10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2020

or

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

For the transition period from                                    to                                   

Commission File Number: 000-51395

FEDERAL HOME LOAN BANK OF PITTSBURGH

(Exact name of registrant as specified in its charter) 

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

There were 24,881,003 shares of common stock with a par value of $100 per share outstanding at July 31, 2020.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

Part I - FINANCIAL INFORMATION	1
Item 1: Financial Statements (unaudited)	43
Notes to Financial Statements (unaudited)	49
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations	1
Risk Management	25
Item 3: Quantitative and Qualitative Disclosures about Market Risk	86
Item 4: Controls and Procedures	86
Part II - OTHER INFORMATION	86
Item 1: Legal Proceedings	86
Item 1A: Risk Factors	86
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

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PART I - FINANCIAL INFORMATION

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

Forward-Looking Information

Statements contained in this Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank), may be “forward-looking statements.” These statements may use forward-looking terms, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty and that actual results could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following: economic and market conditions, including, but not limited to real estate, credit and mortgage markets; volatility of market prices, rates, and indices related to financial instruments; 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; the occurrence of man-made or natural disasters, endemics, global pandemics, conflicts or terrorist attacks or other geopolitical events; political, legislative, regulatory, litigation, or judicial events or actions; risks related to mortgage-backed securities (MBS); changes in the assumptions used to estimate credit losses; changes in the Bank’s capital structure; changes in the Bank’s capital requirements; changes in expectations regarding the Bank’s payment of dividends; 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 and all risks and uncertainties addressed throughout this report, as well as the Bank's 2019 Form 10-K (2019 Form 10-K), including Risk Factors included in Part I, Item 1A of that report and the Bank's Quarterly Report on Form 10-Q for the period ended March 31, 2020 (first quarter Form 10-Q), including Risk Factors included in Part II, Item 1A of that report. Information on the Bank's websites referred to in this Form 10-Q is not incorporated in, or a part of, this Form 10-Q.

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. See additional discussion below in this Executive Summary for the continuing impact on the Bank's operations and financial condition due to the spread of the coronavirus (COVID-19 pandemic).

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

1

curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products.

The COVID-19 pandemic caused the markets to be volatile toward the end of the first quarter and into the second quarter of 2020. To address the virus impact on the U.S. economy, the Federal Reserve Board (Federal Reserve) lowered the Federal funds target rate, falling eventually to a range between 0% to 0.25%. In addition, the Federal Reserve committed to using its full range of tools to respond to the turbulence in the markets, provide liquidity, and support the economy.  At its June 2020 meeting, the Federal Reserve maintained the Federal funds target range and said it would maintain its quantitative easing, repurchase and overnight lending programs to keep credit available.

Yields on U.S. Treasuries were mixed during the second quarter of 2020 relative to the prevailing yields at the end of the first quarter, with higher yields in the short-end of the curve, and lower yields for maturities two years and longer. The decline of 3-month LIBOR during the second quarter resulted in compressed short-term funding spreads. Long-term funding costs relative to LIBOR improved during the quarter due to increased investor confidence creating more demand in the term markets. Term debt spreads relative to U.S. Treasuries remain higher than historical averages but did improve during the quarter due to stronger investor demand.

Results of Operations. The Bank's net income totaled $60.3 million for the second quarter of 2020, compared to $67.7 million for the second quarter of 2019. Lower net interest income, combined with higher other expenses, were the primary drivers for the year-over-year change, though both were partially offset by higher other noninterest income. The Bank’s net income totaled $96.2 million for the six months ended June 30, 2020, compared to $165.7 million for the same prior-year period. The $69.5 million decrease was driven primarily by lower net interest income and lower other noninterest income. The net interest margin was 45 basis points for the second quarters of both 2020 and 2019. The net interest margin was 43 basis points and 48 basis points for the first six months of 2020 and 2019, respectively.

Financial Condition. Advances. Advances totaled $49.6 billion at June 30, 2020, a decrease of $16.0 billion compared to $65.6 billion at December 31, 2019. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. After a significant increase in first quarter advances that corresponded with member needs, new federal government liquidity programs in response to the COVID-19 pandemic took hold in the second quarter which contributed to decreased advance levels. While the advance portfolio decreased compared to December 31, 2019, the term of advances also decreased. At June 30, 2020, approximately 34% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 37% at December 31, 2019.

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 June 30, 2020, the Bank held $9.9 billion of liquid assets compared to $10.9 billion at December 31, 2019. The Bank expanded its liquidity portfolio in the first quarter of 2020 reflecting its ability to stand ready for its members during the COVID-19 pandemic, then contracted during the second quarter of 2020 which was consistent with decreased member advance activity during the quarter.

Investments. To enhance earnings, the Bank also maintains investments classified as AFS and held-to-maturity (HTM) as well as certain trading securities. The Bank held $12.9 billion in its investment portfolio at June 30, 2020 compared with $13.7 billion at December 31, 2019, a decrease of $0.8 billion.

Consolidated Obligations. The Bank's consolidated obligations totaled $72.6 billion at June 30, 2020, a decrease of $17.3 billion from December 31, 2019. At June 30, 2020, bonds represented 64% of the Bank's consolidated obligations, compared with 74% at December 31, 2019. Discount notes represented 36% of the Bank's consolidated obligations at June 30, 2020 compared with 26% at year-end 2019. The overall decrease in consolidated obligations outstanding is consistent with the decreased advances, liquidity and total asset balances.

Capital Position and Regulatory Requirements. Total capital at June 30, 2020 was $3.8 billion, compared to $4.5 billion at December 31, 2019. Total retained earnings at June 30, 2020 were $1.3 billion, relatively unchanged from year-end 2019. Accumulated other comprehensive income (AOCI) was $113.9 million at June 30, 2020, an increase of $22.1 million from December 31, 2019. This increase was primarily due to net unrealized gains within the AFS portfolio.

2

In both July 2020 and April 2020, the Bank paid quarterly dividends of 6.25% annualized on activity stock and 3.00% annualized on membership stock. In February 2020, the Bank paid quarterly dividends of 7.75% annualized on activity stock and 4.50% annualized on membership stock. The dividends paid were based on stockholders' average balances for the fourth quarter of 2019 (February dividend), the first quarter of 2020 (April dividend) and the second quarter of 2020 (July dividend).

The dividend rates based on the first two quarters of 2020 financial results are reflective of, and in line with, the Bank’s performance during the first half of the year, particularly given lower interest rates, lower member advance levels and lower net income. The dividend rates also demonstrate that the Bank continues to return value to its members. The Bank anticipates maintaining similar dividend levels through third quarter 2020; however, the payment and level of any dividends are always subject to changing market and business conditions. The fourth quarter 2020 dividend, which has historically been paid in February of the following year, will likely be lower. The Bank will continue to assess the impact of market and business conditions on the Bank's financial performance and level of dividends. Those conditions can be unpredictable, and their impact on the Bank’s results of operations and financial condition may result in the potential for lower dividend levels.

The Bank met all of its capital requirements as of June 30, 2020, and in the Federal Housing Finance Agency's (Finance Agency) most recent determination, as of March 31, 2020, the Bank was deemed "adequately capitalized."

Impact of COVID-19 Pandemic on Operations and Financial Condition. During the continued COVID-19 pandemic uncertainty, executive leadership and the Bank’s Board of Directors have remained focused on the health and safety of staff and being a reliable, readily available liquidity provider for members. As an essential business, the Bank has remained fully operational during the pandemic. During the second quarter of 2020, the Bank continued to operate effectively with nearly all staff working remote. The Bank continues to monitor guidance from government authorities to determine whether, and in what manner, it is prudent for staff to return to the Bank's office locations. Additional focus for the Bank will be to support the communities that its members serve and to maintain an open dialogue with members, particularly as it relates to credit management.

The Bank’s 2019 Annual Report on Form 10-K and the Quarterly Report on Form 10-Q for the quarter ended March 31, 2020, outlined several potential drivers of lower performance in 2020, including lower interest rates; increasing operating expenses; and a change in the Bank’s operating landscape as a result of legislative and regulatory actions. As previously reported, advance levels in March increased when the pandemic was first impacting the economy. Advances subsequently declined during the second quarter as a result of the actions of the U.S. Treasury and Federal Reserve to stimulate the economy. The Bank also operated in a lower interest rate environment and experienced a moderate increase in operating expenses. The Bank is well-capitalized with significant retained earnings.

The Bank monitors member credit quality on a regular basis. To date, deterioration in member credit quality has not been material. Given, however, the current economic environment (COVID-19 pandemic-related business limitations, unemployment levels and possible increases in loan forbearance and delinquencies) as well as lower interest rates, the Bank anticipates associated deterioration in member credit quality, particularly should such conditions persist for an extended period.

Expected prolonged low interest rates will likely result in lower net income and lower future Affordable Housing Program (AHP) contributions. Paydown of the high-yielding mortgage-backed securities and Mortgage Partnership Finance^® (MPF^®) Program portfolios could also weigh on financial performance. Given present economic and market conditions, the Bank will continue to monitor member credit quality and prudently manage operating expenses.

The extent to which the COVID-19 pandemic impacts the Bank’s business, results of operations, and financial condition will depend on future developments. These developments continue to be highly uncertain and cannot be predicted, including the scope and duration of the pandemic and actions taken by governmental authorities and other third parties in response to the pandemic. The pandemic may also cause prolonged recessionary economic conditions or longer lasting effects on economic conditions than currently exist, which could materially affect the Bank’s business, results of operations and financial condition.

3

Financial Highlights

The following are the financial highlights of the Bank. The Condensed Statements of Condition as of December 31, 2019 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
	June 30,			March 31,			December 31,			September 30,			June 30,
(in millions)	2020			2020			2019			2019			2019
Net interest income	$	102.8		$	95.7		$	104.2		$	109.1		$	110.6
Provision (benefit) for credit losses (1)	1.0			3.4			(0.5		)	0.4			1.0
Other noninterest income (loss)	0.1			(31.3		)	17.0			(6.7		)	(11.4		)
Other expense	34.5			20.4			31.1			23.2			22.6
Income before assessments	67.4			40.6			90.6			78.8			75.6
AHP assessment (2)	7.1			4.7			9.7			8.5			7.9
Net income	$	60.3		$	35.9		$	80.9		$	70.3		$	67.7
Dividends (in millions)	$	41.3		$	56.1		$	63.7		$	63.5		$	70.0
Dividends per share	1.50			1.99			2.11			1.87			2.04
Weighted average dividend rate	6.06		%	7.43		%	7.46		%	7.44		%	7.46		%
Dividend payout ratio (3)	68.38		%	156.28		%	78.70		%	90.40		%	103.39		%
Return on average equity	5.89		%	3.39		%	7.26		%	5.79		%	5.61		%
Return on average assets	0.26		%	0.15		%	0.33		%	0.26		%	0.27		%
Net interest margin (4)	0.45		%	0.41		%	0.43		%	0.41		%	0.45		%
Regulatory capital ratio (5)	5.14		%	4.53		%	4.94		%	4.88		%	4.70		%
GAAP capital ratio (6)	4.90		%	4.29		%	4.67		%	4.65		%	4.49		%
Total average equity to average assets	4.36		%	4.53		%	4.53		%	4.47		%	4.80		%

Notes:

⁽¹⁾ Effective January 1, 2020, the Bank adopted ASU 2016-13: Financial Instruments - Credit Losses, as amended (ASU 2016-13). The 2020 amount includes provision for private label MBS held in the AFS portfolio, the MPF portfolio and Banking on Business (BOB) loans.

⁽²⁾ 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.

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

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

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

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

4

	Six months ended
(in millions)	June 30, 2020			June 30, 2019
Net interest income	$	198.5		$	240.5
Provision (benefit) for credit losses (1)	4.4			1.4
Other noninterest income (loss)	(31.2		)	(7.3		)
Other expense	54.9			47.2
Income before assessments	108.0			184.6
AHP assessment (2)	11.8			18.9
Net income	$	96.2		$	165.7
Dividends	$	97.4		$	139.6
Dividends per share	3.50			3.86
Weighted average dividend rate	6.76		%	7.45		%
Dividend payout ratio (3)	101.20		%	84.24		%
Return on average equity	4.62		%	6.66		%
Return on average assets	0.21		%	0.33		%
Net interest margin (4)	0.43		%	0.48		%
Regulatory capital ratio (5)	5.14		%	4.70		%
GAAP capital ratio (6)	4.90		%	4.49		%
Total average equity to average assets	4.45		%	4.91		%

Notes:

⁽¹⁾ Effective January 1, 2020, the Bank adopted ASU 2016-13: Financial Instruments - Credit Losses, as amended (ASU 2016-13). The 2020 amount includes provision for private label MBS held in the AFS portfolio, the MPF portfolio and Banking on Business (BOB) loans.

⁽²⁾ 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.

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

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

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

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

5

Condensed Statements of Condition

	June 30,		March 31,		December 31,		September 30,		June 30,
(in millions)	2020		2020		2019		2019		2019
Cash and due from banks	$	377.4	$	3,946.6	$	21.5	$	13.8	$	66.2
Investments (1)	22,332.6		27,900.6		24,572.0		27,277.4		25,515.7
Advances	49,614.4		78,092.9		65,610.1		70,325.9		81,827.2
Mortgage loans held for portfolio, net	5,241.5		5,237.6		5,114.6		4,827.2		4,666.4
Total assets	77,975.0		115,658.2		95,724.1		102,913.7		112,520.8
Consolidated obligations:
Discount notes	26,051.8		52,062.5		23,141.4		28,155.7		35,010.0
Bonds	46,582.8		56,953.3		66,807.8		68,452.7		70,881.3
Total consolidated obligations	72,634.6		109,015.8		89,949.2		96,608.4		105,891.3
Deposits	951.0		812.6		573.4		556.2		559.0
Total liabilities	74,156.2		110,697.7		91,251.3		98,128.0		107,464.9
Capital stock - putable	2,371.4		3,629.9		3,055.0		3,372.9		3,643.2
Retained earnings	1,333.5		1,305.9		1,326.0		1,308.8		1,298.6
Total capital	3,818.8		4,960.5		4,472.8		4,785.7		5,055.9

Notes:

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

6

Earnings Performance

The following is Management's Discussion and Analysis of the Bank's earnings performance for the six months ended June 30, 2020 and 2019, 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 2019 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank's net income totaled $60.3 million for the second quarter of 2020, compared to $67.7 million for the second quarter of 2019. Lower net interest income, combined with higher other expenses, were the primary drivers for the year-over-year change, though both were partially offset by higher other noninterest income. The $7.4 million decrease in net income year-over-year was driven primarily by the following:

• Net interest income was $102.8 million for the second quarter of 2020, a decline of $7.8 million from $110.6 million in 2019.

– Interest income was $284.3 million for the second quarter of 2020, compared with $697.0 million for the second quarter of 2019. This decrease was the result of lower average interest-earning asset balances as well as lower yields driven by lower short-term interest rates.

– Interest expense was $181.5 million for the second quarter of 2020, compared with $586.4 million in the same prior-year period. This decrease was primarily the result of lower average consolidated obligation balances as well as lower rates paid, which was driven by lower short-term interest rates.

• Other expenses increased $11.9 million to $34.5 million in the second quarter of 2020 compared with the prior year quarter. Higher compensation and benefits and voluntary community investments were the primary drivers in the comparison.

• Other noninterest income was a gain of $0.1 million in the second quarter of 2020, compared with a loss of $11.4 million in the same prior-year period. The improvement in other noninterest income is the result of lower net losses on derivatives and hedging activities, partially offset by higher net losses on investment securities.

The Bank's return on average equity for the second quarter of 2020 was 5.89% compared to 5.61% for the second quarter of 2019.

The Bank’s net income totaled $96.2 million for the six months ended June 30, 2020, compared to $165.7 million for the same prior-year period. The $69.5 million decrease was driven primarily by the following:

• Net interest income was $198.5 million for the six months ended June 30, 2020, a decline of $42.0 million from $240.5 million in the same prior-year period.

– Interest income was $750.2 million for the six months ended June 30, 2020, compared with $1,426.5 million for the same prior-year period. This decrease was the result of lower average interest-earning asset balances as well as lower yields driven by lower short-term interest rates.

– Interest expense was $551.7 million for the six months ended June 30, 2020, compared with $1,186.0 million in the same prior-year period. This decrease was primarily the result of lower average consolidated obligation balances as well as lower rates paid, which was driven by lower short-term interest rates.

• Other noninterest income was a loss of $31.2 million for the six months ended June 30, 2020, compared with a loss of $7.3 million in the same prior-year period. This $23.9 million decrease was due primarily to higher net losses on derivatives and hedging activities, partially offset by higher net gains on investment securities in 2020.

The Bank's return on average equity for the first six months of 2020 was 4.62% compared to 6.66% for the same prior-year period.

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Net Interest Income

The following table summarizes the yields and rates paid on interest-earning assets and interest-bearing liabilities, respectively, the average balance for each of the primary balance sheet classifications, and the net interest margin for the three and six months ended June 30, 2020 and 2019.

Average Balances and Interest Yields/Rates Paid

	Three Months Ended June 30,
	2020					2019
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (1)	$	10,301.4	$	1.4	0.06	$	8,711.4	$	52.8	2.43
Interest-bearing deposits (2)	1,975.0		0.4		0.07	1,635.5		10.1		2.48
Investment securities (3)	16,610.0		71.4		1.73	12,816.6		100.2		3.14
Advances (4)	58,793.9		170.5		1.17	71,917.9		491.4		2.74
Mortgage loans held for portfolio (5)	5,246.8		40.6		3.11	4,607.0		42.5		3.70
Total interest-earning assets	92,927.1		284.3		1.23	99,688.4		697.0		2.81
Other assets (6)	1,611.1					1,153.8
Total assets	$	94,538.2				$	100,842.2
Liabilities and capital:
Deposits (2)	$	858.7	$	—	—	$	610.1	$	3.3	2.19
Consolidated obligation discount notes	36,843.1		57.4		0.63	23,499.2		143.0		2.44
Consolidated obligation bonds (7)	51,565.7		120.2		0.94	70,630.2		436.8		2.48
Other borrowings	323.4		3.9		4.86	172.0		3.3		7.74
Total interest-bearing liabilities	89,590.9		181.5		0.81	94,911.5		586.4		2.48
Other liabilities	825.6					1,088.1
Total capital	4,121.7					4,842.6
Total liabilities and capital	$	94,538.2				$	100,842.2
Net interest spread					0.42					0.33
Impact of noninterest-bearing funds					0.03					0.12
Net interest income/net interest margin			$	102.8	0.45			$	110.6	0.45

Notes:

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

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

⁽³⁾ Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

⁽⁴⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $497.8 million and $41.9 million in 2020 and 2019, respectively.

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

⁽⁶⁾ Beginning January 1, 2020, the Bank adopted ASU 2016-13. Other assets include allowance for credit losses on investment securities and MPF. Prior to January 1, 2020, Other assets included the allowance for credit losses and the noncredit portion of OTTI losses on investment securities.

⁽⁷⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of $72.6 million and $(30.8) million in 2020 and 2019, respectively.

Net interest income for the second quarter of 2020 decreased $7.8 million from the same prior year period due to a decrease in interest income, partially offset by lower interest expense. Interest-earning assets decreased 6.8% due to lower average advances, partially offset by higher average investments, increased purchases of Federal funds sold and securities purchased under agreements to resell, and increased purchases of mortgage loans held for portfolio. The rate earned on interest-earning assets decreased 158 basis points due to lower yields across all categories. Interest income on advances declined due to both lower volume and a decrease in yield. Interest income on investments, Federal funds sold and securities

8

purchased under agreements to resell, and mortgage loans held for portfolio declined due to a decrease in yield which more than offset higher volume. The rate paid on interest-bearing liabilities decreased 167 basis points due to lower funding costs on consolidated obligation bonds and discount notes. The impact of noninterest-bearing funds decreased 9 basis points due to lower interest rates.

Average Balances and Interest Yields/Rates Paid

	Six months ended June 30,
	2020					2019
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (1)	$	10,288.3	$	34.0	0.67	$	7,714.7	$	93.3	2.44
Interest-bearing deposits (2)	1,710.7		5.4		0.63	1,797.8		22.1		2.48
Investment securities (3)	16,683.3		171.4		2.07	12,628.3		196.9		3.15
Advances (4)	59,204.3		453.8		1.54	74,454.6		1,029.7		2.79
Mortgage loans held for portfolio (5)	5,219.1		85.6		3.30	4,553.4		84.5		3.74
Total interest-earning assets	93,105.7		750.2		1.62	101,148.8		1,426.5		2.85
Other assets (6)	1,181.3					1,060.3
Total assets	$	94,287.0				$	102,209.1
Liabilities and capital:
Deposits (2)	$	722.2	$	1.8	0.50	$	552.3	$	6.0	2.19
Consolidated obligation discount notes	32,737.4		158.5		0.97	27,301.0		330.0		2.44
Consolidated obligation bonds (7)	55,596.4		381.4		1.38	68,230.3		846.1		2.50
Other borrowings	321.1		10.0		6.30	102.8		3.9		7.69
Total interest-bearing liabilities	89,377.1		551.7		1.24	96,186.4		1,186.0		2.49
Other liabilities	716.8					1,008.3
Total capital	4,193.1					5,014.4
Total liabilities and capital	$	94,287.0				$	102,209.1
Net interest spread					0.38					0.36
Impact of noninterest-bearing funds					0.05					0.12
Net interest income/net interest margin			$	198.5	0.43			$	240.5	0.48

Notes:

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

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

⁽³⁾ Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

⁽⁴⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $382.7 million and $(30.0) million in 2020 and 2019, respectively.

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

⁽⁶⁾ Beginning January 1, 2020, the Bank adopted ASU 2016-13. Other assets include allowance for credit losses on investment securities and MPF. Prior to January 1, 2020, Other assets included the allowance for credit losses and the noncredit portion of OTTI losses on investment securities.

⁽⁷⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of $59.3 million and $(66.0) million in 2020 and 2019, respectively.

Net interest income for the first six months of 2020 decreased $42.0 million from the same prior year period due to a decrease in interest income, partially offset by lower interest expense. Interest-earning assets decreased 8.0% primarily due to lower demand for advances partially offset by higher average investments, increased purchases of Federal funds sold and securities purchased under agreements to resell, and increased purchases of mortgage loans held for portfolio. The rate earned on interest-earning assets decreased 123 basis points due to lower yields across all categories. Interest income decreased across all categories except for mortgage loans held for portfolio. Interest income on advances declined due to both lower volume and a decrease in yield. Interest income on investments and Federal funds sold and securities purchased under agreements to resell,

9

declined due to a decrease in yield which more than offset higher volume. Interest income on mortgage loans held for portfolio increased due to an increase in average outstanding balances that more than offset a decrease in yield. The rate paid on interest-bearing liabilities decreased 125 basis points due to lower funding costs on consolidated obligation bonds and discount notes. The impact of noninterest-bearing funds decreased 7 basis points due to lower 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 between three and six months ended June 30, 2020 and 2019.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume 2020 compared to 2019
	Three Months Ended June 30,									Six Months Ended June 30,
(in millions)	Volume			Rate			Total			Volume			Rate			Total
Federal funds sold	$	8.1		$	(59.5	)	$	(51.4	)	$	24.1		$	(83.4	)	$	(59.3	)
Interest-bearing deposits	1.7			(11.4		)	(9.7		)	(1.0		)	(15.7		)	(16.7		)
Investment securities	24.2			(53.0		)	(28.8		)	53.1			(78.6		)	(25.5		)
Advances	(77.5		)	(243.4		)	(320.9		)	(180.5		)	(395.4		)	(575.9		)
Mortgage loans held for portfolio	5.4			(7.3		)	(1.9		)	11.7			(10.6		)	1.1
Total interest-earning assets	$	(38.1	)	$	(374.6	)	$	(412.7	)	$	(92.6	)	$	(583.7	)	$	(676.3	)
Interest-bearing deposits	$	1.0		$	(4.3	)	$	(3.3	)	$	1.4		$	(5.6	)	$	(4.2	)
Consolidated obligation discount notes	54.8			(140.4		)	(85.6		)	56.1			(227.6		)	(171.5		)
Consolidated obligation bonds	(96.0		)	(220.6		)	(316.6		)	(135.6		)	(329.1		)	(464.7		)
Other borrowings	2.1			(1.5		)	0.6			6.9			(0.8		)	6.1
Total interest-bearing liabilities	$	(38.1	)	$	(366.8	)	$	(404.9	)	$	(71.2	)	$	(563.1	)	$	(634.3	)
Total decrease in net interest income	$	—		$	(7.8	)	$	(7.8	)	$	(21.4	)	$	(20.6	)	$	(42.0	)

Interest income and interest expense decreased in both the quarter-over-quarter and year-over-year comparisons. Lower rates drove the decrease in the second quarter of 2020, and lower rates and lower volumes drove the decrease in the first half of 2020. The rate decrease was primarily due to a decrease in market interest rates as the Federal funds target rate decreased multiple times in 2020. Lower volumes were primarily due to decreases in member advance activity.

Interest expense on total average consolidated obligations decreased in both comparisons. The decline was primarily due to lower rates paid on both discount notes and bonds given lower market interest rates in 2020. 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 “Derivatives Effects on Interest Income” discussion below.

The following table presents the average par balances of the Bank's advance portfolio for the three and six months ended June 30, 2020 and 2019. These balances do not reflect any hedge accounting adjustments.

(in millions)	Three Months Ended June 30,				Six Months Ended June 30,
Product	2020		2019		2020		2019
RepoPlus/Mid-Term Repo	$	18,595.2	$	19,235.7	$	18,472.7	$	20,181.9
Core (Term)	39,683.0		52,620.2		40,331.0		54,282.7
Convertible Select	20.0		20.0		20.0		20.0
Total par value	$	58,298.2	$	71,875.9	$	58,823.7	$	74,484.6

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

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Derivative Effects on Interest Income. The following tables quantify the effects of the Bank's derivative activities on interest income and interest expense (including net interest settlements) for the three and six months ended June 30, 2020 and 2019.

Three Months Ended June 30, 2020 (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	$	58,793.9	$	170.5	1.17	$	219.9	1.50	$	(49.4	)	(0.33	)
Mortgage loans held for portfolio	5,246.8		40.6		3.11	41.3		3.16	(0.7		)	(0.05	)
All other interest-earning assets	28,886.4		73.2		1.02	77.4		1.08	(4.2		)	(0.06	)
Total interest-earning assets	$	92,927.1	$	284.3	1.23	$	338.6	1.47	$	(54.3	)	(0.24	)
Liabilities:
Consolidated obligation bonds	$	51,565.7	$	120.2	0.94	$	143.3	1.12	$	(23.1	)	(0.18	)
All other interest-bearing liabilities	38,025.2		61.3		0.65	61.3		0.65	—			—
Total interest-bearing liabilities	$	89,590.9	$	181.5	0.81	$	204.6	0.92	$	(23.1	)	(0.11	)
Net interest income/net  interest spread			$	102.8	0.42	$	134.0	0.55	$	(31.2	)	(0.13	)

Three Months Ended June 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	$	71,917.9	$	491.4	2.74	$	472.2	2.63	$	19.2		0.11
Mortgage loans held for portfolio	4,607.0		42.5		3.70	43.2		3.76	(0.7		)	(0.06	)
All other interest-earning assets	23,163.5		163.1		2.83	164.0		2.84	(0.9		)	(0.01	)
Total interest-earning assets	$	99,688.4	$	697.0	2.81	$	679.4	2.73	$	17.6		0.08
Liabilities:
Consolidated obligation bonds	$	70,630.2	$	436.8	2.48	$	413.1	2.35	$	23.7		0.13
All other interest-bearing liabilities	24,281.3		149.6		2.47	149.6		2.47	—			—
Total interest-bearing liabilities	$	94,911.5	$	586.4	2.48	$	562.7	2.38	$	23.7		0.10
Net interest income/net  interest spread			$	110.6	0.33	$	116.7	0.35	$	(6.1	)	(0.02	)

Six Months Ended June 30, 2020 (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	$	59,204.3	$	453.8	1.54	$	520.9	1.77	$	(67.1	)	(0.23	)
Mortgage loans held for portfolio	5,219.1		85.6		3.30	86.7		3.34	(1.1		)	(0.04	)
All other interest-earning assets	28,682.3		210.8		1.48	221.2		1.55	(10.4		)	(0.07	)
Total interest-earning assets	$	93,105.7	$	750.2	1.62	$	828.8	1.79	$	(78.6	)	(0.17	)
Liabilities:
Consolidated obligation bonds	$	55,596.4	$	381.4	1.38	$	414.6	1.50	$	(33.2	)	(0.12	)
All other interest-bearing liabilities	33,780.7		170.3		1.01	170.3		1.01	—			—
Total interest-bearing liabilities	$	89,377.1	$	551.7	1.24	$	584.9	1.32	$	(33.2	)	(0.08	)
Net interest income/net  interest spread			$	198.5	0.38	$	243.9	0.47	$	(45.4	)	(0.09	)

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Six Months Ended June 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	$	74,454.6	$	1,029.7	2.79	$	986.6	2.67	$	43.1		0.12
Mortgage loans held for portfolio	4,553.4		84.5		3.74	86.1		3.81	(1.6		)	(0.07	)
All other interest-earning assets	22,140.8		312.3		2.84	313.7		2.86	(1.4		)	(0.02	)
Total interest-earning assets	$	101,148.8	$	1,426.5	2.85	$	1,386.4	2.76	$	40.1		0.09
Liabilities:
Consolidated obligation bonds	$	68,230.3	$	846.1	2.50	$	792.9	2.34	$	53.2		0.16
All other interest-bearing liabilities	27,956.1		339.9		2.45	339.9		2.45	—			—
Total interest-bearing liabilities	$	96,186.4	$	1,186.0	2.49	$	1,132.8	2.37	$	53.2		0.12
Net interest income/net  interest spread			$	240.5	0.36	$	253.6	0.39	$	(13.1	)	(0.03	)

The use of derivatives negatively impacted both net interest income and net interest spread for the three and six months ended June 30, 2020 and 2019. 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. Beginning January 1, 2020, the Bank adopted new accounting guidance (ASU 2016-13 Financial Instruments - Credit Losses, as amended) pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses. For additional information, refer to Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q.

The provision for credit losses was $1.0 million for both the second quarter of 2020 and the second quarter of 2019. For the six months ended June 30, 2020 and 2019, the provision for credit losses was $4.4 million and $1.4 million, respectively. The increase was primarily due to the provision for credit losses on private label MBS classified as AFS and the provision for credit losses on the MPF and BOB loan programs. Beginning January 1, 2020, with the adoption of ASU 2016-13, the provision for credit losses includes expected credit losses on private label MBS. Prior to January 1, 2020, expected credit losses on private label MBS were included in Other Noninterest Income, Net OTTI Losses.

12

Other Noninterest Income

	Three Months Ended June 30,						Six Months Ended June 30,
(in millions)	2020			2019			2020			2019
Net gains (losses) on investment securities	$	(3.3	)	$	7.8		$	59.2		$	17.9
Net gains (losses) on derivatives and hedging activities	(3.9		)	(24.8		)	(101.3		)	(37.8		)
Standby letters of credit fees	5.2			5.2			10.6			11.0
Other, net	2.1			0.4			0.3			1.6
Total other noninterest income (loss)	$	0.1		$	(11.4	)	$	(31.2	)	$	(7.3	)

The Bank's change in total other noninterest income (loss) for the second quarter and first half of 2020 compared to the same prior year periods was primarily due to the positive/negative variance in net gains (losses) on derivatives and hedging activities, partially offset by the positive/negative variance in net gains (losses) on investment securities. As discussed in Executive Summary in this Form 10-Q, there were actions taken by the Federal Reserve to lower interest rates toward the end of the first quarter of 2020 to mitigate the economic impacts of the COVID-19 pandemic. These significant interest rate declines and related market volatility during the first half of 2020 impacted the Bank’s investments and derivatives due to mark-to-market (fair value) adjustments on these instruments. The activity related to derivatives and hedging activities is discussed in more detail below. The net gains (losses) 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.

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.

Economic hedges address specific risks inherent in the Bank's balance sheet, but either they do not qualify for hedge accounting or the Bank does not elect to apply hedge accounting. As a result, income recognition on the derivatives in economic hedges may vary considerably compared to the timing of income recognition on the underlying asset or liability. The Bank does not enter into derivatives for speculative purposes nor does it have any cash flow hedges.

Regardless of the hedge strategy employed, the Bank's predominant hedging instrument is an interest rate swap. At the time of inception, the fair market value of an interest rate swap generally equals or is close to zero. Notwithstanding the exchange of interest payments made during the life of the swap, which are recorded as either interest income/expense or as a gain (loss) on derivatives, depending upon the accounting classification of the hedging instrument, the fair value of an interest rate swap returns to zero at the end of its contractual term. Therefore, although the fair value of an interest rate swap is likely to change over the course of its full term, upon maturity any unrealized gains and losses generally net to zero.

The following tables detail the net effect of derivatives and hedging activities on noninterest income for the three and six months ended June 30, 2020 and 2019.

	Three Months ended June 30, 2020
(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	$	(0.8	)	$	(5.6	)	$	0.4	$	2.0	$	—	$	—	$	(4.0	)
Other (1)	—			0.1			—		—		—		—		0.1
Total net gains (losses) on derivatives and hedging activities	$	(0.8	)	$	(5.5	)	$	0.4	$	2.0	$	—	$	—	$	(3.9	)

13

	Three Months Ended June 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	$	(8.7	)	$	(19.4	)	$	(13.2	)	$	16.1	$	0.2	$	—	$	(25.0	)
Other (1)	—			—			—			—		—		0.2		0.2
Total net gains (losses) on derivatives and hedging activities	$	(8.7	)	$	(19.4	)	$	(13.2	)	$	16.1	$	0.2	$	0.2	$	(24.8	)

	Six Months Ended June 30, 2020
(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	$	(17.5	)	$	(95.2	)	$	(13.0	)	$	16.4	$	7.7	$	—	$	(101.6	)
Other (1)	—			0.1			—			—		—		0.2		0.3
Total net gains (losses) on derivatives and hedging activities	$	(17.5	)	$	(95.1	)	$	(13.0	)	$	16.4	$	7.7	$	0.2	$	(101.3	)

	Six months ended June 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	$	(13.2	)	$	(32.5	)	$	(22.9	)	$	30.8	$	0.2	$	—		$	(37.6	)
Other (1)	—			—			—			—		—		(0.2		)	(0.2		)
Total net gains (losses) on derivatives and hedging activities	$	(13.2	)	$	(32.5	)	$	(22.9	)	$	30.8	$	0.2	$	(0.2	)	$	(37.8	)

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 (i.e., economic hedges and mortgage delivery commitments), 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. The Bank recorded net losses of $(4.0) million in the second quarter of 2020 compared to net losses of $(25.0) million for the second quarter of 2019. The lower net losses observed during the second quarter of 2020 were primarily on the Bank’s asset swaps and were attributed to less significant decreases in interest rates compared to the interest rate decreases observed during the second quarter of 2019. For the six months ended June 30, 2020 and 2019, the Bank recorded net losses of $(101.6) million and $(37.6) million, respectively. The higher net losses during 2020 were due to overall larger decreases in interest rates throughout the first two quarters in 2020 compared to the same period in 2019. Refer to Executive Summary in this Form 10-Q for additional discussion of Federal Reserve actions to lower interest rates to mitigate the economic impacts of the COVID-19 pandemic. In response to changing market conditions, the total notional amount of economic hedges, which includes mortgage delivery commitments, decreased to $4.8 billion at June 30, 2020 from $11.8 billion at December 31, 2019.

