10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2013

or

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

For the transition period from                                    to                                   

Commission File Number: 000-51395

FEDERAL HOME LOAN BANK OF PITTSBURGH

(Exact name of registrant as specified in its charter)

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

(412) 288-3400

(Registrant’s telephone number, including area code)

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

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

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

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

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

There were 29,197,796 shares of common stock with a par value of $100 per share outstanding at April 30, 2013.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

Part I - FINANCIAL INFORMATION	1
Item 1: Financial Statements (unaudited)	46
Notes to Financial Statements (unaudited)	53
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations	1
Risk Management	22
Item 3: Quantitative and Qualitative Disclosures about Market Risk	90
Item 4: Controls and Procedures	90
Part II - OTHER INFORMATION	91
Item 1: Legal Proceedings	91
Item 1A: Risk Factors	91
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds	92
Item 3: Defaults upon Senior Securities	92
Item 4: Mine Safety Disclosures	92
Item 5: Other Information	92
Item 6: Exhibits	92
Signature	93

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PART I - FINANCIAL INFORMATION

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

Forward-Looking Information

Statements contained in this Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank), may be “forward-looking statements.” These statements may use forward-looking terms, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty and that actual results could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following: economic and market conditions, including, but not limited to, real estate, credit and mortgage markets; volatility of market prices, rates, and indices related to financial instruments; political, legislative, regulatory, litigation, or judicial events or actions; changes in assumptions used in the quarterly Other-Than-Temporary Impairment (OTTI) process; risks related to mortgage-backed securities; changes in the assumptions used in the allowance for credit losses; changes in the Bank’s capital structure; changes in the Bank’s capital requirements; membership changes; changes in the demand by Bank members for Bank advances; an increase in advances’ prepayments; competitive forces, including the availability of other sources of funding for Bank members; changes in investor demand for consolidated obligations and/or the terms of interest rate exchange agreements and similar agreements; changes in the Federal Home Loan Bank (FHLBank) System’s debt rating or the Bank’s rating; the ability of the Bank to introduce new products and services to meet market demand and to manage successfully the risks associated with new products and services; the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability; applicable Bank policy requirements for retained earnings and the ratio of the market value of equity to par value of capital stock; the Bank’s ability to maintain adequate capital levels (including meeting applicable regulatory capital requirements); business and capital plan adjustments and amendments; technology risks; and timing and volume of market activity. This Management's Discussion and Analysis should be read in conjunction with the Bank's unaudited interim financial statements and notes and Risk Factors included in Part II, Item 1A of this Form 10-Q, as well as the Bank's 2012 Form 10-K (2012 Form 10-K), including Risk Factors included in Item 1A of that report.

Executive Summary

Overview. The economy showed signs of slow growth during the first quarter of 2013 and may be developing resilience to tighter fiscal policies and weak labor market conditions. The unemployment rate dropped modestly to 7.6% in March although job growth remained below market expectations. On March 1, 2013, automatic across-the-board federal budget cuts, or the process referred to as “sequestration” started. If these discretionary spending reductions prove to be an impediment to future U.S. economic growth, the Bank's financial condition and results of operations could be affected going forward. It is uncertain whether the sovereign debt resolutions will provide long-term stability in Europe, but the markets received the trends positively, which pushed LIBOR rates down during the first three months of 2013. Concerns over the long-term economic outlook remain, and Fed actions have been effective at keeping interest rates low.

The Bank's financial condition and results of operation are influenced by the interest rate environment, global and national economies, local economies within its three-state district, and the conditions in the financial, housing and credit markets. Although the spot balance was down slightly from year-end, during the first quarter of 2013 the Bank's average advance portfolio increased 18.9% from first quarter 2012, while net income rose to $28.6 million, compared with $21.8 million in the first quarter of 2012. In February 2013, the Bank declared a quarterly dividend of 32 basis points on an annualized basis and repurchased $300 million of excess capital stock. In April 2013, the Bank declared a quarterly dividend of 29 basis points on an annualized basis and repurchased $400 million of excess capital stock. The dividend was based on average 3-month LIBOR and was the Bank's sixth consecutive quarterly dividend. In total, the Bank has repurchased over $2 billion of its excess capital stock.

Interest Rate Environment. During the first quarter of 2013, the Federal Open Market Committee (FOMC) announced that it will continue to link future monetary policy tightening to threshold levels on unemployment and inflation and will continue with monthly purchases of agency mortgage-backed securities and longer-term U.S. Treasuries.

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

With ample liquidity available in the domestic banking system, the effective rate on Federal funds remained in a narrow range and averaged approximately 14 basis points during the first quarter of 2013. If the Federal funds effective rate remains in this expected lower range, the Bank's earnings on capital will be negatively impacted as it continues to invest in short-term assets. The Federal Reserve has announced that it has decided to keep the target range for the Federal funds rate at zero to 25 basis points and anticipates that economic conditions are likely to warrant exceptionally low levels for the Federal funds rate at least through mid-2015.

The following table presents key market interest rates.

	1st Quarter 2013 Average	4th Quarter 2012 Average	1st Quarter 2012 Average
Federal funds effective rate	0.14%	0.16%	0.10%
3-month LIBOR	0.29%	0.32%	0.51%
2-year U.S. Treasury	0.26%	0.27%	0.28%
5-year U.S. Treasury	0.81%	0.69%	0.89%
10-year U.S. Treasury	1.93%	1.69%	2.02%
15-year mortgage current coupon (1)	1.84%	1.46%	1.92%
30-year mortgage current coupon (1)	2.57%	2.14%	2.90%

Notes:

⁽¹⁾ Simple average of Fannie Mae and Freddie Mac MBS current coupon rates.

Interest Rates and Yield Curve Shifts.  The Bank's earnings are affected not only by rising or falling interest rates but also the particular path and volatility of changes in market interest rates and the prevailing shape of the yield curve. The flattening of the yield curve tends to compress the Bank's net interest margin, while steepening of the curve offers better opportunities to purchase assets with wider net interest spreads. During the first quarter of 2013, there was a slightly steeper yield curve with the average short-term U.S. Treasury rates decreasing slightly, the average 10-year Treasury rates increasing and the spread between 2-year and 10-year U.S. Treasuries increasing 10 basis points and remaining relatively wide at 161 basis points. In the first quarter of 2013, decreased credit concerns globally resulted in 3-month LIBOR declining 2 basis points, while 3-month U.S. Treasury bills increased 3 basis points.

Mortgage application and refinancing activities increased during the first quarter of 2013. The performance of the Bank's mortgage asset portfolios is particularly affected by shifts in the 10-year maturity range of the yield curve, which is the point that heavily influences mortgage rates and potential refinancings. Yield curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products. Under normal historical circumstances, when rates decline, prepayments increase, resulting in accelerated accretion/amortization of any associated discounts/premiums. However, the Bank has not experienced prepayments at the level its models have predicted based on these interest rates. The Bank continues to adjust its prepayment estimates to more closely reflect actual activity. In addition, when higher coupon mortgage loans prepay, the unscheduled return of principal cannot be invested in assets with a comparable yield resulting in a decline in the aggregate yield on the remaining loan portfolio and a possible decrease in the net interest margin.

The Federal Housing Finance Agency (Finance Agency), along with Fannie Mae and Freddie Mac, continue to support the Home Affordable Refinance Program (HARP) in an effort to assist more eligible borrowers who can benefit from refinancing their home mortgage. In April 2013, the Finance Agency announced that it had directed Fannie Mae and Freddie Mac to extend HARP by another two years to December 31, 2015. Other federal agencies have implemented other programs during the past few years to prevent foreclosure (including the Home Affordable Modification Program and the Principal Reduction Alternative). In addition, for borrowers meeting certain criteria, the Bank offers a loan modification program for its Mortgage Partnership Finance (MPF) Program. The Bank does not expect the HARP changes, the Bank's MPF loan modification program, or existing foreclosure prevention programs to have a significant impact on the Bank's mortgage portfolios. However,

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program execution and related changes as well as additional new programs at the state and federal level may alter this perspective.

The volatility of yield curve shifts may also have an effect on the Bank's duration of equity and the cost of maintaining duration within limits. Volatility in interest rates may cause management to take action to maintain compliance with these limits, even though a subsequent, sudden reversal in rates may make such hedges unnecessary. Volatility in interest rate levels and the shape of the yield curve may increase the cost of compliance with the Bank's duration limits. In the past few years, the typical cash flow variability of mortgage assets has become less pronounced. If this trend continues, the duration of assets could be extended and the cost to fund these assets could increase.

Housing Trends. During the first quarter of 2013, the recovery in the housing market remained on track and is expected to improve throughout 2013. Increased construction activities due to limited inventories, low mortgage rates and greater affordability have been the catalysts for the recovery. Rates on 30-year mortgages remained at historic lows during the first quarter 2013 due in part to the third round of quantitative easing (QE3). These low rates are expected to persist in the near term and should help support the housing market in the first half of 2013.

Results of Operations. During the first quarter 2013, the Bank recorded net income of $28.6 million, up $6.8 million from $21.8 million in the first quarter of 2012. This improvement was driven primarily by lower net other-than-temporary impairment (OTTI) credit losses and higher net interest income, partially offset by lower net gains on derivatives and hedging activities. Net OTTI credit losses on the private label mortgage-backed securities (MBS) portfolio were $0.4 million for the first three months of 2013, an improvement of $6.8 million compared to $7.2 million for the same period in 2012. Net gains on derivatives and hedging activities were $1.6 million in the first quarter of 2013 compared to $4.0 million in the first quarter of 2012.

Net Interest Income. Net interest income for the first quarter of 2013 was $45.4 million, up $3.2 million compared to $42.2 million for the first quarter of 2012. The increase in net interest income was primarily due to favorable funding costs, partially offset by lower interest income from investment securities, advances, and mortgage loans held for portfolio. The net interest margin for the first quarter of 2013 decreased 1 basis point to 31 basis points compared to the first quarter of 2012. As private label MBS which are generally higher-coupon assets pay down and otherwise decline, the Bank expects to replace such investments with lower-yielding, less risky agency and government-sponsored enterprise (GSE) MBS. In addition, the impact on net interest income of the runoff of higher-yielding mortgage loans was replaced by an increase in interest income related to higher advance balances during the first quarter of 2013.

Financial Condition.Advances. Advances totaled $40.0 billion at March 31, 2013 down slightly from $40.5 billion at December 31, 2012, which included short-term advance demand that was paid down by members based on their liquidity needs in the first quarter. As the size of the advance portfolio decreased slightly during the first three months of 2013, the average life of an advance has increased. At March 31, 2013, approximately 61% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 49% at December 31, 2012.

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

Investments. At March 31, 2013, the Bank held $16.0 billion of total investment securities, including trading, available-for-sale (AFS) and held-to-maturity (HTM) investment securities as well as securities purchased under agreement to resell, interest-bearing deposits, and Federal funds sold. This total included $2.5 billion of private label MBS, of which $0.6 billion was rated "investment grade" and $1.9 billion was rated "below investment grade." The Bank has experienced overall improvement in the fair value of its private label MBS portfolio since the low point at the end of 2008. Prices can change for many reasons, and the Bank is unable to predict future prices on these investments. The balance of the private label MBS continues to decline due to paydowns; the Bank has not purchased any new private label MBS since 2007.

Consolidated Obligations of the FHLBank System. FHLBank System monthly bond trading volume averaged $29 billion during the first quarter of 2013. On a weighted average basis, when compared to 3-month LIBOR, monthly bond funding costs improved slightly during the first three months of 2013. For the first quarter of 2013, consolidated bonds outstanding rose about $1 billion to $473 billion as of March 31, 2013, while consolidated discount notes outstanding decreased $23 billion to $193 billion.

The Bank's consolidated obligations totaled $54.8 billion at March 31, 2013, a decrease of $4.5 billion since December 31, 2012. The decrease in consolidated obligations was due to a $5.8 billion decrease in discount notes, partially offset by a $1.3

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billion increase in bonds. At March 31, 2013, bonds represented 67% of the Bank's consolidated obligations, compared with 59% at December 31, 2012. Discount notes represented 33% of the Bank's consolidated obligations at March 31, 2013 compared with 41% at year-end 2012. The decrease in discount notes was primarily due to a decline in short-term advance activity.

Capital Position and Regulatory Requirements. Total retained earnings at March 31, 2013 were $585.7 million, up from $559.3 million at year-end 2012 reflecting the Bank's net income for the first three months of 2013 partially offset by dividends paid. Accumulated other comprehensive income (AOCI) related to the noncredit portion of OTTI losses on AFS securities improved to $48.9 million at March 31, 2013 compared to $19.0 million at December 31, 2012, primarily due to price appreciation on the private label MBS portfolio.

In the Finance Agency's most recent determination, as of December 31, 2012, the Bank was deemed "adequately capitalized." In its determination, the Finance Agency expressed concerns regarding the Bank's capital position. The Finance Agency believes that the Bank's retained earnings are not sufficient and its private label MBS portfolio creates uncertainty about the Bank's earnings prospects and ability to build retained earnings at a satisfactory pace. The Finance Agency continues to monitor the Bank's capital adequacy. As provided for under the Finance Agency's final rule on FHLBank capital classification and critical capital levels, the Director of the Finance Agency has discretion to reclassify the Bank's capital classification even if the Bank meets or exceeds the regulatory requirements established. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2013. The Bank exceeded its risk-based, total and leverage capital requirements at March 31, 2013, as presented in the Capital Resources section of this Item 2.

The Bank measures capital adequacy with the key risk indicator Market Value of Equity to Par Value of Capital Stock (MV/CS). See the "Risk Governance" discussion in the Risk Management section of this report and the Bank's 2012 Form 10-K for additional details.

Management has a framework for evaluating retained earnings adequacy. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The retained earnings target generated from this framework is sensitive to changes in the Bank's risk profile. The framework assists the Board and management in their overall analysis of the level of future excess stock repurchases and dividends. See the "Capital and Retained Earnings" discussion in Financial Condition in Item 7. Management's Discussion and Analysis in the Bank's 2012 Form 10-K for additional details regarding the retained earnings framework.

In making decisions regarding future repurchases of excess capital stock and payment of dividends, the Bank will continue to monitor the condition of its private label MBS portfolio, its overall financial performance and retained earnings (including analysis based on the framework noted above), its MV/CS ratio, developments in the mortgage and credit markets, and other relevant information as the basis for determining the level of dividends and excess capital stock repurchases in future quarters.

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Financial Highlights

The following financial highlights for the Condensed Statement of Condition as of December 31, 2012 have been derived from the Bank's audited financial statements. Financial highlights for the other quarter-end periods have been derived from the Bank's unaudited financial statements except for the three months ended December 31, 2012 which have been derived from the Bank's 2012 Form 10-K.

Condensed Statement of Income

	Three months ended
	March 31,			December 31,			September 30,			June 30,			March 31,
(in millions, except per share data)	2013			2012			2012			2012			2012
Net interest income	$	45.4		$	67.7		$	50.0		$	49.9		$	42.2
Provision (benefit) for credit losses	(0.1		)	0.4			(0.1		)	—			0.1
Other noninterest income (loss):
Net OTTI losses, credit portion (1)	(0.4		)	(0.4		)	(0.2		)	(3.6		)	(7.2		)
Net gains (losses) on derivatives and     hedging activities	1.6			8.1			3.5			(4.9		)	4.0
Other, net	2.5			2.1			1.1			1.8			2.8
Total other noninterest income (loss)	3.7			9.8			4.4			(6.7		)	(0.4		)
Other expense	17.4			19.6			17.8			17.4			17.5
Income before assessments	31.8			57.5			36.7			25.8			24.2
AHP assessment (2)	3.2			5.8			3.7			2.6			2.4
Net income	$	28.6		$	51.7		$	33.0		$	23.2		$	21.8
Earnings per share (3)	$	1.03		$	1.83		$	1.08		$	0.76		$	0.69

Dividends (4)	$	2.2		$	3.4		$	0.7		$	0.8		$	0.9
Dividend payout ratio	7.69		%	6.53		%	2.32		%	3.40		%	3.91		%
Return on average equity	3.39		%	6.05		%	3.74		%	2.70		%	2.51		%
Return on average assets	0.20		%	0.35		%	0.22		%	0.16		%	0.16		%
Net interest margin (5)	0.31		%	0.46		%	0.33		%	0.36		%	0.32		%
Regulatory capital ratio (6)	6.30		%	5.89		%	6.30		%	6.77		%	7.03		%
Total capital ratio (at period-end) (7)	5.81		%	5.31		%	6.04		%	6.26		%	6.48		%
Total average equity to average assets	5.77		%	5.73		%	5.82		%	6.09		%	6.50		%

Notes:

⁽¹⁾ Represents the credit-related portion of OTTI losses on private label MBS portfolio.

⁽²⁾ Although the Bank is not subject to federal or state income taxes, by regulation, the Bank is required to allocate 10% of its income before assessments to fund the Affordable Housing Program (AHP).

⁽³⁾ Calculated based on net income.

⁽⁴⁾ The Bank paid a dividend of 0.10% annualized on February 23, 2012, April 30, 2012, and July 31, 2012, 0.43% annualized on October 31, 2012, and 0.32% annualized on February 22, 2013.

⁽⁵⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

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

⁽⁷⁾ Total capital ratio is capital stock plus retained earnings and AOCI as a percentage of total assets at period-end.

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Condensed Statement of Condition

	March 31,		December 31,		September 30,		June 30,			March 31,
(in millions)	2013		2012		2012		2012			2012
Cash and due from banks	$	545.7	$	1,350.6	$	246.7	$	287.2		$	198.0
Investments (1)	15,955.5		19,057.3		18,372.2		18,313.7			17,694.0
Advances	39,994.0		40,497.8		37,738.6		33,617.2			31,446.4
Mortgage loans held for portfolio, net (2)	3,482.8		3,532.5		3,579.1		3,620.9			3,726.6
Total assets	60,136.6		64,616.3		60,140.5		56,052.2			53,291.2
Consolidated obligations, net:
Discount notes	18,300.6		24,148.5		20,888.3		16,262.7			11,794.4
Bonds	36,496.6		35,135.6		33,665.5		34,381.2			35,709.3
Total consolidated obligations, net (3)	54,797.2		59,284.1		54,553.8		50,643.9			47,503.7
Deposits	1,022.8		999.9		1,054.9		1,102.7			1,275.5
Mandatorily redeemable capital stock	368.8		431.6		188.1		207.7			194.1
AHP payable	26.2		24.5		19.4		16.9			15.5
Total liabilities	56,640.1		61,187.3		56,509.4		52,542.3			49,838.3
Capital stock - putable	2,832.0		2,816.0		3,091.7		3,109.8			3,097.3
Unrestricted retained earnings	549.5		528.8		490.8		465.1			447.3
Restricted retained earnings	36.2		30.5		20.2		13.6			8.9
AOCI	78.8		53.7		28.4		(78.6		)	(100.6		)
Total capital	3,496.5		3,429.0		3,631.1		3,509.9			3,452.9

Notes:

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

⁽²⁾ Includes allowance for credit losses of $13.4 million at March 31, 2013, $14.2 million at December 31, 2012, $14.0 million at September 30, 2012, $14.1 million at June 30, 2012 and $14.3 million at March 31, 2012.

⁽³⁾ Aggregate FHLBank System-wide consolidated obligations (at par) were $666.0 billion, $687.9 billion, $674.5 billion, $685.2 billion, and $658.0 billion, at March 31, 2013, December 31, 2012, September 30, 2012, June 30, 2012 and March 31, 2012, respectively.

Earnings Performance

The following is Management's Discussion and Analysis of the Bank's earnings performance for the three months ended March 31, 2013 and 2012, which should be read in conjunction with the Bank's unaudited interim financial statements included in this Form 10-Q as well as the audited financial statements included in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2012 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank recorded net income of $28.6 million for the first quarter of 2013, compared to $21.8 million for the first quarter of 2012. This improvement was driven primarily by lower net OTTI credit losses and higher net interest income, partially offset by lower net gains on derivatives and hedging activities. Net OTTI credit losses were $0.4 million compared to $7.2 million for the three months ended March 31, 2013 and 2012, respectively. Net interest income was $45.4 million for the first quarter of 2013 compared to $42.2 million in the first quarter of 2012, an increase of $3.2 million. This increase was due primarily to favorable funding costs, partially offset by lower interest income from investment securities, advances and mortgage loans held for portfolio. Net gains on derivatives and hedging activities were $1.6 million in the first quarter of 2013 compared to a net gain of $4.0 million in the first quarter of 2012. All other expense was $17.4 million for the first quarter of 2013, a slight decline from $17.5 million in the first quarter of 2012. The Bank's return on average equity for the first quarter of 2013 was 3.39% compared to 2.51% for the first quarter of 2012.

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Net Interest Income

The following tables summarize the yields on interest-earning assets, rates paid on interest-bearing liabilities, the average balance for each of the primary balance sheet classifications, and the net interest margin for the three months ended March 31, 2013 and 2012.

Average Balances and Interest Yields/Rates Paid

	Three months ended March 31
	2013						2012
(dollars in millions)	Average Balance			Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance			Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (1)	$	6,535.8		$	2.0	0.13	$	3,884.3		$	0.9	0.10
Interest-bearing deposits (2)	341.2			0.1		0.14	542.2			0.1		0.10
Investment securities (3)	11,841.4			55.9		1.91	14,320.2			69.2		1.94
Advances (4)	36,379.5			57.5		0.64	30,585.8			70.2		0.92
Mortgage loans held for portfolio (5)	3,530.3			37.6		4.32	3,811.3			45.0		4.75
Total interest-earning assets	58,628.2			153.1		1.06	53,143.8			185.4		1.40
Allowance for credit losses	(16.4		)				(17.3		)
Other assets (6)	685.1						555.0
Total assets	$	59,296.9					$	53,681.5
Liabilities and capital:
Deposits (2)	$	1,015.4		$	0.1	0.05	$	1,167.8		$	0.1	0.04
Consolidated obligation discount notes	17,581.9			5.2		0.12	12,532.4			1.8		0.06
Consolidated obligation bonds (7)	35,877.2			102.1		1.15	34,858.5			141.2		1.63
Other borrowings	410.5			0.3		0.29	205.9			0.1		0.14
Total interest-bearing liabilities	54,885.0			107.7		0.80	48,764.6			143.2		1.18
Other liabilities	990.8						1,429.1
Total capital	3,421.1						3,487.8
Total liabilities and capital	$	59,296.9					$	53,681.5
Net interest spread						0.26						0.22
Impact of noninterest-bearing funds						0.05						0.10
Net interest income/net interest margin				$	45.4	0.31				$	42.2	0.32

Notes:

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

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

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

⁽⁴⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $0.8 billion and $1.2 billion in 2013 and 2012, respectively.

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

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

⁽⁷⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of $186.2 million and $344.0 million in 2013 and 2012, respectively.

Net interest income for the first quarter of 2013 increased $3.2 million over the first quarter of 2012. This increase was primarily due to lower interest expense related to consolidated obligations, partially offset by lower interest income from investment securities, advances and mortgage loans held for portfolio. The rate paid on interest-bearing liabilities declined 38 basis points due to lower funding costs on bonds and an increase in the level of discount notes relative to the total debt portfolio. A 10% increase in average interest-earning assets due to higher demand for advances also contributed to the improvement. Partially offsetting this increase in net interest income was a 34 basis point decline in yields on interest-earning assets, primarily due to lower yields on advances, investment securities and mortgage loans held for portfolio as maturing assets continue to be replaced at a lower yield. The net interest spread improved 4 basis points. The impact of noninterest-bearing funds has decreased 5 basis points due to lower average capital resulting from additional repurchases of excess capital stock.

7

Rate/Volume Analysis. Changes in both volume and interest rates influence changes in net interest income and net interest margin. The following table summarizes changes in interest income and interest expense between the three months ended March 31, 2013 and 2012.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume
	2013 compared to 2012
(in millions)	Volume			Rate			Total
Federal funds sold	$	0.8		$	0.3		$	1.1
Interest-bearing deposits	(0.1		)	0.1			—
Investment securities	(12.3		)	(1.0		)	(13.3		)
Advances	11.1			(23.8		)	(12.7		)
Mortgage loans held for portfolio	(3.5		)	(3.9		)	(7.4		)
Total interest-earning assets	$	(4.0	)	$	(28.3	)	$	(32.3	)
Consolidated obligation discount notes	$	0.8		$	2.6		$	3.4
Consolidated obligation bonds	2.9			(42.0		)	(39.1		)
Other borrowings	0.1			0.1			0.2
Total interest-bearing liabilities	$	3.8		$	(39.3	)	$	(35.5	)
Total increase (decrease) in net interest income	$	(7.8	)	$	11.0		$	3.2

Interest income and interest expense each decreased in the first quarter of 2013 compared to the first quarter of 2012. The decline in interest income was driven by overall rate and volume declines, while the interest expense decline was rate driven, partially offset by an increase in volume. The decline in interest income was from the investment portfolio, advances portfolio and mortgage loans held for portfolio. The investment portfolio and the mortgage loans held for portfolio decreased in both rate and volume. The decrease in the advances portfolio was rate driven, partially offset by an increase in volume. The decrease in interest expense was primarily related to a decrease in rates paid on consolidated obligation bonds.

The investment securities portfolio includes trading, AFS and HTM securities. Average investment balances declined from the first quarter of 2012 to the first quarter of 2013. The decline was driven by lower certificates of deposit, U.S. Treasury bill and private label MBS balances, partially offset by increases in agency notes and agency MBS balances. Agency MBS balances increased as purchases exceeded the run-off of the existing portfolio. The Bank has not purchased any private label MBS since late 2007, purchasing only agency and GSE MBS since 2008, including approximately $0.2 billion in 2013. The rate decrease was primarily related to the MBS portfolio as lower-yielding agency MBS have replaced the run-off of higher-yielding private label MBS.

The following table presents the average par balances of the Bank's advance portfolio for the three months ended March 31, 2013 and 2012. These balances do not reflect any hedge accounting adjustments.

(in millions)	Three months ended March 31,				Change 2013 vs. 2012
Product	2013		2012		%
Repo/Mid-Term Repo	$	13,183.4	$	9,304.0	41.7
Core (Term)	19,930.9		16,105.4		23.8
Convertible Select	2,467.1		3,886.1		(36.5	)
Total par value	$	35,581.4	$	29,295.5	21.5

The increase in volume resulted in an increase in interest income; however that was more than offset by a decrease in the yield. Demand for advances increased in 2012 and continued throughout the first quarter of 2013. Attractive advance rates and members' liquidity needs contributed to the recent increase in advance balances. The yield on this portfolio declined from the first quarter of 2012 to the first quarter of 2013 as the first quarter 2013 portfolio was comprised of more variable rate advances with relatively lower yields.

The average mortgage loans held for portfolio declined from the first quarter of 2012 to the first quarter of 2013 due to the continued run-off of the existing portfolio, which more than offset purchases of new loans. Interest income decreased due tot

8

he lower average portfolio balances and a lower yield on the remaining portfolio. The yield decrease was primarily due to new lower yielding mortgage loans replacing the runoff of higher yielding loans.

The consolidated obligations portfolio balance increased from the first quarter of 2012 to the first quarter of 2013 as average bond and discount note balances both increased. Interest expense on bonds declined due to a decrease in rates paid, which more than offset the volume increase. The rate decrease was primarily due to longer term debt that was called or matured and replaced with lower-paying bonds. A portion of the bond portfolio is currently swapped to 3-month LIBOR; therefore, as the LIBOR rate (decreases) increases, interest expense on swapped bonds, including the impact of swaps, (decreases) increases. See details regarding the impact of swaps on the rates paid in the “Interest Income Derivatives Effects” discussion below.

Market conditions continued to impact the cost of the Bank's consolidated obligations. During 2012 short-term funding levels relative to LIBOR approached more customary levels as European concerns faded. Long-term funding levels gradually improved from increased investor demand as a result of the Federal Reserve's continued quantitative easing. For the first quarter of 2013, funding levels have been relatively stable.

Interest Income Derivative Effects. The following tables separately quantify the effects of the Bank's derivative activities on its interest income and interest expense for the three months ended March 31, 2013 and 2012. Derivative and hedging activities are discussed below.

Three Months Ended March 31, 2013 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	36,379.5	$	57.5	0.64	$	121.9	1.36	$	(64.4	)	(0.72	)
Mortgage loans held for  portfolio	3,530.3		37.6		4.32	38.6		4.44	(1.0		)	(0.12	)
All other interest-earning  assets	18,718.4		58.0		1.26	58.0		1.26	—			—
Total interest-earning  assets	$	58,628.2	$	153.1	1.06	$	218.5	1.51	$	(65.4	)	(0.45	)
Liabilities:
Consolidated obligation  bonds	$	35,877.2	$	102.1	1.15	$	160.4	1.81	$	(58.3	)	(0.66	)
All other interest-bearing  liabilities	19,007.8		5.6		0.12	5.6		0.12	—			—
Total interest-bearing  liabilities	$	54,885.0	$	107.7	0.80	$	166.0	1.23	$	(58.3	)	(0.43	)
Net interest income/net  interest spread			$	45.4	0.26	$	52.5	0.28	$	(7.1	)	(0.02	)

9

Three Months Ended March 31, 2012 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	30,585.8	$	70.2	0.92	$	180.9	2.38	$	(110.7	)	(1.46	)
Mortgage loans held for  portfolio	3,811.3		45.0		4.75	45.8		4.83	(0.8		)	(0.08	)
All other interest-earning  assets	18,746.7		70.2		1.51	70.2		1.51	—			—
Total interest-earning  assets	$	53,143.8	$	185.4	1.40	$	296.9	2.25	$	(111.5	)	(0.85	)
Liabilities:
Consolidated obligation  bonds	$	34,858.5	$	141.2	1.63	$	187.3	2.16	$	(46.1	)	(0.53	)
All other interest-bearing  liabilities	13,906.1		2.0		0.06	2.0		0.06	—			—
Total interest-bearing  liabilities	$	48,764.6	$	143.2	1.18	$	189.3	1.56	$	(46.1	)	(0.38	)
Net interest income/net  interest spread			$	42.2	0.22	$	107.6	0.69	$	(65.4	)	(0.47	)

Note:

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

The impact of derivatives reduced net interest income and net interest spread in 2013 and 2012. The Bank uses derivatives to hedge the fair market value changes attributable to the change in the LIBOR benchmark interest rate. The Bank generally uses interest rate swaps to hedge a portion of advances and consolidated obligations which convert the interest rates on those instruments from a fixed rate to a LIBOR-based variable rate. The purpose of this strategy is to protect the interest rate spread. Using derivatives to convert interest rates from fixed to variable can increase or decrease net interest income. The variances in the advances and consolidated obligation derivative impacts from period to period are driven by the change in the average LIBOR-based variable rate, the timing of interest rate resets and the average hedged portfolio balances outstanding during any given period.

