627
Noncredit OTTI to credit OTTI	$ 271	$ 17	$ 330	$ 359

XML

Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

As indicated in Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q, beginning on January 1, 2019, the Bank adopted new hedge accounting guidance. Changes in the fair value of the derivative instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, for fair value hedge relationships, hedge ineffectiveness (which is represented by the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item attributable to the hedged risk) was recorded in other noninterest income as net gains (losses) on 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 that 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. For additional information on the Bank's derivative transactions, see Note 11 - Derivatives and Hedging Activities to the audited financial statements in the Bank's 2018 Form 10-K.

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 executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	September 30, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	31,980,742	$	17,162	$	4,891
Derivatives not designated as hedging instruments:
Interest rate swaps	$	7,711,212	$	1,185	$	6,946
Interest rate caps or floors	1,355,000		333		—
Mortgage delivery commitments	103,597		130		70
Total derivatives not designated as hedging instruments:	$	9,169,809	$	1,648	$	7,016
Total derivatives before netting and collateral adjustments	$	41,150,551	$	18,810	$	11,907
Netting adjustments and cash collateral (1)			169,269		(9,213		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	188,079	$	2,694

	December 31, 2018
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	38,062,453	$	9,858	$	60,119
Derivatives not designated as hedging instruments:
Interest rate swaps	$	6,259,799	$	7,701	$	24,533
Interest rate caps or floors	1,435,000		2,267		—
Mortgage delivery commitments	17,391		29		22
Total derivatives not designated as hedging instruments:	$	7,712,190	$	9,997	$	24,555
Total derivatives before netting and collateral adjustments	$	45,774,643	$	19,855	$	84,674
Netting adjustments and cash collateral (1)			90,414		(59,163		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	110,269	$	25,511

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

The following table presents, 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. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value and are included in net interest income.

(in thousands)	Gains/(Losses) on Derivative			Gains/ (Losses) on Hedged Item			Net Interest Settlements			Effect of Derivatives on Net Interest Income			Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2019
Hedged item type:
Advances	$	(34,790	)	$	34,652		$	8,521		$	8,383		$	478,477
AFS securities	(30,639		)	29,136			2,918			1,415			71,884
Mortgage loans held for portfolio	—			(755		)	—			(755		)	42,452
Consolidated obligations – bonds	15,163			(15,402		)	(12,098		)	(12,337		)	(413,901		)
Total	$	(50,266	)	$	47,631		$	(659	)	$	(3,294	)
Nine months ended September 30, 2019
Hedged item type:
Advances	$	(347,838	)	$	347,605		$	51,693		$	51,460		$	1,508,189
AFS securities	(102,668		)	98,539			1,534			(2,595		)	201,198
Mortgage loans held for portfolio	—			(2,320		)	—			(2,320		)	126,922
Consolidated obligations – bonds	162,570			(164,114		)	(63,985		)	(65,529		)	(1,259,974		)
Total	$	(287,936	)	$	279,710		$	(10,758	)	$	(18,984	)

Prior to January 1, 2019, changes in fair value of derivative instruments and the related hedged items for designated fair value hedges were reported in other noninterest income and are presented in the table below.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness in Other Noninterest Income			Net Interest Settlements in Net Interest Income (1)
Three months ended September 30, 2018
Hedged item type:
Advances	$	33,114		$	(33,317	)	$	(203	)	$	14,352
AFS securities	15,244			(14,985		)	259			(252		)
Consolidated obligations – bonds	9,498			(6,874		)	2,624			(27,712		)
	$	57,856		$	(55,176	)	$	2,680		$	(13,612	)
Nine months ended September 30, 2018
Hedged item type:
Advances	$	199,529		$	(199,270	)	$	259		$	22,191
AFS securities	69,139			(66,328		)	2,811			(3,844		)
Consolidated obligations – bonds	(86,959		)	85,990			(969		)	(59,019		)
	$	181,709		$	(179,608	)	$	2,101		$	(40,672	)

Notes:

⁽¹⁾ These amounts do not include $(1.2) million and $(3.0) million for the three months and nine months ended September 30, 2018 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2019
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships			Cumulative Amount of Fair Value Hedging Adjustments
Advances	$	17,152,581	$	225,616	$	7		$	225,623
AFS securities	1,418,999		75,962		1,314			77,276
Consolidated obligations – bonds	13,758,798		41,397		(513		)	40,884

Note:

⁽¹⁾ Includes carrying value of hedged items in current fair value hedging relationships.

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in other noninterest income for periods prior to January 1, 2019.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Derivatives designated as hedging instruments:
Interest rate swaps (1)	N/A			$	2,680		N/A			$	2,101
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,873	)	$	9,331		$	(49,797	)	$	25,467
Interest rate caps or floors	(1,129		)	(388		)	(1,933		)	885
Net interest settlements	(676		)	(2,033		)	(3,642		)	(8,192		)
To Be Announced (TBA)	(21		)	(46		)	(21		)	(46		)
Mortgage delivery commitments	(11		)	(714		)	17			(2,050		)
Other	10			7			25			19
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(17,700	)	$	6,157		$	(55,351	)	$	16,083
Other - price alignment amount on cleared derivatives (2)	303			(1,006		)	150			(2,182		)
Net gains (losses) on derivatives and hedging activities	$	(17,397	)	$	7,831		$	(55,201	)	$	16,002

Notes:

⁽¹⁾Pertains to totalnet gains (losses) for fair value hedge ineffectiveness included in other noninterest income.

⁽²⁾ This amount is for derivatives for which variation margin is characterized as a daily settled contract.

The Bank had no active cash flow hedging relationships during the first nine months of 2019 or 2018.

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 is subject to certain ISDA agreements for uncleared derivatives 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 were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at September 30, 2019 was $0.6 million. The Bank had no collateral posted against this position and even 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 not have been required to deliver any additional collateral to its derivative counterparties at September 30, 2019.

Cleared Derivatives. For cleared derivatives, Derivative Clearing Organizations (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 margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank 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 through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the 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 paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses CME Clearing as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral.