Other Expense

The Bank's total other expenses increased $11.9 million to $34.5 million for the second quarter of 2020, compared to the same prior year period. Second quarter 2020 expenses included two items that were not in the 2019 second quarter expenses: a $4.8 million contribution to the Bank's homeless initiative known as Home4Good, and a $3.0 million voluntary contribution to its defined benefit pension plan. Technology-related costs and mark-to-market adjustments on deferred compensation were higher in the 2020 second quarter and also contributed to the increase. Total other expenses for the first half of 2020 were $54.9 million, up $7.7 million from the first half of 2019. The Home4Good contribution referred to above and higher technology-related costs were the primary contributors to the increase in this comparison.

14

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 2019 Form 10-K.

Assets

Total assets were $78.0 billion at June 30, 2020, compared with $95.7 billion at December 31, 2019, a decrease of $17.7 billion. The decrease was primarily due to advances. Advances totaled $49.6 billion at June 30, 2020, a decrease of $16.0 billion compared to $65.6 billion at December 31, 2019.

The Bank's core mission activities include the issuance of advances and acquiring member assets through the MPF^® program. The core mission asset ratio, defined as the ratio of par amount of advances and MPF loans relative to consolidated obligations adjusted for high quality liquid assets using full year average balances, was 73.8% and 82.2% as of June 30, 2020 and December 31, 2019, respectively. The decrease in the core mission asset ratio was due to the decrease in average advances and the Bank holding additional liquidity during the first six months of 2020 to address volatility in member advance demand. This was done by purchasing liquidity investments which are not core mission assets.

Beginning January 1, 2020, the Bank adopted new accounting guidance (ASU 2016-13 Financial Instruments - Credit Losses, as amended) pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses. For additional information, refer to Note 1- Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q.

Advances. Advances (par) totaled $49.1 billion at June 30, 2020 compared to $65.4 billion at December 31, 2019. At June 30, 2020 the Bank had advances to 160 borrowing members, compared to 161 borrowing members at December 31, 2019. After a significant increase in first quarter advances that corresponded with member needs, new federal government liquidity programs took hold in the second quarter which contributed to decreased advance levels. Total advances outstanding to the Bank’s five largest borrowers decreased to 74.1% of total advances as of June 30, 2020, compared to 77.7% at December 31, 2019.

15

The following table provides information on advances at par by redemption terms at June 30, 2020 and December 31, 2019.

(in millions)	June 30, 2020		December 31, 2019
Fixed-rate
Due in 1 year or less (1)	$	14,524.9	$	21,783.1
Due after 1 year through 3 years	11,509.5		13,523.4
Due after 3 years through 5 years	2,555.1		2,012.5
Thereafter	188.4		594.4
Total par value	$	28,777.9	$	37,913.4
Fixed-rate, callable or prepayable(1)
Due after 1 year through 3 years	$	50.0	$	20.0
Total par value	$	50.0	$	20.0
Variable-rate
Due in 1 year or less (1)	$	14,164.7	$	14,129.5
Due after 1 year through 3 years	1,775.0		5,025.0
Due after 3 years through 5 years	53.1		53.1
Total par value	$	15,992.8	$	19,207.6
Variable-rate, callable or prepayable(2)
Due in 1 year or less	$	3,800.0	$	5,225.0
Due after 1 year through 3 years	110.0		2,635.0
Due after 3 years through 5 years	40.0		40.0
Total par value	$	3,950.0	$	7,900.0
Other(3)
Due in 1 year or less	$	108.8	$	123.7
Due after 1 year through 3 years	139.7		147.4
Due after 3 years through 5 years	65.0		69.7
Thereafter	46.4		57.3
Total par value	$	359.9	$	398.1
Total par balance	$	49,130.6	$	65,439.1

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 June 30, 2020 or December 31, 2019.

16

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 six months ended 2020 and 2019. 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).

Member Classification	June 30, 2020		June 30, 2019
Large	5		5
Regional	14		14
Mid-size	27		29
CFI (1)	128		143
Insurance	15		12
Total borrowing members during the period	189		203
Total membership	279		287
Percentage of members borrowing during the period	67.7	%	70.7	%

Notes:

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

The following table provides information at par on advances by member classification at June 30, 2020 and December 31, 2019.

(in millions)	June 30, 2020		December 31, 2019
Member Classification
Large	$	29,385.0	$	43,165.0
Regional	3,840.8		5,256.1
Mid-size	3,407.9		4,197.7
CFI	2,666.5		2,887.3
Insurance	2,315.6		1,416.5
Non-member	7,514.8		8,516.5
Total	$	49,130.6	$	65,439.1

As of June 30, 2020, total advances decreased 25% compared with balances at December 31, 2019. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. After a significant increase in first quarter advances that corresponded with member needs, new federal government liquidity programs in response to the COVID-19 pandemic took hold in the second quarter which contributed to decreased advance levels.

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 June 30, 2020.

Allowance for Credit Losses (ACL) - Advances. The Bank evaluates its advances for an allowance for credit losses on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at June 30, 2020 and December 31, 2019. For additional information on the allowance methodology, see Note 3 - Advances in this Form 10-Q.

Mortgage Loans Held for Portfolio, Net. Mortgage loans held for portfolio, net of ACL, totaled $5.2 billion and $5.1 billion at June 30, 2020 and December 31, 2019, 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 principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by 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.

17

The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged under the MPF Program to be troubled debt restructurings (TDRs), since some form of concession has been made by the Bank.

Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. Despite granting the forbearance period, the Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have been granted a forbearance period, there has been no change in the terms of the loans. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act). For additional information, refer to Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations and Note 4 - Mortgage Loans Held for Portfolio in this Form 10-Q.

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 six months of 2020 and 2019. Balances regarding the Bank’s loan products are summarized below.

(in millions)	June 30, 2020		December 31, 2019
Advances (1)	$	49,614.4	$	65,610.1
Mortgage loans held for portfolio, net (2)	5,241.5		5,114.6
Nonaccrual mortgage loans (3)	31.0		15.6
Mortgage loans 90 days or more delinquent and still accruing interest (4)	3.3		3.3
BOB loans, net	20.2		19.7

Notes:

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

⁽²⁾ All mortgage loans are fixed-rate.

⁽³⁾ Nonaccrual mortgage loans are reported net of interest applied to principal and do not include performing TDRs. The amount at June 30, 2020 included approximately $13.4 million related to loans in forbearance programs as a result of COVID-19.

⁽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 MPF Original portfolio continues to outperform the market based on national delinquency statistics. As of June 30, 2020, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.6% of the MPF Original portfolio, 2.5% of the MPF Plus portfolio, and 0.5% of the MPF 35 portfolio, compared with 0.4%, 2.2%, and 0.03%, respectively, at December 31, 2019. The amount of seriously delinquent loans increased across the Bank's MPF portfolio compared to December 31, 2019, which was partially attributable to delinquencies that resulted from loans placed in forbearance programs as a result of COVID-19.

ACL - Conventional MPF. 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. Expected credit losses are evaluated based on either an individual or collective assessment of the loans, depending on whether the loans share similar risk characteristics. 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 determines its ACL through consideration of various loan portfolio and collateral-related characteristics, including past performance, current conditions, and reasonable and supportable forecasts of economic conditions. To estimate credit losses, the Bank uses a third-party model which incorporates certain assumptions, including forecasted housing prices and interest rates, as well as historical borrower behavior. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results. The estimate of the expected credit losses includes coverage of certain losses by primary mortgage insurance (PMI), if applicable. Certain loans deemed to be collateral dependent are evaluated for credit losses based on the difference between the estimated fair value of the underlying collateral, less selling costs and PMI, and the amortized cost basis of the loan. The related credit loss, if any, is charged-off against the reserve. However, if the estimated loss can be recovered through credit enhancement (CE), a receivable is established, resulting in a net charge-off.

18

With the adoption of ASU 2016-13, the Bank is permitted to recognize a recovery when expected credit losses are less than the amounts previously charged-off. Expected recoveries of prior charge-offs, if any, are included as a reduction to the ACL through the Bank's provision for credit losses. The reduction to the ACL is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's provision for credit losses.

The Bank's conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. 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 CE 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.

The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at June 30, 2020 and December 31, 2019.

	MPF CE structure June 30, 2020				ACL June 30, 2020
(in millions)	FLA		Available CE		Estimate of Credit Loss		Estimate of Recovery (1)			Charge-offs			Reduction to the ACL due to CE			ACL
MPF Original	$	6.3	$	86.2	$	5.8	$	(2.2	)	$	(0.5	)	$	(3.3	)	$	(0.2	)
MPF 35	12.1		121.1		12.0		(0.2		)	—			(10.6		)	1.2
MPF Plus	15.3		5.6		7.2		(2.0		)	—			(0.3		)	4.9
Total	$	33.7	$	212.9	$	25.0	$	(4.4	)	$	(0.5	)	$	(14.2	)	$	5.9

	MPF CE structure December 31, 2019				ACL December 31, 2019
(in millions)	FLA		Available CE		Estimate of Credit Loss		Charge-offs			Reduction to the ACL due to CE			ACL
MPF Original	$	6.1	$	82.6	$	3.9	$	(1.3	)	$	(2.2	)	$	0.4
MPF 35	10.3		107.1		0.7		—			(0.7		)	—
MPF Plus	15.6		5.6		9.0		—			(1.6		)	7.4
Total	$	32.0	$	195.3	$	13.6	$	(1.3	)	$	(4.5	)	$	7.8

Note:

⁽¹⁾ Expected recoveries of amounts previously charged-off based on the Bank's quarterly estimate of expected lifetime credit losses.

The ACL on mortgage loans decreased $1.9 million during the first six months of 2020 primarily due to recoveries in the MPF Original and MPF Plus products as a result of the adoption of ASU 2016-13, which was effective for the Bank January 1, 2020. At adoption, the Bank recorded a decrease in its ACL of $3.9 million, which was largely offset by a reversal of expected CE of $3.8 million, resulting in a net impact of $0.1 million.

During the first quarter of 2020, the COVID-19 pandemic resulted in financial market deterioration and substantial uncertainty about the future short-term economic environment, which has continued through the second quarter of 2020. The Bank appropriately considered potential economic impacts resulting from the pandemic when assessing expected credit losses on its MPF portfolio. The Bank continues to monitor developments and assess the impact of the pandemic on the Bank's MPF portfolio, including with respect to market assumptions, borrower performance, and regulatory relief.

19

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 June 30, 2020 decreased by approximately $1.0 billion compared to December 31, 2019. Larger balances held by the Bank at March 31, 2020 in its liquidity portfolio reflected the Bank's ability to stand ready to meet its members' needs during the COVID-19 pandemic and these needs decreased at June 30, 2020 given the federal government liquidity programs which took hold in the second quarter of 2020.

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 $12.9 billion and $13.7 billion at June 30, 2020 and December 31, 2019, respectively.

Investment securities, including trading, AFS, and HTM securities, totaled $16.3 billion at June 30, 2020, compared to $17.1 billion at December 31, 2019. Details of the investment securities portfolio follow.

	Carrying Value
(in millions)	June 30, 2020			December 31, 2019
Trading securities:
Non-MBS:
U.S. Treasury obligations	$	3,445.2		$	3,390.7
Government-sponsored enterprises (GSE) and Tennessee Valley Authority (TVA) obligations	258.5			240.9
Total trading securities	$	3,703.7		$	3,631.6
Yield on trading securities	1.13		%	2.02		%
AFS securities:
GSE and TVA obligations	$	1,656.6		$	1,550.7
State or local agency obligations	248.3			247.9
MBS:
U.S. obligations single-family MBS	727.5			807.6
GSE single-family MBS	4,120.3			4,055.8
GSE multifamily MBS	3,594.0			4,109.6
Private label residential MBS	280.9			326.2
Total AFS securities	$	10,627.6		$	11,097.8
Yield on AFS securities	1.61		%	2.58		%
HTM securities:
State or local agency obligations	$	—		$	94.3
MBS:
U.S. obligations single-family MBS	195.9			250.2
GSE single-family MBS	1,101.2			1,156.6
GSE multifamily MBS	560.2			770.8
Private label residential MBS	108.2			123.8
Total HTM securities	$	1,965.5		$	2,395.7
Yield on HTM securities	2.93		%	3.22		%
Total investment securities	$	16,296.8		$	17,125.1
Yield on investment securities	1.66		%	2.55		%

20

As of June 30, 2020, 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	$	6,298.3	$	6,324.9
U.S. Treasury	3,445.2		3,445.2
Freddie Mac	3,103.2		3,160.7
Federal Farm Credit Banks	1,802.2		1,802.2
Ginnie Mae	879.2		880.4
Total	$	15,528.1	$	15,613.4

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.

ACL - Investments. The Bank invests in interest-bearing deposits and Federal funds sold which are unsecured investments. The Bank also invests in securities purchased under agreements to resell which are secured investments. At June 30, 2020 and December 31, 2019, all investments in interest-bearing deposits, Federal funds sold, and securities purchased under agreements to resell were repaid according to the contractual terms. No ACL was recorded for these assets at June 30, 2020.

AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. The allowance is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain, the ACL is zero. The ACL on AFS private label MBS was $1.6 million at June 30, 2020.

HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. There was no ACL at June 30, 2020.

For additional information on the allowance methodology, see Note 2 - Investments in this Form 10-Q.

Liabilities and Capital

Deposits. The Bank offers demand, overnight and term deposits for members and qualifying nonmembers. Total deposits at June 30, 2020 increased to $951.0 million from $573.4 million at December 31, 2019.

Consolidated Obligations. Consolidated obligations consist of bonds and discount notes. The Bank's consolidated obligations totaled $72.6 billion at June 30, 2020, a decrease of $17.3 billion from December 31, 2019. The overall decrease in consolidated obligations outstanding is consistent with the decreased advances, liquidity and total asset balances.

Discount notes outstanding at June 30, 2020 increased to $26.0 billion from $23.1 billion at December 31, 2019. The modest increase in discount notes during the period reflects the increase in advances maturing in less than one year, as shorter term debt was used to fund the demand for shorter term advances.

At June 30, 2020, the Bank’s bonds outstanding decreased to $46.6 billion compared to $66.8 billion at December 31, 2019. 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 13 to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data of the Bank's 2019 Form 10-K.

Commitments and Off-Balance Sheet Items. As of June 30, 2020, the Bank was obligated to fund approximately $19.4 million in additional advances and BOB loans, $106.1 million of mortgage loans, and to issue $445.7 million in consolidated obligations. In addition, the Bank had $16.4 billion in outstanding standby letters of credit as of June 30, 2020. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

21

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)	June 30, 2020			December 31, 2019
Commercial banks	136	$	2,025.1	140	$	2,729.6
Savings institutions	51	142.2		53	148.2
Insurance companies	29	134.8		31	109.3
Credit unions	61	68.9		60	67.5
Community Development Financial Institution (CDFI)	2	0.4		2	0.4
Total member institutions / total GAAP capital stock	279	$	2,371.4	286	$	3,055.0
Mandatorily redeemable capital stock		303.9			343.6
Total capital stock		$	2,675.3		$	3,398.6

The total number of members as of June 30, 2020 decreased by seven members compared to December 31, 2019. The Bank lost eight members in the first six months of 2020 and added one new member. Five members merged with other institutions within the Bank's district; one member relocated and merged its charter with an entity outside of the Bank's district; one member withdrew its membership; and one member failed.

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 June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020				December 31, 2019
Member	Capital Stock		% of Total		Capital Stock		% of Total
Ally Bank, Midvale, UT (1)	$	551.5	20.6	%	$	700.8	20.6	%
PNC Bank, N.A., Wilmington, DE (1)	385.0		14.4		746.6		22.0
JP Morgan Chase Bank, N.A., Columbus, OH (2)	280.0		10.5		(3)		(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.

⁽²⁾ In 2019, the Bank's member Chase Bank USA, N.A. merged into JP Morgan Chase Bank, N.A., a non-member of the Bank, with a principal place of business in Columbus, OH.

⁽³⁾ Balance was less than 10% at December 31, 2019.

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 $411 million as of June 30, 2020. The Bank's retained earnings were $1,333.5 million at June 30, 2020.

Retained earnings increased slightly to $1,333.5 million at June 30, 2020, compared to $1,326.0 million at December 31, 2019. The increase in retained earnings during the first half of 2020 reflected net income that was offset by dividends paid, along with the partial recovery of the prior capital distribution to the Financing Corporation (FICO) in the second quarter of 2020. FICO was established by the Competitive Equality Banking Act of 1987 to provide for the recapitalization of the Federal Savings and Loan Insurance Corporation. The Bank’s partial recovery of prior capital distributions in the second quarter of

22

2020 approximated $8.5 million based on its share of the $680 million originally contributed by all FHLBanks. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account. Total retained earnings at June 30, 2020 included unrestricted retained earnings of $899.0 million and restricted retained earnings (RRE) of $434.5 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 2019 Form 10-K.

Risk-Based Capital (RBC)

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

(in millions)	June 30, 2020		December 31, 2019
Permanent capital:
Capital stock (1)	$	2,675.3	$	3,398.6
Retained earnings	1,333.5		1,326.0
Total permanent capital	$	4,008.8	$	4,724.6
RBC requirement:
Credit risk capital	$	220.9	$	337.9
Market risk capital	210.7		131.8
Operations risk capital	129.4		140.9
Total RBC requirement	$	561.0	$	610.6
Excess permanent capital over RBC requirement	$	3,447.8	$	4,114.0

Note:

⁽¹⁾ Capital stock includes mandatorily redeemable capital stock.

The lower total RBC requirement as of June 30, 2020 is mainly related to the net change in the credit and market risk capital components. The changes were primarily driven by capital regulation changes and revisions by the Finance Agency to the market risk scenario methodology which became effective in the first quarter of 2020. The Bank continues to maintain significant excess permanent capital over the RBC requirement.

On June 24, 2020, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended March 31, 2020. 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 June 30, 2020.

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 2019 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 2019 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.

The Bank made no changes to its critical accounting policies during the six months ended June 30, 2020.

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.

23

Legislative and Regulatory Developments

Margin and Capital Requirements for Covered Swap Entities. On July 1, 2020, the Office of the Comptroller of the Currency (OCC), the Federal Reserve Board (Federal Reserve), the Federal Deposit Insurance Corporation (FDIC), the Farm Credit Administration, and the Federal Housing Finance Agency (Finance Agency) (collectively, Prudential Banking Regulators) jointly published a final rule, effective August 31, 2020, amending regulations that established minimum margin and capital requirements for uncleared swaps for covered swap entities under the jurisdiction of the Prudential Banking Regulators (Prudential Margin Rules). In addition to other changes, the final rule: (1) allows swaps entered into by a covered swap entity prior to an applicable compliance date to retain their legacy status and not become subject to the Prudential Margin Rules in the event that the legacy swaps are amended to replace an interbank offered rate (such as LIBOR) or other discontinued rate, or due to other technical amendments such as notional reductions or portfolio compression exercises; (2) introduces a new Phase 6 compliance date for initial margin requirements for covered swap entities and their counterparties with an average daily aggregate notional amount (AANA) of uncleared swaps from $8 billion to $50 billion, and limits Phase 5 to counterparties with an AANA of uncleared swaps from $50 billion to $750 billion; and (3) clarifies that initial margin trading documentation does not need to be executed prior to a counterparty reaching the initial margin threshold.

On the same date, the Prudential Banking Regulators issued an interim final rule, effective September 1, 2020, extending the initial margin compliance date for Phase 5 counterparties to September 1, 2021 and extending the initial margin compliance date for Phase 6 counterparties to September 1, 2022. On July 10, 2020, the Commodity Futures Trading Commission (CFTC) issued a final rule and a proposed rule which collectively, among other things, extend the initial margin compliance date for Phase 5 counterparties to September 1, 2021 and extend the initial margin compliance date for Phase 6 counterparties to September 1, 2022, thereby aligning with the Prudential Banking Regulators.

The Bank does not expect these final rules or the proposed rule, if adopted as proposed, to have a material effect on its financial condition or results of operations.

Finance Agency Final Rule on FHLBank Housing Goals Amendments.  On June 3, 2020, the Finance Agency issued a final rule, effective August 24, 2020, amending the FHLBank housing goals regulation.  Enforcement of the final rule will phase in over three years.  The final rule replaces the four existing retrospective housing goals with a single prospective mortgage purchase housing goal target in which 20% of Acquired Member Asset (AMA) mortgages purchased in a year must be comprised of loans to low-income or very low-income families, or to families in low-income areas. The final rule also establishes a separate small member participation housing goal with a target level in which 50% of the members selling AMA loans in a calendar year must be small members.  The final rule provides that an FHLBank may request Finance Agency approval of alternative target levels for either or both of the goals. The final rule also establishes that housing goals apply to each FHLBank that acquires any AMA mortgages during a year, eliminating the existing $2.5 billion volume threshold that previously triggered the application of housing goals for each FHLBank. 

While the Bank is still analyzing the impact of the final rule, it does not believe these changes will have a material effect on the Bank’s financial condition or results of operations.

Legislative and Regulatory Developments Related to COVID-19 Pandemic

Finance Agency Supervisory Letter - Paycheck Protection Program (PPP) Loans as Collateral for FHLBank Advances. On July 1, 2020, Congress approved an extension of the Paycheck Protection Program until August 8, 2020. The April 23, 2020 Supervisory Letter from the Finance Agency allowing FHLBanks to accept PPP loans as collateral remains in effect.

Federal Reserve Lending Facilities. The Federal Reserve announced on July 28, 2020 that its lending facilities scheduled to expire on or around September 30, 2020 would be extended through December 31, 2020.

Coronavirus Aid, Relief, and Economic Security Act. The CARES Act provisions began to expire in July 2020, but some have been extended by regulatory action.

– Additional federal unemployment funds expired July 31, 2020.

– Statutory eviction freeze for federally-backed properties expired July 25, 2020.

– Foreclosure moratorium on federally-backed properties and on evictions was extended by the Finance Agency on June 17, 2020 to until “at least” August 31, 2020.

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Additional phases of the CARES Act or other COVID-19 pandemic relief legislation may be enacted by Congress. The Bank continues to evaluate the potential impact of the CARES Act on its business, including its continued impact to the U.S. economy; impacts to mortgages held or serviced by the Bank’s members and that the Bank accepts as collateral; and the impacts on the Bank’s MPF Program.

Additional COVID-19 Presidential, Legislative and Regulatory Developments. In light of the COVID-19 pandemic, the President, through executive orders, governmental agencies, including the Securities and Exchange Commission, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the Finance Agency, as well as state governments and agencies, have taken, and may continue to take, actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, some of which may have a direct or indirect impact on the Bank or its members. Many of these actions are temporary in nature. The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on 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.

Risk Governance

The Bank’s lending, investment and funding activities and use of derivative instruments expose the Bank to a number of risks that include, market and interest rate risk, credit and counterparty risk, liquidity and funding risk, and operational and business risks. These include risks such as use and reliance on models and end-user computing tools, technology and information security risk, among others. In addition, the Bank’s risks are affected by current and projected financial and residential mortgage market trends, including those described in Item 1A. Risk Factors in the Bank's 2019 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 2019 Form 10-K.

COVID-19 Pandemic Related Risk Impacts. Severe market volatility also impacts the Bank’s ability to model and manage market and other risks, along with determining collateral values. While the Bank has been able to manage these risks, they could affect the Bank’s ability to make business decisions and limit members’ ability to do business with the Bank. Similarly, because of changing economic and market conditions affecting the Bank’s investments, the Bank may be required to recognize further impairments on securities held, which may result in additional provision for credit losses on private label MBS or reduced comprehensive income depending on the classification of the investment. Additionally, the Bank continues to monitor the Bank's members, counterparties and MPF portfolio, as further and material credit deterioration could occur.

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 153.8% at June 30, 2020 and 145.1% at December 31, 2019. The increase was primarily due to the decrease in capital stock as a result of lower advances which was partially offset by the widening of agency term debt and mortgage asset spreads resulting from the economic and financial disruption brought on by the COVID-19 pandemic.

Qualitative and Quantitative Disclosures Regarding Market Risk

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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. During the first six months of 2020, there were no significant changes to the Bank's market risk models. However, as the COVID-19 pandemic and associated economic impact continues to evolve, including actions taken by governmental authorities, the performance of the Bank's models used to measure market risk will likely be affected. Management will consider the potential impact of the pandemic on key market risk measures and may make changes as deemed appropriate in future periods.

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.

The following table presents the Bank's duration of equity exposure at June 30, 2020 and December 31, 2019. 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. For similar reasons, the Bank temporarily suspended the "Down 100 basis points" metric as of March 31, 2020.

(in years)	Down 100 basis points	Base Case	Up 100  basis points	Up 200  basis points
Actual Duration of Equity:
June 30, 2020	n/a	0.2	1.9	3.5
December 31, 2019	0.1	0.1	1.3	2.3

Duration of equity changes in the first six months of 2020 were mainly the result of the significant decline in interest rates, decrease in capital stock and funding actions. 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 the current 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 the projected Federal funds rate. Management converted the benchmark index from 3-month LIBOR to the Federal funds rate during the first quarter of 2020. The change in benchmark, which was driven by the planned discontinuation of LIBOR as a published rate, had no impact on the reported results given the nature of the shocks employed and the short-term nature of both rates.

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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 the projected Federal funds rate. 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 points 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
June 30, 2020	(20)	14	34	(25)	(5)
December 31, 2019	(22)	22	53	(9)	(18)

Changes in ROE spread volatility in the first six months of 2020 primarily reflect the impact of significantly lower interest rates and funding actions. 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 June 30, 2020 and December 31, 2019.

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.

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

TCE. The Bank manages the credit risk of each member on the basis of the member’s 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 June 30, 2020, aggregate TCE was $67.4 billion, comprised of approximately $49.1 billion in advance principal outstanding, $17.9 billion in letters of credit (including forward commitments), $17.0 million in advance commitments, and $371.4 million in 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 2019 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 June 30, 2020 and December 31, 2019, 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.

During the first six months of 2020, there were two failures of FDIC-insured institutions nationwide. One of these institutions was a member of the Bank. The institution was closed by the West Virginia Division of Financial Institutions on April 3, 2020 and the FDIC was appointed receiver. At the time of the closure, the institution had advances outstanding, and its credit obligations were fully assumed and secured through an FDIC Purchase and Assumption agreement with another member of the Bank. The Bank did not incur any credit losses as a result of the failure.

As noted above, the Bank monitors member credit quality on a regular basis. To date, deterioration in member credit quality has not been material. Given, however, the current economic environment (COVID-19 pandemic-related business limitations, unemployment levels and possible increases in loan forbearance and delinquencies) as well as lower interest rates, the Bank anticipates associated deterioration in member credit quality, particularly should such conditions persist for an extended period.

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.

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The following table presents the Bank’s top five financial entities with respect to their TCE at June 30, 2020.

	June 30, 2020
(dollars in millions)	TCE		% of Total
Ally Bank, UT (1)	$	12,636.8	18.8	%
TD Bank, National Association, DE	11,209.1		16.6
PNC Bank, National Association, DE (2)	8,510.8		12.6
JP Morgan Chase Bank, N.A., OH (3)	7,002.0		10.4
Santander Bank, National Association, DE (4)	5,742.7		8.5
	45,101.4		66.9
Other financial institutions	22,328.8		33.1
Total TCE outstanding	$	67,430.2	100.0	%

Notes:

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

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

⁽³⁾ In 2019, the Bank's member Chase Bank USA, N.A. merged into JP Morgan Chase Bank, N.A., a non-member of the Bank, with a principal place of business in Columbus, OH.

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

Member Advance Concentration Risk. The following table lists the Bank’s top five borrowers based on advance balances at par as of June 30, 2020.

	June 30, 2020
(dollars in millions)	Advance Balance		% of Total
Ally Bank, UT (1)	$	12,600.0	25.7	%
PNC Bank, National Association, DE (2)	8,500.0		17.3
JP Morgan Chase Bank, N.A., OH (3)	7,000.0		14.2
Santander Bank, National Association, DE (4)	5,400.0		11.0
First National Bank of Pennsylvania, PA	2,885.0		5.9
	36,385.0		74.1
Other borrowers	12,745.6		25.9
Total advances	$	49,130.6	100.0	%

Notes:

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

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

⁽³⁾ In 2019, the Bank's member Chase Bank USA, N.A. merged into JP Morgan Chase Bank, N.A., a non-member of the Bank, with a principal place of business in Columbus, OH.

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

The average year-to-date June 30, 2020 balances for the five largest borrowers totaled $44.2 billion, or 75.1% 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 never incurred any losses on these 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 $16.4 billion at June 30, 2020 and $17.4 billion at December 31, 2019, primarily related to public unit deposits. Available master standby letters of credit of $1.2 billion and $1.4 billion at June 30, 2020 and December 31, 2019, respectively, are not included in these totals. The Bank had a concentration of letters of credit with one member (TD Bank) of $10.3 billion or 63% of the total at June 30, 2020 and $9.8 billion or 56% of the total at December 31, 2019.

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 2019 Form 10-K for additional information related to the Bank’s Collateral Policy.

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Collateral Agreements and Valuation. The Bank provides members with two types of collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement. Under a blanket lien agreement, the Bank obtains a lien against all of the member’s unencumbered eligible collateral assets and most ineligible assets to secure the member’s obligations with the Bank. Under a specific collateral pledge agreement, the Bank obtains a lien against specific eligible collateral assets of the member or its affiliate (if applicable) to secure the member’s obligations with the Bank. The member provides a detailed listing, as an addendum to the specific collateral agreement, identifying those assets pledged as collateral or delivered to the Bank or its third party custodian. 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 2019 Form 10-K.

During the first half of 2020, the Bank communicated several key Collateral Policy changes and clarifications in response to the impact of the COVID-19 pandemic. These updates were intended to relax certain requirements related to expanded collateral and provide greater flexibility in the current economic environment.  The Bank now recognizes the following as eligible collateral:

• Loans that are past due up to 89 days and that are not on nonaccrual.

• Performing TDRs. This includes loans considered to be TDRs that are performing to agreed-upon terms after a prudent forbearance period.

• Loans with a forbearance period up to 12 months for all eligible loan types.

• PPP loans guaranteed by the SBA in accordance with the Finance Agency supervisory standards.

Consistent with previous policy stipulations, 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 daily ratings reviews. Reported amount also includes pledged cash deposits with the Bank.

For member borrowers, the following tables present information on a combined basis regarding the type of collateral securing their outstanding credit exposure and the collateral status as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	94,711.0	45.3	%	$	311.3	9.5	%	$	8,954.0	84.6	%	$	103,976.3	46.6	%
High quality investment securities	2,100.9		1.0		2,764.8		84.7		1,542.0		14.6		6,407.7		2.9
ORERC/CFI eligible collateral	92,554.1		44.2		168.6		5.2		86.5		0.8		92,809.2		41.6
Multi-family residential mortgage   loans	19,798.5		9.5		18.8		0.6		1.5		—		19,818.8		8.9
Total eligible collateral value	$	209,164.5	100.0	%	$	3,263.5	100.0	%	$	10,584.0	100.0	%	$	223,012.0	100.0	%
Total TCE	$	57,328.1	85.0	%	$	2,237.6	3.3	%	$	7,864.5	11.7	%	$	67,430.2	100.0	%
Number of members	170		84.5	%	16		8.0	%	15		7.5	%	201		100.0	%

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	December 31, 2019
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	90,403.5	43.8	%	$	5,658.5	81.2	%	$	9,267.4	87.8	%	$	105,329.4	47.1	%
High quality investment securities	4,452.4		2.2		1,306.4		18.8		1,265.6		12.0		7,024.4		3.1
ORERC/CFI eligible collateral	91,434.3		44.3		—		—		20.2		0.2		91,454.5		40.9
Multi-family residential mortgage   loans	19,956.5		9.7		—		—		0.1		—		19,956.6		8.9
Total eligible collateral value	$	206,246.7	100.0	%	$	6,964.9	100.0	%	$	10,553.3	100.0	%	$	223,764.9	100.0	%
Total TCE	$	74,267.6	87.7	%	$	1,494.0	1.8	%	$	8,922.5	10.5	%	$	84,684.1	100.0	%
Number of members	179		88.2	%	10		4.9	%	14		6.9	%	203		100.0	%

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

Beginning January 1, 2020, the Bank adopted new accounting guidance (ASU 2016-13 Financial Instruments - Credit Losses, as amended) pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses. For additional information, refer to Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q.

Investment Quality and External Credit Ratings. The following tables present the Bank’s investment carrying values as of June 30, 2020 and December 31, 2019, based on the lowest credit rating from the NRSROs (Moody’s, S&P and Fitch).