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

Provision (Benefit) for Credit Losses. The provision (benefit) for credit losses on mortgage loans held for portfolio and Banking on Business (BOB) loans for the first quarter of 2013 was $(0.1) million compared to $0.1 million for the same period in 2012. The decrease was primarily due to an increase in the estimated life of the MPF Plus portfolio which resulted in more credit enhancement (CE) fees to be recaptured to offset projected losses. In addition, the MPF Plus portfolio continues to run-off so the overall dollar exposure is lower and delinquent loans are being resolved.

10

Other Noninterest Income (Loss)

	Three months ended March 31,
(in millions)	2013			2012
Total OTTI losses	$	—		$	(1.1	)
OTTI losses reclassified (from) AOCI	(0.4		)	(6.1		)
Net OTTI losses, credit portion	(0.4		)	(7.2		)
Net gains on trading securities	0.2			0.4
Net gains on derivatives and hedging activities	1.6			4.0
Other, net	2.3			2.4
Total other noninterest income (loss)	$	3.7		$	(0.4	)

The Bank's higher total other noninterest income for the first quarter of 2013 compared to the first quarter of 2012 reflected lower net OTTI credit losses in 2013, partially offset by lower net gains on derivatives and hedging activities. See additional discussion of OTTI charges in “Credit and Counterparty Risk - Investments” in the Risk Management section of this Item 2. The activity related to derivatives and hedging activities is discussed in more detail below.

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

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

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

The following tables detail the net effect of derivatives and hedging activities for the three months ended March 31, 2013 and 2012.

	Three months ended March 31, 2013
(in millions)	Advances			Investments		Mortgage Loans			Bonds			Total
Net interest income:
Amortization/accretion of hedging activities in net interest     income (1)	$	(2.5	)	$	—	$	(1.0	)	$	8.3		$	4.8
Net interest settlements included in net interest income (2)	(61.9		)	—		—			50.0			(11.9		)
Total net interest income	$	(64.4	)	$	—	$	(1.0	)	$	58.3		$	(7.1	)
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	(2.5	)	$	—	$	—		$	1.4		$	(1.1	)
Gains (losses) on derivatives not receiving hedge accounting	—			0.3		4.1			(1.7		)	2.7
Total net gains (losses) on derivatives and hedging activities	$	(2.5	)	$	0.3	$	4.1		$	(0.3	)	$	1.6
Total net effect of derivatives and hedging activities	$	(66.9	)	$	0.3	$	3.1		$	58.0		$	(5.5	)

11

	Three months ended March 31, 2012
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Total
Net interest income:
Amortization/accretion of hedging activities in net interest     income (1)	$	(11.1	)	$	—		$	(0.8	)	$	6.5	$	(5.4	)
Net interest settlements included in net interest income (2)	(99.6		)	—			—			39.6		(60.0		)
Total net interest income	$	(110.7	)	$	—		$	(0.8	)	$	46.1	$	(65.4	)
Net gains (losses) on derivatives and hedging activities:
Gains on fair value hedges	$	1.9		$	—		$	—		$	0.8	$	2.7
Gains (losses) on derivatives not receiving hedge accounting	(0.7		)	(0.1		)	1.1			1.0		1.3
Total net gains (losses) on derivatives and hedging activities	$	1.2		$	(0.1	)	$	1.1		$	1.8	$	4.0
Total net effect of derivatives and hedging activities	$	(109.5	)	$	(0.1	)	$	0.3		$	47.9	$	(61.4	)

Notes:

⁽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.

Fair Value Hedges. The Bank uses fair value hedge accounting treatment for most of its fixed-rate advances and consolidated obligations using interest rate swaps. The interest rate swaps convert these fixed-rate instruments to a variable-rate (i.e. LIBOR). During the first quarter of 2013, total ineffectiveness related to these fair value hedges resulted in net losses of $(1.1) million compared to net gains of $2.7 million during the first quarter of 2012. The total notional amount increased to $30.5 billion at March 31, 2013 from $25.7 billion at December 31, 2012. Fair value hedge ineffectiveness represents the difference between the change in the fair value of the derivative compared to the change in the fair value of the underlying asset/liability hedged. Fair value hedge ineffectiveness is generated by movement in the benchmark interest rate being hedged and by other structural characteristics of the transaction involved. For example, the presence of an upfront fee associated with a structured debt hedge will introduce valuation differences between the hedge and hedged item that will fluctuate over time.

Derivatives not receiving hedge accounting. For derivatives not receiving hedge accounting, also referred to as “economic hedges,” the Bank includes the net interest income and the changes in the fair value of the hedges in the "Net gains (losses) on derivatives and hedging activities" line item. For economic hedges, the Bank recorded net gains of $2.7 million in the first quarter of 2013 and $1.3 million for the first quarter of 2012 . The total notional amount of economic hedges was $5.8 billion at March 31, 2013 and $5.5 billion at December 31, 2012.

During the first quarter of 2013, the Bank amended the remaining Credit Support Annexes (CSAs) within its ISDA agreements to permit re-hypothecation or not require collateral segregation of its derivatives collateral. Therefore, the Bank is using the Overnight Indexed Swap (OIS) discount curve to estimate the fair value on an additional portion of its derivatives.

Financial Condition

The following should be read in conjunction with the Bank's unaudited interim financial statements in this Form 10-Q and the audited Financial Statements in the Bank's 2012 Form 10-K.

Assets

Total assets were $60.1 billion at March 31, 2013, compared to $64.6 billion at December 31, 2012. The decrease was primarily due to decreases of $1.6 billion of securities purchased under agreements to resell, $1.1 billion of Federal funds sold and $0.5 billion in advances, along with $0.4 billion in investment securities. The following provides additional details regarding the primary components of the Statement of Condition.

Advances. Advances (par) totaled $39.2 billion at March 31, 2013 compared to $39.7 billion at December 31, 2012. This slight decrease was due to a decline in all product categories except Core (term) which had a significant increase. At March 31, 2013, the Bank had advances to 172 borrowing members, compared to 178 borrowing members at December 31, 2012. A significant amount of the advances continued to be generated from the Bank’s five largest borrowers, reflecting the asset concentration mix of the Bank’s membership base. Total advances outstanding to the Bank’s five largest members represented 79.8% of total advances as of March 31, 2013 compared to 79.9% at December 31, 2012.

12

The following table provides information (at par excluding discounts, deferred prepayment fees, and hedging adjustments as reflected in the Statement of Condition) on advances by different product type at March 31, 2013 and December 31, 2012.

	March 31,		December 31,
in millions	2013		2012
Adjustable/variable-rate indexed:
Repo/Mid-Term Repo	$	2,005.0	$	1,005.0
Core (Term)	9,020.5		7,020.5
Returnables	—		400.0
Total adjustable/variable-rate indexed	$	11,025.5	$	8,425.5
Fixed rate:
Repo/Mid-Term Repo	$	13,308.4	$	15,712.3
Core (Term)	6,741.9		6,665.8
Returnables	5,500.0		6,000.0
Total fixed rate	$	25,550.3	$	28,378.1
Convertible	$	2,377.5	$	2,575.5
Amortizing/mortgage-matched:
Core (Term)	$	276.8	$	291.7
Total par balance	$	39,230.1	$	39,670.8

The Bank had no putable advances at March 31, 2013 or December 31, 2012.

The following table provides a distribution of the number of members, categorized by individual member asset size that had an outstanding average advance balance during the three months ended March 31, 2013 and December 31, 2012.

	March 31,		December 31,
Member Asset Size	2013		2012
Less than $100 million	6		26
Between $100 million and $500 million	58		111
Between $500 million and $1 billion	51		47
Between $1 billion and $5 billion	61		28
Greater than $5 billion	23		14
Total borrowing members during the year	199		226
Total membership	293		294
Percentage of members borrowing during the period	67.9	%	76.9	%
Total borrowing members with outstanding loan balances at period-end	172		178
Percentage of members borrowing at period-end	58.7	%	60.5	%

During the first quarter of 2013, changes in the Bank's membership have resulted in a net decrease of one member. This activity included one member's charter relocation out of the Bank's district and the merger of two members within the Bank's district, partially offset by the addition of two new members.

See the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section of Item 2 for further information on collateral policies and practices and details regarding eligible collateral, including amounts and percentages of eligible collateral securing member advances as of March 31, 2013.

Mortgage Loans Held for Portfolio.Mortgage loans held for portfolio, net of allowance for credit losses, remained at $3.5 billion at both March 31, 2013 and December 31, 2012. New portfolio activity has been negatively impacted by the current economic environment, and the Bank’s decision to focus on purchasing MPF loans directly originated by member banks in its district rather than nationwide indirect originations sourced by members.

13

Balances regarding the Bank’s loan products are summarized below. The Bank places conventional mortgage loans that are 90 days or more delinquent on nonaccrual status and records cash payments received as a reduction of principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income.

However, government mortgage loans that are 90 days or more delinquent remain in accrual status due to guarantees or insurance. The Bank has a loan modification program for PFIs under the MPF Program. The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged under the MPF Program to be troubled debt restructurings (TDRs), as some form of concession has been made by the Bank.

	March 31,		December 31,
(in millions)	2013		2012
Advances(1)	$	39,994.0	$	40,497.8
Mortgage loans held for portfolio, net(2)	3,482.8		3,532.5
Nonaccrual mortgage loans(3)	67.3		72.5
Mortgage loans 90 days or more delinquent and still accruing interest(4)	7.3		7.2
BOB loans, net	12.5		12.8
Nonaccrual BOB loans	0.5		0.6

Notes:

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

⁽²⁾ All mortgage loans are fixed-rate. Balances are reflected net of the allowance for credit losses. Includes TDRs of $11.3 million and $10.2 million at March 31, 2013 and December 31, 2012, respectively.

⁽³⁾ Nonaccrual mortgage loans are reported net of interest applied to principal.

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

The performance of the mortgage loans in the Bank’s MPF Program has been relatively stable since year-end 2012. As of March 31, 2013, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.6% of the MPF Original portfolio and 4.05% of the MPF Plus portfolio compared with 0.8% and 3.9%, respectively, at December 31, 2012.

The allowance for credit losses (ACL) on mortgage loans is based on the losses inherent in the Bank's mortgage loan portfolio after taking into consideration the CE structure of the MPF Program. Probability of default and loss given default are based on the actual 12 month historical performance of the Bank's mortgage loans. Probability of default is based on a migration analysis, and loss given default is based on realized losses incurred on the sale of mortgage loan collateral including a factor that reduces estimated proceeds from PMI given the credit deterioration experienced by those companies. The resulting estimated loss is reduced by the CE structure of the MPF Program, discussed below.

The CE structure of the MPF Program is designed such that initial losses on mortgage loans are incurred by the Bank up to an agreed upon amount, referred to as the first loss account (FLA). Additional eligible credit losses are covered by CEs provided by PFIs (available CE) until exhausted. Certain losses incurred by the Bank can be recaptured by withholding fees paid to the PFI for its retention of credit risk. All additional losses are incurred by the Bank. The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at March 31, 2013 and December 31, 2012.

	MPF CE structure March 31, 2013				ACL March 31, 2013
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
MPF Original	$	2.6	$	117.7	$	3.7	$	(2.6	)	$	1.1
MPF Plus	25.9		45.2		26.3		(14.0		)	12.3

14

	MPF CE structure December 31, 2012				ACL December 31, 2012
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
MPF Original	$	2.6	$	109.4	$	4.1	$	(2.9	)	$	1.2
MPF Plus	27.4		46.2		27.8		(14.8		)	13.0

Investments. At March 31, 2013, the sum of the Bank's interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold decreased approximately $2.7 billion from December 31, 2012 as the Bank's liquidity needs declined in the first quarter of 2013. The Bank's strategy is to maintain its short-term liquidity position in part to be able to meet members' loan demand and regulatory liquidity requirements.

Investment securities including trading, AFS, and HTM securities totaled $11.6 billion at March 31, 2013 compared to $12.0 billion at December 31, 2012. Details of the investment securities portfolio follow.

	Carrying Value
(in millions)	March 31, 2013		December 31, 2012
Trading securities:
U.S. Treasury bills	$	200.0	$	350.0
Mutual funds offsetting deferred compensation	3.7		3.6
Total trading securities	$	203.7	$	353.6
AFS securities:
Mutual funds partially securing supplemental retirement plan	$	2.0	$	2.0
Other U.S. obligations	21.0		21.0
GSE securities	1,698.3		1,169.3
State or local agency obligations	10.9		11.1
MBS:
Other U.S. obligations residential MBS	387.7		310.7
GSE residential MBS	2,942.4		2,992.8
Private label residential MBS	1,356.4		1,410.5
Private label home equity line of credit (HELOCs)	14.3		14.8
Total AFS securities	$	6,433.0	$	5,932.2
HTM securities:
Certificates of deposit	$	—	$	400.0
GSE securities	22.1		24.8
State or local agency obligations	254.8		254.8
MBS:
Other U.S. obligations residential MBS	1,789.7		1,922.6
GSE residential MBS	1,715.9		1,842.2
Private label residential MBS	1,124.3		1,208.5
Private label HELOCs	11.5		12.1
Total HTM securities	$	4,918.3	$	5,665.0
Total investment securities	$	11,555.0	$	11,950.8

15

The following table presents the maturity and yield characteristics for the investment securities portfolio, assuming no principal prepayments, as of March 31, 2013. Contractual maturity of MBS is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligation at any time.

(dollars in millions)	Due in 1 year or less		Due after 1 year through 5 years		Due after 5 years through 10 years		Due after 10 years		Carrying Value
Trading securities:
U.S. Treasury bills	$	200.0	$	—	$	—	$	—	$	200.0
Mutual funds offsetting deferred compensation	3.7		—		—		—		3.7
Total trading securities	$	203.7	$	—	$	—	$	—	$	203.7
Yield on trading securities	0.06		n/a		n/a		n/a		0.06
AFS securities:
Mutual funds partially securing supplemental       retirement plan	$	2.0	$	—	$	—	$	—	$	2.0
Other U.S. obligations	—		—		21.0		—		21.0
GSE securities	299.9		1,398.4		—		—		1,698.3
State or local agency obligations	—		—		—		10.9		10.9
MBS:
Other U.S. obligations residential MBS	—		—		—		387.7		387.7
GSE residential MBS	—		133.1		553.9		2,255.4		2,942.4
Private label residential MBS	—		—		—		1,356.4		1,356.4
HELOCs	—		—		—		14.3		14.3
Total AFS securities	$	301.9	$	1,531.5	$	574.9	$	4,024.7	$	6,433.0
Yield on AFS Securities	0.11		0.56		2.47		2.62		2.02
HTM securities:
GSE securities	$	—	$	22.1	$	—	$	—	$	22.1
State or local agency obligations	1.1		—		8.8		244.9		254.8
MBS:
Other U.S. obligations residential MBS	—		—		376.9		1,412.8		1,789.7
GSE residential MBS	—		120.5		797.6		797.8		1,715.9
Private label residential MBS	—		5.9		45.7		1,072.7		1,124.3
Private label HELOCs	—		—		—		11.5		11.5
Total HTM securities	$	1.1	$	148.5	$	1,229.0	$	3,539.7	$	4,918.3
Yield on HTM securities	4.33		3.77		2.54		1.90		2.12
Total investment securities	$	506.7	$	1,680.0	$	1,803.9	$	7,564.4	$	11,555.0
Yield on investment securities	0.10		0.85		2.52		2.29		2.03
Securities purchased under agreements to resell	850.0		—		—		—		850.0
Interest-bearing deposits	5.5		—		—		—		5.5
Federal funds sold	3,545.0		—		—		—		3,545.0
Total investments	$	4,907.2	$	1,680.0	$	1,803.9	$	7,564.4	$	15,955.5

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As of March 31, 2013, the Bank held securities from the following issuers with a book value greater than 10% of Bank total capital.

(in millions)	Total Book Value		Total Fair Value
Freddie Mac	$	3,229.6	$	3,289.9
Fannie Mae	2,448.6		2,479.5
Ginnie Mae	1,800.5		1,811.2
Federal Farm Credit Banks	700.5		700.5
J.P. Morgan Mortgage Trust	439.1		440.7
National Credit Union Administration	376.9		378.9
Total	$	8,995.2	$	9,100.7

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

Liabilities and Capital

Commitments and Off-Balance Sheet Items. As of March 31, 2013, the Bank was obligated to fund approximately $910.3 million in additional advances, $25.8 million of mortgage loans and $7.9 billion in outstanding standby letters of credit, and to issue $3.5 billion in consolidated obligations. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

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

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

Management has developed and adopted a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The framework includes five risk elements that comprise the Bank's total retained earnings target: (1) AFS private label MBS risk (HTM is included in market risk); (2) market risk; (3) credit risk; (4) operating risk; and (5) accounting risk. The retained earnings target generated from this framework is sensitive to changes in the Bank's risk profile, whether favorable or unfavorable. For example, a further sharp deterioration in expected performance of loans underlying private label MBS would likely cause the Bank to adopt a higher target, whereas stabilization or improvement of the performance of these loans may lead to a reduction in the retained earnings target. This framework generated a retained earnings target of $581 million as of March 31, 2013. The Bank achieved its retained earnings target as of March 31, 2013 as it had $585.7 million of retained earnings. The Bank's retained earnings target is projected to decline to $414 million by 2017, based on runoff of the private label MBS portfolio as well as the Bank's risk management actions. The framework also assists management in its overall analysis of the level of future excess stock repurchases and dividends.

Retained earnings increased $26.4 million, to $585.7 million, at March 31, 2013 compared to $559.3 million at December 31, 2012. The increase in retained earnings during the first quarter of 2013 reflected net income partially offset by $2.2 million of dividends paid. Total retained earnings at March 31, 2013 included unrestricted retained earnings of $549.5 million and restricted retained earnings (RRE) of $36.2 million.

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Capital Resources

The following should be read in conjunction with the unaudited interim financial statements included in this Form 10-Q and the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2012 Form 10-K.

Risk-Based Capital (RBC)

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

	March 31,		December 31,
(in millions)	2013		2012
Permanent capital:
Capital stock (1)	$	3,200.8	$	3,247.6
Retained earnings	585.7		559.3
Total permanent capital	$	3,786.5	$	3,806.9
RBC requirement:
Credit risk capital	$	661.7	$	678.6
Market risk capital	148.6		113.6
Operations risk capital	243.1		237.7
Total RBC requirement	$	1,053.4	$	1,029.9
Excess permanent capital over RBC requirement	$	2,733.1	$	2,777.0
Note:
(1) Capital stock includes mandatorily redeemable capital stock.

The Bank continues to maintain excess permanent capital over the RBC requirement. Total excess permanent capital decreased $43.9 million from year-end which was due to higher RBC requirements and the partial repurchases of excess capital stock during 2013.

On March 26, 2013, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2012. In its determination, the Finance Agency expressed concerns regarding the Bank's capital position. The Finance Agency believes that the Bank's retained earnings levels are insufficient and the private label MBS portfolio creates uncertainty about the Bank's earnings prospects and ability to build retained earnings at a satisfactory pace. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2013.

Regulatory Capital and Leverage Ratios

In addition to the RBC requirements, the Finance Agency has mandated maintenance of total regulatory capital and leverage ratios of at least 4.0% and 5.0% of total assets, respectively. Management has an ongoing program to measure and monitor compliance with the ratio requirements. The Bank exceeded all regulatory capital requirements at March 31, 2013.

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	March 31,			December 31,
(dollars in millions)	2013			2012
Regulatory Capital Ratio
Minimum capital (4.0% of total assets)	$	2,405.5		$	2,584.7
Regulatory capital	3,786.5			3,806.9
Total assets	60,136.6			64,616.3
Regulatory capital ratio (regulatory capital as a percentage of total assets)	6.3		%	5.9		%
Leverage Ratio
Minimum leverage capital (5.0% of total assets)	$	3,006.8		$	3,230.8
Leverage capital (permanent capital multiplied by a 1.5 weighting factor)	5,679.8			5,710.2
Leverage ratio (leverage capital as a percentage of total assets)	9.4		%	8.8		%

The increase in the ratios from December 31, 2012 to March 31, 2013 was primarily due to the decrease in total assets.

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

	March 31,		December 31,
(dollars in millions)	2013		2012
Commercial banks	$	1,767.4	$	1,702.5
Thrifts	933.2		991.9
Credit unions	42.4		44.3
Insurance companies	89.0		77.3
Total GAAP capital stock	2,832.0		2,816.0
Mandatorily redeemable capital stock	368.8		431.6
Total capital stock	$	3,200.8	$	3,247.6

The composition of the Bank's membership by institution type is presented below.

	March 31,	December 31,
	2013	2012
Commercial banks	178	181
Thrifts	78	78
Credit unions	30	28
Insurance companies	7	7
Total	293	294

Critical Accounting Policies

The Bank's financial statements are prepared by applying certain accounting policies. Note 1 - Summary of Significant Accounting Policies in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2012 Form 10-K describes the most significant accounting policies used by the Bank. In addition, the Bank's critical accounting policies are presented in Item 7. Management's Discussion and Analysis in the Bank's 2012 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank's reported results and financial position for the period or in future periods. Management views these policies as critical accounting policies.

The Bank made no changes to its critical accounting policies during the first three months of 2013.

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

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The Finance Agency issued Advisory Bulletin 2012-02 (AB 2012-02), which establishes a standard and uniform methodology for adverse classification and identification of special mention assets and off-balance sheet credit exposures at the FHLBanks, excluding investment securities. AB 2012-02 is expected to impact the Bank’s Statements of Income, Comprehensive Income, and Condition and will impact the Bank’s Critical Accounting Policy for the Allowance for Credit Losses on Mortgage Loans Held for Portfolio. The adverse classification requirements of AB 2012-02 will be effective for the Bank January 1, 2014, and the charge-off requirements will be effective for the Bank January 1, 2015.

Legislative and Regulatory Developments

The legislative and regulatory environment for the Bank has changed significantly over the past few years, starting with the Housing Act in 2008 and continuing with financial regulators' issuance of proposed and/or final rules to implement the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) enacted in July 2010 and deliberations by the U.S. Congress regarding housing finance and GSE reform. The Banks' business operations, funding costs, rights or obligations, and the business environment in which it carries out its housing finance mission, are likely to be affected by the Dodd-Frank Act. However, the full effect of the Dodd-Frank Act will become known only after the required regulations, studies and reports are issued and finalized. Certain regulatory actions and developments for the period covered by this report are summarized in this section.

Regulation of Systemically Important Nonbank Financial Companies

Final Rule and Guidance on the Supervision and Regulation of Certain Nonbank Financial Companies. The Financial Stability Oversight Council (the Oversight Council) issued a final rule and guidance effective May 11, 2012 on the standards and procedures the Oversight Council employs in determining whether to designate a nonbank financial company for supervision by the Federal Reserve Board and to be subject to certain prudential standards. The guidance issued with this final rule provides that the Oversight Council expects generally to follow a three-stage process in making its determinations consisting of:

• A first stage that will identify those nonbank financial companies that have $50 billion or more of total consolidated assets and exceed any one of five threshold indicators of interconnectedness or susceptibility to material financial distress, including whether a company has $20 billion or more in total debt outstanding;

• A second stage involving a robust analysis of the potential threat that the subject nonbank financial company could pose to U.S. financial stability based on additional quantitative and qualitative factors that are both industry and company specific; and

• A third stage analyzing the subject nonbank financial company using information collected directly from it.

The final rule provides that, in making its determinations, the Oversight Council will consider as one factor whether the nonbank financial company is subject to oversight by a primary financial regulatory agency (for the Banks it is the Finance Agency). A nonbank financial company that the Oversight Council proposes to designate for additional supervision (for example, periodic stress testing) and prudential standards (such as heightened liquidity or capital requirements) under this rule has the opportunity to contest the designation. If the Bank is designated by the Oversight Council for supervision by the Federal Reserve and subject to additional Federal Reserve prudential standards, then its operations and business could be adversely impacted by any resulting additional costs, liquidity or capital requirements, and/or restrictions on business activities.

On April 5, 2013, the Federal Reserve System published a final rule that establishes the requirements for determining when a company is “predominately engaged in financial activities." The requirements will be used by the Oversight Council when it considers the potential designation of a “nonbank financial company” for consolidated supervision by the Federal Reserve. The final rule provides that a company is “predominantly engaged in financial activities” and thus a nonbank financial company if:

• as determined in accordance with applicable accounting standards, (i) the consolidated annual gross financial revenues of the company in either of its two most recently completed fiscal years represent 85% or more of the company's consolidated annual gross revenues in that fiscal year or (ii) the company's consolidated total financial assets as of the end of either of its two most recently completed fiscal years represent 85% or more of the company's consolidated total assets as of the end that fiscal year; or

• based on all the facts and circumstances, it is determined by the Oversight Council, with respect to the definition of a “nonbank financial company,” or the Federal Reserve Board, with respect to the definition of a “significant nonbank

20

financial company,” that (i) the consolidated annual gross financial revenues of the company represent 85% or more of the company's consolidated annual gross revenues; or (ii) the consolidated total financial assets of the company represent 85% or more of the company's consolidated total assets.

Under the final rule, the Bank would likely be a nonbank financial company.

The final rule also defines the terms "significant nonbank financial company" to mean (i) any nonbank financial company supervised by the Board; and (ii) any other nonbank financial company that had $50 billion or more in total consolidated assets as of the end of its most recently completed fiscal year; and "significant bank holding company" as ''any bank holding company or company that is, or is treated in the United States as, a bank holding company, that had $50 billion or more in total consolidated assets as of the end of the most recently completed calendar year.'' If the Bank is designated for supervision by the Federal Reserve (and therefore a significant nonbank financial company), the Bank would be subject to increased supervision and oversight as described above.

Oversight Council Recommendations Regarding Money Market Mutual Fund (MMF) Reform. The Oversight Council requested comments on certain proposed recommendations for structural reforms of MMFs. The comment deadline was February 15, 2013. The Oversight Council stated that such reforms are intended to address the structural vulnerabilities of MMFs. The demand for FHLBank System consolidated obligations may be impacted by the structural reform ultimately adopted. Accordingly, these reforms could cause the Banks' funding costs to rise or otherwise adversely impact market access and, in turn, adversely impact the Banks' results of operations.

Consumer Financial Protection Bureau (CFPB) Final Qualified Mortgage Rule. In January 2013, the CFPB issued a final rule with an effective date of January 10, 2014, that establishes new standards for mortgage lenders to follow during the loan approval process to determine whether a borrower can afford to repay certain types of loans, including mortgages and other loans secured by a dwelling. The final rule provides for a rebuttable "safe harbor" from consumer claims that a lender did not adequately consider whether a consumer can afford to repay the lender's mortgage, provided that the mortgage meets the requirements of a Qualified Mortgage loan (QM). QMs are home loans that are either eligible for purchase by Fannie Mae or Freddie Mac or otherwise satisfy certain underwriting standards. On May 6, 2013, the Finance Agency announced that Fannie Mae and Freddie Mac will no longer purchase a loan that is not a QM under those underwriting standards starting January 10, 2014. The underwriting standards require lenders to consider, among other factors, the borrower's current income, current employment status, credit history, monthly payment for mortgage, monthly payment for other loan obligations and the borrower's total debt-to-income ratio. Further, the QM underwriting standards generally prohibit loans with excessive points and fees, interest-only or negative-amortization features (subject to limited exceptions), or terms greater than 30 years.

On the same date as it issued the final Ability to Repay/final QM standards, the CFPB also issued a proposal that would allow small creditors (generally those with assets under $2 billion) in rural or underserved areas to treat first lien balloon mortgage loans that they offer as QM mortgages. Comments were due by February 25, 2013. The QM liability safe harbor could provide incentives to lenders, including the Banks' members, to limit their mortgage lending to QMs or otherwise reduce their origination of mortgage loans that are not QMs. This approach could reduce the overall level of members' mortgage loan lending and, in turn, reduce demand for Bank advances. Additionally, the value and marketability of mortgage loans that are not QMs, including those pledged as collateral to secure member advances, may be adversely affected.

Basel Committee on Banking Supervision - Liquidity Framework. On January 6, 2013, the Basel Committee on Banking Supervision (the Basel Committee) announced amendments to the Basel liquidity standards, including the Liquidity Coverage Ratio (LCR). The amendments include the following: (1) revisions to the definition of high quality liquid assets (HQLA) and net cash outflows; (2) a timetable for phase-in of the standard; (3) a reaffirmation of the usability of the stock of liquid assets in periods of stress, including during the transition period; and (4) an agreement for the Basel Committee to conduct further work on the interaction between the LCR and the provision of central bank facilities. Under the amendment, the LCR buffer would be set at 60% of outflows over a 30-day period when the rule becomes effective in 2015, and then increase steadily until reaching 100% four years later. The definition of HQLA has been amended to expand the eligible assets, including residential mortgage assets. In late February 2013, it was reported that the U.S. banking regulators expect to customize the Basel III liquidity rules and expect to issue their final rules later in 2013.