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

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 September 30, 2019.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, theBank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. 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 nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	15,658		$	17,899
Cleared derivatives	3,022			1,927
Total gross recognized amount	18,680			19,826
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(13,648		)	(13,290		)
Cleared derivatives	182,917			103,704
Total gross amounts of netting adjustments and cash collateral	169,269			90,414
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,010			4,609
Cleared derivatives	185,939			105,631
Total net amounts after netting adjustments and cash collateral	187,949			110,240
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	130			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	130			29
Total derivative assets:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total derivative assets as reported in the Statement of Condition	188,079			110,269
Net unsecured amount:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total net unsecured amount	$	188,079		$	110,269

	Derivative Liabilities
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	10,553		$	64,038
Cleared derivatives	1,284			20,614
Total gross recognized amount	11,837			84,652
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(7,929		)	(57,236		)
Cleared derivatives	(1,284		)	(1,927		)
Total gross amounts of netting adjustments and cash collateral	(9,213		)	(59,163		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,624			6,802
Cleared derivatives	—			18,687
Total net amounts after netting adjustments and cash collateral	2,624			25,489
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	70			22
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	70			22
Total derivative liabilities
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total derivative liabilities as reported in the Statement of Condition	2,694			25,511
Net unsecured amount:
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total net unsecured amount	$	2,694		$	25,511

Note:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

XML

Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

9 Months Ended

Sep. 30, 2019

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

The Bank adopted the following new accounting standards during the nine months ended September 30, 2019.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
Accounting Standards Update (ASU) 2018-16: Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes	This ASU adds the OIS rate based on SOFR as a benchmark interest rate for hedge accounting purposes to facilitate the transition of the replacement of LIBOR.	The Bank adopted this ASU on January 1, 2019 on a prospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations. This guidance could affect the Bank’s hedging strategies and application of hedge accounting for qualifying new or re-designated hedging relationships entered into on or after January 1, 2019.
ASU 2018-08: Contributions Received and Contributions Made	This ASU clarifies the distinction between exchange transactions and contributions, including whether a contribution is conditional.	The Bank adopted this ASU on January 1, 2019 on a modified prospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations. The Bank will apply the amended guidance when accounting for contributions made.
ASU 2017-12: Targeted Improvements to Accounting for Hedging Activities, as amended	This ASU makes amendments to the accounting for derivatives and hedging activities intended to better portray the economics of the transactions.	The Bank adopted this ASU on January 1, 2019 and applied it to existing hedging relationships as of January 1, 2019.	The adoption of this ASU did not affect the Bank’s application of hedge accounting for existing hedge strategies, with the following exceptions: 1) designation of a fallback long-haul method for its short-cut hedge strategies and 2) use of qualitative hedge effectiveness assessments for an appropriate subset of fair value hedge relationships. Upon adoption, the Bank modified its presentation of hedge results for fair value hedges within the results of operations, as well as relevant disclosures. See Note 9 - Derivatives and Hedging Activities for further discussion. The Bank will continue to assess opportunities enabled by the new guidance to expand its risk management strategies.
ASU 2017-08: Premium Amortization on Purchased Callable Debt Securities	This ASU requires that the amortization period for premiums on certain purchased callable debt securities be shortened to the earliest call date, rather than contractual maturity.	This ASU was adopted by the Bank on January 1, 2019 on a modified retrospective basis.	The adoption of this ASU did not impact the Bank’s financial condition or results of operations.
ASU 2016-02: Leases, as amended	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.	The Bank adopted this ASU on January 1, 2019 on a modified retrospective basis. The Bank was not required to restate comparative reporting periods.	The adoption of this ASU did not materially impact the Bank’s financial condition, results of operations, and statement of cash flows. Upon adoption, the Bank increased its “Other Assets” and “Other Liabilities” for operating leases capitalized. The Bank’s most significant lease is its headquarters.

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
ASU 2018-15: Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Service Arrangement That Is a Service Contract	This ASU reduces diversity in practice by aligning the requirements for capitalizing implementation costs incurred in a hosting arrangement with internal-use software.	This ASU is effective for the Bank beginning January 1, 2020 and will be adopted on a prospective basis.	The adoption of this ASU will not have a significant impact on the Bank’s financial condition or results of operations.
ASU 2018-14: Changes to the Disclosure Requirements for Defined Benefit Plans	This ASU adds, removes, and clarifies certain disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans.	This ASU will be effective for the Bank for the year ending December 31, 2020.	The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate.
ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement	This ASU adds, removes, and modifies certain fair value disclosure requirements.	This ASU is effective for the Bank beginning January 1, 2020 and permits early adoption of the removed and modified disclosure requirements.	The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate.
ASU 2016-13: Financial Instruments - Credit Losses, as amended	This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces the current 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 beginning 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 adoption of this ASU will not have a significant impact on the Bank's financial statements. The Bank will continue to monitor interpretations made by standard-setters and regulators. The Bank expects to recognize zero credit losses on advances and GSE/U.S. investments. The Bank expects an immaterial impact on all other financial instruments.

XML

Other-Than-Temporary Impairment

9 Months Ended

Sep. 30, 2019

Other Than Temporary Impairment [Abstract]

Other-Than-Temporary Impairment

Other-Than-Temporary Impairment (OTTI)

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, 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. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2018 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - OTTI to the audited financial statements in the Bank’s 2018 Form 10-K.

The Bank performed a cash flow analysis using third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. During the third quarter of 2019, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (6.0)% to 10.0% over the 12 month period beginning July 1, 2019. 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.

All of the Bank's other-than-temporarily impaired securities were classified as AFS as of September 30, 2019. The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2019 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	$	149,780	$	107,445	$	133,848
Alt-A	241,881		178,017		207,694
Total OTTI securities	391,661		285,462		341,542
Private label MBS with no OTTI	3,160		3,160		2,964
Total AFS private label MBS	$	394,821	$	288,622	$	344,506

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 OTTI recognized.

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and nine months ended September 30, 2019 and 2018.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Beginning balance	$	181,867		$	201,105		$	191,234		$	210,875
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	271			17			330			359
Reductions:
Securities sold and matured during the period(2)	(3,853		)	—			(3,810		)	—
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(6,009		)	(5,441		)	(15,478		)	(15,553		)
Ending balance	$	172,276		$	195,681		$	172,276		$	195,681

Notes:

⁽¹⁾ For the three months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of the applicable year. For the nine months ended September 30, 2019 and 2018, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to January 1 of the applicable year.

⁽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 September 30, 2019, 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 September 30, 2019.

XML

Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2019

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)	September 30, 2019						December 31, 2018
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	18,631,301	$	—	$	18,631,301	$	20,250,625
Commitments to fund additional advances and BOB loans	10,900		—		10,900		10,987
Commitments to purchase mortgage loans	103,597		—		103,597		17,391
Unsettled consolidated obligation bonds, at par	1,472,000		—		1,472,000		196,500
Unsettled consolidated obligation discount notes, at par	—		—		—		583,940

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $220.7 million and $75.3 million at September 30, 2019 and December 31, 2018, respectively.

⁽²⁾ Letters of credit in the amount of $4.4 billion and $3.9 billion at September 30, 2019 and December 31, 2018, 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.