	June 30, 2020(1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	1,589.2	$	—	$	—	$	—	$	1,589.2
Securities purchased under agreements to resell	—		—		250.0		600.0		—		750.0		1,600.0
Federal funds sold	—		600.0		2,240.0		—		—		—		2,840.0
Total money market investments	—		600.0		4,079.2		600.0		—		750.0		6,029.2
Investment securities:
U.S. Treasury obligations	—		3,445.2		—		—		—		—		3,445.2
GSE and TVA obligations	—		1,915.1		—		—		—		—		1,915.1
State or local agency obligations	25.9		222.4		—		—		—		—		248.3
Total non-MBS	25.9		5,582.7		—		—		—		—		5,608.6
U.S. obligations single-family MBS	—		923.4		—		—		—		—		923.4
GSE single-family MBS	—		5,221.5		—		—		—		—		5,221.5
GSE multifamily MBS	—		4,154.2		—		—		—		—		4,154.2
Private label MBS	—		17.2		24.4		31.7		129.0		186.8		389.1
Total MBS	—		10,316.3		24.4		31.7		129.0		186.8		10,688.2
Total investments	$	25.9	$	16,499.0	$	4,103.6	$	631.7	$	129.0	$	936.8	$	22,326.0

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	December 31, 2019 (1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	1,471.7	$	—	$	—	$	—	$	1,471.7
Securities purchased under agreements to resell	600.0		—		1,000.0		600.0		—		—		2,200.0
Federal funds sold	—		800.0		2,820.0		150.0		—		—		3,770.0
Total money market investments	600.0		800.0		5,291.7		750.0		—		—		7,441.7
Investment securities:
U.S. Treasury obligations	—		3,390.7		—		—		—		—		3,390.7
GSE and TVA obligations	—		1,791.6		—		—		—		—		1,791.6
State or local agency obligations	25.6		316.6		—		—		—		—		342.2
Total non-MBS	25.6		5,498.9		—		—		—		—		5,524.5
U.S. obligations single-family MBS	—		1,057.8		—		—		—		—		1,057.8
GSE single-family MBS	—		5,212.4		—		—		—		—		5,212.4
GSE multifamily MBS	—		4,880.4		—		—		—		—		4,880.4
Private label MBS	—		20.1		27.8		36.3		152.1		213.7		450.0
Total MBS	—		11,170.7		27.8		36.3		152.1		213.7		11,600.6
Total investments	$	625.6	$	17,469.6	$	5,319.5	$	786.3	$	152.1	$	213.7	$	24,566.8

Notes:

⁽¹⁾ Balances exclude total accrued interest of $34.7 million and $46.7 million for June 30, 2020 and December 31, 2019, 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 NRSRO analysis. 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. The Bank also invests in securities purchased under agreements to resell which are secured investments.

As of June 30, 2020, the Bank had unsecured exposure to 12 counterparties totaling $4.4 billion, with six counterparties exceeding 10% of the total exposure. The following table presents the Bank's unsecured credit exposure with non-governmental counterparties by investment type at June 30, 2020 and December 31, 2019. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions)
Carrying Value (1)	June 30, 2020		December 31, 2019
Interest-bearing deposits	$	1,589.2	$	1,471.7
Federal funds sold	2,840.0		3,770.0
Total	$	4,429.2	$	5,241.7

Note:

32

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

As of June 30, 2020, 64.1% 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 June 30, 2020, 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.

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)
June 30, 2020 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3) (4)
	AA		A		Total
Domestic	$	—	$	1,589.2	$	1,589.2
U.S. branches and agency offices of foreign commercial banks:
Australia	—		1,000.0		1,000.0
Canada	—		600.0		600.0
Netherlands	—		640.0		640.0
Norway	500.0		—		500.0
Sweden	100.0		—		100.0
Total U.S. branches and agency offices of foreign commercial banks	600.0		2,240.0		2,840.0
Total unsecured investment credit exposure	$	600.0	$	3,829.2	$	4,429.2

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(in millions)
December 31, 2019 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3) (4)
	AA		A		BBB		Total
Domestic	$	—	$	1,471.7	$	150.0	$	1,621.7
U.S. branches and agency offices of foreign commercial banks:
Australia	500.0		—		—		500.0
Canada	—		1,270.0		—		1,270.0
Finland	300.0		—		—		300.0
Netherlands	—		750.0		—		750.0
Norway	—		100.0		—		100.0
Switzerland	—		700.0		—		700.0
Total U.S. branches and agency offices of foreign commercial banks	800.0		2,820.0		—		3,620.0
Total unsecured investment credit exposure	$	800.0	$	4,291.7	$	150.0	$	5,241.7

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 June 30, 2020 or December 31, 2019.

At June 30, 2020 and December 31, 2019, all of the unsecured investments held by the Bank had overnight maturities.

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 $3.4 billion, both at June 30, 2020 and December 31, 2019.

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 $12.2 billion at June 30, 2020 and $12.9 billion at December 31, 2019.

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 $248.3 million and $342.2 million at June 30, 2020 and December 31, 2019, respectively.

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. In 2007, the Bank discontinued the purchase of private label MBS. The carrying value of the Bank’s private label MBS portfolio at June 30, 2020 was $389.1 million, which was a decrease of $60.9 million from December 31, 2019. This decline was primarily due to repayments.

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.

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Credit Losses. The Bank evaluates its private label MBS for expected credit losses quarterly, based on whether there is an expectation of a shortfall in receiving all cash flows contractually due. Beginning January 1, 2020, with the adoption of ASU 2016-13, for private label MBS for which the Bank expects a shortfall, an ACL is recorded, limited to the amount of a security's unrealized loss, if any. If the security is in an unrealized gain position, the ACL is zero. Prior to January 1, 2020, credit losses were recorded through OTTI as a direct write-down of the security's amortized cost.

The Bank recorded a provision for credit losses of $1.6 million on its private label MBS for the six months ended June 30, 2020, which included a benefit for credit losses of approximately $1.2 million recorded in the second quarter. The benefit recorded in the second quarter was primarily driven by an increase in market values. The Bank recorded an insignificant amount of credit-related OTTI charges in earnings during the three and six months ended June 30, 2019. 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 securities with recorded credit losses before anticipated recovery of their amortized cost basis, the Bank did not write down any of its private label MBS securities amortized cost basis for the difference between amortized cost and fair value. The Bank has not recorded credit losses 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. To assess for expected credit losses, the Bank evaluates the projected cash flows to determine whether there is an expected shortfall in receiving all cash flows contractually due. The Bank uses a third-party model which incorporates various assumptions, such as expected housing price changes and interest rates among others, to produce cash flows that represent the Bank's best estimate of cash flows expected to be collected during the life of the securities.

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 47% relates to Prime and 45% relates to Alt-A, with the remainder in subprime and HELOC. The Bank has recognized life-to-date credit losses as follows:

(dollars in millions)	June 30, 2020			December 31, 2019
Number of private label MBS with credit losses recognized:
Life-to-date	60			60
Still outstanding	35			35
Credit losses
OTTI credit losses recorded life-to-date	$	458.6		$	458.6
Credit losses recorded through an ACL	1.6			—
Total credit losses recorded life-to-date	$	460.2		$	458.6
Principal write-downs on private label MBS	(160.7		)	(157.9		)
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		)	(18.7		)
Remaining amount of credit losses(1)	$	164.3		$	165.5

Note:

⁽¹⁾ Excludes recoveries of credit losses through interest income as a result of significant increases in projected cash flows.

Previously under the OTTI accounting model, when a significant increase in cash flows was expected, the Bank recognized recovery of OTTI through interest income by adjusting a security's accretable yield. Following the adoption of ASU 2016-13, the Bank will continue to use the accretable yield to recover OTTI previously recorded through interest income. When the Bank projects an increase in cash flows during its quarterly assessment of expected credit losses, the Bank will first reverse the ACL by recognizing a benefit for credit losses up to the amount of the ACL, if any. If the Bank projects a significant increase in cash flows, the Bank adjusts the accretable yield prospectively. Credit losses recovered through interest income on these securities were $4.1 million and $4.9 million for the second quarter of 2020 and 2019, respectively; $8.1 million and $9.5 million for the first six months of 2020 and 2019, respectively; and $187.1 million life-to-date.

Management will continue to evaluate all impaired securities, including those for which OTTI has been previously 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. Declines in the fair values of securities with expected credit losses may result in the Bank recording an ACL. Those securities for which the Bank is recognizing recovery of credit losses through interest income may be more likely to incur additional credit losses due to the nature of the historic OTTI accounting model.

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

Mortgage Loans. The Finance Agency has authorized the Bank to hold mortgage loans under the MPF Program whereby the Bank acquires mortgage loans from participating members in a shared credit risk structure. These assets carry CEs on any conventional 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 with respect to its MPF portfolio. The Bank had net mortgage loans held for portfolio of $5.2 billion and $5.1 billion at June 30, 2020 and December 31, 2019, respectively, after an allowance for credit losses of $5.9 million and $7.8 million at June 30, 2020 and December 31, 2019, 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 June 30, 2020, 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 June 30, 2020, all of the SMI exposure is fully collateralized.

The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of June 30, 2020 was $10.1 million and $3.3 million, respectively. The corresponding amounts at December 31, 2019 were $5.3 million and $2.0 million.

BOB Loans. See Note 1 - Summary of Significant Accounting Policies in Item 8 in the Bank's 2019 Form 10-K for a description of the BOB program. At June 30, 2020 and December 31, 2019, the allowance for credit losses on BOB loans was $3.8 million and $3.1 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 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 June 30, 2020.

36

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 June 30, 2020.

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 June 30, 2020 and December 31, 2019.

(in millions)	June 30, 2020
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
A	$	465.0	$	0.4		$	(0.3	)	$	0.1
Cleared derivatives (2)	26,617.8		2.5			205.5			208.0
Liability positions with credit exposure:
Uncleared derivatives
A	27.5		(0.3		)	0.5			0.2
BBB	235.0		(1.2		)	1.2			—
Total derivative positions with credit exposure to non-member counterparties	27,345.3		1.4			206.9			208.3
Member institutions (3)	106.1		0.6			—			0.6
Total	$	27,451.4	$	2.0		$	206.9		$	208.9
Derivative positions without credit exposure	794.8
Total notional	$	28,246.2

37

(in millions)	December 31, 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
A	$	1,475.6	$	3.9		$	(3.7	)	$	0.2
Cleared derivatives (2)	41,954.8		5.8			133.3			139.1
Liability positions with credit exposure:
Uncleared derivatives
A	242.6		(2.0		)	2.6			0.6
BBB	663.7		(1.8		)	2.2			0.4
Total derivative positions with credit exposure to non-member counterparties	44,336.7		5.9			134.4			140.3
Member institutions (3)	73.6		—			—			—
Total	$	44,410.3	$	5.9		$	134.4		$	140.3
Derivative positions without credit exposure	1,979.3
Total notional	$	46,389.6

Notes:

⁽¹⁾ This table does not reflect any changes in rating, outlook or watch status occurring after June 30, 2020. The ratings presented in this table represent the lowest long-term counterparty credit rating available for each counterparty based on the NRSROs used by the Bank.

⁽²⁾ Represents derivative transactions cleared through Clearing Houses.

⁽³⁾ Member institutions include mortgage delivery commitments.

The following tables summarize the Bank’s uncleared derivative counterparties which represent more than 10% of the Bank’s total uncleared notional amount outstanding as of June 30, 2020 and December 31, 2019. The Bank’s total net credit exposure to uncleared derivative counterparties was $0.9 million and $1.2 million as of June 30, 2020 and December 31, 2019, respectively.

Notional Greater Than 10%	June 30, 2020				December 31, 2019
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Citi Bank NA	A	$	365.0	22.4	(1)	(1)		(1)
Bank of America, NA	A	355.0		21.8	A	$	1,475.6	33.3
Morgan Stanley Capital	BBB	235.0		14.4	BBB	663.7		15.0
Deutsche Bank	BBB	210.8		13.0	(1)	(1)		(1)
All others	n/a	462.6		28.4	n/a	2,295.5		51.7
Total		$	1,628.4	100.0		$	4,434.8	100.0

Notes:

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

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.

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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 Bank’s liquidity resources are designed to support these strategies and requirements through a focus on maintaining a liquidity and funding balance between its financial assets and financial liabilities.

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. 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 June 30, 2020. These ratings measure the likelihood of timely payment of principal and interest. Note 6 - Consolidated Obligations to the unaudited financial statements in this Form 10-Q provides additional information regarding the Bank’s consolidated obligations.

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 June 30, 2020 and December 31, 2019, excess contingency liquidity was approximately $20.8 billion and $31.3 billion, respectively.

Funding and Debt Issuance. Changes or disruptions in the capital markets could limit the Bank’s ability to issue consolidated obligations, which could impact the Bank's liquidity and cost of funds. During the first half of 2020, the markets experienced volatility given the impacts related to the COVID-19 pandemic. However, the Bank maintained continual access to funding and coordinated with the Office of Finance (OF) and the other FHLBanks to ensure all funding needs were met.

Access to short-term debt markets has been reliable because investors, driven by increased liquidity preferences and risk aversion have sought the FHLBank’s short-term debt as an asset of choice, particularly funding indexed to SOFR. This has led to advantageous funding opportunities and increased utilization of debt maturing in one year or less. The FHLBanks have maintained 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

39

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 variable rate-indexed 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. Effective March 2020, 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 June 30, 2020. Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2019 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 2019 Form 10-K for additional information.

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.

While the Bank’s business operations have not been significantly disrupted to date, they may be disrupted if significant portions of the Bank’s workforce are unable to work effectively due to illness, quarantines, government actions, or other restrictions in connection with the COVID-19 pandemic. The Bank is reliant on third-party vendors who are also impacted by the COVID-19 pandemic. Vendor personnel may be working remotely and/or the vendors could have a shortage of personnel. While the Bank has not materially experienced this during the pandemic to date and the Bank continues to monitor vendors, a disruption, delay or failure of a critical third-party vendor’s services as a result of these factors could impact the Bank’s operating results, and the Bank’s ability to provide services to the membership.

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.

40

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., SOFR).  The Bank has developed a LIBOR transition plan which addresses considerations such as: exposure, fallback language, systems preparation, and balance sheet management. In addition, beginning in 2020, the Bank has changed the index upon which it bases risk measures and executive compensation from LIBOR to average Federal funds rate.

The Bank has assessed its exposure to LIBOR by developing an inventory of impacted financial instruments. The Bank assumes LIBOR will continue to exist as the market benchmark rate until the end of 2021. The Bank manages interest rate risk between its assets and liabilities by entering into derivatives to preserve the value of and earn stable returns on its assets. These instruments may have different fallback features when LIBOR ceases. The following table presents the Bank’s LIBOR-indexed financial instruments, excluding interest rate caps, by year of contractual maturity as of June 30, 2020.

(in millions)	2020		2021		Thereafter		Total
Assets Indexed to LIBOR
Principal Amount:
Advances	$	9,732.0	$	7,775.0	$	153.1	$	17,660.1
Investments:
MBS	46.0		3.3		7,092.9		7,142.2
Derivatives Hedging Assets (Receive Leg LIBOR)
Notional Amount:
Cleared	1,735.3		6,360.4		5,812.3		13,908.0
Uncleared	1.0		—		61.3		62.3
Total Principal/Notional Amounts	$	11,514.3	$	14,138.7	$	13,119.6	$	38,772.6
Liabilities Indexed to LIBOR
Principal Amount:
Consolidated Obligations	$	7,755.0	$	2,830.0	$	25.0	$	10,610.0
Derivatives Hedging Liabilities (Pay Leg LIBOR)
Notional Amount:
Cleared	4,654.4		1,247.0		610.5		6,511.9
Uncleared	25.0		15.0		140.0		180.0
Total Principal/Notional Amounts	$	12,434.4	$	4,092.0	$	775.5	$	17,301.9

To assess trigger events requiring potential fallback language, the Bank has evaluated its contracts. As to advance contracts 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. The operational impact of adjusting terms and conditions to reflect the fallback language may be impacted by the number of financial instruments and counterparties.

41

The Bank continues to execute certain variable rate instruments that are indexed 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 SOFR-indexed advance products. Additionally, the Bank has been executing Overnight Index Swap (OIS) and SOFR indexed derivatives as alternative interest rate hedging strategies. The following table presents the Bank’s variable rate financial instruments, excluding interest rate caps, by index as of June 30, 2020.

(in millions)	LIBOR		SOFR		OIS		Other		Total
Assets Indexed to a Variable Rate
Principal Amount:
Advances	$	17,660.1	$	2,000.0	$	—	$	282.7	$	19,942.8
Investments:
MBS	7,142.2		—		—		104.5		7,246.7
Derivatives Hedging Assets (Receive Leg Variable Rate)
Notional Amount	13,970.3		4,128.5		1,399.2		—		19,498.0
Total Principal/Notional Amounts	$	38,772.6	$	6,128.5	$	1,399.2	$	387.2	$	46,687.5
Liabilities Indexed to a Variable Rate
Principal Amount:
Consolidated obligations	$	10,610.0	$	16,784.0	$	—	$	—	$	27,394.0
Derivatives Hedging Liabilities (Pay Leg Variable Rate)
Notional Amount	6,691.9		500.0		170.1		—		7,362.0
Total Principal/Notional Amounts	$	17,301.9	$	17,284.0	$	170.1	$	—	$	34,756.0

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. In addition, the Bank has ceased entering into derivatives with swaps, caps, or floors indexed to LIBOR that terminate after December 31, 2021. On March 16, 2020, in light of market volatility, the Finance Agency extended to June 30, 2020 the FHLBank's ability to enter into certain instruments referencing LIBOR that mature after December 31, 2021, except for investments and option embedded products.

For additional information on operating and business risks to the Bank associated with the LIBOR transition, including those items that are dependent 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 and Legislative and Regulatory Developments of Item 7. in the Bank's 2019 Form 10-K.

42

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statements of Income (unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
(in thousands)	2020			2019			2020			2019
Interest income:
Advances	$	170,477		$	491,375		$	453,752		$	1,029,712
Interest-bearing deposits	360			10,106			5,367			22,090
Securities purchased under agreements to resell	240			9,046			7,629			15,703
Federal funds sold	1,239			43,810			26,454			77,597
Trading securities	14,598			13,789			32,731			23,008
Available-for-sale (AFS) securities	43,192			66,186			106,569			129,314
Held-to-maturity (HTM) securities	13,632			20,267			32,116			44,626
Mortgage loans held for portfolio	40,591			42,456			85,629			84,470
Total interest income	284,329			697,035			750,247			1,426,520
Interest expense:
Consolidated obligations - discount notes	57,364			142,978			158,434			329,934
Consolidated obligations - bonds	120,268			436,778			381,427			846,073
Deposits	16			3,337			1,801			6,007
Mandatorily redeemable capital stock and other borrowings	3,910			3,320			10,055			3,920
Total interest expense	181,558			586,413			551,717			1,185,934
Net interest income	102,771			110,622			198,530			240,586
Provision for credit losses	944			1,023			4,392			1,449
Net interest income after provision for credit losses	101,827			109,599			194,138			239,137
Other noninterest income (loss):
Net OTTI losses	—			(37		)	—			(59		)
Net gains (losses) on investment securities (Note 2)	(3,263		)	7,793			59,191			17,914
Net gains (losses) on derivatives and hedging activities (Note 5)	(3,864		)	(24,833		)	(101,274		)	(37,804		)
Standby letters of credit fees	5,229			5,234			10,612			11,036
Other, net	2,043			397			283			1,553
Total other noninterest income (loss)	145			(11,446		)	(31,188		)	(7,360		)
Other expense:
Compensation and benefits	16,518			11,250			26,346			25,780
Other operating	14,881			8,502			21,998			15,494
Finance Agency	1,894			1,589			3,794			3,186
Office of Finance	1,223			1,231			2,752			2,769
Total other expense	34,516			22,572			54,890			47,229
Income before assessments	67,456			75,581			108,060			184,548
Affordable Housing Program (AHP) assessment	7,136			7,890			11,811			18,846
Net income	$	60,320		$	67,691		$	96,249		$	165,702

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

43

Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income (unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
(in thousands)	2020			2019			2020			2019
Net income	$	60,320		$	67,691		$	96,249		$	165,702
Other comprehensive income (loss):
Net unrealized gains on AFS securities	88,564			9,306			21,190			45,218
Net non-credit portion of OTTI gains (losses) on AFS securities	—			(4,045		)	—			(4,444		)
Reclassification of net (gains) included in net income relating to hedging activities	(148		)	(7		)	(149		)	(15		)
Pension and post-retirement benefits	868			154			1,037			211
Total other comprehensive income	89,284			5,408			22,078			40,970
Total comprehensive income	$	149,604		$	73,099		$	118,327		$	206,672

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

44

Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)

(in thousands)	June 30, 2020		December 31, 2019
ASSETS
Cash and due from banks	$	377,412	$	21,490
Interest-bearing deposits (Note 2)	1,595,775		1,476,890
Federal funds sold (Note 2)	2,840,000		3,770,000
Securities purchased under agreements to resell (Note 2)	1,600,000		2,200,000
Investment securities: (Note 2)
Trading securities	3,703,692		3,631,650
AFS securities, net; amortized cost of $10,511,154 and $11,000,910, respectively	10,627,629		11,097,769
HTM securities; fair value of $2,048,046 and $2,440,288, respectively	1,965,460		2,395,691
Total investment securities	16,296,781		17,125,110
Advances (Note 3)	49,614,391		65,610,075
Mortgage loans held for portfolio, net (Note 4)	5,241,536		5,114,625
Banking on Business (BOB) loans, net	20,197		19,706
Accrued interest receivable	131,858		193,352
Derivative assets (Note 5)	208,920		140,251
Other assets	48,199		52,630
Total assets	$	77,975,069	$	95,724,129

LIABILITIES AND CAPITAL
Liabilities
Deposits	$	951,034	$	573,382
Consolidated obligations: (Note 6)
Discount notes	26,051,806		23,141,362
Bonds	46,582,826		66,807,807
Total consolidated obligations	72,634,632		89,949,169
Mandatorily redeemable capital stock (Note 7)	303,882		343,575
Accrued interest payable	97,916		205,118
AHP payable	109,580		112,289
Derivative liabilities (Note 5)	1,704		3,024
Other liabilities	57,479		64,736
Total liabilities	74,156,227		91,251,293
Commitments and contingencies (Note 10)
Capital (Note 7)
Capital stock - putable ($100 par value) issued and outstanding       23,714 and 30,550 shares, respectively	2,371,420		3,054,996
Retained earnings:
Unrestricted	898,980		910,726
Restricted	434,538		415,288
Total retained earnings	1,333,518		1,326,014
Accumulated Other Comprehensive Income (AOCI)	113,904		91,826
Total capital	3,818,842		4,472,836
Total liabilities and capital	$	77,975,069	$	95,724,129

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

45

Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows (unaudited)

	Six months ended June 30,
(in thousands)	2020			2019
OPERATING ACTIVITIES
Net income	$	96,249		$	165,702
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	(10,446		)	(16,025		)
Net change in derivative and hedging activities	(392,592		)	(299,500		)
Other adjustments	5,401			2,513
Net change in:
Trading securities	(72,042		)	(1,252,166		)
Accrued interest receivable	61,661			(6,897		)
Other assets	(522		)	(4,826		)
Accrued interest payable	(107,213		)	12,061
Other liabilities	(10,265		)	4,094
Net cash provided by (used in) operating activities	$	(429,769	)	$	(1,395,044	)
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $(1,436) and ($36) (to) other FHLBanks for mortgage loan program)	$	(188,644	)	$	663,911
Securities purchased under agreements to resell	600,000			(1,250,000		)
Federal funds sold	930,000			(2,930,000		)
AFS securities:
Proceeds	1,230,536			1,278,410
Purchases	(626,110		)	(2,160,646		)
HTM securities:
Proceeds	920,165			1,175,142
Purchases	(490,908		)	(671,282		)
Advances:
Repaid	296,437,670			518,580,114
Originated	(280,129,780		)	(517,619,799		)
Mortgage loans held for portfolio:
Proceeds	593,719			212,135
Purchases	(730,655		)	(425,022		)
Other investing activities, net	(285		)	1,880
Net cash provided by (used in) investing activities	$	18,545,708		$	(3,145,157	)
The accompanying notes are an integral part of these financial statements.

46

Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited)
(continued)
	Six months ended June 30,
(in thousands)	2020			2019
FINANCING ACTIVITIES
Net change in deposits	$	372,368		$	174,115
Net proceeds from issuance of consolidated obligations:
Discount notes	157,018,954			264,321,282
Bonds	21,254,195			36,859,132
Payments for maturing and retiring consolidated obligations:
Discount notes	(154,099,672		)	(266,206,641		)
Bonds	(41,493,735		)	(30,408,880		)
Proceeds from issuance of capital stock	2,481,356			3,285,357
Payments for repurchase/redemption of capital stock	(3,125,475		)	(3,308,294		)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(79,150		)	(41,399		)
Cash dividends paid	(97,399		)	(139,580		)
Partial recovery of prior capital distribution to Financing Corporation	8,541			—
Net cash provided by (used in) financing activities	$	(17,760,017	)	$	4,535,092
Net increase (decrease) in cash and due from banks	$	355,922		$	(5,109	)
Cash and due from banks at beginning of the period	21,490			71,320
Cash and due from banks at end of the period	$	377,412		$	66,211
Supplemental disclosures:
Interest paid	$	651,066		$	1,191,171
AHP payments	14,520			11,285
Capital stock reclassified to mandatorily redeemable capital stock	39,457			361,117

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

47

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
March 31, 2019	37,456		$	3,745,615		$	932,815		$	371,505	$	1,304,320		$	108,708	$	5,158,643
Comprehensive income	—		—			54,152			13,539		67,691			5,408		73,099
Issuance of capital stock	18,306		1,830,547			—			—		—			—		1,830,547
Repurchase/redemption of capital stock	(15,967	)	(1,596,668		)	—			—		—			—		(1,596,668		)
Shares reclassified to mandatorily    redeemable capital stock	(3,363	)	(336,304		)	—			—		—			—		(336,304		)
Cash dividends	—		—			(73,412		)	—		(73,412		)	—		(73,412		)
June 30, 2019	36,432		$	3,643,190		$	913,555		$	385,044	$	1,298,599		$	114,116	$	5,055,905
March 31, 2020	36,299		$	3,629,937		$	883,432		$	422,474	$	1,305,906		$	24,620	$	4,960,463
Comprehensive income	—		—			48,256			12,064		60,320			89,284		149,604
Issuance of capital stock	2,976		297,636			—			—		—			—		297,636
Repurchase/redemption of capital stock	(15,167	)	(1,516,716		)	—			—		—			—		(1,516,716		)
Shares reclassified to mandatorily     redeemable capital stock	(394	)	(39,437		)	—			—		—			—		(39,437		)
Partial recovery of prior capital distribution to Financing Corporation	—		—			8,541			—		8,541			—		8,541
Cash dividends	—		—			(41,249		)	—		(41,249		)	—		(41,249		)
June 30, 2020	23,714		$	2,371,420		$	898,980		$	434,538	$	1,333,518		$	113,904	$	3,818,842
	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI		Total Capital
December 31, 2018	40,272		$	4,027,244		$	924,001		$	351,903	$	1,275,904		$	73,146	$	5,376,294
Comprehensive income	—		—			132,561			33,141		165,702			40,970		206,672
Issuance of capital stock	32,854		3,285,357			—			—		—			—		3,285,357
Repurchase/redemption of capital stock	(33,083	)	(3,308,294		)	—			—		—			—		(3,308,294		)
Shares reclassified to mandatorily    redeemable capital stock	(3,611	)	(361,117		)	—			—		—			—		(361,117		)
Cash dividends	—		—			(143,007		)	—		(143,007		)	—		(143,007		)
June 30, 2019	36,432		$	3,643,190		$	913,555		$	385,044	$	1,298,599		$	114,116	$	5,055,905
December 31, 2019	30,550		$	3,054,996		$	910,726		$	415,288	$	1,326,014		$	91,826	$	4,472,836
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13	—		—			113			—		113			—		113
Comprehensive income	—		—			76,999			19,250		96,249			22,078		118,327
Issuance of capital stock	24,814		2,481,356			—			—		—			—		2,481,356
Repurchase/redemption of capital stock	(31,255	)	(3,125,475		)	—			—		—			—		(3,125,475		)
Shares reclassified to mandatorily     redeemable capital stock	(395	)	(39,457		)	—			—		—			—		(39,457		)
Partial recovery of prior capital distribution to Financing Corporation	—		—			8,541			—		8,541			—		8,541
Cash dividends	—		—			(97,399		)	—		(97,399		)	—		(97,399		)
June 30, 2020	23,714		$	2,371,420		$	898,980		$	434,538	$	1,333,518		$	113,904	$	3,818,842

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

48

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 capital 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 8 - 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 6 - 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 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, 2019 included in the Bank's 2019 Form 10-K.

49

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 six months ended June 30, 2020.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2020-04: Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting	This ASU provides temporary optional guidance to ease the potential burden in accounting for reference rate reform with optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met.	The Bank adopted the amendments in this ASU on March 12, 2020 and will apply it prospectively through December 31, 2022.	The adoption of this ASU did not impact the Bank’s financial condition or results of operation. The Bank is currently evaluating the optional expedients and exceptions and has not yet made any elections.
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.	The Bank adopted this ASU on January 1, 2020 on a prospective basis.	The adoption of this ASU did not have a significant impact on the Bank’s financial condition or results of operations.
ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement	This ASU adds, removes, and modifies certain fair value disclosure requirements.	The Bank adopted this ASU on January 1, 2020.	The adoption of this ASU did not have a significant impact on the Bank's disclosures.
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.	The Bank adopted this ASU on January 1, 2020 on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance was applied prospectively.	The adoption of this ASU did not have a significant impact on the Bank's financial statements. The Bank recognized zero credit losses on advances and GSE/U.S. investments. The impact on the Bank’s financial statements for all other financial instruments including securities purchased under agreements to resell, interest bearing deposits, federal funds sold, state or local agency obligations, private label MBS, BOB loans, and MPF loans was immaterial. See below for key changes to significant accounting policies.

50

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 2018-14: 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 2016-13: Financial Instruments - Credit Losses, as amended

Beginning January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses (ACL). Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. For information on the prior accounting treatment, see Note 1 - Summary of Significant Accounting Policies of the audited financial statements in the Bank’s 2019 Form 10-K.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition.

These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost.

See Note 2 - Investments for details on the allowance methodologies relating to these investments.

Investment Securities.

AFS. AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall occurs, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write–down of the AFS security's amortized cost.

If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities.

For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively.

Effective January 1, 2020, the net non-credit portion of OTTI gains (losses) on AFS securities was reclassified to net unrealized gains (losses) on AFS securities within OCI.

51

Notes to Unaudited Financial Statements (continued)

HTM. Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, which is cost net of periodic principal repayments and amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition.

HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately.

See Note 2 - Investments for details on the allowance methodologies relating to AFS and HTM securities.

Advances. Advances are carried at amortized cost, which is l cost net of periodic principal repayments, net of amortization of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Combined Statement of Condition. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 3 - Advances for details on the allowance methodology relating to advances.

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and direct write-downs. Accrued interest receivable is recorded separately on the Statement of Condition. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses

The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis.

When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status.

The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 4 - Mortgage Loans for details on the allowance methodologies relating to mortgage loans.

Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses.

Troubled Debt Restructuring Relief

On March 27, 2020, the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) providing optional, temporary relief from accounting for certain loan modifications as troubled debt restructurings (TDRs) was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of COVID-19 (COVID-related modifications) granted to borrowers that are current as of December 31, 2019. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States. In second quarter 2020, the Bank elected to apply the TDR relief provided by the CARES Act.

52

Notes to Unaudited Financial Statements (continued)

Note 2 – Investments

The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO.

Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At June 30, 2020 and December 31, 2019, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at June 30, 2020 and December 31, 2019. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At June 30, 2020, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day. At June 30, 2020 and December 31, 2019, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at June 30, 2020 and December 31, 2019. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At June 30, 2020, 46.9% of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Debt Securities

The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities.

Trading Securities. The following table presents trading securities as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
U.S. Treasury obligations	$	3,445,162	$	3,390,772
GSE and TVA obligations	258,530		240,878
Total	$	3,703,692	$	3,631,650

The following table presents net gains (losses) on trading securities for the second quarter and first six months of 2020 and 2019.

	Three Months Ended June 30,					Six Months Ended June 30,
(in thousands)	2020			2019		2020		2019
Net unrealized gains (losses) on trading securities held at period-end	$	934		$	6,686	$	43,885	$	16,807
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	(4,197		)	1,107		15,306		1,107
Net gains (losses) on trading securities	$	(3,263	)	$	7,793	$	59,191	$	17,914

53

Notes to Unaudited Financial Statements (continued)

AFS Securities. The following tables present AFS securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,615,925	$	—		$	40,620	$	—		$	1,656,545
State or local agency obligations	234,262		—			14,076		—			248,338
Total non-MBS	$	1,850,187	$	—		$	54,696	$	—		$	1,904,883
MBS:
U.S. obligations single-family MBS	$	721,344	$	—		$	6,600	$	(399	)	$	727,545
GSE single-family MBS	4,098,714		—			24,709		(3,150		)	4,120,273
GSE multifamily MBS	3,593,462		—			13,355		(12,771		)	3,594,046
Private label MBS	247,447		(1,574		)	35,474		(465		)	280,882
Total MBS	$	8,660,967	$	(1,574	)	$	80,138	$	(16,785	)	$	8,722,746
Total AFS securities	$	10,511,154	$	(1,574	)	$	134,834	$	(16,785	)	$	10,627,629

	December 31, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,508,264	$	—	$	42,435	$	—		$	1,550,699
State or local agency obligations	238,496		—		9,398		—			247,894
Total non-MBS	$	1,746,760	$	—	$	51,833	$	—		$	1,798,593
MBS:
U.S. obligations single-family MBS	$	805,294	$	—	$	3,590	$	(1,298	)	$	807,586
GSE single-family MBS	4,053,700		—		9,574		(7,415		)	4,055,859
GSE multifamily MBS	4,120,532		—		4,581		(15,528		)	4,109,585
Private label MBS	274,624		—		51,704		(182		)	326,146
Total MBS	$	9,254,150	$	—	$	69,449	$	(24,423	)	$	9,299,176
Total AFS securities	$	11,000,910	$	—	$	121,282	$	(24,423	)	$	11,097,769

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank records an ACL for expected credit losses on AFS securities.