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Risk Management

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

Risk Governance

The Bank’s lending, investment and funding activities and use of derivative instruments expose the Bank to a number of risks that include market and interest rate risk, credit and counterparty risk, liquidity and funding risk, and operating and business risk, among others, including those described in Item 1A. Risk Factors in the Bank's 2012 Form 10-K. The Bank’s risks are affected by current and projected financial and residential market trends, which are discussed in the Executive Summary portion of this Item 2.

Details regarding the Bank's Risk Governance framework and processes are included in the "Risk Governance" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2012 Form 10-K.

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

The current Board-approved floor for MV/CS is 90.0%. MV/CS is measured against the floor monthly. When MV/CS is below the established floor, excess capital stock repurchases and dividend payouts are restricted. When MV/CS is above the established floor, additional analysis is performed, taking into consideration the impact of excess capital stock repurchases and/or dividend payouts.

The MV/CS ratio was 118.0% and 115.1% at March 31, 2013 and December 31, 2012, respectively. The improvementin the MV/CS during the first quarter of 2013 was primarily due to higher prices and principal paydowns on the private label MBS portfolio and increased retained earnings. Because the MV/CS ratio was above the 90.0% floor at March 31, 2013, the Bank performed additional analysis of capital adequacy taking into consideration the impact of excess capital stock repurchases and dividend payouts to determine if any excess stock should be repurchased. As a result of this analysis, the Bank repurchased $400 million in excess capital stock on April 30, 2013. The Bank also executed partial repurchases in February 2013 which totaled $300 million. These repurchases were somewhat offset by member capital stock purchases associated with incremental advance borrowing during the first quarter of 2013. The effect of the net capital reduction was an additional improvement in the MV/CS ratio.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid only cash dividends. On February 22, 2013, the Bank paid an annualized dividend of 32 basis points per share, which was based on average 3-month LIBOR for the fourth quarter 2012. On April 30, 2013, the Bank paid an annualized dividend of 29 basis points per share, which was based on average 3-month LIBOR for the first quarter of 2013.

In making decisions regarding future repurchases of excess capital stock and payment of dividends, the Bank will continue to monitor the MV/CS ratio as well as the condition of its private label MBS portfolio, its overall financial performance and retained earnings, developments in the mortgage and credit markets and other relevant information as the basis for determining the status of dividends and excess capital stock repurchases in future periods. See the “Capital and Retained Earnings” discussion in Financial Condition in Item 2. Management’s Discussion and Analysis in this Form 10-Q for details regarding the Bank’s Retained Earnings policy.

Subprime and Nontraditional Loan Exposure.The Bank policy definitions of subprime and nontraditional residential mortgage loans and securities are consistent with Federal Financial Institutions Examination Council (FFIEC) and Finance Agency guidance. According to policy, loans identified as subprime are not eligible to be included in the member’s collateral position. However, the policy allows for low FICO loans with reasonable mitigating credit factors (i.e. low LTV or debt-to-

22

income ratios). Therefore, the Bank’s definition of a subprime loan is a loan with a low FICO score that does not possess reasonable mitigating credit factors.

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

In addition, an enhanced reporting process has been established to aggregate the volume of the aforementioned loans and securities. Lastly, with respect to collateral, all members are required to identify subprime, low FICO score and nontraditional loans and provide periodic certification that they comply with the FFIEC guidance.

Qualitative and Quantitative Disclosures Regarding Market Risk

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

The Bank's Market Risk Model. Significant resources are devoted to ensuring that the level of interest rate risk in the balance sheet is accurately measured, thus allowing management to monitor the risk against policy and regulatory limits. The Bank uses an externally developed market risk model to evaluate its financial position and interest rate risk. Management regularly reviews the major assumptions and methodologies used in the model, as well as available upgrades to the model. One of the most critical market-based model assumptions relates to the prepayment of principal on mortgage-related instruments. The Bank continues to upgrade the mortgage prepayment models used within the market risk model to more accurately reflect expected prepayment behavior.

The Bank regularly validates the models used to measure market risk. Such model validations are generally performed by third-party specialists and are supplemented by additional validation processes performed by the Bank, most notably, benchmarking model-derived fair values to those provided by third-party services or alternative internal valuation models. This analysis is performed by a group independent of the business unit measuring risk and conducting the transactions. Results of the validation process, as well as any changes in valuation methodologies, are reported to the Bank's Asset Liability Committee (ALCO), which is responsible for reviewing and approving the approaches used in the valuation to ensure that they are well controlled and effective, and result in reasonable fair values.

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

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

Management uses an alternative risk profile to better reflect the underlying interest rate risk and accommodate prudent management of the Bank's balance sheet. The alternate methodology removes the interest rate sensitivity of impaired private label MBS and more fully reflects the credit-intensive nature of the securities and resulting low correlation of price changes to interest rates in the current environment.

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The following table presents the Bank's duration of equity exposure calculated in accordance with the alternate methodology and the actual duration of equity at March 31, 2013 and December 31, 2012.

(in years)	Base Case	Up 100  basis points	Up 200  basis points
Alternate duration of equity:
March 31, 2013	2.0	1.3	1.8
December 31, 2012	1.1	0.6	1.3
Actual duration of equity:
March 31, 2013	3.3	2.4	3.0
December 31, 2012	2.5	1.8	2.6

Note:

Given the low level of interest rates, an instantaneous parallel interest rate shock of “down 200 basis points” and “down 100 basis points” cannot be meaningfully measured for these periods and therefore is not presented.

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

Earned Dividend Spread (EDS). The Bank's asset/liability management policy also measures interest rate risk based on an EDS. EDS is defined as the Bank's return on average capital stock in excess of the average return of an established benchmark market index, 3-month LIBOR in the Bank's case, for the period measured. The EDS Floor represents the minimum acceptable return under the selected interest rate scenarios, for both Year 1 and Year 2. The EDS Floor is 3-month LIBOR plus 15 basis points. EDS Volatility is a measure of the variability of the Bank's EDS in response to shifts in interest rates, specifically the change in EDS for a given time period and interest rate scenario compared to the current base forecasted EDS. Consistent with the Return Volatility metric, EDS is measured over both a rolling forward one to 12 month time period (Year 1) and a 13 to 24 month time period (Year 2), for selected interest rate scenarios.

The following table presents the Bank's EDS level and volatility as of March 31, 2013 and December 31, 2012. These metrics are presented as spreads over 3-month LIBOR. The steeper and flatter yield curve shift scenarios shown below are represented by appropriate increases and decreases in short-term and long-term interest rates using the three-year point on the yield curve as the pivot point. Given the current low rate environment, management replaced the “down 200 basis points parallel” rate scenario with an additional non-parallel rate scenario that reflects a decline in longer term rates. The Bank was in compliance with the EDS Floor and EDS Volatility limits across all selected interest rate shock scenarios at March 31, 2013 and December 31, 2012.

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Prior to first quarter of 2013, in order to isolate the earnings movement related to interest rate changes, the Bank's EDS level and volatility was measured on an adjusted basis excluding future potential OTTI charges which were deemed to be material. Due to the diminished impact of such OTTI charges, the Bank reverted to using projected GAAP earnings for EDS evaluation during the first quarter of 2013. For comparative purposes, the December 31, 2012 results are shown on a GAAP basis.

	EDS Yield Curve Shifts(1) (expressed in basis points)
	Down 100 bps Longer Term Rate Shock		100 bps Steeper		Forward Rates	100 bps Flatter		Up 200 bps Parallel Shock
	EDS	Volatility	EDS	Volatility	EDS	EDS	Volatility	EDS	Volatility
Year 1 Return Volatility
March 31, 2013	325	(3)	335	7	328	410	82	466	138
December 31, 2012 (2)	346	13	357	24	333	443	110	547	214
Year 2 Return Volatility
March 31, 2013	477	18	489	30	459	455	(4)	473	14
December 31, 2012	472	13	479	20	459	483	24	539	80

Notes:

⁽¹⁾Based on GAAP earnings.

⁽²⁾ Comparable levels of EDS based on adjusted earnings (excluding future potential OTTI charges which were projected for Year 1 only) were 35 basis points higher for all scenarios.

Projected EDS in the forward rate scenario was relatively unchanged for both Year 1 and Year 2. EDS volatility changes were mainly the result of reduced floating rate reset risk and fixed rate asset purchases net of associated funding.

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

The daily exposure limit of EaR as approved by the Board is $2.2 million. The Bank's ALCO has established a lower exposure limit as an operating guideline at $1.8 million. The daily forward-looking exposure was below the applicable Board limit and operating guidelines during the first three months of 2013. At March 31, 2013, EaR measured $1.2 million.

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

TCE.The Bank manages the credit risk on a member’s total credit exposure or TCE, which includes advances with accrued interest, fees, basis adjustments and estimated prepayment penalties; letters of credit; forward-dated advance commitments; member derivatives; and MPF credit enhancement and related obligations. This credit risk is managed by monitoring the financial condition of borrowers and by requiring all borrowers (and, where applicable in connection with member affiliate pledge arrangements approved by the Bank, their affiliates) to pledge sufficient eligible collateral for all member obligations to the Bank to ensure that all potential forms of credit-related exposures are covered by sufficient eligible collateral. At March 31, 2013, TCE was $48.8 billion, comprised of approximately $39.2 billion in advance principal outstanding, $7.9 billion in letters of credit, $0.9 billion in advance commitments, and $0.8 billion in accrued interest, prepayment, MPF credit enhancement and other fees. The Bank establishes a maximum borrowing capacity (MBC) for each member based on collateral weightings applied to eligible collateral as described in the Bank’s Member Products Policy. Details regarding this Policy are available in the Advance Products discussion in Item 1. Business in the Bank's 2012 Form 10-K. According to the Policy, eligible collateral is weighted to help ensure that the collateral value will exceed the amount that may be owed to the Bank in the event of a default. The Bank also has the ability to call for additional or substitute collateral while any indebtedness is outstanding to protect the Bank’s fully secured position.

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

During the first three months of 2013, there were four failures of FDIC-insured institutions nationwide. None of these failures were members of the Bank. As of May 7, 2013, there were six additional failures of FDIC-insured institutions nationwide. None of these were members of the Bank.

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

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The following table presents the Bank’s top ten borrowers with respect to their TCE at March 31, 2013.

	March 31, 2013
(dollars in millions)	TCE		% of Total
Sovereign Bank, N.A, DE (1)	$	13,306.1	27.2	%
Chase Bank USA, N.A., DE	9,503.3		19.5
TD Bank, National Association, DE	6,924.3		14.2
Ally Bank, UT(2)	4,500.4		9.2
PNC Bank, National Association, DE (3)	4,079.8		8.4
Susquehanna Bank, PA	1,461.9		3.0
Northwest Savings Bank, PA	721.6		1.5
Fulton Bank, N.A., PA	571.2		1.2
Customers Bank, PA	537.5		1.1
Genworth Life Insurance Company, DE	493.3		1.0
	$	42,099.4	86.3	%
Other borrowers	6,753.4		13.7
Total TCE outstanding	$	48,852.8	100.0	%

Notes:

⁽¹⁾ Sovereign Bank, N.A is a subsidiary of Banco Santander, which is located in Spain.

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

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

The TCE of the majority of the top ten borrowers was primarily outstanding advance balances at March 31, 2013, except for one member whose TCE consisted entirely of letters of credit.

Member Advance Concentration Risk. The following table lists the Bank’s top ten borrowers based on advance balances at par as of March 31, 2013.

	March 31, 2013
(dollars in millions)	Advance Balance		% of Total
Sovereign Bank, N.A., DE (1)	$	12,265.0	31.3	%
Chase Bank USA, N.A., DE	9,500.0		24.2
Ally Bank, UT(2)	4,500.0		11.5
PNC Bank, National Association, DE (3)	4,000.1		10.2
Susquehanna Bank, PA	1,038.2		2.6
Northwest Savings Bank, PA	715.5		1.8
Customers Bank, PA	537.0		1.4
Genworth Life Insurance Company, DE	492.9		1.3
Wilmington Savings Fund Society FSB, DE	455.3		1.2
Fulton Bank, N.A., PA	448.4		1.1
	$	33,952.4	86.6	%
Other borrowers	5,277.7		13.4
Total advances	$	39,230.1	100.0	%

Notes:

⁽¹⁾ Sovereign Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

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

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

In comparison to the March 31, 2013 period-end balances disclosed above, the average year-to-date balances for the ten largest borrowers totaled $30.2 billion, or 84.8% of total average advances outstanding. During the quarter ended March 31, 2013, the maximum outstanding balance to any one borrower was $13.2 billion. The advances made by the Bank to these borrowers are secured by collateral with an estimated value, after collateral weightings, in excess of the book value of the

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advances. The Bank does not expect to incur any losses on these advances. The Bank has implemented specific credit and collateral review monitoring for these members.

Letters of Credit. The following table presents the Bank’s total outstanding letters of credit, as of March 31, 2013 and December 31, 2012. The majority of the balance was due to public unit deposit letters of credit, which collateralize public unit deposits. The letter of credit product is collateralized under the same procedures and guidelines that apply to advances. There has never been a draw on any letter of credit issued by the Bank.

(dollars in millions)	March 31, 2013		December 31, 2012
Letters of credit:
Public unit deposit	$	7,774.2	$	7,489.8
Tax exempt bonds	82.3		84.0
Other	51.1		62.4
Total	$	7,907.6	$	7,636.2
Expiration terms:
One year or less	$	7,174.5	$	6,900.6
After one year through five years	733.1		735.6
Total	$	7,907.6	$	7,636.2

At March 31, 2013 and December 31, 2012, the Bank had a concentration of letters of credit to one member totaling $6.9 billion and $6.6 billion, respectively. These amounts accounted for 87.6% and 85.9% of the total outstanding amount for each period, respectively.

Collateral Policies and Practices. All members are required to maintain collateral to secure their TCE. Refer to the Risk Management section of the Bank's 2012 Form 10-K for additional information related to collateral policies.

Collateral Agreements and Valuation. The Bank provides members with two options regarding collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement. Under a blanket lien agreement, the Bank obtains a lien against all of the member’s unencumbered eligible collateral assets and most ineligible assets to secure the member’s obligations with the Bank. Under a specific collateral agreement, the Bank obtains a lien against specified eligible collateral assets of the member or its affiliate to secure the member’s obligations with the Bank. The member provides a detailed listing, as an addendum to the specific collateral agreement, identifying those assets pledged as collateral. Details regarding average lending values provided under both blanket liens and specific liens and delivery arrangements are available in the "Credit and Counterparty Risk - TCE and Collateral" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2012 Form 10-K.

The following table summarizes total eligible collateral values for all of the Bank’s members, after collateral weighting, by type under both blanket lien and specific collateral pledge agreements as of March 31, 2013 and December 31, 2012. The amount of excess collateral by individual borrowers varies significantly.

(dollars in millions) All members	March 31, 2013					December 31, 2012
	Amount			Percentage		Amount			Percentage
One-to-four single family residential mortgage loans	$	63,570.2		45.6	%	$	58,905.5		44.5	%
High quality investment securities(1)	2,960.2			2.1		3,032.3			2.3
ORERC(2)/CFI eligible collateral	64,089.3			45.9		61,579.6			46.5
Multi-family residential mortgage loans	8,970.0			6.4		8,901.4			6.7
Total eligible collateral value	$	139,589.7		100.0	%	$	132,418.8		100.0	%
Total TCE	$	48,852.8				$	48,115.9
Collateralization ratio (eligible collateral value to TCE outstanding)	285.7		%			275.2		%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. agency securities, TLGP investments, GSE MBS and private label MBS with a credit rating of AAA and acquired by the member prior to July 10, 2007. Upon delivery, these securities are valued daily and private label MBS are subject to weekly ratings reviews.

⁽²⁾Other real estate related collateral.

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The following tables present information on a combined basis regarding the type of collateral securing the outstanding credit exposure and the collateral status of all member borrowers as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	47,894.7	40.9	%	$	10,118.8	89.3	%	$	1,090.0	37.5	%	$	59,103.5	45.0	%
High quality investment securities(1)	1,187.4		1.0		1,213.4		10.7		177.4		6.1		2,578.2		2.0
ORERC(2)/CFI eligible collateral	59,244.4		50.7		—		—		1,528.9		52.5		60,773.3		46.3
Multi-family residential mortgage   loans	8,660.6		7.4		—		—		113.2		3.9		8,773.8		6.7
Total eligible collateral value	$	116,987.1	100.0	%	$	11,332.2	100.0	%	$	2,909.5	100.0	%	$	131,228.8	100.0	%
Total TCE	$	38,151.8	78.0	%	$	10,315.9	21.0	%	$	385.1	1.0	%	$	48,852.8	100.0	%
Number of members	182		87.5	%	7		3.4	%	19		9.1	%	208		100.0	%

	December 31, 2012
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	46,112.5	40.9	%	$	7,317.0	92.4	%	$	1,315.4	35.1	%	$	54,744.9	44.1	%
High quality investment securities(1)	1,442.6		1.3		599.7		7.6		205.4		5.5		2,247.7		1.8
ORERC(2)/CFI eligible collateral	56,527.7		50.2		—		—		2,060.8		55.0		58,588.5		47.1
Multi-family residential mortgage   loans	8,543.3		7.6		—		—		163.0		4.4		8,706.3		7.0
Total eligible collateral value	$	112,626.1	100.0	%	$	7,916.7	100.0	%	$	3,744.6	100.0	%	$	124,287.4	100.0	%
Total TCE	$	40,620.0	84.4	%	$	7,045.2	14.6	%	$	450.7	1.0	%	$	48,115.9	100.0	%
Number of members	183		87	%	5		2	%	24		11	%	212		100.0	%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. agency securities, TLGP investments, GSE MBS and private label MBS with a credit rating of AAA and acquired by the member prior to July 10, 2007. Members under blanket delivery status have the option to deliver such high quality investment securities to the Bank to increase their maximum borrowing capacity. Upon delivery, these securities are valued daily and private label MBS are subject to weekly ratings reviews.

⁽²⁾Other real estate related collateral.

Credit and Counterparty Risk - Investments

The Bank is also subject to credit risk on investments consisting of money market investments and investment securities. As of March 31, 2013 and December 31, 2012, the Bank’s carrying value of investment securities issued by entities other than the U.S. government, Federal agencies or GSEs was $2.8 billion and $3.3 billion, respectively.

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Investment External Credit Ratings. The following tables present the Bank’s investment carrying values as of March 31, 2013 and December 31, 2012 based on the lowest rating from the NRSROs (Moody’s, S&P and Fitch). Carrying values for AFS and trading securities represent fair value.

	March 31, 2013 (1) (2)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Total
Money market investments:
Securities purchased under agreements to resell	$	—	$	500.0	$	350.0	$	—	$	—	$	850.0
Federal funds sold	—		1,350.0		1,950.0		245.0		—		3,545.0
Total money market investments	—		1,850.0		2,300.0		245.0		—		4,395.0
Investment securities:
U.S. Treasury bills	—		200.0		—		—		—		200.0
Other U.S. obligations	—		21.0		—		—		—		21.0
GSE securities	—		1,720.4		—		—		—		1,720.4
State and local agency obligations	12.0		253.7		—		—		—		265.7
Total non-MBS	12.0		2,195.1		—		—		—		2,207.1
Other U.S. obligations residential MBS	—		2,177.4		—		—		—		2,177.4
GSE residential MBS	—		4,658.3		—		—		—		4,658.3
Private label residential MBS	—		28.7		126.2		424.8		1,901.0		2,480.7
Private label HELOCs	—		—		11.5				14.3		25.8
Total MBS	—		6,864.4		137.7		424.8		1,915.3		9,342.2
Total investments	$	12.0	$	10,909.5	$	2,437.7	$	669.8	$	1,915.3	$	15,944.3

	December 31, 2012 (1) (2)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Total
Money market investments:
Securities purchased under agreements to resell	$	—	$	1,500.0	$	1,000.0	$	—	$	—	$	2,500.0
Federal funds sold			2,250.0		1,950.0		395.0				4,595.0
Total money market investments	—		3,750.0		2,950.0		395.0		—		7,095.0
Investment securities:
Certificates of deposit	—		400.0		—		—		—		400.0
U.S.Treasury bills	—		350.0		—		—		—		350.0
Other U.S. Obligations	—		21.0		—		—		—		21.0
GSE securities	—		1,194.1		—		—		—		1,194.1
State and local agency obligations	12.2		253.7		—		—		—		265.9
Total non-MBS	12.2		2,218.8		—		—		—		2,231.0
Other U.S. obligations residential MBS	—		2,233.3		—		—		—		2,233.3
GSE residential MBS	—		4,835.0		—		—		—		4,835.0
Private label residential MBS	23.7		43.7		113.0		487.3		1,951.3		2,619.0
Private label HELOCs	—		12.1		—		—		14.8		26.9
Total MBS	23.7		7,124.1		113.0		487.3		1,966.1		9,714.2
Total investments	$	35.9	$	13,092.9	$	3,063.0	$	882.3	$	1,966.1	$	19,040.2

Notes:

⁽¹⁾ Various deposits not held as investments as well as mutual fund equity investments held by the Bank through Rabbi trusts which are not generally assigned a credit rating are excluded from the tables above. The mutual fund equity investment balances totaled $5.7 million and $5.6 million at March 31, 2013 and December 31, 2012, respectively.

⁽²⁾ Balances exclude total accrued interest of $12.6 million and $12.8 million at March 31, 2013 and December 31, 2012, respectively.

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As of March 31, 2013, there were credit rating agency actions affecting a total of 11 private label MBS in the investment portfolio resulting in downgrades of at least one credit rating level since December 31, 2012. These securities had a total par value of $150.1 million as of March 31, 2013 reflected in the table above. Securities downgraded from “investment grade” to “below investment grade” represented a total par balance of $36.6 million at March 31, 2013.

The Bank also manages credit risk based on an internal credit rating system. For purposes of determining the internal credit rating, the Bank measures credit exposure through a process which includes internal credit review and various external factors, including placement of the counterparty on negative watch by one or more NRSROs. In all cases, the Bank’s assigned internal credit rating will never be higher than the lowest external credit rating. For internal reporting purposes, the incorporation of negative credit watch into the credit rating analysis of an investment may translate into a downgrade of one credit rating level from the external rating.

Short-term Investments. The Bank maintains a short-term investment portfolio to provide funds to meet the credit needs of its members and to maintain liquidity. The FHLBank Act and Finance Agency regulations set liquidity requirements for the FHLBanks. In addition, the Bank maintains a contingency liquidity plan in the event of operational disruptions at the Bank and the Office of Finance (OF). See the Liquidity and Funding Risk section of this Item 2 for a discussion of the Bank’s liquidity management.

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

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

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

• Commercial paper. Unsecured debt issued by corporations, typically for the financing of accounts receivable, inventories, and meeting short-term liabilities; and

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

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

As of March 31, 2013, the Bank had unsecured exposure to nine counterparties totaling $3.5 billion, or an average of $393.9 million per counterparty, with unsecured exposure to six counterparties exceeding 10% of the total exposure.

The following table presents the Banks' unsecured credit exposure with private counterparties by investment type at March 31, 2013 and December 31, 2012. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions)
Carrying Value (1)	March 31, 2013		December 31, 2012
Certificates of deposit	$	—	$	400.0
Federal funds sold	3,545.0		4,595.0
Total	$	3,545.0	$	4,995.0

Note:

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

As of March 31, 2013, 74.8% of the Bank’s unsecured investment credit exposure in Federal funds sold was to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing exposures.

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

31

total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. The percentage that the Bank may offer for term extensions of unsecured credit ranges from 1% to 15% based on the counterparty's credit rating. The calculation of term extensions of unsecured credit includes on-balance sheet transactions, off-balance sheet commitments, and derivative transactions.

Finance Agency regulation also permits the Bank to extend additional unsecured credit for overnight transactions and for sales of Federal funds subject to continuing contracts that renew automatically. For overnight exposures only, the Bank's total unsecured exposure to a counterparty may not exceed twice the applicable regulatory limit, or a total of 2% to 30% of the eligible amount of regulatory capital, based on the counterparty's credit rating. As of March 31, 2013, the Bank was in compliance with the regulatory limits established for unsecured credit.

The Bank is prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks. The Bank is in compliance with the regulation and did not own any financial instruments issued by foreign sovereign governments as of March 31, 2013.

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

The following table presents the long-term credit ratings of the unsecured investment credit exposures by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks based on the NRSROs used. This table does not reflect the foreign sovereign government's credit rating. The Bank mitigates this credit risk by generally investing in unsecured investments of highly-rated counterparties and limits foreign exposure to those countries rated AA or higher.

(in millions)
March 31, 2013 (1)
Carrying Value
Domicile of Counterparty	Investment Grade (2)(3)
	AA		A		BBB		Total
Domestic	$	200.0	$	—	$	80.0	$	280.0
U.S. subsidiaries of foreign commercial banks	—		450.0		165.0		615.0
Total domestic and U.S. subsidiaries of foreign commercial banks	200.0		450.0		245.0		895.0
U.S. branches and agency offices of foreign commercial banks:
Canada	—		1,000.0		—		1,000.0
Netherlands	750.0		—		—		750.0
Norway	—		500.0		—		500.0
Sweden	400.0		—		—		400.0
Total U.S. branches and agency offices of foreign commercial banks	1,150.0		1,500.0		—		2,650.0
Total unsecured investment credit exposure	$	1,350.0	$	1,950.0	$	245.0	$	3,545.0

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(in millions)
December 31, 2012
Carrying Value
Domicile of Counterparty	Investment Grade (2)(3)
	AA		A		BBB		Total
Domestic	$	—	$	—	$	230.0	$	230.0
U.S. subsidiaries of foreign commercial banks	—		500.0		165.0		665.0
Total domestic and U.S. subsidiaries of foreign commercial banks	—		500.0		395.0		895.0
U.S. branches and agency offices of foreign commercial banks:
Australia	750.0		—		—		750.0
Canada	400.0		1,000.0		—		1,400.0
Germany	—		450.0		—		450.0
Sweden	750.0		—		—		750.0
Netherlands	750.0		—		—		750.0
Total U.S. branches and agency offices of foreign commercial banks	2,650.0		1,450.0		—		4,100.0
Total unsecured investment credit exposure	$	2,650.0	$	1,950.0	$	395.0	$	4,995.0

Notes:

⁽¹⁾ Does not reflect any changes in ratings, outlook or watch status occurring after March 31, 2013. These ratings represent the lowest rating available for each security owned by the Bank based on the NRSROs used by the Bank. The Bank’s internal ratings may differ from those obtained from the NRSROs.

⁽²⁾ Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

⁽³⁾ Represents the NRSRO rating of the counterparty not the country. There were no AAA rated investments at either March 31, 2013 or December 31, 2012.

The following table presents the remaining contractual maturity of the Bank's unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks. The Bank also mitigates the credit risk on investments by generally investing in investments that have short-term maturities. At March 31, 2013 and December 31, 2012, 100% and 92%, respectively, of the carrying value of the total unsecured investments held by the Bank had overnight maturities.

(in millions)
March 31, 2013
Carrying Value (1)
Domicile of Counterparty	Overnight (2)		Due 2 days through 30 days		Due 31 days through 90 days		Due 91 days through 180 days		Due 181 days through 270 days		Due after 270 days		Total
Domestic	$	280.0	$	—	$	—	$	—	$	—	$	—	$	280.0
U.S. subsidiaries of foreign   commercial banks	615.0		—		—		—		—		—		615.0
Total domestic and U.S.   subsidiaries of foreign   commercial banks	895.0		—		—		—		—		—		895.0
U.S. branches and agency offices   of foreign commercial banks:
Canada	1,000.0		—		—		—		—		—		1,000.0
Netherlands	750.0		—		—		—		—		—		750.0
Norway	500.0		—		—		—		—		—		500.0
Sweden	400.0		—		—		—		—		—		400.0
Total U.S. branches and agency   offices of foreign commercial   banks	2,650.0		—		—		—		—		—		2,650.0
Total unsecured investment credit   exposure	$	3,545.0	$	—	$	—	$	—	$	—	$	—	$	3,545.0

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(in millions)
December 31, 2012
Carrying Value (1)
Domicile of Counterparty	Overnight (2)		Due 2 days through 30 days		Due 31 days through 90 days		Due 91 days through 180 days		Due 181 days through 270 days		Due after 270 days		Total
Domestic	$	230.0	$	—	$	—	$	—	$	—	$	—	$	230.0
U.S. subsidiaries of foreign   commercial banks	665.0		—		—		—		—		—		665.0
Total domestic and U.S.   subsidiaries of foreign   commercial banks	895.0		—		—		—		—		—		895.0
U.S. branches and agency offices   of foreign commercial banks:
Australia	750.0		—		—		—		—		—		750.0
Canada	1,000.0		200.0		200.0		—		—		—		1,400.0
Germany	450.0		—		—		—		—		—		450.0
Sweden	750.0		—		—		—		—		—		750.0
Netherlands	750.0		—		—		—		—		—		750.0
Total U.S. branches and agency   offices of foreign commercial   banks	3,700.0		200.0		200.0		—		—		—		4,100.0
Total unsecured investment credit   exposure	$	4,595.0	$	200.0	$	200.0	$	—	$	—	$	—	$	4,995.0

Note:

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

⁽²⁾ Overnight category represents Federal funds sold at March 31, 2013 and December 31, 2012.

In addition, at March 31, 2013, the Bank had $0.9 billion in overnight securities purchased under agreements to resell which were secured by U.S. Treasuries. These investments were with one counterparty each in Canada ($0.5 billion) and the United Kingdom ($0.4 billion). At December 31, 2012, the Bank had $2.5 billion in overnight securities purchased under agreements to resell which were secured by U.S. Treasuries. These investments were with one counterparty each in Canada ($1.5 billion), the United Kingdom ($0.8 billion), and Germany ($0.2 billion).

