10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2018

OR

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

Commission File Number 000-51405

FEDERAL HOME LOAN BANK OF DALLAS

(Exact name of registrant as specified in its charter)

Federally chartered corporation (State or other jurisdiction of incorporation or organization)	71-6013989 (I.R.S. Employer Identification Number)
8500 Freeport Parkway South, Suite 600 Irving, TX (Address of principal executive offices)	75063-2547 (Zip code)

(214) 441-8500

(Registrant’s telephone number, including area code)

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (17 C.F.R. §232.405) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes þ No o

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:

Large accelerated filer o	Accelerated filer o	Non-accelerated filer þ	Smaller reporting company o	Emerging growth company o
		(Do not check if a 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.o

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

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date:

At July 31, 2018, the registrant had outstanding 26,580,842 shares of its Class B Capital Stock, $100 par value per share.

FEDERAL HOME LOAN BANK OF DALLAS

TABLE OF CONTENTS

	Page
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements	1
Statements of Condition as of June 30, 2018 and December 31, 2017	1
Statements of Income for the Three and Six Months Ended June 30, 2018 and 2017	2
Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2018 and 2017	3
Statements of Capital for the Six Months Ended June 30, 2018 and 2017	4
Statements of Cash Flows for the Six Months Ended June 30, 2018 and 2017	5
Notes to Interim Unaudited Financial Statements	7
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	41
Forward-Looking Information	41
Overview	41
Selected Financial Data	45
Impact of Hurricanes and Wildfires	46
Regulatory Development	46
Financial Condition	47
Results of Operations	61
Critical Accounting Policies and Estimates	69
Liquidity and Capital Resources	69
Recently Issued Accounting Guidance	71
Item 3. Quantitative and Qualitative Disclosures About Market Risk	71
Item 4. Controls and Procedures	74
PART II. OTHER INFORMATION
Item 6. Exhibits	74
Signatures	75
EX-31.1
EX-31.2
EX-32.1
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CONDITION

(Unaudited; in thousands, except share data)

	June 30, 2018		December 31, 2017
ASSETS
Cash and due from banks	$	34,972	$	87,965
Interest-bearing deposits	245		299
Securities purchased under agreements to resell (Note 11)	4,440,000		6,700,000
Federal funds sold	8,433,000		7,780,000
Trading securities (Note 3)	1,092,258		114,230
Available-for-sale securities (Notes 4, 11 and 16) ($787,893 and $747,230 pledged at June 30, 2018 and December 31, 2017, respectively, which could be rehypothecated)	15,069,028		14,402,398
Held-to-maturity securities (a) (Note 5)	1,772,893		1,944,537
Advances (Notes 6 and 8)	43,589,555		36,460,524
Mortgage loans held for portfolio, net of allowance for credit losses of $278 and $271 at June 30, 2018 and December 31, 2017, respectively (Notes 7 and 8)	1,321,815		877,852
Accrued interest receivable	137,073		110,957
Premises and equipment, net	16,856		17,099
Derivative assets (Notes 11 and 12)	5,629		17,225
Other assets (including $13,453 of securities held at fair value at June 30, 2018)	26,553		11,215
TOTAL ASSETS	$	75,939,877	$	68,524,301
LIABILITIES AND CAPITAL
Deposits
Interest-bearing	$	968,272	$	843,690
Non-interest bearing	19		19
Total deposits	968,291		843,709
Consolidated obligations (Note 9)
Discount notes	39,322,407		32,510,758
Bonds	31,141,214		31,376,858
Total consolidated obligations	70,463,621		63,887,616
Mandatorily redeemable capital stock	824		5,941
Accrued interest payable	86,520		69,756
Affordable Housing Program (Note 10)	34,225		31,246
Derivative liabilities (Notes 11 and 12)	50,071		10,960
Other liabilities (Note 4)	424,006		195,047
Total liabilities	72,027,558		65,044,275
Commitments and contingencies (Notes 8 and 16)
CAPITAL (Note 13)
Capital stock
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 9,004,721 and 8,534,625 shares at June 30, 2018 and December 31, 2017, respectively	900,472		853,462
Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 17,595,825 and 14,644,748 shares at June 30, 2018 and December 31, 2017, respectively	1,759,583		1,464,475
Total Class B Capital Stock	2,660,055		2,317,937
Retained earnings
Unrestricted	880,637		832,826
Restricted	127,051		108,937
Total retained earnings	1,007,688		941,763
Accumulated other comprehensive income (Note 19)	244,576		220,326
Total capital	3,912,319		3,480,026
TOTAL LIABILITIES AND CAPITAL	$	75,939,877	$	68,524,301

_____________________________

^(a)  Fair values: $1,798,911 and $1,971,038 at June 30, 2018 and December 31, 2017, respectively.

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

1

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF INCOME

(Unaudited, in thousands)

	For the Three Months Ended					For the Six Months Ended
	June 30,					June 30,
	2018			2017		2018			2017
INTEREST INCOME
Advances	$	198,670		$	95,724	$	354,015		$	171,137
Prepayment fees on advances, net	588			728		2,569			944
Interest-bearing deposits	939			550		1,708			938
Securities purchased under agreements to resell	15,745			1,524		22,924			1,722
Federal funds sold	17,417			17,663		46,405			30,325
Trading securities	2,597			580		3,166			1,148
Available-for-sale securities	104,402			56,543		184,360			105,585
Held-to-maturity securities	11,692			9,393		21,924			17,663
Mortgage loans held for portfolio	10,466			2,526		19,088			3,960
Total interest income	362,516			185,231		656,159			333,422
INTEREST EXPENSE
Consolidated obligations
Bonds	161,726			76,684		289,871			138,347
Discount notes	120,960			44,236		215,496			76,335
Deposits	3,794			2,750		6,579			4,375
Mandatorily redeemable capital stock	6			43		31			51
Other borrowings	18			4		77			54
Total interest expense	286,504			123,717		512,054			219,162
NET INTEREST INCOME	76,012			61,514		144,105			114,260
Provision for loan losses	7			—		7			—
NET INTEREST INCOME AFTER PROVISION FOR LOAN LOSSES	76,005			61,514		144,098			114,260
OTHER INCOME (LOSS)
Net gains (losses) on trading securities	(542		)	1,169		(2,890		)	2,048
Net gains (losses) on derivatives and hedging activities	(2,347		)	802		(524		)	5,629
Net gains on other assets carried at fair value	202			—		215			—
Realized gains on sales of held-to-maturity securities	—			1,890		—			1,890
Realized gains on sales of available-for-sale securities	—			1,167		—			1,837
Letter of credit fees	2,265			1,745		4,411			3,393
Other, net	847			1,117		1,487			1,650
Total other income	425			7,890		2,699			16,447
OTHER EXPENSE
Compensation and benefits	11,683			12,485		24,235			26,171
Other operating expenses	8,266			6,274		16,115			11,712
Finance Agency	876			834		1,839			1,720
Office of Finance	838			641		1,768			1,605
Discretionary grants and donations	195			228		1,583			1,212
Derivative clearing fees	311			312		620			614
Total other expense	22,169			20,774		46,160			43,034
INCOME BEFORE ASSESSMENTS	54,261			48,630		100,637			87,673
Affordable Housing Program assessment	5,427			4,867		10,067			8,772
NET INCOME	$	48,834		$	43,763	$	90,570		$	78,901

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

2

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited, in thousands)

	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
NET INCOME	$	48,834		$	43,763		$	90,570		$	78,901
OTHER COMPREHENSIVE INCOME (LOSS)
Net unrealized gains (losses) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income	(36,262		)	2,225			4,137			74,240
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income	—			(1,167		)	—			(1,837		)
Unrealized gains (losses) on cash flow hedges	4,726			(5,604		)	18,566			(5,751		)
Reclassification adjustment for (gains) losses on cash flow hedges included in net income	(273		)	636			37			1,436
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	780			937			1,553			1,930
Postretirement benefit plan
Amortization of prior service cost included in net periodic benefit credit	5			5			10			10
Amortization of net actuarial gain included in net periodic benefit credit	(27		)	(26		)	(53		)	(52		)
Total other comprehensive income (loss)	(31,051		)	(2,994		)	24,250			69,976
TOTAL COMPREHENSIVE INCOME	$	17,783		$	40,769		$	114,820		$	148,877

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

3

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(Unaudited, in thousands)

	Capital Stock Class B-1 - Putable (Membership/Excess)					Capital Stock Class B-2 - Putable (Activity)													Accumulated  Other Comprehensive  Income
											Retained Earnings										Total  Capital
	Shares		Par Value			Shares		Par Value			Unrestricted			Restricted		Total
BALANCE, JANUARY 1, 2018	8,534		$	853,462		14,645		$	1,464,475		$	832,826		$	108,937	$	941,763		$	220,326	$	3,480,026
Net transfers of shares between Class B-1 and Class B-2 Stock	7,806		780,627			(7,806	)	(780,627		)	—			—		—			—		—
Proceeds from sale of capital stock	104		10,447			10,757		1,075,735			—			—		—			—		1,086,182
Repurchase/redemption of capital stock	(7,682	)	(768,189		)	—		—			—			—		—			—		(768,189		)
Shares reclassified to mandatorily redeemable capital stock	(3	)	(386		)	—		—			—			—		—			—		(386		)
Comprehensive income
Net income	—		—			—		—			72,456			18,114		90,570			—		90,570
Other comprehensive income	—		—			—		—			—			—		—			24,250		24,250
Dividends on capital stock (a)
Cash	—		—			—		—			(133		)	—		(133		)	—		(133		)
Mandatorily redeemable capital stock	—		—			—		—			(1		)	—		(1		)	—		(1		)
Stock	245		24,511			—		—			(24,511		)	—		(24,511		)	—		—
BALANCE, JUNE 30, 2018	9,004		$	900,472		17,596		$	1,759,583		$	880,637		$	127,051	$	1,007,688		$	244,576	$	3,912,319
BALANCE, JANUARY 1, 2017	6,904		$	690,411		12,397		$	1,239,737		$	745,104		$	78,880	$	823,984		$	63,210	$	2,817,342
Net transfers of shares between Class B-1 and Class B-2 Stock	5,828		582,809			(5,828	)	(582,809		)	—			—		—			—		—
Proceeds from sale of capital stock	69		6,922			6,625		662,476			—			—		—			—		669,398
Repurchase/redemption of capital stock	(4,779	)	(477,903		)	—		—			—			—		—			—		(477,903		)
Shares reclassified to mandatorily redeemable capital stock	(79	)	(7,899		)	(123	)	(12,267		)	—			—		—			—		(20,166		)
Comprehensive income
Net income	—		—			—		—			63,121			15,780		78,901			—		78,901
Other comprehensive income	—		—			—		—			—			—		—			69,976		69,976
Dividends on capital stock (b)
Cash	—		—			—		—			(130		)	—		(130		)	—		(130		)
Mandatorily redeemable capital stock	—		—			—		—			(113		)	—		(113		)	—		(113		)
Stock	131		13,098			—		—			(13,098		)	—		(13,098		)	—		—
BALANCE, JUNE 30, 2017	8,074		$	807,438		13,071		$	1,307,137		$	794,884		$	94,660	$	889,544		$	133,186	$	3,137,305

^(a) Dividends were paid at annualized rates of 1.33 percent and 2.33 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2018 and annualized rates of 1.65 percent and 2.65 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2018.

^(b) Dividends were paid at annualized rates of 0.599 percent and 1.599 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2017 and annualized rates of 0.83 percent and 1.83 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2017.

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

4

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CASH FLOWS

(Unaudited, in thousands)

	For the Six Months Ended
	June 30,
	2018			2017
OPERATING ACTIVITIES
Net income	$	90,570		$	78,901
Adjustments to reconcile net income to net cash provided by operating activities
Depreciation and amortization
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans	47,963			35,870
Concessions on consolidated obligations	2,692			1,893
Premises, equipment and computer software costs	1,824			1,808
Non-cash interest on mandatorily redeemable capital stock	47			12
Provision for loan losses	7			—
Gains on sales of held-to-maturity securities	—			(1,890		)
Gains on sales of available-for-sale securities	—			(1,837		)
Net gains on other assets carried at fair value	(215		)	—
Net decrease (increase) in trading securities	2,890			(2,217		)
Loss due to changes in net fair value adjustment on derivative and hedging activities	260,783			28,122
Increase in accrued interest receivable	(26,279		)	(12,266		)
Decrease (increase) in other assets	(2,213		)	1,662
Increase in Affordable Housing Program (AHP) liability	2,979			4,197
Increase in accrued interest payable	16,747			13,798
Decrease in other liabilities	(5,182		)	(3,669		)
Total adjustments	302,043			65,483
Net cash provided by operating activities	392,613			144,384
INVESTING ACTIVITIES
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged	(64,922		)	42,679
Net decrease (increase) in securities purchased under agreements to resell	2,260,000			(500,000		)
Net increase in federal funds sold	(653,000		)	(1,661,000		)
Decrease in loan to other FHLBank	—			290,000
Purchase of trading securities	(991,320		)	—
Purchases of available-for-sale securities	(1,064,115		)	(1,437,108		)
Proceeds from maturities of available-for-sale securities	181,281			275,616
Proceeds from sales of available-for-sale securities	—			250,262
Proceeds from sales of held-to-maturity securities	—			100,933
Proceeds from maturities of held-to-maturity securities	174,179			302,972
Purchases of held-to-maturity securities	—			(125,000		)
Principal collected on advances	405,252,902			293,566,545
Advances made	(412,428,170		)	(295,200,240		)
Principal collected on mortgage loans held for portfolio	37,668			9,385
Purchases of mortgage loans held for portfolio	(482,238		)	(264,430		)
Purchases of premises, equipment and computer software	(2,384		)	(2,161		)
Net cash used in investing activities	(7,780,119		)	(4,351,547		)

5

	For the Six Months Ended
	June 30,
	2018			2017
FINANCING ACTIVITIES
Net increase in deposits, including swap collateral held	235,229			30,835
Net receipts (payments) on derivative contracts with financing elements	75,404			(46,475		)
Net proceeds from issuance of consolidated obligations
Discount notes	143,693,045			148,237,989
Bonds	8,702,217			11,679,683
Debt issuance costs	(3,008		)	(2,184		)
Payments for maturing and retiring consolidated obligations
Discount notes	(136,911,184		)	(147,170,903		)
Bonds	(8,769,500		)	(8,697,535		)
Proceeds from issuance of capital stock	1,086,182			669,398
Payments for redemption of mandatorily redeemable capital stock	(5,550		)	(563		)
Payments for repurchase/redemption of capital stock	(768,189		)	(477,903		)
Cash dividends paid	(133		)	(130		)
Net cash provided by financing activities	7,334,513			4,222,212
Net increase (decrease) in cash and cash equivalents	(52,993		)	15,049
Cash and cash equivalents at beginning of the period	87,965			27,696
Cash and cash equivalents at end of the period	$	34,972		$	42,745
Supplemental Disclosures:
Interest paid	$	460,500		$	197,709
AHP payments, net	$	7,088		$	4,575
Stock dividends issued	$	24,511		$	13,098
Dividends paid through issuance of mandatorily redeemable capital stock	$	1		$	113
Variation margin recharacterized as settlement payments on derivative contracts (Note 11)	$	250,468		$	72,053
Net capital stock reclassified to mandatorily redeemable capital stock	$	386		$	20,166

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

6

FEDERAL HOME LOAN BANK OF DALLAS

NOTES TO INTERIM UNAUDITED FINANCIAL STATEMENTS

Note 1—Basis of Presentation

The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period.

The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2017. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2017 filed with the SEC on March 22, 2018 (the “2017 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2017 10-K.

The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance.

Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

Note 2—Recently Issued Accounting Guidance

Revenue from Contracts with Customers. On May 28, 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2014-09 "Revenue from Contracts with Customers" ("ASU 2014-09"), which outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, ASU 2014-09 amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. ASU 2014-09 applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts. The guidance in ASU 2014-09 was effective for fiscal years, and interim periods within those years, beginning after December 15, 2016 (January 1, 2017 for the Bank). Early application was not permitted. On August 12, 2015, the FASB issued ASU 2015-14 "Deferral of Effective Date," which deferred the effective date of ASU 2014-09 by one year. Earlier application was permitted only as of annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. The Bank adopted ASU 2014-09 effective January 1, 2018. The adoption of this guidance did not have a material impact on the Bank's results of operations or financial condition.

Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued ASU 2016-01 "Recognition and Measurement of Financial Assets and Financial Liabilities" ("ASU 2016-01"), which makes targeted improvements to existing U.S. GAAP by: (i) requiring certain equity investments to be measured at fair value with changes in fair value recognized in earnings, (ii) simplifying the impairment assessment of equity investments without readily determinable fair values, (iii) requiring public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes, (iv) requiring separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) on the statement of condition or in the accompanying notes to the financial statements, (v) eliminating the requirement to disclose the fair value of financial instruments measured at amortized cost for organizations that are not public business entities, (vi) eliminating the requirement for public business entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statement of condition, (vii) requiring a reporting organization to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the organization has

7

elected to measure the liability at fair value in accordance with the fair value option for financial instruments, and (viii) clarifying that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity's other deferred tax assets. For public business entities, the guidance in ASU 2016-01 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption was permitted for certain provisions. The Bank adopted ASU 2016-01 effective January 1, 2018. In conjunction with the adoption of ASU 2016-01, the Bank reclassified $12,082,000 of marketable equity securities (which consist solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans) from trading securities to other assets on January 1, 2018. Other than this reclassification, the adoption of ASU 2016-01 did not have any impact on the Bank's results of operations or financial condition.

Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued ASU 2016-15, "Classification of Certain Cash Receipts and Cash Payments" ("ASU 2016-15"), which clarifies the guidance for classifying certain cash receipts and cash payments in the statement of cash flows. The guidance is intended to reduce existing diversity in practice regarding eight specific cash flow presentation issues. For public business entities, the guidance in ASU 2016-15 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. The guidance is to be applied using a retrospective transition method to each period presented. If it is impracticable to apply the amendments retrospectively for some of the issues, the amendments for those issues would be applied as if the change was made prospectively as of the earliest date practicable. The Bank adopted ASU 2016-15 on January 1, 2018. The adoption of this guidance did not have any impact on the Bank's statement of cash flows, nor did it have any impact on the Bank's results of operations or financial condition.

Restricted Cash. On November 17, 2016, the FASB issued ASU 2016-18, "Restricted Cash" ("ASU 2016-18"), which clarifies the guidance for classifying and presenting certain cash transfers, cash receipts and cash payments in the statement of cash flows. The guidance is intended to reduce existing diversity in practice regarding restricted cash and restricted cash equivalents. For public business entities, the guidance in ASU 2016-18 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. The guidance is to be applied using a retrospective transition method to each period presented. The adoption of ASU 2016-18 on January 1, 2018 did not have any impact on the Bank's statement of cash flows, nor did it have any impact on the Bank's results of operations or financial condition.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued ASU 2017-07 "Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost" ("ASU 2017-07"). ASU 2017-07 requires an employer to disaggregate the service cost component from the other components of net periodic pension cost and net periodic postretirement benefit cost (net benefit cost). ASU 2017-07 requires an employer to report the service cost component in the same income statement line item as other compensation costs. The other components of net benefit cost are required to be presented in the income statement separately from the service cost component. Further, ASU 2017-07 allows only the service cost component of net benefit cost to be eligible for capitalization. For public business entities, the guidance in ASU 2017-07 is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted as of the beginning of an annual period for which financial statements (interim or annual) have not been issued or made available for issuance. The amendments in ASU 2017-07 are to be applied retrospectively for the presentation of the service cost component and the other components of net benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net benefit cost in assets. Subsequent to the adoption of ASU 2017-07 on January 1, 2018, the Bank continues to report the service cost component of its net periodic postretirement benefit cost in compensation and benefits expense. On and after January 1, 2018, the Bank reports the other components of net periodic postretirement benefit cost (which in aggregate were credits of $17,000 and $33,000 for the three and six months ended June 30, 2018, respectively) in "other, net" in the other income (loss) section of the statement of income. Because the components of the Bank's net periodic postretirement benefit cost other than the service cost component were insignificant for the six months ended June 30, 2017 (see Note 14), such amounts were not reclassified and are reported in compensation and benefits expense for that period. The adoption of ASU 2017-07 did not have any impact on the Bank's financial condition.

8

Note 3—Trading Securities

Trading securities as of June 30, 2018 and December 31, 2017 were as follows (in thousands):

	June 30, 2018		December 31, 2017
U.S. Treasury Notes	$	843,714	$	102,148
U.S. Treasury Bills	248,544		—
Other	—		12,082
Total	$	1,092,258	$	114,230

Other trading securities consisted solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans. As discussed in Note 2, these investments were reclassified to other assets effective January 1, 2018.

Note 4—Available-for-Sale Securities

Major Security Types. Available-for-sale securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	455,813	$	9,675	$	—	$	465,488
GSE obligations	5,613,777		105,313		327		5,718,763
Other	170,988		970		—		171,958
	6,240,578		115,958		327		6,356,209
GSE commercial mortgage-backed securities	8,612,088		112,901		12,170		8,712,819
Total	$	14,852,666	$	228,859	$	12,497	$	15,069,028

Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of June 30, 2018. The aggregate amount due of $392,106,000 is included in other liabilities on the statement of condition at that date.

Available-for-sale securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	470,436	$	8,602	$	—	$	479,038
GSE obligations	5,911,841		90,938		107		6,002,672
Other	173,920		975		—		174,895
	6,556,197		100,515		107		6,656,605
GSE commercial MBS	7,633,976		113,073		1,256		7,745,793
Total	$	14,190,173	$	213,588	$	1,363	$	14,402,398

Included in the table above are GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2017. The aggregate amount due of $157,980,000 is included in other liabilities on the statement of condition at that date.

Other debentures are comprised of securities issued by the Private Export Funding Corporation ("PEFCO"). These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments.

9

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	2	$	148,109	$	327	—	$	—	$	—	2	$	148,109	$	327
GSE commercial MBS	50	1,514,116		12,141		2	333		29		52	1,514,449		12,170
Total	52	$	1,662,225	$	12,468	2	$	333	$	29	54	$	1,662,558	$	12,497

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2017. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	1	$	50,374	$	107	—	$	—	$	—	1	$	50,374	$	107
GSE commercial MBS	8	163,594		593		16	299,511		663		24	463,105		1,256
Total	9	$	213,968	$	700	16	$	299,511	$	663	25	$	513,479	$	1,363

At June 30, 2018, the gross unrealized losses on the Bank’s available-for-sale securities were $12,497,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by GSEs, or fully secured by collateral that is guaranteed by the U.S government. As of June 30, 2018, the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and Fitch, and are not rated by S&P. Based upon the Bank's assessment of the creditworthiness of the issuer of the GSE debentures that were in an unrealized loss position at June 30, 2018 and the credit ratings assigned by each of the nationally recognized statistical rating organizations (“NRSROs”), the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in the investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE commercial MBS and the credit ratings assigned by each of the NRSROs, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at June 30, 2018.

Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands).

	June 30, 2018				December 31, 2017
Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Debentures
Due in one year or less	$	396,443	$	397,265	$	238,017	$	238,292
Due after one year through five years	2,432,258		2,463,982		2,756,755		2,786,327
Due after five years through ten years	3,277,190		3,356,222		3,341,470		3,407,595
Due after ten years	134,687		138,740		219,955		224,391
	6,240,578		6,356,209		6,556,197		6,656,605
GSE commercial MBS	8,612,088		8,712,819		7,633,976		7,745,793
Total	$	14,852,666	$	15,069,028	$	14,190,173	$	14,402,398

Interest Rate Payment Terms. At June 30, 2018 and December 31, 2017, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate.

10

Sales of Securities. There were no sales of available-for-sale securities during the six months ended June 30, 2018. During the three and six months ended June 30, 2017, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $79,838,000 and $248,425,000, respectively. Proceeds from the sales totaled $81,005,000 and $250,262,000, respectively, resulting in realized gains of $1,167,000 and $1,837,000, respectively.

Note 5—Held-to-Maturity Securities

Major Security Types. Held-to-maturity securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	8,726	$	—	$	8,726	$	4	$	22	$	8,708
State housing agency obligations	160,000		—		160,000		250		1,088		159,162
	168,726		—		168,726		254		1,110		167,870
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,599		—		1,599		5		—		1,604
GSE residential MBS	1,495,595		—		1,495,595		12,189		650		1,507,134
Non-agency residential MBS	83,757		12,048		71,709		15,758		350		87,117
GSE commercial MBS	35,264		—		35,264		—		78		35,186
	1,616,215		12,048		1,604,167		27,952		1,078		1,631,041
Total	$	1,784,941	$	12,048	$	1,772,893	$	28,206	$	2,188	$	1,798,911

Held-to-maturity securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in  Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	10,774	$	—	$	10,774	$	7	$	20	$	10,761
State housing agency obligations	160,000		—		160,000		537		304		160,233
	170,774		—		170,774		544		324		170,994
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,909		—		1,909		4		—		1,913
GSE residential MBS	1,655,625		—		1,655,625		12,336		1,630		1,666,331
Non-agency residential MBS	94,565		13,601		80,964		16,198		629		96,533
GSE commercial MBS	35,265		—		35,265		2		—		35,267
	1,787,364		13,601		1,773,763		28,540		2,259		1,800,044
Total	$	1,958,138	$	13,601	$	1,944,537	$	29,084	$	2,583	$	1,971,038

11

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of June 30, 2018. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,458	$	22	—	$	—	$	—	1	$	4,458	$	22
State housing agency obligations	1	33,912		1,088		—	—		—		1	33,912		1,088
Mortgage-backed securities
GSE residential MBS	6	41,382		33		16	292,483		617		22	333,865		650
Non-agency residential MBS	2	2,568		18		12	43,730		1,109		14	46,298		1,127
GSE commercial MBS	1	35,186		78		—	—		—		1	35,186		78
Total	11	$	117,506	$	1,239	28	$	336,213	$	1,726	39	$	453,719	$	2,965

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2017. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,834	$	20	—	$	—	$	—	1	$	4,834	$	20
State housing agency obligations	1	34,696		304		—	—		—		1	34,696		304
Mortgage-backed securities
GSE residential MBS	16	146,146		177		17	415,080		1,453		33	561,226		1,630
Non-agency residential MBS	—	—		—		13	48,403		1,980		13	48,403		1,980
Total	18	$	185,676	$	501	30	$	463,483	$	3,433	48	$	649,159	$	3,934

At June 30, 2018, the gross unrealized losses on the Bank’s held-to-maturity securities were $2,965,000, of which $1,127,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $750,000 were attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs and $1,088,000 were attributable to a security issued by a state housing agency.

As of June 30, 2018, the U.S. government and the issuers of the Bank’s holdings of GSE MBS were rated triple-A by Moody’s and Fitch and AA+ by S&P. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that the U.S. government-guaranteed obligation that was in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank's amortized cost basis in this investment. In addition, based upon the credit ratings assigned by the NRSROs and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE MBS, the Bank expects that its holdings of GSE MBS that were in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Finally, based upon the Bank's assessment of the creditworthiness of the state housing agency and the triple-A credit ratings assigned by the NRSROs, the Bank expects that the state housing agency debenture that was in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost basis in this investment. Because the current market value deficits associated with these securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at June 30, 2018.

12

The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency residential MBS (“RMBS”), generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of June 30, 2018 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities.

Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.

To assess whether the entire amortized cost bases of its 23 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of June 30, 2018 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of June 30, 2018 assumed changes in home prices ranging from declines of 8 percent to increases of 13 percent over the 12-month period beginning April 1, 2018. For the vast majority of markets, the changes were projected to range from increases of 2 percent to 7 percent. Thereafter, home price changes for each market were projected to return (at varying rates and over varying transition periods based on historical housing price patterns) to their long-term historical equilibrium levels. Following these transition periods, the constant long-term annual rates of appreciation for the vast majority of markets were projected to range between 2 percent and 5 percent.

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

Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, none of the Bank's non-agency RMBS were deemed to be other-than-temporarily impaired at June 30, 2018.

During the year ended December 31, 2016, one of the Bank's non-agency RMBS was determined to be other-than-temporarily impaired. In addition, 14 of the Bank's non-agency RMBS were determined to be other-than-temporarily impaired in periods prior to 2013.

13

The following table presents a rollforward for the three and six months ended June 30, 2018 and 2017 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands).

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Balance of credit losses, beginning of period	$	9,203		$	10,245		$	9,443		$	10,515
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(229		)	(284		)	(469		)	(554		)
Balance of credit losses, end of period	8,974			9,961			8,974			9,961
Cumulative principal shortfalls on securities held at end of period	(2,048		)	(1,939		)	(2,048		)	(1,939		)
Cumulative amortization of the time value of credit losses at end of period	690			510			690			510
Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period	$	7,616		$	8,532		$	7,616		$	8,532

For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma on the Bank's non-agency RMBS holdings, see Note 16 - Commitments and Contingencies.

Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	June 30, 2018						December 31, 2017
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	250	$	250	$	250	$	1,425	$	1,425	$	1,427
Due after one year through five years	3,996		3,996		4,000		4,495		4,495		4,500
Due after five years through ten years	4,480		4,480		4,458		4,854		4,854		4,834
Due after ten years	160,000		160,000		159,162		160,000		160,000		160,233
	168,726		168,726		167,870		170,774		170,774		170,994
Mortgage-backed securities	1,616,215		1,604,167		1,631,041		1,787,364		1,773,763		1,800,044
Total	$	1,784,941	$	1,772,893	$	1,798,911	$	1,958,138	$	1,944,537	$	1,971,038

The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $4,285,000 and $4,895,000 at June 30, 2018 and December 31, 2017, respectively.

Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	168,726	$	170,774
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	79		117
Collateralized mortgage obligations
Fixed-rate	177		220
Variable-rate	1,580,695		1,751,762
Variable-rate multi-family MBS	35,264		35,265
	1,616,215		1,787,364
Total	$	1,784,941	$	1,958,138

All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2017 or the six months ended June 30, 2018.

14

Sales of Securities. There were no sales of held-to-maturity securities during the six months ended June 30, 2018 or the three months ended March 31, 2017. During the three months ended June 30, 2017, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $99,043,000. Proceeds from the sales totaled $100,933,000, resulting in realized gains of $1,890,000. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification.

Note 6—Advances

Redemption Terms. At June 30, 2018 and December 31, 2017, the Bank had advances outstanding at interest rates ranging from 0.66 percent to 8.27 percent and 0.54 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—		—	%	$	4,826		1.55	%
Due in one year or less	26,063,894			2.05		23,695,214			1.41
Due after one year through two years	2,435,124			2.25		1,735,507			1.64
Due after two years through three years	1,934,590			2.15		1,634,252			1.87
Due after three years through four years	445,440			2.26		639,113			1.94
Due after four years through five years	863,091			2.28		1,064,930			1.75
Due after five years	10,605,607			2.09		6,318,785			1.49
Amortizing advances	1,296,235			2.67		1,376,084			2.66
Total par value	43,643,981			2.10	%	36,468,711			1.52	%
Premiums	16					23
Deferred net prepayment fees	(9,869		)			(11,271		)
Commitment fees	(112		)			(116		)
Hedging adjustments	(44,461		)			3,177
Total	$	43,589,555				$	36,460,524

The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At June 30, 2018 and December 31, 2017, the Bank had aggregate prepayable and callable advances totaling $10,742,312,000 and $9,684,619,000, respectively.

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	36,543,623		30,795,524
Due after one year through two years	2,165,624		1,335,427
Due after two years through three years	1,211,090		941,452
Due after three years through four years	346,921		490,913
Due after four years through five years	644,141		538,660
Due after five years	1,436,347		985,825
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

15

The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At June 30, 2018 and December 31, 2017, the Bank had putable advances outstanding totaling $1,260,500,000 and $1,113,500,000, respectively.

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	27,018,894		24,269,214
Due after one year through two years	2,516,124		1,785,507
Due after two years through three years	1,977,090		1,641,752
Due after three years through four years	445,440		639,113
Due after four years through five years	818,091		1,029,930
Due after five years	9,572,107		5,722,285
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Fixed-rate
Due in one year or less	$	25,668,182	$	20,628,666
Due after one year	6,717,184		5,543,774
Total fixed-rate	32,385,366		26,172,440
Variable-rate
Due in one year or less	458,686		3,154,361
Due after one year	10,799,929		7,141,910
Total variable-rate	11,258,615		10,296,271
Total par value	$	43,643,981	$	36,468,711

At June 30, 2018 and December 31, 2017, 17 percent and 19 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate.

Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three months ended June 30, 2018 and 2017, gross advance prepayment fees received from members/borrowers were $117,000 and $574,000, respectively, none of which were deferred. During the six months ended June 30, 2018 and 2017, gross advance prepayment fees received from members/borrowers were $1,759,000 and $866,000, respectively, of which $0 and $219,000, respectively, were deferred.

The Bank also offers advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount payable to the Bank. There were no prepayments of symmetrical prepayment advances during the six months ended June 30, 2018 or the three months ended June 30, 2017. During the three months ended March 31, 2017, symmetrical prepayment advances with an aggregate par value of $11,000,000 were

16

prepaid. The difference by which the par values of these advances exceeded their fair values, less the make-whole amounts, totaled $190,000 and were recorded in prepayment fees on advances, net of the associated hedging adjustments on the advances.

Note 7—Mortgage Loans Held for Portfolio

Mortgage loans held for portfolio represent held-for-investment loans acquired through the Mortgage Partnership Finance^® ("MPF"^®) program. The following table presents information as of June 30, 2018 and December 31, 2017 for mortgage loans held for portfolio (in thousands):

	June 30, 2018			December 31, 2017
Fixed-rate medium-term* single-family mortgages	$	8,966		$	9,279
Fixed-rate long-term single-family mortgages	1,280,422			844,078
Premiums	30,394			22,123
Discounts	(846		)	(212		)
Deferred net derivative gains associated with mortgage delivery commitments	3,157			2,855
Total mortgage loans held for portfolio	1,322,093			878,123
Less: allowance for credit losses	(278		)	(271		)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	1,321,815		$	877,852

________________________________________

*Medium-term is defined as an original term of 15 years or less.

The unpaid principal balance of mortgage loans held for portfolio at June 30, 2018 and December 31, 2017 was comprised of government-guaranteed/insured loans totaling $17,352,000 and $19,228,000, respectively, and conventional loans totaling $1,272,036,000 and $834,129,000, respectively.

Note 8—Allowance for Credit Losses

An allowance for credit losses is separately established for each of the Bank’s identified portfolio segments, if necessary, to provide for probable losses inherent in its financing receivables portfolio and other off-balance sheet credit exposures as of the balance sheet date. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members”; (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio.

Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments.

During the six months ended June 30, 2018 and 2017, there were no significant purchases or sales of financing receivables, nor were any financing receivables reclassified to held for sale.

As discussed below, the Bank did not provide for any credit losses on its extensions of credit to members during the six months ended June 30, 2018. For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma and the California wildfires that occurred in the latter part of 2017, see Note 16 - Commitments and Contingencies.

Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”), the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank.

On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the

17

outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at June 30, 2018 or December 31, 2017.

The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At June 30, 2018 and December 31, 2017, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At June 30, 2018 and December 31, 2017, the Bank did not have any advances that were past due, on nonaccrual status, or considered impaired. There have been no troubled debt restructurings related to advances.

The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures.

Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the Federal Housing Administration or the Department of Veterans Affairs and were acquired through the MPF program (as more fully described in the Bank’s 2017 10-K) in periods prior to 2004. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans. Government-guaranteed or government-insured loans are not placed on nonaccrual status.

Mortgage Loans — Conventional Mortgage Loans. The Bank’s conventional mortgage loans have also been acquired through the MPF program. The allowance for losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, and prevailing economic conditions. The allowance for losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. Any incurred losses that are expected to be recovered from the credit enhancements are not reserved as part of the Bank’s allowance for loan losses.

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal.

A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for nonaccrual loans noted above.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered.

18

The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the recorded investment by payment status for mortgage loans at June 30, 2018 and December 31, 2017 (dollars in thousands).

	June 30, 2018									December 31, 2017
	Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Conventional Loans			Government- Guaranteed/ Insured Loans			Total
Mortgage loans:
30-59 days delinquent	$	6,264		$	628		$	6,892		$	6,553		$	983		$	7,536
60-89 days delinquent	895			119			1,014			1,541			148			1,689
90 days or more delinquent	360			109			469			689			98			787
Total past due	7,519			856			8,375			8,783			1,229			10,012
Total current loans	1,302,670			16,679			1,319,349			853,653			18,203			871,856
Total mortgage loans	$	1,310,189		$	17,535		$	1,327,724		$	862,436		$	19,432		$	881,868
Other delinquency statistics:
In process of foreclosure (1)	$	149		$	17		$	166		$	212		$	—		$	212
Serious delinquency rate (2)	—		%	0.6		%	0.1		%	0.1		%	0.5		%	0.1		%
Past due 90 days or more and still accruing interest (3)	$	—		$	109		$	109		$	—		$	98		$	98
Nonaccrual loans	$	360		$	—		$	360		$	689		$	—		$	689
Troubled debt restructurings	$	—		$	—		$	—		$	—		$	—		$	—

_____________________________

⁽¹⁾  Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

⁽²⁾  Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio.

⁽³⁾  Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.

At June 30, 2018 and December 31, 2017, the Bank’s other assets included $76,000 and $49,000, respectively, of real estate owned.

Mortgage loans are considered impaired when, based upon current information and events, it is probable that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Each nonaccrual mortgage loan and each troubled debt restructuring is specifically reviewed for impairment. At June 30, 2018 and December 31, 2017, the Bank did not have any troubled debt restructurings related to mortgage loans. At these dates, the estimated value of the collateral securing each nonaccrual loan, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the outstanding loan amount. Therefore, no specific reserve was established for any of the nonaccrual mortgage loans. The remaining conventional mortgage loans were evaluated for impairment on a pool basis. Based upon the current and past performance of these loans and current economic conditions, the Bank determined that an allowance for loan losses of $278,000 was adequate to reserve for credit losses in its conventional mortgage loan portfolio at June 30, 2018. The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and six months ended June 30, 2018 and 2017 (in thousands):

	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2018		2017		2018		2017
Balance, beginning of period	$	271	$	141	$	271	$	141
Provision for credit losses	7		—		7		—
Balance, end of period	$	278	$	141	$	278	$	141

19

The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018		December 31, 2017
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment	$	278	$	271
Recorded investment
Individually evaluated for impairment	$	360	$	689
Collectively evaluated for impairment	1,309,829		861,747
	$	1,310,189	$	862,436

Note 9—Consolidated Obligations

Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 16.

The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.060 trillion and $1.034 trillion at June 30, 2018 and December 31, 2017, respectively. The Bank was the primary obligor on $70.9 billion and $64.1 billion (at par value), respectively, of these consolidated obligations.

Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at June 30, 2018 and December 31, 2017 (in thousands, at par value).

	June 30, 2018		December 31, 2017
Variable-rate	$	13,959,850	$	15,295,000
Fixed-rate	13,500,620		12,680,675
Step-up	3,777,500		3,379,500
Step-down	225,000		175,000
Total par value	$	31,462,970	$	31,530,175

At June 30, 2018 and December 31, 2017, 90 percent and 89 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate.

20

Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by contractual maturity (dollars in thousands):

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in one year or less	$	16,615,550		1.85	%	$	17,981,240		1.36	%
Due after one year through two years	3,882,630			1.71		3,858,175			1.32
Due after two years through three years	3,533,275			1.88		2,389,140			1.65
Due after three years through four years	2,009,195			1.81		2,585,200			1.60
Due after four years through five years	2,693,190			2.28		1,920,285			1.86
Due after five years	2,729,130			2.35		2,796,135			2.26
Total par value	31,462,970			1.91	%	31,530,175			1.51	%
Premiums	4,012					6,194
Discounts	(1,406		)			(1,655		)
Debt issuance costs	(2,554		)			(2,238		)
Hedging adjustments	(321,808		)			(155,618		)
Total	$	31,141,214				$	31,376,858

At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	June 30, 2018		December 31, 2017
Non-callable bonds	$	24,121,970	$	25,228,675
Callable bonds	7,341,000		6,301,500
Total par value	$	31,462,970	$	31,530,175

The following table summarizes the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Due in one year or less	$	23,717,550	$	23,978,740
Due after one year through two years	3,111,630		3,637,175
Due after two years through three years	2,199,775		1,614,140
Due after three years through four years	979,195		1,208,200
Due after four years through five years	1,298,190		855,285
Due after five years	156,630		236,635
Total par value	$	31,462,970	$	31,530,175

Discount Notes. At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied Interest Rate
June 30, 2018	$	39,322,407	$	39,447,276	1.81	%
December 31, 2017	$	32,510,758	$	32,574,035	1.17	%

21

Note 10—Affordable Housing Program (“AHP”)

The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2018 and 2017 (in thousands):

	Six Months Ended June 30,
	2018			2017
Balance, beginning of period	$	31,246		$	22,871
AHP assessment	10,067			8,772
Grants funded, net of recaptured amounts	(7,088		)	(4,575		)
Balance, end of period	$	34,225		$	27,068

Note 11—Assets and Liabilities Subject to Offsetting

The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of June 30, 2018 or December 31, 2017.

The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $100,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions.