54

Notes to Unaudited Financial Statements (continued)

The following tables summarize the AFS securities with unrealized losses as of June 30, 2020 and December 31, 2019. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	June 30, 2020
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	75,578	$	(163	)	$	58,856	$	(236	)	$	134,434	$	(399	)
GSE single-family MBS	1,147,934		(1,713		)	525,094		(1,437		)	1,673,028		(3,150		)
GSE multifamily MBS	1,146,615		(6,067		)	1,923,789		(6,704		)	3,070,404		(12,771		)
Private label MBS	1,818		(41		)	2,736		(424		)	4,554		(465		)
Total MBS	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)
Total	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)

	December 31, 2019
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	492,038	$	(1,022	)	$	46,104	$	(276	)	$	538,142	$	(1,298	)
GSE single-family MBS	2,458,728		(6,318		)	221,806		(1,097		)	2,680,534		(7,415		)
GSE multifamily MBS	2,515,001		(10,683		)	1,181,509		(4,845		)	3,696,510		(15,528		)
Private label MBS	—		—			2,979		(182		)	2,979		(182		)
Total MBS	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)
Total	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2020 and December 31, 2019 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)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	19,886	$	19,951	$	—	$	—
Due after one year through five years	593,634		605,414		525,301		534,642
Due after five years through ten years	799,930		820,560		700,613		719,672
Due after ten years	436,737		458,958		520,846		544,279
Total non-MBS	1,850,187		1,904,883		1,746,760		1,798,593
MBS	8,660,967		8,722,746		9,254,150		9,299,176
Total AFS securities	$	10,511,154	$	10,627,629	$	11,000,910	$	11,097,769

55

Notes to Unaudited Financial Statements (continued)

Interest Rate Payment Terms.  The following table details interest payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,850,187	$	1,746,760
Variable-rate	—		—
Total non-MBS	$	1,850,187	$	1,746,760
Amortized cost of AFS MBS:
Fixed-rate	$	1,800,475	$	1,444,111
Variable-rate	6,860,492		7,810,039
Total MBS	$	8,660,967	$	9,254,150
Total amortized cost of AFS securities	$	10,511,154	$	11,000,910

HTM Securities. The following tables present HTM securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
MBS:
U.S. obligations single-family MBS	$	195,855	$	1,500	$	(5	)	$	197,350
GSE single-family MBS	1,101,240		28,878		(76		)	1,130,042
GSE multifamily MBS	560,161		55,284		—			615,445
Private label MBS	108,204		181		(3,176		)	105,209
Total MBS	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046
Total HTM securities (2)	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046

	December 31, 2019
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	94,310	$	—	$	(3,394	)	$	90,916
MBS:
U.S. obligations single-family MBS	$	250,195	$	1,087	$	(78	)	$	251,204
GSE single-family MBS	1,156,545		20,896		(254		)	1,177,187
GSE multifamily MBS	770,823		26,231		(252		)	796,802
Private label MBS	123,818		881		(520		)	124,179
Total MBS	$	2,301,381	$	49,095	$	(1,104	)	$	2,349,372
Total HTM securities	$	2,395,691	$	49,095	$	(4,498	)	$	2,440,288

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL on HTM securities. However, no credit loss was determined for these securities as of June 30, 2020.

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of June 30, 2020 and December 31, 2019 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.

56

Notes to Unaudited Financial Statements (continued)

(in thousands)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		31,925		31,381
Due after ten years	—		—		62,385		59,535
Total non-MBS	—		—		94,310		90,916
MBS	1,965,460		2,048,046		2,301,381		2,349,372
Total HTM securities	$	1,965,460	$	2,048,046	$	2,395,691	$	2,440,288

Interest Rate Payment Terms. The following table details interest rate payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	—
Variable-rate	—		94,310
Total non-MBS	$	—	$	94,310
Amortized cost of HTM MBS:
Fixed-rate	$	1,625,796	$	1,878,151
Variable-rate	339,664		423,230
Total MBS	$	1,965,460	$	2,301,381
Total HTM securities	$	1,965,460	$	2,395,691

Debt Securities ACL. An ACL on AFS and HTM securities was applicable upon adoption of ASU 2016-13, effective January 1, 2020. For HTM securities, there is no ACL at June 30, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at June 30, 2020.

AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the three and six months ended June 30, 2020.

(in thousands)	Private Label MBS
	June 30, 2020
	Three Months Ended			Six Months Ended
Balance, beginning of period	$	2,834		$	—
Additional increases (decreases) for securities in which a previous allowance or credit loss was recorded	(1,260		)	1,574
(Charge-offs) Recoveries, net	—			—
Balance, end of period	$	1,574		$	1,574

Debt Securities ACL Methodology. To evaluate investment securities for credit losses at June 30, 2020, the Bank employs the following methodologies by major security type.

GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at June 30, 2020.

57

Notes to Unaudited Financial Statements (continued)

The Bank only purchases GSE and other U.S. obligations considered investment quality. At June 30, 2020, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are 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 and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments.

The Bank only purchases state or local agency obligations considered investment quality. At June 30, 2020, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At June 30, 2020, the Bank expects to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations.

Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of June 30, 2020, 20.7% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses. For certain private label MBS where underlying collateral data is not available, alternative procedures as determined by the Bank were used to assess these securities for credit loss measurement.

The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as:

• the remaining payment terms for the security;

• prepayment speeds based on underlying loan-level borrower and loan characteristics;

• expected default rates based on underlying borrower and loan characteristics;

• expected loss severity based on underlying borrower and loan characteristics;

• expected housing price changes; and

• expected interest-rate assumptions.

The Bank performed a cash flow analysis using a third-party model to assess whether the entire amortized cost basis of its private label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of the model can vary significantly with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast.

58

Notes to Unaudited Financial Statements (continued)

Note 3 – 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, SOFR or other specified indices.

At June 30, 2020 and December 31, 2019, the Bank had advances outstanding with interest rates ranging from 0.04% to 6.77% and 1.15% to 7.40%, respectively.

The following table details the Bank’s advances portfolio by year of redemption as of June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020				December 31, 2019
Year of Redemption	Amount			Weighted Average Interest Rate	Amount			Weighted Average Interest Rate
Due in 1 year or less	$	32,598,437		0.91	$	41,261,372		1.97	%
Due after 1 year through 2 years	10,030,288			2.08	15,285,269			2.31
Due after 2 years through 3 years	3,553,910			2.36	6,065,460			2.52
Due after 3 years through 4 years	1,207,359			2.07	1,305,453			2.50
Due after 4 years through 5 years	1,505,806			1.96	869,892			2.10
Thereafter	234,843			2.68	651,673			2.76
Total par value	49,130,643			1.33	65,439,119			2.12	%
Deferred prepayment fees	(2,017		)		(1,814		)
Hedging adjustments	485,765				172,770
Total book value (1)	$	49,614,391			$	65,610,075

Notes:

⁽¹⁾ Amounts exclude accrued interest receivable of $68.6 million and $119.7 million at June 30, 2020 and December 31, 2019.

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 June 30, 2020 and December 31, 2019, 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.

59

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 June 30, 2020 and December 31, 2019.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
Due in 1 year or less	$	32,698,437	$	42,556,372	$	32,618,437	$	41,281,372
Due after 1 year through 2 years	9,970,288		14,060,269		10,030,288		15,285,269
Due after 2 years through 3 years	3,553,910		6,035,460		3,547,910		6,065,460
Due after 3 years through 4 years	1,207,359		1,305,453		1,207,359		1,299,453
Due after 4 years through 5 years	1,465,806		829,892		1,491,806		864,892
Thereafter	234,843		651,673		234,843		642,673
Total par value	$	49,130,643	$	65,439,119	$	49,130,643	$	65,439,119

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Fixed-rate – overnight	$	67,147	$	3,847,547
Fixed-rate – term:
Due in 1 year or less	14,566,612		18,059,289
Thereafter	14,554,106		16,424,647
Total fixed-rate	29,187,865		38,331,483
Variable-rate:
Due in 1 year or less	17,964,678		19,354,536
Thereafter	1,978,100		7,753,100
Total variable-rate	19,942,778		27,107,636
Total par value	$	49,130,643	$	65,439,119

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of June 30, 2020, the Bank had advances of $36.4 billion outstanding to the five largest borrowers, which represented 74.1% of the total principal amount of advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at June 30, 2020.

As of December 31, 2019, the Bank had advances of $50.8 billion outstanding to the five largest borrowers, which represented 77.7% of the total principal amount of advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2019.

Advances ACL. 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 and 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. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs.

In addition, the Bank lends to its members in accordance with the FHLBank Act 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

60

Notes to Unaudited Financial Statements (continued)

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 June 30, 2020 and December 31, 2019, 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 June 30, 2020 and December 31, 2019, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs.

The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at June 30, 2020 or December 31, 2019.

61

Notes to Unaudited Financial Statements (continued)

Note 4 – 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 8 for further information regarding transactions with related parties.

The following table presents balances as of June 30, 2020 and December 31, 2019 for mortgage loans held for portfolio.

(in thousands)	June 30, 2020			December 31, 2019
Fixed-rate long-term single-family mortgages (1)	$	4,975,348		$	4,863,177
Fixed-rate medium-term single-family mortgages (1)	173,986			167,156
Total par value	5,149,334			5,030,333
Premiums	87,310			82,108
Discounts	(3,149		)	(3,616		)
Hedging adjustments	13,941			13,632
Total mortgage loans held for portfolio (2)	$	5,247,436		$	5,122,457
Allowance for credit losses on mortgage loans	(5,900		)	(7,832		)
Mortgage loans held for portfolio, net	$	5,241,536		$	5,114,625

Note:

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

⁽²⁾ Amounts exclude accrued interest receivable of $28.4 million and $26.9 million at June 30, 2020 and December 31, 2019.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Conventional loans	$	4,979,660	$	4,856,543
Government-guaranteed/insured loans	169,674		173,790
Total par value	$	5,149,334	$	5,030,333

Purchases, Sales and Reclassifications. During the six months ended June 30, 2020 and 2019, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.

62

Notes to Unaudited Financial Statements (continued)

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	27,020	$	81,793	$	108,813
Past due 60-89 days	21,510		85,703		107,213
Past due 90 days or more	13,299		14,303		27,602
Total past due loans	$	61,829	$	181,799	$	243,628
Current loans	1,323,154		3,506,490		4,829,644
Total conventional loans (2)	$	1,384,983	$	3,688,289	$	5,073,272
Payment Status, at recorded investment (1)	December 31, 2019
Past due 30-59 days					$	43,872
Past due 60-89 days					8,601
Past due 90 days or more					12,826
Total past due loans					$	65,299
Current loans					4,904,683
Total conventional loans					$	4,969,982

Note:

⁽¹⁾ The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at June 30, 2020 excludes accrued interest receivable.

⁽²⁾ Includes approximately $195.3 million par value of loans in a forbearance plan as a result of COVID-19, of which approximately $9.8 million was current, $75.9 million was 30-59 days past due, $96.2 million was 60-89 days past due, and $13.4 million was 90 days or more past due at June 30, 2020.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	6,849		$	1,363		$	8,212
Serious delinquency rate (2)	0.6		%	2.0		%	0.6		%
Past due 90 days or more still accruing interest	$	—		$	3,354		$	3,354
Loans on nonaccrual status (3)	$	30,276		$	—		$	30,276
	December 31, 2019
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	4,740		$	1,110		$	5,850
Serious delinquency rate (2)	0.3		%	1.9		%	0.3		%
Past due 90 days or more still accruing interest	$	—		$	3,363		$	3,363
Loans on nonaccrual status (3)	$	14,890		$	—		$	14,890

Note:

⁽¹⁾ 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.

⁽²⁾ 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.

⁽³⁾ All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

63

Notes to Unaudited Financial Statements (continued)

Mortgage Loans Held for Portfolio ACL. For information on the prior methodology for evaluating credit losses, as well as a discussion on classes of financing receivables, the Bank’s policies for impairing financing receivables, placing them on non-accrual status, and charging them off when necessary, see Note 10 - Allowance for Credit Losses of the audited financial statements in the Bank’s 2019 Form 10-K.

Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results.

Certain conventional loans may be evaluated for credit losses by the Bank using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral 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 collateral dependent 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.

Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q.

As of June 30, 2020, there was approximately $195.3 million in par value of conventional loans in a forbearance plan as a result of COVID-19, which represented approximately 4% of our mortgage loans held for portfolio at June 30, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 97% of the loans were not deemed to be collateral dependent and not charged-off.

Conventional MPF - Expected Recoveries. With the adoption of ASU 2016-13, the Bank is permitted to recognize a recovery through the provision for credit losses where expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition.

Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment.

64

Notes to Unaudited Financial Statements (continued)

Conventional MPF - Rollforward of ACL

	Three Months Ended June 30,					Six months ended June 30,
(in thousands)	2020		2019			2020			2019
Balance, beginning of period	$	4,294	$	7,944		$	7,832		$	7,309
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—			(3,875		)	—
(Charge-offs) Recoveries, net (2)	153		(99		)	156			87
Provision for credit losses	1,453		648			1,787			1,097
Balance, June 30	$	5,900	$	8,493		$	5,900		$	8,493

Note:

⁽¹⁾ As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

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

Government-Guaranteed or -Insured Mortgage Loans. 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). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or -insured mortgage loans at June 30, 2020 or December 31, 2019. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

Real Estate Owned (REO). The Bank had $1.4 million and $2.0 million of REO reported in Other assets on the Statement of Condition at June 30, 2020 and December 31, 2019, respectively.

65

Notes to Unaudited Financial Statements (continued)

Note 5 – 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 2019 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.

	June 30, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	23,408,553	$	5,951	$	3,466
Derivatives not designated as hedging instruments:
Interest rate swaps	$	3,451,488	$	525	$	2,219
Interest rate caps or floors	1,280,000		1,051		—
Mortgage delivery commitments	106,090		603		12
Total derivatives not designated as hedging instruments:	$	4,837,578	$	2,179	$	2,231
Total derivatives before netting and collateral adjustments	$	28,246,131	$	8,130	$	5,697
Netting adjustments and cash collateral (1)			200,790		(3,993		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	208,920	$	1,704

	December 31, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,572,128	$	14,079	$	4,148
Derivatives not designated as hedging instruments:
Interest rate swaps	$	10,413,906	$	1,676	$	4,642
Interest rate caps or floors	1,330,000		417		—
Mortgage delivery commitments	73,574		29		79
Total derivatives not designated as hedging instruments:	$	11,817,480	$	2,122	$	4,721
Total derivatives before netting and collateral adjustments	$	46,389,608	$	16,201	$	8,869
Netting adjustments and cash collateral (1)			124,050		(5,845		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	140,251	$	3,024

Note:

66

Notes to Unaudited Financial Statements (continued)

⁽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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

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.

(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 June 30, 2020
Hedged item type:
Advances	$	2,123		$	(2,146	)	$	(49,396	)	$	(49,419	)	$	170,477
AFS securities	(6,492		)	6,996			(4,728		)	(4,224		)	43,192
Mortgage loans held for portfolio	—			(677		)	—			(677		)	40,591
Consolidated obligations – bonds	(15,989		)	16,005			23,081			23,097			(120,268		)
Total	$	(20,358	)	$	20,178		$	(31,043	)	$	(31,223	)
Six months ended June 30, 2020
Hedged item type:
Advances	$	(313,121	)	$	312,993		$	(67,109	)	$	(67,237	)	$	453,752
AFS securities	(112,694		)	109,053			(6,664		)	(10,305		)	106,569
Mortgage loans held for portfolio	—			(1,083		)	—			(1,083		)	85,629
Consolidated obligations – bonds	26,381			(25,980		)	32,758			33,159			(381,427		)
Total	$	(399,434	)	$	394,983		$	(41,015	)	$	(45,466	)

(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 June 30, 2019
Hedged item type:
Advances	$	(198,851	)	$	198,831		$	19,192		$	19,172		$	491,375
AFS securities	(44,151		)	42,668			632			(851		)	66,186
Mortgage loans held for portfolio	—			(683		)	—			(683		)	42,456
Consolidated obligations – bonds	79,649			(80,583		)	(22,796		)	(23,730		)	(436,778		)
Total	$	(163,353	)	$	160,233		$	(2,972	)	$	(6,092	)
Six Months Ended June 30, 2019
Hedged item type:
Advances	$	(313,048	)	$	312,953		$	43,172		$	43,077		$	1,029,712
AFS securities	(72,029		)	69,403			1,242			(1,384		)	129,314
Mortgage loans held for portfolio	—			(1,565		)	—			(1,565		)	84,470
Consolidated obligations – bonds	147,407			(148,712		)	(51,887		)	(53,192		)	(846,073		)
	$	(237,670	)	$	232,079		$	(7,473	)	$	(13,064	)

67

Notes to Unaudited Financial Statements (continued)

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

(in thousands)	June 30, 2020
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	$	16,459,976	$	485,792	$	(26	)	$	485,766
AFS securities	1,500,970		158,064		1,215			159,279
Consolidated obligations – bonds	6,152,797		58,674		352			59,026

(in thousands)	December 31, 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	$	16,724,094	$	172,779	$	(9	)	$	172,770
AFS securities	1,391,938		48,946		1,281			50,227
Consolidated obligations – bonds	16,715,492		32,886		160			33,046

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.

	Three months ended June 30,						Six months ended June 30,
(in thousands)	2020			2019			2020			2019
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	752		$	(23,728	)	$	(97,452	)	$	(33,924	)
Interest rate caps or floors	83			519			635			(804		)
Net interest settlements	(5,894		)	(1,752		)	(7,165		)	(2,966		)
To Be Announced (TBA)	—			—			38			—
Mortgage delivery commitments	1,035			(100		)	2,366			28
Other	148			7			149			15
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(3,876	)	$	(25,054	)	$	(101,429	)	$	(37,651	)
Other - price alignment amount on cleared derivatives (1)	12			221			155			(153		)
Net gains (losses) on derivatives and hedging activities	$	(3,864	)	$	(24,833	)	$	(101,274	)	$	(37,804	)

Notes:

⁽¹⁾ This amount is for derivatives for which variation margin is characterized as a settled to market.

The Bank had no active cash flow hedging relationships during the first six months of 2020 or 2019.

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.

68

Notes to Unaudited Financial Statements (continued)

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 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 June 30, 2020 was $1.3 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 additional collateral to its derivative counterparties at June 30, 2020.

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 settled to market, rather than collateral. Initial margin is considered collateralized to market.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 9 - 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 June 30, 2020.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the 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.

69

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)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	4,357		$	8,743
Cleared derivatives	3,170			7,429
Total gross recognized amount	7,527			16,172
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(4,018		)	(7,631		)
Cleared derivatives	204,808			131,681
Total gross amounts of netting adjustments and cash collateral	200,790			124,050
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	339			1,112
Cleared derivatives	207,978			139,110
Total net amounts after netting adjustments and cash collateral	208,317			140,222
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	603			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	603			29
Total derivative assets:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total derivative assets as reported in the Statement of Condition	208,920			140,251
Net unsecured amount:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total net unsecured amount	$	208,920		$	140,251

70

Notes to Unaudited Financial Statements (continued)

	Derivative Liabilities
(in thousands)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,047		$	7,135
Cleared derivatives	638			1,655
Total gross recognized amount	5,685			8,790
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(3,355		)	(4,190		)
Cleared derivatives	(638		)	(1,655		)
Total gross amounts of netting adjustments and cash collateral	(3,993		)	(5,845		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,692			2,945
Cleared derivatives	—			—
Total net amounts after netting adjustments and cash collateral	1,692			2,945
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	12			79
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	12			79
Total derivative liabilities
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	1,704			3,024
Net unsecured amount:
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total net unsecured amount	$	1,704		$	3,024

Note:

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

71

Notes to Unaudited Financial Statements (continued)

Note 6 – 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 11 FHLBanks’ outstanding consolidated obligations were $915.8 billion and $1,025.9 billion at June 30, 2020 and December 31, 2019, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 13 to the audited financial statements in the Bank's 2019 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020			December 31, 2019
Par value of consolidated bonds:
Fixed-rate	$	19,037,135		$	29,292,200
Step-up	40,000			705,000
Floating-rate	27,354,000			36,707,000
Total par value	46,431,135			66,704,200
Bond premiums	106,079			85,028
Bond discounts	(7,661		)	(8,350		)
Concession fees	(5,753		)	(6,118		)
Hedging adjustments	59,026			33,047
Total book value	$	46,582,826		$	66,807,807

72

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 June 30, 2020 and December 31, 2019.

	June 30, 2020				December 31, 2019
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	33,645,355	0.59	%	$	50,306,900	1.83	%
Due after 1 year through 2 years	4,930,990		1.91		7,268,705		2.10
Due after 2 years through 3 years	2,085,415		2.35		2,705,420		2.36
Due after 3 years through 4 years	1,170,400		2.55		1,469,400		2.58
Due after 4 years through 5 years	1,337,200		2.03		947,375		2.69
Thereafter	3,261,775		2.32		4,006,400		2.73
Total par value	$	46,431,135	1.02	%	$	66,704,200	1.96	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Noncallable	$	42,517,135	$	61,597,600
Callable	3,914,000		5,106,600
Total par value	$	46,431,135	$	66,704,200

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of June 30, 2020 and December 31, 2019.

(in thousands) Year of Contractual Maturity or Next Call Date	June 30, 2020		December 31, 2019
Due in 1 year or less	$	35,865,355	$	54,157,900
Due after 1 year through 2 years	4,946,990		6,573,705
Due after 2 years through 3 years	2,085,415		2,623,420
Due after 3 years through 4 years	1,055,400		1,063,400
Due after 4 years through 5 years	979,200		827,375
Thereafter	1,498,775		1,458,400
Total par value	$	46,431,135	$	66,704,200

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 June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020			December 31, 2019
Book value	$	26,051,806		$	23,141,362
Par value	26,069,277			23,211,524
Weighted average interest rate (1)	0.46		%	1.61		%

Note:

⁽¹⁾ Represents an implied rate.

73

Notes to Unaudited Financial Statements (continued)

Note 7 – 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 15 to the audited financial statements in the Bank’s 2019 Form 10-K. At June 30, 2020, 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 $2.0 billion in B1 membership stock and B2 activity stock, respectively, at June 30, 2020. The Bank had $0.3 billion and $2.7 billion in B1 membership stock and B2 activity stock, respectively, at December 31, 2019.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at June 30, 2020 and December 31, 2019.

	June 30, 2020						December 31, 2019
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	560,969		$	4,008,820		$	610,573		$	4,724,586
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	4.9		%
Total regulatory capital	3,119,003			4,008,820			3,828,965			4,724,586
Leverage ratio	5.0		%	7.7		%	5.0		%	7.4		%
Leverage capital	3,898,753			6,013,230			4,786,206			7,086,879

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On June 24, 2020, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended March 31,2020. 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 June 30, 2020.

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 June 30, 2020 and December 31, 2019, the Bank had $303.9 million and $343.6 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 was $3.9 million and $10.1 million during the three and six months ended June 30, 2020, respectively. Estimated dividends on mandatorily redeemable capital stock recorded as interest expense was $3.3 million and $3.9 million during the three and six months ended June 30, 2019, respectively

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2020 and 2019.

	Six Months Ended June 30,
(in thousands)	2020			2019
Balance, beginning of the period	$	343,575		$	24,099
Capital stock subject to mandatory redemption reclassified from capital	39,457			361,117
Redemption/repurchase of mandatorily redeemable stock	(79,150		)	(41,399		)
Balance, end of the period	$	303,882		$	343,817

As of June 30, 2020, the total mandatorily redeemable capital stock reflected the balance for seven institutions. Five 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.  One other institution has notified the Bank of its

74

Notes to Unaudited Financial Statements (continued)

intention to voluntarily redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Due in 1 year or less	$	3,041	$	3,316
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	21		21
Due after 3 years through 4 years	300,000		20,000
Due after 4 years through 5 years	619		320,000
Past contractual redemption date due to remaining activity	201		238
Total	$	303,882	$	343,575

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.

Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings.

FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 approximated $8.5 million based on its share of the $680 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account.

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 June 30, 2020, retained earnings were $1,333.5 million, including $899.0 million of unrestricted retained earnings and 434.5 million of RRE.

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 second quarter of 2020 and 2019 are presented in the table below.

	Dividend - Annual Yield
	2020				2019
	Membership		Activity		Membership		Activity
February	4.50	%	7.75	%	4.50	%	7.75	%
April	3.00	%	6.25	%	4.50	%	7.75	%

75

Notes to Unaudited Financial Statements (continued)

In July 2020, the Bank paid a quarterly dividend equal to an annual yield of 3.00% and 6.25% on membership and activity stock, respectively.

The following table summarizes the changes in AOCI for the three and six months ended June 30, 2020 and 2019.

(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
March 31, 2019	$	45,799	$	64,734		$	168		$	(1,993	)	$	108,708
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	9,306		(4,082		)	—			—			5,224
Non-credit OTTI to credit OTTI	—		37			—			—			37
Amortization on hedging activities	—		—			(7		)	—			(7		)
Pension and post-retirement	—		—			—			154			154
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
March 31, 2020	$	29,485	$	—		$	148		$	(5,013	)	$	24,620
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	88,564		—			—			—			88,564
Amortization on hedging activities	—		—			(148		)	—			(148		)
Pension and post-retirement	—		—			—			868			868
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904
December 31, 2018	$	9,887	$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	45,218		(4,503		)	—			—			40,715
Noncredit OTTI to credit OTTI	—		59			—			—			59
Amortization on hedging activities	—		—			(15		)	—			(15		)
Pension and post-retirement	—		—			—			211			211
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
December 31, 2019	$	45,155	$	51,704		$	149		$	(5,182	)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU -2016-13	51,704		(51,704		)	—			—			—
Net unrealized gains (losses)	21,190		—			—			—			21,190
Amortization on hedging activities	—		—			(149		)	—			(149		)
Pension and post-retirement	—		—			—			1,037			1,037
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904

76

Notes to Unaudited Financial Statements (continued)

Note 8 – Transactions with Related Parties

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

(in thousands)	June 30, 2020		December 31, 2019
Advances	$	22,760,846	$	34,748,867
Letters of credit (1)	2,216,776		2,418,025
MPF loans	500,203		455,600
Deposits	42,485		17,904
Capital stock	1,049,349		1,574,659

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 June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Interest income on advances	$	117,949	$	308,669	$	270,597	$	700,217
Interest income on MPF loans	6,321		7,183		12,920		14,829
Letters of credit fees	700		1,481		1,412		3,113

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

	Three Months Ended June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Servicing fee expense	$	999	$	867	$	1,970	$	1,702

(in thousands)	June 30, 2020		December 31, 2019
Interest-bearing deposits maintained with FHLBank of Chicago	$	6,609	$	5,173

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the six months ended June 30, 2020, there was no lending or borrowing activity between the Bank and other FHLBanks. During the six months ended June 30, 2019, the total amount loaned to and repaid from other FHLBanks was $500.0 million.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During the six months ended June 30, 2020 and 2019, 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 six months ended June 30, 2020 and 2019.

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 17 to the audited financial statements in the Bank's 2019 Form 10-K.

77

Notes to Unaudited Financial Statements (continued)

Note 9 – 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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019 are presented in the table below.

Fair Value Summary Table
	June 30, 2020
(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	$	377,412	$	377,412	$	—	$	—	$	—		$	377,412
Interest-bearing deposits	1,595,775		1,589,166		6,609		—		—			1,595,775
Federal funds sold	2,840,000		—		2,839,995		—		—			2,839,995
Securities purchased under agreement to resell (2)	1,600,000		—		1,599,997		—		—			1,599,997
Trading securities	3,703,692		—		3,703,692		—		—			3,703,692
AFS securities	10,627,629		—		10,346,747		280,882		—			10,627,629
HTM securities	1,965,460		—		1,942,837		105,209		—			2,048,046
Advances	49,614,391		—		49,724,459		—		—			49,724,459
Mortgage loans held for portfolio, net	5,241,536		—		5,565,724		—		—			5,565,724
BOB loans, net	20,197		—		—		20,197		—			20,197
Accrued interest receivable	131,858		—		131,858		—		—			131,858
Derivative assets	208,920		—		8,130		—		200,790			208,920
Liabilities:
Deposits	$	951,034	$	—	$	951,034	$	—	$	—		$	951,034
Discount notes	26,051,806		—		26,062,444		—		—			26,062,444
Bonds	46,582,826		—		47,085,730		—		—			47,085,730
Mandatorily redeemable capital stock (3)	303,882		308,981		—		—		—			308,981
Accrued interest payable (3)	97,916		—		92,817		—		—			92,817
Derivative liabilities	1,704		—		5,697		—		(3,993		)	1,704

78

Notes to Unaudited Financial Statements (continued)

	December 31, 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	$	21,490	$	21,490	$	—	$	—	$	—		$	21,490
Interest-bearing deposits	1,476,890		1,471,717		5,173		—		—			1,476,890
Federal funds sold	3,770,000		—		3,769,965		—		—			3,769,965
Securities purchased under agreement to resell (2)	2,200,000		—		2,199,973		—		—			2,199,973
Trading securities	3,631,650		—		3,631,650		—		—			3,631,650
AFS securities	11,097,769		—		10,771,623		326,146		—			11,097,769
HTM securities	2,395,691		—		2,316,109		124,179		—			2,440,288
Advances	65,610,075		—		65,662,578		—		—			65,662,578
Mortgage loans held for portfolio, net	5,114,625		—		5,313,973		—		—			5,313,973
BOB loans, net	19,706		—		—		19,706		—			19,706
Accrued interest receivable	193,352		—		193,352		—		—			193,352
Derivative assets	140,251		—		16,201		—		124,050			140,251
Liabilities:
Deposits	$	573,382	$	—	$	573,382	$	—	$	—		$	573,382
Discount notes	23,141,362		—		23,142,588		—		—			23,142,588
Bonds	66,807,807		—		66,981,400		—		—			66,981,400
Mandatorily redeemable capital stock (3)	343,575		350,287		—		—		—			350,287
Accrued interest payable (3)	205,118		—		198,406		—		—			198,406
Derivative liabilities	3,024		—		8,869		—		(5,845		)	3,024

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 June 30, 2020 and December 31, 2019. 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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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.

79

Notes to Unaudited Financial Statements (continued)

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.

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:

•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 and U.S. Treasury obligations. For 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. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach.

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 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 June 30, 2020, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. 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, 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

80

Notes to Unaudited Financial Statements (continued)

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. SOFR curve for SOFR indexed swaps. Overnight Index Swap (OIS) curve for all other swaps.

• Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

• 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.

81

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 June 30, 2020 and December 31, 2019. 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.

	June 30, 2020
(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	$	—	$	3,445,162	$	—	$	—		$	3,445,162
GSE and TVA obligations	—		258,530		—		—			258,530
Total trading securities	$	—	$	3,703,692	$	—	$	—		$	3,703,692
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,656,545	$	—	$	—		$	1,656,545
State or local agency obligations	—		248,338		—		—			248,338
MBS:
U.S. obligations single-family MBS	—		727,545		—		—			727,545
GSE single-family MBS	—		4,120,273		—		—			4,120,273
GSE multifamily MBS	—		3,594,046		—		—			3,594,046
Private label MBS	—		—		280,882		—			280,882
Total AFS securities	$	—	$	10,346,747	$	280,882	$	—		$	10,627,629
Derivative assets:
Interest rate related	$	—	$	7,527	$	—	$	200,790		$	208,317
Mortgage delivery commitments	—		603		—		—			603
Total derivative assets	$	—	$	8,130	$	—	$	200,790		$	208,920
Total recurring assets at fair value	$	—	$	14,058,569	$	280,882	$	200,790		$	14,540,241
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	5,685	—		$	(3,993	)	$	1,692
Mortgage delivery commitments	—		12		—		—			12
Total recurring liabilities at fair value (2)	$	—	$	5,697	$	—	$	(3,993	)	$	1,704
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,980	$	—		$	7,980
REO	—		—		395		—			395
Total non-recurring assets at fair value	$	—	$	—	$	8,375	$	—		$	8,375

82

Notes to Unaudited Financial Statements (continued)

	December 31, 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	$	—	$	3,390,772	$	—	$	—		$	3,390,772
GSE and TVA obligations	—		240,878		—		—			240,878
Total trading securities	$	—	$	3,631,650	$	—	$	—		$	3,631,650
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,550,699	$	—	$	—		1,550,699
State or local agency obligations	—		247,894		—		—			247,894
MBS:
U.S. obligations single-family MBS	—		807,586		—		—			807,586
GSE single-family MBS	—		4,055,859		—		—			4,055,859
GSE multifamily MBS	—		4,109,585		—		—			4,109,585
Private label MBS	—		—		326,146		—			326,146
Total AFS securities	$	—	$	10,771,623	$	326,146	$	—		$	11,097,769
Derivative assets:
Interest rate related	$	—	$	16,172	$	—	$	124,050		$	140,222
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	16,201	$	—	$	124,050		$	140,251
Total recurring assets at fair value	$	—	$	14,419,474	$	326,146	$	124,050		$	14,869,670
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	8,790	$	—	$	(5,845	)	$	2,945
Mortgage delivery commitments	—		79		—		—			79
Total recurring liabilities at fair value (2)	$	—	$	8,869	$	—	$	(5,845	)	$	3,024
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,850	$	—		$	7,850
REO	—		—		2,449		—			2,449
Total non-recurring assets at fair value	$	—	$	—	$	10,299	$	—		$	10,299

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.

83

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 six months ended June 30, 2020 and 2019. 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 six months of 2020 or 2019.

	AFS Private Label MBS
	Three Months Ended June 30,						Six Months Ended June 30,
(in thousands)	2020			2019			2020			2019
Balance, beginning of period	$	280,431		$	394,606		$	326,146		$	409,550
Total gains (losses) (realized/unrealized) included in:
(Provision) benefit for credit losses (1)	1,260			—			(1,574		)	—
Accretion of credit losses in interest income	3,029			3,646			5,938			6,796
Net OTTI losses, credit portion	—			(37		)	—			(59		)
Net unrealized gains (losses) on AFS in OCI	12,525			(29		)	(16,514		)	32
Reclassification of non-credit portion included in net income	—			37			—			59
Unrealized gains (losses) on OTTI AFS in OCI	—			(4,083		)	—			(4,504		)
Purchases, issuances, sales, and settlements:
Settlements	(16,363		)	(22,738		)	(33,114		)	(40,472		)
Balance at June 30	$	280,882		$	371,402		$	280,882		$	371,402
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 June 30	$	4,289		$	3,094		$	4,364		$	6,188
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held June 30 (2)	$	12,525		N/A			$	(16,514	)	N/A

Notes:

⁽¹⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL for expected credit losses on AFS securities.

⁽²⁾ Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019.

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Notes to Unaudited Financial Statements (continued)

Note 10 – Commitments and Contingencies

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

(in thousands)	June 30, 2020						December 31, 2019
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	16,395,671	$	—	$	16,395,671	$	17,370,617
Commitments to fund additional advances and BOB loans	19,393		—		19,393		19,796
Commitments to purchase mortgage loans	106,090		—		106,090		73,574
Unsettled consolidated obligation bonds, at par	161,695		—		161,695		62,000
Unsettled consolidated obligation discount notes, at par	284,029		—		284,029		1,083,406

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $272.1 million and $23.9 million at June 30, 2020 and December 31, 2019, respectively.

⁽²⁾ Letters of credit in the amount of $3.8 billion and $4.3 billion at June 30, 2020 and December 31, 2019, respectively, have renewal language that permits the letter of credit to be renewed for an additional period 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 $3.1 million and $3.5 million at June 30, 2020 and December 31, 2019, respectively. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 3 - Advances.

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

The Bank does not have any legally binding or unconditional unused lines of credit for advances at June 30, 2020 and December 31, 2019. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $12.2 billion and $9.8 billion at June 30, 2020 and December 31, 2019, respectively.

Commitments to 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 5 - 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 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.