U.S. Treasury Bills, Agency, GSE Securities and State and Local Agency Obligations. In addition to U.S. Treasury bills and securities issued or guaranteed by U.S. agencies, the Bank invests in and is subject to credit risk related to GSE securities and state and local agency obligations. The Bank maintains a portfolio of U.S. Treasury, U.S. agency and GSE securities as a secondary liquidity portfolio. Further, the Bank maintains a portfolio of state and local agency obligations to invest in mission-related assets and enhance net interest income. These portfolios totaled $2.2 billion and $1.8 billion as of March 31, 2013 and December 31, 2012, respectively.

Agency and GSE MBS. The Bank invests in and is subject to credit risk related to MBS issued by Federal agencies and GSEs that are directly supported by underlying mortgage loans. The Bank’s total agency and GSE MBS portfolio decreased $232.6 million from December 31, 2012 to March 31, 2013 due to paydowns.

Private Label MBS. The Bank also holds investments in private label MBS, which are also supported by underlying mortgage loans.The Bank made investments in private label MBS that were rated AAA at the time of purchase with the exception of one, which was rated AA at the time of purchase. The carrying value of the Bank’s private label MBS portfolio decreased $139.4 million from December 31, 2012 to March 31, 2013. This decline was primarily due to repayments, partially offset by an increase in the fair value of private label MBS held as AFS.

The increase in prices on OTTI securities during the first quarter of 2013 increased the unrealized gains in AOCI from $19.0 million at December 31, 2012 to $48.9 million as of March 31, 2013. The weighted average price on these OTTI securities increased from 89 at December 31, 2012 to 90 March 31, 2013. These fair values are determined using unobservable inputs (i.e., Level 3) and are fundamentally the average prices derived from four third-party pricing services. The Bank uses the unadjusted prices received from the third-party pricing services in its process relating to fair value calculations and

34

methodologies as described further in the Critical Accounting Policies section in Item 7. Management’s Discussion and Analysis in the Bank's 2012 Form 10-K.

Approximately 26.8% of the Bank’s MBS portfolio at March 31, 2013 was issued by private label issuers. The Bank generally focused its private label MBS purchases on credit-enhanced, senior tranches of securities in which the subordinate classes of the securities provide credit support for the senior class of securities. Losses in the underlying loan pool would generally have to exceed the credit support provided by the subordinate classes of securities before the senior class of securities would experience any credit losses. In late 2007, the Bank discontinued the purchase of private label MBS.

The prospectuses and offering memoranda for the private label MBS in the Bank’s portfolio contain representations and warranties that the mortgage loans in the collateral pools were underwritten to certain standards. Based on the performance of the mortgages in some of the collateral pools, among other information, it appears that the failure to adhere to the stated underwriting standards was so routine that the underwriting standards were all but completely abandoned. The issuers, underwriters and rating agencies all failed to disclose that the underwriting standards that were represented in the offering documents were routinely not followed or had been abandoned altogether. This failure resulted in the Bank owning certain private label MBS on which it has recognized losses and is more fully explained in the discussion on OTTI later on in this Risk Management section. The Bank has filed lawsuits against certain issuers, underwriters and rating agencies as more fully discussed in Part II, Item 1. Legal Proceedings in this Form 10-Q.

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

The following table presents the par value of the private label MBS portfolio by various categories of underlying collateral and by interest rate payment terms. Unless otherwise noted, the private label MBS exposures below, and throughout this report, reflect the most conservative classification provided by the credit rating agencies at the time of issuance.

Characteristics of Private Label MBS by Type of Collateral

	March 31, 2013						December 31, 2012
(dollars in millions)	Fixed Rate		Variable Rate		Total		Fixed Rate		Variable Rate		Total
Private label residential MBS:
Prime	$	274.9	$	1,283.7	$	1,558.6	$	313.9	$	1,357.6	$	1,671.5
Alt-A	532.9		662.7		1,195.6		559.9		705.7		1,265.6
Subprime	—		6.3		6.3		—		6.5		6.5
Total private label MBS	$	807.8	$	1,952.7	$	2,760.5	$	873.8	$	2,069.8	$	2,943.6

Certain MBS securities have a fixed-rate component for a specified period of time, then have a rate reset on a given date. When the rate is reset, the security is then considered to be a variable-rate security. Examples include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid adjustable-rate mortgages(ARMs). In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are all reported as variable-rate, regardless of whether the rate reset date has occurred.

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Private Label MBS Collateral Statistics. The following tables provide collateral performance and credit enhancement information for the Bank’s private label MBS portfolio by par and by collateral type as of March 31, 2013. The Bank has not purchased any private label MBS since 2007.

	Private Label MBS by Vintage - Prime
(dollars in millions)	2007			2006			2005			2004 and earlier			Total
Par by lowest external long-  term rating:
AAA	$	—		$	—		$	—		$	—		$	—
AA	—			—			—			21.9			21.9
A	—			—			1.5			76.4			77.9
BBB	—			—			31.3			243.3			274.6
Below investment grade:
BB	—			25.0			49.6			138.8			213.4
B	—			—			58.8			127.4			186.2
CCC	—			9.3			5.8			37.2			52.3
CC	21.9			120.3			39.5			—			181.7
C	118.0			108.0			—			—			226.0
D	211.3			57.3			56.0			—			324.6
Total	$	351.2		$	319.9		$	242.5		$	645.0		$	1,558.6
Amortized cost	$	280.7		$	285.4		$	231.2		$	640.5		$	1,437.8
Gross unrealized losses	—			(0.8		)	(6.1		)	(6.8		)	(13.7		)
Fair value	307.1			293.0			232.6			641.9			1,474.6
OTTI :
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	—			—			—			—			—
Net OTTI losses, credit portion	$	—		$	—		$	—		$	—		$	—
Weighted average fair value/par	87.4		%	91.6		%	95.9		%	99.5		%	94.6		%
Original weighted average credit support	6.9			8.0			4.3			5.3			6.1
Weighted-average credit support - current	0.7			2.3			4.9			11.1			6.0
Weighted avg. collateral delinquency(1)	16.0			13.6			11.9			8.8			11.9

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	Private Label MBS by Vintage - Alt-A (2)
(dollars in millions)	2007			2006			2005			2004 and earlier			Total
Par by lowest external long-  term rating:
AAA	$	—		$	—		$	—		$	—		$	—
AA	—			—			—			6.9			6.9
A	—			22.2			8.0			30.9			61.1
BBB	—			—			—			146.6			146.6
Below investment grade:
BB	—			—			—			10.0			10.0
B	—			—			42.1			6.9			49.0
CCC	—			39.6			59.0			57.5			156.1
CC	—			49.5			38.8			3.0			91.3
C	69.2			57.5			15.7			—			142.4
D	165.5			343.6			23.1			—			532.2
Total	$	234.7		$	512.4		$	186.7		$	261.8		$	1,195.6
Amortized cost	$	173.6		$	409.9		$	176.8		$	254.4		$	1,014.7
Gross unrealized losses	(1.8		)	(12.7		)	(6.5		)	(2.9		)	(23.9		)
Fair value	174.7			415.4			172.5			255.2			1,017.8
OTTI:
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	(0.2		)	(0.1		)	—			(0.1		)	(0.4		)
Net OTTI losses, credit portion	$	(0.2	)	$	(0.1	)	$	—		$	(0.1	)	$	(0.4	)
Weighted average fair value/par	74.4		%	81.1		%	92.4		%	97.5		%	85.1		%
Original weighted average credit support	13.6			9.8			5.9			5.0			8.9
Weighted-average credit support - current	—			1.3			6.3			15.1			5.0
Weighted avg. collateral delinquency(1)	25.7			21.4			14.1			9.9			18.6

Notes:

⁽¹⁾Delinquency information is presented at the cross-collateralization level.

⁽²⁾ Includes HELOCs

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

Private Label MBS Issuers and Servicers. The following tables provide information regarding the issuers and master servicers of the Bank’s private label MBS portfolio that exceeded 5% of the total portfolio as of March 31, 2013. Management actively monitors the credit quality of the portfolio’s master servicers. For further information on the Bank’s MBS master servicer risks, see additional discussion in Item 1A. Risk Factors in the Bank's 2012 Form 10-K.

	March 31, 2013
Original Issuers (in millions)	Total Carrying Value		Total Fair Value
Lehman Brothers Holdings Inc. (1)	$	616.1	$	616.6
J.P. Morgan Chase & Co.	510.1		512.1
Countrywide Financial Corp. (2)	275.6		270.7
Wells Fargo & Co.	258.5		260.5
Citigroup Inc.	195.2		188.8
GMAC LLC	140.6		140.7
Other	510.4		508.3
Total	$	2,506.5	$	2,497.7

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	March 31, 2013
Current Master Servicers (in millions)	Total Carrying Value		Total Fair Value
Wells Fargo Bank, NA	$	847.8	$	851.4
Nationstar Mortgage Inc.	616.1		616.6
Bank of America Corp.	323.8		318.5
Citimortgage Inc.	195.2		188.8
U.S. Bank NA	193.2		193.2
Other	330.4		329.2
Total	$	2,506.5	$	2,497.7

Notes:

⁽¹⁾Lehman Brothers Holdings Inc. filed for bankruptcy in 2008. Nationstar Mortage Inc. is now servicing all but one of the bonds, and six different trustees have assumed responsibility for these 20 bonds. However, the Bank believes the original issuer is more relevant with respect to understanding the bond underwriting criteria.

⁽²⁾Bank of America acquired Countrywide Financial Corp and Countrywide Home Loan Servicing LP following issuance of certain private label MBS. The Bank believes the original issuer is more relevant with respect to understanding the bond underwriting criteria. However, Bank of America is currently servicing these private label MBS.

Private Label MBS in Unrealized Loss Positions. The following table provides information on the portion of the private label MBS portfolio in an unrealized loss position at March 31, 2013.

Private Label MBS in Unrealized Loss Positions

	March 31, 2013
(dollars in millions)	Par		Amortized Cost		Gross Unrealized Losses			Wtd-Avg Collateral Del Rate(1)
Residential MBS backed by:
Prime loans:
First lien	$	387.1	$	384.3	$	(13.7	)	12.1	%
Alt-A and other:
Alt-A other	602.0		502.9		(23.9		)	22.5	%
Subprime loans:
First lien	3.9		3.9		(0.2		)	25.0	%

Notes:

⁽¹⁾ Delinquency information is presented at the cross-collateralization level.

OTTI. During the three months ended March 2013 and 2012, the Bank recognized $0.4 million and $7.2 million, respectively, of credit-related OTTI charges in earnings (the credit loss) related to private label MBS after the Bank determined that it was likely that it would not recover the entire amortized cost of each of these securities. Because the Bank does not intend to sell and it is not more likely than not that the Bank will be required to sell any OTTI securities before anticipated recovery of their amortized cost basis, the Bank does not have an additional OTTI charge for the difference between amortized cost and fair value. The Bank has not recorded OTTI on any other type of security (i.e., U.S. agency MBS or non-MBS securities).

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

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The Bank’s quarterly OTTI analysis is based on current and forecasted economic trends. The Bank’s life-to-date credit losses are concentrated in its 2006 and 2007 vintage bonds. These vintages represent 92% of life-to-date credit losses, of which 48% relates to Prime and 44% relates to Alt-A.

Significant assumptions used on securities that incurred a credit loss during the first quarter of 2013 are included in Note 5 to the unaudited financial statements included in this Form 10-Q. Significant assumptions used on all of the Bank’s private label MBS as part of its first quarter 2013 analysis, whether OTTI was recorded or not, are presented below.

	Significant Inputs for Private Label Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Prime:
2007	9.3	25.3	44.2	0.7
2006	10.2	22.3	40.0	2.5
2005	12.4	10.7	32.3	6.4
2004 and prior	17.2	5.1	30.1	9.5
Total Prime	12.6	15.2	36.2	5.1
Alt-A:
2007	8.7	42.6	46.4	0.0
2006	9.9	33.0	49.1	0.7
2005	10.8	19.9	43.4	1.6
2004 and prior	13.8	10.7	31.9	15.8
Total Alt-A	11.1	26.3	42.3	5.8
Subprime:
2004 and prior	7.0	30.2	65.2	40.4
Total Residential MBS	11.9	20.2	39.0	5.5

	Significant Inputs for HELOCs
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
HELOCs (Alt-A):
2006	14.7	0.0	100.0	15.4
2004 and prior	11.3	5.9	100.0	1.7
Total HELOCs (Alt-A)	12.5	3.7	100.0	6.8

At March 31, 2013, the Bank had 49 private label MBS that have had OTTI charges during their life. The Bank has recognized $279.0 million of credit losses on these securities life-to-date. The life-to-date credit loss excludes actual cash losses realized, which are recorded as a reduction to credit loss and par. The Bank recognized $68.0 million of actual cash losses life-to-date, of which $15.0 million was incurred during the first quarter of 2013. Also, during 2013, one OTTI security, which had life-to-date credit losses of $0.1 million matured, for which the Bank received all of the cash flows to which it was contractually entitled. The life-to-date credit loss excludes $106.0 million of credit losses related to securities sold in previous quarters for which the Bank recognized gains on sale of $15.6 million.

By comparison, at March 31, 2012, the Bank had 52 private label MBS that have had OTTI charges during their life, including one deemed to be OTTI for the first time. The Bank has recognized $318.3 million of credit losses on these securities life-to-date. During the first three months of 2012, the Bank realized $5.4 million of actual principal writedowns and $25.1 million life-to-date. The life-to-date credit loss excludes $106.0 million of credit losses related to securities sold in previous quarters for which the Bank recognized gains on sale of $15.6 million.

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The following table presents the amount of credit-related and noncredit-related OTTI charges the Bank recorded on its private label MBS portfolio, on both newly impaired and previously impaired securities, in the first quarter of 2013 and 2012.

	March 31, 2013							March 31, 2012
(in millions)	Credit Losses			Net Non-credit Losses		Total Losses		Credit Losses			Net Non-credit Losses			Total Losses
Securities newly impaired   during the period	$	—		$	—	$	—	$	(0.1	)	$	(0.7	)	$	(0.8	)
Securities previously   impaired prior to current   period	(0.4		)	0.4		—		(7.1		)	6.8			(0.3		)
Total	$	(0.4	)	$	0.4	$	—	$	(7.2	)	$	6.1		$	(1.1	)

Each quarter the Bank updates its estimated cash flow projections and determines if there is an increase in the estimated cash flows the Bank will receive. If there is an increase in estimated cash flows and it is deemed significant, it is recorded as an increase in the yield on the Bank’s investment and is recognized as interest income over the life of the investment. Significant increases in cash flows caused an increase in the yield on certain OTTI private label MBS resulting in $1.9 million and $1.8 million of interest income for three months ended March 31, 2013 and 2012, respectively.

The Bank transfers private label MBS from HTM to AFS when an OTTI credit loss is recorded on a security. Transferring securities at the time of an OTTI credit loss event is considered a deterioration in the credit quality of the security. The Bank believes that the transfer increases its flexibility to potentially sell other-than-temporarily-impaired securities if it makes economic sense. There were no transfers during the first three months of 2013. During the first three months of 2012, the Bank transferred private label MBS with a fair value of $11.3 million, as of the date of the transfer.

Management will continue to evaluate all impaired securities, including those on which OTTI has been recorded. Material credit losses have occurred and may occur in the future. The specific amount of credit losses will depend on the actual performance of the underlying loan collateral as well as the Bank’s future modeling assumptions. Assumption changes in future periods could materially impact the amount of OTTI credit-related losses which could be recorded. Additionally, if the performance of the underlying loan collateral deteriorates, the Bank could experience further credit losses on the portfolio. The Bank cannot estimate the future amount of any additional credit losses.

As discussed above, the projection of cash flows expected to be collected on private label MBS involves significant judgment with respect to key modeling assumptions. Therefore, on all private label MBS, including HELOC investments, the Bank performed a cash flow analysis under one additional scenario that represented meaningful, plausible and more adverse external assumptions. This more adverse scenario showed a larger home price decline and a slower rate of housing price recovery. Specifically, the short-term forecast is decreased by 5 percentage points, and housing price recovery rates that are 33% lower than the base case.

As shown in the table below, based on the estimated cash flows of the Bank’s private label MBS under the adverse case scenario the Bank’s first quarter 2013 credit losses would have increased $11.7 million. Under the stress scenario, the Bank may recognize a credit loss in excess of the current maximum credit loss, the difference between the security’s amortized cost basis and fair value, because the Bank believes fair value would decrease in the adverse scenario. The adverse scenario estimated cash flows were generated using the same model (Prime, Alt-A or subprime) as the base scenario. Using a model with more severe assumptions could increase the estimated credit loss recorded by the Bank. The adverse case housing price forecast is not management’s current best estimate of cash flows and is therefore not used as a basis for determining OTTI. The table below classifies results based on the classification at the time of issuance and not the model used to estimate the cash flows.

40

	Three Months Ended March 31, 2013
	Base Case						Adverse Case
($ in millions)	# of Securities	Unpaid Principal Balance		OTTI Related to Credit Loss			# of Securities (1)	Unpaid Principal Balance		OTTI Related to Credit Loss
Prime	—	$	—	$	—		11	$	289.7	$	(1.7	)
Alt-A	3	116.1		(0.3		)	8	368.8		(7.0		)
Subprime	—	—		—			1	2.4		—
HELOCs	1	2.0		(0.1		)	3	14.5		(3.4		)
Total	4	$	118.1	$	(0.4	)	23	$	675.4	$	(12.1	)

Note:

⁽¹⁾ Of these 23 securities, 22 had an OTTI credit loss recorded in a prior period.

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

Mortgage Loans.The Finance Agency has authorized the Bank to hold mortgage loans under the MPF Program whereby the Bank acquires mortgage loans from participating members in a shared credit risk structure. These assets carry CEs, which give them the approximate equivalent of a AA credit rating at the time of purchase by the Bank, although the CE is not actually rated. The Bank had net mortgage loans held for portfolio of $3.5 billion at both March 31, 2013 and December 31, 2012, respectively, after an allowance for credit losses of $13.4 million and $14.2 million, respectively.

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

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

The MPF Plus product required SMI under the MPF Program when each pool was established. At March 31, 2013, eight of the 14 MPF Plus pools still have SMI policies in place. The Bank does not currently offer the MPF Plus product and has not purchased loans under MPF Plus Commitments since July 2006. Per MPF Program guidelines, the existing MPF Plus product exposure is required to be secured by the PFI once the SMI company is rated below AA-. The Finance Agency guidelines require mortgage insurers that underwrite SMI to be rated AA- or better. This requirement has been temporarily waived by the Finance Agency provided that the Bank otherwise mitigates the risk by requiring the PFI to secure the exposure. As of March 31, 2013, $66.3 million of SMI exposure had been secured by two PFIs.

The following tables present unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of March 31, 2013 and December 31, 2012.

	Ratings by S&P\Moody’s	March 31, 2013
(in millions)	March 31, 2013	Unpaid Principal Balance (1)		Maximum Coverage Outstanding (2)
Republic Mortgage Insurance Co.	not rated	$	5.7	$	2.2
Mortgage Guaranty Insurance Corp.	B/B2	5.3		2.1
PMI Mortgage Insurance Co.	not rated\Caa3	4.2		1.6
United Guaranty Residential Insurance Co.	BBB\Baa1	2.1		0.8
Radian Guaranty, Inc.	B-\Ba3	1.5		0.6
Genworth Mortgage Insurance Corp.	B\Ba2	2.0		0.8
Other insurance providers		0.7		0.3
Total		$	21.5	$	8.4

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	Ratings by S&P/Moody’s	December 31, 2012
(in millions)	December 31, 2012	Unpaid Principal Balance (1)		Maximum Coverage Outstanding (2)
Republic Mortgage Insurance Co.	not rated	$	6.4	$	2.5
Mortgage Guaranty Insurance Corp.	B-\B2	5.0		2.0
PMI Mortgage Insurance Co.	not rated\Caa3	4.5		1.7
United Guaranty Residential Insurance Co.	BBB\Baa1	2.0		0.7
Radian Guaranty, Inc.	B-\Ba3	1.5		0.6
Genworth Mortgage Insurance Corp.	B\Ba1	2.0		0.8
Other insurance providers		1.0		0.4
Total		$	22.4	$	8.7

Notes:

⁽¹⁾Represents the unpaid principal balance of conventional loans 90 days or more delinquent or in the process of foreclosure. Assumes PMI in effect at time of origination. Insurance coverage may be discontinued once a certain LTV is met.

⁽²⁾ Represents the estimated contractual limit for reimbursement of principal losses (i.e., risk in force) assuming the PMI at origination is still in effect. The amount of expected claims under these insurance contracts is substantially less than the contractual limit for reimbursement.

BOB Loans. See Item 1. Business in the Bank's 2012 Form 10-K for a description of this program. The allowance for credit losses on BOB loans was $2.5 million at both March 31, 2013 and December 31, 2012.

Derivative Counterparties. The Bank is subject to credit risk arising from the potential non-performance by derivative counterparties with respect to the agreements entered into with the Bank, as well as certain operational risks relating to the management of the derivative portfolio. To manage credit risk, the Bank follows the policies established by the Board regarding unsecured extensions of credit. For all derivative counterparties, the Bank selects only highly-rated derivatives dealers and major banks that meet the Bank’s eligibility criteria.

In the table below, Total Notional reflects outstanding positions with all counterparties while the credit exposure reflects only those counterparties to which the Bank has net credit exposure. Net Credit Exposure represents the estimated fair value of the derivative contracts that have a net positive market value to the Bank after adjusting for all cash and/or securities collateral.

	March 31, 2013 (2)				December 31, 2012
(dollars in millions) Credit Rating(1)	Total Notional		Net Credit Exposure		Total Notional		Net Credit Exposure
AA	$	300.0	$	13.7	$	403.0	$	15.7
A	4,772.4		4.6		6,323.3		10.2
Total Derivative positions with credit exposure	$	5,072.4	$	18.3	$	6,726.3	$	25.9
Member institutions (3)	25.7		0.5		34.3		0.6
Total	$	5,098.1	$	18.8	$	6,760.6	$	26.5
Derivative positions without credit exposure	31,269.1		—		24,453.4		—
Total	$	36,367.2	$	18.8	$	31,214.0	$	26.5

Notes:

⁽¹⁾ Credit ratings reflect the lowest rating from the credit rating agencies. The Bank measures credit exposure through a process which includes internal credit review and various external factors.

⁽²⁾ The March 31, 2013 table does not reflect changes in any rating, outlook or watch status after March 31.

⁽³⁾ Member institutions include mortgage delivery commitments. Collateral held with respect to derivatives with member institutions represents the minimum amount of eligible collateral physically held by or on behalf of the Bank or eligible collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank.

42

The following tables summarize the Bank’s derivative counterparties which represent more than 10% of the Bank’s total notional amount outstanding and net credit exposure as of March 31, 2013 and December 31, 2012.

Notional Greater Than 10%	March 31, 2013				December 31, 2012
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Deutsche Bank AG	A	$	7,262.3	20.0	A	$	5,930.5	19.0
Morgan Stanley Capital	BBB	6,060.3		16.7	BBB	3,185.6		10.2
Barclays Bank	A	3,865.0		10.6	(1)	(1)		(1)
BNP Paribas	(1)	(1)		(1)	A	4,168.6		13.4
JP Morgan Chase Bank, NA	(1)	(1)		(1)	A	3,588.5		11.5
All others	n/a	19,179.6		52.7	n/a	14,340.8		45.9
Total		$	36,367.2	100.0		$	31,214.0	100.0

Net Credit Exposure   Greater Than 10%	March 31, 2013				December 31, 2012
(dollars in millions) Derivative Counterparty	Credit Rating	Net Credit Exposure		% of Net Credit Exposure	Credit Rating	Net Credit Exposure		% of Net Credit Exposure
Royal Bank of Canada	AA	$	13.7	73.0	AA	$	15.0	56.9
HSBC Bank USA, NA	A	3.1		16.3	A	3.9		14.6
UBS AG	(2)	(2)		(2)	A	5.1		19.2
All others	n/a	2.0		10.7	n/a	2.5		9.3
Total		$	18.8	100.0		$	26.5	100.0

Notes:

⁽¹⁾ The percentage of notional is not greater than 10% in the period presented, so amount is not shown in table.

⁽²⁾ The percentage of net credit exposure is not greater than 10% in the period presented, so amount is not shown in table.

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

(in millions)	March 31, 2013
Country of	Market Value		Collateral Obligation		Collateral Pledged
Counterparty	of Total Exposure		(Net Exposure)		by the Bank
Switzerland	$	159.7	$	159.7	$	158.0
United Kingdom	51.3		46.3		44.2
Germany	28.9		13.9		12.2
Total	$	239.9	$	219.9	$	214.4

(in millions)	As of December 31, 2012
Country of	Market Value		Collateral Obligation		Collateral Pledged
Counterparty	of Total Exposure		(Net Exposure)		by the Bank
Switzerland	$	172.0	$	172.0	$	171.5
United Kingdom	50.0		40.0		39.8
Germany	34.2		19.2		35.6
Total	$	256.2	$	231.2	$	246.9

Note: The average maturity of these derivative contracts is June 2018 and September 2017 at March 31, 2013 and December 31, 2012, respectively. Collateral Obligation (Net Exposure) is defined as Market Value of Total Exposure minus delivery threshold and minimum collateral transfer requirements.

43

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

(in millions)	March 31, 2013
Country of	Market Value		Collateral Obligation		Collateral Pledged
Counterparty	of Total Exposure		(Net Exposure)		to the Bank
France	$	7.0	$	7.0	$	6.7
United Kingdom	24.7		19.2		20.8
Switzerland	0.3		—		—
Total	$	32.0	$	26.2	$	27.5

(in millions)	December 31, 2012
Country of	Market Value		Collateral Obligation		Collateral Pledged
Counterparty	of Total Exposure		(Net Exposure)		to the Bank
France	$	6.2	$	6.2	$	6.7
United Kingdom	25.5		19.3		20.6
Switzerland	9.9		4.9		4.8
Total	$	41.6	$	30.4	$	32.1

Note: The average maturity of these derivative contracts is April 2018 and December 2017 at March 31, 2013 and December 31, 2012, respectively. Collateral Obligation (Net Exposure) is defined as Market Value of Total Exposure minus delivery threshold and minimum collateral transfer requirements.

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

Liquidity and Funding Risk

As a wholesale bank, the Bank employs financial strategies that are designed to enable it to expand and contract its assets, liabilities and capital in response to changes in member credit demand, membership composition and other market factors. The Bank's liquidity resources are designed to support these strategies and are described further in the Bank's 2012 Form 10-K.

Consolidated obligation bonds and discount notes are rated Aaa with negative outlook/P-1 by Moody’s and AA+ with negative outlook/A-1+ by S & P. These ratings measure the likelihood of timely payment of principal and interest. At March 31, 2013, the Bank’s consolidated obligation bonds outstanding increased to $36.5 billion compared to $35.1 billion at December 31, 2012. The Bank also issues discount notes, which are shorter-term consolidated obligations, to support its short-term member loan portfolio and other short-term asset funding needs. Total discount notes outstanding at March 31, 2013 decreased to $18.3 billion compared to $24.2 billion at December 31, 2012, primarily due to a decrease in short-term advance activity. Access and funding levels have fluctuated with conditions in the global financial markets over the past several years. During the first quarter of 2013, funding levels remained relatively stable. Consolidated obligations bonds often have investor-determined features. The Bank primarily uses noncallable bonds as a source of funding but also utilizes structured notes such as callable bonds. Unswapped callable bonds primarily fund the Bank’s mortgage portfolio while swapped callable bonds fund other floating rate assets. At March 31, 2013, callable bonds issued by the Bank were up approximately $2.4 billion from December 31, 2012. Note 10 to the unaudited financial statements in this Form 10-Q provides additional information regarding the Bank’s consolidated obligations.

The Bank is required to maintain a level of liquidity in accordance with certain Finance Agency guidance and policies established by management and the Board. The requirements are designed to enhance the Bank’s protection against temporary disruptions in access to the debt markets. The Bank was in compliance with these requirements at March 31, 2013.

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

44

resell. At March 31, 2013 and December 31, 2012, excess contingency liquidity was approximately $16.1 billion and $20.7 billion, respectively.

Refer to the Liquidity and Funding Risk section of the Bank's 2012 Form 10-K for additional information.

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

Operating and Business Risks

The Bank is exposed to various operating and business risks. Operating risk is defined as the risk of unexpected loss resulting from human error, system malfunctions, man-made or natural disasters, fraud, legal risk, compliance risk, or circumvention or failure of internal controls and are categorized as compliance, fraud, legal, information and personnel operating risks. Business risk is the risk of an adverse impact on the Bank’s profitability or financial or business strategies resulting from external factors that may occur in the short-term and/or long-term. The Bank has established operating policies and procedures to manage each of the specific operating and business risks. For additional information, on operating and business risks, see the "Operating and Business Risks" discussion in the Risk Management section of Item 7. Management's Discussion and Analysis in the Bank's 2012 Form 10-K.