For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Effective January 3, 2017, one of the Bank's two clearinghouse counterparties made certain amendments to its rulebook that changed the legal characterization of variation margin payments on cleared derivatives to settlements on the contracts. Effective January 16, 2018, the Bank's other clearinghouse counterparty made similar amendments to its rulebook. Prior to the dates upon which these amendments became effective, the variation margin payments were in each case characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. Initial and variation margin (regardless of whether it is characterized as collateral or settlements) is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received on daily settled contracts) and any cash collateral pledged or received.

The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2018 and December 31, 2017 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

22

	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Condition			Net Amounts Presented in the Statement of Condition		Collateral Not Offset in the Statement of Condition (1)				Net Unsecured Amount
June 30, 2018
Assets
Derivatives
Bilateral derivatives	$	28,657	$	(24,955	)	$	3,702	$	(3,111	)	(2)	$	591
Cleared derivatives	9,427		(7,500		)	1,927		—				1,927
Total derivatives	38,084		(32,455		)	5,629		(3,111		)		2,518
Securities purchased under agreements to resell	4,440,000		—			4,440,000		(4,440,000		)		—
Total assets	$	4,478,084	$	(32,455	)	$	4,445,629	$	(4,443,111	)		$	2,518
Liabilities
Derivatives
Bilateral derivatives	$	276,203	$	(227,454	)	$	48,749	$	—			$	48,749
Cleared derivatives	8,737		(7,415		)	1,322		(1,322		)	(3)	—
Total liabilities	$	284,940	$	(234,869	)	$	50,071	$	(1,322	)		$	48,749
December 31, 2017
Assets
Derivatives
Bilateral derivatives	$	15,120	$	(8,176	)	$	6,944	$	(6,422	)	(2)	$	522
Cleared derivatives	225,852		(215,571		)	10,281		—				10,281
Total derivatives	240,972		(223,747		)	17,225		(6,422		)		10,803
Securities purchased under agreements to resell	6,700,000		—			6,700,000		(6,700,000		)		—
Total assets	$	6,940,972	$	(223,747	)	$	6,717,225	$	(6,706,422	)		$	10,803
Liabilities
Derivatives
Bilateral derivatives	$	155,703	$	(145,537	)	$	10,166	$	—			$	10,166
Cleared derivatives	76,734		(75,940		)	794		(794		)	(4)	—
Total liabilities	$	232,437	$	(221,477	)	$	10,960	$	(794	)		$	10,166

_____________________________

⁽¹⁾  Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

⁽²⁾  Consists of collateral pledged by member counterparties.

⁽³⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $786,571,000 at June 30, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

⁽⁴⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $746,436,000 at December 31, 2017 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

23

Note 12—Derivatives and Hedging Activities

Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption, cap and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives and, as of June 30, 2018, it was not a party to any forward rate agreements.

The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs.

The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit.

At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

 Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps.

A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank has entered into interest rate cap agreements. These derivatives are treated as economic hedges.

All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency commercial MBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges.

A significant portion of the Bank's trading securities are fixed-rate U.S. Treasury Notes that were acquired with short remaining terms to maturity. To convert these fixed-rate investment securities to a short-term floating rate, the Bank entered into fixed-for-floating interest rate exchange agreements that are indexed to the overnight index swap ("OIS") rate. These derivatives are treated as economic hedges.

The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges.

Advances — The Bank issues both fixed-rate and variable-rate advances. When appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables

24

the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates.

A small portion of the Bank’s variable-rate advances are subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank generally enters into interest rate cap agreements. This type of hedge is treated as a fair value hedge.

The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance.

The Bank enters into optional advance commitments with its members. In an optional advance commitment, the Bank sells an option to the member that provides the member with the right to increase the amount of an existing advance at a specified fixed rate and term on a specified future date, provided the member has satisfied all of the customary requirements for such advance. This embedded option is clearly and closely related to the host contract. The Bank may hedge an optional advance commitment through the use of an interest rate swaption. In this case, the swaption will function as the hedging instrument for both the commitment and, if the option is exercised by the member, the subsequent advance. These swaptions are treated as fair value hedges.

Consolidated Obligations— While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances.

To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets, typically one-month or three-month LIBOR. These transactions are treated as fair value hedges. On occasion, the Bank may enter into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are treated as economic hedges. The Bank may also use interest rate exchange agreements to convert variable-rate consolidated obligation bonds from one index rate (e.g., the daily effective federal funds rate) to another index rate (e.g., one-month or three-month LIBOR). These transactions are treated as economic hedges.

The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars.

Forecasted Issuances of Consolidated Obligations— The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges.

Balance Sheet Management — From time to time, the Bank may enter into interest rate basis swaps to reduce its exposure to changing spreads between one-month and three-month LIBOR. In addition, to reduce its exposure to reset risk, the Bank may occasionally enter into forward rate agreements. These derivatives are treated as economic hedges.

Intermediation — The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges.

Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges.

25

Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. Any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Net interest income/expense associated with derivatives that qualify for fair value hedge accounting under ASC 815 is recorded as a component of net interest income.

If fair value hedging relationships meet certain criteria specified in ASC 815, they are eligible for hedge accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances.

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represents the amount by which the change in the fair value of the derivative differs from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) is recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract

26

would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings.

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method.

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

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

27

Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018								December 31, 2017
	Notional Amount of Derivatives		Estimated Fair Value						Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets			Derivative Liabilities					Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps
Advances	$	5,379,984	$	8,686		$	16,734		$	5,055,945	$	27,829		$	29,110
Available-for-sale securities	15,397,142		18,871			25,065			14,282,321		177,066			107,822
Consolidated obligation bonds	15,640,680		3,054			200,759			14,374,040		1,510			85,669
Consolidated obligation discount notes	653,000		159			26			505,000		18,512			33
Interest rate swaptions related to advances	—		—			—			2,000		44			—
Total derivatives designated as hedging    instruments under ASC 815	37,070,806		30,770			242,584			34,219,306		224,961			222,634
Derivatives not designated as hedging    instruments under ASC 815
Interest rate swaps
Advances	7,500		—			—			7,500		11			—
Available-for-sale securities	2,992		—			3			2,993		2			2
Mortgage loans held for portfolio	130,600		126			54			—		—			—
Consolidated obligation bonds	50,000		170			—			—		—			—
Trading securities	750,000		—			13			—		—			—
Intermediary transactions	2,319,058		3,400			39,894			2,338,039		15,573			9,630
Other	425,000		649			—			325,000		219			—
Interest rate swaptions related to mortgage loans held for portfolio	40,000		442			—			—		—			—
Mortgage delivery commitments	37,049		122			—			20,304		31			—
Interest rate caps and floors
Held-to-maturity securities	1,200,000		13			—			1,200,000		4			—
Intermediary transactions	541,000		2,392			2,392			80,000		171			171
Total derivatives not designated as     hedging instruments under ASC 815	5,503,199		7,314			42,356			3,973,836		16,011			9,803
Total derivatives before collateral and netting adjustments	$	42,574,005	38,084			284,940			$	38,193,142	240,972			232,437
Cash collateral and related accrued interest			—			(202,514		)			(139,838		)	(137,362		)
Cash received or remitted in excess of variation margin requirements			(100		)	—					—			(206		)
Netting adjustments			(32,355		)	(32,355		)			(83,909		)	(83,909		)
Total collateral and netting adjustments(1)			(32,455		)	(234,869		)			(223,747		)	(221,477		)
Net derivative balances reported in statements of condition			$	5,629		$	50,071				$	17,225		$	10,960

_____________________________

⁽¹⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

28

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the statements of income for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Gain (Loss) Recognized in Earnings for the						Gain (Loss) Recognized in Earnings for the
	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Derivatives and hedged items in ASC 815 fair value hedging relationships
Interest rate swaps	$	2,795		$	(5,505	)	$	14,675		$	(4,403	)
Interest rate swaptions	(69		)	(14		)	(44		)	(36		)
Total net gain (loss) related to fair value hedge ineffectiveness	2,726			(5,519		)	14,631			(4,439		)
Derivatives not designated as hedging instruments under ASC 815
Interest rate swaps	(2,748		)	4,517			(11,776		)	7,617
Net interest income (expense) on interest rate swaps	(298		)	473			(123		)	921
Interest rate swaptions	(125		)	—			(125		)	—
Interest rate caps	112			(73		)	123			(234		)
Mortgage delivery commitments	449			1,222			500			1,463
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815	(2,610		)	6,139			(11,401		)	9,767
Price alignment amount on variation margin for daily settled derivative contracts	(2,463		)	182			(3,754		)	301
Net gains (losses) on derivatives and hedging activities reported in the statements of income	$	(2,347	)	$	802		$	(524	)	$	5,629

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in ASC 815 fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2018 and 2017 (in thousands).

Hedged Item	Gain (Loss) on Derivatives			Gain (Loss) on Hedged Items			Net Fair Value Hedge Ineffectiveness (1)			Derivative Net Interest Income  (Expense)(2)
Three Months Ended June 30, 2018
Advances	$	11,379		$	(11,302	)	$	77		$	4,130
Available-for-sale securities	115,854			(109,663		)	6,191			6,955
Consolidated obligation bonds	(31,217		)	27,675			(3,542		)	(13,256		)
Total	$	96,016		$	(93,290	)	$	2,726		$	(2,171	)
Three Months Ended June 30, 2017
Advances	$	(5,677	)	$	5,763		$	86		$	(8,887	)
Available-for-sale securities	(115,083		)	109,506			(5,577		)	(27,727		)
Consolidated obligation bonds	52,850			(52,878		)	(28		)	11,490
Total	$	(67,910	)	$	62,391		$	(5,519	)	$	(25,124	)
Six Months Ended June 30, 2018
Advances	$	47,646		$	(47,451	)	$	195		$	2,432
Available-for-sale securities	452,341			(432,302		)	20,039			(4,727		)
Consolidated obligation bonds	(171,768		)	166,165			(5,603		)	(11,491		)
Total	$	328,219		$	(313,588	)	$	14,631		$	(13,786	)
Six Months Ended June 30, 2017
Advances	$	8,046		$	(7,874	)	$	172		$	(19,786	)
Available-for-sale securities	(84,331		)	78,042			(6,289		)	(58,405		)
Consolidated obligation bonds	45,391			(43,713		)	1,678			23,107
Total	$	(30,894	)	$	26,455		$	(4,439	)	$	(55,084	)

_____________________________

⁽¹⁾  Reported as net gains (losses) on derivatives and hedging activities in the statements of income.

⁽²⁾  The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item.

29

The following table presents, by type of hedged item, the gains (losses) on derivatives in ASC 815 cash flow hedging relationships that were recognized in other comprehensive income and the gains (losses) reclassified from AOCI into earnings for the three and six months ended June 30, 2018 and 2017 (in thousands).

Derivatives in Cash Flow Hedging Relationships	Three Months Ended					Six Months Ended
	June 30,					June 30,
	2018		2017			2018			2017
Interest rate swaps related to anticipated issuances of consolidated obligation discount notes
Amount of gains (losses) recognized in other comprehensive income on derivatives (effective portion)	$	4,726	$	(5,604	)	$	18,566		$	(5,751	)
Amount of gains (losses) reclassified from AOCI into interest expense (effective portion) (1)	273		(636		)	(37		)	(1,436		)
Amount of losses recognized in net gains (losses) on derivatives and hedging activities (ineffective portion)	—		—			—			—

_____________________________

⁽¹⁾  Represents net interest income (expense) associated with the derivatives.

For the three and six months ended June 30, 2018 and 2017, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At June 30, 2018, $3,446,000 of deferred net gains on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At June 30, 2018, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 10 years.

Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. The majority of the Bank's derivative contracts have been cleared through third-party central clearinghouses (as of June 30, 2018, the notional balance of cleared transactions outstanding totaled $28.6 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of June 30, 2018, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $12.5 billion and $1.4 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations.

The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 11. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.

30

Note 13—Capital

At all times during the six months ended June 30, 2018, the Bank was in compliance with all applicable statutory and regulatory capital requirements. The following table summarizes the Bank’s compliance with those capital requirements as of June 30, 2018 and December 31, 2017 (dollars in thousands):

	June 30, 2018						December 31, 2017
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	994,357		$	3,668,567		$	831,553		$	3,265,641
Total capital	$	3,037,595		$	3,668,567		$	2,740,972		$	3,265,641
Total capital-to-assets ratio	4.00		%	4.83		%	4.00		%	4.77		%
Leverage capital	$	3,796,994		$	5,502,851		$	3,426,215		$	4,898,462
Leverage capital-to-assets ratio	5.00		%	7.25		%	5.00		%	7.15		%

Members are required to maintain an investment in Class B Capital Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of December 31, 2017, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is currently 4.1 percent of outstanding advances, except as described below.

On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015.

The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during the six months ended June 30, 2018, surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 27, 2018 and June 26, 2018, a member shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt-out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 27, 2018 and June 26, 2018, the Bank repurchased surplus stock totaling $233,659,000 and $99,285,000, respectively, none of which was classified as mandatorily redeemable capital stock at those dates. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases.

On March 27, 2018 and June 26, 2018, the Bank also repurchased all excess stock held by non-member shareholders as of those dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $5,363,000 and $22,000, respectively.

Note 14—Employee Retirement Plans

The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and six months ended June 30, 2018 and 2017 were as follows (in thousands):

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Service cost	$	5		$	6		$	10		$	12
Interest cost	5			5			10			10
Amortization of prior service cost	5			5			10			10
Amortization of net actuarial gain	(27		)	(26		)	(53		)	(52		)
Net periodic benefit credit	$	(12	)	$	(10	)	$	(23	)	$	(20	)

The components of net periodic benefit credit are reported in the income statement as described in Note 2.

31

Note 15—Estimated Fair Values

Fair value is defined under U.S. GAAP 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. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable 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 (e.g., implied spreads).

Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs.

For financial instruments carried at fair value, the Bank reviews the 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. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. For the six months ended June 30, 2018 and 2017, the Bank did not reclassify any fair value measurements.

The following estimated fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of June 30, 2018 and December 31, 2017. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities.

The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below.

Trading and available-for-sale securities. To value its U.S. Treasury Notes and Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available.

The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. 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. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the

32

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, 2018 and December 31, 2017, three vendor prices were received for substantially all of the Bank’s trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods 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, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy.

Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps and floors are also estimated using a pricing model with inputs that are observable in the market (that is, cap/floor volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve).

As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 11), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability.

The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS.

Other assets held at fair value. To value its mutual fund investments included in other assets as of June 30, 2018 and trading securities as of December 31, 2017, the Bank obtained quoted prices for the mutual funds.

33

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2018 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	34,972	$	34,972	$	34,972	$	—		$	—		$	—
Interest-bearing deposits	245		245		—		245			—			—
Securities purchased under agreements to resell	4,440,000		4,440,000		—		4,440,000			—			—
Federal funds sold	8,433,000		8,433,000		—		8,433,000			—			—
Trading securities (1)	1,092,258		1,092,258		—		1,092,258			—			—
Available-for-sale securities (1)	15,069,028		15,069,028		—		15,069,028			—			—
Held-to-maturity securities	1,772,893		1,798,911		—		1,711,794		(2)	87,117		(3)	—
Advances	43,589,555		43,568,467		—		43,568,467			—			—
Mortgage loans held for portfolio, net	1,321,815		1,301,918		—		1,301,918			—			—
Accrued interest receivable	137,073		137,073		—		137,073			—			—
Derivative assets (1)	5,629		5,629		—		38,084			—			(32,455		)
Other assets held at fair value (1)	13,453		13,453		13,453		—			—			—
Liabilities:
Deposits	968,291		968,270		—		968,270			—			—
Consolidated obligations
Discount notes	39,322,407		39,313,300		—		39,313,300			—			—
Bonds	31,141,214		31,077,276		—		31,077,276			—			—
Mandatorily redeemable capital stock	824		824		824		—			—			—
Accrued interest payable	86,520		86,520		—		86,520			—			—
Derivative liabilities (1)	50,071		50,071		—		284,940			—			(234,869		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

34

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2017 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	87,965	$	87,965	$	87,965	$	—		$	—		$	—
Interest-bearing deposits	299		299		—		299			—			—
Securities purchased under agreements to resell	6,700,000		6,700,000		—		6,700,000			—			—
Federal funds sold	7,780,000		7,780,000		—		7,780,000			—			—
Trading securities (1)	114,230		114,230		12,082		102,148			—			—
Available-for-sale securities (1)	14,402,398		14,402,398		—		14,402,398			—			—
Held-to-maturity securities	1,944,537		1,971,038		—		1,874,505		(2)	96,533		(3)	—
Advances	36,460,524		36,459,439		—		36,459,439			—			—
Mortgage loans held for portfolio, net	877,852		879,464		—		879,464			—			—
Accrued interest receivable	110,957		110,957		—		110,957			—			—
Derivative assets (1)	17,225		17,225		—		240,972			—			(223,747		)
Liabilities:
Deposits	843,709		843,680		—		843,680			—			—
Consolidated obligations
Discount notes	32,510,758		32,501,773		—		32,501,773			—			—
Bonds	31,376,858		31,333,534		—		31,333,534			—			—
Mandatorily redeemable capital stock	5,941		5,941		5,941		—			—			—
Accrued interest payable	69,756		69,756		—		69,756			—			—
Derivative liabilities (1)	10,960		10,960		—		232,437			—			(221,477		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

Note 16—Commitments and Contingencies

Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At June 30, 2018, the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $989 billion. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor 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 that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary

35

obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote.

Impact of Hurricanes Harvey and Irma. During the three months ended September 30, 2017, two significant hurricanes struck the continental United States. On August 25, 2017, Hurricane Harvey made landfall near Rockport, Texas, causing substantial flooding and other damage in southeast Texas, including the Houston metropolitan area, and lesser damage in Louisiana. Then, on September 10, 2017, Hurricane Irma made landfall near Marco Island, Florida, causing significant damage in Florida and lesser damage in other southeastern states.

These storms had varying degrees of impact on the Bank’s members, its members’ borrowers and the properties pledged as collateral for those borrowings, and MPF mortgage loan borrowers and the properties pledged as collateral for those mortgage loans.

At the time the storms struck, the Bank held interests totaling approximately $58 million (unpaid principal balance or “UPB”) in conventional mortgage loans acquired through the MPF Program and held for portfolio that were collateralized by properties located in the areas that were ultimately designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government (approximately $14 million UPB was collateralized by properties located in Hurricane Harvey disaster areas and approximately $44 million UPB was collateralized by properties located in Hurricane Irma disaster areas). As a percentage of balances as of June 30, 2018, the aggregate UPB represents approximately 4.4 percent of the Bank’s mortgage loans held for portfolio, less than 0.1 percent of the Bank’s total assets and approximately 5.8 percent of the Bank’s retained earnings. Under the terms of the MPF Program, all mortgagors are required to carry hazard insurance and, if the property is located in a federal government-designated flood zone, they must also carry flood insurance. Federal assistance may also be available to mortgagors affected by the storms. In addition, mortgage loans with a loan-to-value ratio greater than 80 percent are required to have private mortgage insurance (“PMI”). Members selling mortgage loans to the Bank under the MPF Program are also required to retain a portion of the credit risk associated with those loans (“MPF credit enhancements”). Based on its assessment, the Bank believes the protections that are in place including, but not limited to, borrowers’ equity, PMI, hazard insurance and, if applicable, flood insurance, along with MPF credit enhancements, will limit any potential losses to an amount that will not have a material effect on the Bank’s financial condition or results of operations. As of June 30, 2018, none of these loans were 60 days or more delinquent and $1.1 million UPB of these loans were 30-59 days delinquent. In addition, only four of these loans with an aggregate UPB of $0.2 million were in forbearance.

The Bank also owns several non-agency RMBS that are collateralized in part by loans on properties that are located in Florida and, to a lesser extent, Texas (the states most affected by Hurricanes Irma and Harvey, respectively). Credit support for the senior tranches of these securities held by the Bank is provided by subordinated tranches that absorb losses before the senior tranches held by the Bank would be affected. The amount of loans in Florida and Texas generally represent a small portion of the underlying loan pools and, therefore, the Bank does not currently anticipate any material losses in its non-agency RMBS portfolio related to Hurricanes Irma or Harvey.

Based on currently available information, the Bank has not recorded any reserves related to Hurricanes Harvey or Irma. The Bank is continuing to monitor the impact of the hurricanes on its mortgage loans held for portfolio and non-agency RMBS investments. If information becomes available indicating that any of these assets has been impaired and the amount of the loss can be reasonably estimated, the Bank will record appropriate reserves at that time.

The Bank has also evaluated the potential for losses resulting from Hurricanes Harvey and Irma on its advances and letters of credit. Based on its assessment, the Bank does not expect to incur any losses on advances or letters of credit.

Impact of California Wildfires. In October and December, 2017, several significant wildfires destroyed thousands of homes and businesses in Northern and Southern California, respectively. The Bank’s primary exposure to the destruction caused by these wildfires relates to its mortgage loans held for portfolio. At the time the fires occurred, the Bank held interests totaling approximately $83 million UPB in conventional mortgage loans acquired through the MPF Program that were collateralized by properties located in the areas that were ultimately designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government. As of June 30, 2018, this balance represents approximately 6.3 percent of the Bank’s mortgage loans held for portfolio, approximately 0.1 percent of the Bank’s total assets and approximately 8.2 percent of the Bank’s retained earnings. As noted in the discussion regarding Hurricanes Harvey and Irma, all mortgagors are required under the terms of the MPF Program to carry hazard insurance. For this reason and the other reasons set forth in that discussion, the Bank does not currently anticipate any material losses as a result of the California wildfires. As of June 30, 2018, none of these loans were 60 days or more delinquent and $28,000 UPB of these loans were 30-59 days delinquent. In addition, only two of these loans with an aggregate UPB of $0.8 million were in forbearance.

36

Other commitments and contingencies. At June 30, 2018 and December 31, 2017, the Bank had commitments to make additional advances totaling approximately $23,922,000 and $20,200,000, respectively. In addition, outstanding standby letters of credit totaled $16,635,515,000 and $16,215,472,000 at June 30, 2018 and December 31, 2017, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 8).

In late 2017 and June 2018, the Bank entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At June 30, 2018 and December 31, 2017, the Bank had outstanding standby bond purchase agreements totaling $455,685,000 and $207,663,000, respectively. At June 30, 2018, standby bond purchase agreements totaling $202,192,000 and $253,493,000 expire in 2022 and 2023, respectively. The Bank was not required to purchase any bonds under these agreements during the six months ended June 30, 2018 or the year ended December 31, 2017.

At June 30, 2018 and December 31, 2017, the Bank had commitments to purchase conventional mortgage loans totaling $37,049,000 and $20,304,000, respectively, from certain of its members that participate in the MPF program.

At June 30, 2018 and December 31, 2017, the Bank had commitments to issue $40,000,000 and $55,000,000, respectively, of consolidated obligation bonds, of which $18,000,000 and $55,000,000, respectively, were hedged with interest rate swaps. In addition, at June 30, 2018, the Bank had commitments to issue $174,935,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank did not have any commitments to issue consolidated obligation discount notes at December 31, 2017.

The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of June 30, 2018 and December 31, 2017, the Bank had pledged cash collateral of $202,177,000 and $137,201,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of June 30, 2018 and December 31, 2017, the Bank had pledged securities with carrying values (and fair values) of $787,893,000 and $747,230,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition.

In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings.

Note 17— Transactions with Shareholders

Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank.

Note 18 — Transactions with Other FHLBanks

Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. The Bank did not loan any short-term federal funds to other FHLBanks during the six months ended June 30, 2018. During the six months ended June 30, 2017, interest income from loans to other FHLBanks totaled $13,425. The following table summarizes the Bank’s loans to other FHLBanks during the six months ended June 30, 2017 (in thousands).

	Six Months Ended June 30, 2017
Balance at January 1, 2017	$	290,000
Loans made to:
FHLBank of Boston	225,000
Collections from:
FHLBank of San Francisco	(290,000		)
FHLBank of Boston	(225,000		)
Balance at June 30, 2017	$	—

37

During the six months ended June 30, 2018 and 2017, interest expense on borrowings from other FHLBanks totaled $74,639 and $486, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2018 and 2017 (in thousands).

	Six Months Ended June 30,
	2018			2017
Balance at January 1,	$	—		$	—
Borrowings from:
FHLBank of San Francisco	45,000			—
FHLBank of Indianapolis	600,000			10,000
FHLBank of Topeka	—			10,000
FHLBank of Boston	175,000			—
FHLBank of Cincinnati	500,000			—
FHLBank of Des Moines	500,000			—
Repayments to:
FHLBank of San Francisco	(45,000		)	—
FHLBank of Indianapolis	(600,000		)	(10,000		)
FHLBank of Topeka	—			(10,000		)
FHLBank of Boston	(175,000		)	—
FHLBank of Cincinnati	(500,000		)	—
FHLBank of Des Moines	(500,000		)	—
Balance at June 30,	$	—		$	—

38

Note 19 — Accumulated Other Comprehensive Income (Loss)

The following table presents the changes in the components of AOCI for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses)  on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Three Months Ended June 30, 2018
Balance at April 1, 2018	$	252,624		$	34,335		$	(12,828	)	$	1,496		$	275,627
Reclassifications from AOCI to net income
Gains on cash flow hedges included in interest expense	—			(273		)	—			—			(273		)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(22		)	(22		)
Other amounts of other comprehensive income (loss)
Net unrealized losses on available-for-sale securities	(36,262		)	—			—			—			(36,262		)
Unrealized gains on cash flow hedges	—			4,726			—			—			4,726
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			780			—			780
Total other comprehensive income (loss)	(36,262		)	4,453			780			(22		)	(31,051		)
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Three Months Ended June 30, 2017
Balance at April 1, 2017	$	129,932		$	21,033		$	(16,164	)	$	1,379		$	136,180
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,167		)	—			—			—			(1,167		)
Losses on cash flow hedges included in interest expense	—			636			—			—			636
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(21		)	(21		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	2,225			—			—			—			2,225
Unrealized losses on cash flow hedges	—			(5,604		)	—			—			(5,604		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			937			—			937
Total other comprehensive income (loss)	1,058			(4,968		)	937			(21		)	(2,994		)
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

39

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses) on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Six Months Ended June 30, 2018
Balance at January 1, 2018	$	212,225		$	20,185		$	(13,601	)	$	1,517		$	220,326
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—			37			—			—			37
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(43		)	(43		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	4,137			—			—			—			4,137
Unrealized gains on cash flow hedges	—			18,566			—			—			18,566
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,553			—			1,553
Total other comprehensive income (loss)	4,137			18,603			1,553			(43		)	24,250
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Six Months Ended June 30, 2017
Balance at January 1, 2017	$	58,587		$	20,380		$	(17,157	)	$	1,400		$	63,210
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,837		)	—			—			—			(1,837		)
Losses on cash flow hedges included in interest expense	—			1,436			—			—			1,436
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(42		)	(42		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	74,240			—			—			—			74,240
Unrealized losses on cash flow hedges	—			(5,751		)	—			—			(5,751		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,930			—			1,930
Total other comprehensive income (loss)	72,403			(4,315		)	1,930			(42		)	69,976
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

_____________________________

⁽¹⁾ Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

40

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion and analysis of financial condition and results of operations should be read in conjunction with the financial statements and notes thereto included in “Item 1. Financial Statements.”

Forward-Looking Information

This quarterly report contains forward-looking statements that reflect current beliefs and expectations of the Federal Home Loan Bank of Dallas (the “Bank”) about its future results, performance, liquidity, financial condition, prospects and opportunities. These statements are identified by the use of forward-looking terminology, such as “anticipates,” “plans,” “believes,” “could,” “estimates,” “may,” “should,” “would,” “will,” “might,” “expects,” “intends” or their negatives or other similar terms. The Bank cautions that forward-looking statements involve risks or uncertainties that could cause the Bank’s actual results to 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. As a result, undue reliance should not be placed on these statements.

These risks and uncertainties include, without limitation, evolving economic and market conditions, political events, and the impact of competitive business forces. The risks and uncertainties related to evolving economic and market conditions include, but are not limited to, changes in interest rates, changes in the Bank’s access to the capital markets, changes in the cost of the Bank’s debt, changes in the ratings on the Bank’s debt, adverse consequences resulting from a significant regional, national or global economic downturn (including, but not limited to, reduced demand for the Bank's products and services), credit and prepayment risks, or changes in the financial health of the Bank’s members or non-member borrowers. Among other things, political events could possibly lead to changes in the Bank’s regulatory environment or its status as a government-sponsored enterprise (“GSE”), or to changes in the regulatory environment for the Bank’s members or non-member borrowers. Risks and uncertainties related to competitive business forces include, but are not limited to, the potential loss of a significant amount of member borrowings through acquisitions or other means or changes in the relative competitiveness of the Bank’s products and services for member institutions. For a more detailed discussion of the risk factors applicable to the Bank, see “Item 1A — Risk Factors” in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2017, which was filed with the Securities and Exchange Commission (“SEC”) on March 22, 2018 (the “2017 10-K”). The Bank undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events, changed circumstances, or any other reason.

Overview

Business

The Bank is one of 11 district Federal Home Loan Banks (each individually a “FHLBank” and collectively the “FHLBanks” and, together with the Federal Home Loan Banks Office of Finance ("Office of Finance"), a joint office of the FHLBanks, the “FHLBank System”) that were created by the Federal Home Loan Bank Act of 1932 (as amended, the "FHLBank Act"). The FHLBanks serve the public by enhancing the availability of credit for residential mortgages, community lending and targeted community development. As independent, member-owned cooperatives, the FHLBanks seek to maintain a balance between their public purpose and their ability to provide adequate returns on the capital supplied by their members. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, is responsible for supervising and regulating the FHLBanks and the Office of Finance. The Finance Agency’s stated mission is to ensure that the housing GSEs, including the FHLBanks, operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Consistent with this mission, the Finance Agency establishes policies and regulations covering the operations of the FHLBanks.

The Bank serves eligible financial institutions in Arkansas, Louisiana, Mississippi, New Mexico and Texas (collectively, the Ninth District of the FHLBank System). The Bank’s primary business is lending relatively low cost funds (known as advances) to its member institutions, which include commercial banks, savings institutions, insurance companies, credit unions, and Community Development Financial Institutions that are certified under the Community Development Banking and Financial Institutions Act of 1994. While not members of the Bank, housing associates, including state and local housing authorities, that meet certain statutory criteria may also borrow from the Bank. The Bank also maintains a portfolio of investments, substantially all of which are highly rated, for liquidity purposes and to provide additional earnings. Additionally, the Bank holds interests in a portfolio of predominately conventional mortgage loans that were acquired through the Mortgage Partnership Finance^® (“MPF”^®) Program administered by the FHLBank of Chicago. Shareholders’ return on their investment includes dividends (which are typically paid quarterly in the form of capital stock) and the value derived from access to the Bank’s products and services. Historically, the Bank has balanced the financial rewards to shareholders by seeking to pay a dividend that meets or exceeds the return on alternative short-term money market investments available to shareholders, while lending funds at the lowest rates expected to be compatible with that objective and its objective to build retained earnings over time.

41

The Bank’s capital stock is not publicly traded and can be held only by members of the Bank, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other obligations that remain outstanding or until any applicable stock redemption or withdrawal notice period expires. All members must hold stock in the Bank. The Bank’s capital stock has a par value of $100 per share and is purchased, redeemed, repurchased and transferred only at its par value. By regulation, the parties to a transaction involving the Bank's stock can include only the Bank and its member institutions (or non-member institutions or former members, as described above). While a member could transfer stock to another member of the Bank, that transfer could occur only upon approval of the Bank and then only at par value. Members may redeem excess stock, or withdraw from membership and redeem all outstanding capital stock, with five years’ written notice to the Bank.

The FHLBanks’ debt instruments (known as consolidated obligations) are their primary source of funds and are the joint and several obligations of all 11 FHLBanks. Consolidated obligations are issued through the Office of Finance (acting as agent for the FHLBanks) and generally are publicly traded in the over-the-counter market. The Bank records on its statements of condition only those consolidated obligations for which it receives the proceeds. Consolidated obligations are not obligations of the U.S. government and the U.S. government does not guarantee them. Consolidated obligations are currently rated Aaa/P-1 by Moody’s Investors Service (“Moody’s”) and AA+/A-1+ by S&P Global Ratings (“S&P”). These ratings indicate that each of these nationally recognized statistical rating organizations ("NRSROs") has concluded that the FHLBanks have a very strong capacity to meet their commitments to pay principal and interest on consolidated obligations. The ratings also reflect the FHLBank System’s status as a GSE. Historically, the FHLBanks’ GSE status and very high credit ratings on consolidated obligations have provided the FHLBanks with excellent capital markets access. Deposits, other borrowings and the proceeds from capital stock issued to members are also sources of funds for the Bank.

In addition to ratings on the FHLBanks’ consolidated obligations, each FHLBank is rated individually by both S&P and Moody’s. These individual FHLBank ratings apply to the individual obligations of the respective FHLBanks, such as interest rate derivatives, deposits and letters of credit. As of June 30, 2018, Moody’s had assigned a deposit rating of Aaa/P-1 to each of the FHLBanks and S&P had rated each of the FHLBanks AA+/A-1+.

Shareholders, bondholders and prospective shareholders and bondholders should understand that these credit ratings are not a recommendation to buy, hold or sell securities and they may be subject to revision or withdrawal at any time by the NRSRO. The ratings from each of the NRSROs should be evaluated independently.

The Bank conducts its business and fulfills its public purpose primarily by acting as a financial intermediary between its members and the capital markets. The intermediation of the timing, structure and amount of its members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate exchange agreements, including interest rate swaps, swaptions and caps.

The Bank’s profitability objective is to generate sufficient earnings to allow the Bank to continue to increase its retained earnings and pay dividends on capital stock at rates that meet the Bank's dividend targets. Currently, the Bank's target for quarterly dividends on Class B-1 Stock is an annualized rate that approximates the average one-month LIBOR rate for the immediately preceding quarter. The target range for quarterly dividends on Class B-2 Stock is currently an annualized rate that approximates the average one-month LIBOR rate for the preceding quarter plus 0.5 - 1.0 percent. While the Bank has had a long-standing practice of paying quarterly dividends, future dividend payments cannot be assured.

The Bank operates in only one reportable segment. All of the Bank’s revenues are derived from U.S. operations.

42

The following table summarizes the Bank’s membership, by type of institution, as of June 30, 2018 and December 31, 2017.

MEMBERSHIP SUMMARY
	June 30, 2018	December 31, 2017
Commercial banks	596	608
Savings institutions	57	58
Credit unions	116	114
Insurance companies	37	35
Community Development Financial Institutions	7	6
Total members	813	821
Housing associates	8	8
Non-member borrowers	5	6
Total	826	835
Community Financial Institutions (“CFIs”) (1)	584	600

_____________________________

⁽¹⁾  The figures shown reflect the number of institutions that were Community Financial Institutions as of June 30, 2018 and December 31, 2017 based upon the definitions of Community Financial Institutions that applied as of those dates.

For 2018, Community Financial Institutions (“CFIs”) are defined to include all institutions insured by the Federal Deposit Insurance Corporation (“FDIC”) with average total assets as of December 31, 2017, 2016 and 2015 of less than $1.173 billion. For 2017, CFIs were defined as FDIC-insured institutions with average total assets as of December 31, 2016, 2015 and 2014 of less than $1.148 billion.

As of June 30, 2018, the Bank had 813 members. The decline in the Bank's membership during the first six months of 2018 was largely attributable to intra-district merger activity.

Financial Market Conditions

Economic growth in the United States expanded during the second quarter of 2018. The gross domestic product increased at an annual rate of 4.1 percent during the second quarter of 2018, after increasing at an annual rate of 2.2 percent during the first quarter of 2018 and 2.2 percent during 2017. The nationwide unemployment rate was 4.0 percent at June 30, 2018, down slightly from 4.1 percent at both March 31, 2018 and December 31, 2017. Housing prices continued to increase in most major metropolitan areas.

At a meeting that was held on March 20/21, 2018, the Federal Open Market Committee ("FOMC") raised its target for the federal funds rate to a range between 1.50 percent and 1.75 percent (from a range between 1.25 percent and 1.50 percent). The FOMC further raised its target for the federal funds rate to a range between 1.75 percent and 2.00 percent at a meeting held on June 12/13, 2018. At a meeting held on July 31/August 1, 2018, the FOMC maintained its target for the federal funds rate at a range between 1.75 percent and 2.00 percent and stated that it expects that further gradual increases in the target range for the federal funds rate will be consistent with sustained expansion of economic activity, strong labor market conditions, and inflation near the FOMC's symmetric 2 percent objective over the medium term. In addition, through the first six months of 2018, the FOMC continued its balance sheet normalization program, which gradually reduces the Federal Reserve's securities holdings by decreasing reinvestment of principal payments from those securities. The FOMC's next regular meeting is scheduled to occur on September 25/26, 2018.

One-month and three-month LIBOR increased during the first six months of 2018, with one-month and three-month LIBOR ending the second quarter at 2.09 percent and 2.34 percent, respectively, as compared to 1.56 percent and 1.69 percent, respectively, at the end of 2017.

43

The following table presents information on various market interest rates at June 30, 2018 and December 31, 2017 and various average market interest rates for the three and six-month periods ended June 30, 2018 and 2017.

	Ending Rate		Average Rate		Average Rate
	June 30, 2018	December 31, 2017	Second Quarter 2018	Second Quarter 2017	Six Months Ended June 30, 2018	Six Months Ended June 30, 2017
Federal Funds Target (1)	2.00%	1.50%	1.80%	1.05%	1.67%	0.92%
Average Effective Federal Funds Rate (2)	1.91%	1.33%	1.76%	0.95%	1.59%	0.83%
1-month LIBOR (1)	2.09%	1.56%	1.97%	1.06%	1.81%	0.94%
3-month LIBOR (1)	2.34%	1.69%	2.34%	1.20%	2.13%	1.14%
2-year LIBOR (1)	2.79%	2.08%	2.74%	1.55%	2.57%	1.55%
5-year LIBOR (1)	2.89%	2.24%	2.89%	1.90%	2.76%	1.96%
10-year LIBOR (1)	2.93%	2.40%	2.97%	2.22%	2.87%	2.30%
3-month U.S. Treasury (1)	1.93%	1.39%	1.87%	0.91%	1.73%	0.76%
2-year U.S. Treasury (1)	2.52%	1.89%	2.48%	1.30%	2.32%	1.27%
5-year U.S. Treasury (1)	2.73%	2.20%	2.77%	1.81%	2.65%	1.88%
10-year U.S. Treasury (1)	2.85%	2.40%	2.92%	2.26%	2.84%	2.35%

_____________________________

⁽¹⁾  Source: Bloomberg (reflects upper end of target range)

⁽²⁾  Source: Federal Reserve Statistical Release

Year-to-Date 2018 Summary

• The Bank ended the second quarter of 2018 with total assets of $75.9 billion compared with $68.5 billion at the end of 2017. The $7.4 billion increase in total assets for the six months ended June 30, 2018 was attributable primarily to increases in the Bank's advances ($7.1 billion), long-term investments ($0.5 billion) and mortgage loans held for portfolio ($0.4 billion), partially offset by a decrease in the Bank's short-term liquidity portfolio ($0.6 billion).

• Total advances increased from $36.5 billion at December 31, 2017 to $43.6 billion at June 30, 2018.

• Mortgage loans held for portfolio increased from $0.9 billion at December 31, 2017 to $1.3 billion at June 30, 2018.

• The Bank’s net income for the three and six months ended June 30, 2018 was $48.8 million and $90.6 million, respectively, as compared to $43.8 million and $78.9 million, respectively during the corresponding periods in 2017. The increase of $5.0 million for the three months ended June 30, 2018 compared to the corresponding period in 2017 was due to a $14.5 million increase in net interest income, offset by a $7.5 million decrease in non-interest income, a $1.4 million increase in non-interest expenses and a $0.6 million increase in the Bank's Affordable Housing Program assessment. The increase of $11.7 million for the six months ended June 30, 2018 compared to the corresponding period in 2017 was due to a $29.8 million increase in net interest income, offset by a $13.7 million decrease in non-interest income, a $3.1 million increase in non-interest expenses and a $1.3 million increase in the Bank's Affordable Housing Program assessment. For additional discussion, see the section entitled "Results of Operations" beginning on page 61 of this report.

• At all times during the first six months of 2018, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $1.0 billion at June 30, 2018 from $941.8 million at December 31, 2017. Retained earnings was 1.33 percent and 1.37 percent of total assets at June 30, 2018 and December 31, 2017, respectively.

• During the first six months of 2018, the Bank paid dividends totaling $24.6 million. The Bank’s first quarter 2018 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 1.33 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2017) and 2.33 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2017 plus 1.0 percent), respectively. The Bank’s second quarter 2018 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 1.65 percent (a rate equal to average one-month LIBOR for the first quarter of 2018) and 2.65 percent (a rate equal to average one-month LIBOR for the first quarter of 2018 plus 1.0 percent), respectively.