85

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 operating officer (principal 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 operating officer (principal financial officer), and chief accounting officer concluded that the Bank’s disclosure controls and procedures were effective as of June 30, 2020.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the second quarter of 2020 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

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

Item 1A: Risk Factors

For a complete discussion of Risk Factors, see Part I, Item 1A. Risk Factors in the Bank's 2019 Annual Report on Form 10-K and Part II, Item 1A. Risk Factors in the Bank’s Quarterly Report on Form 10-Q for the period ended March 31, 2020 (first quarter 2020 Form 10-Q). Other than as noted below, there have been no material changes from the Risk Factors disclosed in the Bank's 2019 Form 10-K as updated in the first quarter 2020 Form 10-Q.

The COVID-19 pandemic has created economic and financial disruptions, including lower interest rates, that have negatively impacted the Bank’s business, operations, and financial results. The ultimate impact will depend on future developments, which are unpredictable, including the scope and duration of the pandemic and any additional actions taken by governmental authorities in response to the related economic effects.

The COVID-19 pandemic has disrupted the global economy resulting in equity market volatility, lower interest rates, and greatly increased unemployment levels. In addition, the pandemic has resulted in temporary and permanent closures of many businesses along with social distancing measures and sheltering-in-place requirements in many states and communities. These items reduced the demand for the Bank’s products and services, coupled with reduced net interest income due to lower interest rates. Ultimately, the COVID-19 pandemic will cause deterioration in the overall credit quality of the Bank's members, counterparties and MPF portfolio.

Furthermore, the demand for the Bank’s consolidated obligations and advance products were impacted due to new government programs that provided alternative financing. The CARES Act as well as the Paycheck Protection Program (PPP) provided additional funding to individual Americans and small businesses. This additional inflow of cash to the balance sheet of the Bank’s members resulted in a decline in the demand for the Bank’s advance products and impacted the Bank’s financial results. More legislative and regulatory actions taken in response to the COVID-19 pandemic could further reduce demand for the Bank’s products and services. While there was uncertainty in the financial markets along with severe volatility, the Bank’s access to liquidity and the cost of funds was not adversely impacted. However, the economic impact as a result of COVID-19 is not fully realized.  There may be new volatility events, as markets transition, that may adversely impact the Bank's access to liquidity and associated cost of funds.

86

Severe market volatility also impacts the Bank’s ability to model and manage market and other risks, along with determining collateral values. While the Bank has been able to manage these risks, they could affect the Bank’s ability to make business decisions and limit members’ ability to do business with the Bank. Similarly, because of changing economic and market conditions affecting the Bank’s investments, the Bank may be required to recognize further impairments on securities held, which may result in additional provision for credit losses on private label MBS or reduced comprehensive income depending on the classification of the investment. Additionally, the Bank continues to monitor the Bank's members, counterparties and MPF portfolio, as further and material credit deterioration could occur.

While the Bank’s business operations have not been significantly disrupted to date, they may be disrupted if significant portions of the Bank’s workforce are unable to work effectively due to illness, quarantines, government actions, or other restrictions in connection with the pandemic. Cyber-security risk is elevated with employees working remotely. This presents additional opportunities for cyber-criminals to exploit potential vulnerabilities. While there are continued attempts to penetrate the Bank’s security, such as phishing and malware attacks, the Bank has not experienced a breach of its security during the pandemic.

The Bank is reliant on third-party vendors who are also impacted by the COVID-19 pandemic. Vendor personnel may be working remotely and/or the vendors could have a shortage of personnel. While the Bank has not materially experienced this during the pandemic to date, a disruption, delay or failure of a critical third-party vendor’s services as a result of these factors could impact the Bank’s operating results, and the Bank’s ability to provide services to the membership.

The extent to which the COVID-19 pandemic impacts the Bank’s business, results of operations, and financial condition, including expectations regarding the payment and levels of dividends, will depend on future developments. These developments continue to be highly uncertain and cannot be predicted, including the scope and duration of the pandemic; the continued effectiveness of the Bank’s business continuity plan; and actions taken by governmental authorities and other third parties in response to the pandemic. The pandemic may also cause prolonged recessionary economic conditions or longer lasting effects on economic conditions than currently exist, which could have a material adverse effect on the Bank’s business, results of operations and financial condition.

The COVID-19 pandemic may heighten many of the other risks described in the section entitled “Risk Factors” in the Bank’s most recent Annual Report on Form 10-K, the first quarter 2020 Form 10-Q and any subsequent Quarterly Report on Form 10-Q or Current Report on Form 8-K including, but not limited to, risks of interest rate changes, market and liquidity disruptions, legislative and regulatory developments, market volatility, member and counterparty credit instability, impairment of investments, cyber-security breaches and technology interruptions.

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 No.	Description	Method of Filing
31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Filed herewith.
31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer	Filed herewith.
31.3	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer	Filed herewith.
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.
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 Principal Financial Officer	Furnished herewith.
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.
101.INS	XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	Filed herewith.
101.SCH	XBRL Taxonomy Extension Schema Document	Filed herewith.
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document	Filed herewith.
101.LAB	XBRL Taxonomy Extension Label Linkbase Document	Filed herewith.
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document	Filed herewith.
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document	Filed herewith.
104	Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)	Filed herewith.

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 Operating Officer

(Principal Financial Officer and Authorized Officer)

By: /s/ Edward V. Weller

Edward V. Weller

Chief Accounting Officer

(Authorized Officer)

Date: August 11, 2020

88

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:     August 11, 2020/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 Principal 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:     August 11, 2020/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Operating Officer

(Principal 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:     August 11, 2020/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 June 30, 2020 (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:     August 11, 2020/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 Principal Financial Officer

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

1. I am the Chief Operating Officer and principal 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 June 30, 2020 (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:     August 11, 2020/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Operating Officer

(Principal 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 June 30, 2020 (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:     August 11, 2020/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

Cover Page - shares	6 Months Ended
	Jun. 30, 2020	Jul. 31, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2020
Document Transition Report	false
Entity File Number	000-51395
Entity Registrant Name	FEDERAL HOME LOAN BANK OF PITTSBURGH
Entity Tax Identification Number	25-6001324
Entity Address, Address Line One	601 Grant Street
Entity Address, City or Town	Pittsburgh,
Entity Address, State or Province	PA
Entity Address, Postal Zip Code	15219
City Area Code	412
Local Phone Number	288-3400
Entity Central Index Key	0001330399
Entity Incorporation, State or Country Code	X1
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Entity Interactive Data Current	Yes
Entity Current Reporting Status	Yes
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q2
Amendment Flag	false
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		24,881,003

XML

Statements of Income - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Interest income:
Advances	$ 170,477	$ 491,375	$ 453,752	$ 1,029,712
Interest-bearing deposits	360	10,106	5,367	22,090
Securities purchased under agreements to resell	240	9,046	7,629	15,703
Federal funds sold	1,239	43,810	26,454	77,597
Trading securities	14,598	13,789	32,731	23,008
Available-for-sale (AFS) securities	43,192	66,186	106,569	129,314
Held-to-maturity (HTM) securities	13,632	20,267	32,116	44,626
Mortgage loans held for portfolio	40,591	42,456	85,629	84,470
Total interest income	284,329	697,035	750,247	1,426,520
Interest expense:
Consolidated obligations - discount notes	57,364	142,978	158,434	329,934
Consolidated obligations - bonds	120,268	436,778	381,427	846,073
Deposits	16	3,337	1,801	6,007
Mandatorily redeemable capital stock and other borrowings	3,910	3,320	10,055	3,920
Total interest expense	181,558	586,413	551,717	1,185,934
Net interest income	102,771	110,622	198,530	240,586
Provision for credit losses	944	1,023	4,392	1,449
Net interest income after provision for credit losses	101,827	109,599	194,138	239,137
Other noninterest income (loss):
Net OTTI losses	0	(37)	0	(59)
Net gains (losses) on investment securities (Note 2)	(3,263)	7,793	59,191	17,914
Net gains (losses) on derivatives and hedging activities (Note 5)	(3,864)	(24,833)	(101,274)	(37,804)
Standby letters of credit fees	5,229	5,234	10,612	11,036
Other, net	2,043	397	283	1,553
Total other noninterest income (loss)	145	(11,446)	(31,188)	(7,360)
Other Expense
Compensation and benefits	16,518	11,250	26,346	25,780
Other operating	14,881	8,502	21,998	15,494
Finance Agency	1,894	1,589	3,794	3,186
Office of Finance	1,223	1,231	2,752	2,769
Total other expense	34,516	22,572	54,890	47,229
Income before assessments	67,456	75,581	108,060	184,548
Affordable Housing Program (AHP) assessment	7,136	7,890	11,811	18,846
Net Income	$ 60,320	$ 67,691	$ 96,249	$ 165,702

XML

Statements of Comprehensive Income - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Net Income	$ 60,320	$ 67,691	$ 96,249	$ 165,702
Other comprehensive income (loss):
Net unrealized gains on AFS securities	88,564	9,306	21,190	45,218
Net non-credit portion of OTTI gains (losses) on AFS securities	0	(4,045)	0	(4,444)
Reclassification of net (gains) included in net income relating to hedging activities	(148)	(7)	(149)	(15)
Pension and post-retirement benefits	868	154	1,037	211
Total other comprehensive income	89,284	5,408	22,078	40,970
Total comprehensive income	$ 149,604	$ 73,099	$ 118,327	$ 206,672

XML

Statements of Condition - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
ASSETS
Cash and due from banks		$ 377,412	$ 21,490
Interest-bearing deposits (Note 2)		1,595,775	1,476,890
Federal funds sold (Note 2)		2,840,000	3,770,000
Securities purchased under agreements to resell (Note 2)		1,600,000	2,200,000
Investment securities: (Note 2)
Trading securities		3,703,692	3,631,650
AFS securities, net; amortized cost of $10,511,154 and $11,000,910, respectively		10,627,629	11,097,769
HTM securities; fair value of $2,048,046 and $2,440,288, respectively		1,965,460	2,395,691
Total investment securities		16,296,781	17,125,110
Advances (Note 3)	[1]	49,614,391	65,610,075
Mortgage loans held for portfolio, net (Note 4)		5,241,536	5,114,625
Banking on Business (BOB) loans, net		20,197	19,706
Accrued interest receivable		131,858	193,352
Derivative assets (Note 5)		208,920	140,251
Other assets		48,199	52,630
Total assets		77,975,069	95,724,129
Liabilities
Deposits		951,034	573,382
Consolidated obligations: (Note 6)
Discount notes		26,051,806	23,141,362
Bonds		46,582,826	66,807,807
Total consolidated obligations		72,634,632	89,949,169
Mandatorily redeemable capital stock (Note 7)		303,882	343,575
Accrued interest payable		97,916	205,118
AHP payable		109,580	112,289
Derivative liabilities (Note 5)		1,704	3,024
Other liabilities		57,479	64,736
Total liabilities		74,156,227	91,251,293
Commitments and contingencies (Note 10)
Capital (Note 7)
Capital stock - putable ($100 par value) issued and outstanding 23,714 and 30,550 shares, respectively		2,371,420	3,054,996
Retained earnings:
Unrestricted		898,980	910,726
Restricted		434,538	415,288
Total retained earnings		1,333,518	1,326,014
Accumulated Other Comprehensive Income (AOCI)		113,904	91,826
Total capital		3,818,842	4,472,836
Total liabilities and capital		$ 77,975,069	$ 95,724,129

[1] Amounts exclude accrued interest receivable of $68.6 million and $119.7 million at June 30, 2020 and December 31, 2019

XML

Statement of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
ASSETS
AFS Securities, Amortized Cost	[1]	$ 10,511,154	$ 11,000,910
HTM securities - fair value		$ 2,048,046	$ 2,440,288
Stockholders' Equity Attributable to Parent [Abstract]
Capital Stock, Par value Per Share		$ 100	$ 100
Capital Stock, Shares, Issued and Outstanding		23,714	30,550

[1] Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

XML

Statements of Cash Flows - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
OPERATING ACTIVITIES
Net income	$ 96,249	$ 165,702
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	(10,446)	(16,025)
Net change in derivative and hedging activities	(392,592)	(299,500)
Other adjustments	5,401	2,513
Net change in:
Trading securities	(72,042)	(1,252,166)
Accrued interest receivable	61,661	(6,897)
Other assets	(522)	(4,826)
Accrued interest payable	(107,213)	12,061
Other liabilities	(10,265)	4,094
Net cash provided by (used in) operating activities	(429,769)	(1,395,044)
Net change in:
Interest-bearing deposits (including $(1,436) and ($36) (to) other FHLBanks for mortgage loan program)	(188,644)	663,911
Securities purchased under agreements to resell	600,000	(1,250,000)
Federal funds sold	930,000	(2,930,000)
AFS securities:
Proceeds	1,230,536	1,278,410
Purchases	(626,110)	(2,160,646)
HTM securities:
Proceeds	920,165	1,175,142
Purchases	(490,908)	(671,282)
Advances:
Repaid	296,437,670	518,580,114
Originated	(280,129,780)	(517,619,799)
Mortgage loans held for portfolio:
Proceeds	593,719	212,135
Purchases	(730,655)	(425,022)
Other investing activities, net	(285)	1,880
Net cash provided by (used in) investing activities	18,545,708	(3,145,157)
FINANCING ACTIVITIES
Net change in deposits	372,368	174,115
Net proceeds from issuance of consolidated obligations:
Discount notes	157,018,954	264,321,282
Bonds	21,254,195	36,859,132
Payments for maturing and retiring consolidated obligations
Discount notes	(154,099,672)	(266,206,641)
Bonds	(41,493,735)	(30,408,880)
Proceeds from issuance of capital stock	2,481,356	3,285,357
Payments for repurchase/redemption of capital stock	(3,125,475)	(3,308,294)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(79,150)	(41,399)
Cash dividends paid	(97,399)	(139,580)
Partial Recovery Of Prior Capital Distribution To Financing Corporation	8,541
Net cash provided by (used in) financing activities	(17,760,017)	4,535,092
Net increase (decrease) in cash and due from banks	355,922	(5,109)
Cash and due from banks at beginning of the period	21,490	71,320
Cash and due from banks at end of the period	377,412	66,211
Supplemental disclosures:
Interest paid	651,066	1,191,171
AHP payments	14,520	11,285
Capital stock reclassified to mandatorily redeemable capital stock	$ 39,457	$ 361,117

XML

Statement of Cash Flows (Parenthetical) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Interest-bearing deposits (including $(1,436) and ($36) (to) other FHLBanks for mortgage loan program)	$ (1,436)	$ (36)

XML

Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	$ 4,960,463	$ 5,158,643	$ 4,472,836	$ 5,376,294
Comprehensive Income	149,604	73,099	118,327	206,672
Issuance of capital stock	297,636	1,830,547	2,481,356	3,285,357
Repurchase/redemption of capital stock	(1,516,716)	(1,596,668)	(3,125,475)	(3,308,294)
Net shares reclassified to mandatorily redeemable capital stock	(39,437)	(336,304)	(39,457)	(361,117)
Partial Recovery Of Prior Capital Distribution To Financing Corporation	8,541		8,541
Cash dividends	(41,249)	(73,412)	(97,399)	(143,007)
Total capital, ending balance	$ 3,818,842	$ 5,055,905	$ 3,818,842	$ 5,055,905
Capital Stock - Putable
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Balance, shares beginning balance	36,299	37,456	30,550	40,272
Total capital, beginning balance	$ 3,629,937	$ 3,745,615	$ 3,054,996	$ 4,027,244
Issuance of capital stock, shares	2,976	18,306	24,814	32,854
Issuance of capital stock	$ 297,636	$ 1,830,547	$ 2,481,356	$ 3,285,357
Repurchase/redemption of capital stock, shares	(15,167)	(15,967)	(31,255)	(33,083)
Repurchase/redemption of capital stock	$ (1,516,716)	$ (1,596,668)	$ (3,125,475)	$ (3,308,294)
Net shares reclassified to mandatorily redeemable capital stock, shares	(394)	(3,363)	(395)	(3,611)
Net shares reclassified to mandatorily redeemable capital stock	$ (39,437)	$ (336,304)	$ (39,457)	$ (361,117)
Balance, shares ending balance	23,714	36,432	23,714	36,432
Total capital, ending balance	$ 2,371,420	$ 3,643,190	$ 2,371,420	$ 3,643,190
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	883,432	932,815	910,726	924,001
Comprehensive Income	48,256	54,152	76,999	132,561
Partial Recovery Of Prior Capital Distribution To Financing Corporation	8,541		8,541
Cash dividends	(41,249)	(73,412)	(97,399)	(143,007)
Total capital, ending balance	898,980	913,555	898,980	913,555
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	422,474	371,505	415,288	351,903
Comprehensive Income	12,064	13,539	19,250	33,141
Total capital, ending balance	434,538	385,044	434,538	385,044
Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	1,305,906	1,304,320	1,326,014	1,275,904
Comprehensive Income	60,320	67,691	96,249	165,702
Partial Recovery Of Prior Capital Distribution To Financing Corporation	8,541		8,541
Cash dividends	(41,249)	(73,412)	(97,399)	(143,007)
Total capital, ending balance	1,333,518	1,298,599	1,333,518	1,298,599
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	24,620	108,708	91,826	73,146
Comprehensive Income	89,284	5,408	22,078	40,970
Total capital, ending balance	113,904	$ 114,116	113,904	$ 114,116
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance	113		113
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance	113		113
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance	113		113
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance	$ 0		$ 0

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Background Information Background Information (Notes)

6 Months Ended

Jun. 30, 2020

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 capital 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 8 - 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 6 - 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 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, 2019 included in the Bank's 2019 Form 10-K.

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

6 Months Ended

Jun. 30, 2020

Accounting Standards Update and Change in Accounting Principle [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 six months ended June 30, 2020.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2020-04: Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting	This ASU provides temporary optional guidance to ease the potential burden in accounting for reference rate reform with optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met.	The Bank adopted the amendments in this ASU on March 12, 2020 and will apply it prospectively through December 31, 2022.	The adoption of this ASU did not impact the Bank’s financial condition or results of operation. The Bank is currently evaluating the optional expedients and exceptions and has not yet made any elections.
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.	The Bank adopted this ASU on January 1, 2020 on a prospective basis.	The adoption of this ASU did not have a significant impact on the Bank’s financial condition or results of operations.
ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement	This ASU adds, removes, and modifies certain fair value disclosure requirements.	The Bank adopted this ASU on January 1, 2020.	The adoption of this ASU did not have a significant impact on the Bank's disclosures.
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.	The Bank adopted this ASU on January 1, 2020 on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance was applied prospectively.	The adoption of this ASU did not have a significant impact on the Bank's financial statements. The Bank recognized zero credit losses on advances and GSE/U.S. investments. The impact on the Bank’s financial statements for all other financial instruments including securities purchased under agreements to resell, interest bearing deposits, federal funds sold, state or local agency obligations, private label MBS, BOB loans, and MPF loans was immaterial. See below for key changes to significant accounting policies.

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 2018-14: 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 2016-13: Financial Instruments - Credit Losses, as amended

Beginning January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses (ACL). Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. For information on the prior accounting treatment, see Note 1 - Summary of Significant Accounting Policies of the audited financial statements in the Bank’s 2019 Form 10-K.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition.

These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost.

See Note 2 - Investments for details on the allowance methodologies relating to these investments.

Investment Securities.

AFS. AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall occurs, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write–down of the AFS security's amortized cost.

If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities.

For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively.

Effective January 1, 2020, the net non-credit portion of OTTI gains (losses) on AFS securities was reclassified to net unrealized gains (losses) on AFS securities within OCI.

HTM. Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, which is cost net of periodic principal repayments and amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition.

HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately.

See Note 2 - Investments for details on the allowance methodologies relating to AFS and HTM securities.

Advances. Advances are carried at amortized cost, which is l cost net of periodic principal repayments, net of amortization of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Combined Statement of Condition. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 3 - Advances for details on the allowance methodology relating to advances.

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and direct write-downs. Accrued interest receivable is recorded separately on the Statement of Condition. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses

The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis.

When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status.

The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 4 - Mortgage Loans for details on the allowance methodologies relating to mortgage loans.

Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses.

Troubled Debt Restructuring Relief

On March 27, 2020, the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) providing optional, temporary relief from accounting for certain loan modifications as troubled debt restructurings (TDRs) was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of COVID-19 (COVID-related modifications) granted to borrowers that are current as of December 31, 2019. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States. In second quarter 2020, the Bank elected to apply the TDR relief provided by the CARES Act.

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Investments

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Investments

Investments

The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO.

Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At June 30, 2020 and December 31, 2019, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at June 30, 2020 and December 31, 2019. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At June 30, 2020, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day. At June 30, 2020 and December 31, 2019, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at June 30, 2020 and December 31, 2019. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At June 30, 2020, 46.9% of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Debt Securities

The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities.

Trading Securities. The following table presents trading securities as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
U.S. Treasury obligations	$	3,445,162	$	3,390,772
GSE and TVA obligations	258,530		240,878
Total	$	3,703,692	$	3,631,650

The following table presents net gains (losses) on trading securities for the second quarter and first six months of 2020 and 2019.

	Three Months Ended June 30,					Six Months Ended June 30,
(in thousands)	2020			2019		2020		2019
Net unrealized gains (losses) on trading securities held at period-end	$	934		$	6,686	$	43,885	$	16,807
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	(4,197		)	1,107		15,306		1,107
Net gains (losses) on trading securities	$	(3,263	)	$	7,793	$	59,191	$	17,914

AFS Securities. The following tables present AFS securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,615,925	$	—		$	40,620	$	—		$	1,656,545
State or local agency obligations	234,262		—			14,076		—			248,338
Total non-MBS	$	1,850,187	$	—		$	54,696	$	—		$	1,904,883
MBS:
U.S. obligations single-family MBS	$	721,344	$	—		$	6,600	$	(399	)	$	727,545
GSE single-family MBS	4,098,714		—			24,709		(3,150		)	4,120,273
GSE multifamily MBS	3,593,462		—			13,355		(12,771		)	3,594,046
Private label MBS	247,447		(1,574		)	35,474		(465		)	280,882
Total MBS	$	8,660,967	$	(1,574	)	$	80,138	$	(16,785	)	$	8,722,746
Total AFS securities	$	10,511,154	$	(1,574	)	$	134,834	$	(16,785	)	$	10,627,629

	December 31, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,508,264	$	—	$	42,435	$	—		$	1,550,699
State or local agency obligations	238,496		—		9,398		—			247,894
Total non-MBS	$	1,746,760	$	—	$	51,833	$	—		$	1,798,593
MBS:
U.S. obligations single-family MBS	$	805,294	$	—	$	3,590	$	(1,298	)	$	807,586
GSE single-family MBS	4,053,700		—		9,574		(7,415		)	4,055,859
GSE multifamily MBS	4,120,532		—		4,581		(15,528		)	4,109,585
Private label MBS	274,624		—		51,704		(182		)	326,146
Total MBS	$	9,254,150	$	—	$	69,449	$	(24,423	)	$	9,299,176
Total AFS securities	$	11,000,910	$	—	$	121,282	$	(24,423	)	$	11,097,769

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank records an ACL for expected credit losses on AFS securities.

The following tables summarize the AFS securities with unrealized losses as of June 30, 2020 and December 31, 2019. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	June 30, 2020
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	75,578	$	(163	)	$	58,856	$	(236	)	$	134,434	$	(399	)
GSE single-family MBS	1,147,934		(1,713		)	525,094		(1,437		)	1,673,028		(3,150		)
GSE multifamily MBS	1,146,615		(6,067		)	1,923,789		(6,704		)	3,070,404		(12,771		)
Private label MBS	1,818		(41		)	2,736		(424		)	4,554		(465		)
Total MBS	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)
Total	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)

	December 31, 2019
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	492,038	$	(1,022	)	$	46,104	$	(276	)	$	538,142	$	(1,298	)
GSE single-family MBS	2,458,728		(6,318		)	221,806		(1,097		)	2,680,534		(7,415		)
GSE multifamily MBS	2,515,001		(10,683		)	1,181,509		(4,845		)	3,696,510		(15,528		)
Private label MBS	—		—			2,979		(182		)	2,979		(182		)
Total MBS	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)
Total	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2020 and December 31, 2019 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)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	19,886	$	19,951	$	—	$	—
Due after one year through five years	593,634		605,414		525,301		534,642
Due after five years through ten years	799,930		820,560		700,613		719,672
Due after ten years	436,737		458,958		520,846		544,279
Total non-MBS	1,850,187		1,904,883		1,746,760		1,798,593
MBS	8,660,967		8,722,746		9,254,150		9,299,176
Total AFS securities	$	10,511,154	$	10,627,629	$	11,000,910	$	11,097,769

Interest Rate Payment Terms.  The following table details interest payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,850,187	$	1,746,760
Variable-rate	—		—
Total non-MBS	$	1,850,187	$	1,746,760
Amortized cost of AFS MBS:
Fixed-rate	$	1,800,475	$	1,444,111
Variable-rate	6,860,492		7,810,039
Total MBS	$	8,660,967	$	9,254,150
Total amortized cost of AFS securities	$	10,511,154	$	11,000,910

HTM Securities. The following tables present HTM securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
MBS:
U.S. obligations single-family MBS	$	195,855	$	1,500	$	(5	)	$	197,350
GSE single-family MBS	1,101,240		28,878		(76		)	1,130,042
GSE multifamily MBS	560,161		55,284		—			615,445
Private label MBS	108,204		181		(3,176		)	105,209
Total MBS	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046
Total HTM securities (2)	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046

	December 31, 2019
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	94,310	$	—	$	(3,394	)	$	90,916
MBS:
U.S. obligations single-family MBS	$	250,195	$	1,087	$	(78	)	$	251,204
GSE single-family MBS	1,156,545		20,896		(254		)	1,177,187
GSE multifamily MBS	770,823		26,231		(252		)	796,802
Private label MBS	123,818		881		(520		)	124,179
Total MBS	$	2,301,381	$	49,095	$	(1,104	)	$	2,349,372
Total HTM securities	$	2,395,691	$	49,095	$	(4,498	)	$	2,440,288

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL on HTM securities. However, no credit loss was determined for these securities as of June 30, 2020.

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of June 30, 2020 and December 31, 2019 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)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		31,925		31,381
Due after ten years	—		—		62,385		59,535
Total non-MBS	—		—		94,310		90,916
MBS	1,965,460		2,048,046		2,301,381		2,349,372
Total HTM securities	$	1,965,460	$	2,048,046	$	2,395,691	$	2,440,288

Interest Rate Payment Terms. The following table details interest rate payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	—
Variable-rate	—		94,310
Total non-MBS	$	—	$	94,310
Amortized cost of HTM MBS:
Fixed-rate	$	1,625,796	$	1,878,151
Variable-rate	339,664		423,230
Total MBS	$	1,965,460	$	2,301,381
Total HTM securities	$	1,965,460	$	2,395,691

Debt Securities ACL. An ACL on AFS and HTM securities was applicable upon adoption of ASU 2016-13, effective January 1, 2020. For HTM securities, there is no ACL at June 30, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at June 30, 2020.

AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the three and six months ended June 30, 2020.

(in thousands)	Private Label MBS
	June 30, 2020
	Three Months Ended			Six Months Ended
Balance, beginning of period	$	2,834		$	—
Additional increases (decreases) for securities in which a previous allowance or credit loss was recorded	(1,260		)	1,574
(Charge-offs) Recoveries, net	—			—
Balance, end of period	$	1,574		$	1,574

Debt Securities ACL Methodology. To evaluate investment securities for credit losses at June 30, 2020, the Bank employs the following methodologies by major security type.

GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at June 30, 2020.

The Bank only purchases GSE and other U.S. obligations considered investment quality. At June 30, 2020, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are 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 and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments.

The Bank only purchases state or local agency obligations considered investment quality. At June 30, 2020, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At June 30, 2020, the Bank expects to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations.

Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of June 30, 2020, 20.7% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses. For certain private label MBS where underlying collateral data is not available, alternative procedures as determined by the Bank were used to assess these securities for credit loss measurement.

The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as:

• the remaining payment terms for the security;

• prepayment speeds based on underlying loan-level borrower and loan characteristics;

• expected default rates based on underlying borrower and loan characteristics;

• expected loss severity based on underlying borrower and loan characteristics;

• expected housing price changes; and

• expected interest-rate assumptions.

The Bank performed a cash flow analysis using a third-party model to assess whether the entire amortized cost basis of its private label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of the model can vary significantly with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast.

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Advances

6 Months Ended

Jun. 30, 2020

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, SOFR or other specified indices.

At June 30, 2020 and December 31, 2019, the Bank had advances outstanding with interest rates ranging from 0.04% to 6.77% and 1.15% to 7.40%, respectively.

The following table details the Bank’s advances portfolio by year of redemption as of June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020				December 31, 2019
Year of Redemption	Amount			Weighted Average Interest Rate	Amount			Weighted Average Interest Rate
Due in 1 year or less	$	32,598,437		0.91	$	41,261,372		1.97	%
Due after 1 year through 2 years	10,030,288			2.08	15,285,269			2.31
Due after 2 years through 3 years	3,553,910			2.36	6,065,460			2.52
Due after 3 years through 4 years	1,207,359			2.07	1,305,453			2.50
Due after 4 years through 5 years	1,505,806			1.96	869,892			2.10
Thereafter	234,843			2.68	651,673			2.76
Total par value	49,130,643			1.33	65,439,119			2.12	%
Deferred prepayment fees	(2,017		)		(1,814		)
Hedging adjustments	485,765				172,770
Total book value (1)	$	49,614,391			$	65,610,075

Notes:

⁽¹⁾ Amounts exclude accrued interest receivable of $68.6 million and $119.7 million at June 30, 2020 and December 31, 2019.

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 June 30, 2020 and December 31, 2019, 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 June 30, 2020 and December 31, 2019.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
Due in 1 year or less	$	32,698,437	$	42,556,372	$	32,618,437	$	41,281,372
Due after 1 year through 2 years	9,970,288		14,060,269		10,030,288		15,285,269
Due after 2 years through 3 years	3,553,910		6,035,460		3,547,910		6,065,460
Due after 3 years through 4 years	1,207,359		1,305,453		1,207,359		1,299,453
Due after 4 years through 5 years	1,465,806		829,892		1,491,806		864,892
Thereafter	234,843		651,673		234,843		642,673
Total par value	$	49,130,643	$	65,439,119	$	49,130,643	$	65,439,119

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Fixed-rate – overnight	$	67,147	$	3,847,547
Fixed-rate – term:
Due in 1 year or less	14,566,612		18,059,289
Thereafter	14,554,106		16,424,647
Total fixed-rate	29,187,865		38,331,483
Variable-rate:
Due in 1 year or less	17,964,678		19,354,536
Thereafter	1,978,100		7,753,100
Total variable-rate	19,942,778		27,107,636
Total par value	$	49,130,643	$	65,439,119

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of June 30, 2020, the Bank had advances of $36.4 billion outstanding to the five largest borrowers, which represented 74.1% of the total principal amount of advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at June 30, 2020.

As of December 31, 2019, the Bank had advances of $50.8 billion outstanding to the five largest borrowers, which represented 77.7% of the total principal amount of advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2019.

Advances ACL. 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 and 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. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs.

In addition, the Bank lends to its members in accordance with the FHLBank Act 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 June 30, 2020 and December 31, 2019, 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 June 30, 2020 and December 31, 2019, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs.

The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at June 30, 2020 or December 31, 2019.

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Mortgage Loans Held for Portfolio

6 Months Ended

Jun. 30, 2020

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 8 for further information regarding transactions with related parties.

The following table presents balances as of June 30, 2020 and December 31, 2019 for mortgage loans held for portfolio.

(in thousands)	June 30, 2020			December 31, 2019
Fixed-rate long-term single-family mortgages (1)	$	4,975,348		$	4,863,177
Fixed-rate medium-term single-family mortgages (1)	173,986			167,156
Total par value	5,149,334			5,030,333
Premiums	87,310			82,108
Discounts	(3,149		)	(3,616		)
Hedging adjustments	13,941			13,632
Total mortgage loans held for portfolio (2)	$	5,247,436		$	5,122,457
Allowance for credit losses on mortgage loans	(5,900		)	(7,832		)
Mortgage loans held for portfolio, net	$	5,241,536		$	5,114,625

Note:

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

⁽²⁾ Amounts exclude accrued interest receivable of $28.4 million and $26.9 million at June 30, 2020 and December 31, 2019.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Conventional loans	$	4,979,660	$	4,856,543
Government-guaranteed/insured loans	169,674		173,790
Total par value	$	5,149,334	$	5,030,333

Purchases, Sales and Reclassifications. During the six months ended June 30, 2020 and 2019, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	27,020	$	81,793	$	108,813
Past due 60-89 days	21,510		85,703		107,213
Past due 90 days or more	13,299		14,303		27,602
Total past due loans	$	61,829	$	181,799	$	243,628
Current loans	1,323,154		3,506,490		4,829,644
Total conventional loans (2)	$	1,384,983	$	3,688,289	$	5,073,272
Payment Status, at recorded investment (1)	December 31, 2019
Past due 30-59 days					$	43,872
Past due 60-89 days					8,601
Past due 90 days or more					12,826
Total past due loans					$	65,299
Current loans					4,904,683
Total conventional loans					$	4,969,982

Note:

⁽¹⁾ The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at June 30, 2020 excludes accrued interest receivable.

⁽²⁾ Includes approximately $195.3 million par value of loans in a forbearance plan as a result of COVID-19, of which approximately $9.8 million was current, $75.9 million was 30-59 days past due, $96.2 million was 60-89 days past due, and $13.4 million was 90 days or more past due at June 30, 2020.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	6,849		$	1,363		$	8,212
Serious delinquency rate (2)	0.6		%	2.0		%	0.6		%
Past due 90 days or more still accruing interest	$	—		$	3,354		$	3,354
Loans on nonaccrual status (3)	$	30,276		$	—		$	30,276
	December 31, 2019
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	4,740		$	1,110		$	5,850
Serious delinquency rate (2)	0.3		%	1.9		%	0.3		%
Past due 90 days or more still accruing interest	$	—		$	3,363		$	3,363
Loans on nonaccrual status (3)	$	14,890		$	—		$	14,890

Note:

⁽¹⁾ 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.

⁽²⁾ 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.

⁽³⁾ All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Mortgage Loans Held for Portfolio ACL. For information on the prior methodology for evaluating credit losses, as well as a discussion on classes of financing receivables, the Bank’s policies for impairing financing receivables, placing them on non-accrual status, and charging them off when necessary, see Note 10 - Allowance for Credit Losses of the audited financial statements in the Bank’s 2019 Form 10-K.

Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results.

Certain conventional loans may be evaluated for credit losses by the Bank using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral 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 collateral dependent 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.

Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q.