45

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statement of Income (unaudited)

	Three months ended March 31,
(in thousands, except per share amounts)	2013			2012
Interest income:
Advances	$	55,780		$	65,488
Prepayment fees on advances, net	1,713			4,672
Interest-bearing deposits	117			141
Securities purchased under agreements to resell	576			481
Federal funds sold	1,463			461
Trading securities	60			375
Available-for-sale (AFS) securities	28,765			31,315
Held-to-maturity (HTM) securities	27,024			37,510
Mortgage loans held for portfolio	37,634			44,983
Total interest income	153,132			185,426
Interest expense:
Consolidated obligations - discount notes	5,245			1,769
Consolidated obligations - bonds	102,057			141,258
Mandatorily redeemable capital stock	289			61
Deposits	131			126
Other borrowings	7			11
Total interest expense	107,729			143,225
Net interest income	45,403			42,201
Provision (benefit) for credit losses	(121		)	78
Net interest income after provision (benefit) for credit losses	45,524			42,123
Other noninterest income (loss):
Total OTTI losses (Note 5)	—			(1,051		)
OTTI losses reclassified (from) AOCI (Note 5)	(442		)	(6,128		)
Net OTTI losses, credit portion (Note 5)	(442		)	(7,179		)
Net gains on trading securities (Note 2)	231			435
Net gains on derivatives and hedging activities (Note 9)	1,584			4,007
Other, net	2,327			2,330
Total other noninterest income (loss)	3,700			(407		)
Other expense:
Compensation and benefits expense	9,230			9,553
Other operating expense	6,029			5,850
Finance Agency expense	1,172			1,326
Office of Finance expense	954			780
Total other expense	17,385			17,509
Income before assessments	31,839			24,207
Affordable Housing Program assessment	3,213			2,427
Net income	$	28,626		$	21,780
Earnings per share:
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	27,783			31,732
Basic and diluted earnings per share	$	1.03		$	0.69
Dividends per share	$	0.08		$	0.03

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

46

Federal Home Loan Bank of Pittsburgh

Statement of Comprehensive Income (unaudited)

	Three months ended March 31,
(in thousands)	2013			2012
Net income	$	28,626		$	21,780
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities:
Unrealized (losses)	(4,838		)	(621		)
Net non-credit portion of OTTI losses on AFS securities:
Non-credit OTTI losses transferred from HTM securities	—			(662		)
Net change in fair value of OTTI securities	14,364			49,146
Unrealized gains	15,060			7,094
Reclassification of non-credit portion included in net income	442			6,790
Total net non-credit portion of OTTI losses on AFS securities	29,866			62,368
Net non-credit portion of OTTI losses on HTM securities:
Non-credit portion	—			(662		)
Reclassification of non-credit portion from HTM to AFS securities	—			662
Total net non-credit portion of OTTI losses on HTM securities	—			—
Pension and post-retirement benefits	26			13
Total other comprehensive income	25,054			61,760
Total comprehensive income	$	53,680		$	83,540

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

47

Federal Home Loan Bank of Pittsburgh

Statement of Condition (unaudited)

(in thousands)	March 31, 2013		December 31, 2012
ASSETS
Cash and due from banks	$	545,680	$	1,350,594
Interest-bearing deposits	5,490		11,435
Federal funds sold	3,545,000		4,595,000
Securities purchased under agreements to resell	850,000		2,500,000
Investment securities:
Trading securities, includes $173,228 pledged as collateral that may be repledged at March 31, 2013 (Note 2)	203,724		353,590
AFS securities, at fair value (Note 3)	6,432,981		5,932,248
HTM securities; fair value of $5,011,628 and $5,755,755, respectively (Note 4)	4,918,286		5,664,954
Total investment securities	11,554,991		11,950,792
Advances (Note 6)	39,994,038		40,497,787
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of     $13,393 and $14,163, respectively (Note 8)	3,482,821		3,532,549
Banking on Business (BOB) loans, net of allowance for credit losses of $2,503 and     $2,481, respectively (Note 8)	12,542		12,846
Accrued interest receivable	84,705		92,685
Premises, software and equipment, net	12,498		13,299
Derivative assets (Note 9)	18,749		27,803
Other assets	30,116		31,482
Total assets	$	60,136,630	$	64,616,272

48

Federal Home Loan Bank of Pittsburgh

Statement of Condition (unaudited)

(continued)

(in thousands, except par value)	March 31, 2013		December 31, 2012
LIABILITIES AND CAPITAL
Liabilities
Deposits:
Interest-bearing	$	988,142	$	960,903
Noninterest-bearing	34,728		38,988
Total deposits	1,022,870		999,891
Consolidated obligations, net: (Note 10)
Discount notes	18,300,639		24,148,453
Bonds	36,496,574		35,135,608
Total consolidated obligations, net	54,797,213		59,284,061
Mandatorily redeemable capital stock (Note 11)	368,823		431,566
Accrued interest payable	148,014		114,003
Affordable Housing Program	26,177		24,457
Derivative liabilities (Note 9)	258,472		310,425
Other liabilities	18,578		22,924
Total liabilities	56,640,147		61,187,327
Commitments and contingencies (Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding 28,320 and 28,160 shares	2,832,025		2,815,965
Retained earnings:
Unrestricted	549,466		528,767
Restricted	36,233		30,508
Total retained earnings	585,699		559,275
AOCI	78,759		53,705
Total capital	3,496,483		3,428,945
Total liabilities and capital	$	60,136,630	$	64,616,272

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

49

Federal Home Loan Bank of Pittsburgh

Statement of Cash Flows (unaudited)

	Three months ended March 31,
(in thousands)	2013			2012
OPERATING ACTIVITIES
Net income	$	28,626		$	21,780
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	(8,138		)	7,314
Change in net fair value adjustment on derivative and hedging activities	(15,962		)	(8,489		)
Net OTTI credit losses	442			7,179
Other adjustments	(122		)	78
Net change in:
Trading securities	149,866			248
Accrued interest receivable	7,993			5,012
Other assets	2,177			2,196
Accrued interest payable	34,012			37,935
Other liabilities	(2,590		)	(1,914		)
Total adjustments	167,678			49,559
Net cash provided by operating activities	$	196,304		$	71,339
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $5,945 and   $10,380 from other FHLBanks for mortgage loan program)	$	(2,285	)	$	36,418
Securities purchased under agreements to resell	1,650,000			(1,000,000		)
Federal funds sold	1,050,000			10,000
Premises, software and equipment, net	(656		)	(815		)
AFS securities:
Proceeds	393,448			519,838
Purchases	(871,676		)	(1,406,991		)
HTM securities:
Net change in short-term	400,000			700,000
Proceeds from long-term	346,286			388,432
Advances:
Proceeds	63,962,411			33,123,841
Made	(63,520,661		)	(34,068,362		)
Mortgage loans held for portfolio:
Proceeds	220,470			231,260
Purchases	(171,029		)	(76,467		)
Net cash provided by (used in) investing activities	$	3,456,308		$	(1,542,846	)

50

Federal Home Loan Bank of Pittsburgh

Statement of Cash Flows (unaudited)

(continued)

	Three months ended March 31,
(in thousands)	2013			2012
FINANCING ACTIVITIES
Net change in:
Deposits and pass-through reserves	$	19,195		$	189,506
Net payments for derivative contracts with financing element	(7,877		)	(15,659		)
Net proceeds from issuance of consolidated obligations:
Discount notes	92,667,949			84,810,952
Bonds (none from other FHLBanks)	6,680,644			5,082,710
Payments for maturing and retiring consolidated obligations:
Discount notes	(98,515,095		)	(83,938,712		)
Bonds	(5,253,385		)	(4,948,593		)
Proceeds from issuance of capital stock	253,265			20,433
Payments for repurchase/redemption of mandatorily redeemable   capital stock	(63,441		)	(10,218		)
Payments for repurchase/redemption of capital stock	(236,507		)	(154,333		)
Cash dividends paid	(2,274		)	(851		)
Net cash (used in) provided by financing activities	$	(4,457,526	)	$	1,035,235
Net (decrease) in cash and cash equivalents	$	(804,914	)	$	(436,272	)
Cash and cash equivalents at beginning of the period	1,350,594			634,278
Cash and cash equivalents at end of the period	$	545,680		$	198,006
Supplemental disclosures:
Interest paid	$	84,275		$	117,492
AHP payments, net	1,493			513
Transfers of mortgage loans to real estate owned	5,813			5,577
Non-cash transfer of OTTI HTM securities to AFS	—			11,268

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

51

Federal Home Loan Bank of Pittsburgh

Statement of Changes in Capital (unaudited)

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI			Total Capital
December 31, 2011	33,899		$	3,389,863		$	430,774		$	4,566	$	435,340		$	(162,365	)	$	3,662,838
Issuance of capital stock	204		20,433			—			—		—			—			20,433
Repurchase/redemption of capital stock	(1,543	)	(154,333		)	—			—		—			—			(154,333		)
Net shares reclassified to mandatorily    redeemable capital stock	(1,587	)	(158,686		)	—			—		—			—			(158,686		)
Comprehensive income	—		—			17,424			4,356		21,780			61,760			83,540
Cash dividends	—		—			(851		)	—		(851		)	—			(851		)
March 31, 2012	30,973		$	3,097,277		$	447,347		$	8,922	$	456,269		$	(100,605	)	$	3,452,941

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI		Total Capital
December 31, 2012	28,160		$	2,815,965		$	528,767		$	30,508	$	559,275		$	53,705	$	3,428,945
Issuance of capital stock	2,532		253,265			—			—		—			—		253,265
Repurchase/redemption of capital stock	(2,365	)	(236,507		)	—			—		—			—		(236,507		)
Net shares reclassified to mandatorily    redeemable capital stock	(7	)	(698		)	—			—		—			—		(698		)
Comprehensive income	—		—			22,901			5,725		28,626			25,054		53,680
Cash dividends	—		—			(2,202		)	—		(2,202		)	—		(2,202		)
March 31, 2013	28,320		$	2,832,025		$	549,466		$	36,233	$	585,699		$	78,759	$	3,496,483

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

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Federal Home Loan Bank of Pittsburgh

Notes to Financial Statements (unaudited)

Background Information

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

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

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

As provided by the Housing and Economic Recovery Act of 2008 as amended (Housing Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. These reclassifications did not have a material impact on the Bank's Statement of Condition or Statement of Income. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2012 included in the Bank's 2012 Form 10-K.

53

Notes to Financial Statements (continued)

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

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). AB 2012-02 establishes a standard and uniform methodology for adverse classification and identification of special mention assets and off-balance sheet credit exposures at the FHLBanks, excluding investment securities. The adverse classification requirements of AB 2012-02 will be effective for the Bank beginning January 1, 2014, and the charge-off requirements will be effective for the Bank beginning January 1, 2015. The Bank is currently assessing the provisions of AB 2012-02 and has not yet determined the effect that it will have on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Obligations Resulting from Joint and Several Liability Arrangements. In February 2013, the FASB issued guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date. This guidance requires an entity to measure such obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. This guidance is effective for interim and annual periods beginning on or after December 15, 2013 and should be applied retrospectively to obligations with joint and several liabilities existing at the beginning of an entity’s fiscal year of adoption. This guidance is not expected to materially affect the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

The following pronouncements have impacted, or will impact, the Bank’s financial disclosures but will have no impact on its Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Offsetting Assets and Liabilities. During December 2011, the FASB issued new disclosure requirements for assets and liabilities which are offset in the financial statements. The guidance requires presentation of both gross and net information about derivatives and repurchase agreements which are offset. This guidance was effective for the Bank beginning January 1, 2013 and was applied retrospectively. Refer to Note 9 - Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Disclosures of Amounts Reclassified Out of Accumulated Other Comprehensive Income. During February 2013, the FASB issued guidance to improve the transparency of disclosures about reclassifications out of AOCI. The guidance requires disclosure of significant amounts reclassified out of AOCI and cross-references to other reclassification disclosures required by U.S. GAAP. This guidance was effective for the Bank beginning January 1, 2013 and was applied prospectively. Refer to Note 11- Capital.

54

Notes to Financial Statements (continued)

Note 2 – Trading Securities

The following table presents trading securities as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
U.S. Treasury bills	$	199,998	$	349,990
Mutual funds offsetting deferred compensation	3,726		3,600
Total	$	203,724	$	353,590

The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $3.8 million and $3.7 million at March 31, 2013 and December 31, 2012, respectively as reported in other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for the first quarter of 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Net unrealized gains on trading securities held at period-end	$	267		$	467
Net realized (losses) on securities sold/matured during the period	(36		)	(32		)
Net gains on trading securities	$	231		$	435

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

The following tables present AFS securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			7		—			21,007
GSE securities	1,699,315		—			683		(1,700		)	1,698,298
State or local agency obligations	11,100		—			—		(183		)	10,917
Total non-MBS	$	1,733,408	$	—		$	695	$	(1,883	)	$	1,732,220
MBS:
Other U.S. obligations residential MBS	$	387,861	$	—		$	276	$	(402	)	$	387,735
GSE residential MBS	2,910,334		—			32,120		(62		)	2,942,392
Private label MBS:
Private label residential MBS	1,308,077		(14,475		)	62,943		(192		)	1,356,353
HELOCs	13,884		(393		)	790		—			14,281
Total private label MBS	1,321,961		(14,868		)	63,733		(192		)	1,370,634
Total MBS	$	4,620,156	$	(14,868	)	$	96,129	$	(656	)	$	4,700,761
Total AFS securities	$	6,353,564	$	(14,868	)	$	96,824	$	(2,539	)	$	6,432,981

55

Notes to Financial Statements (continued)

	December 31, 2012
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			16		—			21,016
GSE securities	1,169,850		—			296		(802		)	1,169,344
State and local agency obligations	11,400		—			—		(270		)	11,130
Total non-MBS	$	1,204,243	$	—		$	317	$	(1,072	)	$	1,203,488
MBS:
Other U.S. obligations residential MBS	$	310,541	$	—		$	284	$	(120	)	$	310,705
GSE residential MBS	2,956,471		—			36,379		(29		)	2,992,821
Private label MBS:
Private label residential MBS	1,391,941		(29,142		)	48,045		(368		)	1,410,476
HELOCs	14,662		(532		)	628		—			14,758
Total private label MBS	1,406,603		(29,674		)	48,673		(368		)	1,425,234
Total MBS	$	4,673,615	$	(29,674	)	$	85,336	$	(517	)	$	4,728,760
Total AFS securities	$	5,877,858	$	(29,674	)	$	85,653	$	(1,589	)	$	5,932,248

Notes:

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

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

The Bank has established a Rabbi trust to secure benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds and secure a portion of the Bank's supplemental retirement obligation. These obligations were $4.2 million and $4.5 million at March 31, 2013 and December 31, 2012, respectively, as reported in other liabilities in the Statement of Condition.

As of March 31, 2013, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $7.9 million, credit losses of $279.0 million and OTTI-related accretion adjustments of $0.2 million. As of December 31, 2012, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.0 million and credit losses of $293.5 million, partially offset by OTTI-related accretion adjustments of $1.1 million.

The following table presents a reconciliation of the AFS OTTI loss recognized through accumulated comprehensive income (AOCI) to the total net noncredit portion of OTTI gains on AFS securities in AOCI as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Non-credit portion of OTTI losses	$	(14,868	)	$	(29,674	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	63,733			48,673
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	48,865		$	18,999

56

Notes to Financial Statements (continued)

The following tables summarize the AFS securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	1,197,713	$	(1,650	)	$	49,950	$	(50	)	$	1,247,663	$	(1,700	)
State or local agency obligations	—		—			10,917		(183		)	10,917		(183		)
Total non-MBS	$	1,197,713	$	(1,650	)	$	60,867	$	(233	)	$	1,258,580	$	(1,883	)
MBS:
Other U.S. obligations residential MBS	$	180,262	$	(402	)	$	—	$	—		$	180,262	$	(402	)
GSE residential MBS	121,230		(62		)	—		—			121,230		(62		)
Private label:
Private label residential MBS	19,515		(502		)	375,556		(14,165		)	395,071		(14,667		)
HELOCs	—		—			1,657		(393		)	1,657		(393		)
Total private label MBS	19,515		(502		)	377,213		(14,558		)	396,728		(15,060		)
Total MBS	$	321,007	$	(966	)	$	377,213	$	(14,558	)	$	698,220	$	(15,524	)
Total	$	1,518,720	$	(2,616	)	$	438,080	$	(14,791	)	$	1,956,800	$	(17,407	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	719,190	$	(708	)	$	49,907	$	(94	)	$	769,097	$	(802	)
State or local agency obligations	11,130		(270		)	—		—			11,130		(270		)
Total non-MBS	$	730,320	$	(978	)	$	49,907	$	(94	)	$	780,227	$	(1,072	)
MBS:
Other U.S. obligations residential MBS	$	94,848	$	(120	)	$	—	$	—		$	94,848	$	(120	)
GSE residential MBS	72,619		(29		)	—		—			72,619		(29		)
Private label:
Private label residential MBS	12,728		(60		)	521,311		(29,450		)	534,039		(29,510		)
HELOCs	—		—			3,230		(532		)	3,230		(532		)
Total private label MBS	12,728		(60		)	524,541		(29,982		)	537,269		(30,042		)
Total MBS	$	180,195	$	(209	)	$	524,541	$	(29,982	)	$	704,736	$	(30,191	)
Total	$	910,515	$	(1,187	)	$	574,448	$	(30,076	)	$	1,484,963	$	(31,263	)

Note:

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

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. The Bank transferred no private label MBS from HTM to AFS during the first three months of 2013 and one during the first three months of 2012. These securities had an OTTI credit loss recorded on them during the period in which they were transferred.

57

Notes to Financial Statements (continued)

During the three months ended March 31, 2013 and 2012, private label MBS were transferred as presented below.

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
March 31, 2013 transfers	$	—	$	—		$	—
March 31, 2012 transfers	11,930		(662		)	11,268

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,989	$	301,883	$	201,993	$	201,832
Due after one year through five years	1,399,319		1,398,413		969,850		969,510
Due after five years through ten years	21,000		21,007		21,000		21,016
Due in more than ten years	11,100		10,917		11,400		11,130
AFS securities excluding MBS	1,733,408		1,732,220		1,204,243		1,203,488
MBS	4,620,156		4,700,761		4,673,615		4,728,760
Total AFS securities	$	6,353,564	$	6,432,981	$	5,877,858	$	5,932,248

Interest Rate Payment Terms.  The following table details interest payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	1,033,457	$	504,298
Variable-rate	699,951		699,945
Total non-MBS	$	1,733,408	$	1,204,243
Amortized cost of AFS MBS:
Fixed-rate	$	2,001,207	$	2,050,785
Variable-rate	2,618,949		2,622,830
Total MBS	$	4,620,156	$	4,673,615
Total AFS securities	$	6,353,564	$	5,877,858

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

58

Notes to Financial Statements (continued)

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

The following tables present HTM securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	22,081	$	1,097	$	—		$	23,178
State or local agency obligations	254,731		9,145		(10,974		)	252,902
Total non-MBS	$	276,812	$	10,242	$	(10,974	)	$	276,080
MBS:
Other U.S. obligations residential MBS	$	1,789,677	$	12,757	$	—		$	1,802,434
GSE residential MBS	1,715,883		90,286		(118		)	1,806,051
Private label MBS:
Private label residential MBS	1,124,366		13,826		(21,104		)	1,117,088
HELOCs	11,548		—		(1,573		)	9,975
Total private label MBS	1,135,914		13,826		(22,677		)	1,127,063
Total MBS	$	4,641,474	$	116,869	$	(22,795	)	$	4,735,548
Total HTM securities	$	4,918,286	$	127,111	$	(33,769	)	$	5,011,628

	December 31, 2012
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	36	$	—		$	400,036
GSE securities	24,830		1,283		—			26,113
State or local agency obligations	254,734		8,961		(14,202		)	249,493
Total non-MBS	$	679,564	$	10,280	$	(14,202	)	$	675,642
MBS:
Other U.S. obligations residential MBS	$	1,922,589	$	12,568	$	—		$	1,935,157
GSE residential MBS	1,842,212		98,878		(137		)	1,940,953
Private label MBS:
Private label residential MBS	1,208,482		12,720		(27,510		)	1,193,692
HELOCs	12,107		—		(1,796		)	10,311
Total private label MBS	1,220,589		12,720		(29,306		)	1,204,003
Total MBS	$	4,985,390	$	124,166	$	(29,443	)	$	5,080,113
Total HTM securities	$	5,664,954	$	134,446	$	(43,645	)	$	5,755,755

59

Notes to Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	139,476	$	(10,974	)	$	139,476	$	(10,974	)
MBS:
GSE residential MBS	$	—	$	—		$	16,120	$	(118	)	$	16,120	$	(118	)
Private label:
Private label residential MBS	24,968		(87		)	421,685		(21,017		)	446,653		(21,104		)
HELOCs	—		—			9,975		(1,573		)	9,975		(1,573		)
Total private label MBS	24,968		(87		)	431,660		(22,590		)	456,628		(22,677		)
Total MBS	$	24,968	$	(87	)	$	447,780	$	(22,708	)	$	472,748	$	(22,795	)
Total	$	24,968	$	(87	)	$	587,256	$	(33,682	)	$	612,224	$	(33,769	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	136,248	$	(14,202	)	$	136,248	$	(14,202	)
MBS:
GSE residential MBS	$	45,809	$	(3	)	$	17,072	$	(134	)	$	62,881	$	(137	)
Private label:
Private label residential MBS	—		—			464,771		(27,510		)	464,771		(27,510		)
HELOCs	—		—			10,311		(1,796		)	10,311		(1,796		)
Total private label MBS	—		—			475,082		(29,306		)	475,082		(29,306		)
Total MBS	$	45,809	$	(3	)	$	492,154	$	(29,440	)	$	537,963	$	(29,443	)
Total	$	45,809	$	(3	)	$	628,402	$	(43,642	)	$	674,211	$	(43,645	)

Securities Transferred. The Bank had no transfers of securities from HTM to AFS during the first three months of 2013. During the first three months of 2012, the Bank transferred one private label MBS from HTM to AFS. See Note 3 for additional information.

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

60

Notes to Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	1,095	$	1,102	$	401,095	$	401,147
Due after one year through five years	22,081		23,178		24,830		26,113
Due after five years through ten years	8,778		9,153		7,414		7,522
Due after ten years	244,858		242,647		246,225		240,860
HTM securities excluding MBS	276,812		276,080		679,564		675,642
MBS	4,641,474		4,735,548		4,985,390		5,080,113
Total HTM securities	$	4,918,286	$	5,011,628	$	5,664,954	$	5,755,755

At March 31, 2013 and December 31, 2012, the amortized cost of the Bank’s MBS classified as HTM included net purchased discounts of $49 thousand and $143 thousand, respectively.

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	104,812	$	507,564
Variable-rate	172,000		172,000
Total non-MBS	$	276,812	$	679,564
Amortized cost of HTM MBS:
Fixed-rate	$	1,663,718	$	1,772,557
Variable-rate	2,977,756		3,212,833
Total HTM MBS	$	4,641,474	$	4,985,390
Total HTM securities	$	4,918,286	$	5,664,954

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

Note 5 – Other-Than-Temporary Impairment

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum OTTI loss in earnings, which is equal to the entire difference between the security’s amortized cost basis and its fair value at the Statement of Condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is OTTI by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value.

Private Label Residential MBS and HELOCs. The Bank invests in MBS, which were rated AAA at the time of purchase with the exception of one pre-2004 vintage security that was rated AA at the time of purchase. Each MBS may contain one or more forms of credit protection/enhancements, including but not limited to guarantee of principal and interest, subordination, over-collateralization, and excess interest and insurance wrap.

To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio

61

Notes to Financial Statements (continued)

that have available data. Private label MBS backed by HELOCs and certain other securities where underlying collateral data is not available, are not able to be cash flow tested using the FHLBanks’ common platform. For these securities, alternate procedures, as prescribed by the OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were approximately 5% of the par balance of private label MBS at March 31, 2013.

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

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

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

The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying 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. CBSAs refer 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 with a population of 10,000 or more people. The OTTI Governance Committee developed a housing price forecast with seven short-term projections with changes ranging from (4.0)% to 4.0% over the 12 month period beginning January 1, 2013. For the vast majority of markets the short-term forecast has changes from (1.0)% to 1.0%. Thereafter, home prices were projected to recover using one of five different recovery paths.

Recovery Ranges of Housing Price Change
Months	Annualized Rates %
1 - 6	0.0%	-	3.0%
7 - 12	1.0%	-	4.0%
13 - 18	2.0%	-	4.0%
19 - 30	2.0%	-	5.0%
31 - 54	2.0%	-	6.0%
Thereafter	2.3%	-	5.6%

The month-by-month projection of future loan performance derived from the first model is the mean of 100 projections and reflects projected prepayments, defaults and loss severities. These projections are 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. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario.

For those securities for which an OTTI credit loss was determined to have occurred during the three months ended March 31, 2013 (that is, a determination was made that the entire amortized cost basis will not likely be recovered), the following tables present a summary of the significant inputs used to measure the amount of the credit loss recognized in

62

Notes to Financial Statements (continued)

earnings during the three months ended March 31, 2013 as well as the related credit enhancement (CE). CE is defined as the percentage of subordinated tranches and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar weighted averages of the significant inputs used to measure the credit loss. The CUSIP classification (Prime, Alt-A and subprime) is based on the classification as determined by the first model used to run the estimated cash flows for the CUSIP and not the classification at the time of issuance.

	Significant Inputs for OTTI Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Alt-A:
2007	8.1	46.4	44.0	0.0
2006	9.3	31.7	51.8	0.0
Total Alt-A	8.5	40.7	47.0	0.0
Total Residential    MBS - OTTI	8.5	40.7	47.0	0.0

	Significant Inputs for OTTI HELOCs
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
HELOCS (Alt-A)
2004 and prior	15.1	7.8	100.0	4.1

All of the Bank's other-than-temporarily impaired securities were classified as AFS at March 31, 2013. The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2013 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	770,648	$	654,741	$	694,261
Alt-A	821,879		648,046		656,864
Subprime	2,415		1,392		1,523
HELOCs	19,824		13,885		14,281
Total OTTI securities	1,614,766		1,318,064		1,366,929
Private label MBS with no OTTI	3,897		3,897		3,705
Total AFS private label MBS	$	1,618,663	$	1,321,961	$	1,370,634

Notes:

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

63

Notes to Financial Statements (continued)

The following tables present the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Beginning balance	$	326,024		$	322,589
Additions:
Credit losses for which OTTI was not previously recognized	—			74
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	442			7,105
Reductions:
Securities sold and matured during the period	(59		)	—
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(1,925		)	(1,816		)
Ending balance	$	324,482		$	327,952

Notes:

⁽¹⁾For thethree months ended March 31, 2013and2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012.

⁽²⁾ This activity represents the increase in cash flows recognized in interest income during the period.

All Other AFS and HTM Investments. At March 31, 2013 and 2012, the Bank held certain securities in an unrealized loss position. These unrealized losses were considered temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions and neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell the security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at March 31, 2013 and 2012.

Note 6 – Advances

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

At March 31, 2013 and December 31, 2012, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging between zero and 5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013					December 31, 2012
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	15,458,766		0.43	%	$	20,187,511		0.44	%
Due after 1 year through 2 years	5,512,505			0.93		3,869,388			1.02
Due after 2 years through 3 years	6,483,873			2.02		5,297,312			2.29
Due after 3 years through 4 years	3,865,224			2.66		3,634,200			2.74
Due after 4 years through 5 years	6,198,272			1.01		4,404,845			1.41
Thereafter	1,711,484			4.41		2,277,564			3.71
Total par value	39,230,124			1.25	%	39,670,820			1.25	%
Discount on AHP advances	(208		)			(230		)
Deferred prepayment fees	(15,146		)			(15,230		)
Hedging adjustments	779,268					842,427
Total book value	$	39,994,038				$	40,497,787

64

Notes to Financial Statements (continued)

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. At March 31, 2013 and December 31, 2012, the Bank had convertible advances outstanding of $2.4 billion and $2.6 billion, respectively.

The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). In exchange for receiving the right to call the advance on a predetermined call schedule, the member pays a higher fixed rate for the advance relative to an equivalent maturity, non-callable, fixed-rate advance. If the call option is exercised, replacement funding may be available. At March 31, 2013 and December 31, 2012, the Bank had returnable advances of $5.5 billion and $6.4 billion, respectively.

The following table summarizes advances by year of contractual maturity or next call date or next convertible date as of March 31, 2013 and December 31, 2012.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012
Due in 1 year or less	$	16,958,766	$	20,587,511	$	17,690,766	$	22,439,511
Due after 1 year through 2 years	4,512,505		3,869,388		5,416,005		3,778,888
Due after 2 years through 3 years	5,983,873		5,297,312		6,162,373		5,174,812
Due after 3 years through 4 years	3,865,224		3,634,200		2,716,724		2,520,700
Due after 4 years through 5 years	6,198,272		4,404,845		5,706,272		3,812,845
Thereafter	1,711,484		1,877,564		1,537,984		1,944,064
Total par value	$	39,230,124	$	39,670,820	$	39,230,124	$	39,670,820

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Fixed rate – overnight	$	696,700	$	517,050
Fixed rate – term:
Due in 1 year or less	14,729,066		19,625,461
Thereafter	11,437,314		9,728,590
Total fixed rate	26,863,080		29,871,101
Variable rate:
Due in 1 year or less	33,000		45,000
Thereafter	12,334,044		9,754,719
Total variable rate	12,367,044		9,799,719
Total par value	$	39,230,124	$	39,670,820

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of March 31, 2013, the Bank had advances of $31.3 billion outstanding to its five largest borrowers, which represented 79.8% of total advances outstanding. Of these five, four had outstanding advance balances in excess of 10% of the total portfolio at March 31, 2013. As of December 31, 2012, the Bank had advances of $31.7 billion outstanding to the five largest borrowers, which represented 79.9% of total advances outstanding. Of these five, four had outstanding advance balances in excess of 10% of the total portfolio at December 31, 2012.

65

Notes to Financial Statements (continued)

Note 7 – Mortgage Loans Held for Portfolio

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

The following table presents balances as of March 31, 2013 and December 31, 2012 for mortgage loans held for portfolio.