XML

Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2019

Schedule of Short-term and Long-term Debt [Line Items]

Schedule of Maturities of Debt

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2019 and December 31, 2018.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Due in 1 year or less	$	53,266,195	$	45,099,735
Due after 1 year through 2 years	8,884,170		13,149,285
Due after 2 years through 3 years	2,888,240		2,662,705
Due after 3 years through 4 years	1,159,050		1,604,320
Due after 4 years through 5 years	800,725		708,900
Thereafter	1,345,300		1,143,475
Total par value	$	68,343,680	$	64,368,420

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2019 and December 31, 2018.

	September 30, 2019				December 31, 2018
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	47,764,195	2.06	%	$	37,281,455	2.15	%
Due after 1 year through 2 years	10,249,170		2.21		14,056,285		2.40
Due after 2 years through 3 years	3,425,240		2.46		3,929,705		2.48
Due after 3 years through 4 years	1,610,050		2.58		2,249,320		2.38
Due after 4 years through 5 years	1,114,725		2.74		2,287,180		2.96
Thereafter	4,180,300		2.78		4,564,475		2.80
Total par value	$	68,343,680	2.16	%	$	64,368,420	2.30	%

Schedule of Long-term Debt by Call Feature

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Noncallable	$	60,578,680	$	56,277,140
Callable	7,765,000		8,091,280
Total par value	$	68,343,680	$	64,368,420

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019			December 31, 2018
Par value of consolidated bonds:
Fixed-rate	$	28,724,180		$	30,158,640
Step-up	1,290,000			1,902,280
Floating-rate	38,169,500			31,917,500
Conversion bonds - fixed to floating	160,000			390,000
Total par value	68,343,680			64,368,420
Bond premiums	83,705			71,636
Bond discounts	(8,680		)	(10,079		)
Concession fees	(6,877		)	(8,119		)
Hedging adjustments	40,884			(123,230		)
Total book value	$	68,452,712		$	64,298,628

Schedule of Short-term Debt

The following table details the Bank’s consolidated obligation discount notes as of September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019			December 31, 2018
Book value	$	28,155,723		$	36,896,603
Par value	28,210,549			36,984,987
Weighted average interest rate (1)	2.07		%	2.36		%

Note:

⁽¹⁾ Represents an implied rate.

XML

Other-Than-Temporary Impairment (Narrative) (Details)	Sep. 30, 2019
Other than Temporary Impairment, Disclosure [Line Items]
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease	(6.00%)
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase	10.00%
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Decrease In Vast Majority Of Markets	2.00%
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Increase In Vast Majority Of Markets	6.00%

XML

Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Advances, Fixed Rate [Abstract]
Fixed rate – overnight	$ 3,757,878	$ 4,934,461
Due in 1 year or less	13,350,193	17,769,178
Thereafter	17,173,148	17,813,978
Total Fixed Rate	34,281,219	40,517,617
Advances, Floating Rate [Abstract]
Due in 1 year or less	14,719,835	14,928,874
Thereafter	21,101,100	27,151,100
Total Variable Rate	35,820,935	42,079,974
Total Par Value	$ 70,102,154	$ 82,597,591

XML

Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands								9 Months Ended
	Oct. 30, 2019	Jul. 30, 2019	Apr. 26, 2019	Feb. 28, 2019	Jul. 27, 2018	Apr. 27, 2018	Feb. 22, 2018	Sep. 30, 2019	Dec. 31, 2018
Capital [Line Items]
Joint Capital Enhancement Agreement Percentage								20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter								1.00%
Retained Earnings (Accumulated Deficit)								$ 1,308,775	$ 1,275,904
Unrestricted								909,676	924,001
Restricted								399,099	351,903
Subclass B1 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding								300,000	400,000
Dividends Cash, Annualized Rate		4.50%	4.50%	4.50%	3.50%	3.50%	3.50%
Subclass B1 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	4.50%
Subclass B2 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding								$ 3,000,000	$ 3,700,000
Dividends Cash, Annualized Rate		7.75%	7.75%	7.75%	6.75%	6.75%	6.75%
Subclass B2 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	7.75%

XML

Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Short-term Debt [Line Items]
Discount Notes, Book value	$ 28,155,723	$ 36,896,603
Discount Notes, Par value	$ 28,210,549	$ 36,984,987
Discount Notes, Weighted Average Interest Rate	2.07%	2.36%

XML

Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($)		Sep. 30, 2019		Dec. 31, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 3,910,178,000		$ 1,281,053,000
AFS Securities		10,624,401,000		7,846,257,000
Derivative assets		188,079,000		110,269,000
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	169,269,000		90,414,000
Derivative liabilities		2,694,000		25,511,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(9,213,000)		(59,163,000)
Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
Derivative assets		0		0
Derivative liabilities		0		0
Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,910,178,000		1,281,053,000
AFS Securities		10,279,895,000		7,436,707,000
Derivative assets		18,810,000		19,855,000
Derivative liabilities		11,907,000		84,674,000
Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		344,506,000		409,550,000
Derivative assets		0		0
Derivative liabilities		0		0
Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[3]	169,269,000		90,414,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[4]	(9,213,000)	[2]	(59,163,000)	[3]
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
Derivative assets		0		0
Derivative liabilities		0
Total assets at fair value		0		0
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,910,178,000		1,281,053,000
AFS Securities		10,279,895,000		7,436,707,000
Derivative assets		18,810,000		19,855,000
Derivative liabilities	[4]	11,907,000		84,674,000
Total assets at fair value		14,208,883,000		8,737,615,000
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		344,506,000		409,550,000
Derivative assets		0		0
Derivative liabilities		0
Total assets at fair value		344,506,000		409,550,000
Fair Value, Nonrecurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Mortgage loans held for portfolio		6,184,000		8,965,000
Real estate owned fair value disclosure		2,105,000		6,621,000
Total assets at fair value		8,289,000		15,586,000
Interest Rate Swap [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		169,269,000	[3]	90,414,000	[4]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[3]	(9,213,000)		(59,163,000)
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0		0
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		18,680,000		19,826,000	[4]
Derivative liabilities		11,837,000		84,652,000
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0		0
U.S. Treasury obligations
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,667,298,000		997,061,000
U.S. Treasury obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,667,298,000		997,061,000
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
GSE and TVA obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		242,880,000		283,992,000
AFS Securities		1,563,176,000		1,785,317,000
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		242,880,000		283,992,000
AFS Securities		1,563,176,000		1,785,317,000
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
State or local agency obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		249,966,000		245,939,000
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		249,966,000		245,939,000
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
U.S. obligations single-family MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		703,044,000		218,494,000
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		703,044,000		218,494,000
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		344,506,000		409,550,000
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		0		0
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		130,000		29,000
Derivative liabilities		70,000		22,000
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,910,178,000		1,281,053,000
AFS Securities		10,624,401,000		7,846,257,000
Derivative assets		188,079,000		110,269,000
Derivative liabilities		2,694,000		25,511,000
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,910,178,000		1,281,053,000
AFS Securities		10,624,401,000		7,846,257,000
Derivative assets		188,079,000		110,269,000
Derivative liabilities	[4]	2,694,000		25,511,000
Total assets at fair value		14,722,658,000		9,237,579,000
Estimate of Fair Value Measurement [Member] | Fair Value, Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Mortgage loans held for portfolio		6,184,000		8,965,000
Real estate owned fair value disclosure		2,105,000		6,621,000
Total assets at fair value		8,289,000		15,586,000
Estimate of Fair Value Measurement [Member] | Interest Rate Swap [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		187,949,000		110,240,000
Derivative liabilities		2,624,000		25,489,000
Estimate of Fair Value Measurement [Member] | U.S. Treasury obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		3,667,298,000		997,061,000
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		242,880,000		283,992,000
AFS Securities		1,563,176,000		1,785,317,000
Estimate of Fair Value Measurement [Member] | State or local agency obligations [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		249,966,000		245,939,000
Estimate of Fair Value Measurement [Member] | U.S. obligations single-family MBS | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		703,044,000		218,494,000
Estimate of Fair Value Measurement [Member] | Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		130,000		29,000
Derivative liabilities		70,000		22,000
Single Family [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,638,735,000		2,581,503,000
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,638,735,000		2,581,503,000
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Single Family [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,638,735,000		2,581,503,000
Multifamily [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		4,124,974,000		2,605,454,000
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		4,124,974,000		2,605,454,000
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Multifamily [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		4,124,974,000		2,605,454,000
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		344,506,000		409,550,000
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | Private label MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		$ 344,506,000		$ 409,550,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