44

Selected Financial Data

SELECTED FINANCIAL DATA

(dollars in thousands)

	2018									2017
	Second  Quarter			First  Quarter			Fourth  Quarter			Third  Quarter			Second  Quarter
Balance sheet (at quarter end)
Advances	$	43,589,555		$	35,303,746		$	36,460,524		$	36,287,884		$	34,132,238
Investments (1)	30,807,424			28,571,090			30,941,464			29,255,476			28,122,619
Mortgage loans held for portfolio	1,322,093			1,019,653			878,123			576,947			379,026
Allowance for credit losses on mortgage loans	278			271			271			141			141
Total assets	75,939,877			65,099,832			68,524,301			66,449,883			62,862,497
Consolidated obligations — discount notes	39,322,407			26,641,297			32,510,758			31,438,766			28,014,878
Consolidated obligations — bonds	31,141,214			33,502,435			31,376,858			30,060,229			30,020,333
Total consolidated obligations(2)	70,463,621			60,143,732			63,887,616			61,498,995			58,035,211
Mandatorily redeemable capital stock(3)	824			832			5,941			7,032			23,146
Capital stock — putable	2,660,055			2,350,943			2,317,937			2,206,815			2,114,575
Unrestricted retained earnings	880,637			855,150			832,826			818,251			794,884
Restricted retained earnings	127,051			117,285			108,937			102,663			94,660
Total retained earnings	1,007,688			972,435			941,763			920,914			889,544
Accumulated other comprehensive income	244,576			275,627			220,326			160,856			133,186
Total capital	3,912,319			3,599,005			3,480,026			3,288,585			3,137,305
Dividends paid(3)	13,581			11,064			10,524			8,643			7,261
Income statement (for the quarter)
Net interest income after provision for loan losses	$	76,005		$	68,093		$	60,686		$	62,492		$	61,514
Other income	425			2,274			573			5,463			7,890
Other expense	22,169			23,991			26,399			23,491			20,774
AHP assessment	5,427			4,640			3,487			4,451			4,867
Net income	48,834			41,736			31,373			40,013			43,763
Performance ratios
Net interest margin(4)	0.46		%	0.42		%	0.38		%	0.39		%	0.42		%
Net interest spread (5)	0.36			0.34			0.32			0.32			0.37
Return on average assets	0.30			0.26			0.19			0.25			0.30
Return on average equity	5.22			4.63			3.71			4.83			5.74
Return on average capital stock (6)	7.88			6.99			5.57			7.12			8.55
Total average equity to average assets	5.75			5.61			5.26			5.12			5.23
Regulatory capital ratio(7)	4.83			5.11			4.77			4.72			4.82
Dividend payout ratio (3)(8)	27.81			26.51			33.54			21.60			16.59

45

_____________________________

⁽¹⁾  Investments consist of interest-bearing deposits, federal funds sold, securities purchased under agreements to resell, loans to other FHLBanks and securities classified as held-to-maturity, available-for-sale, and trading.

⁽²⁾  The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At June 30, 2018, March 31, 2018, December 31, 2017, September 30, 2017 and June 30, 2017, the outstanding consolidated obligations (at par value) of all of the FHLBanks totaled approximately $1.060 trillion, $1.019 trillion, $1.034 trillion, $1.028 trillion and $1.012 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $71 billion, $61 billion, $64 billion, $62 billion and $58 billion, respectively.

⁽³⁾  Mandatorily redeemable capital stock represents capital stock that is classified as a liability under accounting principles generally accepted in the United States of America. Dividends on mandatorily redeemable capital stock are recorded as interest expense and excluded from dividends paid. Dividends paid on mandatorily redeemable capital stock totaled $24 thousand, $22 thousand, $30 thousand, $47 thousand and $8 thousand for the quarters ended June 30, 2018, March 31, 2018, December 31, 2017, September 30, 2017 and June 30, 2017, respectively.

⁽⁴⁾  Net interest margin is net interest income as a percentage of average earning assets.

⁽⁵⁾  Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities.

⁽⁶⁾  Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable capital stock.

⁽⁷⁾  The regulatory capital ratio is computed by dividing regulatory capital (the sum of capital stock — putable, mandatorily redeemable capital stock and retained earnings) by total assets at each quarter-end.

⁽⁸⁾  Dividend payout ratio is computed by dividing dividends paid by net income for each quarter.

Impact of Hurricanes and California Wildfires

During the three months ended September 30, 2017, two significant hurricanes struck the continental United States. On August 25, 2017, Hurricane Harvey made landfall near Rockport, Texas, causing substantial flooding and other damage in southeast Texas, including the Houston metropolitan area, and lesser damage in Louisiana. Then, on September 10, 2017, Hurricane Irma made landfall near Marco Island, Florida, causing significant damage in Florida and lesser damage in other southeastern states.

These storms had varying degrees of impact on the Bank’s members, its members’ borrowers and the properties pledged as collateral for those borrowings, and MPF mortgage loan borrowers and the properties pledged as collateral for those mortgage loans.

In October and December 2017, several significant wildfires destroyed thousands of homes and businesses in Northern and Southern California, respectively. The Bank’s primary exposure to the destruction caused by these wildfires relates to its MPF mortgage loans held for portfolio.

For additional discussion, see "Item 1. Financial Statements" (specifically, Note 16 beginning on page 35) included in this report.

Regulatory Development

Advisory Bulletin Regarding Advance Pricing

On August 3, 2018, the Finance Agency issued an Advisory Bulletin (“AB”) that provides guidance to the FHLBanks on the methods a FHLBank may use to demonstrate and document its compliance with the minimum advance pricing requirements set forth in the Finance Agency’s regulations. Specifically, Section 1266.5(b)(1) of the Finance Agency’s regulations states “A Bank shall not price its advances to members below: (1) the marginal cost to the Bank of raising matching term and maturity funds in the marketplace, including embedded options and (2) the administrative and operating costs associated with making such advances to members.”

The AB describes several methods a FHLBank may use to demonstrate and document its compliance with the minimum pricing requirement of the regulation related to the marginal cost of raising matching term and maturity funds when a Bank-issued debt equivalent is not available in the marketplace. In addition, the AB makes clear that including only the marginal administrative and operating costs associated with making an advance in its advance pricing does not provide for an appropriate allocation of costs. Instead, the AB requires the Bank to document the portion of the Bank’s total operating expenses that are associated with making advances and to incorporate those costs into its advance pricing.

The Bank is currently evaluating the potential impact of this AB. It is possible that the provisions of the AB, which become effective on January 1, 2019, could require the Bank to increase the pricing of its advances and/or reduce its operating expenses associated with making advances. If the Bank were to increase its pricing, the demand for the Bank’s advances could decline which, in turn, would negatively affect its financial condition and results of operations. A reduction in the Bank’s operating expenses could cause a reduction in service levels.

46

Financial Condition

The following table provides selected period-end balances as of June 30, 2018 and December 31, 2017, as well as selected average balances for the six-month period ended June 30, 2018 and the year ended December 31, 2017. As shown in the table, the Bank’s total assets increased by 10.8 percent between December 31, 2017 and June 30, 2018, due primarily to increases in the Bank's advances ($7.1 billion), long-term investments ($0.5 billion) and mortgage loans held for portfolio ($0.4 billion), offset by a decrease in the Bank's short-term liquidity portfolio ($0.6 billion). As the Bank’s assets increased, the funding for those assets also increased. During the six months ended June 30, 2018, total consolidated obligations increased by $6.6 billion as consolidated obligation discount notes increased by $6.8 billion and consolidated obligation bonds decreased by $0.2 billion.

The activity in each of the major balance sheet captions is discussed in the sections following the table.

SUMMARY OF CHANGES IN FINANCIAL CONDITION

(dollars in millions)

	June 30, 2018
			Increase (Decrease)					Balance at
	Balance		Amount			Percentage		December 31, 2017
Advances	$	43,590	$	7,129		19.6	%	$	36,461
Short-term liquidity holdings
Securities purchased under agreements to resell	4,440		(2,260		)	(33.7	)%	6,700
Federal funds sold	8,433		653			8.4	%	7,780
Trading securities
U.S. Treasury Bills	249		249			*		—
U.S. Treasury Notes	744		744			*		—
Long-term investments
Trading securities (U.S. Treasury Note)	99		(3		)	(2.9	)%	102
Available-for-sale securities	15,069		667			4.6	%	14,402
Held-to-maturity securities	1,773		(172		)	(8.8	)%	1,945
Mortgage loans held for portfolio, net	1,322		444			50.6	%	878
Total assets	75,940		7,416			10.8	%	68,524
Consolidated obligations — bonds	31,141		(236		)	(0.8	)%	31,377
Consolidated obligations — discount notes	39,322		6,811			20.9	%	32,511
Total consolidated obligations	70,463		6,575			10.3	%	63,888
Mandatorily redeemable capital stock	1		(5		)	(83.3	)%	6
Capital stock	2,660		342			14.8	%	2,318
Retained earnings	1,008		66			7.0	%	942
Average total assets	65,212		4,404			7.2	%	60,808
Average capital stock	2,454		319			14.9	%	2,135
Average mandatorily redeemable capital stock	3		(6		)	(66.7	)%	9

_____________________________

* The percentage increase is not meaningful.

47

Advances

The Bank's advances balances (at par value) increased by $7.2 billion (19.7 percent) during the first six months of 2018, due primarily to increases in advances to the Bank's larger borrowers, including a $1.2 billion increase in advances to Texas Capital Bank, N.A. (the Bank's largest borrower at June 30, 2018 and one of its two largest borrowers at December 31, 2017), a $1.0 billion increase in advances to Comerica Bank (the Bank's second largest borrower at June 30, 2018 and its other largest borrower at December 31, 2017), and a $2.5 billion increase in advances to American General Life Insurance Company (the Bank's third largest borrower at June 30, 2018). The following table presents advances outstanding, by type of institution, as of June 30, 2018 and December 31, 2017.

ADVANCES OUTSTANDING BY BORROWER TYPE

(par value, dollars in millions)

	June 30, 2018				December 31, 2017
	Amount		Percent		Amount		Percent
Commercial banks	$	29,997	69	%	$	25,852	71	%
Insurance companies	6,118		14		3,078		8
Savings institutions	4,305		10		3,903		11
Credit unions	3,080		7		3,479		10
Community Development Financial Institutions	9		—		12		—
Total member advances	43,509		100		36,324		100
Housing associates	117		—		126		—
Non-member borrowers	18		—		19		—
Total par value of advances	$	43,644	100	%	$	36,469	100	%
Total par value of advances outstanding to CFIs (1)	$	7,156	16	%	$	7,273	20	%

_____________________________

⁽¹⁾  The figures shown reflect the advances outstanding to CFIs as of June 30, 2018 and December 31, 2017 based upon the definitions of CFIs that applied as of those dates.

At June 30, 2018, advances outstanding to the Bank’s five largest borrowers totaled $14.9 billion, representing 34.2 percent of the Bank’s total outstanding advances as of that date. In comparison, advances outstanding to the Bank’s five largest borrowers as of December 31, 2017 totaled $10.6 billion, representing 29.2 percent of the total outstanding advances at that date. The following table presents the Bank’s five largest borrowers as of June 30, 2018.

FIVE LARGEST BORROWERS AS OF JUNE 30, 2018

(par value, dollars in millions)

Name	Par Value of Advances		Percent of Total Par Value of Advances
Texas Capital Bank, N.A.	$	4,000	9.2	%
Comerica Bank	3,800		8.7
American General Life Insurance Company	3,148		7.2
NexBank, SSB	2,110		4.8
Iberiabank	1,867		4.3
	$	14,925	34.2	%

48

The following table presents information regarding the composition of the Bank’s advances by product type as of June 30, 2018 and December 31, 2017.

ADVANCES OUTSTANDING BY PRODUCT TYPE

(par value, dollars in millions)

	June 30, 2018				December 31, 2017
	Balance		Percentage of Total		Balance		Percentage of Total
Fixed-rate	$	31,089	71.2	%	$	24,796	68.0	%
Adjustable/variable-rate indexed	11,259		25.8		10,297		28.2
Amortizing	1,296		3.0		1,376		3.8
Total par value	$	43,644	100.0	%	$	36,469	100.0	%

The Bank is required by statute and regulation to obtain sufficient collateral from members/borrowers to fully secure all advances and other extensions of credit. The Bank’s collateral arrangements with its members/borrowers and the types of collateral it accepts to secure advances are described in the 2017 10-K. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances, the Bank applies various haircuts, or discounts, to determine the value of the collateral against which borrowers may borrow. From time to time, the Bank reevaluates the adequacy of its collateral haircuts under a range of stress scenarios to ensure that its collateral haircuts are sufficient to protect the Bank from credit losses on advances.

In addition, as described in the 2017 10-K, the Bank reviews the financial condition of its depository institution borrowers on at least a quarterly basis to identify any borrowers whose financial condition indicates they might pose an increased credit risk and, as needed, takes appropriate action. The Bank has not experienced any credit losses on advances since it was founded in 1932 and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on advances. Accordingly, the Bank has not provided any allowance for losses on advances.

Short-Term Liquidity Holdings

At June 30, 2018, the Bank’s short-term liquidity holdings were comprised of $8.4 billion of overnight federal funds sold, $4.4 billion of overnight reverse repurchase agreements, $0.2 billion of U.S. Treasury Bills and $0.7 billion of U.S. Treasury Notes that were acquired with short remaining terms to maturity. At December 31, 2017, the Bank’s short-term liquidity holdings were comprised of $7.8 billion of overnight federal funds sold and $6.7 billion of overnight reverse repurchase agreements. All of the Bank's federal funds sold during the six months ended June 30, 2018 were transacted with domestic bank counterparties and U.S. branches of foreign financial institutions on an overnight basis. As of June 30, 2018, the Bank’s overnight federal funds sold consisted of $2.3 billion sold to counterparties rated double-A, $5.5 billion sold to counterparties rated single-A and $0.6 billion sold to counterparties rated triple-B. The credit ratings presented in the preceding sentence represent the lowest long-term rating assigned to the counterparty by Moody’s, S&P or Fitch Ratings, Ltd. (“Fitch”).

The amount of the Bank’s short-term liquidity holdings fluctuates in response to several factors, including the anticipated demand for advances, the timing and extent of advance prepayments, changes in the Bank’s deposit balances, the Bank’s pre-funding activities, prevailing conditions (or anticipated changes in conditions) in the short-term debt markets, changes in the returns provided by short-term investment alternatives relative to the Bank’s discount note funding costs, the level of liquidity needed to satisfy Finance Agency requirements and the Finance Agency's expectations with regard to the Bank's core mission achievement. For a discussion of the Finance Agency’s liquidity requirements, see the section below entitled “Liquidity and Capital Resources.” For a discussion of the Finance Agency's guidance regarding core mission achievement, see Item 1 - Business - Core Mission Achievement in the 2017 10-K. For the six months ended June 30, 2018, the Bank's core mission asset ("CMA") ratio was 65.3 percent. In comparison, the Bank's CMA ratio was 62.9 percent for the year ended December 31, 2017.

49

Long-Term Investments

The composition of the Bank's long-term investment portfolio at June 30, 2018 and December 31, 2017 is set forth in the table below.

COMPOSITION OF LONG-TERM INVESTMENT PORTFOLIO

(in millions)

	Balance Sheet Classification						Total Long-Term
	Held-to-Maturity		Available-for-Sale		Trading		Investments		Held-to-Maturity
June 30, 2018	(at carrying value)		(at fair value)		(at fair value)		(at carrying value)		(at fair value)
Debentures
U.S. government-guaranteed obligations	$	9	$	465	$	99	$	573	$	9
GSE obligations	—		5,719		—		5,719		—
State housing agency obligations	160		—		—		160		159
Other	—		172		—		172		—
Total debentures	169		6,356		99		6,624		168
Mortgage-backed securities ("MBS") portfolio
U.S. government-guaranteed     residential MBS	2		—		—		2		2
GSE residential MBS	1,495		—		—		1,495		1,507
GSE commercial MBS	35		8,713		—		8,748		35
Non-agency residential MBS	72		—		—		72		87
Total MBS	1,604		8,713		—		10,317		1,631
Total long-term investments	$	1,773	$	15,069	$	99	$	16,941	$	1,799
	Balance Sheet Classification						Total Long-Term
	Held-to-Maturity		Available-for-Sale		Trading		Investments		Held-to-Maturity
December 31, 2017	(at carrying value)		(at fair value)		(at fair value)		(at carrying value)		(at fair value)
Debentures
U.S. government-guaranteed obligations	$	11	$	479	$	102	$	592	$	11
GSE obligations	—		6,003		—		6,003		—
State housing agency obligations	160		—		—		160		160
Other	—		174		—		174		—
Total debentures	171		6,656		102		6,929		171
Mortgage-backed securities portfolio
U.S. government-guaranteed     residential MBS	2		—		—		2		2
GSE residential MBS	1,656		—		—		1,656		1,666
GSE commercial MBS	35		7,746		—		7,781		35
Non-agency residential MBS	81		—		—		81		97
Total MBS	1,774		7,746		—		9,520		1,800
Total long-term investments	$	1,945	$	14,402	$	102	$	16,449	$	1,971

As of June 30, 2018, the U.S. government and the issuers of the Bank's holdings of GSE debentures and GSE MBS were rated triple-A by Moody's and Fitch and AA+ by S&P. The Bank's holdings of other debentures, which were comprised of securities issued by the Private Export Funding Corporation ("PEFCO"), are currently rated triple-A by Moody's and Fitch. The PEFCO debentures are not currently rated by S&P. The credit ratings associated with the Bank's holdings of non-agency residential MBS ("RMBS") are presented in the table on page 51.

50

During the six months ended June 30, 2018, the Bank acquired (based on trade date) $1.3 billion of GSE commercial MBS ("CMBS"). All of the Bank's CMBS holdings are backed by multi-family loans. During the six months ended June 30, 2018, the proceeds from maturities and paydowns of held-to-maturity securities and available-for-sale securities totaled approximately $174 million and $181 million, respectively. There were no sales of held-to-maturity or available-for-sale securities during the six months ended June 30, 2018.

The Bank is precluded by regulation from purchasing additional MBS if such purchase would cause the aggregate amortized cost of its MBS holdings to exceed 300 percent of the Bank’s total regulatory capital (the sum of its capital stock, mandatorily redeemable capital stock and retained earnings). However, the Bank is not required to sell any mortgage securities that it purchased at a time when it was in compliance with this ratio. At June 30, 2018, the Bank held $10.2 billion (amortized cost) of MBS, which represented 279 percent of its total regulatory capital as of that date. The Bank intends to continue to purchase additional GSE MBS if securities with adequate returns are available when the Bank has the regulatory capacity to increase its MBS portfolio.

In addition to MBS, the Bank is also permitted under applicable policies and regulations to purchase certain other types of highly rated, long-term, non-MBS investments (including but not limited to the non-MBS debt obligations of other GSEs, subject to certain limits). Subject to applicable regulatory limits and the constraints imposed by the Finance Agency's guidance regarding core mission achievement, the Bank may continue to add these types of securities to its long-term investment portfolio if attractive opportunities to do so are available.

Gross unrealized losses on the Bank’s MBS investments increased from $4.9 million at December 31, 2017 to $14.0 million at June 30, 2018. As of June 30, 2018, $12.2 million of the gross unrealized losses related to the Bank’s holdings of GSE CMBS, $1.1 million related to non-agency RMBS and $0.7 million related to GSE RMBS. At June 30, 2018, gross unrealized losses associated with the Bank's non-MBS investments totaled $1.4 million.

The Bank evaluates all outstanding held-to-maturity and available-for-sale investment securities in an unrealized loss position as of the end of each calendar quarter for other-than-temporary impairment (“OTTI”). An investment security is impaired if the fair value of the investment is less than its amortized cost. For a summary of the Bank’s OTTI evaluation, see “Item 1. Financial Statements” (specifically, Notes 4 and 5 beginning on pages 9 and 11, respectively, of this report).

The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency RMBS, generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of June 30, 2018 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities.

All but one of the Bank’s non-agency RMBS are rated by one or more of the following NRSROs: Moody’s, S&P and/or Fitch. The following table presents the credit ratings assigned to the Bank’s non-agency RMBS holdings as of June 30, 2018. The credit ratings presented in the table represent the lowest rating assigned to the security by Moody’s, S&P or Fitch.

NON-AGENCY RMBS CREDIT RATINGS

(dollars in thousands)

Credit Rating	Number of Securities	Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value		Unrealized Losses
Single-A	1	$	4,869	$	4,869	$	4,869	$	4,859	$	10
Triple-B	3	10,975		10,975		10,975		10,889		86
Single-B	6	16,979		16,855		14,890		16,347		540
Triple-C	12	58,460		50,971		40,888		54,939		487
Not Rated	1	87		87		87		83		4
Total	23	$	91,370	$	83,757	$	71,709	$	87,117	$	1,127

At June 30, 2018, the Bank’s portfolio of non-agency RMBS was comprised of 4 securities with an aggregate unpaid principal balance of $10 million that are backed by first lien fixed-rate loans and 19 securities with an aggregate unpaid principal balance of $81 million that are backed by first lien option adjustable-rate mortgage (“option ARM”) loans. In comparison, as of December 31, 2017, the Bank’s portfolio of non-agency RMBS was comprised of 4 securities backed by fixed-rate loans that had an aggregate unpaid principal balance of $12 million and 19 securities backed by option ARM loans that had an aggregate unpaid principal balance of $91 million. A summary of the Bank’s non-agency RMBS as of December 31, 2017 by

51

classification by the originator at the time of issuance and collateral type is presented in the 2017 10-K; there were no material changes to this information during the six months ended June 30, 2018.

To assess whether the entire amortized cost bases of its non-agency RMBS are likely to be recovered, the Bank performed a cash flow analysis for each of its non-agency RMBS holdings as of June 30, 2018 under a base case (or best estimate) scenario. The procedures used in this analysis, together with the results thereof, are summarized in “Item 1. Financial Statements” (specifically, Note 5 beginning on page 11 of this report).

Since 2009, the Bank has recorded credit impairments totaling $13.1 million on 15 of its non-agency RMBS. The vast majority of these credit impairments were recorded in 2009, 2010 and 2011. Through June 30, 2018, the Bank has amortized $0.7 million of the time value associated with these credit losses. Through this same date, actual principal shortfalls on these securities have totaled $2.0 million and the Bank has recognized recoveries (i.e., increases in cash flows expected to be collected) totaling $4.2 million. Based on the cash flow analyses performed as of June 30, 2018, the Bank currently expects to recover in future periods an additional $6.9 million of the previously recorded losses. These anticipated recoveries will be accreted as interest income over the remaining lives of the applicable securities in the same manner as the recoveries that have been recorded through June 30, 2018.

In addition to evaluating its non-agency RMBS under a best estimate scenario, the Bank also performed a cash flow analysis for each of these securities as of June 30, 2018 under a more stressful housing price scenario. This more stressful scenario was based on a housing price forecast that assumed home price changes for the 12-month period beginning April 1, 2018 were 5 percentage points lower than the base case scenario followed by home price changes that are 33 percent lower than those used in the base case scenario. None of the Bank’s non-agency RMBS would have been deemed to be other-than-temporarily impaired under the more stressful housing price scenario.

While substantially all of the Bank's RMBS portfolio is comprised of collateralized mortgage obligations ("CMOs") with variable-rate coupons ($1.6 billion par value at June 30, 2018) that do not expose it to interest rate risk if interest rates rise moderately, these securities include caps that would limit increases in the variable-rate coupons if short-term interest rates rise above the caps. In addition, if interest rates rise, prepayments on the mortgage loans underlying the securities would likely decline, thus lengthening the time that the securities would remain outstanding with their coupon rates capped. As of June 30, 2018, one-month LIBOR was 2.09 percent and the effective interest rate caps on one-month LIBOR (the interest cap rate minus the stated spread on the coupon) embedded in the CMO floaters ranged from 5.95 percent to 10.73 percent. The largest concentration of embedded effective caps ($1.3 billion) was between 6.00 percent and 6.50 percent. As of June 30, 2018, one-month LIBOR rates were 386 basis points below the lowest effective interest rate cap embedded in the CMO floaters. To hedge a portion of the potential cap risk embedded in these securities, the Bank held $1.2 billion of interest rate caps with remaining maturities ranging from 3 months to 38 months as of June 30, 2018, and strike rates of 6.50 percent. If three-month LIBOR rises above 6.5 percent, the Bank will be entitled to receive interest payments according to the terms and conditions of such agreements. These payments would be based upon the notional amounts of those agreements and the difference between 6.50 percent and three-month LIBOR.

The following table provides a summary of the notional amounts and expiration periods of the Bank’s portfolio of stand-alone CMO-related interest rate cap agreements as of June 30, 2018.

SUMMARY OF CMO-RELATED INTEREST RATE CAP AGREEMENTS

(dollars in millions)

Expiration	Notional Amount
Third quarter 2018	$	200
First quarter 2019	250
Third quarter 2021 (1)	750
	$	1,200
(1)  This cap is effective beginning August 27, 2018 and its notional balance declines by $250 million in August 2019 and again in August 2020, to $500 million and $250 million, respectively.

52

Mortgage Loans Held For Portfolio

As of June 30, 2018 and December 31, 2017, mortgage loans held for portfolio (net of allowance for credit losses) were $1.322 billion and $878 million, respectively, representing approximately 1.7 percent and 1.3 percent, respectively, of the Bank’s total assets at each of those dates. Through the MPF program, the Bank currently invests in only conventional residential mortgage loans originated by its Participating Financial Institutions ("PFIs"). During the period from 1998 to mid-2003, the Bank purchased conventional mortgage loans and government-guaranteed/insured mortgage loans (i.e., those insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs). The Bank resumed acquiring conventional mortgage loans under this program in early 2016. Approximately $1.272 billion of the $1.289 billion (unpaid principal balance) of mortgage loans on the Bank's balance sheet at June 30, 2018 were conventional loans, the vast majority of which were acquired since 2016. The remaining $17 million (unpaid principal balance) of the mortgage loan portfolio is comprised of government-guaranteed or government-insured loans that were acquired during the period from 1998 to mid-2003.

During the six months ended June 30, 2018, the Bank acquired mortgage loans totaling $482 million ($474 million unpaid principal balance). During the first and second quarters of 2018, the Bank acquired mortgage loans totaling $157 million and $317 million (unpaid principal balances), respectively. All of the acquired mortgage loans were originated by certain of the Bank's PFIs and the Bank acquired a 100 percent interest in such loans.

The Bank manages the liquidity, interest rate and prepayment risk of these loans, while the PFIs or their designees retain the servicing activities. The Bank and the PFIs share in the credit risk of the loans with the Bank assuming the first loss obligation limited by the First Loss Account (“FLA”), and the PFIs assuming credit losses in excess of the FLA, up to the amount of the required credit enhancement obligation ("CE Obligation") as specified in the master agreement (“Second Loss Credit Enhancement”). The FLA is a memo account that is used to track the Bank's exposure to losses until the CE Obligation is available to cover losses. The CE Obligation is the amount of credit enhancement needed for a master commitment to have an estimated rating that is equivalent to an investment grade rated MBS. Credit enhancement levels are set by the Bank using an NRSRO model and are currently set at a triple-B equivalent. The Bank assumes all losses in excess of the Second Loss Credit Enhancement.

Under the Finance Agency’s Acquired Member Asset regulation (12 C.F.R. part 1268) (“AMA Regulation”), any portion of the CE Obligation that is a PFI’s direct liability must be collateralized by the PFI in the same way that advances are collateralized. Accordingly, the PFI Agreement provides that the PFI’s obligations under the PFI Agreement are secured along with other obligations of the PFI under its regular advances agreement with the Bank and, further, that the Bank may request additional collateral to secure the PFI’s obligations. PFIs are paid credit enhancement fees (“CE fees”) as compensation for retaining a portion of the credit risk on the loans sold to the Bank, as an incentive to minimize credit losses on those loans, to share in the risk of loss on MPF loans and, in limited cases related to loans acquired prior to 2016, to pay for supplemental mortgage insurance, rather than paying a guaranty fee to other secondary market purchasers. CE fees are paid monthly and are determined based on the remaining unpaid principal balance of the MPF loans during the applicable month. CE fees are recorded as a reduction to mortgage loan interest income when paid by the Bank. During the three months ended June 30, 2018 and 2017, mortgage loan interest income was reduced by CE fees totaling $284,000 and $46,000, respectively. Mortgage loan interest income was reduced by CE fees totaling $523,000 and $72,000, respectively, during the six months ended June 30, 2018 and 2017. The Bank's allowance for loan losses, which factors in the CE obligation, was $278,000 and $271,000 at June 30, 2018 and December 31, 2017, respectively.

Over time, the Bank intends to increase the balance of its mortgage loan portfolio to an amount that approximates 10 percent of its total assets. For the foreseeable future, the Bank intends to acquire a 100 percent interest in the mortgage loans that it purchases from its PFIs.

53

Consolidated Obligations and Deposits

During the six months ended June 30, 2018, the Bank’s outstanding consolidated obligation bonds (at par value) decreased by $0.1 billion and its outstanding consolidated obligation discount notes increased by $6.8 billion. The following table presents the composition of the Bank’s outstanding bonds at June 30, 2018 and December 31, 2017.

COMPOSITION OF CONSOLIDATED OBLIGATION BONDS OUTSTANDING

(par value, dollars in millions)

	June 30, 2018				December 31, 2017
	Balance		Percentage of Total		Balance		Percentage of Total
Variable-rate	$	13,960	44.4	%	$	15,295	48.5	%
Fixed-rate
Non-callable	10,102		32.1		9,934		31.5
Callable	3,398		10.8		2,747		8.7
Step-up
Callable	3,718		11.8		3,379		10.7
Non-callable	60		0.2		—		—
Callable step-down	225		0.7		175		0.6
Total par value	$	31,463	100.0	%	$	31,530	100.0	%

During the first six months of 2018, the Bank issued $8.7 billion of consolidated obligation bonds and approximately $71.5 billion of consolidated obligation discount notes (excluding those with overnight terms), the proceeds of which were used primarily to fund the growth in the Bank's assets and to replace maturing consolidated obligation bonds and discount notes. At June 30, 2018 and December 31, 2017, discount notes comprised approximately 56 percent and 51 percent, respectively, of the Bank's total outstanding consolidated obligations. During the six months ended June 30, 2018, the Bank's bond issuance (based on par value) consisted of approximately $5.2 billion of variable-rate bonds, $2.2 billion of fixed-rate non-callable bonds (most of which were swapped), and $1.3 billion of swapped fixed-rate callable bonds (including step-up bonds).

The weighted average cost of swapped and variable-rate consolidated obligation bonds issued by the Bank approximated LIBOR minus 19 basis points during the three months ended June 30, 2018, compared to LIBOR minus 22 basis points during the three months ended March 31, 2018 and LIBOR minus 20 basis points during the three months ended June 30, 2017. Floating rate bond spreads (relative to LIBOR) have deteriorated as short-term rates have increased.

The cost of the Bank's discount notes increased during the first six months of 2018 as a result of anticipated and then actual increases in the target federal funds rate.

Demand and term deposits were $968 million and $844 million at June 30, 2018 and December 31, 2017, respectively. The size of the Bank’s deposit base varies as market factors change, including the attractiveness of the Bank’s deposit pricing relative to the rates available to members on alternative money market investments, members’ investment preferences with respect to the maturity of their investments, and member liquidity.

Capital

The Bank’s outstanding capital stock (excluding mandatorily redeemable capital stock) was $2.7 billion and $2.3 billion at June 30, 2018 and December 31, 2017, respectively. The Bank’s average outstanding capital stock (excluding mandatorily redeemable capital stock) increased from $2.1 billion for the year ended December 31, 2017 to $2.5 billion for the six months ended June 30, 2018.

Mandatorily redeemable capital stock outstanding at June 30, 2018 and December 31, 2017 was $0.8 million and $5.9 million, respectively. Although mandatorily redeemable capital stock is excluded from capital (equity) for financial reporting purposes, it is considered capital for regulatory purposes.

At June 30, 2018 and December 31, 2017, the Bank’s five largest shareholders collectively held $653 million and $482 million, respectively, of capital stock, which represented 24.5 percent and 20.7 percent, respectively, of the Bank’s total outstanding capital stock (including mandatorily redeemable capital stock) as of those dates. The following table presents the Bank’s five largest shareholders as of June 30, 2018.

54

FIVE LARGEST SHAREHOLDERS AS OF JUNE 30, 2018

(par value, dollars in thousands)

Name	Par Value of Capital Stock		Percent of Total Par Value of Capital Stock
Texas Capital Bank, N.A.	$	171,000	6.4	%
Comerica Bank	162,800		6.1
American General Life Insurance Company	137,004		5.1
Iberiabank	92,333		3.5
NexBank, SSB	89,850		3.4
	$	652,987	24.5	%

As of June 30, 2018, all of the stock held by the five institutions shown in the table above was classified as capital in the statement of condition.

The following table presents outstanding capital stock, by type of institution, as of June 30, 2018 and December 31, 2017.

CAPITAL STOCK OUTSTANDING BY INSTITUTION TYPE

(par value, dollars in millions)

	June 30, 2018				December 31, 2017
	Par Value of Capital Stock		Percent of Total Par Value of Capital Stock		Par Value of Capital Stock		Percent of Total Par Value of Capital Stock
Commercial banks	$	1,780	67	%	$	1,608	69	%
Credit unions	353		13		332		14
Insurance companies	301		11		179		8
Savings institutions	225		9		198		9
Community Development Financial Institutions	1		—		1		—
Total capital stock classified as capital	2,660		100		2,318		100
Mandatorily redeemable capital stock	1		—		6		—
Total regulatory capital stock	$	2,661	100	%	$	2,324	100	%

Members are required to maintain an investment in Class B Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of the previous calendar year-end, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is currently 4.1 percent of outstanding advances, except for advances that were funded under the Bank's special reduced stock advances offering that ran from October 21, 2015 through December 31, 2015. The activity-based investment requirement for those advances was (and continues to be) 2.0 percent of the outstanding advances. At June 30, 2018, these advances totaled approximately $1.2 billion. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement.

Quarterly, the Bank generally repurchases a portion of members’ excess capital stock. Excess capital stock is defined as the amount of stock held by a member (or former member) in excess of that institution’s minimum investment requirement. The portion of members’ excess capital stock subject to repurchase is known as surplus stock. For the repurchases that occurred during the six months ended June 30, 2018, surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 27, 2018 and June 26, 2018, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less; (2) the shareholder elected to opt-out of the repurchase; or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 27, 2018 and June 26, 2018, the Bank repurchased surplus stock totaling $233.7 million and $99.3 million, respectively, none of which was classified as mandatorily redeemable capital stock at those dates.

On March 27, 2018 and June 26, 2018, the Bank also repurchased all excess stock held by non-member shareholders as of those dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $5.4 million and $22,000, respectively.

55

At June 30, 2018, the Bank’s excess stock totaled $571.4 million, which represented 0.75 percent of the Bank’s total assets as of that date.

During the six months ended June 30, 2018, the Bank’s retained earnings increased by $66 million, from $942 million to $1.008 billion. During this same period, the Bank paid dividends on capital stock totaling $24.6 million, which represented a weighted average annualized dividend rate of 2.12 percent. The Bank’s first quarter dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 1.33 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2017) and 2.33 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2017 plus 1.0 percent), respectively. The first quarter dividends, which were applied to average Class B-1 Stock and average Class B-2 Stock held during the period from October 1, 2017 through December 31, 2017, were paid on March 28, 2018. The Bank's second quarter dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 1.65 percent (a rate equal to average one-month LIBOR for the first quarter of 2018) and 2.65 percent (a rate equal to average one-month LIBOR for the first quarter of 2018 plus 1.0 percent), respectively. The second quarter dividends, which were applied to average Class B-1 Stock and average Class B-2 Stock held during the period from January 1, 2018 through March 31, 2018, were paid on June 27, 2018.

While there can be no assurances, taking into consideration its current earnings expectations and anticipated market conditions, the Bank currently expects to pay quarterly dividends on Class B-1 Stock during the remainder of 2018 at annualized rates equal to average one-month LIBOR for the applicable dividend periods. Further, the Bank currently expects to pay quarterly dividends on Class B-2 Stock during the remainder of 2018 at annualized rates equal to average one-month LIBOR for the applicable dividend periods plus 1.0 percent.

The Bank is required to maintain at all times permanent capital in an amount at least equal to its risk-based capital requirement, which is the sum of its credit risk capital requirement, its market risk capital requirement, and its operations risk capital requirement, as further described in the 2017 10-K. Permanent capital is defined under the Finance Agency’s rules as retained earnings and amounts paid in for Class B stock (which for the Bank includes both Class B-1 Stock and Class B-2 Stock), regardless of its classification as equity or liabilities for financial reporting purposes. At June 30, 2018, the Bank’s total risk-based capital requirement was $994 million, comprised of credit risk, market risk and operations risk capital requirements of $463 million, $302 million and $229 million, respectively, and its permanent capital was $3.7 billion.

In addition to the risk-based capital requirement, the Bank is subject to two other capital requirements. First, the Bank must, at all times, maintain a minimum total capital-to-assets ratio of 4.0 percent. For this purpose, total capital is defined by Finance Agency rules and regulations as the Bank’s permanent capital and the amount of any general allowance for losses (i.e., those reserves that are not held against specific assets). Second, the Bank is required to maintain at all times a minimum leverage capital-to-assets ratio in an amount at least equal to 5.0 percent of its total assets. In applying this requirement to the Bank, leverage capital includes the Bank’s permanent capital multiplied by a factor of 1.5 plus the amount of any general allowance for losses. The Bank did not have any general allowance for losses at June 30, 2018 or December 31, 2017. Under the regulatory definitions, total capital and permanent capital exclude accumulated other comprehensive income (loss). At all times during the six months ended June 30, 2018, the Bank was in compliance with all of its regulatory capital requirements. At June 30, 2018, the Bank's total capital-to-assets and leverage capital-to-assets ratios were 4.83 percent and 7.25 percent, respectively. For a summary of the Bank’s compliance with the Finance Agency’s capital requirements as of June 30, 2018 and December 31, 2017, see “Item 1. Financial Statements” (specifically, Note 13 on page 31 of this report).

56

Derivatives and Hedging Activities

The Bank enters into interest rate swap, swaption, cap, floor and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates and/or to adjust the effective maturity, repricing index and/or frequency or option characteristics of financial instruments. This use of derivatives is integral to the Bank’s financial management strategy, and the impact of these interest rate exchange agreements permeates the Bank’s financial statements. For additional discussion, see “Item 1. Financial Statements” (specifically, Note 12 beginning on page 24 of this report).

The following table provides the notional balances of the Bank’s derivative instruments, by balance sheet category and accounting designation, as of June 30, 2018 and December 31, 2017.

COMPOSITION OF DERIVATIVES BY BALANCE SHEET CATEGORY AND ACCOUNTING DESIGNATION

(in millions)

	Fair Value Hedges
	Shortcut Method		Long-Haul Method		Cash Flow Hedges		Economic Hedges		Total
June 30, 2018
Advances	$	4,720	$	660	$	—	$	8	$	5,388
Investments	—		15,397		—		1,953		17,350
Mortgage loans held for portfolio	—		—		—		207		207
Consolidated obligation bonds	—		15,641		—		50		15,691
Consolidated obligation discount notes	—		—		653		—		653
Intermediary positions	—		—		—		2,860		2,860
Other	—		—		—		425		425
Total notional balance	$	4,720	$	31,698	$	653	$	5,503	$	42,574
December 31, 2017
Advances	$	4,338	$	720	$	—	$	8	$	5,066
Investments	—		14,282		—		1,203		15,485
Mortgage loans held for portfolio	—		—		—		20		20
Consolidated obligation bonds	—		14,374		—		—		14,374
Consolidated obligation discount notes	—		—		505		—		505
Intermediary positions	—		—		—		2,419		2,419
Other	—		—		—		324		324
Total notional balance	$	4,338	$	29,376	$	505	$	3,974	$	38,193

57

The following table presents the earnings impact of derivatives and hedging activities during the three and six months ended June 30, 2018 and 2017.

NET EARNINGS IMPACT OF DERIVATIVES AND HEDGING ACTIVITIES

(in millions)

	Advances			Investments			Consolidated Obligation Bonds			Consolidated Obligation Discount Notes			Balance Sheet and Other			Total
Three Months Ended June 30, 2018
Amortization/accretion of hedging activities in net interest income (1)	$	(1	)	$	11		$	—		$	—		$	—		$	10
Net interest settlements included in net interest income (2)	4			(4		)	(12		)	—			—			(12		)
Net gain (loss) on derivatives and hedging activities
Net gains (losses) on fair value hedges	—			6			(4		)	—			—			2
Net loss on economic hedges	—			—			—			—			(2		)	(2		)
Price alignment amount	—			—			—			—			(3		)	(3		)
Total net gains (losses) on derivatives and hedging activities	—			6			(4		)	—			(5		)	(3		)
Net impact of derivatives and hedging activities	$	3		$	13		$	(16	)	$	—		$	(5	)	$	(5	)
Three Months Ended June 30, 2017
Amortization/accretion of hedging activities in net interest income (1)	$	—		$	16		$	(1	)	$	—		$	—		$	15
Net interest settlements included in net interest income (2)	(10		)	(44		)	12			—			—			(42		)
Net gain (loss) on derivatives and hedging activities
Net losses on fair value hedges	—			(5		)	—			—			—			(5		)
Net gains on economic hedges	—			—			—			—			5			5
Net interest settlements on economic hedges	—			—			—			—			1			1
Total net gains (losses) on derivatives and hedging activities	—			(5		)	—			—			6			1
Net impact of derivatives and hedging activities	$	(10	)	$	(33	)	$	11		$	—		$	6		$	(26	)
Six Months Ended June 30, 2018
Amortization/accretion of hedging activities in net interest income (1)	$	(1	)	$	21		$	(1	)	$	—		$	—		$	19
Net interest settlements included in net interest income (2)	2			(26		)	(10		)	—			—			(34		)
Net gain (loss) on derivatives and hedging activities
Net gains (losses) on fair value hedges	—			20			(6		)	—			—			14
Net losses on economic hedges	—			—			—			—			(11		)	(11		)
Price alignment amount	—			—			—			—			(4		)	(4		)
Total net gains (losses) on derivatives and hedging activities	—			20			(6		)	—			(15		)	(1		)
Net impact of derivatives and hedging activities	$	1		$	15		$	(17	)	$	—		$	(15	)	$	(16	)
Six Months Ended June 30, 2017
Amortization/accretion of hedging activities in net interest income (1)	$	—		$	33		$	(2	)	$	—		$	—		$	31
Net interest settlements included in net interest income (2)	(21		)	(92		)	25			(1		)	—			(89		)
Net gain (loss) on derivatives and hedging activities
Net gains (losses) on fair value hedges	—			(6		)	2			—			—			(4		)
Net gains on economic hedges	—			—			—			—			9			9
Net interest settlements on economic hedges	—			—			—			—			1			1
Total net gains (losses) on derivatives and hedging activities	—			(6		)	2			—			10			6
Net impact of derivatives and hedging activities	$	(21	)	$	(65	)	$	25		$	(1	)	$	10		$	(52	)

_____________________________

⁽¹⁾  Represents the amortization/accretion of hedging fair value adjustments for both open and closed hedge positions.