(in thousands)	March 31, 2013			December 31, 2012
Fixed medium-term single-family mortgages (1)	$	551,340		$	563,312
Fixed long-term single-family mortgages (1)	2,880,578			2,922,897
Total par value	3,431,918			3,486,209
Premiums	52,536			51,637
Discounts	(7,527		)	(8,212		)
Hedging adjustments	19,287			17,078
Total mortgage loans held for portfolio	$	3,496,214		$	3,546,712

Note:

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

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Government-guaranteed/insured loans	$	341,491	$	350,133
Conventional loans	3,090,427		3,136,076
Total par value	$	3,431,918	$	3,486,209

See Note 8 for information related to the Banks' credit risk on mortgage loans and allowance for credit losses.

Note 8 – Allowance for Credit Losses

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

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

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

66

Notes to Financial Statements (continued)

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

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2013 and December 31, 2012, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2013 and December 31, 2012, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank did not incur any credit losses on credit products during 2013 or 2012, or since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2013 and December 31, 2012, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

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

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. At March 31, 2013 and December 31, 2012, the MPF exposure under the FLA was $28.0 million and $29.2 million, respectively. This exposure includes both accrual and nonaccrual loans. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.9 million and $1.0 million during the first quarter 2013 and 2012, respectively.

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

67

Notes to Financial Statements (continued)

credit losses. The resulting estimated losses after PMI are then reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by Master Commitment. Losses in excess of the CEs are incurred by the Bank.

Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs as discussed in the TDR section of this Note 8.

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

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Balance, January 1	$	14,163		$	14,344
Charge-offs	(622		)	(226		)
Provision (benefit) for credit losses	(148		)	206
Balance, March 31	$	13,393		$	14,324

Ending balance, individually evaluated for impairment	$	687	$	140
Ending balance, collectively evaluated for impairment	12,706		14,184
Total allowance for credit losses	$	13,393	$	14,324
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	12,911	$	4,531
Collectively evaluated for impairment	3,148,406		3,403,276
Total recorded investment	$	3,161,317	$	3,407,807

Rollforward of Allowance for Credit Losses.BOB Loans.

(in thousands)	Three months ended March 31, 2013		Three months ended March 31, 2012
Balance, January 1	$	2,481	$	3,223
BOB Recoveries (Charge-offs)	9		(495		)
Provision (benefit) for credit losses	13		(155		)
Balance, March 31	$	2,503	$	2,573

Ending balance, individually evaluated for impairment	$	183	$	—
Ending balance, collectively evaluated for impairment	2,320		2,573
Total allowance for credit losses	$	2,503	$	2,573
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	313	$	—
Collectively evaluated for impairment	14,863		16,713
Total recorded investment	$	15,176	$	16,713

68

Notes to Financial Statements (continued)

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

(in thousands)	March 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	57,617		$	20,523		$	—		$	78,140
Past due 60-89 days	13,115			7,097			—			20,212
Past due 90 days or more	64,842			7,452			229			72,523
Total past due loans	$	135,574		$	35,072		$	229		$	170,875
Total current loans	3,025,743			318,439			14,947			3,359,129
Total loans	$	3,161,317		$	353,511		$	15,176		$	3,530,004
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,337		$	1,478		$	—		$	55,815
Serious delinquency rate (3)	2.1		%	2.1		%	1.5		%	2.1		%
Past due 90 days or more still accruing interest	$	—		$	7,452		$	—		$	7,452
Loans on nonaccrual status (4)	$	68,819		$	—		$	542		$	69,361

(in thousands)	December 31, 2012
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	50,214		$	20,513		$	20		$	70,747
Past due 60-89 days	12,219			5,842			147			18,208
Past due 90 days or more	69,996			7,469			153			77,618
Total past due loans	$	132,429		$	33,824		$	320		$	166,573
Total current loans	3,070,963			328,351			15,126			3,414,440
Total loans	$	3,203,392		$	362,175		$	15,446		$	3,581,013
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,605		$	1,587		$	—		$	56,192
Serious delinquency rate (3)	2.2		%	2.1		%	1.0		%	2.2		%
Past due 90 days or more still accruing interest	$	—		$	7,469		$	—		$	7,469
Loans on nonaccrual status (4)	$	74,051		$	—		$	599		$	74,650

Notes:

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

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

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

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

Real Estate Owned (REO). The Bank had $11.8 million and $10.8 million of REO reported in other assets on the Statement of Condition at March 31, 2013 and December 31, 2012, respectively.

TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that otherwise would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharged the borrower’s obligation to the Bank, and the borrower did not reaffirm the debt.

69

Notes to Financial Statements (continued)

Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The loan modification program modifies borrower's monthly payment for a period of up to 36 months to no more than a housing expense ratio of 31% of their monthly income. The outstanding principal

balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years and a housing expense ratio not to exceed 31%. This will result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged in the modified loan. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3%, resulting in reduced monthly principal and interest payments during the 36 month period, until the target housing expense ratio is met or the interest rate floor is hit.

A TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying or decreasing the original contractual principal and interest, if applicable. All mortgage loans individually evaluated for impairment were considered TDRs at March 31, 2013.

BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of reporting date.

TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three months ended March 31, 2013 and 2012.

	Three months ended March 31, 2013
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	2,903	$	2,903
BOB loans	139		139
Total	$	3,042	$	3,042

	Three months ended March 31, 2012
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	663	$	628
Total	$	663	$	628

Certain TDRs may experience a payment default, which the Bank considers to be a loan 60 days or more delinquent. Conventional MPF loans totaling $1.9 million had experienced a payment default during the three months ended March 31, 2013, and it was immaterial during three months ended March 31, 2012. The Bank had $1.6 million and $2.9 million of TDRs on nonaccrual status at March 31, 2013 and December 31, 2012, respectively.

Individually Evaluated Impaired Loans.

	March 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	505	$	502	$	—
With a related allowance:
Conventional MPF loans	$	12,406	$	12,354	$	687
BOB loans	313		313		183
Total:
Conventional MPF loans	$	12,911	$	12,856	$	687
BOB loans	313		313		183

70

Notes to Financial Statements (continued)

	December 31, 2012
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	507	$	504	$	—
With a related allowance:
Conventional MPF loans	$	12,449	$	12,388	$	642
BOB loans	280		280		100
Total:
Conventional MPF loans	$	12,956	$	12,892	$	642
BOB loans	280		280		100

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

	Three months ended March 31, 2013				Three months ended March 31, 2012
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	11,927	$	159	$	4,584	$	69
BOB loans	380		—		67		—
Total	$	12,307	$	159	$	4,651	$	69

Purchases, Sales and Reclassifications. During the first quarter 2013 and 2012, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

71

Notes to Financial Statements (continued)

Note 9 – Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategies is not to eliminate interest rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's interest rate exchange agreements and the use of these agreements, see Note 11 to the audited financial statements in the Bank's 2012 Form 10-K.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	30,539,498	$	254,888		$	829,720
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,552,213	$	37,247		$	6,482
Interest rate caps	1,249,750		3,388			—
Mortgage delivery commitments	25,758		495			—
Total derivatives not in hedge accounting relationships	$	5,827,721	$	41,130		$	6,482
Total derivatives before netting and collateral adjustments	$	36,367,219	$	296,018		$	836,202
Netting adjustments			(249,158		)	(249,158		)
Cash collateral and related accrued interest			(28,111		)	(328,572		)
Total collateral and netting adjustments (1)			(277,269		)	(577,730		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	18,749		$	258,472

	December 31, 2012
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,661,620	$	273,265		$	878,667
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,318,343	$	37,767		$	6,036
Interest rate caps	1,199,750		1,968			—
Mortgage delivery commitments	34,332		622			—
Total derivatives not in hedge accounting relationships	$	5,552,425	$	40,357		$	6,036
Total derivatives before netting and collateral adjustments	$	31,214,045	$	313,622		$	884,703
Netting adjustments			(253,923		)	(253,923		)
Cash collateral and related accrued interest			(31,896		)	(320,355		)
Total collateral and netting adjustments (1)			(285,819		)	(574,278		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	27,803		$	310,425

Note:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

72

Notes to Financial Statements (continued)

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

	Three months ended March 31,
(in thousands)	2013			2012
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	(1,099	)	$	2,670
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(4,936	)	$	2,372
Interest rate caps	194			(450		)
Net interest settlements	4,297			(981		)
Mortgage delivery commitments	3,124			391
Other	4			5
Total net gains related to derivatives not designated as hedging instruments	$	2,683		$	1,337
Net gains on derivatives and hedging activities	$	1,584		$	4,007

The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the first quarter 2013 and 2012.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2013
Hedged item type:
Advances	$	57,970		$	(60,481	)	$	(2,511	)	$	(61,858	)
Consolidated obligations – bonds	(49,055		)	50,467			1,412			49,946
Total	$	8,915		$	(10,014	)	$	(1,099	)	$	(11,912	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2012
Hedged item type:
Advances	$	90,465		$	(88,559	)	$	1,906	$	(99,550	)
Consolidated obligations – bonds	(22,615		)	23,379			764		39,597
Total	$	67,850		$	(65,180	)	$	2,670	$	(59,953	)

Note:

⁽¹⁾ Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item.

The Bank had no active cash flow hedging relationships during the first three months of 2013 or 2012. As of March 31, 2013, the deferred net gains (losses) on derivative instruments in AOCI expected to be reclassified to earnings during the next twelve months, as well as the losses reclassified from AOCI into income, were not material.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to nonperformance by counterparties to the derivative agreements. The Bank manages counterparty credit risk through credit analysis, reliance on netting provisions in its ISDA agreements, collateral requirements and adherence to the requirements set forth in its ISDA agreements, policies and regulations.

The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit

73

Notes to Financial Statements (continued)

exposure of the Bank is substantially less than the notional amount. In the past, the Bank’s ISDA Master Agreements have typically required segregation of the Bank’s collateral posted with the counterparty and typically do not permit re-hypothecation. In view of recent and expected continuing developments in the derivatives market, including OTC derivatives, the Bank substantially completed during the first quarter of 2013 amendments to its ISDA agreements to permit re-hypothecation (not require collateral segregation). The Bank requires collateral agreements that establish collateral delivery thresholds by counterparty. The maximum credit risk is defined as the estimated cost of replacing interest rate swaps, mandatory delivery contracts for mortgage loans, and purchased caps and floors that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank.

The Bank may enter into enforceable master netting arrangements for derivative instruments that contain provisions allowing the legal right of offset. Under these agreements, the Bank has elected to offset at the individual master agreement level the gross derivative assets and gross derivative liabilities and the related received or pledged cash collateral and associated accrued interest. The following table presents separately the fair value of derivative instruments with and without the legal right of offset, including the related collateral received from or pledged to counterparties, based on the terms of the Bank's master netting or similar agreements.

	March 31, 2013
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	295,523		$	836,202
Gross amounts of netting adjustments and cash collateral	(277,269		)	(577,730		)
Net amounts after offsetting adjustments	18,254			258,472
Derivative instruments without legal right of offset	495			—
Total derivative assets and total derivative liabilities	$	18,749		$	258,472
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			173,228
Cannot be sold or repledged	—			4,942
Net unsecured amount	$	18,749		$	80,302

	December 31, 2012
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	313,000		$	884,703
Gross amounts of netting adjustments and cash collateral	(285,819		)	(574,278		)
Net amounts after offsetting adjustments	27,181			310,425
Derivative instruments without legal right of offset	622			—
Total derivative assets and total derivative liabilities	$	27,803		$	310,425
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			—
Cannot be sold or repledged	1,343			257,603
Net unsecured amount	$	26,460		$	52,822

Notes:

⁽¹⁾ Non-cash collateral consists primarily of investment securities. Any overcollateralization at an individual master agreement level is not included in the determination of the net unsecured amount.

⁽²⁾ The terms of the ISDA Credit Support Annex permit rehypothecation of the investment securities collateral.

Generally, the Bank’s ISDA agreements contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on derivative instruments in net liability positions. The aggregate fair value of all derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2013 was $587.0 million for which the Bank has posted cash and securities collateral with a fair value of approximately $506.7 million in the normal course of business. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to

74

Notes to Financial Statements (continued)

the next lower rating), the Bank would have been required to deliver up to an additional $63.8 million of collateral to its derivative counterparties at March 31, 2013.

The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Note 14 discusses assets pledged by the Bank to these counterparties. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

Note 10 – Consolidated Obligations

Detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2012 Form 10-K.

The following table details interest rate payment terms for consolidated obligation bonds as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Par value of consolidated bonds:
Fixed-rate	$	32,112,284		$	31,307,129
Step-up	2,242,500			1,622,500
Floating-rate	1,860,000			1,860,000
Total par value	36,214,784			34,789,629
Bond premiums	92,192			99,090
Bond discounts	(17,398		)	(18,915		)
Hedging adjustments	206,996			265,804
Total book value	$	36,496,574		$	35,135,608

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2013 and December 31, 2012.

	March 31, 2013				December 31, 2012
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	10,758,455	1.13	%	$	11,543,105	1.14	%
Due after 1 year through 2 years	6,445,695		2.06		5,850,945		1.94
Due after 2 years through 3 years	4,167,015		2.41		5,617,465		2.32
Due after 3 years through 4 years	1,820,805		2.92		1,706,240		3.24
Due after 4 years through 5 years	5,281,225		1.65		2,941,900		1.86
Thereafter	6,872,290		2.21		6,155,290		2.32
Index amortizing notes	869,299		4.51		974,684		4.48
Total par value	$	36,214,784	1.89	%	$	34,789,629	1.93	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Noncallable	$	25,493,784	$	26,470,629
Callable	10,721,000		8,319,000
Total par value	$	36,214,784	$	34,789,629

75

Notes to Financial Statements (continued)

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2013 and December 31, 2012.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2013		December 31, 2012
Due in 1 year or less	$	21,253,955	$	19,541,605
Due after 1 year through 2 years	6,141,195		4,791,445
Due after 2 years through 3 years	3,767,015		5,242,465
Due after 3 years through 4 years	1,524,805		1,590,240
Due after 4 years through 5 years	1,478,725		1,354,400
Thereafter	1,179,790		1,294,790
Index amortizing notes	869,299		974,684
Total par value	$	36,214,784	$	34,789,629

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes, all of which are due within one year, as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013			December 31, 2012
Book value	$	18,300,639		$	24,148,453
Par value	18,303,991			24,154,343
Weighted average interest rate (1)	0.11		%	0.12		%

Note:

⁽¹⁾ Represents an implied rate.

Note 11 – Capital

The Bank is subject to three capital requirements under its current capital plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total capital; and (3) leverage capital. See details regarding these requirements and the Bank’s capital plan in Note 17 to the audited financial statements in the Bank’s 2012 Form 10-K.

At March 31, 2013, the Bank was in compliance with all regulatory capital requirements. Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory requirements. At March 31, 2013 and December 31, 2012, all of the Bank's capital stock outstanding was Class B stock.

The following table demonstrates the Bank’s compliance with these capital requirements at March 31, 2013 and December 31, 2012.

	March 31, 2013						December 31, 2012
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	1,053,372		$	3,786,547		$	1,029,858		$	3,806,806
Total capital-to-asset ratio	4.0		%	6.3		%	4.0		%	5.9		%
Total regulatory capital	2,405,465			3,786,547			2,584,651			3,806,806
Leverage ratio	5.0		%	9.4		%	5.0		%	8.8		%
Leverage capital	3,006,831			5,679,820			3,230,814			5,710,209

The increase in the ratios from December 31, 2012 to March 31, 2013 was primarily due to the decrease in total assets. When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On March 26, 2013, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2012. In its determination, the Finance Agency expressed concerns regarding the Bank's capital position. The Finance Agency believes that the Bank's retained earnings are not sufficient and its private label MBS portfolio creates uncertainty about the Bank's earnings prospects and ability to build retained

76

Notes to Financial Statements (continued)

earnings at a satisfactory pace. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2013.

Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013
Member	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	609,190	19.0	%
Chase Bank USA, N.A, Wilmington, DE	476,870		14.9

(dollars in thousands)	December 31, 2012
Member (1)	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	652,430	20.1	%
PNC Bank, N.A., Wilmington, DE	358,945		11.1
Chase Bank USA, N.A., Wilmington, DE	330,066		10.2

Note:

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

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

At March 31, 2013 and December 31, 2012, the Bank had $368.8 million and $431.6 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. For the three months ended March 31, 2013 and 2012, estimated dividends on mandatorily redeemable capital stock totaling $289 thousand and $61 thousand, respectively, were recorded as interest expense.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Balance, beginning of the period	$	431,566		$	45,673
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	698			158,686
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(63,441		)	(10,218		)
Balance, end of the period	$	368,823		$	194,141

Note:

⁽¹⁾ Reflects the impact on mandatorily redeemable capital stock related to partial excess capital stock repurchases.

As of March 31, 2013, the total mandatorily redeemable capital stock reflected balances for 17 institutions. Three institutions were taken over by the FDIC and their charters were dissolved. Two institutions voluntarily dissolved their charters with the Office of Thrift Supervision. Nine institutions were merged out of district and are considered nonmembers. One institution's charter was converted to an uninsured trust company, which is ineligible for membership. Two institutions have moved their principal place of business (charter) out of the Bank's district. These redemptions were not complete as of March 31, 2013.

77

Notes to Financial Statements (continued)

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Due in 1 year or less	$	1,906	$	50
Due after 1 year through 2 years	118		2,323
Due after 2 years through 3 years	15,149		17,759
Due after 3 years through 4 years	106,472		124,502
Due after 4 years through 5 years	245,178		286,932
Total	$	368,823	$	431,566

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

Dividends and Retained Earnings. As prescribed in the FHLBanks' amended JCEA, each FHLBank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At March 31, 2013, retained earnings were $585.7 million, including $549.5 million of unrestricted retained earnings and $36.2 million of RRE.

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

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

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. On February 22, 2013, the Bank paid a dividend equal to an annual yield of 0.32%. On April 30, 2013, the Bank paid a dividend equal to an annual yield of 0.29%. The dividend in each period was calculated on stockholders' average balances for the previous quarter and was based on average 3-month LIBOR for the previous quarter.

The Bank has executed partial repurchases of excess capital stock since the fourth quarter of 2010. The Bank repurchased $300.0 million of excess capital stock on February 22, 2013. The total amount of member excess capital stock at March 31, 2013 was $580.8 million. The Bank also repurchased $400.0 million in excess capital stock on April 30, 2013.

78

Notes to Financial Statements (continued)

The following table summarizes the changes in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM			Net Unrealized Gains on Hedging Activities		Pension and Post-Retirement Plans			Total
December 31, 2011	$	5,891		$	(168,114	)	$	—		$	286	$	(428	)	$	(162,365	)
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(621		)	7,094			—			—		—			6,473
Noncredit OTTI losses transferred	—			(662		)	662			—		—			—
Net change in fair value of OTTI securities	—			49,146			—			—		—			49,146
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			6,790			(662		)	—		—			6,128
Amortization - pension and post-retirement	—			—			—			—		13			13
March 31, 2012	$	5,270		$	(105,746	)	$	—		$	286	$	(415	)	$	(100,605	)
December 31, 2012	$	35,390		$	18,999		$	—		$	286	$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(4,838		)	15,060			—			—		—			10,222
Net change in fair value of OTTI securities	—			14,364			—			—		—			14,364
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			442			—			—		—			442
Amortization - pension and post-retirement	—			—			—			—		26			26
March 31, 2013	$	30,552		$	48,865		$	—		$	286	$	(944	)	$	78,759

79

Notes to Financial Statements (continued)

Note 12 – Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2013		December 31, 2012
Federal funds sold	$	165,000	$	245,000
Investments	179,610		179,610
Advances	26,917,773		27,399,641
Letters of credit	53,871		84,230
MPF loans	2,005,850		2,303,281
Deposits	10,671		5,797
Capital stock	1,499,066		1,477,835

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

	Three months ended March 31,
(in thousands)	2013		2012
Interest income on advances (1)	$	31,122	$	33,473
Interest income on MPF loans	28,186		36,547

Note:

⁽¹⁾ For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. For the three months ended March 31, 2012, balances include contractual interest income of $121.8 million, net interest settlements on derivatives in fair value hedge relationships of $(80.7) million and total amortization of basis adjustments of $(7.6) million.

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

	Three months ended March 31,
(in thousands)	2013		2012
Total MPF loan volume purchased	$	2,262	$	5,725

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

	Three months ended March 31,
(in thousands)	2013		2012
Servicing fee expense	$	217	$	175
Interest income on MPF deposits	4		1

(in thousands)	March 31, 2013		December 31, 2012
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,490	$	11,435

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended March 31, 2013 and 2012, there was no borrowing or lending activity between the Bank and other FHLBanks.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the three months ended March 31, 2013 and 2012, there were no transfers of debt between the Bank and another FHLBank.

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

80

Notes to Financial Statements (continued)

the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the three months ended March 31, 2013 and 2012.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2012 Form 10-K.

Note 13 – Estimated Fair Values

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 at March 31, 2013 and December 31, 2012. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2013 and December 31, 2012 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities.

Fair Value Summary Table
	March 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	545,680	$	545,680	$	—	$	—	$	—		$	545,680
Interest-bearing deposits	5,490		—		5,490		—		—			5,490
Federal funds sold	3,545,000		—		3,544,989		—		—			3,544,989
Securities purchased under agreement to resell	850,000		—		849,999		—		—			849,999
Trading securities	203,724		3,726		199,998		—		—			203,724
AFS securities	6,432,981		1,998		5,060,349		1,370,634		—			6,432,981
HTM securities	4,918,286		—		3,884,565		1,127,063		—			5,011,628
Advances	39,994,038		—		40,138,719		—		—			40,138,719
Mortgage loans held for portfolio, net	3,482,821		—		3,723,789		—		—			3,723,789
BOB loans, net	12,542		—		—		12,542		—			12,542
Accrued interest receivable	84,705		—		84,705		—		—			84,705
Derivative assets	18,749		—		296,018		—		(277,269		)	18,749
Liabilities:
Deposits	$	1,022,870	$	—	$	1,022,872	$	—	$	—		$	1,022,872
Discount notes	18,300,639		—		18,301,620		—		—			18,301,620
Bonds	36,496,574		—		37,059,363		—		—			37,059,363
Mandatorily redeemable capital stock	368,823		369,112		—		—		—			369,112
Accrued interest payable	148,014		—		148,014		—		—			148,014
Derivative liabilities	258,472		—		836,202		—		(577,730		)	258,472

81

Notes to Financial Statements (continued)

	December 31, 2012
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	1,350,594	$	1,350,594	$	—	$	—	$	—		$	1,350,594
Interest-bearing deposits	11,435		—		11,435		—		—			11,435
Federal funds sold	4,595,000		—		4,594,970		—		—			4,594,970
Securities purchased under agreement to resell	2,500,000		—		2,499,997		—		—			2,499,997
Trading securities	353,590		3,600		349,990		—		—			353,590
AFS securities	5,932,248		1,998		4,505,016		1,425,234		—			5,932,248
HTM securities	5,664,954		—		4,551,752		1,204,003		—			5,755,755
Advances	40,497,787		—		40,668,739		—		—			40,668,739
Mortgage loans held for portfolio, net	3,532,549		—		3,791,036		—		—			3,791,036
BOB loans, net	12,846		—		—		12,846		—			12,846
Accrued interest receivable	92,685		—		92,685		—		—			92,685
Derivative assets	27,803		—		313,622		—		(285,819		)	27,803
Liabilities:
Deposits	$	999,891	$	—	$	999,893	$	—	$	—		$	999,893
Discount notes	24,148,453		—		24,150,089		—		—			24,150,089
Bonds	35,135,608		—		35,777,834		—		—			35,777,834
Mandatorily redeemable capital stock	431,566		431,920		—		—		—			431,920
Accrued interest payable	114,003		—		114,003		—		—			114,003
Derivative liabilities	310,425		—		884,703		—		(574,278		)	310,425

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

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

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

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

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

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification within the fair value hierarchy of certain assets or liabilities. These reclassifications are reported as transfers in/out of the level as of the beginning of the quarter in which the changes occur. There were no such transfers during the three months ended March 31, 2013 and 2012.

82

Notes to Financial Statements (continued)

Summary of Valuation Methodologies and Primary Inputs

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

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

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

Securities Purchased Under Agreement to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. For securities with variable rates or fixed rates with three months or less to maturity or repricing, the fair values approximate the carrying values.

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

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

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

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank considers these inputs to be Level 2 inputs. However, based on the current lack of significant market activity for private label residential MBS, the Bank believes as of March 31, 2013 private label residential MBS inputs should be classified as Level 3.

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

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

As an additional step, the Bank reviewed the final fair value estimates of its private-label MBS holdings as of March 31, 2013 for reasonableness using an implied yield test. The Bank calculated an implied yield for each of its private label MBS using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared such yield to the market yield for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of March 31, 2013, four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for a majority of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in

83

Notes to Financial Statements (continued)

those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy.

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

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

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

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

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes.

The Bank is subject to credit risk in derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into master-netting

agreements for interest rate exchange agreements with highly rated institutions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. OIS curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

BOB Loans. The fair value approximates the carrying value.

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

84

Notes to Financial Statements (continued)

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

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2013 and December 31, 2012.

Commitments to Extend Credit for Mortgage Loans. Certain mortgage purchase commitments are considered derivatives. The Bank may hedge these commitments by selling to-be-announced (TBA) mortgage-backed securities for forward settlement. A TBA represents a forward contract for the sale of mortgage-backed securities at a future agreed upon date for an established price. The mortgage purchase commitment and the TBA used in the firm commitment hedging strategy (economic hedge) are recorded as a derivative asset or derivative liability at fair value, with changes in fair value recognized in the current period earnings. When the mortgage purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan and amortized accordingly.

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

85

Notes to Financial Statements (continued)

Fair Value on a Recurring Basis. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	199,998	$	—	$	—		$	199,998
Mutual funds offsetting deferred compensation	3,726		—		—		—			3,726
Total trading securities	$	3,726	$	199,998	$	—	$	—		$	203,724
AFS securities:
Other U.S. obligations	$	—	$	21,007	$	—	$	—		$	21,007
GSE securities	—		1,698,298		—		—			1,698,298
State or local Agency	—		10,917		—		—			10,917
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		387,735		—		—			387,735
GSE residential MBS	—		2,942,392		—		—			2,942,392
Private label MBS:
Private label residential	—		—		1,356,353		—			1,356,353
HELOCs	—		—		14,281		—			14,281
Total AFS securities	$	1,998	$	5,060,349	$	1,370,634	$	—		$	6,432,981
Derivative assets:
Interest rate related	$	—	$	295,523	$	—	$	(277,269	)	$	18,254
Mortgage delivery commitments	—		495		—		—			495
Total derivative assets	$	—	$	296,018	$	—	$	(277,269	)	$	18,749
Total assets at fair value	$	5,724	$	5,556,365	$	1,370,634	$	(277,269	)	$	6,655,454
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	836,202	$	—	$	(577,730	)	$	258,472
Total derivative liabilities (2)	$	—	$	836,202	$	—	$	(577,730	)	$	258,472

86

Notes to Financial Statements (continued)

	December 31, 2012
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	349,990	$	—	$	—		$	349,990
Mutual funds offsetting deferred compensation	3,600		—		—		—			3,600
Total trading securities	$	3,600	$	349,990	$	—	$	—		$	353,590
AFS securities:
Other U.S. obligations	$	—	$	21,016	$	—	$	—		$	21,016
GSE securities	—		1,169,344		—		—			1,169,344
State or local agency	—		11,130		—		—			11,130
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		310,705		—		—			310,705
GSE residential MBS	—		2,992,821		—		—			2,992,821
Private label MBS:
Private label residential	—		—		1,410,476		—			1,410,476
HELOCs	—		—		14,758		—			14,758
Total AFS securities	$	1,998	$	4,505,016	$	1,425,234	$	—		$	5,932,248
Derivative assets:
Interest rate related	$	—	$	313,000	$	—	$	(285,819	)	$	27,181
Mortgage delivery commitments	—		622		—		—			622
Total derivative assets	$	—	$	313,622	$	—	$	(285,819	)	$	27,803
Total assets at fair value	$	5,598	$	5,168,628	$	1,425,234	$	(285,819	)	$	6,313,641
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	884,703	$	—	$	(574,278	)	$	310,425
Total derivative liabilities (2)	$	—	$	884,703	$	—	$	(574,278	)	$	310,425

Notes:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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

There were no transfers between Levels 1 and 2 during the first three months of 2013 or 2012.

87

Notes to Financial Statements (continued)

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the first three months of 2013 and 2012. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2013			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(1,494		)	224
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	175			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	14,323			41
Unrealized gains on OTTI AFS and included in OCI	14,898			162
Purchases, issuances, sales, and settlements:
Settlements	(82,025		)	(904		)
Balance at March 31	$	1,356,353		$	14,281
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2013	$	(345	)	$	(97	)

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2012			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2012
Balance at January 1	$	1,631,361		$	15,073
Total gains (losses) (realized/unrealized) included in:
Net OTTI losses, credit portion	(6,021		)	(1,084		)
Net unrealized gains (losses) on AFS in OCI	(242		)	—
Reclassification of non-credit portion included in net income	5,706			1,084
Net change in fair value on OTTI AFS in OCI	48,938			208
Unrealized gains on OTTI AFS and included in OCI	7,094			—
Purchases, issuances, sales, and settlements:
Settlements	(113,227		)	(507		)
Transfer of OTTI securities from HTM to AFS	11,268			—
Balance at March 31	$	1,584,877		$	14,774
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2012	$	(6,021	)	$	(1,084	)

During the first three months of 2013, the Bank did not transfer any private label MBS from its HTM portfolio to its AFS portfolio in the period in which the OTTI charge was recorded. During the first three months of 2012, the Bank transferred one private label MBS from its HTM portfolio to its AFS portfolio. Because transfers of OTTI securities are separately reported in the quarter in which they occur, the net OTTI losses and noncredit losses recognized on these securities are not separately reflected in the tables above.