As of June 30, 2020, there was approximately $195.3 million in par value of conventional loans in a forbearance plan as a result of COVID-19, which represented approximately 4% of our mortgage loans held for portfolio at June 30, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 97% of the loans were not deemed to be collateral dependent and not charged-off.

Conventional MPF - Expected Recoveries. With the adoption of ASU 2016-13, the Bank is permitted to recognize a recovery through the provision for credit losses where expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition.

Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment.

Conventional MPF - Rollforward of ACL

	Three Months Ended June 30,					Six months ended June 30,
(in thousands)	2020		2019			2020			2019
Balance, beginning of period	$	4,294	$	7,944		$	7,832		$	7,309
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—			(3,875		)	—
(Charge-offs) Recoveries, net (2)	153		(99		)	156			87
Provision for credit losses	1,453		648			1,787			1,097
Balance, June 30	$	5,900	$	8,493		$	5,900		$	8,493

Note:

⁽¹⁾ As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

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

Government-Guaranteed or -Insured Mortgage Loans. 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). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or -insured mortgage loans at June 30, 2020 or December 31, 2019. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

Real Estate Owned (REO). The Bank had $1.4 million and $2.0 million of REO reported in Other assets on the Statement of Condition at June 30, 2020 and December 31, 2019, respectively.

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Derivatives and Hedging Activities

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank's interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures 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 2019 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.

	June 30, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	23,408,553	$	5,951	$	3,466
Derivatives not designated as hedging instruments:
Interest rate swaps	$	3,451,488	$	525	$	2,219
Interest rate caps or floors	1,280,000		1,051		—
Mortgage delivery commitments	106,090		603		12
Total derivatives not designated as hedging instruments:	$	4,837,578	$	2,179	$	2,231
Total derivatives before netting and collateral adjustments	$	28,246,131	$	8,130	$	5,697
Netting adjustments and cash collateral (1)			200,790		(3,993		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	208,920	$	1,704

	December 31, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,572,128	$	14,079	$	4,148
Derivatives not designated as hedging instruments:
Interest rate swaps	$	10,413,906	$	1,676	$	4,642
Interest rate caps or floors	1,330,000		417		—
Mortgage delivery commitments	73,574		29		79
Total derivatives not designated as hedging instruments:	$	11,817,480	$	2,122	$	4,721
Total derivatives before netting and collateral adjustments	$	46,389,608	$	16,201	$	8,869
Netting adjustments and cash collateral (1)			124,050		(5,845		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	140,251	$	3,024

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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

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.

(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 June 30, 2020
Hedged item type:
Advances	$	2,123		$	(2,146	)	$	(49,396	)	$	(49,419	)	$	170,477
AFS securities	(6,492		)	6,996			(4,728		)	(4,224		)	43,192
Mortgage loans held for portfolio	—			(677		)	—			(677		)	40,591
Consolidated obligations – bonds	(15,989		)	16,005			23,081			23,097			(120,268		)
Total	$	(20,358	)	$	20,178		$	(31,043	)	$	(31,223	)
Six months ended June 30, 2020
Hedged item type:
Advances	$	(313,121	)	$	312,993		$	(67,109	)	$	(67,237	)	$	453,752
AFS securities	(112,694		)	109,053			(6,664		)	(10,305		)	106,569
Mortgage loans held for portfolio	—			(1,083		)	—			(1,083		)	85,629
Consolidated obligations – bonds	26,381			(25,980		)	32,758			33,159			(381,427		)
Total	$	(399,434	)	$	394,983		$	(41,015	)	$	(45,466	)

(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 June 30, 2019
Hedged item type:
Advances	$	(198,851	)	$	198,831		$	19,192		$	19,172		$	491,375
AFS securities	(44,151		)	42,668			632			(851		)	66,186
Mortgage loans held for portfolio	—			(683		)	—			(683		)	42,456
Consolidated obligations – bonds	79,649			(80,583		)	(22,796		)	(23,730		)	(436,778		)
Total	$	(163,353	)	$	160,233		$	(2,972	)	$	(6,092	)
Six Months Ended June 30, 2019
Hedged item type:
Advances	$	(313,048	)	$	312,953		$	43,172		$	43,077		$	1,029,712
AFS securities	(72,029		)	69,403			1,242			(1,384		)	129,314
Mortgage loans held for portfolio	—			(1,565		)	—			(1,565		)	84,470
Consolidated obligations – bonds	147,407			(148,712		)	(51,887		)	(53,192		)	(846,073		)
	$	(237,670	)	$	232,079		$	(7,473	)	$	(13,064	)

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

(in thousands)	June 30, 2020
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	$	16,459,976	$	485,792	$	(26	)	$	485,766
AFS securities	1,500,970		158,064		1,215			159,279
Consolidated obligations – bonds	6,152,797		58,674		352			59,026

(in thousands)	December 31, 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	$	16,724,094	$	172,779	$	(9	)	$	172,770
AFS securities	1,391,938		48,946		1,281			50,227
Consolidated obligations – bonds	16,715,492		32,886		160			33,046

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.

	Three months ended June 30,						Six months ended June 30,
(in thousands)	2020			2019			2020			2019
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	752		$	(23,728	)	$	(97,452	)	$	(33,924	)
Interest rate caps or floors	83			519			635			(804		)
Net interest settlements	(5,894		)	(1,752		)	(7,165		)	(2,966		)
To Be Announced (TBA)	—			—			38			—
Mortgage delivery commitments	1,035			(100		)	2,366			28
Other	148			7			149			15
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(3,876	)	$	(25,054	)	$	(101,429	)	$	(37,651	)
Other - price alignment amount on cleared derivatives (1)	12			221			155			(153		)
Net gains (losses) on derivatives and hedging activities	$	(3,864	)	$	(24,833	)	$	(101,274	)	$	(37,804	)

Notes:

⁽¹⁾ This amount is for derivatives for which variation margin is characterized as a settled to market.

The Bank had no active cash flow hedging relationships during the first six months of 2020 or 2019.

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 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 June 30, 2020 was $1.3 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 additional collateral to its derivative counterparties at June 30, 2020.

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 settled to market, rather than collateral. Initial margin is considered collateralized to market.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 9 - 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 June 30, 2020.

Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the 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)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	4,357		$	8,743
Cleared derivatives	3,170			7,429
Total gross recognized amount	7,527			16,172
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(4,018		)	(7,631		)
Cleared derivatives	204,808			131,681
Total gross amounts of netting adjustments and cash collateral	200,790			124,050
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	339			1,112
Cleared derivatives	207,978			139,110
Total net amounts after netting adjustments and cash collateral	208,317			140,222
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	603			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	603			29
Total derivative assets:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total derivative assets as reported in the Statement of Condition	208,920			140,251
Net unsecured amount:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total net unsecured amount	$	208,920		$	140,251

	Derivative Liabilities
(in thousands)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,047		$	7,135
Cleared derivatives	638			1,655
Total gross recognized amount	5,685			8,790
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(3,355		)	(4,190		)
Cleared derivatives	(638		)	(1,655		)
Total gross amounts of netting adjustments and cash collateral	(3,993		)	(5,845		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,692			2,945
Cleared derivatives	—			—
Total net amounts after netting adjustments and cash collateral	1,692			2,945
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	12			79
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	12			79
Total derivative liabilities
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	1,704			3,024
Net unsecured amount:
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total net unsecured amount	$	1,704		$	3,024

Note:

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

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Consolidated Obligations

6 Months Ended

Jun. 30, 2020

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 11 FHLBanks’ outstanding consolidated obligations were $915.8 billion and $1,025.9 billion at June 30, 2020 and December 31, 2019, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 13 to the audited financial statements in the Bank's 2019 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020			December 31, 2019
Par value of consolidated bonds:
Fixed-rate	$	19,037,135		$	29,292,200
Step-up	40,000			705,000
Floating-rate	27,354,000			36,707,000
Total par value	46,431,135			66,704,200
Bond premiums	106,079			85,028
Bond discounts	(7,661		)	(8,350		)
Concession fees	(5,753		)	(6,118		)
Hedging adjustments	59,026			33,047
Total book value	$	46,582,826		$	66,807,807

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of June 30, 2020 and December 31, 2019.

	June 30, 2020				December 31, 2019
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	33,645,355	0.59	%	$	50,306,900	1.83	%
Due after 1 year through 2 years	4,930,990		1.91		7,268,705		2.10
Due after 2 years through 3 years	2,085,415		2.35		2,705,420		2.36
Due after 3 years through 4 years	1,170,400		2.55		1,469,400		2.58
Due after 4 years through 5 years	1,337,200		2.03		947,375		2.69
Thereafter	3,261,775		2.32		4,006,400		2.73
Total par value	$	46,431,135	1.02	%	$	66,704,200	1.96	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Noncallable	$	42,517,135	$	61,597,600
Callable	3,914,000		5,106,600
Total par value	$	46,431,135	$	66,704,200

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of June 30, 2020 and December 31, 2019.

(in thousands) Year of Contractual Maturity or Next Call Date	June 30, 2020		December 31, 2019
Due in 1 year or less	$	35,865,355	$	54,157,900
Due after 1 year through 2 years	4,946,990		6,573,705
Due after 2 years through 3 years	2,085,415		2,623,420
Due after 3 years through 4 years	1,055,400		1,063,400
Due after 4 years through 5 years	979,200		827,375
Thereafter	1,498,775		1,458,400
Total par value	$	46,431,135	$	66,704,200

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 June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020			December 31, 2019
Book value	$	26,051,806		$	23,141,362
Par value	26,069,277			23,211,524
Weighted average interest rate (1)	0.46		%	1.61		%

Note:

⁽¹⁾ Represents an implied rate.

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Capital

6 Months Ended

Jun. 30, 2020

Banking Regulation, Total 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 15 to the audited financial statements in the Bank’s 2019 Form 10-K. At June 30, 2020, 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 $2.0 billion in B1 membership stock and B2 activity stock, respectively, at June 30, 2020. The Bank had $0.3 billion and $2.7 billion in B1 membership stock and B2 activity stock, respectively, at December 31, 2019.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at June 30, 2020 and December 31, 2019.

	June 30, 2020						December 31, 2019
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	560,969		$	4,008,820		$	610,573		$	4,724,586
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	4.9		%
Total regulatory capital	3,119,003			4,008,820			3,828,965			4,724,586
Leverage ratio	5.0		%	7.7		%	5.0		%	7.4		%
Leverage capital	3,898,753			6,013,230			4,786,206			7,086,879

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On June 24, 2020, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended March 31,2020. 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 June 30, 2020.

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 June 30, 2020 and December 31, 2019, the Bank had $303.9 million and $343.6 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 was $3.9 million and $10.1 million during the three and six months ended June 30, 2020, respectively. Estimated dividends on mandatorily redeemable capital stock recorded as interest expense was $3.3 million and $3.9 million during the three and six months ended June 30, 2019, respectively

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2020 and 2019.

	Six Months Ended June 30,
(in thousands)	2020			2019
Balance, beginning of the period	$	343,575		$	24,099
Capital stock subject to mandatory redemption reclassified from capital	39,457			361,117
Redemption/repurchase of mandatorily redeemable stock	(79,150		)	(41,399		)
Balance, end of the period	$	303,882		$	343,817

As of June 30, 2020, the total mandatorily redeemable capital stock reflected the balance for seven institutions. Five 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.  One other institution has notified the Bank of its

intention to voluntarily redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Due in 1 year or less	$	3,041	$	3,316
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	21		21
Due after 3 years through 4 years	300,000		20,000
Due after 4 years through 5 years	619		320,000
Past contractual redemption date due to remaining activity	201		238
Total	$	303,882	$	343,575

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.

Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings.

FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 approximated $8.5 million based on its share of the $680 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account.

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 June 30, 2020, retained earnings were $1,333.5 million, including $899.0 million of unrestricted retained earnings and 434.5 million of RRE.

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 second quarter of 2020 and 2019 are presented in the table below.

	Dividend - Annual Yield
	2020				2019
	Membership		Activity		Membership		Activity
February	4.50	%	7.75	%	4.50	%	7.75	%
April	3.00	%	6.25	%	4.50	%	7.75	%

In July 2020, the Bank paid a quarterly dividend equal to an annual yield of 3.00% and 6.25% on membership and activity stock, respectively.

The following table summarizes the changes in AOCI for the three and six months ended June 30, 2020 and 2019.

(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
March 31, 2019	$	45,799	$	64,734		$	168		$	(1,993	)	$	108,708
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	9,306		(4,082		)	—			—			5,224
Non-credit OTTI to credit OTTI	—		37			—			—			37
Amortization on hedging activities	—		—			(7		)	—			(7		)
Pension and post-retirement	—		—			—			154			154
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
March 31, 2020	$	29,485	$	—		$	148		$	(5,013	)	$	24,620
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	88,564		—			—			—			88,564
Amortization on hedging activities	—		—			(148		)	—			(148		)
Pension and post-retirement	—		—			—			868			868
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904
December 31, 2018	$	9,887	$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	45,218		(4,503		)	—			—			40,715
Noncredit OTTI to credit OTTI	—		59			—			—			59
Amortization on hedging activities	—		—			(15		)	—			(15		)
Pension and post-retirement	—		—			—			211			211
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
December 31, 2019	$	45,155	$	51,704		$	149		$	(5,182	)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU -2016-13	51,704		(51,704		)	—			—			—
Net unrealized gains (losses)	21,190		—			—			—			21,190
Amortization on hedging activities	—		—			(149		)	—			(149		)
Pension and post-retirement	—		—			—			1,037			1,037
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904

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Transactions with Related Parties

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020		December 31, 2019
Advances	$	22,760,846	$	34,748,867
Letters of credit (1)	2,216,776		2,418,025
MPF loans	500,203		455,600
Deposits	42,485		17,904
Capital stock	1,049,349		1,574,659

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 June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Interest income on advances	$	117,949	$	308,669	$	270,597	$	700,217
Interest income on MPF loans	6,321		7,183		12,920		14,829
Letters of credit fees	700		1,481		1,412		3,113

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

	Three Months Ended June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Servicing fee expense	$	999	$	867	$	1,970	$	1,702

(in thousands)	June 30, 2020		December 31, 2019
Interest-bearing deposits maintained with FHLBank of Chicago	$	6,609	$	5,173

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the six months ended June 30, 2020, there was no lending or borrowing activity between the Bank and other FHLBanks. During the six months ended June 30, 2019, the total amount loaned to and repaid from other FHLBanks was $500.0 million.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During the six months ended June 30, 2020 and 2019, 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 six months ended June 30, 2020 and 2019.

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 17 to the audited financial statements in the Bank's 2019 Form 10-K.

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Estimated Fair Values

6 Months Ended

Jun. 30, 2020

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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019 are presented in the table below.

Fair Value Summary Table
	June 30, 2020
(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	$	377,412	$	377,412	$	—	$	—	$	—		$	377,412
Interest-bearing deposits	1,595,775		1,589,166		6,609		—		—			1,595,775
Federal funds sold	2,840,000		—		2,839,995		—		—			2,839,995
Securities purchased under agreement to resell (2)	1,600,000		—		1,599,997		—		—			1,599,997
Trading securities	3,703,692		—		3,703,692		—		—			3,703,692
AFS securities	10,627,629		—		10,346,747		280,882		—			10,627,629
HTM securities	1,965,460		—		1,942,837		105,209		—			2,048,046
Advances	49,614,391		—		49,724,459		—		—			49,724,459
Mortgage loans held for portfolio, net	5,241,536		—		5,565,724		—		—			5,565,724
BOB loans, net	20,197		—		—		20,197		—			20,197
Accrued interest receivable	131,858		—		131,858		—		—			131,858
Derivative assets	208,920		—		8,130		—		200,790			208,920
Liabilities:
Deposits	$	951,034	$	—	$	951,034	$	—	$	—		$	951,034
Discount notes	26,051,806		—		26,062,444		—		—			26,062,444
Bonds	46,582,826		—		47,085,730		—		—			47,085,730
Mandatorily redeemable capital stock (3)	303,882		308,981		—		—		—			308,981
Accrued interest payable (3)	97,916		—		92,817		—		—			92,817
Derivative liabilities	1,704		—		5,697		—		(3,993		)	1,704

	December 31, 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	$	21,490	$	21,490	$	—	$	—	$	—		$	21,490
Interest-bearing deposits	1,476,890		1,471,717		5,173		—		—			1,476,890
Federal funds sold	3,770,000		—		3,769,965		—		—			3,769,965
Securities purchased under agreement to resell (2)	2,200,000		—		2,199,973		—		—			2,199,973
Trading securities	3,631,650		—		3,631,650		—		—			3,631,650
AFS securities	11,097,769		—		10,771,623		326,146		—			11,097,769
HTM securities	2,395,691		—		2,316,109		124,179		—			2,440,288
Advances	65,610,075		—		65,662,578		—		—			65,662,578
Mortgage loans held for portfolio, net	5,114,625		—		5,313,973		—		—			5,313,973
BOB loans, net	19,706		—		—		19,706		—			19,706
Accrued interest receivable	193,352		—		193,352		—		—			193,352
Derivative assets	140,251		—		16,201		—		124,050			140,251
Liabilities:
Deposits	$	573,382	$	—	$	573,382	$	—	$	—		$	573,382
Discount notes	23,141,362		—		23,142,588		—		—			23,142,588
Bonds	66,807,807		—		66,981,400		—		—			66,981,400
Mandatorily redeemable capital stock (3)	343,575		350,287		—		—		—			350,287
Accrued interest payable (3)	205,118		—		198,406		—		—			198,406
Derivative liabilities	3,024		—		8,869		—		(5,845		)	3,024

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 June 30, 2020 and December 31, 2019. 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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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.

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:

•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 and U.S. Treasury obligations. For 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. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach.

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 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 June 30, 2020, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. 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, 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. SOFR curve for SOFR indexed swaps. Overnight Index Swap (OIS) curve for all other swaps.

• Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

• 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 June 30, 2020 and December 31, 2019. 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.

	June 30, 2020
(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	$	—	$	3,445,162	$	—	$	—		$	3,445,162
GSE and TVA obligations	—		258,530		—		—			258,530
Total trading securities	$	—	$	3,703,692	$	—	$	—		$	3,703,692
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,656,545	$	—	$	—		$	1,656,545
State or local agency obligations	—		248,338		—		—			248,338
MBS:
U.S. obligations single-family MBS	—		727,545		—		—			727,545
GSE single-family MBS	—		4,120,273		—		—			4,120,273
GSE multifamily MBS	—		3,594,046		—		—			3,594,046
Private label MBS	—		—		280,882		—			280,882
Total AFS securities	$	—	$	10,346,747	$	280,882	$	—		$	10,627,629
Derivative assets:
Interest rate related	$	—	$	7,527	$	—	$	200,790		$	208,317
Mortgage delivery commitments	—		603		—		—			603
Total derivative assets	$	—	$	8,130	$	—	$	200,790		$	208,920
Total recurring assets at fair value	$	—	$	14,058,569	$	280,882	$	200,790		$	14,540,241
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	5,685	—		$	(3,993	)	$	1,692
Mortgage delivery commitments	—		12		—		—			12
Total recurring liabilities at fair value (2)	$	—	$	5,697	$	—	$	(3,993	)	$	1,704
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,980	$	—		$	7,980
REO	—		—		395		—			395
Total non-recurring assets at fair value	$	—	$	—	$	8,375	$	—		$	8,375

	December 31, 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	$	—	$	3,390,772	$	—	$	—		$	3,390,772
GSE and TVA obligations	—		240,878		—		—			240,878
Total trading securities	$	—	$	3,631,650	$	—	$	—		$	3,631,650
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,550,699	$	—	$	—		1,550,699
State or local agency obligations	—		247,894		—		—			247,894
MBS:
U.S. obligations single-family MBS	—		807,586		—		—			807,586
GSE single-family MBS	—		4,055,859		—		—			4,055,859
GSE multifamily MBS	—		4,109,585		—		—			4,109,585
Private label MBS	—		—		326,146		—			326,146
Total AFS securities	$	—	$	10,771,623	$	326,146	$	—		$	11,097,769
Derivative assets:
Interest rate related	$	—	$	16,172	$	—	$	124,050		$	140,222
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	16,201	$	—	$	124,050		$	140,251
Total recurring assets at fair value	$	—	$	14,419,474	$	326,146	$	124,050		$	14,869,670
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	8,790	$	—	$	(5,845	)	$	2,945
Mortgage delivery commitments	—		79		—		—			79
Total recurring liabilities at fair value (2)	$	—	$	8,869	$	—	$	(5,845	)	$	3,024
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,850	$	—		$	7,850
REO	—		—		2,449		—			2,449
Total non-recurring assets at fair value	$	—	$	—	$	10,299	$	—		$	10,299

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.

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 six months ended June 30, 2020 and 2019. 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 six months of 2020 or 2019.

	AFS Private Label MBS
	Three Months Ended June 30,						Six Months Ended June 30,
(in thousands)	2020			2019			2020			2019
Balance, beginning of period	$	280,431		$	394,606		$	326,146		$	409,550
Total gains (losses) (realized/unrealized) included in:
(Provision) benefit for credit losses (1)	1,260			—			(1,574		)	—
Accretion of credit losses in interest income	3,029			3,646			5,938			6,796
Net OTTI losses, credit portion	—			(37		)	—			(59		)
Net unrealized gains (losses) on AFS in OCI	12,525			(29		)	(16,514		)	32
Reclassification of non-credit portion included in net income	—			37			—			59
Unrealized gains (losses) on OTTI AFS in OCI	—			(4,083		)	—			(4,504		)
Purchases, issuances, sales, and settlements:
Settlements	(16,363		)	(22,738		)	(33,114		)	(40,472		)
Balance at June 30	$	280,882		$	371,402		$	280,882		$	371,402
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 June 30	$	4,289		$	3,094		$	4,364		$	6,188
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held June 30 (2)	$	12,525		N/A			$	(16,514	)	N/A

Notes:

⁽¹⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL for expected credit losses on AFS securities.

⁽²⁾ Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019.

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Commitments and Contingencies

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020						December 31, 2019
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	16,395,671	$	—	$	16,395,671	$	17,370,617
Commitments to fund additional advances and BOB loans	19,393		—		19,393		19,796
Commitments to purchase mortgage loans	106,090		—		106,090		73,574
Unsettled consolidated obligation bonds, at par	161,695		—		161,695		62,000
Unsettled consolidated obligation discount notes, at par	284,029		—		284,029		1,083,406

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $272.1 million and $23.9 million at June 30, 2020 and December 31, 2019, respectively.

⁽²⁾ Letters of credit in the amount of $3.8 billion and $4.3 billion at June 30, 2020 and December 31, 2019, respectively, have renewal language that permits the letter of credit to be renewed for an additional period 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 $3.1 million and $3.5 million at June 30, 2020 and December 31, 2019, respectively. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 3 - Advances.

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

The Bank does not have any legally binding or unconditional unused lines of credit for advances at June 30, 2020 and December 31, 2019. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $12.2 billion and $9.8 billion at June 30, 2020 and December 31, 2019, respectively.

Commitments to 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 5 - 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 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.

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Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2020

Credit Loss, Financial Instrument [Policy Text Block]

Beginning January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through the allowance for credit losses (ACL). Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. For information on the prior accounting treatment, see Note 1 - Summary of Significant Accounting Policies of the audited financial statements in the Bank’s 2019 Form 10-K.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition.

These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost.

See Note 2 - Investments for details on the allowance methodologies relating to these investments.

Investment Securities.

AFS. AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall occurs, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write–down of the AFS security's amortized cost.

If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities.

For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively.

Effective January 1, 2020, the net non-credit portion of OTTI gains (losses) on AFS securities was reclassified to net unrealized gains (losses) on AFS securities within OCI.

HTM. Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, which is cost net of periodic principal repayments and amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition.

HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately.

See Note 2 - Investments for details on the allowance methodologies relating to AFS and HTM securities.

Advances. Advances are carried at amortized cost, which is l cost net of periodic principal repayments, net of amortization of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Combined Statement of Condition. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 3 - Advances for details on the allowance methodology relating to advances.

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and direct write-downs. Accrued interest receivable is recorded separately on the Statement of Condition. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses

The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis.

When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status.

The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 4 - Mortgage Loans for details on the allowance methodologies relating to mortgage loans.

Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses.

Troubled Debt Restructuring Relief

On March 27, 2020, the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) providing optional, temporary relief from accounting for certain loan modifications as troubled debt restructurings (TDRs) was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of COVID-19 (COVID-related modifications) granted to borrowers that are current as of December 31, 2019. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States. In second quarter 2020, the Bank elected to apply the TDR relief provided by the CARES Act.

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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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

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

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

Fair Value of Financial Instruments, Policy

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the 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.

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. SOFR curve for SOFR indexed swaps. Overnight Index Swap (OIS) curve for all other swaps.

• Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

• 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 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.

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Investments (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of Trading Securities

The following table presents trading securities as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
U.S. Treasury obligations	$	3,445,162	$	3,390,772
GSE and TVA obligations	258,530		240,878
Total	$	3,703,692	$	3,631,650

Net Gains (Losses) on Trading Securities

The following table presents net gains (losses) on trading securities for the second quarter and first six months of 2020 and 2019.

	Three Months Ended June 30,					Six Months Ended June 30,
(in thousands)	2020			2019		2020		2019
Net unrealized gains (losses) on trading securities held at period-end	$	934		$	6,686	$	43,885	$	16,807
Net unrealized and realized gains (losses) on trading securities sold/matured during the period	(4,197		)	1,107		15,306		1,107
Net gains (losses) on trading securities	$	(3,263	)	$	7,793	$	59,191	$	17,914

Schedule of Available-for-sale Securities Reconciliation [Table Text Block]

The following tables present AFS securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,615,925	$	—		$	40,620	$	—		$	1,656,545
State or local agency obligations	234,262		—			14,076		—			248,338
Total non-MBS	$	1,850,187	$	—		$	54,696	$	—		$	1,904,883
MBS:
U.S. obligations single-family MBS	$	721,344	$	—		$	6,600	$	(399	)	$	727,545
GSE single-family MBS	4,098,714		—			24,709		(3,150		)	4,120,273
GSE multifamily MBS	3,593,462		—			13,355		(12,771		)	3,594,046
Private label MBS	247,447		(1,574		)	35,474		(465		)	280,882
Total MBS	$	8,660,967	$	(1,574	)	$	80,138	$	(16,785	)	$	8,722,746
Total AFS securities	$	10,511,154	$	(1,574	)	$	134,834	$	(16,785	)	$	10,627,629

	December 31, 2019
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
GSE and TVA obligations	$	1,508,264	$	—	$	42,435	$	—		$	1,550,699
State or local agency obligations	238,496		—		9,398		—			247,894
Total non-MBS	$	1,746,760	$	—	$	51,833	$	—		$	1,798,593
MBS:
U.S. obligations single-family MBS	$	805,294	$	—	$	3,590	$	(1,298	)	$	807,586
GSE single-family MBS	4,053,700		—		9,574		(7,415		)	4,055,859
GSE multifamily MBS	4,120,532		—		4,581		(15,528		)	4,109,585
Private label MBS	274,624		—		51,704		(182		)	326,146
Total MBS	$	9,254,150	$	—	$	69,449	$	(24,423	)	$	9,299,176
Total AFS securities	$	11,000,910	$	—	$	121,282	$	(24,423	)	$	11,097,769

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank records an ACL for expected credit losses on AFS securities.

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block]

The following tables summarize the AFS securities with unrealized losses as of June 30, 2020 and December 31, 2019. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	June 30, 2020
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	75,578	$	(163	)	$	58,856	$	(236	)	$	134,434	$	(399	)
GSE single-family MBS	1,147,934		(1,713		)	525,094		(1,437		)	1,673,028		(3,150		)
GSE multifamily MBS	1,146,615		(6,067		)	1,923,789		(6,704		)	3,070,404		(12,771		)
Private label MBS	1,818		(41		)	2,736		(424		)	4,554		(465		)
Total MBS	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)
Total	$	2,371,945	$	(7,984	)	$	2,510,475	$	(8,801	)	$	4,882,420	$	(16,785	)

	December 31, 2019
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	492,038	$	(1,022	)	$	46,104	$	(276	)	$	538,142	$	(1,298	)
GSE single-family MBS	2,458,728		(6,318		)	221,806		(1,097		)	2,680,534		(7,415		)
GSE multifamily MBS	2,515,001		(10,683		)	1,181,509		(4,845		)	3,696,510		(15,528		)
Private label MBS	—		—			2,979		(182		)	2,979		(182		)
Total MBS	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)
Total	$	5,465,767	$	(18,023	)	$	1,452,398	$	(6,400	)	$	6,918,165	$	(24,423	)

Investments Classified by Contractual Maturity Date [Table Text Block]

he amortized cost and fair value of HTM securities by contractual maturity as of June 30, 2020 and December 31, 2019 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)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		31,925		31,381
Due after ten years	—		—		62,385		59,535
Total non-MBS	—		—		94,310		90,916
MBS	1,965,460		2,048,046		2,301,381		2,349,372
Total HTM securities	$	1,965,460	$	2,048,046	$	2,395,691	$	2,440,288

The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2020 and December 31, 2019 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)	June 30, 2020				December 31, 2019
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	19,886	$	19,951	$	—	$	—
Due after one year through five years	593,634		605,414		525,301		534,642
Due after five years through ten years	799,930		820,560		700,613		719,672
Due after ten years	436,737		458,958		520,846		544,279
Total non-MBS	1,850,187		1,904,883		1,746,760		1,798,593
MBS	8,660,967		8,722,746		9,254,150		9,299,176
Total AFS securities	$	10,511,154	$	10,627,629	$	11,000,910	$	11,097,769

Debt Securities, Held-to-maturity [Table Text Block]

The following tables present HTM securities as of June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
MBS:
U.S. obligations single-family MBS	$	195,855	$	1,500	$	(5	)	$	197,350
GSE single-family MBS	1,101,240		28,878		(76		)	1,130,042
GSE multifamily MBS	560,161		55,284		—			615,445
Private label MBS	108,204		181		(3,176		)	105,209
Total MBS	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046
Total HTM securities (2)	$	1,965,460	$	85,843	$	(3,257	)	$	2,048,046

	December 31, 2019
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
State or local agency obligations	$	94,310	$	—	$	(3,394	)	$	90,916
MBS:
U.S. obligations single-family MBS	$	250,195	$	1,087	$	(78	)	$	251,204
GSE single-family MBS	1,156,545		20,896		(254		)	1,177,187
GSE multifamily MBS	770,823		26,231		(252		)	796,802
Private label MBS	123,818		881		(520		)	124,179
Total MBS	$	2,301,381	$	49,095	$	(1,104	)	$	2,349,372
Total HTM securities	$	2,395,691	$	49,095	$	(4,498	)	$	2,440,288

Notes:

⁽¹⁾ Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

⁽²⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL on HTM securities. However, no credit loss was determined for these securities as of June 30, 2020.

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

The following table details interest rate payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	—
Variable-rate	—		94,310
Total non-MBS	$	—	$	94,310
Amortized cost of HTM MBS:
Fixed-rate	$	1,625,796	$	1,878,151
Variable-rate	339,664		423,230
Total MBS	$	1,965,460	$	2,301,381
Total HTM securities	$	1,965,460	$	2,395,691

The following table details interest payment terms at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Amortized cost of AFS non-MBS:
Fixed-rate	$	1,850,187	$	1,746,760
Variable-rate	—		—
Total non-MBS	$	1,850,187	$	1,746,760
Amortized cost of AFS MBS:
Fixed-rate	$	1,800,475	$	1,444,111
Variable-rate	6,860,492		7,810,039
Total MBS	$	8,660,967	$	9,254,150
Total amortized cost of AFS securities	$	10,511,154	$	11,000,910

Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block]

The following table presents a rollforward of the ACL on AFS securities for the three and six months ended June 30, 2020.

(in thousands)	Private Label MBS
	June 30, 2020
	Three Months Ended			Six Months Ended
Balance, beginning of period	$	2,834		$	—
Additional increases (decreases) for securities in which a previous allowance or credit loss was recorded	(1,260		)	1,574
(Charge-offs) Recoveries, net	—			—
Balance, end of period	$	1,574		$	1,574

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Advances (Tables)

6 Months Ended

Jun. 30, 2020

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date

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 June 30, 2020 and December 31, 2019.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
Due in 1 year or less	$	32,698,437	$	42,556,372	$	32,618,437	$	41,281,372
Due after 1 year through 2 years	9,970,288		14,060,269		10,030,288		15,285,269
Due after 2 years through 3 years	3,553,910		6,035,460		3,547,910		6,065,460
Due after 3 years through 4 years	1,207,359		1,305,453		1,207,359		1,299,453
Due after 4 years through 5 years	1,465,806		829,892		1,491,806		864,892
Thereafter	234,843		651,673		234,843		642,673
Total par value	$	49,130,643	$	65,439,119	$	49,130,643	$	65,439,119

The following table details the Bank’s advances portfolio by year of redemption as of June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020				December 31, 2019
Year of Redemption	Amount			Weighted Average Interest Rate	Amount			Weighted Average Interest Rate
Due in 1 year or less	$	32,598,437		0.91	$	41,261,372		1.97	%
Due after 1 year through 2 years	10,030,288			2.08	15,285,269			2.31
Due after 2 years through 3 years	3,553,910			2.36	6,065,460			2.52
Due after 3 years through 4 years	1,207,359			2.07	1,305,453			2.50
Due after 4 years through 5 years	1,505,806			1.96	869,892			2.10
Thereafter	234,843			2.68	651,673			2.76
Total par value	49,130,643			1.33	65,439,119			2.12	%
Deferred prepayment fees	(2,017		)		(1,814		)
Hedging adjustments	485,765				172,770
Total book value (1)	$	49,614,391			$	65,610,075

The following table details interest rate payment terms by year of redemption for advances as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Fixed-rate – overnight	$	67,147	$	3,847,547
Fixed-rate – term:
Due in 1 year or less	14,566,612		18,059,289
Thereafter	14,554,106		16,424,647
Total fixed-rate	29,187,865		38,331,483
Variable-rate:
Due in 1 year or less	17,964,678		19,354,536
Thereafter	1,978,100		7,753,100
Total variable-rate	19,942,778		27,107,636
Total par value	$	49,130,643	$	65,439,119

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Mortgage Loans Held for Portfolio (Tables)

6 Months Ended

Jun. 30, 2020

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 June 30, 2020 and December 31, 2019 for mortgage loans held for portfolio.