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

58

As a result of statutory and regulatory requirements emanating from the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act"), certain derivative transactions that the Bank enters into are required to be cleared through a third-party central clearinghouse. As of June 30, 2018, the Bank had cleared trades outstanding with notional amounts totaling $28.6 billion. Cleared trades are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Collateral (or variation margin on daily settled derivative contracts) is typically delivered/paid (or returned/received) daily and, unlike bilateral derivatives, is not subject to any maximum unsecured credit exposure thresholds. The fair values of all interest rate derivatives (including accrued interest receivables and payables) with each clearing member of each clearinghouse are offset for purposes of measuring credit exposure and determining initial and variation margin requirements. With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The Bank has determined that the exercise by a non-defaulting party of the setoff rights incorporated in its cleared derivative transactions should be upheld in the event of a default, including a bankruptcy, insolvency or similar proceeding involving the clearinghouse or any of its clearing members or both.

The Bank has transacted some of its interest rate exchange agreements bilaterally with large financial institutions (with which it has in place master agreements). In doing so, the Bank has generally exchanged a defined market risk for the risk that the counterparty will not be able to fulfill its obligations in the future. The Bank manages this credit risk by spreading its transactions among as many highly rated counterparties as is practicable, by entering into master agreements with each of its non-member bilateral counterparties that include maximum unsecured credit exposure thresholds ranging from $100,000 to $500,000, and by monitoring its exposure to each counterparty on a daily basis. In addition, all of the Bank’s master agreements with its bilateral counterparties include netting arrangements whereby the fair values of all interest rate derivatives (including accrued interest receivables and payables) with each counterparty are offset for purposes of measuring credit exposure. As of June 30, 2018, the notional balances of outstanding interest rate exchange agreements transacted with non-member bilateral counterparties totaled $12.5 billion.

Under the Bank’s master agreements with its non-member bilateral counterparties, the unsecured credit exposure thresholds must be met before collateral is required to be delivered by one party to the other party. Once the counterparties agree to the valuations of the interest rate exchange agreements, and if it is determined that the unsecured credit exposure exceeds the threshold, then, upon a request made by the unsecured counterparty, the party that has the unsecured obligation to the counterparty bearing the risk of the unsecured credit exposure generally must deliver sufficient collateral (or return a sufficient amount of previously remitted collateral) to reduce the unsecured credit exposure to zero (or, in the case of pledged securities, to an amount equal to the discount applied to the securities under the terms of the master agreement). Collateral is delivered (or returned) daily when these thresholds are met. The master agreements with the Bank's non-member bilateral counterparties require the delivery of collateral consisting of cash or very liquid, highly rated securities (generally consisting of U.S. government-guaranteed or agency debt securities) if credit risk exposures rise above the thresholds.

The notional amount of interest rate exchange agreements does not reflect the Bank’s credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position.

59

The following table provides information regarding the Bank’s derivative counterparty credit exposure as of June 30, 2018.

DERIVATIVES COUNTERPARTY CREDIT EXPOSURE

(dollars in millions)

Credit Rating(1)	Number of Bilateral Counterparties	Notional Principal(2)		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged To (From) Counterparty			Other Collateral Pledged To Counterparty		Net Credit Exposure
Non-member counterparties
Asset positions with credit exposure
Cleared derivatives (3)	—	$	18,183.2	$	2.0		$	(0.1	)	$	753.5	$	755.4
Liability positions with credit exposure
Single-A	4	1,654.1		(21.8		)	22.3			—		0.5
Triple-B (4)	2	1,436.3		(8.9		)	9.0			—		0.1
Cleared derivatives (5)	—	10,397.6		(1.3		)	—			34.4		33.1
Total derivative positions with non-member counterparties to which the Bank had credit exposure	6	31,671.2		(30.0		)	31.2			787.9		789.1
Liability positions without credit exposure (4)	12	9,435.7		(179.2		)	171.2			—		—
Total non-member counterparties	18	41,106.9		(209.2		)	$	202.4		$	787.9	$	789.1
Member institutions
Interest rate exchange agreements (6)
Asset positions	4	96.3		3.0
Liability positions	6	1,333.8		(40.7		)
Mortgage delivery commitments	—	37.0		0.1
Total member institutions	10	1,467.1		(37.6		)
Total	28	$	42,574.0	$	(246.8	)

_____________________________

⁽¹⁾  Credit ratings shown in the table reflect the lowest rating from Moody’s, S&P or Fitch and are as of June 30, 2018.

⁽²⁾  Includes amounts that had not settled as of June 30, 2018.

⁽³⁾  This clearinghouse counterparty is rated single-A.

⁽⁴⁾  The figures for the liability positions with credit exposure for the triple-B rated counterparties included transactions with an entity that is affiliated with a non-member shareholder of the Bank. Transactions with that counterparty had an aggregate notional principal of $883 million and a credit exposure of $66,000 as of June 30, 2018. The figures for the liability positions without credit exposure included transactions with a counterparty that is affiliated with the same non-member shareholder of the Bank and transactions with another counterparty that is affiliated with a member institution. Transactions with those counterparties had an aggregate notional principal of $1.3 billion as of June 30, 2018.

⁽⁵⁾  This clearinghouse counterparty is rated double-A.

⁽⁶⁾  This product offering and the collateral provisions associated therewith are discussed in the paragraph below.

The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their risk management objectives. In derivative transactions with its members, the Bank acts as an intermediary by entering into an interest rate exchange agreement with the member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s non-member derivative counterparties discussed above. When entering into interest rate exchange agreements with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions consists of collateral that is eligible to secure advances and other obligations under the member’s Advances and Security Agreement with the Bank.

The Dodd-Frank Act changed the regulatory framework for derivative transactions that are not subject to mandatory clearing requirements (uncleared trades). While the Bank expects to be able in certain instances to continue to enter into uncleared trades on a bilateral basis, those transactions will be subject to new regulatory requirements, including minimum initial margin requirements imposed by regulators. For additional discussion, see Item 1 - Business - Legislative and Regulatory Developments in the 2017 10-K.

60

Market Value of Equity

The ratio of the Bank’s estimated market value of equity to its book value of equity was approximately 102 percent at both June 30, 2018 and December 31, 2017. For additional discussion, see “Part I / Item 3 — Quantitative and Qualitative Disclosures About Market Risk — Interest Rate Risk.”

Results of Operations

Net Income

Net income for the three months ended June 30, 2018 and 2017 was $48.8 million and $43.8 million, respectively. The Bank’s net income for the three months ended June 30, 2018 represented an annualized return on average capital stock (“ROCS”) of 7.88 percent. In comparison, the Bank’s ROCS was 8.55 percent for the three months ended June 30, 2017. Net income for the six months ended June 30, 2018 and 2017 was $90.6 million and $78.9 million, respectively. The Bank’s net income for the six months ended June 30, 2018 represented an annualized return on average capital stock of 7.44 percent. In comparison, the Bank’s ROCS was 7.81 percent for the six months ended June 30, 2017. To derive the Bank’s ROCS, net income is divided by average capital stock outstanding excluding stock that is classified as mandatorily redeemable capital stock. The factors contributing to the changes in the Bank's net income are discussed below.

Income Before Assessments

During the three months ended June 30, 2018 and 2017, the Bank’s income before assessments was $54.2 million and $48.6 million, respectively. As discussed in more detail below, the $5.6 million increase in income before assessments from period to period was attributable to a $14.5 million increase in net interest income, offset by a $7.5 million decrease in other income and a $1.4 million increase in other expense. During the six months ended June 30, 2018 and 2017, the Bank’s income before assessments was $100.6 million and $87.6 million, respectively. As discussed in more detail below, the $13.0 million increase in income before assessments from period to period was attributable to a $29.8 million increase in net interest income, offset by a $13.7 million decrease in other income and a $3.1 million increase in other expense. The components of income before assessments (net interest income, other income/loss and other expense) are discussed in more detail in the following sections.

Net Interest Income

For the three and six months ended June 30, 2018, the Bank’s net interest income was $76.0 million and $144.1 million, respectively, compared to net interest income of $61.5 million and $114.3 million, respectively, for the comparable periods in 2017. The increase in net interest income for the three and six-month periods ended June 30, 2018 as compared to the corresponding periods in 2017 was due primarily to an increase in the average balances of the Bank's interest-earning assets and an increase in the impact of the Bank's non-interest bearing funds. The Bank's average balance of interest-earning assets increased from $58.5 billion and $57.5 billion during the three and six months ended June 30, 2017, respectively, to $65.1 billion and $65.0 billion, respectively, during the comparable periods in 2018.

For the three months ended June 30, 2018 and 2017, the Bank’s net interest margin was 46 basis points and 42 basis points, respectively. The Bank’s net interest margin was 44 basis points and 40 basis points, respectively, for the six months ended June 30, 2018 and 2017. Net interest margin, or net interest income as a percentage of average earning assets, is a function of net interest spread and the rates of return on assets funded by the investment of the Bank’s capital. Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities. The Bank’s net interest spread was 36 basis points and 37 basis points for the three months ended June 30, 2018 and 2017, respectively. The Bank’s net interest spread was 35 basis points for both the six months ended June 30, 2018 and 2017.

The contribution of earnings from the Bank’s invested capital to the net interest margin (the impact of non-interest bearing funds) was 10 basis points and 9 basis points during the three and six months ended June 30, 2018, respectively, compared to 5 basis points during both the three and six months ended June 30, 2017. The increase in the impact of non-interest bearing funds is primarily due to the increase in short-term interest rates between the comparable periods, as well as an increase in the average balance of earning assets funded by the Bank's capital.

61

The following table presents average balance sheet amounts together with the total dollar amounts of interest income and expense and the weighted average interest rates of major earning asset categories and the funding sources for those earning assets for the three months ended June 30, 2018 and 2017.

YIELD AND SPREAD ANALYSIS

(dollars in millions)

	For the Three Months Ended June 30,
	2018							2017
	Average Balance			Interest Income/ Expense		Average Rate(1)		Average Balance			Interest Income/ Expense		Average Rate(1)
Assets
Interest-bearing deposits (2)	$	214		$	1	1.76	%	$	247		$	1	0.89	%
Securities purchased under agreements to resell	3,452			16		1.83	%	575			2		1.06	%
Federal funds sold	3,875			17		1.80	%	7,269			17		0.97	%
Investments
Trading	498			2		2.09	%	114			—		2.04	%
Available-for-sale (3)	14,683			104		2.84	%	13,841			57		1.63	%
Held-to-maturity (3)	1,838			12		2.55	%	2,364			9		1.59	%
Advances (4)	39,402			200		2.02	%	33,785			96		1.14	%
Mortgage loans held for portfolio	1,134			10		3.69	%	261			3		3.88	%
Total earning assets	65,096			362		2.23	%	58,456			185		1.27	%
Cash and due from banks	40							35
Other assets	125							196
Derivatives netting adjustment (2)	(214		)					(257		)
Fair value adjustment on available-for-sale securities (3)	246							118
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3)	(13		)					(16		)
Total assets	$	65,280		362		2.22	%	$	58,532		185		1.27	%
Liabilities and Capital
Interest-bearing deposits (2)	$	911		4		1.67	%	$	1,286		3		0.86	%
Consolidated obligations
Bonds	32,353			162		2.00	%	30,611			77		1.00	%
Discount notes	27,882			120		1.74	%	23,309			44		0.76	%
Mandatorily redeemable capital stock and other borrowings	5			—		1.91	%	16			—		1.16	%
Total interest-bearing liabilities	61,151			286		1.87	%	55,222			124		0.90	%
Other liabilities	588							508
Derivatives netting adjustment (2)	(214		)					(257		)
Total liabilities	61,525			286		1.86	%	55,473			124		0.89	%
Total capital	3,755							3,059
Total liabilities and capital	$	65,280				1.76	%	$	58,532				0.85	%
Net interest income				$	76						$	61
Net interest margin						0.46	%						0.42	%
Net interest spread						0.36	%						0.37	%
Impact of non-interest bearing funds						0.10	%						0.05	%

62

_____________________________

⁽¹⁾  Percentages are annualized figures. Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results.

⁽²⁾  The Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments transacted under a master netting agreement or other similar arrangement. The average balances of interest-bearing deposit assets for the three months ended June 30, 2018 and 2017 in the table above include $213 million and $246 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balance of interest-bearing deposit liabilities for the three months ended June 30, 2017 in the table above includes $11 million which is classified as derivative assets/liabilities on the statements of condition. For the three months ended June 30, 2018, there are no amounts which were classified as derivative assets/liabilities on the statements of condition that were included in the average balance of interest-bearing deposit liabilities.

⁽³⁾  Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost.

⁽⁴⁾  Interest income and average rates include net prepayment fees on advances.

63

The following table presents average balance sheet amounts together with the total dollar amounts of interest income and expense and the weighted average interest rates of major earning asset categories and the funding sources for those earning assets for the six months ended June 30, 2018 and 2017.

YIELD AND SPREAD ANALYSIS

(dollars in millions)

	For the Six Months Ended June 30,
	2018							2017
	Average Balance			Interest Income/ Expense		Average Rate(1)		Average Balance			Interest Income/ Expense		Average Rate(1)
Assets
Interest-bearing deposits (2)	$	200		$	2	1.72	%	$	237		$	1	0.80	%
Securities purchased under agreements to resell	2,663			23		1.74	%	354			2		0.98	%
Federal funds sold	5,944			46		1.57	%	7,190			30		0.85	%
Investments
Trading	300			3		2.11	%	113			1		2.04	%
Available-for-sale (3)	14,485			184		2.55	%	13,583			106		1.55	%
Held-to-maturity (3)	1,879			22		2.33	%	2,413			17		1.46	%
Advances (4)	38,502			357		1.85	%	33,447			172		1.03	%
Mortgage loans held for portfolio	1,045			19		3.65	%	201			4		3.94	%
Total earning assets	65,018			656		2.02	%	57,538			333		1.16	%
Cash and due from banks	39							33
Other assets	153							215
Derivatives netting adjustment (2)	(234		)					(291		)
Fair value adjustment on available-for-sale securities (3)	249							96
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3)	(13		)					(16		)
Total assets	$	65,212		656		2.01	%	$	57,575		333		1.16	%
Liabilities and Capital
Interest-bearing deposits (2)	$	887		7		1.49	%	$	1,193		4		0.74	%
Consolidated obligations
Bonds	32,519			290		1.78	%	29,899			139		0.93	%
Discount notes	27,738			215		1.55	%	23,230			76		0.66	%
Mandatorily redeemable capital stock and other borrowings	14			—		1.59	%	26			—		0.81	%
Total interest-bearing liabilities	61,158			512		1.67	%	54,348			219		0.81	%
Other liabilities	583							514
Derivatives netting adjustment (2)	(234		)					(291		)
Total liabilities	61,507			512		1.67	%	54,571			219		0.80	%
Total capital	3,705							3,004
Total liabilities and capital	$	65,212				1.57	%	$	57,575				0.76	%
Net interest income				$	144						$	114
Net interest margin						0.44	%						0.40	%
Net interest spread						0.35	%						0.35	%
Impact of non-interest bearing funds						0.09	%						0.05	%

64

_____________________________

⁽¹⁾  Percentages are annualized figures. Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results.

⁽²⁾  The Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments transacted under a master netting agreement or other similar arrangement. The average balances of interest-bearing deposit assets for the six months ended June 30, 2018 and 2017 in the table above include $200 million and $236 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balances of interest-bearing deposit liabilities for the six months ended June 30, 2018 and 2017 in the table above include $34 million and $55 million, respectively, which are classified as derivative assets/liabilities on the statements of condition.

⁽³⁾  Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost.

⁽⁴⁾  Interest income and average rates include net prepayment fees on advances.

Changes in both volume (i.e., average balances) and interest rates influence changes in net interest income and net interest margin. The following table summarizes changes in interest income and interest expense between the three and six-month periods ended June 30, 2018 and 2017. Changes in interest income and interest expense that cannot be attributed to either volume or rate have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

RATE AND VOLUME ANALYSIS

(in millions)

	For the Three Months Ended								For the Six Months Ended
	June 30, 2018 vs. 2017								June 30, 2018 vs. 2017
	Volume			Rate			Total		Volume			Rate			Total
Interest income
Interest-bearing deposits	$	—		$	—		$	—	$	—		$	1		$	1
Securities purchased under agreements to resell	13			1			14		19			2			21
Federal funds sold	(6		)	6			—		(4		)	20			16
Investments
Trading	2			—			2		2			—			2
Available-for-sale	3			44			47		7			71			78
Held-to-maturity	(2		)	5			3		(4		)	9			5
Advances	18			86			104		29			156			185
Mortgage loans held for portfolio	7			—			7		15			—			15
Total interest income	35			142			177		64			259			323
Interest expense
Interest-bearing deposits	(1		)	2			1		(1		)	4			3
Consolidated obligations
Bonds	5			80			85		13			138			151
Discount notes	10			66			76		17			122			139
Mandatorily redeemable capital stock and other borrowings	—			—			—		—			—			—
Total interest expense	14			148			162		29			264			293
Changes in net interest income	$	21		$	(6	)	$	15	$	35		$	(5	)	$	30

65

Other Income (Loss)

The following table presents the various components of other income (loss) for the three and six months ended June 30, 2018 and 2017.

OTHER INCOME (LOSS)

(in thousands)

	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Net interest income (expense) associated with:
Economic hedge derivatives related to consolidated obligation bonds	$	10		$	—		$	10		$	—
Member/offsetting derivatives	114			116			231			170
Economic hedge derivatives related to advances	25			1			27			1
Economic hedge derivatives related to trading securities	(113		)	—			(113		)	—
Economic hedge derivatives related to available-for-sale securities	—			(3		)	(3		)	(7		)
Economic hedge derivatives related to consolidated obligation discount notes	—			(258		)	—			(503		)
Economic hedge derivatives related to mortgage loans held for portfolio	(1		)	—			15			—
Interest rate basis swaps	—			241			—			385
Other stand-alone economic hedge derivatives	(333		)	376			(290		)	875
Total net interest income (expense) associated with economic hedge derivatives	(298		)	473			(123		)	921
Gains (losses) related to economic hedge derivatives
Interest rate swaps
Advances	(22		)	(2		)	4			(2		)
Available-for-sale securities	28			(27		)	111			(20		)
Trading securities	33			—			33			—
Mortgage loans held for portfolio	(58		)	—			(225		)	—
Consolidated obligation bonds	(11		)	—			(11		)	—
Consolidated obligation discount notes	—			284			—			310
Interest rate basis swaps	—			(281		)	—			186
Other stand-alone economic hedge derivatives	(2,604		)	3,933			(11,438		)	3,548
Interest rate swaptions related to mortgage loans held for portfolio	(125		)	—			(125		)	—
Mortgage delivery commitments	449			1,222			500			1,463
Interest rate caps related to held-to-maturity securities	(3		)	(73		)	8			(234		)
Member/offsetting swaps, caps and floors	1			610			(135		)	3,595
Total fair value gains (losses) related to economic hedge derivatives	(2,312		)	5,666			(11,278		)	8,846
Price alignment amount on daily settled derivative contracts	(2,463		)	182			(3,754		)	301
Gains (losses) related to fair value hedge ineffectiveness
Advances and associated hedges	77			86			195			172
Available-for-sale securities and associated hedges	6,191			(5,577		)	20,039			(6,289		)
Consolidated obligation bonds and associated hedges	(3,542		)	(28		)	(5,603		)	1,678
Total fair value hedge ineffectiveness	2,726			(5,519		)	14,631			(4,439		)
Total net gains (losses) on derivatives and hedging activities	(2,347		)	802			(524		)	5,629
Net gains (losses) on trading securities	(542		)	1,169			(2,890		)	2,048
Net gains on other assets carried at fair value	202			—			215			—
Gains on sales of held-to-maturity securities	—			1,890			—			1,890
Gains on sales of available-for-sale securities	—			1,167			—			1,837
Service fees	605			627			1,124			1,153
Letter of credit fees	2,265			1,745			4,411			3,393
Other, net	242			490			363			497
Total other	2,772			7,088			3,223			10,818
Total other income	$	425		$	7,890		$	2,699		$	16,447

66

Fair Value Hedge Ineffectiveness

The Bank uses interest rate swaps to hedge the risk of changes in the fair value of some of its advances and consolidated obligation bonds and, currently, all of its available-for-sale securities. These hedging relationships are designated as fair value hedges. To the extent these relationships qualify for hedge accounting, changes in the fair values of both the derivative (the interest rate swap) and the hedged item (limited to changes attributable to the hedged risk) are recorded in earnings. For those relationships that qualified for hedge accounting, the differences between the change in fair value of the hedged items and the change in fair value of the associated interest rate swaps (representing hedge ineffectiveness) were net gains (losses) of $2.7 million and $(5.5) million for the three months ended June 30, 2018 and 2017, respectively, and $14.6 million and $(4.4) million for the six months ended June 30, 2018 and 2017, respectively. A significant portion of the increase in fair value hedge ineffectiveness for the six months ended June 30, 2018 as compared to the six months ended June 30, 2017 was related to the Bank's available-for-sale securities portfolio and that portion of the increase was due primarily to the comparably higher variability in long-term interest rates during the early part of 2018. To the extent that the Bank's fair value hedging relationships do not qualify for hedge accounting, or cease to qualify because they are determined to be ineffective, only the change in fair value of the derivative is recorded in earnings (in this case, there is no offsetting change in fair value of the hedged item). For the three months ended June 30, 2018 and 2017, the net gains (losses) on derivatives associated with specific advances, available-for-sale securities and consolidated obligation bonds that did not qualify for hedge accounting, or ceased to qualify because they were determined to be ineffective, totaled $(5,000) and $(29,000), respectively. The net gains (losses) on derivatives associated with specific advances, available-for-sale securities and consolidated obligation bonds that were not in qualifying hedging relationships totaled $104,000 and $(22,000) for the six months ended June 30, 2018 and 2017, respectively.

The addition of higher yielding, longer duration fixed-rate GSE CMBS and GSE debentures to the Bank’s available-for-sale securities portfolio since 2014 (all of which have been hedged with fixed-for-floating interest rate swaps in long-haul hedging relationships) has generally increased its exposure to periodic earnings variability in the form of fair value hedge ineffectiveness. The hedge ineffectiveness gains and losses associated with these particular relationships are attributable in large part to the use of different discount curves to value the interest rate swaps (OIS) and the GSE CMBS/GSE debentures (LIBOR plus a constant spread). Notwithstanding the hedge ineffectiveness gains and losses, these hedging relationships have been, and are expected to continue to be, highly effective in achieving offsetting changes in fair values attributable to the hedged risk. While the ineffectiveness-related gains and losses associated with these hedging relationships can be significant when evaluated in the context of the Bank’s net income, they are relatively small when expressed as a percentage of the values of the positions. Because the Bank expects to hold these interest rate swaps to maturity, the unrealized ineffectiveness-related gains (or losses) associated with its holdings of GSE CMBS and GSE debentures are expected to be transitory, meaning that they will reverse in future periods in the form of ineffectiveness-related losses (or gains).

Economic Hedge Derivatives

Notwithstanding the transitory nature of the ineffectiveness-related gains and losses associated with the Bank's available-for-sale securities portfolio (discussed above), the Bank has entered into several derivative transactions in an effort to mitigate a portion of the periodic earnings variability that can result from those fair value hedging relationships. For the three months ended June 30, 2018 and 2017, the gains (losses) associated with stand-alone economic hedge derivatives used for this purpose were $(2.6) million and $3.9 million, respectively. The gains (losses) associated with stand-alone economic hedge derivatives used for this purpose were $(11.4) million and $3.5 million for the six months ended June 30, 2018 and 2017, respectively.

From time to time, the Bank has entered into interest rate basis swaps to reduce its exposure to changing spreads between one-month and three-month LIBOR. Under these agreements, the Bank generally either receives three-month LIBOR and pays one-month LIBOR or receives one-month LIBOR and pays three-month LIBOR. The Bank accounts for interest rate basis swaps as stand-alone derivatives and, as such, the fair value changes associated with these instruments can be a source of volatility in the Bank’s earnings, particularly when one-month and/or three-month LIBOR, or the spreads between these two indices, are or are projected to be volatile. The fair values of one-month LIBOR to three-month LIBOR basis swaps generally fluctuate based on the timing of the interest rate reset dates, the relationship between one-month LIBOR and three-month LIBOR at the time of measurement, the projected relationship between one-month LIBOR and three-month LIBOR for the remaining term of the interest rate basis swap, the projected overnight index swap rates over the remaining term of the interest rate basis swap and the relationship between the current coupons for the interest rate swap and the prevailing LIBOR rates at the valuation date. During the six months ended June 30, 2017, the Bank was a party to one interest rate basis swap with a notional amount of $1.0 billion. This swap agreement expired in May 2017. The Bank was not a party to any interest rate basis swaps during the six months ended June 30, 2018.

As discussed previously in the section entitled “Financial Condition — Long-Term Investments,” to hedge a portion of the risk associated with a significant increase in short-term interest rates, the Bank held, as of June 30, 2018, three interest rate cap agreements having a total notional amount of $1.2 billion. The premiums paid for these caps totaled $4.3 million. The fair

67

values of interest rate cap agreements are dependent upon the level of interest rates, volatilities and remaining term to maturity. In general (assuming constant volatilities and no erosion in value attributable to the passage of time), interest rate caps will increase in value as market interest rates rise and will diminish in value as market interest rates decline. The value of interest rate caps will increase as volatilities increase and will decline as volatilities decrease. Absent changes in volatilities or interest rates, the value of interest rate caps will decline with the passage of time. As stand-alone derivatives, the changes in the fair values of the Bank’s interest rate cap agreements are recorded in earnings with no offsetting changes in the fair values of the hedged CMO LIBOR floaters with embedded caps and therefore can also be a source of volatility in the Bank’s earnings. At June 30, 2018, the carrying values of the Bank’s stand-alone interest rate cap agreements totaled $13,000.

From time to time, the Bank hedges the risk of changes in the fair value of some of its longer-term consolidated obligation discount notes using fixed-for-floating interest rate swaps. As stand-alone derivatives, the changes in the fair values of the Bank’s discount note swaps are recorded in earnings with no offsetting changes in the fair values of the hedged items (i.e., the consolidated obligation discount notes) and therefore can also be a source of volatility in the Bank’s earnings. During the six months ended June 30, 2018, the Bank did not have any outstanding discount note swaps that were used for this purpose.

As discussed previously in the section entitled “Financial Condition — Derivatives and Hedging Activities," the Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their risk management objectives. In derivative transactions with its members, the Bank acts as an intermediary by entering into an interest rate exchange agreement with the member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s non-member derivative counterparties. The net change in the fair values of derivatives transacted with members and the offsetting derivatives was $1,000 and $610,000 for the three months ended June 30, 2018 and 2017, respectively, and $(135,000) and $3,595,000 for the six months ended June 30, 2018 and 2017, respectively.

Price Alignment Amount

Effective January 3, 2017, one of the Bank's two clearinghouse counterparties made certain amendments to its rulebook that changed the legal characterization of variation margin payments on cleared derivatives to settlements on the contracts. Effective January 16, 2018, the Bank's other clearinghouse counterparty made similar amendments to its rulebook. Prior to the dates upon which these amendments became effective, the variation margin payments were in each case characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. The Bank receives or pays a price alignment amount on the cumulative variation margin payments associated with these contracts. The price alignment amount approximates the amount of interest the Bank would have received or paid had the variation margin payments continued to be characterized as collateral.

Other

During the three months ended June 30, 2017, the Bank sold approximately $101 million (par value) of GSE RMBS classified as held-to-maturity securities. The aggregate gains recognized on these sales totaled $1.9 million. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification. During the six months ended June 30, 2017, the Bank sold approximately $260 million (par value) of shorter maturity GSE debentures classified as available-for-sale. The aggregate gains recognized on these sales totaled $1.8 million. There were no sales of long-term investment securities during the six months ended June 30, 2018.

During 2017 and the six months ended June 30, 2018, the Bank held a fixed-rate U.S. Treasury Note with a par value of $104.8 million that was classified as trading. In addition, during the three months ended June 30, 2018, the Bank acquired a U.S. Treasury Bill with a par value of $250 million and U.S. Treasury Notes with an aggregate par value of $750 million, all of which are classified as trading securities. Due to fluctuations in interest rates, the aggregate unrealized gains (losses) on the U.S. Treasury Notes and U.S. Treasury Bill were $(0.5) million and $0.9 million for the three months ended June 30, 2018 and 2017, respectively, and $(2.9) million and $1.4 million for the six months ended June 30, 2018 and 2017, respectively.

Letter of credit fees totaled $2.3 million and $4.4 million for the three and six months ended June 30, 2018, respectively, compared to $1.7 million and $3.4 million, respectively, for the corresponding periods in 2017. The increase in letter of credit fees for the three and six months ended June 30, 2018, as compared to the corresponding periods in 2017, was due to an increase in the amount of letters of credit outstanding. At June 30, 2018 and 2017, outstanding letters of credit totaled $16.6 billion and $13.5 billion, respectively.

68

Other Expense

Total other expense, which includes the Bank’s compensation and benefits, other operating expenses, discretionary grants and donations, derivative clearing fees and its proportionate share of the costs of operating the Finance Agency and the Office of Finance, totaled $22.2 million and $46.2 million for the three and six months ended June 30, 2018, respectively, compared to $20.8 million and $43.0 million, respectively, for the corresponding periods in 2017.

Compensation and benefits were $11.7 million and $24.2 million for the three and six months ended June 30, 2018, respectively, compared to $12.5 million and $26.2 million, respectively, for the corresponding periods in 2017. The decrease in compensation and benefits for the three and six months ended June 30, 2018, as compared to the corresponding periods in 2017, was due largely to decreases in employee medical costs and employee separation costs. The Bank's average headcount was 200 employees and 209 employees for the six months ended June 30, 2018 and 2017, respectively. At June 30, 2018, the Bank employed 199 people, a decrease of 6 employees from December 31, 2017.

Other operating expenses for the three and six months ended June 30, 2018 were $8.3 million and $16.1 million, respectively, compared to $6.3 million and $11.7 million, respectively, for the corresponding periods in 2017. The increase in other operating expenses for the three and six months ended June 30, 2018, as compared to the corresponding periods in 2017, resulted primarily from increased usage of independent contractors to support various information technology initiatives in the Bank and higher legal fees.

Discretionary grants and donations were $0.2 million and $1.6 million for the three and six months ended June 30, 2018, respectively, compared to $0.2 million and $1.2 million for the corresponding periods in 2017. The increase in discretionary grants and donations for the six months ended June 30, 2018, as compared to the corresponding period in 2017, was due largely to $1.0 million of grants and donations that were made in the first quarter of 2018 to support recovery efforts in the areas impacted by Hurricane Harvey. In the first quarter of 2017, the Bank awarded $0.4 million in special disaster relief grants for victims of the 2016 Louisiana floods. The remaining variances are due to timing in the funding of grants under the Bank's recurring discretionary programs.

Derivative clearing fees were $0.3 million for both the three months ended June 30, 2018 and 2017 and $0.6 million for both the six months ended June 30, 2018 and 2017.

The Bank, together with the other FHLBanks, is assessed for the costs of operating the Finance Agency and the Office of Finance. The Bank’s share of these expenses totaled approximately $1.7 million and $3.6 million for the three and six months ended June 30, 2018, respectively, as compared to $1.5 million and $3.3 million for the corresponding periods in 2017.

AHP Assessments

While the Bank is exempt from all federal, state and local income taxes, it is obligated to set aside amounts for its Affordable Housing Program (“AHP”).

As required by statute, each year the Bank contributes 10 percent of its earnings (as adjusted for interest expense on mandatorily redeemable capital stock) to its AHP. The AHP provides grants that members can use to support affordable housing projects in their communities. Generally, the Bank’s AHP assessment is derived by adding interest expense on mandatorily redeemable capital stock to income before assessments; the result of this calculation is then multiplied by 10 percent. The Bank’s AHP assessments totaled $5.4 million and $4.9 million for the three months ended June 30, 2018 and 2017, respectively, and $10.1 million and $8.8 million for the six months ended June 30, 2018 and 2017, respectively.

Critical Accounting Policies and Estimates

A discussion of the Bank’s critical accounting policies and the extent to which management uses judgment and estimates in applying those policies is provided in the 2017 10-K. There were no substantive changes to the Bank’s critical accounting policies, or the extent to which management uses judgment and estimates in applying those policies, during the six months ended June 30, 2018.

Liquidity and Capital Resources

In order to meet members’ credit needs and the Bank’s financial obligations, the Bank maintains a portfolio of money market instruments typically consisting of overnight federal funds and overnight reverse repurchase agreements. From time to time, the Bank may also invest in short-term commercial paper, U.S. Treasury Bills, U.S. Treasury Notes and GSE discount notes. Beyond those amounts that are required to meet members’ credit needs and its own obligations, the Bank typically holds additional balances of short-term investments that fluctuate as the Bank invests the proceeds of debt issued to replace maturing and called liabilities, as the balance of deposits changes, as the returns provided by short-term investments vary relative to the costs of the Bank’s discount notes, and as the level of liquidity needed to satisfy Finance Agency requirements changes. At

69

June 30, 2018, the Bank’s short-term liquidity portfolio was comprised of $8.4 billion of overnight federal funds sold, $4.4 billion of overnight reverse repurchase agreements, $0.2 billion of U.S. Treasury Bills and $0.7 billion of U.S. Treasury Notes with short remaining terms to maturity.

The Bank’s primary source of funds is the proceeds it receives from the issuance of consolidated obligation bonds and discount notes in the capital markets. Historically, the FHLBanks have issued debt throughout the business day in the form of discount notes and bonds with a wide variety of maturities and structures. Generally, the Bank has access to the capital markets as needed during the business day to acquire funds to meet its needs.

In addition to the liquidity provided from the proceeds of the issuance of consolidated obligations, the Bank also maintains access to wholesale funding sources such as federal funds purchased and securities sold under agreements to repurchase (e.g., borrowings secured by its investments in MBS and/or agency debentures). Furthermore, the Bank has access to borrowings (typically short-term) from the other FHLBanks.

The 11 FHLBanks and the Office of Finance are parties to the Federal Home Loan Banks P&I Funding and Contingency Plan Agreement, as amended and restated effective January 1, 2017 (the “Contingency Agreement”). The Contingency Agreement and related procedures are designed to facilitate the timely funding of principal and interest payments on FHLBank System consolidated obligations in the event that a FHLBank is not able to meet its funding obligations in a timely manner. The Contingency Agreement and related procedures provide for the issuance of overnight consolidated obligations ("Plan COs") directly to one or more FHLBanks that provide funds to avoid a shortfall in the timely payment of principal and interest on any consolidated obligations for which another FHLBank is the primary obligor. The direct placement by a FHLBank of consolidated obligations with another FHLBank is permitted only in those instances when direct placement of consolidated obligations is necessary to ensure that sufficient funds are available to timely pay all principal and interest on FHLBank System consolidated obligations due on a particular day. Through the date of this report, no Plan COs have ever been issued pursuant to the terms of the Contingency Agreement.

On occasion, and as an alternative to issuing new debt, the Bank may assume the outstanding consolidated obligations for which other FHLBanks are the original primary obligors. This occurs in cases where the original primary obligor may have participated in a large consolidated obligation issue to an extent that exceeded its immediate funding needs in order to facilitate better market execution for the issue. The original primary obligor might then warehouse the funds until they were needed, or make the funds available to other FHLBanks. Transfers may also occur when the original primary obligor’s funding needs change, and that FHLBank offers to transfer debt that is no longer needed to other FHLBanks. Transferred debt is typically fixed-rate, fixed-term, non-callable debt, and may be in the form of discount notes or bonds.

The Bank participates in such transfers of funding from other FHLBanks when the transfer represents favorable pricing relative to a new issue of consolidated obligations with similar features. The Bank did not assume any consolidated obligations from other FHLBanks during the six months ended June 30, 2018 or 2017.

The Bank manages its liquidity to ensure that, at a minimum, it has sufficient funds to meet operational and contingent liquidity requirements. When measuring its liquidity for these purposes, the Bank includes only contractual cash flows and the amount of funds it estimates would be available in the event the Bank were to use securities held in its long-term investment portfolio as collateral for repurchase agreements. While it believes purchased federal funds might be available as a source of funds, it does not include this potential source of funds in its calculations of available liquidity.

The Bank’s operational liquidity requirement stipulates that it have sufficient funds to meet its obligations due on any given day plus an amount equal to the statistically estimated (at the 99-percent confidence level) cash and credit needs of its members and associates for one business day during a stress period of elevated advances demand without accessing the capital markets for the sale of consolidated obligations. As of June 30, 2018, the Bank’s estimated operational liquidity requirement was $9.2 billion. At that date, the Bank estimated that its operational liquidity exceeded this requirement by approximately $18.6 billion.

The Bank’s contingent liquidity requirement further requires that it maintain adequate balance sheet liquidity and access to other funding sources should it be unable to issue consolidated obligations for five business days during a stress period of elevated advances demand. The combination of funds available from these sources must be sufficient for the Bank to meet its obligations as they come due and the cash and credit needs of its members, with the potential needs of members statistically estimated at the 99-percent confidence level. As of June 30, 2018, the Bank’s estimated contingent liquidity requirement was $10.9 billion. At that date, the Bank estimated that its contingent liquidity exceeded this requirement by approximately $18.1 billion.

In addition to the liquidity measures described above, the Bank is required, pursuant to guidance issued by the Finance Agency, to meet two daily liquidity standards, each of which assumes that the Bank is unable to access the market for consolidated obligations during a prescribed period. The first standard requires the Bank to maintain sufficient funds to meet its obligations for 15 days under a scenario in which it is assumed that members do not renew any maturing, prepaid or called advances. The second standard requires the Bank to maintain sufficient funds to meet its obligations for 5 days under a scenario in which it is

70

assumed that members renew all maturing and called advances, with certain exceptions for very large, highly rated members. These requirements are more stringent than the 5-day contingent liquidity requirement discussed above. The Bank was in compliance with both of these liquidity requirements at all times during the six months ended June 30, 2018.

The Bank’s access to the capital markets has never been interrupted to an extent that the Bank’s ability to meet its obligations was compromised and the Bank does not currently believe that its ability to issue consolidated obligations will be impeded to that extent in the future. If, however, the Bank were unable to issue consolidated obligations for an extended period of time, the Bank would eventually exhaust the availability of purchased federal funds (including borrowings from other FHLBanks) and repurchase agreements as sources of funds. It is also possible that an event (such as a natural disaster) that might impede the Bank’s ability to raise funds by issuing consolidated obligations would also limit the Bank’s ability to access the markets for federal funds purchased and/or repurchase agreements.

Under those circumstances, to the extent that the balance of principal and interest that came due on the Bank’s debt obligations and the funds needed to pay its operating expenses exceeded the cash inflows from its interest-earning assets and proceeds from maturing assets, and if access to the market for consolidated obligations was not again available, the Bank would seek to access funding under the Contingency Agreement to repay any principal and interest due on its consolidated obligations. However, if the Bank were unable to raise funds by issuing consolidated obligations, it is likely that the other FHLBanks would have similar difficulties issuing debt. If funds were not available under the Contingency Agreement, the Bank’s ability to conduct its operations would be compromised even earlier than if this funding source was available.

A summary of the Bank’s contractual cash obligations and off-balance-sheet lending-related financial commitments by due date or remaining maturity as of December 31, 2017 is provided in the 2017 10-K. There have been no material changes in the Bank’s contractual obligations outside the normal course of business during the six months ended June 30, 2018.

Recently Issued Accounting Guidance

For a discussion of recently issued accounting guidance, see “Item 1. Financial Statements” (specifically, Note 2 beginning on page 7 of this report).

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The following quantitative and qualitative disclosures about market risk should be read in conjunction with the quantitative and qualitative disclosures about market risk that are included in the 2017 10-K. The information provided in this item is intended to update the disclosures made in the 2017 10-K.