88

Notes to Financial Statements (continued)

Note 14 – Commitments and Contingencies

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

(in thousands)	March 31, 2013						December 31, 2012
Notional amount	Expire Within One Year		Expire After One Year		Total		Total
Standby letters of credit outstanding (1)	$	7,174,528	$	733,050	$	7,907,578	$	7,636,199
Commitments to fund additional advances and BOB loans	910,335		—		910,335		501,087
Commitments to fund or purchase mortgage loans	25,758		—		25,758		34,332
Unsettled consolidated obligation bonds, at par (2)	2,802,500		—		2,802,500		1,420,000
Unsettled consolidated obligation discount notes, at par	700,000		—		700,000		—

Notes:

⁽¹⁾ Includes approved requests to issue future standby letters of credit of $463.6 million and $400.3 million at March 31, 2013 and December 31, 2012, respectively.

⁽²⁾ Includes $2.7 billion and $1.4 billion of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2013 and December 31, 2012, respectively.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, range from less than one month to 5 years, including a final expiration in 2018. Commitments that legally bind and unconditionally obligate the Bank for additional advances, including BOB loans, may be outstanding for periods of up to two years.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $1.8 million and $1.6 million as of March 31, 2013 and December 31, 2012, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit.

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

The Bank does not have any legally binding or unconditional unused lines of credit for advances at March 31, 2013 and December 31, 2012. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at March 31, 2013 and December 31, 2012 of $4.7 billion and $6.1 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. Commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program totaled $25.8 million and $34.3 million at March 31, 2013 and December 31, 2012, respectively. Delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank generally executes derivative instruments with large banks and major broker-dealers and generally enters into bilateral pledge (collateral) agreements. The Bank had pledged securities, as collateral, to counterparties that have market risk exposure from the Bank related to derivatives. Please refer to Note 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a

material effect on its financial condition or results of operations.

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

89

Item 3:  Quantitative and Qualitative Disclosures about Market Risk

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

Item 4: Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer and chief financial officer, the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended (the 1934 Act). Based on this evaluation, the Bank’s chief executive officer and chief financial officer concluded that the Bank’s disclosure controls and procedures were effective as of March 31, 2013.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the first quarter of 2013 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

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PART II – OTHER INFORMATION

Item 1: Legal Proceedings

On September 23, 2009, the Bank filed two complaints in state court which is the Court of Common Pleas of Allegheny County, Pennsylvania (Court) for the recovery of the Bank’s losses relating to nine private label MBS bonds purchased from J.P. Morgan Securities, Inc. (J.P. Morgan) in an aggregate original principal amount of approximately $1.68 billion. In addition to J.P. Morgan, the parties include: J.P. Morgan Mortgage Acquisition Corp.; J.P. Morgan Mortgage Acceptance Corporation I; Chase Home Finance L.L.C.; Chase Mortgage Finance Corporation; J.P. Morgan Chase & Co.; Moody’s Corporation; Moody’s Investors Service Inc.; The McGraw-Hill Companies, Inc.; and Fitch, Inc. The Bank’s complaints assert claims for fraud, negligent misrepresentation and violations of state and Federal securities laws. Chase Bank USA, N.A. (Chase Bank), which is affiliated with J.P. Morgan Chase & Co., is a member of the Bank but is not a defendant in these actions. Chase Bank held 14.9% and 10.2% of the Bank’s capital stock as of March 31, 2013 and December 31, 2012 respectively.

On October 2, 2009, the Bank filed a complaint in the Court against: The McGraw-Hill Companies, Inc.; Fitch, Inc.; Moody’s Corporation; and Moody’s Investors Service, Inc., the rating agencies for the recovery of losses related to certain private label MBS bonds purchased by the Bank in the aggregate original principal amount of approximately $640.0 million. The Bank’s complaint asserts claims for fraud, negligent misrepresentation and violations of Federal securities laws.

On October 13, 2009, the Bank filed a complaint in the Court against: Countrywide Securities Corporation, Countrywide Home Loans, Inc., various other Countrywide related entities; Moody’s Corporation; Moody’s Investors Service, Inc.; The McGraw-Hill Companies, Inc.; and Fitch, Inc. for the recovery of losses related to five Countrywide private label MBS bonds in the aggregate original principal amount of approximately $366.0 million. The Bank’s complaint asserts claims for fraud, negligent misrepresentation and violations of state and Federal securities laws.

The defendants in each of the private label MBS lawsuits discussed above filed motions to dismiss with the Court. By order dated November 29, 2010, the Court determined that the Bank’s claims against the majority of defendants can continue and the litigation is in the discovery phase.

Countrywide and J.P. Morgan defendants filed motions for partial summary judgment, and a hearing on the motions was held on April 24, 2012. On November 26, 2012, the Court issued the following rulings: (1) defendant Countrywide entities' motion for partial summary judgment based on the one-year statute of limitations of the Bank's claims under federal and state securities laws was granted; (2) defendant J.P. Morgan entities' motion for partial summary judgment based on the Bank's claims under state securities laws was denied as to defendant J.P. Morgan Securities LLC and was granted as to the remaining J.P. Morgan defendants; (3) defendant J.P. Morgan entities motion for partial summary judgment based on the one-year statute of limitations of the Bank's claims under federal securities laws was denied. In its order, the Court dismissed claims relating to three J.P. Morgan securities that the Bank did not have at issue before the Court. The Bank maintains its claims against Countrywide entities for fraud and negligent misrepresentation; against J.P. Morgan entities for fraud, negligent misrepresentation and state and federal securities law claims not otherwise dismissed by the Court; and against the ratings agencies for fraud.

On December 12, 2012, defendant J.P. Morgan filed a Motion for Reconsideration in one of the two cases of the November 26, 2012 ruling again seeking partial summary judgment of the Bank's federal securities law claims in one of the two lawsuits the Bank filed on September 23, 2009. On March 6, 2013 the Court denied the Motion for Reconsideration.

Item 1A: Risk Factors

For a complete discussion of Risk Factors, see Item 1A. Risk Factors in the Bank’s 2012 Form 10-K. Other than as noted below, management believes that there have been no material changes from the Risk Factors disclosed in the Bank's 2012 Form  10-K.

As of April 30, 2013, FHLBank System consolidated obligation bonds have been assigned Aaa/Negative Outlook and

AA+/Negative Outlook ratings by Moody's and S&P, respectively. Consolidated obligation discount notes have been assigned a P-1 and A-1+ rating by Moody's and S&P, respectively. All FHLBanks except the FHLBank of Seattle have been assigned a short-term rating of P-1 and A-1+ by Moody's and S&P, respectively, and a long-term rating of Aaa/Negative Outlook and

91

AA+/Negative Outlook by Moody's and S&P, respectively. On September 10, 2012, S&P lowered the FHLBank of Seattle’s long-term issuer credit rating to AA/Negative Outlook from AA+/Negative Outlook. The FHLBank of Seattle’s short-term rating remained unchanged at A-1+.

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

Not applicable.

Item 3: Defaults upon Senior Securities

None.

Item 4: Mine Safety Disclosures

Not applicable.

Item 5: Other Information

None

Item 6: Exhibits

Exhibit 10.11.1	Amended 2013 Executive Officer Incentive Compensation Plan
Exhibit 31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer
Exhibit 31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer
Exhibit 32.1	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer
Exhibit 32.2	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer
Exhibit 101	Interactive Data File (XBRL)

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SIGNATURE

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

Federal Home Loan Bank of Pittsburgh

(Registrant)

Date: May 8, 2013

By: /s/ Kristina K. Williams

Kristina K. Williams

Chief Operating Officer & Chief Financial Officer

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EX-10.11.1

AMENDED FEDERAL HOME LOAN BANK OF PITTSBURGH

EXECUTIVE OFFICER INCENTIVE COMPENSATION PLAN

I.    EFFECTIVE DATE

This Executive Officer Incentive Compensation Plan (“Executive Officer Plan” or “Plan”) of the Federal Home Loan Bank of Pittsburgh is established effective as of January 1, 2013 and shall continue in effect until terminated by the Bank’s Board of Directors. Incentive Awards (“Awards”) may be paid for the Plan Year (January 1 to December 31, each year) in accordance with the provisions of this Plan. The goals for the Plan Year and terms of the Awards shall be set forth in a separate Attachment to this Plan.

II.    PURPOSE AND OBJECTIVES

The Plan is designed to retain and motivate executive officers and reward the: (i) achievement of key annual goals and (ii) maintenance of satisfactory financial condition and member value over the longer term.

III.    PLAN ADMINISTRATION

The Plan is administered by the President; the Human Resources Committee of the Board of Directors (the “Committee”); and the Board of Directors (the “Board”).

A. Responsibilities of the President

The President will provide recommendations to the Committee and the Board regarding Plan participation, Bank performance goals, Bank achievements, and Awards for the Bank’s executive officers.

B.    Responsibilities of the Committee

The Committee will review all Plan recommendations and revisions (including all performance goals and Awards) from the President and present final recommendations to the Board for its approval. In addition, the Committee will review the performance of the President and the Bank’s other executive officers and make recommendations regarding any Award payouts under the Plan.

C.    Responsibilities of the Board

The Board will review and approve (as it determines appropriate) recommendations from the Committee.

IV.    ELIGIBILITY

The Bank’s executive officers are eligible to participate on the terms described in this Executive Officer Plan. Upon designation as a participant, each participant will be provided a copy of the Plan.

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V. EXECUTIVE OFFICER PLAN AWARD OPPORTUNITY LEVELS

A summary of the Award levels is attached as Attachment A. Each participant shall be provided with a separate document showing his/her level of participation in the Plan.

VI.    PERFORMANCE MEASURES

The Plan Year for the Award opportunity shall mean the annual period ending December 31, (unless otherwise specifically stated in regard to a goal(s) in the applicable goal attachment to this Executive Officer Plan for the Plan Year). The Plan goals can be both quantitative and qualitative. Overall performance of Bank goals, and individual and group goals (as applicable), as well as individual performance objectives as measured through the Bank’s performance evaluation process, in aggregate, quantify the performance measures under the Plan that will be considered when determining overall actual performance and any Award payout amount.

Certain positions have a greater and more direct impact than others on the achievement of Bank performance. Those differences are recognized by varying the incentive opportunity expressed as a percentage of a participant's base salary. For executive management, generally, the greater the control and influence a participant can exert over Bank goals, the larger a portion of their incentive Award will be based on Bank performance. Executive officer goals may consist solely of Bank goals or they may include a combination of Bank goals and individual or group goals as determined by the Board.

In general, goals requiring attainment of specified performance or completion of specified tasks and activities shall not be considered as having been met when the actual performance as measured by completion of the activities has not been attained. Interpolation of Award amounts is permissible for achieved performance (measured by completion of the stated goals) at levels between threshold and target, and target and maximum. Awards for performance results between the threshold and target levels are calculated as a percentage of the target level. Awards for performance between the target and maximum levels are calculated as a percentage of maximum. Additionally, the specific terms of an approved goal(s) may establish further standards for interpolation.

VII. AWARD DETERMINATION AND PAYMENT

No participant has a vested right to any Award under the Plan until: (i) a determination of an Award payment has been made by the Board; (ii) the participant has met all applicable requirements for such Award and for receiving payment of such an Award, including, without limitation, any continued service and performance requirements as set forth in this Plan; and (iii) all the other conditions and criteria regarding payment of such Award as set forth in this Executive Officer Plan are met.

At the conclusion of the applicable Plan Year after considering the Bank's performance against the Bank goal(s), individual performance, and actual overall Bank performance, the President shall recommend to the Committee the Awards to be paid to the Bank’s executive officers, excluding the President. With respect to the determination of any Awards to the executive officers under this Plan, the Committee and the Board shall consider, in addition to individual and overall Bank performance, Bank financial condition, operating environment, and any other factors it considers relevant, including,

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without limitation, the extent (if any) to which any extraordinary or non-recurring transaction had a material effect on whether a goal(s) was attained.

A participant who is on formal corrective action for performance at any time during the Plan Year, or is rated as “Unsatisfactory” or “Needs Improvement” on their most recent performance evaluation will be ineligible to receive any payment of any Award.

In order for any Award payment to be made, the most recent examination by the Federal Housing Finance Agency (“Finance Agency”) of the participant’s area(s) of responsibility must not have identified any unsafe or unsound practice or condition.

A.Assessment of Performance

Following December 31 of each year, the Board will evaluate performance against the incentive goals set forth on the attached Annual Goal Scorecard and determine the total amount of the Award (if any) based on that performance (such amount shall be referred to as the “Total Award”). The Total Award, if any, will be divided such that: 1) 50 percent of the Total Award shall be referred to as the “Current Incentive Award” and 2) the remaining 50 percent of the Total Award shall be referred to as the “Deferred Incentive Award.” The following illustrates how the 2013 Current Award and Deferred Incentive Award would be paid:

Payment	Description	Payment Year*
Current Incentive Award	50% of the Total Award	2014
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2015
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2016
Deferred Incentive Award installment	Up to 33 1/3% of the Deferred Incentive Award	2017

*Payment will be made no later than March 15 in the year indicated.

All payments are subject to the terms of this Plan, including Section B below. In no event shall the aggregate amount of any Current Incentive Award and Deferred Incentive Award installments paid to a participant in any payment year exceed 100 percent of the participant’s base salary.

B. Payment of Each Deferred Incentive Award Installment Contingent on the Bank Continuing to Meet Stated Criteria and Contingent on the Participant Meeting Stated Payment Criteria

1.    Maintenance of Satisfactory Bank Performance

Except as set forth in Subsection 2., it is intended that a condition to payment of each Deferred Incentive Award installment is that in the annual period preceding the designated Payment Year for such installment, the Board determines that the Bank has met at least one (1) of the Deferred Incentive Award criteria set forth in Attachment B to this Plan. If the Board determines that the Bank has not met any of the stated criteria, then, such Deferred Incentive Award installment payment shall not be made. For the avoidance of doubt, if the Bank fails to meet at least one (1) of the criteria in the year preceding a designated Payment Year for one installment of a Deferred Incentive Award

3

and such installment payment is not made, but then, the Bank meets at least one of the criteria in the annual period before the designated Payment Year for the next installment payment, then, a subsequent Deferred Incentive Award installment payment shall be made. The actual amount of each Deferred Incentive Award installment payment shall be determined pro-rata or on such other basis as the Board shall determine in assessing the extent to which the stated criteria set forth on Attachment B were met by the Bank during the preceding annual period. In no case may the maximum amount of any Deferred Incentive Award installment be paid unless all of the stated criteria in Attachment B have been met in the preceding year. This provision shall not in any manner limit the Board’s authority under Articles VIII. and IX. of the Plan.

2. Board Discretion—Strategic Transactions

If prior to payout of all Deferred Incentive Award payments, Bank management recommends and the Board approves, a PLMBS risk reduction strategy including, without limitation, sale of some or all of the Bank’s PLMBS portfolio, then, the maintenance of satisfactory Bank performance requirement stated above in Subsection 1. requiring that the Bank meet at least one (1) of the stated criteria set forth in Attachment B shall not serve as a condition that must be met prior to payout of the remaining Deferred Incentive Award payments. In such case, the Bank does not have to meet any of the Deferred Incentive Award criteria in the annual period preceding each designated Payment Year and the Board may waive this condition separately on a year-by-year basis as to each remaining unpaid Deferred Incentive Award installment. If the Board does not take action with respect to an installment to waive the condition in the year preceding the Payment Year(s) for such installment, then, such condition shall not be waived as to that installment. The Bank shall provide notice to the Finance Agency of any Board-approved PLMBS risk reduction strategy with such notice to be provided prior to the Bank executing any PLMBS bond sales pursuant to such strategy. Notice to the Finance Agency shall not be required in regard to occasional PLMBS bond sales outside of such Board-approved strategy.

If prior to the payout of all Deferred Incentive Award payments a Change in Control event occurs (as defined below) then, in such case, the Deferred Incentive Award criteria set forth on Attachment B are inapplicable and all unpaid Deferred Incentive Awards: (i) shall vest 30 days after the Finance Agency issues its written approval of such a transaction and (ii) shall be paid to the participants 30 days after the closing of the transaction.

For purposes of this section “Change in Control” shall mean: (i) the merger, reorganization, or consolidation of the Bank with or into another Federal Home Loan Bank or other entity, (ii) the sale or transfer of all or substantially all of the business or assets of the Bank to another Federal Home Loan Bank or other entity, (iii) the purchase by the Bank or transfer to the Bank of all or substantially all of the business or assets of another Federal Home Loan Bank, (iv) a change in the composition of the Board of Directors, as a result of one or a series of related transactions, that causes the number of directors of the Bank elected by members of the Bank located in Pennsylvania, West Virginia, and Delaware to cease to constitute a majority of the directors of the Bank that are elected by members of the Bank (excluding, for purposes of this clause (iv), non-member independent directors), or (v) the liquidation of the Bank. Provided that the term "reorganization" contained in this definition shall not include any reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. Section 1421, et seq., as amended, and 12 U.S.C. Section 4501 et seq., as amended, and which

4

the Director of the Finance Agency (or successor agency) has determined should not be a basis for making payment under this Plan, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the Agency's supervision of the Bank or because any of the conditions identified in 12 U.S.C. Section 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the Agency has required the Bank to take under 12 U.S.C. Section 1431(d)).

3. Termination of Employment; Pro-Rated and Deferred Incentive Award Payments; Participant Performance Condition

Participants who terminate employment with the Bank for any reason, other than death, disability, or retirement prior to the Current Incentive Award payout date will not be eligible for such an Award. Participants who are hired during the Plan Year or whose employment ends due to involuntary termination (excluding involuntary termination for cause), death, disability, or retirement prior to the Current Incentive Award payout date may be eligible to be considered for a pro-rated Current Incentive Award.

Participants who terminate employment due to retirement or involuntary termination (other than for cause) after the Current Incentive Award payout date but before completion of the payment of all corresponding Deferred Incentive Award installments (as set forth above) shall receive such Deferred Incentive Award installment payments at the same time as such payments are made to Plan participants who are current Bank employees. Participants who otherwise resign employment before the completion of the payment of all corresponding Deferred Incentive Award installments shall not receive payment of such installments. Any participant that is terminated by the Bank for cause (as defined in this Plan) prior to receiving payment of all corresponding Deferred Incentive Award installments shall not receive payment of any remaining unpaid Deferred Incentive Award installments. This provision shall not in any manner limit the Board’s authority under Articles VIII. and IX. of the Plan.

In the case of a participant whose employment terminates due to death or disability before completion of the payment of all corresponding Deferred Incentive Award installments, such installments shall promptly vest following the death or disability and

---------------------------------

¹“Involuntary termination” shall be interpreted consistent with “separation from service” as defined in the IRS 409A Regulations and exclude termination for cause and shall include a “resignation for good reason” as defined by the IRS 409A Regulations.

² For purposes of the Plan, “cause” means: (1) continued failure of the Participant to perform his or her duties with the Bank (other than any such failure resulting from disability), after a demand for performance, pursuant to a resolution of the Board, is delivered to the participant by the chair of the board, which specifically identifies the manner in which the participant has not performed his or her duties; (2) personal dishonesty, incompetence, willful misconduct, breach of fiduciary duty involving personal profit, intentional failure to perform stated duties, or willful violation of any law, rule, or regulation (other than routine traffic violations or similar offenses); or (3) removal of the participant by or at the direction of the Federal Housing Finance Agency pursuant to federal laws, rules, and regulations, including 12 U.S.C. §4501 et. seq. as amended or by any successor agency to the Federal Housing Finance Agency pursuant to a similar statute.

³“Retirement” for purposes of this Plan is defined as a participant meeting one of the following criteria: (1) 60 years of age or older with at least 5 years of service; (2) 65 years of age or older regardless of service; (3) age 55 or older with at least 10 years of service; or (4) the combination of the participant's age and years of service equals or exceeds 80; provided that, in each such case, the participant enters into a non-solicitation agreement in the form required by the Bank regarding the Bank's customer's and employees. “Disability” shall be interpreted consistent with IRS 409A Regulations.

5

the remaining installments shall be paid by the Bank within 90 days of the date of death or determination of disability.

C.    Provisions Applicable to All Awards Under the Plan

Except as expressly set forth otherwise in this Plan, payments under the Plan are intended to satisfy the “short-term deferral” exception under Section 409A of the Internal Revenue Code (“Code”). Each payment under the Plan will be treated as a separate payment for purposes of Section 409A of the Code and corresponding IRS 409A Regulations. Appropriate provisions shall be made for any taxes that the Bank determines are required to be withheld from any Awards under the applicable laws or other regulations of any governmental authority, whether federal, state, or local. For the avoidance of doubt, Participants will be solely responsible for any applicable taxes (including income and excise taxes) and penalties, and any interest that accrues thereon, that they incur in connection with the receipt of any Award under the Plan. This Plan and the payment of any Award hereunder shall be subject to the Finance Agency’s authority over executive compensation pursuant to 12 U.S.C.§ 4518. The payment of any Award shall be subject to such obligations, terms, and conditions as the Committee or the Board may specify in making the Award and, in exercising its discretion to make any Award determination hereunder, the Board may choose to consider factors such as overall Bank financial performance, operating environment, and other relevant considerations. Acceptance of any Award shall constitute agreement by the participant to all obligations, terms, conditions, and restrictions so imposed.

VIII.    CLAWBACK AND REDUCTION OF AWARDS

In the event of gross misconduct, gross negligence, materially inaccurate financial statements, erroneous performance metrics related to incentive goal calculation or conviction of a felony, the Board will have the authority to adjust Award amounts or reclaim Award payments. For the avoidance of doubt, the Board may in its sole discretion, decline to adjust the terms of any outstanding Award if it determines that such adjustment would violate applicable law or result in adverse tax consequences to a participant or the Bank.

The Board will utilize its discretion to reduce the amount of any Current Award and Deferred Award installments if it determines that:

(i) Operational errors or omissions result in material revisions to the financial results, information submitted to the Finance Agency, or data used to determine incentive award payment amounts;

(ii) The submission of information to the Securities and Exchange Commission (“SEC”), the Office of Finance (“OF”), and/or the Finance Agency has not been provided in a timely manner; or

(iii) The Bank fails to make sufficient progress, as determined by the Finance Agency and communicated to Bank management and/or the Board by the Finance Agency, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management’s attention.

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IX.    TERMINATION OR AMENDMENT

The Plan, in whole or in part, may at any time or from time to time be amended, suspended, or reinstated and may at any time be terminated by action of the Board. The Board has the power and authority to construe, interpret, and administer the Plan. Any decision arising out of or in connection with the construction, interpretation, or administration of the Plan will lie within the Board's absolute discretion and will be binding on all parties. No provision of this Plan shall create any right to continued employment.

Attachments

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Attachment A—Award Levels

2012 Incentive Award Opportunity Levels (expressed as a percentage of base salary)

Participant Level	Threshold Incentive Award Opportunity	Target Incentive Award Opportunity	Maximum Incentive Award Opportunity
Level A	40%	70%	100%
Level B	30%	50%	70%
Level C	20%	40%	60%

Attachment B

2013

Criteria for Payment of Deferred Award Installments

(1) Market Value of Equity to Par Value of Capital Stock (MV/CS) – Maintain MV/CS above 105% on average throughout the year.

(2) Retained Earnings Level – Maintain enough retained earnings to exceed the Bank’s retained earnings target at each year end of deferred payment period.

The Board will consider the following criteria and may exercise its discretion to adjust an award based on such criteria:

Remediation of Examination Findings. Defined as the Bank making sufficient progress, as determined by the FHFA and communicated to Bank management or the Board of Directors by the FHFA, in the timely remediation of examination, monitoring, and other supervisory findings and matters requiring executive management’s attention. Refers to examination findings from the examination during the applicable deferral year for the installment. For example, for the 2013 installment (payable in 2014), the applicable examination is the 2013 examination.

Timeliness of FHFA, SEC, and OF Filings. Filings defined as SEC periodic filings, call report filings with FHFA, and FRS filings with OF that are timely filed and no material restatement by the Bank is required.

Notes: at least one of the (1) and (2) stated quantifiable criteria above must have been met in the preceding year in order for any installment payment to be made. In no event shall the aggregate amount of any Current Incentive Award and Deferred Incentive Award installments paid to a participant in any payment year exceed 100 percent of the participant’s base salary.

2013 Incentive Goal Scorecard

	Goal	Weight	Threshold	Target	Max
Build Strength and Flexibility	Market Value of Equity to par value of capital stock price at December 31, 2013. Increase Retained Earnings consistent with the 2013 Operating Plan ($ in millions).	25% 25%	115 $48	120 $85	125 $105
Serve the Membership	Member and potential Member Outreach in 2013.1   (Outreach is defined as in-person contact). Average number of Bank product touch points with members.2	20% 15%	175 1.35	190 1.42	215 1.56
Vitalize Communities	Increase the number of touch points with members, which is defined as those members that submit an application or enroll in or participate in a community investment product including AHP, BOB, CLP and FFD.	15%	85	90	95

Notes:

¹ Member outreach includes Executive Committee participation on in-person member calls, member trades, member regulators, regional member meetings, educational sessions and member trade association conventions.

² Product touch points include execution of the following transactions in 2013 by all members: Advances, LOCs, Safekeeping, MPF Original/Government and MPF Xtra.

2013 Risk Management Incentive Goal Scorecard

	Goal	Weight	Threshold	Target	Max
Build Strength and Flexibility	Market Value of Equity to par value of capital stock price at December 31, 2013. Increase Retained Earnings consistent with the 2013 Operating Plan ($ in millions).	20% 20%	115 $48	120 $85	125 $105
Embrace Operational Excellence	The Risk Management Department will complete the following five initiatives that improve analytics, efficiency, or compliance. The five projects have been approved by the CEO and are as follows: 1.QRM and AFT upgrades 2.Counterparty Management – derivative clearing and derivative risk management 3.Continued enhancement of Insurance Company risk oversight 4.Compliance Framework design and implementation 5.AB 2012-02 implementation	40%	Based on cumulative threshold/target/maximum achievement of the five projects	Based on cumulative threshold/target/maximum achievement of the five projects	Based on cumulative threshold/target/maximum achievement of the five projects
Serve the Membership	Member and potential Member Outreach in 2013.(1)  (Outreach is defined as in-person contact.)	20%	175	190	215

Notes:

⁽¹⁾Member outreach includes in-person member calls, regional member meetings, member regulator meetings, educational sessions, and Webinars conducted by Executive Committee.