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

[4] Derivative liabilities represent the total liabilities at fair value.

XML

Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Related Party Transaction [Line Items]
Advances		$ 70,325,927	$ 82,475,547
MPF loans		4,743,923	4,382,162
Capital stock		3,372,867	4,027,244
Principal Owner [Member]
Related Party Transaction [Line Items]
Advances		40,408,992	63,112,341
Letters of credit	[1]	2,865,820	4,839,828
MPF loans		504,903	570,986
Deposits		17,342	8,824
Capital stock		$ 1,948,681	$ 2,729,092

[1] Letters of credit are off-balance sheet commitments.

XML

Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Short-term and Long-term Debt [Line Items]
Par amounts for the FHLBanks' outstanding Consolidated Obligation	$ 1,010,300,000	$ 1,031,600,000
Fixed-rate	28,724,180	30,158,640
Step-up	1,290,000	1,902,280
Floating-rate	38,169,500	31,917,500
Conversion bonds - fixed to floating	160,000	390,000
Total par value	68,343,680	64,368,420
Bond premiums	83,705	71,636
Bond discounts	(8,680)	(10,079)
Concession fees	(6,877)	(8,119)
Hedging adjustments	40,884	(123,230)
Total book value	$ 68,452,712	$ 64,298,628

XML

Trading Securities

9 Months Ended

Sep. 30, 2019

Trading Securities [Member]

Investment Holdings [Line Items]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

Trading Securities

The following table presents trading securities as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
U.S. Treasury obligations	$	3,667,298	$	997,061
GSE and TVA obligations	242,880		283,992
Total	$	3,910,178	$	1,281,053

The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2019 and 2018.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2019		2018			2019		2018
Net unrealized gains (losses) on trading securities held at period-end	$	5,429	$	(2,578	)	$	22,840	$	(10,292	)
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	12		(423		)	515		(4,111		)
Net gains (losses) on trading securities	$	5,441	$	(3,001	)	$	23,355	$	(14,403	)

XML

Advances

9 Months Ended

Sep. 30, 2019

Advances [Abstract]

Advances

Advances

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

At September 30, 2019 and December 31, 2018, the Bank had advances outstanding, including AHP advances, at interest rates ranging from 1.15% to 7.40% and 0.83% and 7.40%, respectively.

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019					December 31, 2018
Year of Redemption	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	31,827,906		2.21	%	$	37,632,513		2.56	%
Due after 1 year through 2 years	27,660,634			2.34		24,728,488			2.58
Due after 2 years through 3 years	6,811,811			2.57		14,368,363			2.64
Due after 3 years through 4 years	2,338,975			2.57		4,360,603			2.58
Due after 4 years through 5 years	785,223			2.30		798,145			2.87
Thereafter	677,605			2.76		709,479			2.79
Total par value	70,102,154			2.31	%	82,597,591			2.58	%
Deferred prepayment fees	(1,850		)			(59		)
Hedging adjustments	225,623					(121,985		)
Total book value	$	70,325,927				$	82,475,547

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. In addition, 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 September 30, 2019 and December 31, 2018, 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 redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2019 and December 31, 2018.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Due in 1 year or less	$	41,622,906	$	43,667,513	$	31,847,906	$	37,652,513
Due after 1 year through 2 years	17,935,634		20,703,488		27,660,634		24,728,488
Due after 2 years through 3 years	6,781,811		12,368,363		6,811,811		14,368,363
Due after 3 years through 4 years	2,338,975		4,350,603		2,332,975		4,360,603
Due after 4 years through 5 years	745,223		798,145		785,223		792,145
Thereafter	677,605		709,479		663,605		695,479
Total par value	$	70,102,154	$	82,597,591	$	70,102,154	$	82,597,591

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Fixed-rate – overnight	$	3,757,878	$	4,934,461
Fixed-rate – term:
Due in 1 year or less	13,350,193		17,769,178
Thereafter	17,173,148		17,813,978
Total fixed-rate	34,281,219		40,517,617
Variable-rate:
Due in 1 year or less	14,719,835		14,928,874
Thereafter	21,101,100		27,151,100
Total variable-rate	35,820,935		42,079,974
Total par value	$	70,102,154	$	82,597,591

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2019, the Bank had advances of $55.6 billion outstanding to the five largest borrowers, which represented 79.3% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at September 30, 2019.

As of December 31, 2018, the Bank had advances of $63.7 billion outstanding to the five largest borrowers, which represented 77.2% 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, 2018.

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

XML

Consolidated Obligations

9 Months Ended

Sep. 30, 2019

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 to have 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.

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, 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 the FHLBanks’ outstanding consolidated obligations were$1,010.3 billionand$1,031.6 billion atSeptember 30, 2019andDecember 31, 2018, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2018 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019			December 31, 2018
Par value of consolidated bonds:
Fixed-rate	$	28,724,180		$	30,158,640
Step-up	1,290,000			1,902,280
Floating-rate	38,169,500			31,917,500
Conversion bonds - fixed to floating	160,000			390,000
Total par value	68,343,680			64,368,420
Bond premiums	83,705			71,636
Bond discounts	(8,680		)	(10,079		)
Concession fees	(6,877		)	(8,119		)
Hedging adjustments	40,884			(123,230		)
Total book value	$	68,452,712		$	64,298,628

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2019 and December 31, 2018.