As a financial intermediary, the Bank is subject to interest rate risk. Changes in the level of interest rates, the slope of the interest rate yield curve, and/or the relationships (or spreads) between interest yields for different instruments have an impact on the Bank’s estimated market value of equity and its earnings. This risk arises from a variety of instruments that the Bank enters into on a regular basis in the normal course of its business.

The terms of member advances, investment securities, and consolidated obligations may present interest rate risk and/or embedded option risk. As discussed in Management’s Discussion and Analysis of Financial Condition and Results of Operations, the Bank makes extensive use of interest rate derivative instruments, primarily interest rate swaps and caps, to manage the risk arising from these sources.

The Bank has investments in residential mortgage-related assets, primarily CMOs and MPF mortgage loans, both of which present prepayment risk. This risk arises from the mortgagors’ option to prepay their mortgages, making the effective maturities of these mortgage-based assets relatively more sensitive to changes in interest rates and other factors that affect the mortgagors’ decisions to repay their mortgages as compared to other long-term investment securities that do not have prepayment features. A decline in interest rates generally accelerates mortgage refinancing activity, thus increasing prepayments and thereby shortening the effective maturity of the mortgage-related assets. Conversely, rising rates generally slow prepayment activity and lengthen a mortgage-related asset’s effective maturity.

The Bank has managed the potential prepayment risk embedded in mortgage assets by purchasing floating rate securities, by purchasing securities that maintain their original principal balance for a fixed number of years, by purchasing highly structured tranches of mortgage securities that substantially limit the effects of prepayment risk, by issuing a combination of callable and non-callable debt with varying maturities, and/or by using interest rate derivative instruments to offset prepayment risk specific both to particular securities and to the overall mortgage portfolio.

The Bank’s Enterprise Market Risk Management Policy provides a risk management framework for the financial management of the Bank consistent with the strategic principles outlined in its Strategic Business Plan. The Bank develops its funding and hedging strategies to manage its interest rate risk within the risk limits established in its Enterprise Market Risk Management Policy.

71

The Enterprise Market Risk Management Policy articulates the Bank’s tolerance for the amount of overall interest rate risk the Bank will assume by limiting the maximum estimated loss in market value of equity that the Bank would incur under simulated 200 basis point changes in interest rates to 15 percent of the estimated base case market value. As reflected in the table below, the Bank was in compliance with this limit at each month-end during the six months ended June 30, 2018.

As part of its ongoing risk management process, the Bank calculates an estimated market value of equity for a base case interest rate scenario and for interest rate scenarios that reflect parallel interest rate shocks. The base case market value of equity is calculated by determining the estimated fair value of each instrument on the Bank’s balance sheet, and subtracting the estimated aggregate fair value of the Bank’s liabilities from the estimated aggregate fair value of the Bank’s assets. For purposes of these calculations, mandatorily redeemable capital stock is treated as equity rather than as a liability. The fair values of the Bank’s financial instruments (both assets and liabilities) are determined using either vendor prices or a pricing model. For those instruments for which a pricing model is used, the calculations are based upon parameters derived from market conditions existing at the time of measurement, and are generally determined by discounting estimated future cash flows at the replacement (or similar) rate for new instruments of the same type with the same or very similar characteristics. The market value of equity calculations include non-financial assets and liabilities, such as premises and equipment, other assets, payables for AHP, and other liabilities at their recorded carrying amounts.

For purposes of compliance with the Bank’s Enterprise Market Risk Management Policy limit on estimated losses in market value, market value of equity losses are defined as the estimated net sensitivity of the value of the Bank’s equity (the net value of its portfolio of assets, liabilities and interest rate derivatives) to 200 basis point parallel shifts in interest rates.

The following table provides the Bank’s estimated base case market value of equity and its estimated market value of equity under up and down 200 basis point interest rate shock scenarios (and, for comparative purposes, its estimated market value of equity under up and down 100 basis point interest rate shock scenarios) for each month-end during the period from December 2017 through June2018. In addition, the table provides the percentage change in estimated market value of equity under each of these shock scenarios for the indicated periods.

MARKET VALUE OF EQUITY

(dollars in billions)

			Up 200 Basis Points(1)				Down 200 Basis Points(2)				Up 100 Basis Points(1)				Down 100 Basis Points(2)
	Base Case Market Value of Equity		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case
December 2017	$	3.566	$	3.533	(0.93	)%	$	3.597	0.87	%	$	3.555	(0.31	)%	$	3.555	(0.31	)%
January 2018	3.671		3.596		(2.04	)%	3.736		1.77	%	3.637		(0.93	)%	3.689		0.49	%
February 2018	3.811		3.755		(1.47	)%	3.836		0.66	%	3.788		(0.60	)%	3.817		0.16	%
March 2018	3.655		3.592		(1.72	)%	3.654		(0.03	)%	3.631		(0.66	)%	3.653		(0.05	)%
April 2018	3.788		3.706		(2.16	)%	3.793		0.13	%	3.753		(0.92	)%	3.796		0.21	%
May 2018	3.867		3.799		(1.76	)%	3.856		(0.28	)%	3.840		(0.70	)%	3.866		(0.03	)%
June 2018	3.972		3.923		(1.23	)%	3.940		(0.81	)%	3.955		(0.43	)%	3.963		(0.23	)%

_____________________________

⁽¹⁾  In the up 100 and up 200 scenarios, the estimated market value of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates.

⁽²⁾  In the down 100 and down 200 scenarios, the estimated market value of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.01 percent.

A related measure of interest rate risk is duration of equity. Duration is the weighted average maturity (typically measured in months or years) of an instrument’s cash flows, weighted by the present value of those cash flows. As such, duration provides an estimate of an instrument’s sensitivity to small changes in market interest rates. The duration of assets is generally expressed as a positive figure, while the duration of liabilities is generally expressed as a negative number. The change in value of a specific instrument for given changes in interest rates will generally vary in inverse proportion to the instrument’s duration. As market interest rates decline, instruments with a positive duration are expected to increase in value, while instruments with a negative duration are expected to decrease in value. Conversely, as interest rates rise, instruments with a positive duration are expected to decline in value, while instruments with a negative duration are expected to increase in value.

The values of instruments having relatively longer (or higher) durations are more sensitive to a given interest rate movement than instruments having shorter durations; that is, risk increases as the absolute value of duration lengthens. For instance, the value of an instrument with a duration of three years will theoretically change by three percent for every one percentage point

72

(100 basis point) change in interest rates, while the value of an instrument with a duration of five years will theoretically change by five percent for every one percentage point change in interest rates.

The duration of individual instruments may be easily combined to determine the duration of a portfolio of assets or liabilities by calculating a weighted average duration of the instruments in the portfolio. These combinations provide a single straightforward metric that describes the portfolio’s sensitivity to interest rate movements. These additive properties can be applied to the assets and liabilities on the Bank’s balance sheet. The difference between the combined durations of the Bank’s assets and the combined durations of its liabilities is sometimes referred to as duration gap and provides a measure of the relative interest rate sensitivities of the Bank’s assets and liabilities.

Duration gap is a useful measure of interest rate sensitivity but does not account for the effect of leverage, or the effect of the absolute duration of the Bank’s assets and liabilities, on the sensitivity of its estimated market value of equity to changes in interest rates. The inclusion of these factors results in a measure of the sensitivity of the value of the Bank’s equity to changes in market interest rates referred to as the duration of equity. Duration of equity is the market value weighted duration of assets minus the market value weighted duration of liabilities divided by the market value of equity.

The significance of an entity’s duration of equity is that it can be used to describe the sensitivity of the entity’s market value of equity to movements in interest rates. A duration of equity equal to zero would mean, within a narrow range of interest rate movements, that the Bank had neutralized the impact of changes in interest rates on the market value of its equity.

A positive duration of equity would mean, within a narrow range of interest rate movements, that for each one year of duration the estimated market value of the Bank’s equity would be expected to decline by about 0.01 percent for every positive 0.01 percent change in the level of interest rates. A positive duration generally indicates that the value of the Bank’s assets is more sensitive to changes in interest rates than the value of its liabilities (i.e., that the duration of its assets is greater than the duration of its liabilities).

Conversely, a negative duration of equity would mean, within a narrow range of interest rate movements, that for each one year of negative duration the estimated market value of the Bank’s equity would be expected to increase by about 0.01 percent for every positive 0.01 percent change in the level of interest rates. A negative duration generally indicates that the value of the Bank’s liabilities is more sensitive to changes in interest rates than the value of its assets (i.e., that the duration of its liabilities is greater than the duration of its assets).

The following table provides information regarding the Bank’s base case duration of equity as well as its duration of equity in up and down 100 and 200 basis point interest rate shock scenarios for each month-end during the period from December 2017 through June2018.

DURATION ANALYSIS

(expressed in years)

	Base Case Interest Rates				Duration of Equity
	Asset Duration	Liability Duration	Duration Gap	Duration of Equity	Up 100(1)	Up 200(1)	Down 100(2)	Down 200(2)
December 2017	0.25	(0.26)	(0.01)	0.01	0.49	0.75	(0.27)	0.71
January 2018	0.29	(0.26)	0.03	0.77	1.04	1.24	0.28	0.73
February 2018	0.27	(0.26)	0.01	0.43	0.75	0.97	(0.02)	0.61
March 2018	0.28	(0.28)	—	0.35	0.90	1.17	(0.35)	0.16
April 2018	0.31	(0.28)	0.03	0.64	1.11	1.38	(0.18)	0.22
May 2018	0.30	(0.29)	0.01	0.38	0.92	1.25	(0.34)	0.19
June 2018	0.28	(0.29)	(0.01)	0.18	0.64	0.93	(0.58)	(0.41)

_____________________________

⁽¹⁾  In the up 100 and up 200 scenarios, the duration of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates.

⁽²⁾  In the down 100 and down 200 scenarios, the duration of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates.

Duration of equity measures the impact of a parallel shift in interest rates on an entity’s market value of equity but may not be a good metric for measuring changes in value related to non-parallel rate shifts. An alternative measure for that purpose uses key rate durations, which measure portfolio sensitivity to changes in interest rates at particular points on a yield curve. Key rate duration is a specialized form of duration. It is calculated by estimating the change in value due to changing the market rate for

73

one specific maturity point on the yield curve while holding all other variables constant. The sum of the key rate durations across an applicable yield curve is approximately equal to the overall portfolio duration.

The duration of equity measure represents the expected percentage change in the Bank’s market value of equity for a one percentage point (100 basis point) parallel change in interest rates. The key rate duration measure represents the expected percentage change in the Bank’s market value of equity for a one percentage point (100 basis point) parallel change in interest rates for a given maturity point on the yield curve, holding all other rates constant. The Bank's key rate duration limit is 5 years, measured as the difference between the maximum and minimum key rate durations calculated for 11 defined individual maturity points on the yield curve. The Bank calculates these metrics monthly and was in compliance with these policy limits at each month-end during the six months ended June 30, 2018.

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

The Bank’s management, under the supervision and with the participation of its Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the effectiveness of the Bank’s disclosure controls and procedures (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)) as of the end of the period covered by this report. Based upon that evaluation, the Bank’s Chief Executive Officer and Chief Financial Officer concluded that, as of the end of the period covered by this report, the Bank’s disclosure controls and procedures were effective in: (1) recording, processing, summarizing and reporting information required to be disclosed by the Bank in the reports that it files or submits under the Exchange Act within the time periods specified in the SEC’s rules and forms and (2) ensuring that information required to be disclosed by the Bank in the reports that it files or submits under the Exchange Act is accumulated and communicated to the Bank’s management, including its Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosures.

Changes in Internal Control Over Financial Reporting

There were no changes in the Bank’s internal control over financial reporting (as such term is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) during the fiscal quarter ended June 30, 2018 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II. OTHER INFORMATION

ITEM 6. EXHIBITS

31.1	Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101	The following materials from the Bank’s quarterly report on Form 10-Q for the quarterly period ended June 30, 2018, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of June 30, 2018 and December 31, 2017; (ii) Statements of Income for the Three and Six Months Ended June 30, 2018 and 2017; (iii) Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2018 and 2017; (iv) Statements of Capital for the Six Months Ended June 30, 2018 and 2017; (v) Statements of Cash Flows for the Six Months Ended June 30, 2018 and 2017; and (vi) Notes to the Financial Statements for the quarter ended June 30, 2018.

74

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.

August 10, 2018	By	/s/ Tom Lewis
Date		Tom Lewis
		Executive Vice President and Chief Financial Officer (Principal Financial and Accounting Officer)

75

EXHIBIT INDEX

31.1	Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101	The following materials from the Bank’s quarterly report on Form 10-Q for the quarterly period ended June 30, 2018, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of June 30, 2018 and December 31, 2017; (ii) Statements of Income for the Three and Six Months Ended June 30, 2018 and 2017; (iii) Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2018 and 2017; (iv) Statements of Capital for the Six Months Ended June 30, 2018 and 2017; (v) Statements of Cash Flows for the Six Months Ended June 30, 2018 and 2017; and (vi) Notes to the Financial Statements for the quarter ended June 30, 2018.

EX-31.1

Exhibit 31.1

CERTIFICATION

I, Sanjay Bhasin, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Dallas;

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 officer 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 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, including its consolidated subsidiaries, is made known to us by others within those entities, 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 officer 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 10, 2018

/s/ Sanjay Bhasin

Sanjay Bhasin

President and Chief Executive Officer 

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Tom Lewis, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Dallas;

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 officer 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 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, including its consolidated subsidiaries, is made known to us by others within those entities, 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 officer 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 10, 2018

/s/ Tom Lewis  

Tom Lewis

Executive Vice President and Chief Financial Officer

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

     In connection with the Quarterly Report on Form 10-Q of the Federal Home Loan Bank of Dallas (the “Bank”) for the period ended June 30, 2018, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), Sanjay Bhasin, as President and Chief Executive Officer of the Bank, and Tom Lewis, as Executive Vice President and Chief Financial Officer of the Bank, each hereby certifies, pursuant to 18 U.S.C. Section 1350, that, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Bank.

/s/ Sanjay Bhasin	/s/ Tom Lewis
Sanjay Bhasin President and Chief Executive Officer	Tom Lewis Executive Vice President and Chief Financial Officer
August 10, 2018	August 10, 2018

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

XML

Document and Entity Information Document - shares	6 Months Ended
	Jun. 30, 2018	Jul. 31, 2018
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Dallas
Entity Central Index Key	0001331757
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Jun. 30, 2018
Document Fiscal Year Focus	2018
Document Fiscal Period Focus	Q2
Amendment Flag	false
Entity Common Stock, Shares Outstanding		26,580,842
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes

XML

Statements of Condition (Unaudited) - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
ASSETS
Cash and due from banks		$ 34,972	$ 87,965
Interest-bearing deposits		245	299
Securities purchased under agreements to resell (Note 11)		4,440,000	6,700,000
Federal funds sold		8,433,000	7,780,000
Trading securities (Note 3)		1,092,258	114,230
Available-for-sale securities (Notes 4,11 and 16) ($787,893 and $747,230 pledged at June 30, 2018 and December 31, 2017, respectively, which could be rehypothecated)		15,069,028	14,402,398
Held-to-maturity securities (a) (Note 5)	[1]	1,772,893	1,944,537
Advances (Notes 6 and 8)		43,589,555	36,460,524
Mortgage loans held for portfolio, net of allowance for credit losses of $278 and $271 at June 30, 2018 and December 31, 2017, respectively (Note 7 and 8)		1,321,815	877,852
Accrued interest receivable		137,073	110,957
Premises and equipment, net		16,856	17,099
Derivative assets (Notes 11 and 12)		5,629	17,225
Other assets (including $13,453 of securities held at fair value at June 30, 2018)		26,553	11,215
TOTAL ASSETS		75,939,877	68,524,301
Deposits
Interest-bearing		968,272	843,690
Non-interest bearing		19	19
Total deposits		968,291	843,709
Consolidated obligations (Note 9)
Discount notes		39,322,407	32,510,758
Bonds		31,141,214	31,376,858
Total consolidated obligations		70,463,621	63,887,616
Mandatorily redeemable capital stock		824	5,941
Accrued interest payable		86,520	69,756
Affordable Housing Program (Note 10)		34,225	31,246
Derivative liabilities (Notes 11 and 12)		50,071	10,960
Other liabilities (Note 4)		424,006	195,047
Total liabilities		72,027,558	65,044,275
Commitments and contingencies (Notes 8 and 16)
Capital stock
Total Class B Capital Stock		2,660,055	2,317,937
Retained earnings
Unrestricted		880,637	832,826
Restricted		127,051	108,937
Total retained earnings		1,007,688	941,763
Accumulated other comprehensive income (Note19)		244,576	220,326
Total capital		3,912,319	3,480,026
TOTAL LIABILITIES AND CAPITAL		75,939,877	68,524,301
Capital Stock - Class B-1 putable ($100 par value) issued and outstanding shares: 9,004,721 and 8,534,625 shares at June 30, 2018 and December 31, 2017, respectively
Capital stock
Total Class B Capital Stock		900,472	853,462
Retained earnings
Total capital		900,472	853,462
Capital Stock - Class B-2 putable ($100 par value) issued and outstanding shares: 17,595,825 and 14,644,748 shares at June 30, 2018 and December 31, 2017, respectively
Capital stock
Total Class B Capital Stock		1,759,583	1,464,475
Retained earnings
Total capital		$ 1,759,583	$ 1,464,475

[1] (a) Fair values: $1,798,911 and $1,971,038 at June 30, 2018 and December 31, 2017, respectively.

XML

Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
ASSETS
Held-to-maturity securities, Fair Value	$ 1,798,911	$ 1,971,038
Loans and Leases Receivable, Allowance		271
Trading Securities Pledged as Collateral	0	0
Available-for-sale Securities Pledged as Collateral	787,893	747,230
Other Assets, Fair Value Disclosure	$ 13,453	$ 0
Capital Stock - Class B-1 - Membership/Excess
CAPITAL (Note 13)
Common Stock, Par or Stated Value Per Share	$ 100	$ 100
Common Stock, Shares, Issued	9,004,721	8,534,625
Common Stock, Shares, Outstanding	9,004,721	8,534,625
Capital Stock Class B-2 - Activity
CAPITAL (Note 13)
Common Stock, Par or Stated Value Per Share	$ 100	$ 100
Common Stock, Shares, Issued	17,595,825	14,644,748
Common Stock, Shares, Outstanding	17,595,825	14,644,748
Conventional Mortgage Loan [Member]
ASSETS
Loans and Leases Receivable, Allowance	$ 278	$ 271

XML

Statements of Income (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
INTEREST INCOME
Advances	$ 198,670	$ 95,724	$ 354,015	$ 171,137
Prepayment fees on advances, net	588	728	2,569	944
Interest-bearing deposits	939	550	1,708	938
Securities purchased under agreements to resell	15,745	1,524	22,924	1,722
Federal funds sold	17,417	17,663	46,405	30,325
Trading securities	2,597	580	3,166	1,148
Available-for-sale securities	104,402	56,543	184,360	105,585
Held-to-maturity securities	11,692	9,393	21,924	17,663
Mortgage loans held for portfolio	10,466	2,526	19,088	3,960
Total interest income	362,516	185,231	656,159	333,422
Consolidated obligations
Bonds	161,726	76,684	289,871	138,347
Discount notes	120,960	44,236	215,496	76,335
Deposits	3,794	2,750	6,579	4,375
Mandatorily redeemable capital stock	6	43	31	51
Other borrowings	18	4	77	54
Total interest expense	286,504	123,717	512,054	219,162
NET INTEREST INCOME	76,012	61,514	144,105	114,260
Provision for loan losses	7	0	7	0
NET INTEREST INCOME AFTER PROVISION FOR LOAN LOSSES	76,005	61,514	144,098	114,260
OTHER INCOME (LOSS)
Net gains (losses) on trading securities	(542)	1,169	(2,890)	2,048
Net gains (losses) on derivatives and hedging activities	(2,347)	802	(524)	5,629
Net gains on other assets carried at fair value	202	0	215	0
Realized gains on sales of held-to-maturity securities	0	1,890	0	1,890
Realized gains on sales of available-for-sale securities	0	1,167	0	1,837
Letter of credit fees	2,265	1,745	4,411	3,393
Other, net	847	1,117	1,487	1,650
Total other income	425	7,890	2,699	16,447
OTHER EXPENSE
Compensation and benefits	11,683	12,485	24,235	26,171
Other operating expenses	8,266	6,274	16,115	11,712
Finance Agency	876	834	1,839	1,720
Office of Finance	838	641	1,768	1,605
Discretionary grants and donations	195	228	1,583	1,212
Derivative clearing fees	311	312	620	614
Total other expense	22,169	20,774	46,160	43,034
INCOME BEFORE ASSESSMENTS	54,261	48,630	100,637	87,673
Affordable Housing Program assessment	5,427	4,867	10,067	8,772
NET INCOME	$ 48,834	$ 43,763	$ 90,570	$ 78,901

XML

Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
NET INCOME	$ 48,834	$ 43,763	$ 90,570	$ 78,901
OTHER COMPREHENSIVE INCOME (LOSS)
Net unrealized gains (losses) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income	(36,262)	2,225	4,137	74,240
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income	0	(1,167)	0	(1,837)
Unrealized gains (losses) on cash flow hedges	4,726	(5,604)	18,566	(5,751)
Reclassification adjustment for (gains) losses on cash flow hedges included in net income	(273)	636	37	1,436
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	780	937	1,553	1,930
Postretirement benefit plan
Amortization of prior service cost included in net periodic benefit credit	5	5	10	10
Amortization of net actuarial gain included in net periodic benefit credit	(27)	(26)	(53)	(52)
Total other comprehensive income (loss)	(31,051)	(2,994)	24,250	69,976
TOTAL COMPREHENSIVE INCOME	$ 17,783	$ 40,769	$ 114,820	$ 148,877

XML

Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018		Jun. 30, 2017
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance			$ 3,480,026		$ 2,817,342
Proceeds from sale of capital stock			1,086,182		669,398
Repurchase/redemption of capital stock			(768,189)		(477,903)
Shares reclassified to mandatorily redeemable capital stock			(386)		(20,166)
Comprehensive income
Net income	$ 48,834	$ 43,763	90,570		78,901
Other comprehensive income	(31,051)	(2,994)	24,250		69,976
Dividends on capital stock
Cash			(133)	[1]	(130)	[2]
Mandatorily redeemable capital stock			(1)	[1]	(113)	[2]
Ending balance	$ 3,912,319	$ 3,137,305	$ 3,912,319		$ 3,137,305
Capital Stock Class B-2 - Activity
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance, shares			14,645		12,397
Beginning balance			$ 1,464,475		$ 1,239,737
Net transfers of shares between Class B-1 and Class B-2 Stock, Value			$ (780,627)		$ (582,809)
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares			(7,806)		(5,828)
Proceeds from sale of capital stock, shares			10,757		6,625
Proceeds from sale of capital stock			$ 1,075,735		$ 662,476
Repurchase/redemption of capital stock, shares			0		0
Repurchase/redemption of capital stock			$ 0		$ 0
Shares reclassified to mandatorily redeemable capital stock, shares			0		(123)
Shares reclassified to mandatorily redeemable capital stock			$ 0		$ (12,267)
Dividends on capital stock
Stock, shares			0		0	[2]
Stock			$ 0		$ 0	[2]
Ending balance, shares	17,596	13,071	17,596		13,071
Ending balance	$ 1,759,583	$ 1,307,137	$ 1,759,583		$ 1,307,137
Capital Stock - Class B-1 - Membership/Excess
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance, shares			8,534		6,904
Beginning balance			$ 853,462		$ 690,411
Net transfers of shares between Class B-1 and Class B-2 Stock, Value			$ 780,627		$ 582,809
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares			7,806		5,828
Proceeds from sale of capital stock, shares			104		69
Proceeds from sale of capital stock			$ 10,447		$ 6,922
Repurchase/redemption of capital stock, shares			(7,682)		(4,779)
Repurchase/redemption of capital stock			$ (768,189)		$ (477,903)
Shares reclassified to mandatorily redeemable capital stock, shares			(3)		(79)
Shares reclassified to mandatorily redeemable capital stock			$ (386)		$ (7,899)
Dividends on capital stock
Stock, shares			245	[1]	131	[2]
Stock			$ 24,511	[1]	$ 13,098	[2]
Ending balance, shares	9,004	8,074	9,004		8,074
Ending balance	$ 900,472	$ 807,438	$ 900,472		$ 807,438
Retained Earnings
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance			941,763		823,984
Comprehensive income
Net income			90,570		78,901
Dividends on capital stock
Cash			(133)	[1]	(130)	[2]
Mandatorily redeemable capital stock			(1)	[1]	(113)	[2]
Stock			(24,511)	[1]	(13,098)	[2]
Ending balance	1,007,688	889,544	1,007,688		889,544
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance			108,937		78,880
Comprehensive income
Net income			18,114		15,780
Dividends on capital stock
Ending balance	127,051	94,660	127,051		94,660
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance			832,826		745,104
Comprehensive income
Net income			72,456		63,121
Dividends on capital stock
Cash			(133)	[1]	(130)	[2]
Mandatorily redeemable capital stock			(1)	[1]	(113)	[2]
Stock			(24,511)	[1]	(13,098)	[2]
Ending balance	880,637	794,884	880,637		794,884
Accumulated Other Comprehensive Income
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance			220,326		63,210
Comprehensive income
Other comprehensive income	(31,051)	(2,994)	24,250		69,976
Dividends on capital stock
Ending balance	$ 244,576	$ 133,186	$ 244,576		$ 133,186

[1] (a) Dividends were paid at annualized rates of 1.33 percent and 2.33 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2018 and annualized rates of 1.65 percent and 2.65 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2018.

[2] (b) Dividends were paid at annualized rates of 0.599 percent and 1.599 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2017 and annualized rates of 0.83 percent and 1.83 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2017.

XML

Statements of Capital (Unaudited) Parenthetical	3 Months Ended
	Jun. 30, 2018	Mar. 31, 2018	Jun. 30, 2017	Mar. 31, 2017
Capital Stock - Class B-1 - Membership/Excess
Capital Unit [Line Items]
Dividends stock annualized percentage	1.65%	1.33%	0.83%	0.599%
Capital Stock Class B-2 - Activity
Capital Unit [Line Items]
Dividends stock annualized percentage	2.65%	2.33%	1.83%	1.599%

XML

Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017
OPERATING ACTIVITIES
Net income	$ 90,570	$ 78,901
Depreciation and amortization
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans	47,963	35,870
Concessions on consolidated obligations	2,692	1,893
Premises, equipment and computer software costs	1,824	1,808
Non-cash interest on mandatorily redeemable capital stock	47	12
Provision for loan losses	7	0
Gains on sales of held-to-maturity securities	0	(1,890)
Gains on sales of available-for-sale securities	0	(1,837)
Net gains on other assets carried at fair value	(215)	0
Net decrease (increase) in trading securities	2,890	(2,217)
Loss due to changes in net fair value adjustment on derivative and hedging activities	260,783	28,122
Increase in accrued interest receivable	(26,279)	(12,266)
Decrease (increase) in other assets	(2,213)	1,662
Increase in Affordable Housing Program (AHP) liability	2,979	4,197
Increase in accrued interest payable	16,747	13,798
Decrease in other liabilities	(5,182)	(3,669)
Total adjustments	302,043	65,483
Net cash provided by operating activities	392,613	144,384
INVESTING ACTIVITIES
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged	(64,922)	42,679
Net decrease (increase) in securities purchased under agreements to resell	2,260,000	(500,000)
Net increase in federal funds sold	(653,000)	(1,661,000)
Decrease in loan to other FHLBank	0	290,000
Purchase of trading securities	(991,320)	0
Purchases of available-for-sale securities	(1,064,115)	(1,437,108)
Proceeds from maturities of available-for-sale securities	181,281	275,616
Proceeds from sales of available-for-sale securities	0	250,262
Proceeds from sales of held-to-maturity securities	0	100,933
Proceeds from maturities of held-to-maturity securities	174,179	302,972
Purchases of held-to-maturity securities	0	(125,000)
Principal collected on advances	405,252,902	293,566,545
Advances made	(412,428,170)	(295,200,240)
Principal collected on mortgage loans held for portfolio	37,668	9,385
Purchases of mortgage loans held for portfolio	(482,238)	(264,430)
Purchases of premises, equipment and computer software	(2,384)	(2,161)
Net cash used in investing activities	(7,780,119)	(4,351,547)
FINANCING ACTIVITIES
Net increase in deposits, including swap collateral held	235,229	30,835
Net receipts (payments) on derivative contracts with financing elements	75,404	(46,475)
Net proceeds from issuance of consolidated obligations
Discount notes	143,693,045	148,237,989
Bonds	8,702,217	11,679,683
Debt issuance costs	(3,008)	(2,184)
Payments for maturing and retiring consolidated obligations
Discount notes	(136,911,184)	(147,170,903)
Bonds	(8,769,500)	(8,697,535)
Proceeds from issuance of capital stock	1,086,182	669,398
Payments for redemption of mandatorily redeemable capital stock	(5,550)	(563)
Payments for repurchase/redemption of capital stock	(768,189)	(477,903)
Cash dividends paid	(133)	(130)
Net cash provided by financing activities	7,334,513	4,222,212
Net increase (decrease) in cash and cash equivalents	(52,993)	15,049
Cash and cash equivalents at beginning of the period	87,965	27,696
Cash and cash equivalents at end of the period	34,972	42,745
Supplemental Disclosures:
Interest paid	460,500	197,709
AHP payments, net	7,088	4,575
Stock dividends issued	24,511	13,098
Dividends paid through issuance of mandatorily redeemable capital stock	1	113
Variation margin recharacterized as settlement payments on derivative contracts (Note 11)	250,468	72,053
Net capital stock reclassified to mandatorily redeemable capital stock	$ 386	$ 20,166

XML

Basis of Presentation

6 Months Ended

Jun. 30, 2018

Basis of Presentation [Abstract]

Basis of Accounting [Text Block]

Basis of Presentation

The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period.

The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2017. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2017 filed with the SEC on March 22, 2018 (the “2017 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2017 10-K.

The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance.

Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

XML

Recently Issued Accounting Guidance

6 Months Ended

Jun. 30, 2018

Recently Issued Accounting Guidance [Abstract]

New Accounting Pronouncements and Changes in Accounting Principles [Text Block]

Recently Issued Accounting Guidance

Revenue from Contracts with Customers. On May 28, 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2014-09 "Revenue from Contracts with Customers" ("ASU 2014-09"), which outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, ASU 2014-09 amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. ASU 2014-09 applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts. The guidance in ASU 2014-09 was effective for fiscal years, and interim periods within those years, beginning after December 15, 2016 (January 1, 2017 for the Bank). Early application was not permitted. On August 12, 2015, the FASB issued ASU 2015-14 "Deferral of Effective Date," which deferred the effective date of ASU 2014-09 by one year. Earlier application was permitted only as of annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. The Bank adopted ASU 2014-09 effective January 1, 2018. The adoption of this guidance did not have a material impact on the Bank's results of operations or financial condition.

Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued ASU 2016-01 "Recognition and Measurement of Financial Assets and Financial Liabilities" ("ASU 2016-01"), which makes targeted improvements to existing U.S. GAAP by: (i) requiring certain equity investments to be measured at fair value with changes in fair value recognized in earnings, (ii) simplifying the impairment assessment of equity investments without readily determinable fair values, (iii) requiring public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes, (iv) requiring separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) on the statement of condition or in the accompanying notes to the financial statements, (v) eliminating the requirement to disclose the fair value of financial instruments measured at amortized cost for organizations that are not public business entities, (vi) eliminating the requirement for public business entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statement of condition, (vii) requiring a reporting organization to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the organization has elected to measure the liability at fair value in accordance with the fair value option for financial instruments, and (viii) clarifying that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity's other deferred tax assets. For public business entities, the guidance in ASU 2016-01 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption was permitted for certain provisions. The Bank adopted ASU 2016-01 effective January 1, 2018. In conjunction with the adoption of ASU 2016-01, the Bank reclassified $12,082,000 of marketable equity securities (which consist solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans) from trading securities to other assets on January 1, 2018. Other than this reclassification, the adoption of ASU 2016-01 did not have any impact on the Bank's results of operations or financial condition.

Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued ASU 2016-15, "Classification of Certain Cash Receipts and Cash Payments" ("ASU 2016-15"), which clarifies the guidance for classifying certain cash receipts and cash payments in the statement of cash flows. The guidance is intended to reduce existing diversity in practice regarding eight specific cash flow presentation issues. For public business entities, the guidance in ASU 2016-15 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. The guidance is to be applied using a retrospective transition method to each period presented. If it is impracticable to apply the amendments retrospectively for some of the issues, the amendments for those issues would be applied as if the change was made prospectively as of the earliest date practicable. The Bank adopted ASU 2016-15 on January 1, 2018. The adoption of this guidance did not have any impact on the Bank's statement of cash flows, nor did it have any impact on the Bank's results of operations or financial condition.

Restricted Cash. On November 17, 2016, the FASB issued ASU 2016-18, "Restricted Cash" ("ASU 2016-18"), which clarifies the guidance for classifying and presenting certain cash transfers, cash receipts and cash payments in the statement of cash flows. The guidance is intended to reduce existing diversity in practice regarding restricted cash and restricted cash equivalents. For public business entities, the guidance in ASU 2016-18 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. The guidance is to be applied using a retrospective transition method to each period presented. The adoption of ASU 2016-18 on January 1, 2018 did not have any impact on the Bank's statement of cash flows, nor did it have any impact on the Bank's results of operations or financial condition.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued ASU 2017-07 "Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost" ("ASU 2017-07"). ASU 2017-07 requires an employer to disaggregate the service cost component from the other components of net periodic pension cost and net periodic postretirement benefit cost (net benefit cost). ASU 2017-07 requires an employer to report the service cost component in the same income statement line item as other compensation costs. The other components of net benefit cost are required to be presented in the income statement separately from the service cost component. Further, ASU 2017-07 allows only the service cost component of net benefit cost to be eligible for capitalization. For public business entities, the guidance in ASU 2017-07 is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted as of the beginning of an annual period for which financial statements (interim or annual) have not been issued or made available for issuance. The amendments in ASU 2017-07 are to be applied retrospectively for the presentation of the service cost component and the other components of net benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net benefit cost in assets. Subsequent to the adoption of ASU 2017-07 on January 1, 2018, the Bank continues to report the service cost component of its net periodic postretirement benefit cost in compensation and benefits expense. On and after January 1, 2018, the Bank reports the other components of net periodic postretirement benefit cost (which in aggregate were credits of $17,000 and $33,000 for the three and six months ended June 30, 2018, respectively) in "other, net" in the other income (loss) section of the statement of income. Because the components of the Bank's net periodic postretirement benefit cost other than the service cost component were insignificant for the six months ended June 30, 2017 (see Note 14), such amounts were not reclassified and are reported in compensation and benefits expense for that period. The adoption of ASU 2017-07 did not have any impact on the Bank's financial condition.

XML

Trading Securities

6 Months Ended

Jun. 30, 2018

Trading Securities [Abstract]

Trading Securities Disclosure [Text Block]

Trading Securities

Trading securities as of June 30, 2018 and December 31, 2017 were as follows (in thousands):

	June 30, 2018		December 31, 2017
U.S. Treasury Notes	$	843,714	$	102,148
U.S. Treasury Bills	248,544		—
Other	—		12,082
Total	$	1,092,258	$	114,230

Other trading securities consisted solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans. As discussed in Note 2, these investments were reclassified to other assets effective January 1, 2018.

XML

Available-for-Sale Securities

6 Months Ended

Jun. 30, 2018

Available-for-sale Securities [Abstract]

Available-for-Sale Securities Disclosure [Text Block]

Available-for-Sale Securities

Major Security Types. Available-for-sale securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	455,813	$	9,675	$	—	$	465,488
GSE obligations	5,613,777		105,313		327		5,718,763
Other	170,988		970		—		171,958
	6,240,578		115,958		327		6,356,209
GSE commercial mortgage-backed securities	8,612,088		112,901		12,170		8,712,819
Total	$	14,852,666	$	228,859	$	12,497	$	15,069,028

Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of June 30, 2018. The aggregate amount due of $392,106,000 is included in other liabilities on the statement of condition at that date.

Available-for-sale securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	470,436	$	8,602	$	—	$	479,038
GSE obligations	5,911,841		90,938		107		6,002,672
Other	173,920		975		—		174,895
	6,556,197		100,515		107		6,656,605
GSE commercial MBS	7,633,976		113,073		1,256		7,745,793
Total	$	14,190,173	$	213,588	$	1,363	$	14,402,398

Included in the table above are GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2017. The aggregate amount due of $157,980,000 is included in other liabilities on the statement of condition at that date.

Other debentures are comprised of securities issued by the Private Export Funding Corporation ("PEFCO"). These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments.

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	2	$	148,109	$	327	—	$	—	$	—	2	$	148,109	$	327
GSE commercial MBS	50	1,514,116		12,141		2	333		29		52	1,514,449		12,170
Total	52	$	1,662,225	$	12,468	2	$	333	$	29	54	$	1,662,558	$	12,497

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2017. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	1	$	50,374	$	107	—	$	—	$	—	1	$	50,374	$	107
GSE commercial MBS	8	163,594		593		16	299,511		663		24	463,105		1,256
Total	9	$	213,968	$	700	16	$	299,511	$	663	25	$	513,479	$	1,363

At June 30, 2018, the gross unrealized losses on the Bank’s available-for-sale securities were $12,497,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by GSEs, or fully secured by collateral that is guaranteed by the U.S government. As of June 30, 2018, the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and Fitch, and are not rated by S&P. Based upon the Bank's assessment of the creditworthiness of the issuer of the GSE debentures that were in an unrealized loss position at June 30, 2018 and the credit ratings assigned by each of the nationally recognized statistical rating organizations (“NRSROs”), the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in the investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE commercial MBS and the credit ratings assigned by each of the NRSROs, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at June 30, 2018.

Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands).

	June 30, 2018				December 31, 2017
Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Debentures
Due in one year or less	$	396,443	$	397,265	$	238,017	$	238,292
Due after one year through five years	2,432,258		2,463,982		2,756,755		2,786,327
Due after five years through ten years	3,277,190		3,356,222		3,341,470		3,407,595
Due after ten years	134,687		138,740		219,955		224,391
	6,240,578		6,356,209		6,556,197		6,656,605
GSE commercial MBS	8,612,088		8,712,819		7,633,976		7,745,793
Total	$	14,852,666	$	15,069,028	$	14,190,173	$	14,402,398

Interest Rate Payment Terms. At June 30, 2018 and December 31, 2017, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate.

Sales of Securities. There were no sales of available-for-sale securities during the six months ended June 30, 2018. During the three and six months ended June 30, 2017, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $79,838,000 and $248,425,000, respectively. Proceeds from the sales totaled $81,005,000 and $250,262,000, respectively, resulting in realized gains of $1,167,000 and $1,837,000, respectively.

XML

Held-to-Maturity Securities

6 Months Ended

Jun. 30, 2018

Held-to-maturity Securities, Unclassified [Abstract]

Held-to-Maturity Securities Disclosure [Text Block]

Held-to-Maturity Securities

Major Security Types. Held-to-maturity securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	8,726	$	—	$	8,726	$	4	$	22	$	8,708
State housing agency obligations	160,000		—		160,000		250		1,088		159,162
	168,726		—		168,726		254		1,110		167,870
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,599		—		1,599		5		—		1,604
GSE residential MBS	1,495,595		—		1,495,595		12,189		650		1,507,134
Non-agency residential MBS	83,757		12,048		71,709		15,758		350		87,117
GSE commercial MBS	35,264		—		35,264		—		78		35,186
	1,616,215		12,048		1,604,167		27,952		1,078		1,631,041
Total	$	1,784,941	$	12,048	$	1,772,893	$	28,206	$	2,188	$	1,798,911

Held-to-maturity securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in  Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	10,774	$	—	$	10,774	$	7	$	20	$	10,761
State housing agency obligations	160,000		—		160,000		537		304		160,233
	170,774		—		170,774		544		324		170,994
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,909		—		1,909		4		—		1,913
GSE residential MBS	1,655,625		—		1,655,625		12,336		1,630		1,666,331
Non-agency residential MBS	94,565		13,601		80,964		16,198		629		96,533
GSE commercial MBS	35,265		—		35,265		2		—		35,267
	1,787,364		13,601		1,773,763		28,540		2,259		1,800,044
Total	$	1,958,138	$	13,601	$	1,944,537	$	29,084	$	2,583	$	1,971,038

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of June 30, 2018. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,458	$	22	—	$	—	$	—	1	$	4,458	$	22
State housing agency obligations	1	33,912		1,088		—	—		—		1	33,912		1,088
Mortgage-backed securities
GSE residential MBS	6	41,382		33		16	292,483		617		22	333,865		650
Non-agency residential MBS	2	2,568		18		12	43,730		1,109		14	46,298		1,127
GSE commercial MBS	1	35,186		78		—	—		—		1	35,186		78
Total	11	$	117,506	$	1,239	28	$	336,213	$	1,726	39	$	453,719	$	2,965

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2017. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,834	$	20	—	$	—	$	—	1	$	4,834	$	20
State housing agency obligations	1	34,696		304		—	—		—		1	34,696		304
Mortgage-backed securities
GSE residential MBS	16	146,146		177		17	415,080		1,453		33	561,226		1,630
Non-agency residential MBS	—	—		—		13	48,403		1,980		13	48,403		1,980
Total	18	$	185,676	$	501	30	$	463,483	$	3,433	48	$	649,159	$	3,934

At June 30, 2018, the gross unrealized losses on the Bank’s held-to-maturity securities were $2,965,000, of which $1,127,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $750,000 were attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs and $1,088,000 were attributable to a security issued by a state housing agency.