(in thousands)	June 30, 2020			December 31, 2019
Fixed-rate long-term single-family mortgages (1)	$	4,975,348		$	4,863,177
Fixed-rate medium-term single-family mortgages (1)	173,986			167,156
Total par value	5,149,334			5,030,333
Premiums	87,310			82,108
Discounts	(3,149		)	(3,616		)
Hedging adjustments	13,941			13,632
Total mortgage loans held for portfolio (2)	$	5,247,436		$	5,122,457
Allowance for credit losses on mortgage loans	(5,900		)	(7,832		)
Mortgage loans held for portfolio, net	$	5,241,536		$	5,114,625

Note:

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

⁽²⁾ Amounts exclude accrued interest receivable of $28.4 million and $26.9 million at June 30, 2020 and December 31, 2019.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Conventional loans	$	4,979,660	$	4,856,543
Government-guaranteed/insured loans	169,674		173,790
Total par value	$	5,149,334	$	5,030,333

Financing Receivable Credit Quality Indicators [Table Text Block]

The following table presents the payment status for conventional mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	27,020	$	81,793	$	108,813
Past due 60-89 days	21,510		85,703		107,213
Past due 90 days or more	13,299		14,303		27,602
Total past due loans	$	61,829	$	181,799	$	243,628
Current loans	1,323,154		3,506,490		4,829,644
Total conventional loans (2)	$	1,384,983	$	3,688,289	$	5,073,272
Payment Status, at recorded investment (1)	December 31, 2019
Past due 30-59 days					$	43,872
Past due 60-89 days					8,601
Past due 90 days or more					12,826
Total past due loans					$	65,299
Current loans					4,904,683
Total conventional loans					$	4,969,982

Note:

⁽¹⁾ The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at June 30, 2020 excludes accrued interest receivable.

⁽²⁾ Includes approximately $195.3 million par value of loans in a forbearance plan as a result of COVID-19, of which approximately $9.8 million was current, $75.9 million was 30-59 days past due, $96.2 million was 60-89 days past due, and $13.4 million was 90 days or more past due at June 30, 2020.

Financing Receivable, Past Due [Table Text Block]

The following table presents the delinquency statistics for the Bank’s mortgage loans at June 30, 2020 and December 31, 2019.

	June 30, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	6,849		$	1,363		$	8,212
Serious delinquency rate (2)	0.6		%	2.0		%	0.6		%
Past due 90 days or more still accruing interest	$	—		$	3,354		$	3,354
Loans on nonaccrual status (3)	$	30,276		$	—		$	30,276
	December 31, 2019
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	4,740		$	1,110		$	5,850
Serious delinquency rate (2)	0.3		%	1.9		%	0.3		%
Past due 90 days or more still accruing interest	$	—		$	3,363		$	3,363
Loans on nonaccrual status (3)	$	14,890		$	—		$	14,890

Note:

⁽¹⁾ 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.

⁽²⁾ 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.

⁽³⁾ All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Financing Receivable, Allowance for Credit Loss [Table Text Block]

ollforward of ACL

	Three Months Ended June 30,					Six months ended June 30,
(in thousands)	2020		2019			2020			2019
Balance, beginning of period	$	4,294	$	7,944		$	7,832		$	7,309
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—			(3,875		)	—
(Charge-offs) Recoveries, net (2)	153		(99		)	156			87
Provision for credit losses	1,453		648			1,787			1,097
Balance, June 30	$	5,900	$	8,493		$	5,900		$	8,493

Note:

⁽¹⁾ As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

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

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Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2020

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.

	June 30, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	23,408,553	$	5,951	$	3,466
Derivatives not designated as hedging instruments:
Interest rate swaps	$	3,451,488	$	525	$	2,219
Interest rate caps or floors	1,280,000		1,051		—
Mortgage delivery commitments	106,090		603		12
Total derivatives not designated as hedging instruments:	$	4,837,578	$	2,179	$	2,231
Total derivatives before netting and collateral adjustments	$	28,246,131	$	8,130	$	5,697
Netting adjustments and cash collateral (1)			200,790		(3,993		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	208,920	$	1,704

	December 31, 2019
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	34,572,128	$	14,079	$	4,148
Derivatives not designated as hedging instruments:
Interest rate swaps	$	10,413,906	$	1,676	$	4,642
Interest rate caps or floors	1,330,000		417		—
Mortgage delivery commitments	73,574		29		79
Total derivatives not designated as hedging instruments:	$	11,817,480	$	2,122	$	4,721
Total derivatives before netting and collateral adjustments	$	46,389,608	$	16,201	$	8,869
Netting adjustments and cash collateral (1)			124,050		(5,845		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	140,251	$	3,024

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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

Derivative Instruments, Gain (Loss)

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.

(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 June 30, 2020
Hedged item type:
Advances	$	2,123		$	(2,146	)	$	(49,396	)	$	(49,419	)	$	170,477
AFS securities	(6,492		)	6,996			(4,728		)	(4,224		)	43,192
Mortgage loans held for portfolio	—			(677		)	—			(677		)	40,591
Consolidated obligations – bonds	(15,989		)	16,005			23,081			23,097			(120,268		)
Total	$	(20,358	)	$	20,178		$	(31,043	)	$	(31,223	)
Six months ended June 30, 2020
Hedged item type:
Advances	$	(313,121	)	$	312,993		$	(67,109	)	$	(67,237	)	$	453,752
AFS securities	(112,694		)	109,053			(6,664		)	(10,305		)	106,569
Mortgage loans held for portfolio	—			(1,083		)	—			(1,083		)	85,629
Consolidated obligations – bonds	26,381			(25,980		)	32,758			33,159			(381,427		)
Total	$	(399,434	)	$	394,983		$	(41,015	)	$	(45,466	)

(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 June 30, 2019
Hedged item type:
Advances	$	(198,851	)	$	198,831		$	19,192		$	19,172		$	491,375
AFS securities	(44,151		)	42,668			632			(851		)	66,186
Mortgage loans held for portfolio	—			(683		)	—			(683		)	42,456
Consolidated obligations – bonds	79,649			(80,583		)	(22,796		)	(23,730		)	(436,778		)
Total	$	(163,353	)	$	160,233		$	(2,972	)	$	(6,092	)
Six Months Ended June 30, 2019
Hedged item type:
Advances	$	(313,048	)	$	312,953		$	43,172		$	43,077		$	1,029,712
AFS securities	(72,029		)	69,403			1,242			(1,384		)	129,314
Mortgage loans held for portfolio	—			(1,565		)	—			(1,565		)	84,470
Consolidated obligations – bonds	147,407			(148,712		)	(51,887		)	(53,192		)	(846,073		)
	$	(237,670	)	$	232,079		$	(7,473	)	$	(13,064	)

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.

	Three months ended June 30,						Six months ended June 30,
(in thousands)	2020			2019			2020			2019
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	752		$	(23,728	)	$	(97,452	)	$	(33,924	)
Interest rate caps or floors	83			519			635			(804		)
Net interest settlements	(5,894		)	(1,752		)	(7,165		)	(2,966		)
To Be Announced (TBA)	—			—			38			—
Mortgage delivery commitments	1,035			(100		)	2,366			28
Other	148			7			149			15
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(3,876	)	$	(25,054	)	$	(101,429	)	$	(37,651	)
Other - price alignment amount on cleared derivatives (1)	12			221			155			(153		)
Net gains (losses) on derivatives and hedging activities	$	(3,864	)	$	(24,833	)	$	(101,274	)	$	(37,804	)

Notes:

⁽¹⁾ This amount is for derivatives for which variation margin is characterized as a settled to market.

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)	June 30, 2020
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	$	16,459,976	$	485,792	$	(26	)	$	485,766
AFS securities	1,500,970		158,064		1,215			159,279
Consolidated obligations – bonds	6,152,797		58,674		352			59,026

(in thousands)	December 31, 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	$	16,724,094	$	172,779	$	(9	)	$	172,770
AFS securities	1,391,938		48,946		1,281			50,227
Consolidated obligations – bonds	16,715,492		32,886		160			33,046

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)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	4,357		$	8,743
Cleared derivatives	3,170			7,429
Total gross recognized amount	7,527			16,172
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(4,018		)	(7,631		)
Cleared derivatives	204,808			131,681
Total gross amounts of netting adjustments and cash collateral	200,790			124,050
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	339			1,112
Cleared derivatives	207,978			139,110
Total net amounts after netting adjustments and cash collateral	208,317			140,222
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	603			29
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	603			29
Total derivative assets:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total derivative assets as reported in the Statement of Condition	208,920			140,251
Net unsecured amount:
Uncleared derivatives	942			1,141
Cleared derivatives	207,978			139,110
Total net unsecured amount	$	208,920		$	140,251

	Derivative Liabilities
(in thousands)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,047		$	7,135
Cleared derivatives	638			1,655
Total gross recognized amount	5,685			8,790
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(3,355		)	(4,190		)
Cleared derivatives	(638		)	(1,655		)
Total gross amounts of netting adjustments and cash collateral	(3,993		)	(5,845		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,692			2,945
Cleared derivatives	—			—
Total net amounts after netting adjustments and cash collateral	1,692			2,945
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	12			79
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	12			79
Total derivative liabilities
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	1,704			3,024
Net unsecured amount:
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total net unsecured amount	$	1,704		$	3,024

Note:

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

Offsetting Liabilities

	Derivative Liabilities
(in thousands)	June 30, 2020			December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,047		$	7,135
Cleared derivatives	638			1,655
Total gross recognized amount	5,685			8,790
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(3,355		)	(4,190		)
Cleared derivatives	(638		)	(1,655		)
Total gross amounts of netting adjustments and cash collateral	(3,993		)	(5,845		)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,692			2,945
Cleared derivatives	—			—
Total net amounts after netting adjustments and cash collateral	1,692			2,945
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	12			79
Cleared derivatives	—			—
Total derivative instruments not meeting netting requirements:	12			79
Total derivative liabilities
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total derivative liabilities as reported in the Statement of Condition	1,704			3,024
Net unsecured amount:
Uncleared derivatives	1,704			3,024
Cleared derivatives	—			—
Total net unsecured amount	$	1,704		$	3,024

Note:

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

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Consolidated Obligations (Tables)

6 Months Ended

Jun. 30, 2020

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

Schedule of Maturities of Debt

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of June 30, 2020 and December 31, 2019.

	June 30, 2020				December 31, 2019
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	33,645,355	0.59	%	$	50,306,900	1.83	%
Due after 1 year through 2 years	4,930,990		1.91		7,268,705		2.10
Due after 2 years through 3 years	2,085,415		2.35		2,705,420		2.36
Due after 3 years through 4 years	1,170,400		2.55		1,469,400		2.58
Due after 4 years through 5 years	1,337,200		2.03		947,375		2.69
Thereafter	3,261,775		2.32		4,006,400		2.73
Total par value	$	46,431,135	1.02	%	$	66,704,200	1.96	%

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of June 30, 2020 and December 31, 2019.

(in thousands) Year of Contractual Maturity or Next Call Date	June 30, 2020		December 31, 2019
Due in 1 year or less	$	35,865,355	$	54,157,900
Due after 1 year through 2 years	4,946,990		6,573,705
Due after 2 years through 3 years	2,085,415		2,623,420
Due after 3 years through 4 years	1,055,400		1,063,400
Due after 4 years through 5 years	979,200		827,375
Thereafter	1,498,775		1,458,400
Total par value	$	46,431,135	$	66,704,200

Schedule of Long-term Debt by Call Feature

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020			December 31, 2019
Par value of consolidated bonds:
Fixed-rate	$	19,037,135		$	29,292,200
Step-up	40,000			705,000
Floating-rate	27,354,000			36,707,000
Total par value	46,431,135			66,704,200
Bond premiums	106,079			85,028
Bond discounts	(7,661		)	(8,350		)
Concession fees	(5,753		)	(6,118		)
Hedging adjustments	59,026			33,047
Total book value	$	46,582,826		$	66,807,807

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Noncallable	$	42,517,135	$	61,597,600
Callable	3,914,000		5,106,600
Total par value	$	46,431,135	$	66,704,200

Schedule of Short-term Debt

The following table details the Bank’s consolidated obligation discount notes as of June 30, 2020 and December 31, 2019.

(dollars in thousands)	June 30, 2020			December 31, 2019
Book value	$	26,051,806		$	23,141,362
Par value	26,069,277			23,211,524
Weighted average interest rate (1)	0.46		%	1.61		%

Note:

⁽¹⁾ Represents an implied rate.

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Capital (Tables)

6 Months Ended

Jun. 30, 2020

Banking Regulation, Total 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 June 30, 2020 and December 31, 2019.

	June 30, 2020						December 31, 2019
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	560,969		$	4,008,820		$	610,573		$	4,724,586
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	4.9		%
Total regulatory capital	3,119,003			4,008,820			3,828,965			4,724,586
Leverage ratio	5.0		%	7.7		%	5.0		%	7.4		%
Leverage capital	3,898,753			6,013,230			4,786,206			7,086,879

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at June 30, 2020 and December 31, 2019.

(in thousands)	June 30, 2020		December 31, 2019
Due in 1 year or less	$	3,041	$	3,316
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	21		21
Due after 3 years through 4 years	300,000		20,000
Due after 4 years through 5 years	619		320,000
Past contractual redemption date due to remaining activity	201		238
Total	$	303,882	$	343,575

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2020 and 2019.

	Six Months Ended June 30,
(in thousands)	2020			2019
Balance, beginning of the period	$	343,575		$	24,099
Capital stock subject to mandatory redemption reclassified from capital	39,457			361,117
Redemption/repurchase of mandatorily redeemable stock	(79,150		)	(41,399		)
Balance, end of the period	$	303,882		$	343,817

Schedule of Dividends Paid [Table Text Block]

Dividends paid through the second quarter of 2020 and 2019 are presented in the table below.

	Dividend - Annual Yield
	2020				2019
	Membership		Activity		Membership		Activity
February	4.50	%	7.75	%	4.50	%	7.75	%
April	3.00	%	6.25	%	4.50	%	7.75	%

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for the three and six months ended June 30, 2020 and 2019.

(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
March 31, 2019	$	45,799	$	64,734		$	168		$	(1,993	)	$	108,708
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	9,306		(4,082		)	—			—			5,224
Non-credit OTTI to credit OTTI	—		37			—			—			37
Amortization on hedging activities	—		—			(7		)	—			(7		)
Pension and post-retirement	—		—			—			154			154
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
March 31, 2020	$	29,485	$	—		$	148		$	(5,013	)	$	24,620
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	88,564		—			—			—			88,564
Amortization on hedging activities	—		—			(148		)	—			(148		)
Pension and post-retirement	—		—			—			868			868
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904
December 31, 2018	$	9,887	$	65,133		$	176		$	(2,050	)	$	73,146
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	45,218		(4,503		)	—			—			40,715
Noncredit OTTI to credit OTTI	—		59			—			—			59
Amortization on hedging activities	—		—			(15		)	—			(15		)
Pension and post-retirement	—		—			—			211			211
June 30, 2019	$	55,105	$	60,689		$	161		$	(1,839	)	$	114,116
December 31, 2019	$	45,155	$	51,704		$	149		$	(5,182	)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU -2016-13	51,704		(51,704		)	—			—			—
Net unrealized gains (losses)	21,190		—			—			—			21,190
Amortization on hedging activities	—		—			(149		)	—			(149		)
Pension and post-retirement	—		—			—			1,037			1,037
June 30, 2020	$	118,049	$	—		$	—		$	(4,145	)	$	113,904

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Transactions with Related Parties (Tables)

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020		December 31, 2019
Advances	$	22,760,846	$	34,748,867
Letters of credit (1)	2,216,776		2,418,025
MPF loans	500,203		455,600
Deposits	42,485		17,904
Capital stock	1,049,349		1,574,659

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 June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Interest income on advances	$	117,949	$	308,669	$	270,597	$	700,217
Interest income on MPF loans	6,321		7,183		12,920		14,829
Letters of credit fees	700		1,481		1,412		3,113

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 June 30,				Six Months Ended June 30,
(in thousands)	2020		2019		2020		2019
Servicing fee expense	$	999	$	867	$	1,970	$	1,702

(in thousands)	June 30, 2020		December 31, 2019
Interest-bearing deposits maintained with FHLBank of Chicago	$	6,609	$	5,173

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Estimated Fair Values (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at June 30, 2020 and December 31, 2019 are presented in the table below.

Fair Value Summary Table
	June 30, 2020
(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	$	377,412	$	377,412	$	—	$	—	$	—		$	377,412
Interest-bearing deposits	1,595,775		1,589,166		6,609		—		—			1,595,775
Federal funds sold	2,840,000		—		2,839,995		—		—			2,839,995
Securities purchased under agreement to resell (2)	1,600,000		—		1,599,997		—		—			1,599,997
Trading securities	3,703,692		—		3,703,692		—		—			3,703,692
AFS securities	10,627,629		—		10,346,747		280,882		—			10,627,629
HTM securities	1,965,460		—		1,942,837		105,209		—			2,048,046
Advances	49,614,391		—		49,724,459		—		—			49,724,459
Mortgage loans held for portfolio, net	5,241,536		—		5,565,724		—		—			5,565,724
BOB loans, net	20,197		—		—		20,197		—			20,197
Accrued interest receivable	131,858		—		131,858		—		—			131,858
Derivative assets	208,920		—		8,130		—		200,790			208,920
Liabilities:
Deposits	$	951,034	$	—	$	951,034	$	—	$	—		$	951,034
Discount notes	26,051,806		—		26,062,444		—		—			26,062,444
Bonds	46,582,826		—		47,085,730		—		—			47,085,730
Mandatorily redeemable capital stock (3)	303,882		308,981		—		—		—			308,981
Accrued interest payable (3)	97,916		—		92,817		—		—			92,817
Derivative liabilities	1,704		—		5,697		—		(3,993		)	1,704

	December 31, 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	$	21,490	$	21,490	$	—	$	—	$	—		$	21,490
Interest-bearing deposits	1,476,890		1,471,717		5,173		—		—			1,476,890
Federal funds sold	3,770,000		—		3,769,965		—		—			3,769,965
Securities purchased under agreement to resell (2)	2,200,000		—		2,199,973		—		—			2,199,973
Trading securities	3,631,650		—		3,631,650		—		—			3,631,650
AFS securities	11,097,769		—		10,771,623		326,146		—			11,097,769
HTM securities	2,395,691		—		2,316,109		124,179		—			2,440,288
Advances	65,610,075		—		65,662,578		—		—			65,662,578
Mortgage loans held for portfolio, net	5,114,625		—		5,313,973		—		—			5,313,973
BOB loans, net	19,706		—		—		19,706		—			19,706
Accrued interest receivable	193,352		—		193,352		—		—			193,352
Derivative assets	140,251		—		16,201		—		124,050			140,251
Liabilities:
Deposits	$	573,382	$	—	$	573,382	$	—	$	—		$	573,382
Discount notes	23,141,362		—		23,142,588		—		—			23,142,588
Bonds	66,807,807		—		66,981,400		—		—			66,981,400
Mandatorily redeemable capital stock (3)	343,575		350,287		—		—		—			350,287
Accrued interest payable (3)	205,118		—		198,406		—		—			198,406
Derivative liabilities	3,024		—		8,869		—		(5,845		)	3,024

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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019. 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.

	June 30, 2020
(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	$	—	$	3,445,162	$	—	$	—		$	3,445,162
GSE and TVA obligations	—		258,530		—		—			258,530
Total trading securities	$	—	$	3,703,692	$	—	$	—		$	3,703,692
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,656,545	$	—	$	—		$	1,656,545
State or local agency obligations	—		248,338		—		—			248,338
MBS:
U.S. obligations single-family MBS	—		727,545		—		—			727,545
GSE single-family MBS	—		4,120,273		—		—			4,120,273
GSE multifamily MBS	—		3,594,046		—		—			3,594,046
Private label MBS	—		—		280,882		—			280,882
Total AFS securities	$	—	$	10,346,747	$	280,882	$	—		$	10,627,629
Derivative assets:
Interest rate related	$	—	$	7,527	$	—	$	200,790		$	208,317
Mortgage delivery commitments	—		603		—		—			603
Total derivative assets	$	—	$	8,130	$	—	$	200,790		$	208,920
Total recurring assets at fair value	$	—	$	14,058,569	$	280,882	$	200,790		$	14,540,241
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	5,685	—		$	(3,993	)	$	1,692
Mortgage delivery commitments	—		12		—		—			12
Total recurring liabilities at fair value (2)	$	—	$	5,697	$	—	$	(3,993	)	$	1,704
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,980	$	—		$	7,980
REO	—		—		395		—			395
Total non-recurring assets at fair value	$	—	$	—	$	8,375	$	—		$	8,375

	December 31, 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	$	—	$	3,390,772	$	—	$	—		$	3,390,772
GSE and TVA obligations	—		240,878		—		—			240,878
Total trading securities	$	—	$	3,631,650	$	—	$	—		$	3,631,650
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,550,699	$	—	$	—		1,550,699
State or local agency obligations	—		247,894		—		—			247,894
MBS:
U.S. obligations single-family MBS	—		807,586		—		—			807,586
GSE single-family MBS	—		4,055,859		—		—			4,055,859
GSE multifamily MBS	—		4,109,585		—		—			4,109,585
Private label MBS	—		—		326,146		—			326,146
Total AFS securities	$	—	$	10,771,623	$	326,146	$	—		$	11,097,769
Derivative assets:
Interest rate related	$	—	$	16,172	$	—	$	124,050		$	140,222
Mortgage delivery commitments	—		29		—		—			29
Total derivative assets	$	—	$	16,201	$	—	$	124,050		$	140,251
Total recurring assets at fair value	$	—	$	14,419,474	$	326,146	$	124,050		$	14,869,670
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	8,790	$	—	$	(5,845	)	$	2,945
Mortgage delivery commitments	—		79		—		—			79
Total recurring liabilities at fair value (2)	$	—	$	8,869	$	—	$	(5,845	)	$	3,024
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	7,850	$	—		$	7,850
REO	—		—		2,449		—			2,449
Total non-recurring assets at fair value	$	—	$	—	$	10,299	$	—		$	10,299

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 six months ended June 30, 2020 and 2019. 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 six months of 2020 or 2019.

	AFS Private Label MBS
	Three Months Ended June 30,						Six Months Ended June 30,
(in thousands)	2020			2019			2020			2019
Balance, beginning of period	$	280,431		$	394,606		$	326,146		$	409,550
Total gains (losses) (realized/unrealized) included in:
(Provision) benefit for credit losses (1)	1,260			—			(1,574		)	—
Accretion of credit losses in interest income	3,029			3,646			5,938			6,796
Net OTTI losses, credit portion	—			(37		)	—			(59		)
Net unrealized gains (losses) on AFS in OCI	12,525			(29		)	(16,514		)	32
Reclassification of non-credit portion included in net income	—			37			—			59
Unrealized gains (losses) on OTTI AFS in OCI	—			(4,083		)	—			(4,504		)
Purchases, issuances, sales, and settlements:
Settlements	(16,363		)	(22,738		)	(33,114		)	(40,472		)
Balance at June 30	$	280,882		$	371,402		$	280,882		$	371,402
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 June 30	$	4,289		$	3,094		$	4,364		$	6,188
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held June 30 (2)	$	12,525		N/A			$	(16,514	)	N/A

Notes:

⁽¹⁾ Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL for expected credit losses on AFS securities.

⁽²⁾ Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019.

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Commitments and Contingencies (Tables)

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020						December 31, 2019
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	16,395,671	$	—	$	16,395,671	$	17,370,617
Commitments to fund additional advances and BOB loans	19,393		—		19,393		19,796
Commitments to purchase mortgage loans	106,090		—		106,090		73,574
Unsettled consolidated obligation bonds, at par	161,695		—		161,695		62,000
Unsettled consolidated obligation discount notes, at par	284,029		—		284,029		1,083,406

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $272.1 million and $23.9 million at June 30, 2020 and December 31, 2019, respectively.

⁽²⁾ Letters of credit in the amount of $3.8 billion and $4.3 billion at June 30, 2020 and December 31, 2019, respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years.

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Background Information (Details)	Jun. 30, 2020 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%

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Investments Narrative (Details)	Jun. 30, 2020 USD ($)
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for credit losses - HTM	$ 0
PLMBS - AFS HTM - Amortized Cost, Percentage Rated BBB Or Above	20.70%
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Rated Below Triple-B	0.00%
Securities Purchased Under Agreement to Resell, Percentage Rated Below Triple-B	46.90%
Securities Purchased Under Agreements to resell [Domain]
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing Receivable, Allowance for Credit Loss	$ 0
AFS HTM - GSE and Other US Obligations [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing Receivable, Allowance for Credit Loss	$ 0

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Trading Securities (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Investments, Debt and Equity Securities [Line Items]
Trading securities	$ 3,703,692	$ 3,631,650
U.S. Treasury obligations
Investments, Debt and Equity Securities [Line Items]
Trading securities	3,445,162	3,390,772
GSE and TVA obligations
Investments, Debt and Equity Securities [Line Items]
Trading securities	$ 258,530	$ 240,878

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Net unrealized gains (losses) on trading securities held at period-end	$ 934	$ 6,686	$ 43,885	$ 16,807
Debt Securities, Trading, Realized Gain (Loss)	(4,197)	1,107	15,306	1,107
Net gains (losses) on trading securities	$ (3,263)	$ 7,793	$ 59,191	$ 17,914

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Investments AFS - Schedule of Reconciliation Table (Details) - USD ($)		Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	$ 10,511,154,000		$ 11,000,910,000
Allowance for Credit Losses (2)		(1,574,000)	$ (2,834,000)	0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		134,834,000		121,282,000
Gross Unrealized Losses		(16,785,000)		(24,423,000)
AFS Securities		10,627,629,000		11,097,769,000
Available-for-Sale - Accrued Interest		18,300,000		24,400,000
GSE and TVA obligations
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		1,615,925,000		1,508,264,000	[1]
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI		0
Gross Unrealized Gains		40,620,000		42,435,000
Gross Unrealized Losses		0		0
AFS Securities		1,656,545,000		1,550,699,000
State or local agency obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		234,262,000		238,496,000	[1]
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		14,076,000		9,398,000
Gross Unrealized Losses		0		0
AFS Securities		248,338,000		247,894,000
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		1,850,187,000		1,746,760,000
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		54,696,000		51,833,000
Gross Unrealized Losses		0		0
AFS Securities		1,904,883,000		1,798,593,000
U.S. obligations single-family MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		721,344,000		805,294,000	[1]
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		6,600,000		3,590,000
Gross Unrealized Losses		(399,000)		(1,298,000)
AFS Securities		727,545,000		807,586,000
Private label MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		247,447,000		274,624,000	[1]
Allowance for Credit Losses (2)		(1,574,000)
OTTI Recognized in AOCI				0
Gross Unrealized Gains		35,474,000		51,704,000
Gross Unrealized Losses		(465,000)		(182,000)
AFS Securities		280,882,000		326,146,000
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		8,660,967,000		9,254,150,000	[1]
Allowance for Credit Losses (2)	[2]	(1,574,000)
OTTI Recognized in AOCI				0
Gross Unrealized Gains		80,138,000		69,449,000
Gross Unrealized Losses		(16,785,000)		(24,423,000)
AFS Securities		8,722,746,000		9,299,176,000
Single Family [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		4,098,714,000		4,053,700,000	[1]
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		24,709,000		9,574,000
Gross Unrealized Losses		(3,150,000)		(7,415,000)
AFS Securities		4,120,273,000		4,055,859,000
Multifamily [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)		3,593,462,000		4,120,532,000	[1]
Allowance for Credit Losses (2)		0
OTTI Recognized in AOCI				0
Gross Unrealized Gains		13,355,000		4,581,000
Gross Unrealized Losses		(12,771,000)		(15,528,000)
AFS Securities		$ 3,594,046,000		$ 4,109,585,000

[1] Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

[2] Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank records an ACL for expected credit losses on AFS securities.

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Investments AFS - Unrealized Loss Position Table (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	$ 2,371,945	$ 5,465,767
AFS - Unrealized Losses - Less than 12 months	(7,984)	(18,023)
AFS - Fair Value - 12 months or longer	2,510,475	1,452,398
AFS - Unrealized Losses - 12 months or longer	(8,801)	(6,400)
AFS - Fair Value - Total in Continuous Loss Position	4,882,420	6,918,165
AFS - Unrealized Losses - Total in Continuous Loss Position	(16,785)	(24,423)
U.S. obligations single-family MBS
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	75,578	492,038
AFS - Unrealized Losses - Less than 12 months	(163)	(1,022)
AFS - Fair Value - 12 months or longer	58,856	46,104
AFS - Unrealized Losses - 12 months or longer	(236)	(276)
AFS - Fair Value - Total in Continuous Loss Position	134,434	538,142
AFS - Unrealized Losses - Total in Continuous Loss Position	(399)	(1,298)
Private label MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	1,818	0
AFS - Unrealized Losses - Less than 12 months	(41)	0
AFS - Fair Value - 12 months or longer	2,736	2,979
AFS - Unrealized Losses - 12 months or longer	(424)	(182)
AFS - Fair Value - Total in Continuous Loss Position	4,554	2,979
AFS - Unrealized Losses - Total in Continuous Loss Position	(465)	(182)
MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	2,371,945	5,465,767
AFS - Unrealized Losses - Less than 12 months	(7,984)	(18,023)
AFS - Fair Value - 12 months or longer	2,510,475	1,452,398
AFS - Unrealized Losses - 12 months or longer	(8,801)	(6,400)
AFS - Fair Value - Total in Continuous Loss Position	4,882,420	6,918,165
AFS - Unrealized Losses - Total in Continuous Loss Position	(16,785)	(24,423)
Single Family [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	1,147,934	2,458,728
AFS - Unrealized Losses - Less than 12 months	(1,713)	(6,318)
AFS - Fair Value - 12 months or longer	525,094	221,806
AFS - Unrealized Losses - 12 months or longer	(1,437)	(1,097)
AFS - Fair Value - Total in Continuous Loss Position	1,673,028	2,680,534
AFS - Unrealized Losses - Total in Continuous Loss Position	(3,150)	(7,415)
Multifamily [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	1,146,615	2,515,001
AFS - Unrealized Losses - Less than 12 months	(6,067)	(10,683)
AFS - Fair Value - 12 months or longer	1,923,789	1,181,509
AFS - Unrealized Losses - 12 months or longer	(6,704)	(4,845)
AFS - Fair Value - Total in Continuous Loss Position	3,070,404	3,696,510
AFS - Unrealized Losses - Total in Continuous Loss Position	$ (12,771)	$ (15,528)

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Investments AFS - Contractual Maturities Table (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
AFS Securities - Non-MBS - Amortized Cost	[1]	$ 10,511,154	$ 11,000,910
AFS Securities		10,627,629	11,097,769
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - Non-MBS - Due in one year or less - Amortized Cost		19,886	0
AFS - Non-MBS - Due after one year through five years - Amortized Cost		593,634	525,301
AFS - Non-MBS - Due after five through ten years - Amortized Cost		799,930	700,613
AFS - Non-MBS - Due after 10 years - Amortized Cost		436,737	520,846
AFS Securities - Non-MBS - Amortized Cost		1,850,187	1,746,760
AFS - Non-MBS - Due in one year or less - Fair Value		19,951	0
AFS - Non-MBS - Due after one year through five years - Fair Value		605,414	534,642
AFS - Non-MBS - Due after five through ten years - Fair Value		820,560	719,672
AFS - Non-MBS - Due after 10 years - Fair Value		458,958	544,279
AFS Securities		1,904,883	1,798,593
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities - Non-MBS - Amortized Cost		8,660,967	9,254,150	[1]
AFS Securities		$ 8,722,746	$ 9,299,176

[1] Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

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Investments AFS - Interest Rate Payment Terms Table (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost	[1]	$ 10,511,154	$ 11,000,910
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		1,850,187	1,746,760
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		8,660,967	9,254,150	[1]
Fixed Interest Rate [Member] | Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		1,850,187	1,746,760
Fixed Interest Rate [Member] | MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		1,800,475	1,444,111
Variable interest rate [Member] | Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		0	0
Variable interest rate [Member] | MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		$ 6,860,492	$ 7,810,039

[1] Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $18.3 million and $24.4 million at June 30, 2020 and December 31, 2019.

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Investments HTM - Securties by Major Security Type Table (Details) - USD ($) $ in Thousands		Jun. 30, 2020		Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)	[1]	$ 1,965,460		$ 2,395,691
Gross Unrealized Holding Gains		85,843		49,095
Gross Unrealized Holding Losses		(3,257)		(4,498)
HTM securities - fair value		2,048,046		2,440,288
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss		4,700		6,200
State or local agency obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)				94,310
Gross Unrealized Holding Gains				0
Gross Unrealized Holding Losses				(3,394)
HTM securities - fair value				90,916
U.S. obligations single-family MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		195,855	[1]	250,195
Gross Unrealized Holding Gains		1,500		1,087
Gross Unrealized Holding Losses		(5)		(78)
HTM securities - fair value		197,350		251,204
Private label MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		108,204	[1]	123,818
Gross Unrealized Holding Gains		181		881
Gross Unrealized Holding Losses		(3,176)		(520)
HTM securities - fair value		105,209		124,179
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		1,965,460	[1]	2,301,381
Gross Unrealized Holding Gains		85,843		49,095
Gross Unrealized Holding Losses		(3,257)		(1,104)
HTM securities - fair value		2,048,046		2,349,372
Single Family [Member] | GSE MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		1,101,240	[1]	1,156,545
Gross Unrealized Holding Gains		28,878		20,896
Gross Unrealized Holding Losses		(76)		(254)
HTM securities - fair value		1,130,042		1,177,187
Multifamily [Member] | GSE MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		560,161	[1]	770,823
Gross Unrealized Holding Gains		55,284		26,231
Gross Unrealized Holding Losses		0		(252)
HTM securities - fair value		$ 615,445		$ 796,802

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

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Investments HTM - Contractual Maturity Table (Details) - USD ($) $ in Thousands		Jun. 30, 2020		Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost	[1]	$ 1,965,460		$ 2,395,691
HTM securities		2,048,046		2,440,288
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Non-MBS - Due in one year or less - Amortized Cost		0		0
HTM - Non-MBS - Due after one through five years - Amortized Cost		0		0
HTM - Non-MBS - Due after five years through ten years - Amortized Cost		0		31,925
HTM - Non-MBS - Due after ten years - Amortized Cost		0		62,385
HTM - Amortized Cost		0		94,310
HTM - Non-MBS - Due in one year or less - Fair Value		0		0
HTM- Non-MBS - Due after one year through five years - Fair Value		0		0
HTM - Non-MBS - Due after five years through ten years - Fair Value		0		31,381
HTM - Non-MBS - Due after ten years - Fair Value		0		59,535
HTM securities		0		90,916
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,965,460	[1]	2,301,381
HTM securities		$ 2,048,046		$ 2,349,372

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

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Investments HTM - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands		Jun. 30, 2020		Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost	[1]	$ 1,965,460		$ 2,395,691
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		94,310
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,965,460	[1]	2,301,381
Fixed Interest Rate [Member] | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		0
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,625,796		1,878,151
Variable interest rate [Member] | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		94,310
Variable interest rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		$ 339,664		$ 423,230

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.7 million and $6.2 million at June 30, 2020 and December 31, 2019.