	September 30, 2019				December 31, 2018
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	47,764,195	2.06	%	$	37,281,455	2.15	%
Due after 1 year through 2 years	10,249,170		2.21		14,056,285		2.40
Due after 2 years through 3 years	3,425,240		2.46		3,929,705		2.48
Due after 3 years through 4 years	1,610,050		2.58		2,249,320		2.38
Due after 4 years through 5 years	1,114,725		2.74		2,287,180		2.96
Thereafter	4,180,300		2.78		4,564,475		2.80
Total par value	$	68,343,680	2.16	%	$	64,368,420	2.30	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Noncallable	$	60,578,680	$	56,277,140
Callable	7,765,000		8,091,280
Total par value	$	68,343,680	$	64,368,420

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2019 and December 31, 2018.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2019		December 31, 2018
Due in 1 year or less	$	53,266,195	$	45,099,735
Due after 1 year through 2 years	8,884,170		13,149,285
Due after 2 years through 3 years	2,888,240		2,662,705
Due after 3 years through 4 years	1,159,050		1,604,320
Due after 4 years through 5 years	800,725		708,900
Thereafter	1,345,300		1,143,475
Total par value	$	68,343,680	$	64,368,420

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 September 30, 2019 and December 31, 2018.

(dollars in thousands)	September 30, 2019			December 31, 2018
Book value	$	28,155,723		$	36,896,603
Par value	28,210,549			36,984,987
Weighted average interest rate (1)	2.07		%	2.36		%

Note:

⁽¹⁾ Represents an implied rate.

XML

Estimated Fair Values (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2019 and December 31, 2018 are presented in the table below.

Fair Value Summary Table
	September 30, 2019
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	13,789	$	13,789	$	—	$	—	$	—		$	13,789
Interest-bearing deposits	1,573,679		1,568,327		5,352		—		—			1,573,679
Federal funds sold	6,935,000		—		6,934,988		—		—			6,934,988
Securities purchased under agreement to resell (2)	1,800,000		—		1,800,018		—		—			1,800,018
Trading securities	3,910,178		—		3,910,178		—		—			3,910,178
AFS securities	10,624,401		—		10,279,895		344,506		—			10,624,401
HTM securities	2,434,134		—		2,333,701		160,672		—			2,494,373
Advances	70,325,927		—		70,296,295		—		—			70,296,295
Mortgage loans held for portfolio, net	4,827,164		—		5,017,321		—		—			5,017,321
BOB loans, net	20,031		—		—		20,031		—			20,031
Accrued interest receivable	209,931		—		209,931		—		—			209,931
Derivative assets	188,079		—		18,810		—		169,269			188,079
Liabilities:
Deposits	$	556,201	$	—	$	556,201	$	—	$	—		$	556,201
Discount notes	28,155,723		—		28,158,925		—		—			28,158,925
Bonds	68,452,712		—		68,643,478		—		—			68,643,478
Mandatorily redeemable capital stock (3)	343,711		350,426		—		—		—			350,426
Accrued interest payable (3)	222,064		—		215,349		—		—			215,349
Derivative liabilities	2,694		—		11,907		—		(9,213		)	2,694

	December 31, 2018
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)			Estimated Fair Value
Assets:
Cash and due from banks	$	71,320	$	71,320	$	—	$	—	$	—		$	71,320
Interest-bearing deposits	2,123,240		2,117,829		5,411		—		—			2,123,240
Federal funds sold	4,740,000		—		4,739,984		—		—			4,739,984
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,032		—		—			1,000,032
Trading securities	1,281,053		—		1,281,053		—		—			1,281,053
AFS securities	7,846,257		—		7,436,707		409,550		—			7,846,257
HTM securities	3,086,032		—		2,894,813		206,320		—			3,101,133
Advances	82,475,547		—		82,408,752		—		—			82,408,752
Mortgage loans held for portfolio, net	4,461,612		—		4,381,484		—		—			4,381,484
BOB loans, net	17,371		—		—		17,371		—			17,371
Accrued interest receivable	234,161		—		234,161		—		—			234,161
Derivative assets	110,269		—		19,855		—		90,414			110,269
Liabilities:
Deposits	$	387,085	$	—	$	387,085	$	—	$	—		$	387,085
Discount notes	36,896,603		—		36,891,722		—		—			36,891,722
Bonds	64,298,628		—		64,125,928		—		—			64,125,928
Mandatorily redeemable capital stock (3)	24,099		24,571		—		—		—			24,571
Accrued interest payable (3)	226,537		—		226,065		—		—			226,065
Derivative liabilities	25,511		—		84,674		—		(59,163		)	25,511

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 and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

⁽²⁾ 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 September 30, 2019 and December 31, 2018. These instruments’ maturity term is overnight.

⁽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.

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 September 30, 2019 and December 31, 2018. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral 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.

	September 30, 2019
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	3,667,298	$	—	$	—		$	3,667,298
GSE and TVA obligations	—		242,880		—		—			242,880
Total trading securities	$	—	$	3,910,178	$	—	$	—		$	3,910,178
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,563,176	$	—	$	—		$	1,563,176
State or local agency obligations	—		249,966		—		—			249,966
MBS:
U.S. obligations single-family MBS	—		703,044		—		—			703,044
GSE single-family MBS	—		3,638,735		—		—			3,638,735
GSE multifamily MBS	—		4,124,974		—		—			4,124,974
Private label residential MBS	—		—		344,506		—			344,506
Total AFS securities	$	—	$	10,279,895	$	344,506	$	—		$	10,624,401
Derivative assets:
Interest rate related	$	—	$	18,680	$	—	$	169,269		$	187,949
Mortgage delivery commitments	—		130		—		—			130
Total derivative assets	$	—	$	18,810	$	—	$	169,269		$	188,079
Total recurring assets at fair value	$	—	$	14,208,883	$	344,506	$	169,269		$	14,722,658
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	11,837	$	—	$	(9,213	)	$	2,624
Mortgage delivery commitments	—		70		—		—			70
Total recurring liabilities at fair value (2)	$	—	$	11,907	$	—	$	(9,213	)	$	2,694
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	6,184	$	—		$	6,184
REO	—		—		2,105		—			2,105
Total non-recurring assets at fair value	$	—	$	—	$	8,289	$	—		$	8,289