As of June 30, 2018, the U.S. government and the issuers of the Bank’s holdings of GSE MBS were rated triple-A by Moody’s and Fitch and AA+ by S&P. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that the U.S. government-guaranteed obligation that was in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank's amortized cost basis in this investment. In addition, based upon the credit ratings assigned by the NRSROs and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE MBS, the Bank expects that its holdings of GSE MBS that were in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Finally, based upon the Bank's assessment of the creditworthiness of the state housing agency and the triple-A credit ratings assigned by the NRSROs, the Bank expects that the state housing agency debenture that was in an unrealized loss position at June 30, 2018 would not be settled at an amount less than the Bank’s amortized cost basis in this investment. Because the current market value deficits associated with these securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at June 30, 2018.

The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency residential MBS (“RMBS”), generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of June 30, 2018 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities.

Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.

To assess whether the entire amortized cost bases of its 23 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of June 30, 2018 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of June 30, 2018 assumed changes in home prices ranging from declines of 8 percent to increases of 13 percent over the 12-month period beginning April 1, 2018. For the vast majority of markets, the changes were projected to range from increases of 2 percent to 7 percent. Thereafter, home price changes for each market were projected to return (at varying rates and over varying transition periods based on historical housing price patterns) to their long-term historical equilibrium levels. Following these transition periods, the constant long-term annual rates of appreciation for the vast majority of markets were projected to range between 2 percent and 5 percent.

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

Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, none of the Bank's non-agency RMBS were deemed to be other-than-temporarily impaired at June 30, 2018.

During the year ended December 31, 2016, one of the Bank's non-agency RMBS was determined to be other-than-temporarily impaired. In addition, 14 of the Bank's non-agency RMBS were determined to be other-than-temporarily impaired in periods prior to 2013.

The following table presents a rollforward for the three and six months ended June 30, 2018 and 2017 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands).

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Balance of credit losses, beginning of period	$	9,203		$	10,245		$	9,443		$	10,515
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(229		)	(284		)	(469		)	(554		)
Balance of credit losses, end of period	8,974			9,961			8,974			9,961
Cumulative principal shortfalls on securities held at end of period	(2,048		)	(1,939		)	(2,048		)	(1,939		)
Cumulative amortization of the time value of credit losses at end of period	690			510			690			510
Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period	$	7,616		$	8,532		$	7,616		$	8,532

For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma on the Bank's non-agency RMBS holdings, see Note 16 - Commitments and Contingencies.

Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	June 30, 2018						December 31, 2017
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	250	$	250	$	250	$	1,425	$	1,425	$	1,427
Due after one year through five years	3,996		3,996		4,000		4,495		4,495		4,500
Due after five years through ten years	4,480		4,480		4,458		4,854		4,854		4,834
Due after ten years	160,000		160,000		159,162		160,000		160,000		160,233
	168,726		168,726		167,870		170,774		170,774		170,994
Mortgage-backed securities	1,616,215		1,604,167		1,631,041		1,787,364		1,773,763		1,800,044
Total	$	1,784,941	$	1,772,893	$	1,798,911	$	1,958,138	$	1,944,537	$	1,971,038

The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $4,285,000 and $4,895,000 at June 30, 2018 and December 31, 2017, respectively.

Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	168,726	$	170,774
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	79		117
Collateralized mortgage obligations
Fixed-rate	177		220
Variable-rate	1,580,695		1,751,762
Variable-rate multi-family MBS	35,264		35,265
	1,616,215		1,787,364
Total	$	1,784,941	$	1,958,138

All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2017 or the six months ended June 30, 2018.

Sales of Securities. There were no sales of held-to-maturity securities during the six months ended June 30, 2018 or the three months ended March 31, 2017. During the three months ended June 30, 2017, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $99,043,000. Proceeds from the sales totaled $100,933,000, resulting in realized gains of $1,890,000. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification.

XML

Advances

6 Months Ended

Jun. 30, 2018

Advances [Abstract]

Federal Home Loan Bank, Advances [Text Block]

Advances

Redemption Terms. At June 30, 2018 and December 31, 2017, the Bank had advances outstanding at interest rates ranging from 0.66 percent to 8.27 percent and 0.54 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—		—	%	$	4,826		1.55	%
Due in one year or less	26,063,894			2.05		23,695,214			1.41
Due after one year through two years	2,435,124			2.25		1,735,507			1.64
Due after two years through three years	1,934,590			2.15		1,634,252			1.87
Due after three years through four years	445,440			2.26		639,113			1.94
Due after four years through five years	863,091			2.28		1,064,930			1.75
Due after five years	10,605,607			2.09		6,318,785			1.49
Amortizing advances	1,296,235			2.67		1,376,084			2.66
Total par value	43,643,981			2.10	%	36,468,711			1.52	%
Premiums	16					23
Deferred net prepayment fees	(9,869		)			(11,271		)
Commitment fees	(112		)			(116		)
Hedging adjustments	(44,461		)			3,177
Total	$	43,589,555				$	36,460,524

The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At June 30, 2018 and December 31, 2017, the Bank had aggregate prepayable and callable advances totaling $10,742,312,000 and $9,684,619,000, respectively.

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	36,543,623		30,795,524
Due after one year through two years	2,165,624		1,335,427
Due after two years through three years	1,211,090		941,452
Due after three years through four years	346,921		490,913
Due after four years through five years	644,141		538,660
Due after five years	1,436,347		985,825
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At June 30, 2018 and December 31, 2017, the Bank had putable advances outstanding totaling $1,260,500,000 and $1,113,500,000, respectively.

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	27,018,894		24,269,214
Due after one year through two years	2,516,124		1,785,507
Due after two years through three years	1,977,090		1,641,752
Due after three years through four years	445,440		639,113
Due after four years through five years	818,091		1,029,930
Due after five years	9,572,107		5,722,285
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Fixed-rate
Due in one year or less	$	25,668,182	$	20,628,666
Due after one year	6,717,184		5,543,774
Total fixed-rate	32,385,366		26,172,440
Variable-rate
Due in one year or less	458,686		3,154,361
Due after one year	10,799,929		7,141,910
Total variable-rate	11,258,615		10,296,271
Total par value	$	43,643,981	$	36,468,711

At June 30, 2018 and December 31, 2017, 17 percent and 19 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate.

Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three months ended June 30, 2018 and 2017, gross advance prepayment fees received from members/borrowers were $117,000 and $574,000, respectively, none of which were deferred. During the six months ended June 30, 2018 and 2017, gross advance prepayment fees received from members/borrowers were $1,759,000 and $866,000, respectively, of which $0 and $219,000, respectively, were deferred.

The Bank also offers advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount payable to the Bank. There were no prepayments of symmetrical prepayment advances during the six months ended June 30, 2018 or the three months ended June 30, 2017. During the three months ended March 31, 2017, symmetrical prepayment advances with an aggregate par value of $11,000,000 were prepaid. The difference by which the par values of these advances exceeded their fair values, less the make-whole amounts, totaled $190,000 and were recorded in prepayment fees on advances, net of the associated hedging adjustments on the advances.

XML

Mortgage Loans Held for Portfolio (Notes)

6 Months Ended

Jun. 30, 2018

Mortgage Loans Held for Portfolio [Abstract]

Mortgage Loans on Real Estate, by Loan Disclosure [Text Block]

Note 7—Mortgage Loans Held for Portfolio

Mortgage loans held for portfolio represent held-for-investment loans acquired through the Mortgage Partnership Finance^® ("MPF"^®) program. The following table presents information as of June 30, 2018 and December 31, 2017 for mortgage loans held for portfolio (in thousands):

	June 30, 2018			December 31, 2017
Fixed-rate medium-term* single-family mortgages	$	8,966		$	9,279
Fixed-rate long-term single-family mortgages	1,280,422			844,078
Premiums	30,394			22,123
Discounts	(846		)	(212		)
Deferred net derivative gains associated with mortgage delivery commitments	3,157			2,855
Total mortgage loans held for portfolio	1,322,093			878,123
Less: allowance for credit losses	(278		)	(271		)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	1,321,815		$	877,852

________________________________________

*Medium-term is defined as an original term of 15 years or less.

The unpaid principal balance of mortgage loans held for portfolio at June 30, 2018 and December 31, 2017 was comprised of government-guaranteed/insured loans totaling $17,352,000 and $19,228,000, respectively, and conventional loans totaling $1,272,036,000 and $834,129,000, respectively.

XML

Allowance for Credit Losses

6 Months Ended

Jun. 30, 2018

Allowance for Credit Losses [Abstract]

Allowance for Credit Losses [Text Block]

Allowance for Credit Losses

An allowance for credit losses is separately established for each of the Bank’s identified portfolio segments, if necessary, to provide for probable losses inherent in its financing receivables portfolio and other off-balance sheet credit exposures as of the balance sheet date. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members”; (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio.

Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments.

During the six months ended June 30, 2018 and 2017, there were no significant purchases or sales of financing receivables, nor were any financing receivables reclassified to held for sale.

As discussed below, the Bank did not provide for any credit losses on its extensions of credit to members during the six months ended June 30, 2018. For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma and the California wildfires that occurred in the latter part of 2017, see Note 16 - Commitments and Contingencies.

Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”), the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank.

On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at June 30, 2018 or December 31, 2017.

The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At June 30, 2018 and December 31, 2017, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At June 30, 2018 and December 31, 2017, the Bank did not have any advances that were past due, on nonaccrual status, or considered impaired. There have been no troubled debt restructurings related to advances.

The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures.

Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the Federal Housing Administration or the Department of Veterans Affairs and were acquired through the MPF program (as more fully described in the Bank’s 2017 10-K) in periods prior to 2004. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans. Government-guaranteed or government-insured loans are not placed on nonaccrual status.

Mortgage Loans — Conventional Mortgage Loans. The Bank’s conventional mortgage loans have also been acquired through the MPF program. The allowance for losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, and prevailing economic conditions. The allowance for losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. Any incurred losses that are expected to be recovered from the credit enhancements are not reserved as part of the Bank’s allowance for loan losses.

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal.

A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for nonaccrual loans noted above.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered.

The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the recorded investment by payment status for mortgage loans at June 30, 2018 and December 31, 2017 (dollars in thousands).

	June 30, 2018									December 31, 2017
	Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Conventional Loans			Government- Guaranteed/ Insured Loans			Total
Mortgage loans:
30-59 days delinquent	$	6,264		$	628		$	6,892		$	6,553		$	983		$	7,536
60-89 days delinquent	895			119			1,014			1,541			148			1,689
90 days or more delinquent	360			109			469			689			98			787
Total past due	7,519			856			8,375			8,783			1,229			10,012
Total current loans	1,302,670			16,679			1,319,349			853,653			18,203			871,856
Total mortgage loans	$	1,310,189		$	17,535		$	1,327,724		$	862,436		$	19,432		$	881,868
Other delinquency statistics:
In process of foreclosure (1)	$	149		$	17		$	166		$	212		$	—		$	212
Serious delinquency rate (2)	—		%	0.6		%	0.1		%	0.1		%	0.5		%	0.1		%
Past due 90 days or more and still accruing interest (3)	$	—		$	109		$	109		$	—		$	98		$	98
Nonaccrual loans	$	360		$	—		$	360		$	689		$	—		$	689
Troubled debt restructurings	$	—		$	—		$	—		$	—		$	—		$	—

_____________________________

⁽¹⁾  Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

⁽²⁾  Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio.

⁽³⁾  Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.

At June 30, 2018 and December 31, 2017, the Bank’s other assets included $76,000 and $49,000, respectively, of real estate owned.

Mortgage loans are considered impaired when, based upon current information and events, it is probable that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Each nonaccrual mortgage loan and each troubled debt restructuring is specifically reviewed for impairment. At June 30, 2018 and December 31, 2017, the Bank did not have any troubled debt restructurings related to mortgage loans. At these dates, the estimated value of the collateral securing each nonaccrual loan, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the outstanding loan amount. Therefore, no specific reserve was established for any of the nonaccrual mortgage loans. The remaining conventional mortgage loans were evaluated for impairment on a pool basis. Based upon the current and past performance of these loans and current economic conditions, the Bank determined that an allowance for loan losses of $278,000 was adequate to reserve for credit losses in its conventional mortgage loan portfolio at June 30, 2018. The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and six months ended June 30, 2018 and 2017 (in thousands):

	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2018		2017		2018		2017
Balance, beginning of period	$	271	$	141	$	271	$	141
Provision for credit losses	7		—		7		—
Balance, end of period	$	278	$	141	$	278	$	141

The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018		December 31, 2017
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment	$	278	$	271
Recorded investment
Individually evaluated for impairment	$	360	$	689
Collectively evaluated for impairment	1,309,829		861,747
	$	1,310,189	$	862,436

XML

Consolidated Obligations

6 Months Ended

Jun. 30, 2018

Debt Disclosure [Abstract]

Debt Disclosure [Text Block]

Consolidated Obligations

Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 16.

The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.060 trillion and $1.034 trillion at June 30, 2018 and December 31, 2017, respectively. The Bank was the primary obligor on $70.9 billion and $64.1 billion (at par value), respectively, of these consolidated obligations.

Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at June 30, 2018 and December 31, 2017 (in thousands, at par value).

	June 30, 2018		December 31, 2017
Variable-rate	$	13,959,850	$	15,295,000
Fixed-rate	13,500,620		12,680,675
Step-up	3,777,500		3,379,500
Step-down	225,000		175,000
Total par value	$	31,462,970	$	31,530,175

At June 30, 2018 and December 31, 2017, 90 percent and 89 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate.

Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by contractual maturity (dollars in thousands):

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in one year or less	$	16,615,550		1.85	%	$	17,981,240		1.36	%
Due after one year through two years	3,882,630			1.71		3,858,175			1.32
Due after two years through three years	3,533,275			1.88		2,389,140			1.65
Due after three years through four years	2,009,195			1.81		2,585,200			1.60
Due after four years through five years	2,693,190			2.28		1,920,285			1.86
Due after five years	2,729,130			2.35		2,796,135			2.26
Total par value	31,462,970			1.91	%	31,530,175			1.51	%
Premiums	4,012					6,194
Discounts	(1,406		)			(1,655		)
Debt issuance costs	(2,554		)			(2,238		)
Hedging adjustments	(321,808		)			(155,618		)
Total	$	31,141,214				$	31,376,858

At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	June 30, 2018		December 31, 2017
Non-callable bonds	$	24,121,970	$	25,228,675
Callable bonds	7,341,000		6,301,500
Total par value	$	31,462,970	$	31,530,175

The following table summarizes the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Due in one year or less	$	23,717,550	$	23,978,740
Due after one year through two years	3,111,630		3,637,175
Due after two years through three years	2,199,775		1,614,140
Due after three years through four years	979,195		1,208,200
Due after four years through five years	1,298,190		855,285
Due after five years	156,630		236,635
Total par value	$	31,462,970	$	31,530,175

Discount Notes. At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied Interest Rate
June 30, 2018	$	39,322,407	$	39,447,276	1.81	%
December 31, 2017	$	32,510,758	$	32,574,035	1.17	%

XML

Affordable Housing Program ("AHP")

6 Months Ended

Jun. 30, 2018

Affordable Housing Program (“AHP”) [Abstract]

Affordable Housing Program [Text Block]

Affordable Housing Program (“AHP”)

The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2018 and 2017 (in thousands):

	Six Months Ended June 30,
	2018			2017
Balance, beginning of period	$	31,246		$	22,871
AHP assessment	10,067			8,772
Grants funded, net of recaptured amounts	(7,088		)	(4,575		)
Balance, end of period	$	34,225		$	27,068

XML

Assets and Liabilities Subject to Offsetting

6 Months Ended

Jun. 30, 2018

Assets and Liabilities Subject to Offsetting [Abstract]

Assets and Liabilities Subject to Offsetting [Text Block]

Assets and Liabilities Subject to Offsetting

The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of June 30, 2018 or December 31, 2017.

The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $100,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions.

For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Effective January 3, 2017, one of the Bank's two clearinghouse counterparties made certain amendments to its rulebook that changed the legal characterization of variation margin payments on cleared derivatives to settlements on the contracts. Effective January 16, 2018, the Bank's other clearinghouse counterparty made similar amendments to its rulebook. Prior to the dates upon which these amendments became effective, the variation margin payments were in each case characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. Initial and variation margin (regardless of whether it is characterized as collateral or settlements) is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received on daily settled contracts) and any cash collateral pledged or received.

The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2018 and December 31, 2017 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Condition			Net Amounts Presented in the Statement of Condition		Collateral Not Offset in the Statement of Condition (1)				Net Unsecured Amount
June 30, 2018
Assets
Derivatives
Bilateral derivatives	$	28,657	$	(24,955	)	$	3,702	$	(3,111	)	(2)	$	591
Cleared derivatives	9,427		(7,500		)	1,927		—				1,927
Total derivatives	38,084		(32,455		)	5,629		(3,111		)		2,518
Securities purchased under agreements to resell	4,440,000		—			4,440,000		(4,440,000		)		—
Total assets	$	4,478,084	$	(32,455	)	$	4,445,629	$	(4,443,111	)		$	2,518
Liabilities
Derivatives
Bilateral derivatives	$	276,203	$	(227,454	)	$	48,749	$	—			$	48,749
Cleared derivatives	8,737		(7,415		)	1,322		(1,322		)	(3)	—
Total liabilities	$	284,940	$	(234,869	)	$	50,071	$	(1,322	)		$	48,749
December 31, 2017
Assets
Derivatives
Bilateral derivatives	$	15,120	$	(8,176	)	$	6,944	$	(6,422	)	(2)	$	522
Cleared derivatives	225,852		(215,571		)	10,281		—				10,281
Total derivatives	240,972		(223,747		)	17,225		(6,422		)		10,803
Securities purchased under agreements to resell	6,700,000		—			6,700,000		(6,700,000		)		—
Total assets	$	6,940,972	$	(223,747	)	$	6,717,225	$	(6,706,422	)		$	10,803
Liabilities
Derivatives
Bilateral derivatives	$	155,703	$	(145,537	)	$	10,166	$	—			$	10,166
Cleared derivatives	76,734		(75,940		)	794		(794		)	(4)	—
Total liabilities	$	232,437	$	(221,477	)	$	10,960	$	(794	)		$	10,166

_____________________________

⁽¹⁾  Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

⁽²⁾  Consists of collateral pledged by member counterparties.

⁽³⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $786,571,000 at June 30, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

⁽⁴⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $746,436,000 at December 31, 2017 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

XML

Derivatives and Hedging Activities

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities Disclosure [Text Block]

Derivatives and Hedging Activities

Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption, cap and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives and, as of June 30, 2018, it was not a party to any forward rate agreements.

The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs.

The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit.

At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

 Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps.

A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank has entered into interest rate cap agreements. These derivatives are treated as economic hedges.

All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency commercial MBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges.

A significant portion of the Bank's trading securities are fixed-rate U.S. Treasury Notes that were acquired with short remaining terms to maturity. To convert these fixed-rate investment securities to a short-term floating rate, the Bank entered into fixed-for-floating interest rate exchange agreements that are indexed to the overnight index swap ("OIS") rate. These derivatives are treated as economic hedges.

The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges.

Advances — The Bank issues both fixed-rate and variable-rate advances. When appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates.

A small portion of the Bank’s variable-rate advances are subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank generally enters into interest rate cap agreements. This type of hedge is treated as a fair value hedge.

The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance.

The Bank enters into optional advance commitments with its members. In an optional advance commitment, the Bank sells an option to the member that provides the member with the right to increase the amount of an existing advance at a specified fixed rate and term on a specified future date, provided the member has satisfied all of the customary requirements for such advance. This embedded option is clearly and closely related to the host contract. The Bank may hedge an optional advance commitment through the use of an interest rate swaption. In this case, the swaption will function as the hedging instrument for both the commitment and, if the option is exercised by the member, the subsequent advance. These swaptions are treated as fair value hedges.

Consolidated Obligations— While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances.

To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets, typically one-month or three-month LIBOR. These transactions are treated as fair value hedges. On occasion, the Bank may enter into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are treated as economic hedges. The Bank may also use interest rate exchange agreements to convert variable-rate consolidated obligation bonds from one index rate (e.g., the daily effective federal funds rate) to another index rate (e.g., one-month or three-month LIBOR). These transactions are treated as economic hedges.

The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars.

Forecasted Issuances of Consolidated Obligations— The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges.

Balance Sheet Management — From time to time, the Bank may enter into interest rate basis swaps to reduce its exposure to changing spreads between one-month and three-month LIBOR. In addition, to reduce its exposure to reset risk, the Bank may occasionally enter into forward rate agreements. These derivatives are treated as economic hedges.

Intermediation — The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges.

Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges.

Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. Any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Net interest income/expense associated with derivatives that qualify for fair value hedge accounting under ASC 815 is recorded as a component of net interest income.

If fair value hedging relationships meet certain criteria specified in ASC 815, they are eligible for hedge accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances.

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represents the amount by which the change in the fair value of the derivative differs from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) is recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings.

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method.

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

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018								December 31, 2017
	Notional Amount of Derivatives		Estimated Fair Value						Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets			Derivative Liabilities					Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps
Advances	$	5,379,984	$	8,686		$	16,734		$	5,055,945	$	27,829		$	29,110
Available-for-sale securities	15,397,142		18,871			25,065			14,282,321		177,066			107,822
Consolidated obligation bonds	15,640,680		3,054			200,759			14,374,040		1,510			85,669
Consolidated obligation discount notes	653,000		159			26			505,000		18,512			33
Interest rate swaptions related to advances	—		—			—			2,000		44			—
Total derivatives designated as hedging    instruments under ASC 815	37,070,806		30,770			242,584			34,219,306		224,961			222,634
Derivatives not designated as hedging    instruments under ASC 815
Interest rate swaps
Advances	7,500		—			—			7,500		11			—
Available-for-sale securities	2,992		—			3			2,993		2			2
Mortgage loans held for portfolio	130,600		126			54			—		—			—
Consolidated obligation bonds	50,000		170			—			—		—			—
Trading securities	750,000		—			13			—		—			—
Intermediary transactions	2,319,058		3,400			39,894			2,338,039		15,573			9,630
Other	425,000		649			—			325,000		219			—
Interest rate swaptions related to mortgage loans held for portfolio	40,000		442			—			—		—			—
Mortgage delivery commitments	37,049		122			—			20,304		31			—
Interest rate caps and floors
Held-to-maturity securities	1,200,000		13			—			1,200,000		4			—
Intermediary transactions	541,000		2,392			2,392			80,000		171			171
Total derivatives not designated as     hedging instruments under ASC 815	5,503,199		7,314			42,356			3,973,836		16,011			9,803
Total derivatives before collateral and netting adjustments	$	42,574,005	38,084			284,940			$	38,193,142	240,972			232,437
Cash collateral and related accrued interest			—			(202,514		)			(139,838		)	(137,362		)
Cash received or remitted in excess of variation margin requirements			(100		)	—					—			(206		)
Netting adjustments			(32,355		)	(32,355		)			(83,909		)	(83,909		)
Total collateral and netting adjustments(1)			(32,455		)	(234,869		)			(223,747		)	(221,477		)
Net derivative balances reported in statements of condition			$	5,629		$	50,071				$	17,225		$	10,960

_____________________________

⁽¹⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the statements of income for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Gain (Loss) Recognized in Earnings for the						Gain (Loss) Recognized in Earnings for the
	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Derivatives and hedged items in ASC 815 fair value hedging relationships
Interest rate swaps	$	2,795		$	(5,505	)	$	14,675		$	(4,403	)
Interest rate swaptions	(69		)	(14		)	(44		)	(36		)
Total net gain (loss) related to fair value hedge ineffectiveness	2,726			(5,519		)	14,631			(4,439		)
Derivatives not designated as hedging instruments under ASC 815
Interest rate swaps	(2,748		)	4,517			(11,776		)	7,617
Net interest income (expense) on interest rate swaps	(298		)	473			(123		)	921
Interest rate swaptions	(125		)	—			(125		)	—
Interest rate caps	112			(73		)	123			(234		)
Mortgage delivery commitments	449			1,222			500			1,463
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815	(2,610		)	6,139			(11,401		)	9,767
Price alignment amount on variation margin for daily settled derivative contracts	(2,463		)	182			(3,754		)	301
Net gains (losses) on derivatives and hedging activities reported in the statements of income	$	(2,347	)	$	802		$	(524	)	$	5,629

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in ASC 815 fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2018 and 2017 (in thousands).

Hedged Item	Gain (Loss) on Derivatives			Gain (Loss) on Hedged Items			Net Fair Value Hedge Ineffectiveness (1)			Derivative Net Interest Income  (Expense)(2)
Three Months Ended June 30, 2018
Advances	$	11,379		$	(11,302	)	$	77		$	4,130
Available-for-sale securities	115,854			(109,663		)	6,191			6,955
Consolidated obligation bonds	(31,217		)	27,675			(3,542		)	(13,256		)
Total	$	96,016		$	(93,290	)	$	2,726		$	(2,171	)
Three Months Ended June 30, 2017
Advances	$	(5,677	)	$	5,763		$	86		$	(8,887	)
Available-for-sale securities	(115,083		)	109,506			(5,577		)	(27,727		)
Consolidated obligation bonds	52,850			(52,878		)	(28		)	11,490
Total	$	(67,910	)	$	62,391		$	(5,519	)	$	(25,124	)
Six Months Ended June 30, 2018
Advances	$	47,646		$	(47,451	)	$	195		$	2,432
Available-for-sale securities	452,341			(432,302		)	20,039			(4,727		)
Consolidated obligation bonds	(171,768		)	166,165			(5,603		)	(11,491		)
Total	$	328,219		$	(313,588	)	$	14,631		$	(13,786	)
Six Months Ended June 30, 2017
Advances	$	8,046		$	(7,874	)	$	172		$	(19,786	)
Available-for-sale securities	(84,331		)	78,042			(6,289		)	(58,405		)
Consolidated obligation bonds	45,391			(43,713		)	1,678			23,107
Total	$	(30,894	)	$	26,455		$	(4,439	)	$	(55,084	)

_____________________________

⁽¹⁾  Reported as net gains (losses) on derivatives and hedging activities in the statements of income.

⁽²⁾  The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item.

The following table presents, by type of hedged item, the gains (losses) on derivatives in ASC 815 cash flow hedging relationships that were recognized in other comprehensive income and the gains (losses) reclassified from AOCI into earnings for the three and six months ended June 30, 2018 and 2017 (in thousands).

Derivatives in Cash Flow Hedging Relationships	Three Months Ended					Six Months Ended
	June 30,					June 30,
	2018		2017			2018			2017
Interest rate swaps related to anticipated issuances of consolidated obligation discount notes
Amount of gains (losses) recognized in other comprehensive income on derivatives (effective portion)	$	4,726	$	(5,604	)	$	18,566		$	(5,751	)
Amount of gains (losses) reclassified from AOCI into interest expense (effective portion) (1)	273		(636		)	(37		)	(1,436		)
Amount of losses recognized in net gains (losses) on derivatives and hedging activities (ineffective portion)	—		—			—			—

_____________________________

⁽¹⁾  Represents net interest income (expense) associated with the derivatives.

For the three and six months ended June 30, 2018 and 2017, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At June 30, 2018, $3,446,000 of deferred net gains on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At June 30, 2018, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 10 years.

Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. The majority of the Bank's derivative contracts have been cleared through third-party central clearinghouses (as of June 30, 2018, the notional balance of cleared transactions outstanding totaled $28.6 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of June 30, 2018, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $12.5 billion and $1.4 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations.

The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 11. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.

XML

Capital

6 Months Ended

Jun. 30, 2018

Capital [Abstract]

Stockholders' Equity Note Disclosure [Text Block]

Capital

At all times during the six months ended June 30, 2018, the Bank was in compliance with all applicable statutory and regulatory capital requirements. The following table summarizes the Bank’s compliance with those capital requirements as of June 30, 2018 and December 31, 2017 (dollars in thousands):

	June 30, 2018						December 31, 2017
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	994,357		$	3,668,567		$	831,553		$	3,265,641
Total capital	$	3,037,595		$	3,668,567		$	2,740,972		$	3,265,641
Total capital-to-assets ratio	4.00		%	4.83		%	4.00		%	4.77		%
Leverage capital	$	3,796,994		$	5,502,851		$	3,426,215		$	4,898,462
Leverage capital-to-assets ratio	5.00		%	7.25		%	5.00		%	7.15		%

Members are required to maintain an investment in Class B Capital Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of December 31, 2017, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is currently 4.1 percent of outstanding advances, except as described below.

On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015.

The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during the six months ended June 30, 2018, surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 27, 2018 and June 26, 2018, a member shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt-out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 27, 2018 and June 26, 2018, the Bank repurchased surplus stock totaling $233,659,000 and $99,285,000, respectively, none of which was classified as mandatorily redeemable capital stock at those dates. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases.

On March 27, 2018 and June 26, 2018, the Bank also repurchased all excess stock held by non-member shareholders as of those dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $5,363,000 and $22,000, respectively.

XML

Employee Retirement Plans

6 Months Ended

Jun. 30, 2018

Employee Retirement Plans [Abstract]

Pension and Other Postretirement Benefits Disclosure [Text Block]

Employee Retirement Plans

The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and six months ended June 30, 2018 and 2017 were as follows (in thousands):

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Service cost	$	5		$	6		$	10		$	12
Interest cost	5			5			10			10
Amortization of prior service cost	5			5			10			10
Amortization of net actuarial gain	(27		)	(26		)	(53		)	(52		)
Net periodic benefit credit	$	(12	)	$	(10	)	$	(23	)	$	(20	)

The components of net periodic benefit credit are reported in the income statement as described in Note 2.

XML

Estimated Fair Values

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Estimated Fair Values

Fair value is defined under U.S. GAAP 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. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable 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 (e.g., implied spreads).

Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs.

For financial instruments carried at fair value, the Bank reviews the 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. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. For the six months ended June 30, 2018 and 2017, the Bank did not reclassify any fair value measurements.

The following estimated fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of June 30, 2018 and December 31, 2017. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities.

The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below.

Trading and available-for-sale securities. To value its U.S. Treasury Notes and Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available.

The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. 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. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security.

If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

As of June 30, 2018 and December 31, 2017, three vendor prices were received for substantially all of the Bank’s trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods 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, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy.

Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps and floors are also estimated using a pricing model with inputs that are observable in the market (that is, cap/floor volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve).

As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 11), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability.

The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS.

Other assets held at fair value. To value its mutual fund investments included in other assets as of June 30, 2018 and trading securities as of December 31, 2017, the Bank obtained quoted prices for the mutual funds.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2018 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	34,972	$	34,972	$	34,972	$	—		$	—		$	—
Interest-bearing deposits	245		245		—		245			—			—
Securities purchased under agreements to resell	4,440,000		4,440,000		—		4,440,000			—			—
Federal funds sold	8,433,000		8,433,000		—		8,433,000			—			—
Trading securities (1)	1,092,258		1,092,258		—		1,092,258			—			—
Available-for-sale securities (1)	15,069,028		15,069,028		—		15,069,028			—			—
Held-to-maturity securities	1,772,893		1,798,911		—		1,711,794		(2)	87,117		(3)	—
Advances	43,589,555		43,568,467		—		43,568,467			—			—
Mortgage loans held for portfolio, net	1,321,815		1,301,918		—		1,301,918			—			—
Accrued interest receivable	137,073		137,073		—		137,073			—			—
Derivative assets (1)	5,629		5,629		—		38,084			—			(32,455		)
Other assets held at fair value (1)	13,453		13,453		13,453		—			—			—
Liabilities:
Deposits	968,291		968,270		—		968,270			—			—
Consolidated obligations
Discount notes	39,322,407		39,313,300		—		39,313,300			—			—
Bonds	31,141,214		31,077,276		—		31,077,276			—			—
Mandatorily redeemable capital stock	824		824		824		—			—			—
Accrued interest payable	86,520		86,520		—		86,520			—			—
Derivative liabilities (1)	50,071		50,071		—		284,940			—			(234,869		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2017 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	87,965	$	87,965	$	87,965	$	—		$	—		$	—
Interest-bearing deposits	299		299		—		299			—			—
Securities purchased under agreements to resell	6,700,000		6,700,000		—		6,700,000			—			—
Federal funds sold	7,780,000		7,780,000		—		7,780,000			—			—
Trading securities (1)	114,230		114,230		12,082		102,148			—			—
Available-for-sale securities (1)	14,402,398		14,402,398		—		14,402,398			—			—
Held-to-maturity securities	1,944,537		1,971,038		—		1,874,505		(2)	96,533		(3)	—
Advances	36,460,524		36,459,439		—		36,459,439			—			—
Mortgage loans held for portfolio, net	877,852		879,464		—		879,464			—			—
Accrued interest receivable	110,957		110,957		—		110,957			—			—
Derivative assets (1)	17,225		17,225		—		240,972			—			(223,747		)
Liabilities:
Deposits	843,709		843,680		—		843,680			—			—
Consolidated obligations
Discount notes	32,510,758		32,501,773		—		32,501,773			—			—
Bonds	31,376,858		31,333,534		—		31,333,534			—			—
Mandatorily redeemable capital stock	5,941		5,941		5,941		—			—			—
Accrued interest payable	69,756		69,756		—		69,756			—			—
Derivative liabilities (1)	10,960		10,960		—		232,437			—			(221,477		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

XML

Commitments and Contingencies

6 Months Ended

Jun. 30, 2018

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies Disclosure [Text Block]

Commitments and Contingencies

Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At June 30, 2018, the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $989 billion. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor 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 that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote.

Impact of Hurricanes Harvey and Irma. During the three months ended September 30, 2017, two significant hurricanes struck the continental United States. On August 25, 2017, Hurricane Harvey made landfall near Rockport, Texas, causing substantial flooding and other damage in southeast Texas, including the Houston metropolitan area, and lesser damage in Louisiana. Then, on September 10, 2017, Hurricane Irma made landfall near Marco Island, Florida, causing significant damage in Florida and lesser damage in other southeastern states.

These storms had varying degrees of impact on the Bank’s members, its members’ borrowers and the properties pledged as collateral for those borrowings, and MPF mortgage loan borrowers and the properties pledged as collateral for those mortgage loans.

At the time the storms struck, the Bank held interests totaling approximately $58 million (unpaid principal balance or “UPB”) in conventional mortgage loans acquired through the MPF Program and held for portfolio that were collateralized by properties located in the areas that were ultimately designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government (approximately $14 million UPB was collateralized by properties located in Hurricane Harvey disaster areas and approximately $44 million UPB was collateralized by properties located in Hurricane Irma disaster areas). As a percentage of balances as of June 30, 2018, the aggregate UPB represents approximately 4.4 percent of the Bank’s mortgage loans held for portfolio, less than 0.1 percent of the Bank’s total assets and approximately 5.8 percent of the Bank’s retained earnings. Under the terms of the MPF Program, all mortgagors are required to carry hazard insurance and, if the property is located in a federal government-designated flood zone, they must also carry flood insurance. Federal assistance may also be available to mortgagors affected by the storms. In addition, mortgage loans with a loan-to-value ratio greater than 80 percent are required to have private mortgage insurance (“PMI”). Members selling mortgage loans to the Bank under the MPF Program are also required to retain a portion of the credit risk associated with those loans (“MPF credit enhancements”). Based on its assessment, the Bank believes the protections that are in place including, but not limited to, borrowers’ equity, PMI, hazard insurance and, if applicable, flood insurance, along with MPF credit enhancements, will limit any potential losses to an amount that will not have a material effect on the Bank’s financial condition or results of operations. As of June 30, 2018, none of these loans were 60 days or more delinquent and $1.1 million UPB of these loans were 30-59 days delinquent. In addition, only four of these loans with an aggregate UPB of $0.2 million were in forbearance.

The Bank also owns several non-agency RMBS that are collateralized in part by loans on properties that are located in Florida and, to a lesser extent, Texas (the states most affected by Hurricanes Irma and Harvey, respectively). Credit support for the senior tranches of these securities held by the Bank is provided by subordinated tranches that absorb losses before the senior tranches held by the Bank would be affected. The amount of loans in Florida and Texas generally represent a small portion of the underlying loan pools and, therefore, the Bank does not currently anticipate any material losses in its non-agency RMBS portfolio related to Hurricanes Irma or Harvey.

Based on currently available information, the Bank has not recorded any reserves related to Hurricanes Harvey or Irma. The Bank is continuing to monitor the impact of the hurricanes on its mortgage loans held for portfolio and non-agency RMBS investments. If information becomes available indicating that any of these assets has been impaired and the amount of the loss can be reasonably estimated, the Bank will record appropriate reserves at that time.

The Bank has also evaluated the potential for losses resulting from Hurricanes Harvey and Irma on its advances and letters of credit. Based on its assessment, the Bank does not expect to incur any losses on advances or letters of credit.

Impact of California Wildfires. In October and December, 2017, several significant wildfires destroyed thousands of homes and businesses in Northern and Southern California, respectively. The Bank’s primary exposure to the destruction caused by these wildfires relates to its mortgage loans held for portfolio. At the time the fires occurred, the Bank held interests totaling approximately $83 million UPB in conventional mortgage loans acquired through the MPF Program that were collateralized by properties located in the areas that were ultimately designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government. As of June 30, 2018, this balance represents approximately 6.3 percent of the Bank’s mortgage loans held for portfolio, approximately 0.1 percent of the Bank’s total assets and approximately 8.2 percent of the Bank’s retained earnings. As noted in the discussion regarding Hurricanes Harvey and Irma, all mortgagors are required under the terms of the MPF Program to carry hazard insurance. For this reason and the other reasons set forth in that discussion, the Bank does not currently anticipate any material losses as a result of the California wildfires. As of June 30, 2018, none of these loans were 60 days or more delinquent and $28,000 UPB of these loans were 30-59 days delinquent. In addition, only two of these loans with an aggregate UPB of $0.8 million were in forbearance.

Other commitments and contingencies. At June 30, 2018 and December 31, 2017, the Bank had commitments to make additional advances totaling approximately $23,922,000 and $20,200,000, respectively. In addition, outstanding standby letters of credit totaled $16,635,515,000 and $16,215,472,000 at June 30, 2018 and December 31, 2017, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 8).

In late 2017 and June 2018, the Bank entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At June 30, 2018 and December 31, 2017, the Bank had outstanding standby bond purchase agreements totaling $455,685,000 and $207,663,000, respectively. At June 30, 2018, standby bond purchase agreements totaling $202,192,000 and $253,493,000 expire in 2022 and 2023, respectively. The Bank was not required to purchase any bonds under these agreements during the six months ended June 30, 2018 or the year ended December 31, 2017.

At June 30, 2018 and December 31, 2017, the Bank had commitments to purchase conventional mortgage loans totaling $37,049,000 and $20,304,000, respectively, from certain of its members that participate in the MPF program.

At June 30, 2018 and December 31, 2017, the Bank had commitments to issue $40,000,000 and $55,000,000, respectively, of consolidated obligation bonds, of which $18,000,000 and $55,000,000, respectively, were hedged with interest rate swaps. In addition, at June 30, 2018, the Bank had commitments to issue $174,935,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank did not have any commitments to issue consolidated obligation discount notes at December 31, 2017.

The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of June 30, 2018 and December 31, 2017, the Bank had pledged cash collateral of $202,177,000 and $137,201,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of June 30, 2018 and December 31, 2017, the Bank had pledged securities with carrying values (and fair values) of $787,893,000 and $747,230,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition.

In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings.

XML

Transactions with Shareholders

6 Months Ended

Jun. 30, 2018

Transactions with Shareholders [Abstract]

Transactions With Stockholders [Text Block]

Transactions with Shareholders

Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank.

XML

Transactions with Other FHLBanks

6 Months Ended

Jun. 30, 2018

Transactions with Other FHLBanks [Abstract]

Transactions with Other FHLBanks [Text Block]

Transactions with Other FHLBanks

Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. The Bank did not loan any short-term federal funds to other FHLBanks during the six months ended June 30, 2018. During the six months ended June 30, 2017, interest income from loans to other FHLBanks totaled $13,425. The following table summarizes the Bank’s loans to other FHLBanks during the six months ended June 30, 2017 (in thousands).

	Six Months Ended June 30, 2017
Balance at January 1, 2017	$	290,000
Loans made to:
FHLBank of Boston	225,000
Collections from:
FHLBank of San Francisco	(290,000		)
FHLBank of Boston	(225,000		)
Balance at June 30, 2017	$	—

During the six months ended June 30, 2018 and 2017, interest expense on borrowings from other FHLBanks totaled $74,639 and $486, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2018 and 2017 (in thousands).