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Investments AFS - Allowance Rollforward Table (Details) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Balance, beginning of period	$ 2,834	$ 0
Additional increases (decreases) for securities in which a previous allowance or credit loss was recorded	(1,260)	1,574
Balance, end of period	$ 1,574	$ 1,574

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Advances (Narrative) (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Federal Home Loan Bank Advances
Total Par Value	$ 49,130,643	$ 65,439,119
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	$ 36,400,000	$ 50,800,000
Number Of Top Advances Borrowers	5	5
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	74.10%	77.70%
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent	4	4
Minimum
Federal Home Loan Bank Advances
Interest rate of advances	0.04%	1.15%
Maximum
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate	30 years
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	10 years
Interest rate of advances	6.77%	7.40%

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Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Federal Home Loan Bank, Advances [Line Items]
Accrued Interest - Advances		$ 28,400	$ 26,900
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract]
Due in 1 year or less		0.91%	1.97%
Due after 1 year through 2 years		2.08%	2.31%
Due after 2 years through 3 years		2.36%	2.52%
Due after 3 years through 4 years		2.07%	2.50%
Due after 4 years through 5 years		1.96%	2.10%
Thereafter		2.68%	2.76%
Total par value, Weighted Average Interest Rate		1.33%	2.12%
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract]
Due in 1 year or less		$ 32,598,437	$ 41,261,372
Due after 1 year through 2 years		10,030,288	15,285,269
Due after 2 years through 3 years		3,553,910	6,065,460
Due after 3 years through 4 years		1,207,359	1,305,453
Due after 4 years through 5 years		1,505,806	869,892
Thereafter		234,843	651,673
Total Par Value		49,130,643	65,439,119
Deferred prepayment fees		(2,017)	(1,814)
Hedging adjustments		485,765	172,770
Total book value	[1]	49,614,391	65,610,075
FederalHomeLoanBankAdvancesReceivable [Member]
Federal Home Loan Bank, Advances [Line Items]
Accrued Interest - Advances		$ 68,600	$ 119,700

[1] Amounts exclude accrued interest receivable of $68.6 million and $119.7 million at June 30, 2020 and December 31, 2019

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Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Advances [Abstract]
Due in 1 year or less	$ 32,698,437	$ 42,556,372
Due after 1 year through 2 years	9,970,288	14,060,269
Due after 2 years through 3 years	3,553,910	6,035,460
Due after 3 years through 4 years	1,207,359	1,305,453
Due after 4 years through 5 years	1,465,806	829,892
Thereafter	234,843	651,673
Due in 1 year or less	32,618,437	41,281,372
Due after 1 year through 2 years	10,030,288	15,285,269
Due after 2 years through 3 years	3,547,910	6,065,460
Due after 3 years through 4 years	1,207,359	1,299,453
Due after 4 years through 5 years	1,491,806	864,892
Thereafter	234,843	642,673
Total Par Value	$ 49,130,643	$ 65,439,119

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Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed rate – overnight	$ 67,147	$ 3,847,547
Due in 1 year or less	14,566,612	18,059,289
Thereafter	14,554,106	16,424,647
Total Fixed Rate	29,187,865	38,331,483
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Due in 1 year or less	17,964,678	19,354,536
Thereafter	1,978,100	7,753,100
Total Variable Rate	19,942,778	27,107,636
Total Par Value	$ 49,130,643	$ 65,439,119

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fixed-rate single-family mortgages		$ 5,149,334	$ 5,030,333
Premiums		87,310	82,108
Discounts		(3,149)	(3,616)
Hedging adjustments		13,941	13,632
Total mortgage loans held for portfolio (2)	[1]	5,247,436	5,122,457
Allowance for credit losses on mortgage loans		(5,900)	(7,832)
Mortgage loans held for portfolio, net		5,241,536	5,114,625
Accrued Interest - Mortgage loans held for portfolio		28,400	26,900
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]
Fixed-rate single-family mortgages	[2]	4,975,348	4,863,177
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]
Fixed-rate single-family mortgages	[2]	$ 173,986	$ 167,156

[1] Amounts exclude accrued interest receivable of $28.4 million and $26.9 million at June 30, 2020 and December 31, 2019.

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

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Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fixed-rate single-family mortgages	$ 5,149,334	$ 5,030,333
Government-guaranteed/insured loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fixed-rate single-family mortgages	169,674	173,790
Conventional MPF Loan [Member]
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fixed-rate single-family mortgages	$ 4,979,660	$ 4,856,543

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Mortgage Loans Held for Portfolio Credit Quality Indicators (Details) - Conventional MPF Loan [Member] - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Past Due [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19	[1],[2]	$ 195,300
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	[1],[2]	1,384,983
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	[1],[2]	3,688,289
Loans and Leases Receivable, Net of Deferred Income	[1],[2]	5,073,272
Financing Receivable, before Allowance for Credit Loss	[2]		$ 4,969,982
Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Past Due [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19		75,900
Financing Receivable, Originated, More than Five Years before Current Fiscal Year		27,020
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years		81,793
Loans and Leases Receivable, Net of Deferred Income		108,813
Financing Receivable, Past Due			43,872
Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Past Due [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19		96,200
Financing Receivable, Originated, More than Five Years before Current Fiscal Year		21,510
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years		85,703
Loans and Leases Receivable, Net of Deferred Income		107,213
Financing Receivable, Past Due			8,601
Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Past Due [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19		13,400
Financing Receivable, Originated, More than Five Years before Current Fiscal Year		13,299
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years		14,303
Loans and Leases Receivable, Net of Deferred Income		27,602
Financing Receivable, Past Due			12,826
Nonperforming Financial Instruments [Member]
Financing Receivable, Past Due [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year		61,829
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years		181,799
Loans and Leases Receivable, Net of Deferred Income		243,628
Financing Receivable, Past Due			65,299
Performing Financial Instruments [Member]
Financing Receivable, Past Due [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19		9,800
Financing Receivable, Originated, More than Five Years before Current Fiscal Year		1,323,154
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years		3,506,490
Loans and Leases Receivable, Net of Deferred Income		$ 4,829,644
Financing Receivable, Not Past Due			$ 4,904,683

[1] Includes approximately $195.3 million par value of loans in a forbearance plan as a result of COVID-19, of which approximately $9.8 million was current, $75.9 million was 30-59 days past due, $96.2 million was 60-89 days past due, and $13.4 million was 90 days or more past due at June 30, 2020.

[2] The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at June 30, 2020 excludes accrued interest receivable.

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Mortgage Loans Held for Portfolio Other Delinquency Statistics table (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Credit Quality Indicator [Line Items]
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 8,212	$ 5,850
Loans and Leases Receivable, Serious Delinquencies Ratio	[2]	0.60%	0.30%
Financing Receivable, 90 Days or More Past Due, Still Accruing		$ 3,354	$ 3,363
Financing Receivable, Nonaccrual	[3]	30,276	14,890
Government-guaranteed/insured loans
Financing Receivable, Credit Quality Indicator [Line Items]
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 1,363	$ 1,110
Loans and Leases Receivable, Serious Delinquencies Ratio	[2]	2.00%	1.90%
Financing Receivable, 90 Days or More Past Due, Still Accruing		$ 3,354	$ 3,363
Financing Receivable, Nonaccrual	[3]	0	0
Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 6,849	$ 4,740
Loans and Leases Receivable, Serious Delinquencies Ratio	[2]	0.60%	0.30%
Financing Receivable, 90 Days or More Past Due, Still Accruing		$ 0	$ 0
Financing Receivable, Nonaccrual	[3]	$ 30,276	$ 14,890

[1] 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.

[2] 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.

[3] All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

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Mortgage Loans Held for Portfolio MPF -Allowance Roll Forward Table (Details) - USD ($) $ in Thousands		3 Months Ended			6 Months Ended
		Jun. 30, 2020	Jun. 30, 2019		Jun. 30, 2020		Jun. 30, 2019		Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance - MPF - Beginning of Period		$ 5,900			$ 5,900					$ 7,832
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	[1]	0			(3,875)
Allowance - MPF - End of Period		5,900			5,900					7,832
Credit Enhancement Fees Receivable		3,800			3,800
Impact on adoption -CECL		3,818,842	$ 5,055,905		3,818,842		$ 5,055,905		$ 4,960,463	4,472,836	$ 5,158,643	$ 5,376,294
Conventional MPF Loan [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance - MPF - Beginning of Period		5,900	8,493		5,900		8,493		4,294	7,832	7,944	7,309
(Charge-offs) Recoveries, net (2)		153	(99)	[2]	156	[2]	87	[2]
Provision for credit losses		1,453	648		1,787		1,097
Allowance - MPF - End of Period		5,900	$ 8,493		5,900		$ 8,493		$ 4,294	$ 7,832	$ 7,944	$ 7,309
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Impact on adoption -CECL		$ 113			$ 113

[1] As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

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

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Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Millions	Jun. 30, 2020	Dec. 31, 2019
Receivables [Abstract]
Percentage of MPF loans in forbearance to total MPF loans	4.00%
Percentage of loans in forbearance not collateral dependant	97.00%
Real Estate Acquired Through Foreclosure	$ 1.4	$ 2.0

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 28,246,131	$ 46,389,608
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		8,130	16,201
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		5,697	8,869
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	200,790	124,050
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(3,993)	(5,845)
Derivative assets		208,920	140,251
Derivative liabilities		1,704	3,024
Cash Collateral posted		207,700	138,100
Cash Collateral received		2,900	8,200
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		23,408,553	34,572,128
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		5,951	14,079
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		3,466	4,148
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		4,837,578	11,817,480
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		2,179	2,122
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		2,231	4,721
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		3,451,488	10,413,906
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		525	1,676
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		2,219	4,642
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		1,280,000	1,330,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		1,051	417
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		0	0
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		106,090	73,574
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		603	29
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		$ 12	$ 79

[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] 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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ (20,358)	$ (163,353)	$ (399,434)	$ (237,670)
Gains/(Losses) on Hedged Item	20,178	160,233	394,983	232,079
Net Interest Settlements on FV Hedges	(31,043)	(2,972)	(41,015)	(7,473)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(31,223)	(6,092)	(45,466)	(13,064)
Interest income on advances	170,477	491,375	453,752	1,029,712
Interest Income on Available-for-sale	43,192	66,186	106,569	129,314
Interest Income on MPF loans	40,591	42,456	85,629	84,470
Interest Expense on Consolidated obligation - bonds	(120,268)	(436,778)	(381,427)	(846,073)
Interest Income [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	2,123	(198,851)	(313,121)	(313,048)
Gains/(Losses) on Hedged Item	(2,146)	198,831	312,993	312,953
Net Interest Settlements on FV Hedges	(49,396)	19,192	(67,109)	43,172
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(49,419)	19,172	(67,237)	43,077
Interest Income [Member] | Interest Rate Swap [Member] | Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(6,492)	(44,151)	(112,694)	(72,029)
Gains/(Losses) on Hedged Item	6,996	42,668	109,053	69,403
Net Interest Settlements on FV Hedges	(4,728)	632	(6,664)	1,242
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(4,224)	(851)	(10,305)	(1,384)
Interest Income [Member] | Interest Rate Swap [Member] | Mortgage Receivable [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	0	0		0
Gains/(Losses) on Hedged Item	(677)	(683)	(1,083)	(1,565)
Net Interest Settlements on FV Hedges	0	0		0
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(677)	(683)	(1,083)	(1,565)
Interest Expense [Member] | Interest Rate Swap [Member] | Consolidated Obligations Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(15,989)	79,649	26,381	147,407
Gains/(Losses) on Hedged Item	16,005	(80,583)	(25,980)	(148,712)
Net Interest Settlements on FV Hedges	23,081	(22,796)	32,758	(51,887)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	$ 23,097	$ (23,730)	$ 33,159	$ (53,192)

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Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Advances [Member]
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	[1]	$ 16,459,976	$ 16,724,094
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)		485,792	172,779
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		(26)	(9)
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)		485,766	172,770
Available-for-sale Securities
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	[1]	1,500,970	1,391,938
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)		158,064	48,946
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		1,215	1,281
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)		159,279	50,227
Consolidated Obligations Bonds [Member]
Derivative [Line Items]
Hedged Liability, Fair Value Hedge	[1]	6,152,797	16,715,492
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)		58,674	32,886
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		352	160
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)		$ 59,026	$ 33,046

[1] Includes carrying value of hedged items in current fair value hedging relationships.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivatives and hedging activities		$ (3,864)	$ (24,833)	$ (101,274)	$ (37,804)
Gain (Loss) on Derivative Instruments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(3,876)	(25,054)	(101,429)	(37,651)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments, Other Gain (Loss)	[1]	12	221	155	(153)
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		752	(23,728)	(97,452)	(33,924)
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		83	519	635	(804)
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		(5,894)	(1,752)	(7,165)	(2,966)
Gain (Loss) on Derivative Instruments [Member] | 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			0	38
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivatives and hedging activities		(3,864)	(24,833)	(101,274)	(37,804)
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		148	7	149	15
Gain (Loss) on Derivative Instruments [Member] | Mortgage Receivable [Member] | Forward Contracts [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		$ 1,035	$ (100)	$ 2,366	$ 28

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

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Jun. 30, 2020 USD ($)
Derivative [Line Items]
Derivative, Net Liability Position, Aggregate Fair Value	$ 1.3

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Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		$ 7,527	$ 16,172
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	200,790	124,050
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		208,317	140,222
Derivative Asset, Not Subject to Master Netting Arrangement	[3]	603	29
Derivative assets		208,920	140,251
Derivative Asset, Fair Value, Amount Offset Against Collateral		208,920	140,251
Over the Counter [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		4,357	8,743
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(4,018)	(7,631)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		339	1,112
Derivative Asset, Not Subject to Master Netting Arrangement		603	29
Derivative assets		942	1,141
Derivative Asset, Fair Value, Amount Offset Against Collateral		942	1,141
Exchange Cleared [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		3,170	7,429
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		204,808	131,681
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		207,978	139,110
Derivative Asset, Not Subject to Master Netting Arrangement		0	0
Derivative assets		207,978	139,110
Derivative Asset, Fair Value, Amount Offset Against Collateral		$ 207,978	$ 139,110

[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] 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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

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

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Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		$ 5,685	$ 8,790
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(3,993)	(5,845)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		1,692	2,945
Derivative Liability, Not Subject to Master Netting Arrangement	[3]	12	79
Derivative liabilities		1,704	3,024
Derivative Liability, Fair Value, Amount Offset Against Collateral		1,704	3,024
Over the Counter [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		5,047	7,135
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(3,355)	(4,190)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		1,692	2,945
Derivative Liability, Not Subject to Master Netting Arrangement		12	79
Derivative liabilities		1,704	3,024
Derivative Liability, Fair Value, Amount Offset Against Collateral		1,704	3,024
Exchange Cleared [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		638	1,655
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(638)	(1,655)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		0	0
Derivative Liability, Not Subject to Master Netting Arrangement		0	0
Derivative liabilities		0	0
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 0	$ 0

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

[2] 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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

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

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Schedule of Long-term Debt by Call Feature (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Short-term and Long-term Debt [Line Items]
Par amounts for the FHLBanks' outstanding Consolidated Obligation	$ 915,800,000	$ 1,025,900,000
Bond premiums	106,079	85,028
Bond discounts	(7,661)	(8,350)
Concession fees	(5,753)	(6,118)
Hedging adjustments	59,026	33,047
Total book value	46,582,826	66,807,807
Long-term Debt, Gross	46,431,135	66,704,200
Fixed Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	19,037,135	29,292,200
Step-up Interest Rate [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	40,000	705,000
Variable interest rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 27,354,000	$ 36,707,000

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Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 33,645,355	$ 50,306,900
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate	0.59%	1.83%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	$ 4,930,990	$ 7,268,705
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate	1.91%	2.10%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	$ 2,085,415	$ 2,705,420
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate	2.35%	2.36%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	$ 1,170,400	$ 1,469,400
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate	2.55%	2.58%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	$ 1,337,200	$ 947,375
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate	2.03%	2.69%
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 3,261,775	$ 4,006,400
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate	2.32%	2.73%
Long-term Debt, Gross	$ 46,431,135	$ 66,704,200
Long-term Debt, Weighted Average Interest Rate, at Point in Time	1.02%	1.96%
Earlier of Contractual Maturity or Next Call Date [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 35,865,355	$ 54,157,900
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	4,946,990	6,573,705
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	2,085,415	2,623,420
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	1,055,400	1,063,400
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	979,200	827,375
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 1,498,775	$ 1,458,400

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 46,431,135	$ 66,704,200
Non Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	42,517,135	61,597,600
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 3,914,000	$ 5,106,600

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 33,645,355	$ 50,306,900
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	4,930,990	7,268,705
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	2,085,415	2,705,420
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	1,170,400	1,469,400
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	1,337,200	947,375
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	3,261,775	4,006,400
Long-term Debt, Gross	46,431,135	66,704,200
Earlier of Contractual Maturity or Next Call Date [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	35,865,355	54,157,900
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	4,946,990	6,573,705
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	2,085,415	2,623,420
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	1,055,400	1,063,400
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	979,200	827,375
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 1,498,775	$ 1,458,400

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Short-term Debt [Line Items]
Discount Notes, Book value		$ 26,051,806	$ 23,141,362
Discount Notes, Weighted Average Interest Rate	[1]	0.46%	1.61%
Short-term Debt [Member]
Short-term Debt [Line Items]
Debt Instrument, Face Amount		$ 26,069,277	$ 23,211,524

[1] Represents an implied rate.

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Capital (Capital Requirements) (Details) $ in Thousands	Jun. 30, 2020 USD ($)	Dec. 31, 2019 USD ($)
Banking Regulation, Total Capital [Abstract]
Number of Finance Agency Regulatory Capital Requirements	3
Number Of Subclasses Of Capital Stock	2
Risk-Based Capital, Required	$ 560,969	$ 610,573
Risk-Based Capital, Actual	$ 4,008,820	$ 4,724,586
Total capital-to-asset ratio, Required	4.00%	4.00%
Total capital-to-asset ratio, Actual	5.10%	4.90%
Total regulatory capital, Required	$ 3,119,003	$ 3,828,965
Total regulatory capital, Actual	$ 4,008,820	$ 4,724,586
Leverage ratio - Required	5.00%	5.00%
Leverage ratio, Actual	7.70%	7.40%
Leverage capital, Required	$ 3,898,753	$ 4,786,206
Leverage capital, Actual	$ 6,013,230	$ 7,086,879

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020 USD ($) Institutions $ / shares	Jun. 30, 2019 USD ($)	Jun. 30, 2020 USD ($) Institutions $ / shares	Jun. 30, 2019 USD ($)	Dec. 31, 2019 $ / shares
Banking Regulation, Total Capital [Abstract]
Interest Expense, Capital Securities	$ 3,900	$ 3,300	$ 10,100	$ 3,900
Balance, beginning of the period			343,575	24,099
Capital stock subject to mandatory redemption reclassified from capital	39,437	336,304	39,457	361,117
Redemption/repurchase of mandatorily redeemable stock			(79,150)	(41,399)
Balance, end of the period	$ 303,882	$ 343,817	$ 303,882	$ 343,817
Capital stock, Par value Per Share | $ / shares	$ 100		$ 100		$ 100
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions	7		7
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions	5		5
Financial instruments subject to mandatory redemption, due to relocation | Institutions	1		1
Financial Instruments Subject to Mandatory Redemption, Number of Institutions, Voluntary Withdrawls | Institutions	1		1

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019	Jun. 30, 2019	Dec. 31, 2018
Banking Regulation, Total Capital [Abstract]
Due in 1 year or less	$ 3,041	$ 3,316
Due after 1 year through 2 years	0	0
Due after 2 years through 3 years	21	21
Due after 3 years through 4 years	300,000	20,000
Due after 4 years through 5 years	619	320,000
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five	201	238
Total	$ 303,882	$ 343,575	$ 343,817	$ 24,099

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Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands						3 Months Ended	6 Months Ended
	Jul. 30, 2020	Apr. 30, 2020	Feb. 21, 2020	Apr. 26, 2019	Feb. 28, 2019	Jun. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Capital [Line Items]
Capital Distributions Made by FHLBs for recap of FSLIC							$ 680,000
Excess Funds Available for Distribution to FICO Shareholders							200,000
Partial Recovery Of Prior Capital Distribution To Financing Corporation						$ 8,541	$ 8,541
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%
Unrestricted						898,980	$ 898,980	$ 910,726
Restricted						434,538	434,538	415,288
Retained Earnings (Accumulated Deficit)						1,333,518	1,333,518	1,326,014
Subclass B1 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding						300,000	300,000	300,000
Dividends Cash, Annualized Rate		3.00%	4.50%	4.50%	4.50%
Subclass B1 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	3.00%
Subclass B2 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding						$ 2,000,000	$ 2,000,000	$ 2,700,000
Dividends Cash, Annualized Rate		6.25%	7.75%	7.75%	7.75%
Subclass B2 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	6.25%

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	$ 3,818,842	$ 5,055,905	$ 3,818,842	$ 5,055,905	$ 4,960,463	$ 4,472,836	$ 5,158,643	$ 5,376,294
Amortization on hedging activities	(148)	(7)	(149)	(15)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	868	154	1,037	211
Net Unrealized Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	118,049	55,105	118,049	55,105	29,485	45,155	45,799	9,887
Net unrealized gains (losses)	88,564	9,306	21,190	45,218
Net Unrealized Gains on Hedging Activities[Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	0	161	0	161	148	149	168	176
Amortization on hedging activities	(148)	(7)	(149)	(15)
Pension and Post Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	(4,145)	(1,839)	(4,145)	(1,839)	(5,013)	(5,182)	(1,993)	(2,050)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	868	154	1,037	211
AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	113,904	114,116	113,904	114,116	24,620	91,826	108,708	73,146
Net unrealized gains (losses)	88,564	5,224	21,190	40,715
Total Noncredit OTTI to credit OTTI		37		59
Amortization on hedging activities	(148)	(7)	(149)	(15)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	868	154	1,037	211
Available-for-sale Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	0	60,689	0	60,689	$ 0	$ 51,704	$ 64,734	$ 65,133
Net unrealized gains (losses)		(4,082)		(4,503)
Noncredit OTTI to credit OTTI		$ 37		$ 59
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	113		113
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | Net Unrealized Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	51,704		51,704
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	0		0
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | Available-for-sale Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	$ (51,704)		$ (51,704)

XML

Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Related Party Transaction [Line Items]
Advances	[1]	$ 49,614,391	$ 65,610,075
Capital stock		2,371,420	3,054,996
Principal Owner [Member]
Related Party Transaction [Line Items]
Advances		22,760,846	34,748,867
Letters of credit	[2]	2,216,776	2,418,025
MPF loans		500,203	455,600
Deposits		42,485	17,904
Capital stock		$ 1,049,349	$ 1,574,659

[1] Amounts exclude accrued interest receivable of $68.6 million and $119.7 million at June 30, 2020 and December 31, 2019

[2] Letters of credit are off-balance sheet commitments.

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Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Related Party Transaction [Line Items]
Interest income on advances	$ 170,477	$ 491,375	$ 453,752	$ 1,029,712
Interest Income on MPF loans	40,591	42,456	85,629	84,470
Letters of credit fees	2,043	397	283	1,553
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances	117,949	308,669	270,597	700,217
Interest Income on MPF loans	6,321	7,183	12,920	14,829
Standby Letters of Credit | Principal Owner [Member]
Related Party Transaction [Line Items]
Letters of credit fees	$ 700	$ 1,481	$ 1,412	$ 3,113

XML

Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Related Party Transaction [Line Items]
ProceedsfromOtherFederalHomeLoanBanks				$ 500,000
Payments to other Federal Home Loan Banks				500,000
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	$ 999	$ 867	$ 1,970	$ 1,702
Interest-bearing deposits maintained with FHLBank of Chicago	$ 6,609		$ 6,609		$ 5,173

XML

Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Jun. 30, 2020		Dec. 31, 2019	Jun. 30, 2019	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		$ 377,412		$ 21,490
Trading securities		3,703,692		3,631,650
AFS Securities		10,627,629		11,097,769
Debt Securities, Held-to-maturity		1,965,460		2,395,691
HTM securities		2,048,046		2,440,288
Accrued interest receivable		131,858		193,352
Derivative assets		208,920		140,251
Deposits, Domestic		951,034		573,382
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	200,790		124,050
Mandatorily redeemable capital stock (Note 7)		303,882		343,575	$ 343,817	$ 24,099
Accrued interest payable		97,916		205,118
Derivative liabilities		1,704		3,024
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(3,993)		(5,845)
Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		377,412		21,490
Interest-bearing deposits		1,589,166		1,471,717
Federal funds sold		0		0
Securities purchased under agreement to resell (2)		0	[3]	0
Trading securities		0		0
AFS Securities		0		0
HTM securities		0		0
Advances		0		0
Accrued interest receivable		0		0
Derivative assets		0		0
Deposits		0		0
Mandatorily redeemable capital stock (Note 7)		308,981		350,287
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		6,609		5,173
Federal funds sold		2,839,995		3,769,965
Securities purchased under agreement to resell (2)	[3]	1,599,997		2,199,973
Trading securities		3,703,692		3,631,650
AFS Securities		10,346,747		10,771,623
HTM securities		1,942,837		2,316,109
Advances		49,724,459		65,662,578
Accrued interest receivable		131,858		193,352
Derivative assets		8,130		16,201
Deposits		951,034		573,382
Mandatorily redeemable capital stock (Note 7)		0		0
Accrued interest payable		92,817		198,406
Derivative liabilities		5,697		8,869
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)	[3]	0		0
Trading securities		0		0
AFS Securities		280,882		326,146
HTM securities		105,209		124,179
Advances		0		0
Accrued interest receivable		0		0
Derivative assets		0		0
Deposits		0		0
Mandatorily redeemable capital stock (Note 7)		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		377,412		21,490
Interest-bearing deposits		1,595,775		1,476,890
Federal funds sold		2,839,995		3,769,965
Securities purchased under agreement to resell (2)	[3]	1,599,997		2,199,973
Trading securities		3,703,692		3,631,650
AFS Securities		10,627,629		11,097,769
HTM securities		2,048,046		2,440,288
Advances		49,724,459		65,662,578
Accrued interest receivable		131,858		193,352
Derivative assets		208,920		140,251
Deposits		951,034		573,382
Mandatorily redeemable capital stock (Note 7)	[4]	308,981		350,287
Accrued interest payable	[4]	92,817		198,406
Derivative liabilities		1,704		3,024
Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		377,412		21,490
Interest-bearing deposits		1,595,775		1,476,890
Federal funds sold		2,840,000		3,770,000
Securities purchased under agreement to resell (2)		1,600,000		2,200,000
Trading securities		3,703,692		3,631,650
AFS Securities		10,627,629		11,097,769
Debt Securities, Held-to-maturity		1,965,460		2,395,691
Advances		49,614,391		65,610,075
Accrued interest receivable		131,858		193,352
Derivative assets		208,920		140,251
Deposits		951,034		573,382
Mandatorily redeemable capital stock (Note 7)		303,882		343,575
Accrued interest payable		97,916		205,118
Derivative liabilities		1,704		3,024
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		26,062,444		23,142,588
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		26,062,444		23,142,588
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		26,051,806		23,141,362
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		47,085,730		66,981,400
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		47,085,730		66,981,400
Consolidated Obligation Bonds | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		46,582,826		66,807,807
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		5,565,724		5,313,973
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		5,565,724		5,313,973
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		5,241,536		5,114,625
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		20,197		19,706
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		20,197		19,706
Banking on Business Loans | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		$ 20,197		$ 19,706

[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] 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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

[3] 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 June 30, 2020 and December 31, 2019. These instruments’ maturity term is overnight.

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

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Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($)		Jun. 30, 2020		Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 3,703,692,000		$ 3,631,650,000
AFS Securities		10,627,629,000		11,097,769,000
Derivative assets		208,920,000		140,251,000
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1],[2]	200,790,000		124,050,000
Derivative liabilities		1,704,000		3,024,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1],[2]	(3,993,000)		(5,845,000)
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		3,703,692,000		3,631,650,000
AFS Securities		10,346,747,000		10,771,623,000
Derivative assets		8,130,000		16,201,000
Derivative liabilities		5,697,000		8,869,000
Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		280,882,000		326,146,000
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]	200,790,000		124,050,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[4]	(3,993,000)	[1]	(5,845,000)	[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		3,703,692,000		3,631,650,000
AFS Securities		10,346,747,000		10,771,623,000
Derivative assets		8,130,000		16,201,000
Derivative liabilities	[4]	5,697,000		8,869,000
Total assets at fair value		14,058,569,000		14,419,474,000
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		280,882,000		326,146,000
Derivative assets		0		0
Derivative liabilities		0
Total assets at fair value		280,882,000		326,146,000
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		7,980,000		7,850,000
Real estate owned fair value disclosure		395,000		2,449,000
Total assets at fair value		8,375,000		10,299,000
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		200,790,000		124,050,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(3,993,000)		(5,845,000)
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		7,527,000		16,172,000	[4]
Derivative liabilities		5,685,000		8,790,000
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		3,445,162,000		3,390,772,000
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		3,445,162,000		3,390,772,000
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		0
GSE and TVA obligations
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		258,530,000		240,878,000
AFS Securities		1,656,545,000		1,550,699,000
GSE and TVA 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
AFS Securities		0		0
GSE and TVA 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		258,530,000		240,878,000
AFS Securities		1,656,545,000		1,550,699,000
GSE and TVA 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		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		248,338,000		247,894,000
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		248,338,000		247,894,000
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		727,545,000		807,586,000
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		727,545,000		807,586,000
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		280,882,000		326,146,000
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
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		280,882,000		326,146,000
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		603,000		29,000
Derivative liabilities		12,000		79,000
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		3,703,692,000		3,631,650,000
AFS Securities		10,627,629,000		11,097,769,000
Derivative assets		208,920,000		140,251,000
Derivative liabilities		1,704,000		3,024,000
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		3,703,692,000		3,631,650,000
AFS Securities		10,627,629,000		11,097,769,000
Derivative assets		208,920,000		140,251,000
Derivative liabilities	[4]	1,704,000		3,024,000
Total assets at fair value		14,540,241,000		14,869,670,000
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		7,980,000		7,850,000
Real estate owned fair value disclosure		395,000		2,449,000
Total assets at fair value		8,375,000		10,299,000
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		208,317,000		140,222,000
Derivative liabilities		1,692,000		2,945,000
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		3,445,162,000		3,390,772,000
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		258,530,000		240,878,000
AFS Securities		1,656,545,000		1,550,699,000
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		248,338,000		247,894,000
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		727,545,000		807,586,000
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		603,000		29,000
Derivative liabilities		12,000		79,000
Single Family [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		4,120,273,000		4,055,859,000
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		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		4,120,273,000		4,055,859,000
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		4,120,273,000		4,055,859,000
Multifamily [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,594,046,000		4,109,585,000
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		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		3,594,046,000		4,109,585,000
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		3,594,046,000		4,109,585,000
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		$ 280,882,000		$ 326,146,000

[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] 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 $207.7 million and $138.1 million at June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for June 30, 2020 and $8.2 million for December 31, 2019.

[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.

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Estimated Fair Values (Level 3 Reconciliation) (Details) - Private label MBS [Member] $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2020 USD ($)	Jun. 30, 2019 USD ($)	Jun. 30, 2020 USD ($) loan	Jun. 30, 2019 USD ($)
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
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net unrealized gains (losses) on AFS in OCI	[1]	$ 12,525		$ (16,514)
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		280,431	$ 394,606	326,146	$ 409,550
Provision for Loan and Lease Losses	[2]	(1,260)		(1,574)
Accretion of credit losses in interest income		3,029	3,646	5,938	6,796
Net OTTI losses, credit portion			(37)		(59)
Net unrealized gains (losses) on AFS in OCI		12,525	(29)	(16,514)	32
Reclassification of non-credit portion included in net income		0	37	0	59
Unrealized gains (losses) on OTTI AFS in OCI		0	(4,083)	0	(4,504)
Purchases, issuances, sales, and settlements:
Settlements		(16,363)	(22,738)	(33,114)	(40,472)
Balance at June 30		280,882	371,402	280,882	371,402
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 June 30		$ 4,289	$ 3,094	$ 4,364	$ 6,188

[1] Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019.

[2] ) Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank is required to record an ACL for expected credit losses on AFS securities.

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Commitments and Contingencies (Details) - USD ($) $ in Thousands		6 Months Ended
		Jun. 30, 2020	Dec. 31, 2019
Loss Contingencies [Line Items]
Off-balance Sheet Risks, with annual renewal option		$ 3,800,000	$ 4,300,000
Other Liabilities - Standby Letter of Credit Fees		$ 57,479	64,736
Maximum Commitment Period		60 days
Open RepoPlus Advance Product
Loss Contingencies [Line Items]
Open Repo Plus Product Outstanding		$ 12,200,000	9,800,000
Maximum
Loss Contingencies [Line Items]
Letter of Credit Renewal Period		5 years
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Total		$ 272,100	23,900
Standby letters of credit outstanding (1) (2)
Loss Contingencies [Line Items]
Expiration Date Within One Year		16,395,671
Expiration Date After One Year		0
Total	[1],[2]	16,395,671	17,370,617
Other Liabilities - Standby Letter of Credit Fees		3,100	3,500
Commitments to fund additional advances and BOB loans
Loss Contingencies [Line Items]
Expiration Date Within One Year		19,393
Expiration Date After One Year		0
Total		19,393	19,796
Commitments to purchase mortgage loans | Mortgage Receivable [Member]
Loss Contingencies [Line Items]
Expiration Date Within One Year		106,090
Expiration Date After One Year		0
Total		106,090	73,574
Unsettled consolidated obligation bonds, at par
Loss Contingencies [Line Items]
Expiration Date Within One Year		161,695
Expiration Date After One Year		0
Total		161,695	62,000
Unsettled consolidated obligation discount notes, at par [Member]
Loss Contingencies [Line Items]
Expiration Date Within One Year		284,029
Expiration Date After One Year		0
Total		$ 284,029	$ 1,083,406

[1] Excludes approved requests to issue future standby letters of credit of $272.1 million and $23.9 million at June 30, 2020 and December 31, 2019, respectively.

[2] Letters of credit in the amount of $3.8 billion and $4.3 billion at June 30, 2020 and December 31, 2019, respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years.