	December 31, 2018
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)			Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	997,061	$	—	$	—		$	997,061
GSE and TVA obligations	—		283,992		—		—			283,992
Total trading securities	$	—	$	1,281,053	$	—	$	—		$	1,281,053
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,785,317	$	—	$	—		1,785,317
State or local agency obligations	—		245,939		—		—			245,939
MBS:
U.S. obligations single-family MBS	—		218,494		—		—			218,494
GSE single-family MBS	—		2,581,503		—		—			2,581,503
GSE multifamily MBS	—		2,605,454		—		—			2,605,454
Private label residential MBS	—		—		409,550		—			409,550
Total AFS securities	$	—	$	7,436,707	$	409,550	$	—		$	7,846,257
Derivative assets:
Interest rate related	$	—	$	19,826	$	—	$	90,414		$	110,240
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	19,855	$	—	$	90,414		$	110,269
Total recurring assets at fair value	$	—	$	8,737,615	$	409,550	$	90,414		$	9,237,579
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	84,652	$	—	$	(59,163	)	$	25,489
Mortgage delivery commitments	—		22		—		—			22
Total recurring liabilities at fair value (2)	$	—	$	84,674	$	—	$	(59,163	)	$	25,511
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	8,965	$	—		$	8,965
REO	—		—		6,621		—			6,621
Total non-recurring assets at fair value	$	—	$	—	$	15,586	$	—		$	15,586

Notes:

⁽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 by the Bank with the same clearing agent and/or counterparties.

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

Rollforward of Level 3 Assets and Liabilities

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2019 and 2018. 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 the first nine months of 2019 or 2018.

	AFS Private Label MBS-Residential
	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Balance, beginning of period	$	371,402		$	475,713		$	409,550		$	524,543
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,794			4,098			11,589			11,677
Net OTTI losses, credit portion	(271		)	(17		)	(330		)	(359		)
Net unrealized gains (losses) on AFS in OCI	(14		)	18			18			48
Reclassification of non-credit portion included in net income	271			17			330			359
Unrealized gains (losses) on OTTI AFS in OCI	(4,880		)	1,565			(9,383		)	4,627
Purchases, issuances, sales, and settlements:
Settlements	(26,796		)	(41,734		)	(67,268		)	(101,235		)
Balance at September 30	$	344,506		$	439,660		$	344,506		$	439,660
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 September 30	$	3,558		$	4,081		$	8,887		$	11,318

XML

Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

	September 30, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	31,980,742	$	17,162	$	4,891
Derivatives not designated as hedging instruments:
Interest rate swaps	$	7,711,212	$	1,185	$	6,946
Interest rate caps or floors	1,355,000		333		—
Mortgage delivery commitments	103,597		130		70
Total derivatives not designated as hedging instruments:	$	9,169,809	$	1,648	$	7,016
Total derivatives before netting and collateral adjustments	$	41,150,551	$	18,810	$	11,907
Netting adjustments and cash collateral (1)			169,269		(9,213		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	188,079	$	2,694

	December 31, 2018
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	38,062,453	$	9,858	$	60,119
Derivatives not designated as hedging instruments:
Interest rate swaps	$	6,259,799	$	7,701	$	24,533
Interest rate caps or floors	1,435,000		2,267		—
Mortgage delivery commitments	17,391		29		22
Total derivatives not designated as hedging instruments:	$	7,712,190	$	9,997	$	24,555
Total derivatives before netting and collateral adjustments	$	45,774,643	$	19,855	$	84,674
Netting adjustments and cash collateral (1)			90,414		(59,163		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	110,269	$	25,511

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

Derivative Instruments, Gain (Loss)

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in other noninterest income for periods prior to January 1, 2019.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2019			2018			2019			2018
Derivatives designated as hedging instruments:
Interest rate swaps (1)	N/A			$	2,680		N/A			$	2,101
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,873	)	$	9,331		$	(49,797	)	$	25,467
Interest rate caps or floors	(1,129		)	(388		)	(1,933		)	885
Net interest settlements	(676		)	(2,033		)	(3,642		)	(8,192		)
To Be Announced (TBA)	(21		)	(46		)	(21		)	(46		)
Mortgage delivery commitments	(11		)	(714		)	17			(2,050		)
Other	10			7			25			19
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(17,700	)	$	6,157		$	(55,351	)	$	16,083
Other - price alignment amount on cleared derivatives (2)	303			(1,006		)	150			(2,182		)
Net gains (losses) on derivatives and hedging activities	$	(17,397	)	$	7,831		$	(55,201	)	$	16,002

Notes:

⁽¹⁾Pertains to totalnet gains (losses) for fair value hedge ineffectiveness included in other noninterest income.

⁽²⁾ This amount is for derivatives for which variation margin is characterized as a daily settled contract.

The following table presents, 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. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value and are included in net interest income.

(in thousands)	Gains/(Losses) on Derivative			Gains/ (Losses) on Hedged Item			Net Interest Settlements			Effect of Derivatives on Net Interest Income			Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2019
Hedged item type:
Advances	$	(34,790	)	$	34,652		$	8,521		$	8,383		$	478,477
AFS securities	(30,639		)	29,136			2,918			1,415			71,884
Mortgage loans held for portfolio	—			(755		)	—			(755		)	42,452
Consolidated obligations – bonds	15,163			(15,402		)	(12,098		)	(12,337		)	(413,901		)
Total	$	(50,266	)	$	47,631		$	(659	)	$	(3,294	)
Nine months ended September 30, 2019
Hedged item type:
Advances	$	(347,838	)	$	347,605		$	51,693		$	51,460		$	1,508,189
AFS securities	(102,668		)	98,539			1,534			(2,595		)	201,198
Mortgage loans held for portfolio	—			(2,320		)	—			(2,320		)	126,922
Consolidated obligations – bonds	162,570			(164,114		)	(63,985		)	(65,529		)	(1,259,974		)
Total	$	(287,936	)	$	279,710		$	(10,758	)	$	(18,984	)

Prior to January 1, 2019, changes in fair value of derivative instruments and the related hedged items for designated fair value hedges were reported in other noninterest income and are presented in the table below.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness in Other Noninterest Income			Net Interest Settlements in Net Interest Income (1)
Three months ended September 30, 2018
Hedged item type:
Advances	$	33,114		$	(33,317	)	$	(203	)	$	14,352
AFS securities	15,244			(14,985		)	259			(252		)
Consolidated obligations – bonds	9,498			(6,874		)	2,624			(27,712		)
	$	57,856		$	(55,176	)	$	2,680		$	(13,612	)
Nine months ended September 30, 2018
Hedged item type:
Advances	$	199,529		$	(199,270	)	$	259		$	22,191
AFS securities	69,139			(66,328		)	2,811			(3,844		)
Consolidated obligations – bonds	(86,959		)	85,990			(969		)	(59,019		)
	$	181,709		$	(179,608	)	$	2,101		$	(40,672	)

Notes:

⁽¹⁾ These amounts do not include $(1.2) million and $(3.0) million for the three months and nine months ended September 30, 2018 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2019
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships			Cumulative Amount of Fair Value Hedging Adjustments
Advances	$	17,152,581	$	225,616	$	7		$	225,623
AFS securities	1,418,999		75,962		1,314			77,276
Consolidated obligations – bonds	13,758,798		41,397		(513		)	40,884

Note:

⁽¹⁾ Includes carrying value of hedged items in current fair value hedging relationships.