	Six Months Ended June 30,
	2018			2017
Balance at January 1,	$	—		$	—
Borrowings from:
FHLBank of San Francisco	45,000			—
FHLBank of Indianapolis	600,000			10,000
FHLBank of Topeka	—			10,000
FHLBank of Boston	175,000			—
FHLBank of Cincinnati	500,000			—
FHLBank of Des Moines	500,000			—
Repayments to:
FHLBank of San Francisco	(45,000		)	—
FHLBank of Indianapolis	(600,000		)	(10,000		)
FHLBank of Topeka	—			(10,000		)
FHLBank of Boston	(175,000		)	—
FHLBank of Cincinnati	(500,000		)	—
FHLBank of Des Moines	(500,000		)	—
Balance at June 30,	$	—		$	—

XML

Accumulated Other Comprehensive Income (Loss)

6 Months Ended

Jun. 30, 2018

Accumulated Other Comprehensive Income (Loss) [Abstract]

Comprehensive Income (Loss) Note [Text Block]

Accumulated Other Comprehensive Income (Loss)

The following table presents the changes in the components of AOCI for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses)  on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Three Months Ended June 30, 2018
Balance at April 1, 2018	$	252,624		$	34,335		$	(12,828	)	$	1,496		$	275,627
Reclassifications from AOCI to net income
Gains on cash flow hedges included in interest expense	—			(273		)	—			—			(273		)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(22		)	(22		)
Other amounts of other comprehensive income (loss)
Net unrealized losses on available-for-sale securities	(36,262		)	—			—			—			(36,262		)
Unrealized gains on cash flow hedges	—			4,726			—			—			4,726
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			780			—			780
Total other comprehensive income (loss)	(36,262		)	4,453			780			(22		)	(31,051		)
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Three Months Ended June 30, 2017
Balance at April 1, 2017	$	129,932		$	21,033		$	(16,164	)	$	1,379		$	136,180
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,167		)	—			—			—			(1,167		)
Losses on cash flow hedges included in interest expense	—			636			—			—			636
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(21		)	(21		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	2,225			—			—			—			2,225
Unrealized losses on cash flow hedges	—			(5,604		)	—			—			(5,604		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			937			—			937
Total other comprehensive income (loss)	1,058			(4,968		)	937			(21		)	(2,994		)
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses) on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Six Months Ended June 30, 2018
Balance at January 1, 2018	$	212,225		$	20,185		$	(13,601	)	$	1,517		$	220,326
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—			37			—			—			37
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(43		)	(43		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	4,137			—			—			—			4,137
Unrealized gains on cash flow hedges	—			18,566			—			—			18,566
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,553			—			1,553
Total other comprehensive income (loss)	4,137			18,603			1,553			(43		)	24,250
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Six Months Ended June 30, 2017
Balance at January 1, 2017	$	58,587		$	20,380		$	(17,157	)	$	1,400		$	63,210
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,837		)	—			—			—			(1,837		)
Losses on cash flow hedges included in interest expense	—			1,436			—			—			1,436
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(42		)	(42		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	74,240			—			—			—			74,240
Unrealized losses on cash flow hedges	—			(5,751		)	—			—			(5,751		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,930			—			1,930
Total other comprehensive income (loss)	72,403			(4,315		)	1,930			(42		)	69,976
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

_____________________________

⁽¹⁾ Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

XML

Basis of Presentation (Policies)

6 Months Ended

Jun. 30, 2018

Basis of Presentation [Abstract]

Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy [Policy Text Block]

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal.

A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for nonaccrual loans noted above.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered.

Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block]

For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Derivatives, Policy [Policy Text Block]

Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. Any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Net interest income/expense associated with derivatives that qualify for fair value hedge accounting under ASC 815 is recorded as a component of net interest income.

If fair value hedging relationships meet certain criteria specified in ASC 815, they are eligible for hedge accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances.

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represents the amount by which the change in the fair value of the derivative differs from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) is recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings.

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method.

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

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

Derivatives, Embedded Derivatives [Policy Text Block]

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

Derivatives, Hedge Discontinuances [Policy Text Block]

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings.

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method.

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

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

Fair Value Transfer, Policy [Policy Text Block]

For financial instruments carried at fair value, the Bank reviews the 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. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred.

XML

Trading Securities (Tables)

6 Months Ended

Jun. 30, 2018

Trading Securities [Abstract]

Trading Securities [Table Text Block]

Trading securities as of June 30, 2018 and December 31, 2017 were as follows (in thousands):

	June 30, 2018		December 31, 2017
U.S. Treasury Notes	$	843,714	$	102,148
U.S. Treasury Bills	248,544		—
Other	—		12,082
Total	$	1,092,258	$	114,230

XML

Available-for-Sale Securities (Tables)

6 Months Ended

Jun. 30, 2018

Schedule of Available-for-sale Securities [Line Items]

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

Available-for-sale securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	455,813	$	9,675	$	—	$	465,488
GSE obligations	5,613,777		105,313		327		5,718,763
Other	170,988		970		—		171,958
	6,240,578		115,958		327		6,356,209
GSE commercial mortgage-backed securities	8,612,088		112,901		12,170		8,712,819
Total	$	14,852,666	$	228,859	$	12,497	$	15,069,028

Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of June 30, 2018. The aggregate amount due of $392,106,000 is included in other liabilities on the statement of condition at that date.

Available-for-sale securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	470,436	$	8,602	$	—	$	479,038
GSE obligations	5,911,841		90,938		107		6,002,672
Other	173,920		975		—		174,895
	6,556,197		100,515		107		6,656,605
GSE commercial MBS	7,633,976		113,073		1,256		7,745,793
Total	$	14,190,173	$	213,588	$	1,363	$	14,402,398

Categories of Investments, Marketable Securities, Available-for-sale Securities [Member]

Schedule of Available-for-sale Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses		Number  of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	2	$	148,109	$	327	—	$	—	$	—	2	$	148,109	$	327
GSE commercial MBS	50	1,514,116		12,141		2	333		29		52	1,514,449		12,170
Total	52	$	1,662,225	$	12,468	2	$	333	$	29	54	$	1,662,558	$	12,497

The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2017. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
GSE debentures	1	$	50,374	$	107	—	$	—	$	—	1	$	50,374	$	107
GSE commercial MBS	8	163,594		593		16	299,511		663		24	463,105		1,256
Total	9	$	213,968	$	700	16	$	299,511	$	663	25	$	513,479	$	1,363

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands).

	June 30, 2018				December 31, 2017
Maturity	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Debentures
Due in one year or less	$	396,443	$	397,265	$	238,017	$	238,292
Due after one year through five years	2,432,258		2,463,982		2,756,755		2,786,327
Due after five years through ten years	3,277,190		3,356,222		3,341,470		3,407,595
Due after ten years	134,687		138,740		219,955		224,391
	6,240,578		6,356,209		6,556,197		6,656,605
GSE commercial MBS	8,612,088		8,712,819		7,633,976		7,745,793
Total	$	14,852,666	$	15,069,028	$	14,190,173	$	14,402,398

XML

Held-to-Maturity Securities (Tables)

6 Months Ended

Jun. 30, 2018

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities [Table Text Block]

Held-to-maturity securities as of June 30, 2018 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	8,726	$	—	$	8,726	$	4	$	22	$	8,708
State housing agency obligations	160,000		—		160,000		250		1,088		159,162
	168,726		—		168,726		254		1,110		167,870
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,599		—		1,599		5		—		1,604
GSE residential MBS	1,495,595		—		1,495,595		12,189		650		1,507,134
Non-agency residential MBS	83,757		12,048		71,709		15,758		350		87,117
GSE commercial MBS	35,264		—		35,264		—		78		35,186
	1,616,215		12,048		1,604,167		27,952		1,078		1,631,041
Total	$	1,784,941	$	12,048	$	1,772,893	$	28,206	$	2,188	$	1,798,911

Held-to-maturity securities as of December 31, 2017 were as follows (in thousands):

	Amortized Cost		OTTI Recorded in  Accumulated Other Comprehensive Income		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	10,774	$	—	$	10,774	$	7	$	20	$	10,761
State housing agency obligations	160,000		—		160,000		537		304		160,233
	170,774		—		170,774		544		324		170,994
Mortgage-backed securities
U.S. government-guaranteed residential MBS	1,909		—		1,909		4		—		1,913
GSE residential MBS	1,655,625		—		1,655,625		12,336		1,630		1,666,331
Non-agency residential MBS	94,565		13,601		80,964		16,198		629		96,533
GSE commercial MBS	35,265		—		35,265		2		—		35,267
	1,787,364		13,601		1,773,763		28,540		2,259		1,800,044
Total	$	1,958,138	$	13,601	$	1,944,537	$	29,084	$	2,583	$	1,971,038

Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member]

Schedule of Held-to-maturity Securities [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of June 30, 2018. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,458	$	22	—	$	—	$	—	1	$	4,458	$	22
State housing agency obligations	1	33,912		1,088		—	—		—		1	33,912		1,088
Mortgage-backed securities
GSE residential MBS	6	41,382		33		16	292,483		617		22	333,865		650
Non-agency residential MBS	2	2,568		18		12	43,730		1,109		14	46,298		1,127
GSE commercial MBS	1	35,186		78		—	—		—		1	35,186		78
Total	11	$	117,506	$	1,239	28	$	336,213	$	1,726	39	$	453,719	$	2,965

The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2017. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
	Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses		Number of Positions	Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations	1	$	4,834	$	20	—	$	—	$	—	1	$	4,834	$	20
State housing agency obligations	1	34,696		304		—	—		—		1	34,696		304
Mortgage-backed securities
GSE residential MBS	16	146,146		177		17	415,080		1,453		33	561,226		1,630
Non-agency residential MBS	—	—		—		13	48,403		1,980		13	48,403		1,980
Total	18	$	185,676	$	501	30	$	463,483	$	3,433	48	$	649,159	$	3,934

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

The following table presents a rollforward for the three and six months ended June 30, 2018 and 2017 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands).

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Balance of credit losses, beginning of period	$	9,203		$	10,245		$	9,443		$	10,515
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(229		)	(284		)	(469		)	(554		)
Balance of credit losses, end of period	8,974			9,961			8,974			9,961
Cumulative principal shortfalls on securities held at end of period	(2,048		)	(1,939		)	(2,048		)	(1,939		)
Cumulative amortization of the time value of credit losses at end of period	690			510			690			510
Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period	$	7,616		$	8,532		$	7,616		$	8,532

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2018 and December 31, 2017 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	June 30, 2018						December 31, 2017
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	250	$	250	$	250	$	1,425	$	1,425	$	1,427
Due after one year through five years	3,996		3,996		4,000		4,495		4,495		4,500
Due after five years through ten years	4,480		4,480		4,458		4,854		4,854		4,834
Due after ten years	160,000		160,000		159,162		160,000		160,000		160,233
	168,726		168,726		167,870		170,774		170,774		170,994
Mortgage-backed securities	1,616,215		1,604,167		1,631,041		1,787,364		1,773,763		1,800,044
Total	$	1,784,941	$	1,772,893	$	1,798,911	$	1,958,138	$	1,944,537	$	1,971,038

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

The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	168,726	$	170,774
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	79		117
Collateralized mortgage obligations
Fixed-rate	177		220
Variable-rate	1,580,695		1,751,762
Variable-rate multi-family MBS	35,264		35,265
	1,616,215		1,787,364
Total	$	1,784,941	$	1,958,138

XML

Advances (Tables)

6 Months Ended

Jun. 30, 2018

Advances [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

At June 30, 2018 and December 31, 2017, the Bank had advances outstanding at interest rates ranging from 0.66 percent to 8.27 percent and 0.54 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—		—	%	$	4,826		1.55	%
Due in one year or less	26,063,894			2.05		23,695,214			1.41
Due after one year through two years	2,435,124			2.25		1,735,507			1.64
Due after two years through three years	1,934,590			2.15		1,634,252			1.87
Due after three years through four years	445,440			2.26		639,113			1.94
Due after four years through five years	863,091			2.28		1,064,930			1.75
Due after five years	10,605,607			2.09		6,318,785			1.49
Amortizing advances	1,296,235			2.67		1,376,084			2.66
Total par value	43,643,981			2.10	%	36,468,711			1.52	%
Premiums	16					23
Deferred net prepayment fees	(9,869		)			(11,271		)
Commitment fees	(112		)			(116		)
Hedging adjustments	(44,461		)			3,177
Total	$	43,589,555				$	36,460,524

Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block]

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	36,543,623		30,795,524
Due after one year through two years	2,165,624		1,335,427
Due after two years through three years	1,211,090		941,452
Due after three years through four years	346,921		490,913
Due after four years through five years	644,141		538,660
Due after five years	1,436,347		985,825
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block]

The following table summarizes advances outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	June 30, 2018		December 31, 2017
Overdrawn demand deposit accounts	$	—	$	4,826
Due in one year or less	27,018,894		24,269,214
Due after one year through two years	2,516,124		1,785,507
Due after two years through three years	1,977,090		1,641,752
Due after three years through four years	445,440		639,113
Due after four years through five years	818,091		1,029,930
Due after five years	9,572,107		5,722,285
Amortizing advances	1,296,235		1,376,084
Total par value	$	43,643,981	$	36,468,711

Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block]

The following table provides interest rate payment terms for advances outstanding at June 30, 2018 and December 31, 2017 (in thousands):

	June 30, 2018		December 31, 2017
Fixed-rate
Due in one year or less	$	25,668,182	$	20,628,666
Due after one year	6,717,184		5,543,774
Total fixed-rate	32,385,366		26,172,440
Variable-rate
Due in one year or less	458,686		3,154,361
Due after one year	10,799,929		7,141,910
Total variable-rate	11,258,615		10,296,271
Total par value	$	43,643,981	$	36,468,711

XML

Mortgage Loans Held for Portfolio (Tables)

6 Months Ended

Jun. 30, 2018

Mortgage Loans Held for Portfolio [Abstract]

Mortgage Loans Held For Portfolio [Table Text Block]

The following table presents information as of June 30, 2018 and December 31, 2017 for mortgage loans held for portfolio (in thousands):

	June 30, 2018			December 31, 2017
Fixed-rate medium-term* single-family mortgages	$	8,966		$	9,279
Fixed-rate long-term single-family mortgages	1,280,422			844,078
Premiums	30,394			22,123
Discounts	(846		)	(212		)
Deferred net derivative gains associated with mortgage delivery commitments	3,157			2,855
Total mortgage loans held for portfolio	1,322,093			878,123
Less: allowance for credit losses	(278		)	(271		)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	1,321,815		$	877,852

________________________________________

*Medium-term is defined as an original term of 15 years or less.

XML

Allowance for Credit Losses (Tables)

6 Months Ended

Jun. 30, 2018

Allowance for Credit Losses [Abstract]

Past Due Financing Receivables [Table Text Block]

The table below summarizes the recorded investment by payment status for mortgage loans at June 30, 2018 and December 31, 2017 (dollars in thousands).

	June 30, 2018									December 31, 2017
	Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Conventional Loans			Government- Guaranteed/ Insured Loans			Total
Mortgage loans:
30-59 days delinquent	$	6,264		$	628		$	6,892		$	6,553		$	983		$	7,536
60-89 days delinquent	895			119			1,014			1,541			148			1,689
90 days or more delinquent	360			109			469			689			98			787
Total past due	7,519			856			8,375			8,783			1,229			10,012
Total current loans	1,302,670			16,679			1,319,349			853,653			18,203			871,856
Total mortgage loans	$	1,310,189		$	17,535		$	1,327,724		$	862,436		$	19,432		$	881,868
Other delinquency statistics:
In process of foreclosure (1)	$	149		$	17		$	166		$	212		$	—		$	212
Serious delinquency rate (2)	—		%	0.6		%	0.1		%	0.1		%	0.5		%	0.1		%
Past due 90 days or more and still accruing interest (3)	$	—		$	109		$	109		$	—		$	98		$	98
Nonaccrual loans	$	360		$	—		$	360		$	689		$	—		$	689
Troubled debt restructurings	$	—		$	—		$	—		$	—		$	—		$	—

_____________________________

⁽¹⁾  Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

⁽²⁾  Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio.

⁽³⁾  Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.

Allowance for Credit Losses on Financing Receivables [Table Text Block]

The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and six months ended June 30, 2018 and 2017 (in thousands):

	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2018		2017		2018		2017
Balance, beginning of period	$	271	$	141	$	271	$	141
Provision for credit losses	7		—		7		—
Balance, end of period	$	278	$	141	$	278	$	141

Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block]

The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018		December 31, 2017
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment	$	278	$	271
Recorded investment
Individually evaluated for impairment	$	360	$	689
Collectively evaluated for impairment	1,309,829		861,747
	$	1,310,189	$	862,436

XML

Consolidated Obligations (Tables)

6 Months Ended

Jun. 30, 2018

Debt Disclosure [Abstract]

Schedule of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block]

The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at June 30, 2018 and December 31, 2017 (in thousands, at par value).

	June 30, 2018		December 31, 2017
Variable-rate	$	13,959,850	$	15,295,000
Fixed-rate	13,500,620		12,680,675
Step-up	3,777,500		3,379,500
Step-down	225,000		175,000
Total par value	$	31,462,970	$	31,530,175

Schedule of Maturities of Long-term Debt [Table Text Block]

The following is a summary of the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by contractual maturity (dollars in thousands):

	June 30, 2018					December 31, 2017
Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in one year or less	$	16,615,550		1.85	%	$	17,981,240		1.36	%
Due after one year through two years	3,882,630			1.71		3,858,175			1.32
Due after two years through three years	3,533,275			1.88		2,389,140			1.65
Due after three years through four years	2,009,195			1.81		2,585,200			1.60
Due after four years through five years	2,693,190			2.28		1,920,285			1.86
Due after five years	2,729,130			2.35		2,796,135			2.26
Total par value	31,462,970			1.91	%	31,530,175			1.51	%
Premiums	4,012					6,194
Discounts	(1,406		)			(1,655		)
Debt issuance costs	(2,554		)			(2,238		)
Hedging adjustments	(321,808		)			(155,618		)
Total	$	31,141,214				$	31,376,858

Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block]

At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	June 30, 2018		December 31, 2017
Non-callable bonds	$	24,121,970	$	25,228,675
Callable bonds	7,341,000		6,301,500
Total par value	$	31,462,970	$	31,530,175

Schedule of Maturities of Consolidated Obligation Bonds by Contractual Maturity or Next Call Date [Table Text Block]

The following table summarizes the Bank’s consolidated obligation bonds outstanding at June 30, 2018 and December 31, 2017, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	June 30, 2018		December 31, 2017
Due in one year or less	$	23,717,550	$	23,978,740
Due after one year through two years	3,111,630		3,637,175
Due after two years through three years	2,199,775		1,614,140
Due after three years through four years	979,195		1,208,200
Due after four years through five years	1,298,190		855,285
Due after five years	156,630		236,635
Total par value	$	31,462,970	$	31,530,175

Schedule of Short-term Debt [Table Text Block]

At June 30, 2018 and December 31, 2017, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied Interest Rate
June 30, 2018	$	39,322,407	$	39,447,276	1.81	%
December 31, 2017	$	32,510,758	$	32,574,035	1.17	%

XML

Affordable Housing Program ("AHP") (Tables)

6 Months Ended

Jun. 30, 2018

Affordable Housing Program (“AHP”) [Abstract]

Schedule of Activity in Affordable Housing Program Obligation [Table Text Block]

The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2018 and 2017 (in thousands):

	Six Months Ended June 30,
	2018			2017
Balance, beginning of period	$	31,246		$	22,871
AHP assessment	10,067			8,772
Grants funded, net of recaptured amounts	(7,088		)	(4,575		)
Balance, end of period	$	34,225		$	27,068

XML

Assets and Liabilities Subject to Offsetting (Tables)

6 Months Ended

Jun. 30, 2018

Assets and Liabilities Subject to Offsetting [Abstract]

Offsetting Assets and Liabilities [Table Text Block]

The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2018 and December 31, 2017 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Condition			Net Amounts Presented in the Statement of Condition		Collateral Not Offset in the Statement of Condition (1)				Net Unsecured Amount
June 30, 2018
Assets
Derivatives
Bilateral derivatives	$	28,657	$	(24,955	)	$	3,702	$	(3,111	)	(2)	$	591
Cleared derivatives	9,427		(7,500		)	1,927		—				1,927
Total derivatives	38,084		(32,455		)	5,629		(3,111		)		2,518
Securities purchased under agreements to resell	4,440,000		—			4,440,000		(4,440,000		)		—
Total assets	$	4,478,084	$	(32,455	)	$	4,445,629	$	(4,443,111	)		$	2,518
Liabilities
Derivatives
Bilateral derivatives	$	276,203	$	(227,454	)	$	48,749	$	—			$	48,749
Cleared derivatives	8,737		(7,415		)	1,322		(1,322		)	(3)	—
Total liabilities	$	284,940	$	(234,869	)	$	50,071	$	(1,322	)		$	48,749
December 31, 2017
Assets
Derivatives
Bilateral derivatives	$	15,120	$	(8,176	)	$	6,944	$	(6,422	)	(2)	$	522
Cleared derivatives	225,852		(215,571		)	10,281		—				10,281
Total derivatives	240,972		(223,747		)	17,225		(6,422		)		10,803
Securities purchased under agreements to resell	6,700,000		—			6,700,000		(6,700,000		)		—
Total assets	$	6,940,972	$	(223,747	)	$	6,717,225	$	(6,706,422	)		$	10,803
Liabilities
Derivatives
Bilateral derivatives	$	155,703	$	(145,537	)	$	10,166	$	—			$	10,166
Cleared derivatives	76,734		(75,940		)	794		(794		)	(4)	—
Total liabilities	$	232,437	$	(221,477	)	$	10,960	$	(794	)		$	10,166

_____________________________

⁽¹⁾  Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

⁽²⁾  Consists of collateral pledged by member counterparties.

⁽³⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $786,571,000 at June 30, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

⁽⁴⁾  Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $746,436,000 at December 31, 2017 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

XML

Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at June 30, 2018 and December 31, 2017 (in thousands).

	June 30, 2018								December 31, 2017
	Notional Amount of Derivatives		Estimated Fair Value						Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets			Derivative Liabilities					Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps
Advances	$	5,379,984	$	8,686		$	16,734		$	5,055,945	$	27,829		$	29,110
Available-for-sale securities	15,397,142		18,871			25,065			14,282,321		177,066			107,822
Consolidated obligation bonds	15,640,680		3,054			200,759			14,374,040		1,510			85,669
Consolidated obligation discount notes	653,000		159			26			505,000		18,512			33
Interest rate swaptions related to advances	—		—			—			2,000		44			—
Total derivatives designated as hedging    instruments under ASC 815	37,070,806		30,770			242,584			34,219,306		224,961			222,634
Derivatives not designated as hedging    instruments under ASC 815
Interest rate swaps
Advances	7,500		—			—			7,500		11			—
Available-for-sale securities	2,992		—			3			2,993		2			2
Mortgage loans held for portfolio	130,600		126			54			—		—			—
Consolidated obligation bonds	50,000		170			—			—		—			—
Trading securities	750,000		—			13			—		—			—
Intermediary transactions	2,319,058		3,400			39,894			2,338,039		15,573			9,630
Other	425,000		649			—			325,000		219			—
Interest rate swaptions related to mortgage loans held for portfolio	40,000		442			—			—		—			—
Mortgage delivery commitments	37,049		122			—			20,304		31			—
Interest rate caps and floors
Held-to-maturity securities	1,200,000		13			—			1,200,000		4			—
Intermediary transactions	541,000		2,392			2,392			80,000		171			171
Total derivatives not designated as     hedging instruments under ASC 815	5,503,199		7,314			42,356			3,973,836		16,011			9,803
Total derivatives before collateral and netting adjustments	$	42,574,005	38,084			284,940			$	38,193,142	240,972			232,437
Cash collateral and related accrued interest			—			(202,514		)			(139,838		)	(137,362		)
Cash received or remitted in excess of variation margin requirements			(100		)	—					—			(206		)
Netting adjustments			(32,355		)	(32,355		)			(83,909		)	(83,909		)
Total collateral and netting adjustments(1)			(32,455		)	(234,869		)			(223,747		)	(221,477		)
Net derivative balances reported in statements of condition			$	5,629		$	50,071				$	17,225		$	10,960

_____________________________

⁽¹⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the statements of income for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Gain (Loss) Recognized in Earnings for the						Gain (Loss) Recognized in Earnings for the
	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Derivatives and hedged items in ASC 815 fair value hedging relationships
Interest rate swaps	$	2,795		$	(5,505	)	$	14,675		$	(4,403	)
Interest rate swaptions	(69		)	(14		)	(44		)	(36		)
Total net gain (loss) related to fair value hedge ineffectiveness	2,726			(5,519		)	14,631			(4,439		)
Derivatives not designated as hedging instruments under ASC 815
Interest rate swaps	(2,748		)	4,517			(11,776		)	7,617
Net interest income (expense) on interest rate swaps	(298		)	473			(123		)	921
Interest rate swaptions	(125		)	—			(125		)	—
Interest rate caps	112			(73		)	123			(234		)
Mortgage delivery commitments	449			1,222			500			1,463
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815	(2,610		)	6,139			(11,401		)	9,767
Price alignment amount on variation margin for daily settled derivative contracts	(2,463		)	182			(3,754		)	301
Net gains (losses) on derivatives and hedging activities reported in the statements of income	$	(2,347	)	$	802		$	(524	)	$	5,629

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in ASC 815 fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2018 and 2017 (in thousands).

Hedged Item	Gain (Loss) on Derivatives			Gain (Loss) on Hedged Items			Net Fair Value Hedge Ineffectiveness (1)			Derivative Net Interest Income  (Expense)(2)
Three Months Ended June 30, 2018
Advances	$	11,379		$	(11,302	)	$	77		$	4,130
Available-for-sale securities	115,854			(109,663		)	6,191			6,955
Consolidated obligation bonds	(31,217		)	27,675			(3,542		)	(13,256		)
Total	$	96,016		$	(93,290	)	$	2,726		$	(2,171	)
Three Months Ended June 30, 2017
Advances	$	(5,677	)	$	5,763		$	86		$	(8,887	)
Available-for-sale securities	(115,083		)	109,506			(5,577		)	(27,727		)
Consolidated obligation bonds	52,850			(52,878		)	(28		)	11,490
Total	$	(67,910	)	$	62,391		$	(5,519	)	$	(25,124	)
Six Months Ended June 30, 2018
Advances	$	47,646		$	(47,451	)	$	195		$	2,432
Available-for-sale securities	452,341			(432,302		)	20,039			(4,727		)
Consolidated obligation bonds	(171,768		)	166,165			(5,603		)	(11,491		)
Total	$	328,219		$	(313,588	)	$	14,631		$	(13,786	)
Six Months Ended June 30, 2017
Advances	$	8,046		$	(7,874	)	$	172		$	(19,786	)
Available-for-sale securities	(84,331		)	78,042			(6,289		)	(58,405		)
Consolidated obligation bonds	45,391			(43,713		)	1,678			23,107
Total	$	(30,894	)	$	26,455		$	(4,439	)	$	(55,084	)

_____________________________

⁽¹⁾  Reported as net gains (losses) on derivatives and hedging activities in the statements of income.

⁽²⁾  The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item.

Schedule of Cash Flow Hedges included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table presents, by type of hedged item, the gains (losses) on derivatives in ASC 815 cash flow hedging relationships that were recognized in other comprehensive income and the gains (losses) reclassified from AOCI into earnings for the three and six months ended June 30, 2018 and 2017 (in thousands).

Derivatives in Cash Flow Hedging Relationships	Three Months Ended					Six Months Ended
	June 30,					June 30,
	2018		2017			2018			2017
Interest rate swaps related to anticipated issuances of consolidated obligation discount notes
Amount of gains (losses) recognized in other comprehensive income on derivatives (effective portion)	$	4,726	$	(5,604	)	$	18,566		$	(5,751	)
Amount of gains (losses) reclassified from AOCI into interest expense (effective portion) (1)	273		(636		)	(37		)	(1,436		)
Amount of losses recognized in net gains (losses) on derivatives and hedging activities (ineffective portion)	—		—			—			—

_____________________________

⁽¹⁾  Represents net interest income (expense) associated with the derivatives.

XML

Capital (Tables)

6 Months Ended

Jun. 30, 2018

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

The following table summarizes the Bank’s compliance with those capital requirements as of June 30, 2018 and December 31, 2017 (dollars in thousands):

	June 30, 2018						December 31, 2017
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	994,357		$	3,668,567		$	831,553		$	3,265,641
Total capital	$	3,037,595		$	3,668,567		$	2,740,972		$	3,265,641
Total capital-to-assets ratio	4.00		%	4.83		%	4.00		%	4.77		%
Leverage capital	$	3,796,994		$	5,502,851		$	3,426,215		$	4,898,462
Leverage capital-to-assets ratio	5.00		%	7.25		%	5.00		%	7.15		%

XML

Employee Retirement Plans (Tables)

6 Months Ended

Jun. 30, 2018

Employee Retirement Plans [Abstract]

Schedule of Net Benefit Costs [Table Text Block]

The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and six months ended June 30, 2018 and 2017 were as follows (in thousands):

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
Service cost	$	5		$	6		$	10		$	12
Interest cost	5			5			10			10
Amortization of prior service cost	5			5			10			10
Amortization of net actuarial gain	(27		)	(26		)	(53		)	(52		)
Net periodic benefit credit	$	(12	)	$	(10	)	$	(23	)	$	(20	)

The components of net periodic benefit credit are reported in the income statement as described in Note 2.

XML

Estimated Fair Values (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

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

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2018 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	34,972	$	34,972	$	34,972	$	—		$	—		$	—
Interest-bearing deposits	245		245		—		245			—			—
Securities purchased under agreements to resell	4,440,000		4,440,000		—		4,440,000			—			—
Federal funds sold	8,433,000		8,433,000		—		8,433,000			—			—
Trading securities (1)	1,092,258		1,092,258		—		1,092,258			—			—
Available-for-sale securities (1)	15,069,028		15,069,028		—		15,069,028			—			—
Held-to-maturity securities	1,772,893		1,798,911		—		1,711,794		(2)	87,117		(3)	—
Advances	43,589,555		43,568,467		—		43,568,467			—			—
Mortgage loans held for portfolio, net	1,321,815		1,301,918		—		1,301,918			—			—
Accrued interest receivable	137,073		137,073		—		137,073			—			—
Derivative assets (1)	5,629		5,629		—		38,084			—			(32,455		)
Other assets held at fair value (1)	13,453		13,453		13,453		—			—			—
Liabilities:
Deposits	968,291		968,270		—		968,270			—			—
Consolidated obligations
Discount notes	39,322,407		39,313,300		—		39,313,300			—			—
Bonds	31,141,214		31,077,276		—		31,077,276			—			—
Mandatorily redeemable capital stock	824		824		824		—			—			—
Accrued interest payable	86,520		86,520		—		86,520			—			—
Derivative liabilities (1)	50,071		50,071		—		284,940			—			(234,869		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2017 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	87,965	$	87,965	$	87,965	$	—		$	—		$	—
Interest-bearing deposits	299		299		—		299			—			—
Securities purchased under agreements to resell	6,700,000		6,700,000		—		6,700,000			—			—
Federal funds sold	7,780,000		7,780,000		—		7,780,000			—			—
Trading securities (1)	114,230		114,230		12,082		102,148			—			—
Available-for-sale securities (1)	14,402,398		14,402,398		—		14,402,398			—			—
Held-to-maturity securities	1,944,537		1,971,038		—		1,874,505		(2)	96,533		(3)	—
Advances	36,460,524		36,459,439		—		36,459,439			—			—
Mortgage loans held for portfolio, net	877,852		879,464		—		879,464			—			—
Accrued interest receivable	110,957		110,957		—		110,957			—			—
Derivative assets (1)	17,225		17,225		—		240,972			—			(223,747		)
Liabilities:
Deposits	843,709		843,680		—		843,680			—			—
Consolidated obligations
Discount notes	32,510,758		32,501,773		—		32,501,773			—			—
Bonds	31,376,858		31,333,534		—		31,333,534			—			—
Mandatorily redeemable capital stock	5,941		5,941		5,941		—			—			—
Accrued interest payable	69,756		69,756		—		69,756			—			—
Derivative liabilities (1)	10,960		10,960		—		232,437			—			(221,477		)

___________________________

⁽¹⁾  Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

⁽²⁾  Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

⁽³⁾  Consists of the Bank's holdings of non-agency RMBS.

⁽⁴⁾  Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

XML

Transactions with Other FHLBanks (Table)

6 Months Ended

Jun. 30, 2018

Transactions with Other FHLBanks [Abstract]

Schedule of Loans to Other Federal Home Loan Banks [Table Text Block]

The following table summarizes the Bank’s loans to other FHLBanks during the six months ended June 30, 2017 (in thousands).

	Six Months Ended June 30, 2017
Balance at January 1, 2017	$	290,000
Loans made to:
FHLBank of Boston	225,000
Collections from:
FHLBank of San Francisco	(290,000		)
FHLBank of Boston	(225,000		)
Balance at June 30, 2017	$	—

Schedule of Loans from Other Federal Home Loan Banks [Table Text Block]

The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2018 and 2017 (in thousands).

	Six Months Ended June 30,
	2018			2017
Balance at January 1,	$	—		$	—
Borrowings from:
FHLBank of San Francisco	45,000			—
FHLBank of Indianapolis	600,000			10,000
FHLBank of Topeka	—			10,000
FHLBank of Boston	175,000			—
FHLBank of Cincinnati	500,000			—
FHLBank of Des Moines	500,000			—
Repayments to:
FHLBank of San Francisco	(45,000		)	—
FHLBank of Indianapolis	(600,000		)	(10,000		)
FHLBank of Topeka	—			(10,000		)
FHLBank of Boston	(175,000		)	—
FHLBank of Cincinnati	(500,000		)	—
FHLBank of Des Moines	(500,000		)	—
Balance at June 30,	$	—		$	—

XML

Accumulated Other Comprehensive Income (Loss) (Tables)

6 Months Ended

Jun. 30, 2018

Accumulated Other Comprehensive Income (Loss) [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table presents the changes in the components of AOCI for the three and six months ended June 30, 2018 and 2017 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses)  on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Three Months Ended June 30, 2018
Balance at April 1, 2018	$	252,624		$	34,335		$	(12,828	)	$	1,496		$	275,627
Reclassifications from AOCI to net income
Gains on cash flow hedges included in interest expense	—			(273		)	—			—			(273		)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(22		)	(22		)
Other amounts of other comprehensive income (loss)
Net unrealized losses on available-for-sale securities	(36,262		)	—			—			—			(36,262		)
Unrealized gains on cash flow hedges	—			4,726			—			—			4,726
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			780			—			780
Total other comprehensive income (loss)	(36,262		)	4,453			780			(22		)	(31,051		)
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Three Months Ended June 30, 2017
Balance at April 1, 2017	$	129,932		$	21,033		$	(16,164	)	$	1,379		$	136,180
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,167		)	—			—			—			(1,167		)
Losses on cash flow hedges included in interest expense	—			636			—			—			636
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(21		)	(21		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	2,225			—			—			—			2,225
Unrealized losses on cash flow hedges	—			(5,604		)	—			—			(5,604		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			937			—			937
Total other comprehensive income (loss)	1,058			(4,968		)	937			(21		)	(2,994		)
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)			Net Unrealized Gains (Losses) on Cash Flow Hedges			Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities			Postretirement  Benefits			Total  AOCI
Six Months Ended June 30, 2018
Balance at January 1, 2018	$	212,225		$	20,185		$	(13,601	)	$	1,517		$	220,326
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—			37			—			—			37
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—			—			—			(43		)	(43		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	4,137			—			—			—			4,137
Unrealized gains on cash flow hedges	—			18,566			—			—			18,566
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,553			—			1,553
Total other comprehensive income (loss)	4,137			18,603			1,553			(43		)	24,250
Balance at June 30, 2018	$	216,362		$	38,788		$	(12,048	)	$	1,474		$	244,576
Six Months Ended June 30, 2017
Balance at January 1, 2017	$	58,587		$	20,380		$	(17,157	)	$	1,400		$	63,210
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(1,837		)	—			—			—			(1,837		)
Losses on cash flow hedges included in interest expense	—			1,436			—			—			1,436
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense	—			—			—			(42		)	(42		)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	74,240			—			—			—			74,240
Unrealized losses on cash flow hedges	—			(5,751		)	—			—			(5,751		)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—			—			1,930			—			1,930
Total other comprehensive income (loss)	72,403			(4,315		)	1,930			(42		)	69,976
Balance at June 30, 2017	$	130,990		$	16,065		$	(15,227	)	$	1,358		$	133,186

_____________________________

⁽¹⁾ Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

XML

Recently Issued Accounting Guidance ASU2016-01 and ASU2017-07 (Details) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2018	Jan. 01, 2018
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Transfers from Trading Securities to Other Assets			$ 12,082
Postretirement Benefits Cost, Included in Other Income	$ 17	$ 33

XML

Trading Securities (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 1,092,258	$ 114,230
US Treasury Notes [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	843,714	102,148
US Treasury Bill Securities [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	248,544	0
Mutual Fund [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 0	$ 12,082

XML

Available-for-Sale Securities (Details) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2017 USD ($)	Jun. 30, 2017 USD ($)	Jun. 30, 2018 USD ($) position	Dec. 31, 2017 USD ($) position
Available-for-sale Securities, Gross Realized Gain (Loss) [Abstract]
Amortized Cost of Sold Available-for-sale Securities	$ 79,838	$ 248,425
Proceeds from Sales of Available-for-sale Securities	81,005	250,262
Gains on sales of Available-for-sale Securities	$ 1,167	$ 1,837
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			$ 14,852,666	$ 14,190,173
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			228,859	213,588
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			12,497	1,363
Available-for-sale Securities, Debt Securities			$ 15,069,028	$ 14,402,398
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract]
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position			52	9
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value			$ 1,662,225	$ 213,968
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss			$ 12,468	$ 700
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position			2	16
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value			$ 333	$ 299,511
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss			$ 29	$ 663
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position			54	25
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value			$ 1,662,558	$ 513,479
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss			12,497	1,363
U.S. Government Agencies Debt Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			455,813	470,436
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			9,675	8,602
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			0	0
Available-for-sale Securities, Debt Securities			465,488	479,038
GSE obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			5,613,777	5,911,841
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			105,313	90,938
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			327	107
Available-for-sale Securities, Debt Securities			$ 5,718,763	$ 6,002,672
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract]
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position			2	1
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value			$ 148,109	$ 50,374
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss			$ 327	$ 107
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position			0	0
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value			$ 0	$ 0
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss			$ 0	$ 0
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position			2	1
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value			$ 148,109	$ 50,374
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss			327	107
Other Debt Obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			170,988	173,920
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			970	975
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			0	0
Available-for-sale Securities, Debt Securities			171,958	174,895
Non-mortgage-backed securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			6,240,578	6,556,197
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			115,958	100,515
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			327	107
Available-for-sale Securities, Debt Securities			6,356,209	6,656,605
Available-for-sale Securities, Debt Maturities [Abstract]
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis			396,443	238,017
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis			2,432,258	2,756,755
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis			3,277,190	3,341,470
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis			134,687	219,955
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value			397,265	238,292
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value			2,463,982	2,786,327
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value			3,356,222	3,407,595
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value			138,740	224,391
GSE mortgage-backed securities[Member] | Multifamily [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Debt Securities, Amortized Cost Basis			8,612,088	7,633,976
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax			112,901	113,073
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax			12,170	1,256
Available-for-sale Securities, Debt Securities			8,712,819	7,745,793
Payables to Broker-Dealers and Clearing Organizations			$ 392,106	$ 157,980
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract]
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position			50	8
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value			$ 1,514,116	$ 163,594
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss			$ 12,141	$ 593
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position			2	16
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value			$ 333	$ 299,511
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss			$ 29	$ 663
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position			52	24
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value			$ 1,514,449	$ 463,105
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss			$ 12,170	$ 1,256

XML

Held-to-Maturity Securities (Details) $ in Thousands		Jun. 30, 2018 USD ($) position	Dec. 31, 2017 USD ($) position
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		$ 1,784,941	$ 1,958,138
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		12,048	13,601
Held-to-maturity securities	[1]	1,772,893	1,944,537
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		28,206	29,084
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		2,188	2,583
Held-to-maturity Securities, Fair Value		$ 1,798,911	$ 1,971,038
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		11	18
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 117,506	$ 185,676
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 1,239	$ 501
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		28	30
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 336,213	$ 463,483
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 1,726	$ 3,433
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		39	48
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 453,719	$ 649,159
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		2,965	3,934
U.S. Government Agencies Debt Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		8,726	10,774
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		8,726	10,774
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		4	7
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		22	20
Held-to-maturity Securities, Fair Value		$ 8,708	$ 10,761
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		1	1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 4,458	$ 4,834
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 22	$ 20
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		0	0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 0	$ 0
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 0	$ 0
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		1	1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 4,458	$ 4,834
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		22	20
US States and Political Subdivisions Debt Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		160,000	160,000
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		160,000	160,000
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		250	537
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		1,088	304
Held-to-maturity Securities, Fair Value		$ 159,162	$ 160,233
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		1	1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 33,912	$ 34,696
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 1,088	$ 304
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		0	0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 0	$ 0
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 0	$ 0
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		1	1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 33,912	$ 34,696
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		1,088	304
Residential, Mortgage Backed Securities, Other US Obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		1,599	1,909
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		1,599	1,909
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		5	4
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		0	0
Held-to-maturity Securities, Fair Value		1,604	1,913
Non-mortgage-backed securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		168,726	170,774
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		168,726	170,774
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		254	544
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		1,110	324
Held-to-maturity Securities, Fair Value		167,870	170,994
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost		250	1,425
Held-to-maturity Securities, Debt Maturities, within One Year, Net Carrying Amount		250	1,425
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value		250	1,427
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost		3,996	4,495
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount		3,996	4,495
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value		4,000	4,500
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost		4,480	4,854
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years, Net Carrying Amount		4,480	4,854
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value		4,458	4,834
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost		160,000	160,000
Held-to-maturity Securities, Debt Maturities, after Ten Years, Net Carrying Amount		160,000	160,000
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value		159,162	160,233
US Treasury and Government [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		750
Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		1,616,215	1,787,364
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		12,048	13,601
Held-to-maturity securities		1,604,167	1,773,763
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		27,952	28,540
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		1,078	2,259
Held-to-maturity Securities, Fair Value		1,631,041	1,800,044
Held-to-maturity Securities, Premium (Discounts), Net		(4,285)	(4,895)
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		83,757	94,565
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		12,048	13,601
Held-to-maturity securities		71,709	80,964
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		15,758	16,198
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		350	629
Held-to-maturity Securities, Fair Value		$ 87,117	$ 96,533
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		2	0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 2,568	$ 0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 18	$ 0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		12	13
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 43,730	$ 48,403
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 1,109	$ 1,980
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		14	13
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 46,298	$ 48,403
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		1,127	1,980
Single Family [Member] | GSE mortgage-backed securities[Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		1,495,595	1,655,625
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		1,495,595	1,655,625
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		12,189	12,336
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		650	1,630
Held-to-maturity Securities, Fair Value		$ 1,507,134	$ 1,666,331
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		6	16
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 41,382	$ 146,146
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 33	$ 177
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		16	17
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 292,483	$ 415,080
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 617	$ 1,453
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		22	33
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 333,865	$ 561,226
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		650	1,630
Multifamily [Member] | GSE mortgage-backed securities[Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment		35,264	35,265
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		35,264	35,265
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain		0	2
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss		78	0
Held-to-maturity Securities, Fair Value		$ 35,186	$ 35,267
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position		1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value		$ 35,186
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses		$ 78
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position		0
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value		$ 0
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses		$ 0
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position		1
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value		$ 35,186
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss		$ 78

[1] (a) Fair values: $1,798,911 and $1,971,038 at June 30, 2018 and December 31, 2017, respectively.

XML

Held-to-Maturity Securities (Other-Than-Temporary Impairment Analysis) (Details) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018 USD ($) position	Jun. 30, 2017 USD ($)	Jun. 30, 2018 USD ($) position	Jun. 30, 2017 USD ($)
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | position	23		23
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Balance of credit losses, beginning of period	$ 9,203	$ 10,245	$ 9,443	$ 10,515
Increase In cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(229)	(284)	(469)	(554)
Balance of credit losses, end of period	8,974	9,961	8,974	9,961
Cumulative principal shortfalls on securities held at end of period	(2,048)	(1,939)	(2,048)	(1,939)
Cumulative amortization of the time value of credit losses at the end of the period	690	510	690	510
Credit losses in the amortized cost bases of other-than-temporarily impaired securities at end of period	$ 7,616	$ 8,532	$ 7,616	$ 8,532
Minimum [Member]
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract]
Projected House Price Decline Rate Over the Next 12 Months	8.00%		8.00%
Maximum [Member]
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract]
Projected House Price Recovery Rate Over the Next 12 Months	13.00%		13.00%
Majority of Markets [Member] | Minimum [Member]
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract]
Projected House Price Recovery Rate Over the Next 12 Months	2.00%		2.00%
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level	2.00%		2.00%
Majority of Markets [Member] | Maximum [Member]
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract]
Projected House Price Recovery Rate Over the Next 12 Months	7.00%		7.00%
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level	5.00%		5.00%

XML

Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	$ 1,784,941	$ 1,958,138
Non-mortgage-backed securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	168,726	170,774
Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	1,616,215	1,787,364
Fixed Interest Rate [Member] | Mortgage Passthrough Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	79	117
Fixed Interest Rate [Member] | Collateralized Mortgage Obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	177	220
Variable Interest Rate [Member] | Non-mortgage-backed securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	168,726	170,774
Variable Interest Rate [Member] | Collateralized Mortgage Obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	1,580,695	1,751,762
Multifamily [Member] | Variable Interest Rate [Member] | Commercial Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment	$ 35,264	$ 35,265

XML

Held-to-Maturity Securities Sales of Securities (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Proceeds and Gains (Losses) from Sale of HTM [Abstract]
Amortized Cost of Sold Held-to-maturity Securities		$ 99,043		$ 99,043
Proceeds from Sales of Held-to-maturity Securities		100,933	$ 0	100,933
Gains on sales of held-to-maturity securities	$ 0	$ 1,890	$ 0	$ 1,890

XML

Advances Redemption Terms (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Advances by Redemption Terms [Line Items]
Deposit Liabilities Reclassified as Loans Receivable	$ 0	$ 4,826
Weighted Average Interest Rate on Overdrawn Demand Deposit	0.00%	1.55%
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months	$ 26,063,894	$ 23,695,214
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months	2.05%	1.41%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two	$ 2,435,124	$ 1,735,507
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two	2.25%	1.64%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three	$ 1,934,590	$ 1,634,252
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three	2.15%	1.87%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four	$ 445,440	$ 639,113
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four	2.26%	1.94%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five	$ 863,091	$ 1,064,930
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five	2.28%	1.75%
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five	$ 10,605,607	$ 6,318,785
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five	2.09%	1.49%
Federal Home Loan Bank Advances, Maturities, Amortizing Advances	$ 1,296,235	$ 1,376,084
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amortizing Advances	2.67%	2.66%
Federal Home Loan Bank Advances Par Value	$ 43,643,981	$ 36,468,711
Federal Home Loan Bank, Advances, Weighted Average Interest Rate	2.10%	1.52%
Federal Home Loan Bank, Advances, Premium	$ 16	$ 23
Deferred Prepayment Fees	(9,869)	(11,271)
Federal Home Loan Bank, Advances, Commitment Fees	(112)	(116)
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities	(44,461)	3,177
Federal Home Loan Bank Advances	$ 43,589,555	$ 36,460,524

XML

Advances Outstanding by the Earlier of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Line Items]
Deposit Liabilities Reclassified as Loans Receivable	$ 0	$ 4,826
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months	36,543,623	30,795,524
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two	2,165,624	1,335,427
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three	1,211,090	941,452
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four	346,921	490,913
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five	644,141	538,660
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five	1,436,347	985,825
Federal Home Loan Bank Advances, Maturities, Amortizing Advances	1,296,235	1,376,084
Federal Home Loan Bank Advances Par Value	$ 43,643,981	$ 36,468,711

XML

Advances Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Advances by Earlier of Contractual Maturity or Next Put Date [Line Items]
Deposit Liabilities Reclassified as Loans Receivable	$ 0	$ 4,826
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, due in Next Rolling Twelve Months	27,018,894	24,269,214
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two	2,516,124	1,785,507
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three	1,977,090	1,641,752
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four	445,440	639,113
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five	818,091	1,029,930
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five	9,572,107	5,722,285
Federal Home Loan Bank Advances, Maturities, Amortizing Advances	1,296,235	1,376,084
Federal Home Loan Bank Advances Par Value	$ 43,643,981	$ 36,468,711

XML

Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Advances by Interest Rate Payment Terms [Line Items]
Deposit Liabilities Reclassified as Loans Receivable	$ 0	$ 4,826
Federal Home Loan Bank, Advances, Fixed Rate, under One Year	25,668,182	20,628,666
Federal Home Loan Bank, Advances, Fixed Rate, after One Year	6,717,184	5,543,774
Federal Home Loan Bank, Advances, Fixed Rate	32,385,366	26,172,440
Federal Home Loan Bank, Advances, Floating Rate, under One Year	458,686	3,154,361
Federal Home Loan Bank, Advances, Floating Rate, after One Year	10,799,929	7,141,910
Federal Home Loan Bank, Advances, Floating Rate	11,258,615	10,296,271
Federal Home Loan Bank Advances Par Value	$ 43,643,981	$ 36,468,711

XML

Advances Narrative (Details) - USD ($) $ in Thousands	3 Months Ended			6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Mar. 31, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Advances [Line Items]
Percent Of Fixed Rate Advances Swapped To Adjustable Rate	17.00%			17.00%		19.00%
Gross Prepayment Fees on Advances Received	$ 117	$ 574		$ 1,759	$ 866
Prepaid Advances with Symmetrical prepayment Feature			$ 11,000		11,000
Deferred Prepayment Fees on Advances During Period				0	219
Federal Home Loan Bank Advances Par Value	$ 43,643,981			$ 43,643,981		$ 36,468,711
Fees paid on prepaid Advances with Symmetrical Prepayment Feature			$ 190		$ 190
Minimum [Member]
Advances [Line Items]
Federal Home Loan Bank Advances, Interest Rate	0.66%			0.66%		0.54%
Maximum [Member]
Advances [Line Items]
Federal Home Loan Bank Advances, Interest Rate	8.27%			8.27%		8.27%
Federal Home Loan Bank Advances Callable Option [Member]
Advances [Line Items]
Federal Home Loan Bank Advances Par Value	$ 10,742,312			$ 10,742,312		$ 9,684,619
Federal Home Loan Bank Advances Putable Option [Member]
Advances [Line Items]
Federal Home Loan Bank Advances Par Value	$ 1,260,500			$ 1,260,500		$ 1,113,500

XML

Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands		Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unamortized Premiums		$ 30,394		$ 22,123
Loans and Leases Receivable, Unamortized Discounts		(846)		(212)
Loans And Leases Receivable, Net Deferred Loan Costs		3,157		2,855
Loans and Leases Receivable, Gross, Consumer, Mortgage		1,322,093		878,123
Loans and Leases Receivable, Allowance				(271)
Loans and Leases Receivable, Net Amount		1,321,815		877,852
Loans Receivable With Fixed Rates Of Interest Medium Term [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance	[1]	8,966		9,279
Loans Receivable With Fixed Rates Of Interest Long Term [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance		1,280,422		844,078
Government Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance		17,352		19,228
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance		1,272,036		834,129
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Allowance		$ (278)	$ (271)	$ (271)	$ (141)	$ (141)	$ (141)

[1] *Medium-term is defined as an original term of 15 years or less.

XML

Allowance for Credit Losses (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		$ 8,375		$ 8,375		$ 10,012
Total current loans		1,319,349		1,319,349		871,856
Total mortgage loans		1,327,724		1,327,724		881,868
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 166		$ 166		$ 212
Serious delinquency rate	[2]	0.10%		0.10%		0.10%
Past due 90 days or more and still accruing interest	[3]	$ 109		$ 109		$ 98
Non-accrual loans		360		360		689
Troubled debt restructurings		0		0		0
Real estate acquired through foreclosure		76		76		49
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of period				271
Provision for Loan Losses Expensed		7	$ 0	7	$ 0
Financing Receivables, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		6,892		6,892		7,536
Financing Receivables, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		1,014		1,014		1,689
Financing Receivables, Equal to Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		469		469		787
Conventional Mortgage Loan [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		7,519		7,519		8,783
Total current loans		1,302,670		1,302,670		853,653
Total mortgage loans		1,310,189		1,310,189		862,436
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 149		$ 149		$ 212
Serious delinquency rate	[2]	0.00%		0.00%		0.10%
Past due 90 days or more and still accruing interest	[3]	$ 0		$ 0		$ 0
Non-accrual loans		360		360		689
Troubled debt restructurings		0		0		0
Financing Receivable, Allowance for Credit Losses [Roll Forward]
Balance, beginning of period		271	141	271	141
Provision for Loan Losses Expensed		7	0	7	0
Balance, end of period		278	$ 141	278	$ 141
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Abstract]
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment		278		278		271
Individually Evaluated for Impairment		360		360		689
Collectively Evaluated for Impairment		1,309,829		1,309,829		861,747
Conventional Mortgage Loan [Member] | Financing Receivables, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		6,264		6,264		6,553
Conventional Mortgage Loan [Member] | Financing Receivables, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		895		895		1,541
Conventional Mortgage Loan [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		360		360		689
US Government Agency Insured Loans [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		856		856		1,229
Total current loans		16,679		16,679		18,203
Total mortgage loans		17,535		17,535		19,432
Mortgage Loans in Process of Foreclosure, Amount	[1]	$ 17		$ 17		$ 0
Serious delinquency rate	[2]	0.60%		0.60%		0.50%
Past due 90 days or more and still accruing interest	[3]	$ 109		$ 109		$ 98
Non-accrual loans		0		0		0
Troubled debt restructurings		0		0		0
US Government Agency Insured Loans [Member] | Financing Receivables, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		628		628		983
US Government Agency Insured Loans [Member] | Financing Receivables, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		119		119		148
US Government Agency Insured Loans [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Total past due		$ 109		$ 109		$ 98

[1] Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

[2] Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio.

[3] Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.

XML

Consolidated Obligations (Details) - USD ($) $ in Billions	Jun. 30, 2018	Dec. 31, 2017
Schedule of Short-term and Long-term Debt [Line Items]
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate	90.00%	89.00%
FHLBanks [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Debt, Gross	$ 1,060.0	$ 1,034.0
FHL Bank of Dallas [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Debt, Gross	$ 70.9	$ 64.1

XML

Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Debt Instrument [Line Items]
Debt, Gross	$ 31,462,970	$ 31,530,175
Fixed Interest Rate [Member]
Debt Instrument [Line Items]
Debt, Gross	13,500,620	12,680,675
Variable Rate [Member]
Debt Instrument [Line Items]
Debt, Gross	13,959,850	15,295,000
Step Down [Member]
Debt Instrument [Line Items]
Debt, Gross	225,000	175,000
Step Up [Member]
Debt Instrument [Line Items]
Debt, Gross	$ 3,777,500	$ 3,379,500

XML

Consolidated Obligations Redemption Terms (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Debt Instrument, Redemption [Line Items]
Bonds	$ 31,141,214	$ 31,376,858
Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	31,462,970	31,530,175
Debt Instrument, Unamortized Premium	4,012	6,194
Debt Instrument, Unamortized Discount	(1,406)	(1,655)
Unamortized Debt Issuance Expense	(2,554)	(2,238)
Debt Valuation Adjustment for Hedging Activities	(321,808)	(155,618)
Bonds	31,141,214	31,376,858
Contractual Maturity [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 16,615,550	$ 17,981,240
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate	1.85%	1.36%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	$ 3,882,630	$ 3,858,175
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate	1.71%	1.32%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	$ 3,533,275	$ 2,389,140
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate	1.88%	1.65%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	$ 2,009,195	$ 2,585,200
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate	1.81%	1.60%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	$ 2,693,190	$ 1,920,285
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate	2.28%	1.86%
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 2,729,130	$ 2,796,135
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate	2.35%	2.26%
Long-term Debt, Weighted Average Interest Rate, at Point in Time	1.91%	1.51%

XML

Consolidated Obligations Callable/Non-callable (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Long-term Debt Callable or Non-Callable [Line Items]
Debt, Gross	$ 31,462,970	$ 31,530,175
Non Callable [Member]
Long-term Debt Callable or Non-Callable [Line Items]
Debt, Gross	24,121,970	25,228,675
Callable [Member]
Long-term Debt Callable or Non-Callable [Line Items]
Debt, Gross	$ 7,341,000	$ 6,301,500

XML

Consolidated Obligations Contractual Maturity or Next Call Date (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items]
Debt, Gross	$ 31,462,970	$ 31,530,175
Earlier of Contractual Maturity or Next Call Date [Member]
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	23,717,550	23,978,740
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	3,111,630	3,637,175
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	2,199,775	1,614,140
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	979,195	1,208,200
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	1,298,190	855,285
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	156,630	236,635
Debt, Gross	$ 31,462,970	$ 31,530,175

XML

Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Short-term Debt [Line Items]
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to An Adjustable Rate	90.00%	89.00%
Federal Home Loan Bank, Consolidated Obligations, Discount Notes	$ 39,322,407	$ 32,510,758
Discount Notes [Member]
Short-term Debt [Line Items]
Debt Instrument, Face Amount	$ 39,447,276	$ 32,574,035
Short-term Debt, Weighted Average Interest Rate, at Point in Time	1.81%	1.17%

XML

Affordable Housing Program ("AHP") (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Affordable Housing Program [Roll Forward]
Balance, beginning of period			$ 31,246	$ 22,871
AHP assessment	$ 5,427	$ 4,867	10,067	8,772
Grants funded, net of recaptured amounts			(7,088)	(4,575)
Balance, end of period	$ 34,225	$ 27,068	$ 34,225	$ 27,068

XML

Assets and Liabilities Subject to Offsetting (Details) - USD ($) $ in Thousands		Jun. 30, 2018		Dec. 31, 2017
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		$ 38,084		$ 240,972
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[2]	(32,455)	[1],[3]	(223,747)	[4],[5]
Derivative Assets		5,629		17,225
Derivative, Collateral, Obligation to Return Securities	[6]	(3,111)		(6,422)
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		2,518		10,803
Securities Purchased under Agreements to Resell, Gross		4,440,000		6,700,000
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral		0		0
Securities Purchased under Agreements to Resell		4,440,000		6,700,000
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities	[6]	(4,440,000)		(6,700,000)
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral		0		0
Offsetting Assets, Gross		4,478,084		6,940,972
Assets, Amounts Offset Against Collateral		(32,455)		(223,747)
Offsetting Assets, Total		4,445,629		6,717,225
Offsetting Assets, Collateral Not Offset in the Statement of Condition	[6]	(4,443,111)		(6,706,422)
Offsetting Assets, Amount Not Offset Against Collateral		2,518		10,803
Derivative Liability, Fair Value, Gross Liability		284,940		232,437
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[2]	(234,869)	[1],[3]	(221,477)	[4],[5]
Derivative Liabilities		50,071		10,960
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[6]	(1,322)		(794)
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		48,749		10,166
Over the Counter [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		28,657		15,120
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		(24,955)		(8,176)
Derivative Assets		3,702		6,944
Derivative, Collateral, Obligation to Return Securities	[6],[7]	(3,111)		(6,422)
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		591		522
Derivative Liability, Fair Value, Gross Liability		276,203		155,703
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(227,454)		(145,537)
Derivative Liabilities		48,749		10,166
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[6]	0		0
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		48,749		10,166
Exchange Cleared [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		9,427		225,852
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		(7,500)		(215,571)
Derivative Assets		1,927		10,281
Derivative, Collateral, Obligation to Return Securities	[6]	0		0
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		1,927		10,281
Derivative Liability, Fair Value, Gross Liability		8,737		76,734
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(7,415)		(75,940)
Derivative Liabilities		1,322		794
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[6]	(1,322)	[8]	(794)	[9]
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		0		0
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities		(786,571)		$ (746,436)
Minimum [Member] | Non-member Counterparty [Member]
Offsetting Assets and Liabilities [Line Items]
Collateral Thresholds		100
Maximum [Member] | Non-member Counterparty [Member]
Offsetting Assets and Liabilities [Line Items]
Collateral Thresholds		$ 500

[1] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[2] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

[3] Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

[4] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[5] Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

[6] Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

[7] Consists of collateral pledged by member counterparties.

[8] Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $786,571,000 at June 30, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

[9] Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $746,436,000 at December 31, 2017 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Jun. 30, 2018		Dec. 31, 2017
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		$ 38,084		$ 240,972
Derivative Instruments in Hedges, Liabilities, at Fair Value		284,940		232,437
Derivative, Notional Amount		42,574,005		38,193,142
Derivative Asset, Fair Value, Amount Offset Against Collateral		0		(139,838)
Derivative Liability, Fair Value, Amount Offset Against Collateral		(202,514)		(137,362)
Derivative Asset Fair Value Cash Remitted Exceeding Variation Margin Requirement		(100)		0
Derivative Liability, Fair Value Cash Remitted Exceeding Variation Margin Requirement		0		(206)
Derivative Asset, Fair Value, Gross Liability		(32,355)		(83,909)
Derivative Liability, Fair Value, Gross Asset		(32,355)		(83,909)
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[2]	(32,455)	[1],[3]	(223,747)	[4],[5]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[2]	(234,869)	[1],[3]	(221,477)	[4],[5]
Derivative assets		5,629		17,225
Derivative liabilities		50,071		10,960
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		30,770		224,961
Derivative Instruments in Hedges, Liabilities, at Fair Value		242,584		222,634
Derivative, Notional Amount		37,070,806		34,219,306
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		8,686		27,829
Derivative Instruments in Hedges, Liabilities, at Fair Value		16,734		29,110
Derivative, Notional Amount		5,379,984		5,055,945
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		18,871		177,066
Derivative Instruments in Hedges, Liabilities, at Fair Value		25,065		107,822
Derivative, Notional Amount		15,397,142		14,282,321
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		3,054		1,510
Derivative Instruments in Hedges, Liabilities, at Fair Value		200,759		85,669
Derivative, Notional Amount		15,640,680		14,374,040
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		159		18,512
Derivative Instruments in Hedges, Liabilities, at Fair Value		26		33
Derivative, Notional Amount		653,000		505,000
Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Advances [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		0		44
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		0		2,000
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		7,314		16,011
Derivative Instruments in Hedges, Liabilities, at Fair Value		42,356		9,803
Derivative, Notional Amount		5,503,199		3,973,836
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		0		11
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		7,500		7,500
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		0		2
Derivative Instruments in Hedges, Liabilities, at Fair Value		3		2
Derivative, Notional Amount		2,992		2,993
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		170		0
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		50,000		0
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Trading Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		0		0
Derivative Instruments in Hedges, Liabilities, at Fair Value		13		0
Derivative, Notional Amount		750,000		0
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		3,400		15,573
Derivative Instruments in Hedges, Liabilities, at Fair Value		39,894		9,630
Derivative, Notional Amount		2,319,058		2,338,039
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Other Economic [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		649		219
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		425,000		325,000
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		126		0
Derivative Instruments in Hedges, Liabilities, at Fair Value		54		0
Derivative, Notional Amount		130,600		0
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		122		31
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		37,049		20,304
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		442		0
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		40,000		0
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Held-to-maturity Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		13		4
Derivative Instruments in Hedges, Liabilities, at Fair Value		0		0
Derivative, Notional Amount		1,200,000		1,200,000
Not Designated as Hedging Instrument [Member] | Interest Rate Caps And Floors [Member] | Intermediary Transactions [Member]
Derivatives, Fair Value [Line Items]
Derivative Instruments in Hedges, Assets, at Fair Value		2,392		171
Derivative Instruments in Hedges, Liabilities, at Fair Value		2,392		171
Derivative, Notional Amount		$ 541,000		$ 80,000

[1] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[2] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

[3] Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

[4] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[5] Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)	[1]	$ 2,726	$ (5,519)	$ 14,631	$ (4,439)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(2,610)	6,139	(11,401)	9,767
Price Alignment Amount on Variation Margin for Daily Settled Derivative Contracts		(2,463)	182	(3,754)	301
Gain (Loss) on Derivative Instruments, Net, Pretax		(2,347)	802	(524)	5,629
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)	[1]	77	86	195	172
Available-for-sale Securities [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)	[1]	6,191	(5,577)	20,039	(6,289)
Consolidated Obligation Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)	[1]	(3,542)	(28)	(5,603)	1,678
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)		2,795	(5,505)	14,675	(4,403)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(2,748)	4,517	(11,776)	7,617
NetInterestSettlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(298)	473	(123)	921
Interest Rate Swaption [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, Net Hedge Ineffectiveness Gain (Loss)		(69)	(14)	(44)	(36)
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(125)	0	(125)	0
Interest Rate Cap [Member] | Held-to-maturity Securities [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		112	(73)	123	(234)
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		$ 449	$ 1,222	$ 500	$ 1,463

[1] Reported as net gains (losses) on derivatives and hedging activities in the statements of income.

XML

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, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivatives		$ 96,016	$ (67,910)	$ 328,219	$ (30,894)
Gain (Loss) on Hedged Items		(93,290)	62,391	(313,588)	26,455
Net Fair Value Hedge Ineffectiveness	[1]	2,726	(5,519)	14,631	(4,439)
Derivative Net Interest Income (Expense)	[2]	(2,171)	(25,124)	(13,786)	(55,084)
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivatives		11,379	(5,677)	47,646	8,046
Gain (Loss) on Hedged Items		(11,302)	5,763	(47,451)	(7,874)
Net Fair Value Hedge Ineffectiveness	[1]	77	86	195	172
Derivative Net Interest Income (Expense)	[2]	4,130	(8,887)	2,432	(19,786)
Available-for-sale Securities [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivatives		115,854	(115,083)	452,341	(84,331)
Gain (Loss) on Hedged Items		(109,663)	109,506	(432,302)	78,042
Net Fair Value Hedge Ineffectiveness	[1]	6,191	(5,577)	20,039	(6,289)
Derivative Net Interest Income (Expense)	[2]	6,955	(27,727)	(4,727)	(58,405)
Consolidated Obligation Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain (Loss) on Derivatives		(31,217)	52,850	(171,768)	45,391
Gain (Loss) on Hedged Items		27,675	(52,878)	166,165	(43,713)
Net Fair Value Hedge Ineffectiveness	[1]	(3,542)	(28)	(5,603)	1,678
Derivative Net Interest Income (Expense)	[2]	$ (13,256)	$ 11,490	$ (11,491)	$ 23,107

[1] Reported as net gains (losses) on derivatives and hedging activities in the statements of income.

[2] The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item.

XML

Derivatives and Hedging Activities Cash Flow Hedges (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments, Gain (Loss) Recognized in Other Comprehensive Income (Loss), Effective Portion, Net		$ 4,726	$ (5,604)	$ 18,566	$ (5,751)
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net	[1]	273	(636)	(37)	(1,436)
Gain (Loss) on Cash Flow Hedge Ineffectiveness, Net		$ 0	$ 0	0	$ 0
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months				$ 3,446
Maximum Length of Time Hedged in Cash Flow Hedge				10 years

[1] Represents net interest income (expense) associated with the derivatives.

XML

Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	$ 42,574,005	$ 38,193,142
Over the Counter [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	12,500,000
Exchange Cleared [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	28,600,000
Member Counterparties [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	$ 1,400,000

XML

Capital (Details) - USD ($)	Jun. 30, 2018	Jun. 26, 2018	Mar. 27, 2018	Dec. 31, 2017	Oct. 21, 2015
Capital [Line Items]
Federal Home Loan Bank, Risk-Based Capital, Required	$ 994,357,000			$ 831,553,000
Federal Home Loan Bank, Risk-Based Capital, Actual	3,668,567,000			3,265,641,000
Federal Home Loan Bank, Regulatory Capital, Required	3,037,595,000			2,740,972,000
Federal Home Loan Bank, Regulatory Capital, Actual	$ 3,668,567,000			$ 3,265,641,000
Regulatory Capital Ratio, Required	4.00%			4.00%
Federal Home Loan Bank, Regulatory Capital Ratio, Actual	4.83%			4.77%
Federal Home Loan Bank, Leverage Capital, Required	$ 3,796,994,000			$ 3,426,215,000
Federal Home Loan Bank, Leverage Capital, Actual	$ 5,502,851,000			$ 4,898,462,000
Leverage Ratio, Required	5.00%			5.00%
Leverage Ratio, Actual	7.25%			7.15%
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year	0.04%
Membership Investment Requirement, Minimum Dollar Amount	$ 1,000
Membership Investment Requirement, Maximum Dollar Amount	$ 7,000,000
Activity Based Investment Requirement, Percent of Outstanding Advances	4.10%				4.10%
Surplus Stock Threshold Percentage		125.00%	125.00%
Minimum Stock Surplus Required For Repurchase		$ 2,500,000	$ 2,500,000
Repurchased Surplus Stock, Total		99,285,000	233,659,000
RepurchasedSurplusStockMRCSPortion		$ 22,000	$ 5,363,000
Minimum [Member]
Capital [Line Items]
Activity Based Investment Requirement, Percent of Outstanding Advances					2.00%

XML

Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Defined Benefit Plan Disclosure [Line Items]
Service cost	$ 5	$ 6	$ 10	$ 12
Interest cost	5	5	10	10
Amortization of prior service cost	5	5	10	10
Amortization of net actuarial gain	(27)	(26)	(53)	(52)
Net periodic benefit credit	$ (12)	$ (10)	$ (23)	$ (20)

XML

Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Jun. 30, 2018		Dec. 31, 2017		Jun. 30, 2017	Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative, Notional Amount		$ 42,574,005		$ 38,193,142
Assets
Cash and due from banks		34,972		87,965
Trading securities		1,092,258		114,230
Available-for-sale securities		15,069,028		14,402,398
Held-to-maturity securities	[1]	1,772,893		1,944,537
Held-to-maturity securities, Fair Value		1,798,911		1,971,038
Loans to Other Federal Home Loan Banks						$ 0	$ 290,000
Accrued interest receivable		137,073		110,957
Derivative assets		5,629		17,225
Other assets held at fair value		13,453		0
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[3]	(32,455)	[2],[4]	(223,747)	[5],[6]
Assets, Amounts Offset Against Collateral		32,455		223,747
Consolidated obligations
Mandatorily redeemable capital stock		824		5,941
Accrued interest payable		86,520		69,756
Derivative liabilities		50,071		10,960
Loans from Other Federal Home Loan Banks		0		0		$ 0	$ 0
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[3]	(234,869)	[2],[4]	(221,477)	[5],[6]
Carrying Value [Member]
Assets
Cash and due from banks		34,972		87,965
Interest-bearing deposits		245		299
Securities purchased under agreements to resell		4,440,000		6,700,000
Federal funds sold		8,433,000		7,780,000
Trading securities		1,092,258	[4]	114,230	[6]
Available-for-sale securities		15,069,028	[4]	14,402,398	[6]
Held-to-maturity securities		1,772,893		1,944,537
Advances		43,589,555		36,460,524
Mortgage loans held for portfolio, net		1,321,815		877,852
Accrued interest receivable		137,073		110,957
Derivative assets		5,629		17,225	[6]
Other assets held at fair value		13,453
Liabilities
Deposits		968,291		843,709
Consolidated obligations
Mandatorily redeemable capital stock		824		5,941
Accrued interest payable		86,520		69,756
Derivative liabilities		50,071		10,960	[6]
Estimated Fair Value [Member]
Assets
Cash and due from banks		34,972		87,965
Interest-bearing deposits		245		299
Securities purchased under agreements to resell		4,440,000		6,700,000
Federal funds sold		8,433,000		7,780,000
Trading securities		1,092,258	[4]	114,230	[6]
Available-for-sale securities		15,069,028	[4]	14,402,398	[6]
Held-to-maturity securities, Fair Value		1,798,911		1,971,038
Advances		43,568,467		36,459,439
Mortgage loans held for portfolio, net		1,301,918		879,464
Accrued interest receivable		137,073		110,957
Derivative assets		5,629	[4]	17,225	[6]
Other assets held at fair value		13,453
Liabilities
Deposits		968,270		843,680
Consolidated obligations
Mandatorily redeemable capital stock		824		5,941
Accrued interest payable		86,520		69,756
Derivative liabilities		50,071	[4]	10,960	[6]
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		34,972		87,965
Interest-bearing deposits		0		0
Securities purchased under agreements to resell		0		0
Federal funds sold		0		0
Trading securities		0	[4]	12,082	[6]
Available-for-sale securities		0	[4]	0	[6]
Held-to-maturity securities, Fair Value		0		0
Advances		0		0
Mortgage loans held for portfolio, net		0		0
Accrued interest receivable		0		0
Derivative assets		0	[4]	0	[6]
Other assets held at fair value		13,453
Liabilities
Deposits		0		0
Consolidated obligations
Mandatorily redeemable capital stock		824		5,941
Accrued interest payable		0		0
Derivative liabilities		0	[4]	0	[6]
Fair Value, Inputs, Level 2 [Member]
Assets
Cash and due from banks		0		0
Interest-bearing deposits		245		299
Securities purchased under agreements to resell		4,440,000		6,700,000
Federal funds sold		8,433,000		7,780,000
Trading securities		1,092,258	[4]	102,148	[6]
Available-for-sale securities		15,069,028	[4]	14,402,398	[6]
Held-to-maturity securities, Fair Value		1,711,794	[7]	1,874,505	[8]
Advances		43,568,467		36,459,439
Mortgage loans held for portfolio, net		1,301,918		879,464
Accrued interest receivable		137,073		110,957
Derivative assets		38,084	[4]	240,972	[6]
Other assets held at fair value		0
Liabilities
Deposits		968,270		843,680
Consolidated obligations
Mandatorily redeemable capital stock		0		0
Accrued interest payable		86,520		69,756
Derivative liabilities		284,940	[4]	232,437	[6]
Fair Value, Inputs, Level 3 [Member]
Assets
Cash and due from banks		0		0
Interest-bearing deposits		0		0
Securities purchased under agreements to resell		0		0
Federal funds sold		0		0
Trading securities		0	[4]	0	[6]
Available-for-sale securities		0	[4]	0	[6]
Held-to-maturity securities, Fair Value		87,117	[9]	96,533	[10]
Advances		0		0
Mortgage loans held for portfolio, net		0		0
Accrued interest receivable		0		0
Derivative assets		0	[4]	0	[6]
Other assets held at fair value		0
Liabilities
Deposits		0		0
Consolidated obligations
Mandatorily redeemable capital stock		0		0
Accrued interest payable		0		0
Derivative liabilities		0	[4]	0	[6]
Consolidated Obligation Discount Notes [Member] | Carrying Value [Member]
Consolidated obligations
Discount notes, Fair Value		39,322,407		32,510,758
Consolidated Obligation Discount Notes [Member] | Estimated Fair Value [Member]
Consolidated obligations
Discount notes, Fair Value		39,313,300		32,501,773
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member]
Consolidated obligations
Discount notes, Fair Value		0		0
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member]
Consolidated obligations
Discount notes, Fair Value		39,313,300		32,501,773
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member]
Consolidated obligations
Discount notes, Fair Value		0		0
Consolidated Obligation Bonds [Member] | Carrying Value [Member]
Consolidated obligations
Bonds, Fair Value		31,141,214		31,376,858
Consolidated Obligation Bonds [Member] | Estimated Fair Value [Member]
Consolidated obligations
Bonds, Fair Value		31,077,276		31,333,534
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Consolidated obligations
Bonds, Fair Value		0		0
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Consolidated obligations
Bonds, Fair Value		31,077,276		31,333,534
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Consolidated obligations
Bonds, Fair Value		$ 0		$ 0

[1] (a) Fair values: $1,798,911 and $1,971,038 at June 30, 2018 and December 31, 2017, respectively.

[2] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[3] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

[4] Financial instruments measured at fair value on a recurring basis as of June 30, 2018.

[5] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

[6] Financial instruments measured at fair value on a recurring basis as of December 31, 2017.

[7] Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

[8] Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS.

[9] Consists of the Bank's holdings of non-agency RMBS.

[10] Consists of the Bank's holdings of non-agency RMBS.

XML

Commitments and Contingencies (Details) $ in Thousands	Jun. 30, 2018 USD ($)	Dec. 31, 2017 USD ($)
Commitments and Contingencies [Line Items]
Number of Loans 60 Days or More Delinquent Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	0
Number of Loans in Forbearance Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	4
Number of Loans Delinquent Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	0
Number of Loans in Forbearance Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	2
Derivative, Collateral, Right to Reclaim Cash	$ 202,177	$ 137,201
Derivative, Collateral, Right to Receive AFS Securities	787,893	747,230
Derivative, Collateral, Right to Receive Trading Securities	0	0
Other FHLBanks [Member]
Commitments and Contingencies [Line Items]
Debt, Gross	989,000,000
Loan Origination Commitments [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	23,922	20,200
Standby Letters of Credit [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	16,635,515	16,215,472
Financial Standby Letter of Credit [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	455,685	207,663
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2022	202,192
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2023	253,493
Consolidated Obligation Bonds [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	40,000	55,000
Consolidated Obligation Discount Notes [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	174,935
Conventional Mortgage Loan [Member]
Commitments and Contingencies [Line Items]
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	58,000
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricane Harvey	14,000
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricane Irma	$ 44,000
Percentage of Total MPF, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	4.40%
Percentage of Total Assets, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	0.10%
Percentage of Total Retained Earnings, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma	5.80%
Loans Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma maximum UPB 30-59 days delinquent	$ 1,100
Loans Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma aggregate UPB forbearance	200
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	$ 83,000
Percentage of Total MPF, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	6.30%
Percentage of Total Assets, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	0.10%
Percentage of Total Retained Earnings, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires	8.20%
Loans Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires maximum UPB 30-59 days delinquent	$ 28
Loans Collateralized by Properties in FEMA Designated Disaster Areas Resulting from California Wildfires aggregate UPB forbearance	800
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	37,049	20,304
Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	$ 18,000	$ 55,000

XML

Transactions with Other FHLBanks (Details) - USD ($)	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017
Schedule of Other Transactions [Line Items]
Interest Income, Loans to Other Federal Home Loan Banks		$ 13,425
Loans Made to Other FHLBanks [Roll Forward]
Loans to other FHLBanks, Beginning of period		290,000,000
Loans to other FHLBanks, End of period		0
Interest Expense, Loans from Other Federal Home Loan Banks	$ 74,639	486
Borrowings From Other FHLBanks [Roll Forward]
Loans from other FHLBanks, Beginning of period	0	0
Loans from other FHLBanks, End of period	0	0
Federal Home Loan Bank of Boston [Member]
Loans Made to Other FHLBanks [Roll Forward]
Loans made to other FHLBanks		225,000,000
Collections from other FHLBanks		(225,000,000)
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	175,000,000	0
Repayments to other FHLBanks	(175,000,000)	0
Federal Home Loan Bank of Cincinnati [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	500,000,000	0
Repayments to other FHLBanks	(500,000,000)	0
Federal Home Loan Bank of Des Moines [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	500,000,000	0
Repayments to other FHLBanks	(500,000,000)	0
FHLBank of Topeka [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	0	10,000,000
Repayments to other FHLBanks	0	(10,000,000)
FHLBank of San Francisco [Member]
Loans Made to Other FHLBanks [Roll Forward]
Collections from other FHLBanks		(290,000,000)
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	45,000,000	0
Repayments to other FHLBanks	(45,000,000)	0
FHLBank of Indianapolis [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	600,000,000	10,000,000
Repayments to other FHLBanks	$ (600,000,000)	$ (10,000,000)

XML

Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period				$ 220,326
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income		$ 0	$ (1,167)	0	$ (1,837)
Reclassification adjustment for (gains) losses on cash flow hedges included in net income		(273)	636	37	1,436
Other amounts of other comprehensive income (loss)
Net unrealized gains (losses) on available-for-sale securities		(36,262)	2,225	4,137	74,240
Unrealized gains (losses) on cash flow hedges		4,726	(5,604)	18,566	(5,751)
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax		780	937	1,553	1,930
Total other comprehensive income (loss)		(31,051)	(2,994)	24,250	69,976
Accumulated Other Comprehensive Income (Loss), End of Period		244,576		244,576
Accumulated Net Unrealized Investment Gain (Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period	[1]	252,624	129,932	212,225	58,587
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income	[1]		(1,167)		(1,837)
Other amounts of other comprehensive income (loss)
Net unrealized gains (losses) on available-for-sale securities	[1]	(36,262)	2,225	4,137	74,240
Total other comprehensive income (loss)	[1]	(36,262)	1,058	4,137	72,403
Accumulated Other Comprehensive Income (Loss), End of Period	[1]	216,362	130,990	216,362	130,990
Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period		34,335	21,033	20,185	20,380
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for (gains) losses on cash flow hedges included in net income		(273)	636	37	1,436
Other amounts of other comprehensive income (loss)
Unrealized gains (losses) on cash flow hedges		4,726	(5,604)	18,566	(5,751)
Total other comprehensive income (loss)		4,453	(4,968)	18,603	(4,315)
Accumulated Other Comprehensive Income (Loss), End of Period		38,788	16,065	38,788	16,065
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period		1,496	1,379	1,517	1,400
Reclassifications from accumulated other comprehensive income (loss) to net income
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax		(22)	(21)	(43)	(42)
Other amounts of other comprehensive income (loss)
Total other comprehensive income (loss)		(22)	(21)	(43)	(42)
Accumulated Other Comprehensive Income (Loss), End of Period		1,474	1,358	1,474	1,358
AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period		275,627	136,180	220,326	63,210
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income			(1,167)		(1,837)
Reclassification adjustment for (gains) losses on cash flow hedges included in net income		(273)	636	37	1,436
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax		(22)	(21)	(43)	(42)
Other amounts of other comprehensive income (loss)
Net unrealized gains (losses) on available-for-sale securities		(36,262)	2,225	4,137	74,240
Unrealized gains (losses) on cash flow hedges		4,726	(5,604)	18,566	(5,751)
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax		780	937	1,553	1,930
Total other comprehensive income (loss)		(31,051)	(2,994)	24,250	69,976
Accumulated Other Comprehensive Income (Loss), End of Period		244,576	133,186	244,576	133,186
Held-to-maturity Securities [Member] | Accumulated Other-than-Temporary Impairment [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (loss), Start of period		(12,828)	(16,164)	(13,601)	(17,157)
Other amounts of other comprehensive income (loss)
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax		780	937	1,553	1,930
Total other comprehensive income (loss)		780	937	1,553	1,930
Accumulated Other Comprehensive Income (Loss), End of Period		$ (12,048)	$ (15,227)	$ (12,048)	$ (15,227)

[1] Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.