Offsetting Assets

Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. 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 nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	15,658		$	17,899
Cleared derivatives	3,022			1,927
Total gross recognized amount	18,680			19,826
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(13,648		)	(13,290		)
Cleared derivatives	182,917			103,704
Total gross amounts of netting adjustments and cash collateral	169,269			90,414
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,010			4,609
Cleared derivatives	185,939			105,631
Total net amounts after netting adjustments and cash collateral	187,949			110,240
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	130			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	130			29
Total derivative assets:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total derivative assets as reported in the Statement of Condition	188,079			110,269
Net unsecured amount:
Uncleared derivatives	2,140			4,638
Cleared derivatives	185,939			105,631
Total net unsecured amount	$	188,079		$	110,269

	Derivative Liabilities
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	10,553		$	64,038
Cleared derivatives	1,284			20,614
Total gross recognized amount	11,837			84,652
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(7,929		)	(57,236		)
Cleared derivatives	(1,284		)	(1,927		)
Total gross amounts of netting adjustments and cash collateral	(9,213		)	(59,163		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,624			6,802
Cleared derivatives	—			18,687
Total net amounts after netting adjustments and cash collateral	2,624			25,489
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	70			22
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	70			22
Total derivative liabilities
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total derivative liabilities as reported in the Statement of Condition	2,694			25,511
Net unsecured amount:
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total net unsecured amount	$	2,694		$	25,511

Note:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

Offsetting Liabilities

	Derivative Liabilities
(in thousands)	September 30, 2019			December 31, 2018
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	10,553		$	64,038
Cleared derivatives	1,284			20,614
Total gross recognized amount	11,837			84,652
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(7,929		)	(57,236		)
Cleared derivatives	(1,284		)	(1,927		)
Total gross amounts of netting adjustments and cash collateral	(9,213		)	(59,163		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	2,624			6,802
Cleared derivatives	—			18,687
Total net amounts after netting adjustments and cash collateral	2,624			25,489
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	70			22
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	70			22
Total derivative liabilities
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total derivative liabilities as reported in the Statement of Condition	2,694			25,511
Net unsecured amount:
Uncleared derivatives	2,694			6,824
Cleared derivatives	—			18,687
Total net unsecured amount	$	2,694		$	25,511

Note:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

XML

Statement of Cash Flows (Parenthetical) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Interest-bearing deposits (including $59 and ($232) from (to) other FHLBanks for mortgage loan program)	$ 59	$ (232)

XML

Statements of Comprehensive Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Net Income	$ 70,276	$ 98,443	$ 235,978	$ 268,924
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities	(5,595)	(7,447)	39,623	(21,348)
Net non-credit portion of OTTI gains (losses) on AFS securities	(4,609)	1,582	(9,053)	4,986
Reclassification of net (gains) included in net income relating to hedging activities	(10)	(8)	(25)	(20)
Pension and post-retirement benefits	106	148	317	444
Total other comprehensive income (loss)	(10,108)	(5,725)	30,862	(15,938)
Total comprehensive income	$ 60,168	$ 92,718	$ 266,840	$ 252,986

XML

Commitments and Contingencies

9 Months Ended

Sep. 30, 2019

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)	September 30, 2019						December 31, 2018
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	18,631,301	$	—	$	18,631,301	$	20,250,625
Commitments to fund additional advances and BOB loans	10,900		—		10,900		10,987
Commitments to purchase mortgage loans	103,597		—		103,597		17,391
Unsettled consolidated obligation bonds, at par	1,472,000		—		1,472,000		196,500
Unsettled consolidated obligation discount notes, at par	—		—		—		583,940

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $220.7 million and $75.3 million at September 30, 2019 and December 31, 2018, respectively.

⁽²⁾ Letters of credit in the amount of $4.4 billion and $3.9 billion at September 30, 2019 and December 31, 2018, 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 $2.9 million and $3.9 million as of September 30, 2019 and December 31, 2018, 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. Refer to Note 8 - Allowance for Credit Losses in this Form 10-Q. 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 September 30, 2019 or December 31, 2018. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $10.1 billion and $8.7 billion at September 30, 2019 and December 31, 2018, 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 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

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

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

XML

Held-to-Maturity (HTM) Securities (Tables)

9 Months Ended

Sep. 30, 2019

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities

The following tables present HTM securities as of September 30, 2019 and December 31, 2018.

	September 30, 2019
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	98,575	$	—	$	(3,586	)	$	94,989
MBS:
U.S. obligations single-family MBS	$	268,051	$	1,602	$	(7	)	$	269,646
GSE single-family MBS	1,103,088		27,720		(151		)	1,130,657
GSE multifamily MBS	804,941		33,626		(158		)	838,409
Private label residential MBS	159,479		1,660		(467		)	160,672
Total MBS	$	2,335,559	$	64,608	$	(783	)	$	2,399,384
Total HTM securities	$	2,434,134	$	64,608	$	(4,369	)	$	2,494,373

	December 31, 2018
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	700,000	$	64	$	—		$	700,064
State or local agency obligations	102,705		—		(3,969		)	98,736
Total non-MBS	$	802,705	$	64	$	(3,969	)	$	798,800
MBS:
U.S. obligations single-family MBS	$	325,178	$	2,195	$	(4	)	$	327,369
GSE single-family MBS	899,875		13,402		(92		)	913,185
GSE multifamily MBS	853,053		9,224		(6,818		)	855,459
Private label residential MBS	205,221		1,765		(666		)	206,320
Total MBS	$	2,283,327	$	26,586	$	(7,580	)	$	2,302,333
Total HTM securities	$	3,086,032	$	26,650	$	(11,549	)	$	3,101,133

Held-to-maturity Securities

Schedule of Held-to-maturity Securities [Line Items]

Schedule of Unrealized Loss on Investments

The following tables summarize the HTM securities with unrealized losses as of September 30, 2019 and December 31, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2019
	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	$	—	$	—		$	94,989	$	(3,586	)	$	94,989	$	(3,586	)
MBS:
U.S. obligations single-family MBS	$	15,072	$	(7	)	$	—	$	—		$	15,072	$	(7	)
GSE single-family MBS	27,445		(125		)	3,928		(26		)	31,373		(151		)
GSE multifamily MBS	75,981		(158		)	—		—			75,981		(158		)
Private label residential MBS	36,368		(253		)	6,794		(214		)	43,162		(467		)
Total MBS	$	154,866	$	(543	)	$	10,722	$	(240	)	$	165,588	$	(783	)
Total	$	154,866	$	(543	)	$	105,711	$	(3,826	)	$	260,577	$	(4,369	)

	December 31, 2018
	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	$	—	$	—		$	98,736	$	(3,969	)	$	98,736	$	(3,969	)
MBS:
U.S. obligations single-family MBS	$	19,016	$	(4	)	$	—	$	—		$	19,016	$	(4	)
GSE single-family MBS	22,995		(62		)	4,443		(30		)	27,438		(92		)
GSE multifamily MBS	25,963		(56		)	319,473		(6,762		)	345,436		(6,818		)
Private label residential MBS	36,413		(402		)	7,904		(264		)	44,317		(666		)
Total MBS	$	104,387	$	(524	)	$	331,820	$	(7,056	)	$	436,207	$	(7,580	)
Total	$	104,387	$	(524	)	$	430,556	$	(11,025	)	$	534,943	$	(11,549	)

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2019 and December 31, 2018 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)	September 30, 2019				December 31, 2018
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	700,000	$	700,064
Due after one year through five years	—		—		—		—
Due after five years through ten years	34,515		33,894		37,015		36,288
Due after ten years	64,060		61,095		65,690		62,448
Total non-MBS	98,575		94,989		802,705		798,800
MBS	2,335,559		2,399,384		2,283,327		2,302,333
Total HTM securities	$	2,434,134	$	2,494,373	$	3,086,032	$	3,101,133

Schedule of Interest Rate Payment Terms For Investments

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2019 and December 31, 2018.

(in thousands)	September 30, 2019		December 31, 2018
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	700,000
Variable-rate	98,575		102,705
Total non-MBS	$	98,575	$	802,705
Amortized cost of HTM MBS:
Fixed-rate	$	1,852,054	$	1,682,100
Variable-rate	483,505		601,227
Total MBS	$	2,335,559	$	2,283,327
Total HTM securities	$	2,434,134	$	3,086,032

XML

Available-for-Sale (AFS) Securities (Narrative) (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Credit losses	$ 172,276	$ 181,867	$ 191,234	$ 195,681	$ 201,105	$ 210,875
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Net purchased discounts	9,900		18,500
MBS [Member] | Available-for-sale Securities
Debt Securities, Available-for-sale [Line Items]
Credit losses	166,600		183,500
OTTI-related accretion adjustment	$ 73,300		$ 77,500

XML

Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Reconciliation Table of AFS AOCI [Line Items]
Non-credit portion of OTTI losses		$ 0	$ 0
Net unrealized gains on OTTI securities since their last OTTI credit charge		56,080	65,133
Net non-credit portion of OTTI gains on AFS securities in AOCI	[1]	0	0
Accumulated Other-than-Temporary Impairment [Member]
Reconciliation Table of AFS AOCI [Line Items]
Net non-credit portion of OTTI gains on AFS securities in AOCI		$ 56,080	$ 65,133

[1] Represents the non-credit portion of an OTTI recognized during the life of the security.

XML

Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	$ 71,727	$ 71,931
Total current loans	[1]	4,788,968	4,420,266
Total recorded investment	[1]	4,860,695	4,492,197
In Process of Foreclosure, included above (3)	[2]	$ 6,555	$ 7,908
Serious delinquency rate (4)	[3]	0.40%	0.40%
Past due 90 days or more still accruing interest		$ 3,928	$ 4,245
Loans on nonaccrual status		17,375	15,728
Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	58,838	56,485
Total current loans	[1]	4,617,371	4,241,659
Total recorded investment	[1]	4,676,209	4,298,144
In Process of Foreclosure, included above (3)	[2]	$ 5,162	$ 6,458
Serious delinquency rate (4)	[3]	0.30%	0.30%
Past due 90 days or more still accruing interest		$ 0	$ 0
Loans on nonaccrual status		17,375	15,728
Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	45,207	43,468
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	38,112	33,935
Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	8,791	11,723
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	6,926	10,055
Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	17,729	16,740
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1]	13,800	12,495
Government-guaranteed/insured loans
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1],[4]	12,889	15,446
Total current loans	[1],[4]	171,597	178,607
Total recorded investment	[1],[4]	184,486	194,053
In Process of Foreclosure, included above (3)	[2],[4]	$ 1,393	$ 1,450
Serious delinquency rate (4)	[3],[4]	2.10%	2.20%
Past due 90 days or more still accruing interest	[4]	$ 3,928	$ 4,245
Loans on nonaccrual status	[4]	0	0
Government-guaranteed/insured loans | Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1],[4]	7,095	9,533
Government-guaranteed/insured loans | Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1],[4]	1,865	1,668
Government-guaranteed/insured loans | Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Total past due loans	[1],[4]	$ 3,929	$ 4,245

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

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

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

[4] The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at September 30, 2019, or December 31, 2018.

XML

Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) $ in Thousands	Sep. 30, 2019 USD ($)
Advances [Member]
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	$ 17,152,581
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)	225,616
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	7
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	225,623
Available-for-sale Securities
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	1,418,999
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)	75,962
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	1,314
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	77,276
Consolidated Obligations Bonds [Member]
Derivative [Line Items]
Hedged Liability, Fair Value Hedge	13,758,798
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)	41,397
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	(513)
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)	$ 40,884

XML

Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		$ 11,837	$ 84,652
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(9,213)	(59,163)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		2,624	25,489
Derivative Liability, Not Subject to Master Netting Arrangement	[3]	70	22
Derivative liabilities		2,694	25,511
Derivative Liability, Fair Value, Amount Offset Against Collateral		2,694	25,511
Over the Counter [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		10,553	64,038
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(7,929)	(57,236)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		2,624	6,802
Derivative Liability, Not Subject to Master Netting Arrangement	[3]	70	22
Derivative liabilities		2,694	6,824
Derivative Liability, Fair Value, Amount Offset Against Collateral		2,694	6,824
Exchange Cleared [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		1,284	20,614
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(1,284)	(1,927)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		0	18,687
Derivative Liability, Not Subject to Master Netting Arrangement	[3]	0	0
Derivative liabilities		0	18,687
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 0	$ 18,687

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $191.0 million and $154.8 million at September 30, 2019 and December 31, 2018, respectively. Cash collateral received was $12.5 million for September 30, 2019 and $5.2 million for December 31, 2018.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued 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).