EX-31.1

Exhibit 31.1

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Executive Officer

I, Winthrop Watson, certify that:

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

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

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

4. The registrant's other certifying 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 we have:

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

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

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

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter 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:     May 8, 2013/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive    

EX-31.2

Exhibit 31.2

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, Kristina K. Williams, certify that:

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

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

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

4. The registrant's other certifying 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 we have:

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

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

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

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter 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:     May 8, 2013/s/ Kristina K. Williams

Name:    Kristina K. Williams

Title:    Chief Operating Officer &

Chief Financial Officer

EX-32.2

Exhibit 32.1

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

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

as Adopted Pursuant to Section 906

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

I, Winthrop Watson, state and attest that:

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

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

l this Form 10-Q of the registrant for the quarter ended March 31, 2013 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

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

Date:     May 8, 2013/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

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

EX-32.2

Exhibit 32.2

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

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

as Adopted Pursuant to Section 906

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

I, Kristina K. Williams, state and attest that:

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

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

l this Form 10-Q of the registrant for the quarter ended March 31, 2013 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

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

Date:     May 8, 2013/s/ Kristina K. Williams

Name:    Kristina K. Williams

Title:    Chief Operating Officer &

Chief Financial Officer

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

XML

Trading Securities (Details) (USD $)	Mar. 31, 2013	Dec. 31, 2012
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	$ 203,724,000	$ 353,590,000
Deferred Compensation Liabilities	3,800,000	3,700,000
US Treasury Bill Securities [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	199,998,000	349,990,000
Mutual Funds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	$ 3,726,000	$ 3,600,000

XML

Other-Than-Temporary Impairment (Significant Inputs for OTTI) (Details)	3 Months Ended
	Mar. 31, 2013
HELOCs [Member] | Alt-A [Member] | Securitization in 2004 and Earlier [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Avg	15.10%
Default Rates, Weighted Avg	7.80%
Loss Severities, Weighted Avg	100.00%
Current Credit Enhancement, Weighted Avg	4.10%
Residential Mortgage Backed Securities [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Avg	8.50%
Default Rates, Weighted Avg	40.70%
Loss Severities, Weighted Avg	47.00%
Current Credit Enhancement, Weighted Avg	0.00%
Residential Mortgage Backed Securities [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Avg	8.50%
Default Rates, Weighted Avg	40.70%
Loss Severities, Weighted Avg	47.00%
Current Credit Enhancement, Weighted Avg	0.00%
Residential Mortgage Backed Securities [Member] | Alt-A [Member] | Securitization in 2007 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Avg	8.10%
Default Rates, Weighted Avg	46.40%
Loss Severities, Weighted Avg	44.00%
Current Credit Enhancement, Weighted Avg	0.00%
Residential Mortgage Backed Securities [Member] | Alt-A [Member] | Securitization in 2006 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Prepayment Rates, Weighted Avg	9.30%
Default Rates, Weighted Avg	31.70%
Loss Severities, Weighted Avg	51.80%
Current Credit Enhancement, Weighted Avg	0.00%

XML

Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 4,918,286	$ 5,664,954
Gross Unrealized Holding Gains	127,111	134,446
Gross Unrealized Holding Losses	(33,769)	(43,645)
Fair Value	5,011,628	5,755,755
Certificates of Deposit [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost		400,000
Gross Unrealized Holding Gains		36
Gross Unrealized Holding Losses		0
Fair Value		400,036
GSE securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	22,081	24,830
Gross Unrealized Holding Gains	1,097	1,283
Gross Unrealized Holding Losses	0	0
Fair Value	23,178	26,113
State and local agency obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	254,731	254,734
Gross Unrealized Holding Gains	9,145	8,961
Gross Unrealized Holding Losses	(10,974)	(14,202)
Fair Value	252,902	249,493
Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	276,812	679,564
Gross Unrealized Holding Gains	10,242	10,280
Gross Unrealized Holding Losses	(10,974)	(14,202)
Fair Value	276,080	675,642
Other US obligations MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,789,677	1,922,589
Gross Unrealized Holding Gains	12,757	12,568
Gross Unrealized Holding Losses	0	0
Fair Value	1,802,434	1,935,157
GSE residential MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,715,883	1,842,212
Gross Unrealized Holding Gains	90,286	98,878
Gross Unrealized Holding Losses	(118)	(137)
Fair Value	1,806,051	1,940,953
Private Label Residential MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,124,366	1,208,482
Gross Unrealized Holding Gains	13,826	12,720
Gross Unrealized Holding Losses	(21,104)	(27,510)
Fair Value	1,117,088	1,193,692
HELOCs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	11,548	12,107
Gross Unrealized Holding Gains	0	0
Gross Unrealized Holding Losses	(1,573)	(1,796)
Fair Value	9,975	10,311
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,135,914	1,220,589
Gross Unrealized Holding Gains	13,826	12,720
Gross Unrealized Holding Losses	(22,677)	(29,306)
Fair Value	1,127,063	1,204,003
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	4,641,474	4,985,390
Gross Unrealized Holding Gains	116,869	124,166
Gross Unrealized Holding Losses	(22,795)	(29,443)
Fair Value	$ 4,735,548	$ 5,080,113

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	$ 2,683	$ 1,337
Net gains (losses) on derivatives and hedging activities	1,584	4,007
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Interest rate swaps - fair value hedge ineffectiveness	(1,099)	2,670
Interest Rate Swap [Member] | Economic Hedges [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	(4,936)	2,372
Interest Rate Caps and Floors [Member] | Economic Hedges [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	194	(450)
Net Interest Settlements [Member] | Economic Hedges [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	4,297	(981)
Mortgage Delivery Commitments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	3,124	391
Other [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	$ 4	$ 5

XML

Other-Than-Temporary Impairment (OTTI Securities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013
Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
AFS Securities-Unpaid Principal Balance	$ 1,618,663
AFS Securities-Amortized Cost	1,321,961	[1]
AFS Securities-Fair Value	1,370,634
Available-for-sale Securities [Member] | Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	1,614,766
Securities Without OTTI-Unpaid Principal Balance	3,897
OTTI Securities-Amortized Cost	1,318,064	[1]
Securities Without OTTI-Amortized Cost	3,897	[1]
OTTI Securities-Fair Value	1,366,929
Securities Without OTTI-Fair Value	3,705
Available-for-sale Securities [Member] | Private label residential MBS [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	770,648
OTTI Securities-Amortized Cost	654,741	[1]
OTTI Securities-Fair Value	694,261
Available-for-sale Securities [Member] | Private label residential MBS [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	821,879
OTTI Securities-Amortized Cost	648,046	[1]
OTTI Securities-Fair Value	656,864
Available-for-sale Securities [Member] | Private label residential MBS [Member] | Subprime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	2,415
OTTI Securities-Amortized Cost	1,392	[1]
OTTI Securities-Fair Value	1,523
Available-for-sale Securities [Member] | HELOCs [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	19,824
OTTI Securities-Amortized Cost	13,885	[1]
OTTI Securities-Fair Value	$ 14,281

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

XML

Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Short-term Debt [Line Items]
Book value	$ 18,300,639	$ 24,148,453
Discount Notes [Member]
Short-term Debt [Line Items]
Par value	$ 18,303,991	$ 24,154,343
Weighted average interest rate (1)	0.11%	0.12%

XML

Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 6,353,564	[1]	$ 5,877,858	[1]
Total Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,733,408	[1]	1,204,243	[1]
MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,620,156	[1]	4,673,615	[1]
Fixed Interest Rate [Member] | Total Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,033,457		504,298
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,001,207		2,050,785
Adjustable Interest Rate [Member] | Total Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	699,951		699,945
Adjustable Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 2,618,949		$ 2,622,830

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

XML

Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2013

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

Schedule of Maturities of Debt

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2013 and December 31, 2012.

	March 31, 2013				December 31, 2012
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	10,758,455	1.13	%	$	11,543,105	1.14	%
Due after 1 year through 2 years	6,445,695		2.06		5,850,945		1.94
Due after 2 years through 3 years	4,167,015		2.41		5,617,465		2.32
Due after 3 years through 4 years	1,820,805		2.92		1,706,240		3.24
Due after 4 years through 5 years	5,281,225		1.65		2,941,900		1.86
Thereafter	6,872,290		2.21		6,155,290		2.32
Index amortizing notes	869,299		4.51		974,684		4.48
Total par value	$	36,214,784	1.89	%	$	34,789,629	1.93	%

Schedule of Long-term Debt by Call Feature

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Noncallable	$	25,493,784	$	26,470,629
Callable	10,721,000		8,319,000
Total par value	$	36,214,784	$	34,789,629

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2013 and December 31, 2012.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2013		December 31, 2012
Due in 1 year or less	$	21,253,955	$	19,541,605
Due after 1 year through 2 years	6,141,195		4,791,445
Due after 2 years through 3 years	3,767,015		5,242,465
Due after 3 years through 4 years	1,524,805		1,590,240
Due after 4 years through 5 years	1,478,725		1,354,400
Thereafter	1,179,790		1,294,790
Index amortizing notes	869,299		974,684
Total par value	$	36,214,784	$	34,789,629

Consolidated Obligation Bonds [Member]

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

Schedule of Interest Rate Payment Terms for Debt

The following table details interest rate payment terms for consolidated obligation bonds as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Par value of consolidated bonds:
Fixed-rate	$	32,112,284		$	31,307,129
Step-up	2,242,500			1,622,500
Floating-rate	1,860,000			1,860,000
Total par value	36,214,784			34,789,629
Bond premiums	92,192			99,090
Bond discounts	(17,398		)	(18,915		)
Hedging adjustments	206,996			265,804
Total book value	$	36,496,574		$	35,135,608

Discount Notes [Member]

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

Schedule of Short-term Debt

The following table details the Bank’s consolidated obligation discount notes, all of which are due within one year, as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013			December 31, 2012
Book value	$	18,300,639		$	24,148,453
Par value	18,303,991			24,154,343
Weighted average interest rate (1)	0.11		%	0.12		%

XML

Capital (Capital Requirements) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Capital [Abstract]
Risk-based capital - Required	$ 1,053,372	$ 1,029,858
Total capital-to-asset ratio - Required	4.00%	4.00%
Total regulatory capital - Required	2,405,465	2,584,651
Leverage ratio - Required	5.00%	5.00%
Leverage capital - Required	3,006,831	3,230,814
Risk-based capital - Actual	3,786,547	3,806,806
Total capital-to-asset ratio - Actual	6.30%	5.90%
Total regulatory capital - Actual	3,786,547	3,806,806
Leverage ratio - Actual	9.40%	8.80%
Leverage capital - Actual	$ 5,679,820	$ 5,710,209

XML

Derivatives and Hedging Activities (Narrative) (Details) (USD $) In Millions, unless otherwise specified	Mar. 31, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative, Net Liability Position, Aggregate Fair Value	$ 587.0
Collateral Already Posted, Aggregate Fair Value	506.7
Additional Collateral, Aggregate Fair Value	$ 63.8

XML

Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012	Mar. 31, 2012	Dec. 31, 2011
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
HTM securities	$ 5,011,628	$ 5,755,755
Derivative assets	18,749	27,803
Mandatorily redeemable capital stock	368,823	431,566	194,141	45,673
Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	545,680	1,350,594
Interest-bearing deposits	5,490	11,435
Federal funds sold	3,544,989	4,594,970
Securities purchased under agreement to resell	849,999	2,499,997
Trading securities	203,724	353,590
AFS securities	6,432,981	5,932,248
HTM securities	5,011,628	5,755,755
Advances	40,138,719	40,668,739
Accrued interest receivable	84,705	92,685
Derivative assets	18,749	27,803
Deposits	1,022,872	999,893
Mandatorily redeemable capital stock	369,112	431,920
Accrued interest payable	148,014	114,003
Derivative liabilities	258,472	310,425
Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	545,680	1,350,594
Interest-bearing deposits	5,490	11,435
Federal funds sold	3,545,000	4,595,000
Securities purchased under agreement to resell	850,000	2,500,000
Trading securities	203,724	353,590
AFS securities	6,432,981	5,932,248
HTM securities	4,918,286	5,664,954
Advances	39,994,038	40,497,787
Accrued interest receivable	84,705	92,685
Derivative assets	18,749	27,803
Deposits	1,022,870	999,891
Mandatorily redeemable capital stock	368,823	431,566
Accrued interest payable	148,014	114,003
Derivative liabilities	258,472	310,425
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	545,680	1,350,594
Interest-bearing deposits	0	0
Federal funds sold	0	0
Securities purchased under agreement to resell	0	0
Trading securities	3,726	3,600
AFS securities	1,998	1,998
HTM securities	0	0
Advances	0	0
Accrued interest receivable	0	0
Derivative assets	0	0
Deposits	0	0
Mandatorily redeemable capital stock	369,112	431,920
Accrued interest payable	0	0
Derivative liabilities	0	0
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0	0
Interest-bearing deposits	5,490	11,435
Federal funds sold	3,544,989	4,594,970
Securities purchased under agreement to resell	849,999	2,499,997
Trading securities	199,998	349,990
AFS securities	5,060,349	4,505,016
HTM securities	3,884,565	4,551,752
Advances	40,138,719	40,668,739
Accrued interest receivable	84,705	92,685
Derivative assets	296,018	313,622
Deposits	1,022,872	999,893
Mandatorily redeemable capital stock	0	0
Accrued interest payable	148,014	114,003
Derivative liabilities	836,202	884,703
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0	0
Interest-bearing deposits	0	0
Federal funds sold	0	0
Securities purchased under agreement to resell	0	0
Trading securities	0	0
AFS securities	1,370,634	1,425,234
HTM securities	1,127,063	1,204,003
Advances	0	0
Accrued interest receivable	0	0
Derivative assets	0	0
Deposits	0	0
Mandatorily redeemable capital stock	0	0
Accrued interest payable	0	0
Derivative liabilities	0	0
Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0	0
Interest-bearing deposits	0	0
Federal funds sold	0	0
Securities purchased under agreement to resell	0	0
Trading securities	0	0
AFS securities	0	0
HTM securities	0	0
Advances	0	0
Accrued interest receivable	0	0
Derivative assets	(277,269)	(285,819)
Deposits	0	0
Mandatorily redeemable capital stock	0	0
Accrued interest payable	0	0
Derivative liabilities	(577,730)	(574,278)
Residential Portfolio Segment [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	3,723,789	3,791,036
Residential Portfolio Segment [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	3,482,821	3,532,549
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans		3,791,036
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Residential Portfolio Segment [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Banking on Business Loans [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	12,542	12,846
Banking on Business Loans [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	12,542	12,846
Banking on Business Loans [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Banking on Business Loans [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Banking on Business Loans [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	12,542	12,846
Banking on Business Loans [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans	0	0
Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	18,301,620	24,150,089
Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	18,300,639	24,148,453
Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0	0
Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	18,301,620	24,150,089
Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0	0
Discount Notes [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0	0
Consolidated Obligation Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	37,059,363	35,777,834
Consolidated Obligation Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	36,496,574	35,135,608
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0	0
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	37,059,363	35,777,834
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0	0
Consolidated Obligation Bonds [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	$ 0	$ 0

XML

Other-Than-Temporary Impairment (Narrative) (Details)	Mar. 31, 2013 people area
Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Core-Based Statistical Areas, Current Requirements, Number of Urban Areas	1
Core-Based Statistical Areas, Current Requirements, Urban Area, Population	10,000
Assumed Current to Trough Home Price Change Rate	(4.00%)
Projected House Price Change Rate	(1.00%)
Maximum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Change Rate	4.00%
Projected House Price Change Rate	1.00%
MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Number of Securities with AA Rating at the time of purchase	1
MBS [Member] | Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Number Of Forms Of Credit Enhancements	1
Alternative Procedures [Member] | MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Marketable Securities, Par Balance, Percent	5.00%
Cash Flow Analysis [Member] | Private label residential MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Number of Third Party Models To Assess Recovery of Amortized Cost Basis of Securities	2
Cash Flow Analysis, Model 1 [Member]
Other than Temporary Impairment, Disclosure [Line Items]
Projected Home Price Recovery, Number of Projections	100

XML

Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) (Consolidated Obligation Bonds [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 36,214,784	$ 34,789,629
Non Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	25,493,784	26,470,629
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 10,721,000	$ 8,319,000

XML

Transactions with Related Parties (Statement of Income Effects) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Related Party Transaction [Line Items]
Interest income on advances (1)	$ 55,780		$ 65,488
Interest Income on MPF loans	37,634		44,983
Total MPF Loan Volume Purchased	171,029		76,467
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances (1)	31,122	[1]	33,473	[1]
Interest Income on MPF loans	28,186		36,547
Total MPF Loan Volume Purchased	$ 2,262		$ 5,725

[1] For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. For the three months ended March 31, 2012, balances include contractual interest income of $121.8 million, net interest settlements on derivatives in fair value hedge relationships of $(80.7) million and total amortization of basis adjustments of $(7.6) million.

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Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $)	3 Months Ended
	Mar. 31, 2013 Institutions	Mar. 31, 2012	Dec. 31, 2012
Capital [Abstract]
Joint Capital Enhancement Agreement Percentage	20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter	1.00%
Retained Earnings (Accumulated Deficit)	$ 585,699,000		$ 559,275,000
Regulatory Stock Repurchased During Period, Value	300,000,000
Excess Capital	580,800,000
Stock Repurchased During Period, Value	236,507,000	154,333,000
Capital stock, par value	$ 100		$ 100
Dividends on mandatorily redeemable capital stock	289,000	61,000
Mandatorily Redeemable Capital Stock [Roll Forward]
Balance, beginning of the period	431,566,000	45,673,000
Withdrawals	698,000	158,686,000
Other redemptions (1)	(63,441,000)	(10,218,000)
Balance, end of the period	$ 368,823,000	$ 194,141,000
Financial Instruments Subject to Mandatory Redemption, Number of Institutions	17
Financial Instruments Subject to Mandatory Redemption, Number of Institutions Assumed by FDIC	3
Financial Instruments Subject to Mandatory Redemption, Number of Institutions Voluntarily Dissolved	2
Financial Instruments Subject to Mandatory Redemption, Number of Nonmember Institutions	9
Financial Instruments Subject to Mandatory Redemption, Number of Institutions Ineligible for Membership	1
Financial Instruments Subject to Mandatory Redemption, Number of Institutions Voluntarily Withdrawn	2

XML

Transactions with Related Parties (Transactions with Other FHLBanks) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012	Dec. 31, 2012
Related Party Transaction [Line Items]
Interest income on MPF deposits	$ 37,634	$ 44,983
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	217	175
Interest income on MPF deposits	4	1
Interest-bearing deposits maintained with FHLBank of Chicago	$ 5,490		$ 11,435

XML

Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) (Consolidated Obligation Bonds [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 10,758,455	$ 11,543,105
Due after 1 year through 2 years	6,445,695	5,850,945
Due after 2 years through 3 years	4,167,015	5,617,465
Due after 3 years through 4 years	1,820,805	1,706,240
Due after 4 years through 5 years	5,281,225	2,941,900
Thereafter	6,872,290	6,155,290
Index amortizing notes	869,299	974,684
Par value of consolidated bonds	36,214,784	34,789,629
Earlier of Contractual Maturity or Next Call Date [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	21,253,955	19,541,605
Due after 1 year through 2 years	6,141,195	4,791,445
Due after 2 years through 3 years	3,767,015	5,242,465
Due after 3 years through 4 years	1,524,805	1,590,240
Due after 4 years through 5 years	1,478,725	1,354,400
Thereafter	1,179,790	1,294,790
Index amortizing notes	$ 869,299	$ 974,684

XML

Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ 8,915		$ 67,850
Gains/(Losses) on Hedged Item	(10,014)		(65,180)
Net Fair Value Hedge Ineffectiveness	(1,099)		2,670
Effect of Derivatives on Net Interest Income	(11,912)	[1]	(59,953)	[1]
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	57,970		90,465
Gains/(Losses) on Hedged Item	(60,481)		(88,559)
Net Fair Value Hedge Ineffectiveness	(2,511)		1,906
Effect of Derivatives on Net Interest Income	(61,858)	[1]	(99,550)	[1]
Consolidated Obligation Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(49,055)		(22,615)
Gains/(Losses) on Hedged Item	50,467		23,379
Net Fair Value Hedge Ineffectiveness	1,412		764
Effect of Derivatives on Net Interest Income	$ 49,946	[1]	$ 39,597	[1]

[1] Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item.

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Trading Securities (Tables)

3 Months Ended

Mar. 31, 2013

Schedule of Trading Securities and Other Trading Assets [Line Items]

Schedule of Trading Securities

The following table presents trading securities as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
U.S. Treasury bills	$	199,998	$	349,990
Mutual funds offsetting deferred compensation	3,726		3,600
Total	$	203,724	$	353,590

Categories of Investments, Marketable Securities, Trading Securities [Member]

Schedule of Trading Securities and Other Trading Assets [Line Items]

Net Gains (Losses) on Trading Securities

The following table presents net gains (losses) on trading securities for the first quarter of 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Net unrealized gains on trading securities held at period-end	$	267		$	467
Net realized (losses) on securities sold/matured during the period	(36		)	(32		)
Net gains on trading securities	$	231		$	435

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Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 4,918,286	$ 5,664,954
Held to maturity securities - fair value	5,011,628	5,755,755
Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	276,812	679,564
Held to maturity securities - fair value	276,080	675,642
Amortized Cost:
Due in one year or less	1,095	401,095
Due after one year through five years	22,081	24,830
Due after five years through ten years	8,778	7,414
Due after ten years	244,858	246,225
Amortized Cost	276,812	679,564
Held-to-maturity Securities, Debt Maturities, Fair Value [Abstract]
Due in one year or less	1,102	401,147
Due after one year through five years	23,178	26,113
Due after five years through ten years	9,153	7,522
Due after ten years	242,647	240,860
Fair Value	276,080	675,642
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	4,641,474	4,985,390
Held to maturity securities - fair value	$ 4,735,548	$ 5,080,113

XML

Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Available-for-sale Securities [Abstract]
Noncredit portion of OTTI losses	$ (14,868)	$ (29,674)
Net unrealized gains on OTTI securities since their last OTTI credit charge	63,733	48,673
Net noncredit portion of OTTI losses on AFS securities in AOCI	$ 48,865	$ 18,999

XML

Consolidated Obligations (Contractual Maturity Terms) (Details) (Consolidated Obligation Bonds [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 10,758,455	$ 11,543,105
Due after 1 year through 2 years	6,445,695	5,850,945
Due after 2 years through 3 years	4,167,015	5,617,465
Due after 3 years through 4 years	1,820,805	1,706,240
Due after 4 years through 5 years	5,281,225	2,941,900
Thereafter	6,872,290	6,155,290
Index amortizing notes	869,299	974,684
Par value of consolidated bonds	$ 36,214,784	$ 34,789,629
Due in 1 year or less, Weighted Average Interest Rate	1.13%	1.14%
Due after 1 year through 2 years, Weighted Average Interest Rate	2.06%	1.94%
Due after 2 years through 3 years, Weighted Average Interest Rate	2.41%	2.32%
Due after 3 years through 4 years, Weighted Average Interest Rate	2.92%	3.24%
Due after 4 years through 5 years, Weighted Average Interest Rate	1.65%	1.86%
Thereafter, Weighted Average Interest Rate	2.21%	2.32%
Index amortizing notes, Weighted Average Interest Rate	4.51%	4.48%
Par value of consolidated obligation bonds, Weighted Average Interest Rate	1.89%	1.93%

XML

Commitments and Contingencies (Tables)

3 Months Ended

Mar. 31, 2013

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

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

(in thousands)	March 31, 2013						December 31, 2012
Notional amount	Expire Within One Year		Expire After One Year		Total		Total
Standby letters of credit outstanding (1)	$	7,174,528	$	733,050	$	7,907,578	$	7,636,199
Commitments to fund additional advances and BOB loans	910,335		—		910,335		501,087
Commitments to fund or purchase mortgage loans	25,758		—		25,758		34,332
Unsettled consolidated obligation bonds, at par (2)	2,802,500		—		2,802,500		1,420,000
Unsettled consolidated obligation discount notes, at par	700,000		—		700,000		—

Notes:

⁽¹⁾ Includes approved requests to issue future standby letters of credit of $463.6 million and $400.3 million at March 31, 2013 and December 31, 2012, respectively.

⁽²⁾ Includes $2.7 billion and $1.4 billion of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2013 and December 31, 2012, respectively.

XML

Held-to-Maturity (HTM) Securities (Narrative) (Details) (MBS [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Held-to-maturity Securities, Premium (Discounts), Net	$ (49)	$ (143)

XML

Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Unpaid Principal Balance
Average Recorded Investment	$ 12,307	$ 4,651
Interest Income Recognized	159	69
Conventional Loan [Member]
Recorded Investment
With no related allowance	505	507
With a related allowance	12,406	12,449
Total recorded investment	12,911	12,956
Unpaid Principal Balance
With no related allowance	502	504
With a related allowance	12,354	12,388
Total	12,856	12,892
Related Allowance for Credit Losses	687	642
Average Recorded Investment	11,927	4,584
Interest Income Recognized	159	69
Banking on Business Loans [Member]
Recorded Investment
With a related allowance	313	280
Total recorded investment	313	280
Unpaid Principal Balance
With a related allowance	313	280
Total	313	280
Related Allowance for Credit Losses	183	100
Average Recorded Investment	380	67
Interest Income Recognized	$ 0	$ 0

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Advances (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Advances [Abstract]
Fixed rate – overnight	$ 696,700	$ 517,050
Due in 1 year or less	14,729,066	19,625,461
Thereafter	11,437,314	9,728,590
Total fixed rate	26,863,080	29,871,101
Due in 1 year or less	33,000	45,000
Thereafter	12,334,044	9,754,719
Total variable rate	12,367,044	9,799,719
Total par value	$ 39,230,124	$ 39,670,820

XML

Available-for-Sale (AFS) Securities (Narrative) (Details) (USD $)							3 Months Ended
	Mar. 31, 2013	Dec. 31, 2012	Mar. 31, 2012	Dec. 31, 2011	Mar. 31, 2013 MBS [Member]	Dec. 31, 2012 MBS [Member]	Mar. 31, 2013 Private label residential MBS [Member] loan	Mar. 31, 2012 Private label residential MBS [Member] loan	Mar. 31, 2013 SERP [Member]	Dec. 31, 2012 SERP [Member]	Mar. 31, 2013 Available-for-sale Securities [Member] MBS [Member]	Dec. 31, 2012 Available-for-sale Securities [Member] MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Supplemental retirement obligation									$ 4,200,000	$ 4,500,000
Net purchased discounts					(7,900,000)	(8,000,000)
Credit losses	(324,482,000)	(326,024,000)	(327,952,000)	(322,589,000)							(279,000,000)	(293,500,000)
Other Than Temporary Impairment Credit Losses Recognized In Earnings Interest Accretion Adjustment											$ (200,000)	$ 1,100,000
Number of securities transferred from HTM to AFS							0	1

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Background Information

3 Months Ended

Mar. 31, 2013

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Background Information

Background Information

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

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

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

As provided by the Housing and Economic Recovery Act of 2008 as amended (Housing Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. These reclassifications did not have a material impact on the Bank's Statement of Condition or Statement of Income. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2012 included in the Bank's 2012 Form 10-K.

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Mortgage Loans Held for Portfolio (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 3,431,918		$ 3,486,209
Premiums	52,536		51,637
Discounts	(7,527)		(8,212)
Hedging adjustments	19,287		17,078
Total mortgage loans held for portfolio	3,496,214		3,546,712
Loans Receivable With Fixed Rates Of Interest Medium Term [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	551,340	[1]	563,312	[1]
Loans Receivable With Fixed Rates Of Interest Long Term [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 2,880,578	[1]	$ 2,922,897	[1]

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

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Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Fair Value:
Less than 12 Months	$ 1,518,720	$ 910,515
Greater than 12 Months	438,080	574,448
Fair Value	1,956,800	1,484,963
Unrealized Losses:
Less than 12 Months	(2,616)	(1,187)
Greater than 12 Months	(14,791)	(30,076)
Unrealized Losses	(17,407)	(31,263)
Total Non-MBS [Member]
Fair Value:
Less than 12 Months	1,197,713	730,320
Greater than 12 Months	60,867	49,907
Fair Value	1,258,580	780,227
Unrealized Losses:
Less than 12 Months	(1,650)	(978)
Greater than 12 Months	(233)	(94)
Unrealized Losses	(1,883)	(1,072)
GSE securities [Member]
Fair Value:
Less than 12 Months	1,197,713	719,190
Greater than 12 Months	49,950	49,907
Fair Value	1,247,663	769,097
Unrealized Losses:
Less than 12 Months	(1,650)	(708)
Greater than 12 Months	(50)	(94)
Unrealized Losses	(1,700)	(802)
State and local agency obligations [Member]
Fair Value:
Less than 12 Months	0	11,130
Greater than 12 Months	10,917	0
Fair Value	10,917	11,130
Unrealized Losses:
Less than 12 Months	0	(270)
Greater than 12 Months	(183)	0
Unrealized Losses	(183)	(270)
Total MBS [Member]
Fair Value:
Less than 12 Months	321,007	180,195
Greater than 12 Months	377,213	524,541
Fair Value	698,220	704,736
Unrealized Losses:
Less than 12 Months	(966)	(209)
Greater than 12 Months	(14,558)	(29,982)
Unrealized Losses	(15,524)	(30,191)
Other US obligations MBS [Member]
Fair Value:
Less than 12 Months	180,262	94,848
Greater than 12 Months	0	0
Fair Value	180,262	94,848
Unrealized Losses:
Less than 12 Months	(402)	(120)
Greater than 12 Months	0	0
Unrealized Losses	(402)	(120)
GSE residential MBS [Member]
Fair Value:
Less than 12 Months	121,230	72,619
Greater than 12 Months	0	0
Fair Value	121,230	72,619
Unrealized Losses:
Less than 12 Months	(62)	(29)
Greater than 12 Months	0	0
Unrealized Losses	(62)	(29)
Private label MBS [Member]
Fair Value:
Less than 12 Months	19,515	12,728
Greater than 12 Months	377,213	524,541
Fair Value	396,728	537,269
Unrealized Losses:
Less than 12 Months	(502)	(60)
Greater than 12 Months	(14,558)	(29,982)
Unrealized Losses	(15,060)	(30,042)
Private label residential MBS [Member]
Fair Value:
Less than 12 Months	19,515	12,728
Greater than 12 Months	375,556	521,311
Fair Value	395,071	534,039
Unrealized Losses:
Less than 12 Months	(502)	(60)
Greater than 12 Months	(14,165)	(29,450)
Unrealized Losses	(14,667)	(29,510)
HELOCs [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	1,657	3,230
Fair Value	1,657	3,230
Unrealized Losses:
Less than 12 Months	0	0
Greater than 12 Months	(393)	(532)
Unrealized Losses	$ (393)	$ (532)

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Advances (Tables)

3 Months Ended

Mar. 31, 2013

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013					December 31, 2012
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	15,458,766		0.43	%	$	20,187,511		0.44	%
Due after 1 year through 2 years	5,512,505			0.93		3,869,388			1.02
Due after 2 years through 3 years	6,483,873			2.02		5,297,312			2.29
Due after 3 years through 4 years	3,865,224			2.66		3,634,200			2.74
Due after 4 years through 5 years	6,198,272			1.01		4,404,845			1.41
Thereafter	1,711,484			4.41		2,277,564			3.71
Total par value	39,230,124			1.25	%	39,670,820			1.25	%
Discount on AHP advances	(208		)			(230		)
Deferred prepayment fees	(15,146		)			(15,230		)
Hedging adjustments	779,268					842,427
Total book value	$	39,994,038				$	40,497,787

Schedule of Advances Classified by Contractual Maturity Date or Next Call Date or Next Convertible Date

The following table summarizes advances by year of contractual maturity or next call date or next convertible date as of March 31, 2013 and December 31, 2012.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012
Due in 1 year or less	$	16,958,766	$	20,587,511	$	17,690,766	$	22,439,511
Due after 1 year through 2 years	4,512,505		3,869,388		5,416,005		3,778,888
Due after 2 years through 3 years	5,983,873		5,297,312		6,162,373		5,174,812
Due after 3 years through 4 years	3,865,224		3,634,200		2,716,724		2,520,700
Due after 4 years through 5 years	6,198,272		4,404,845		5,706,272		3,812,845
Thereafter	1,711,484		1,877,564		1,537,984		1,944,064
Total par value	$	39,230,124	$	39,670,820	$	39,230,124	$	39,670,820

Schedule of Advances Classified by Contractual Interest Payment Terms

The following table details interest rate payment terms for advances as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Fixed rate – overnight	$	696,700	$	517,050
Fixed rate – term:
Due in 1 year or less	14,729,066		19,625,461
Thereafter	11,437,314		9,728,590
Total fixed rate	26,863,080		29,871,101
Variable rate:
Due in 1 year or less	33,000		45,000
Thereafter	12,334,044		9,754,719
Total variable rate	12,367,044		9,799,719
Total par value	$	39,230,124	$	39,670,820

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Other-Than-Temporary Impairment (Tables)

3 Months Ended

Mar. 31, 2013

Other Than Temporary Impairment [Abstract]

Schedule Of Projected Annualized Home Price Recovery Rates

Recovery Ranges of Housing Price Change
Months	Annualized Rates %
1 - 6	0.0%	-	3.0%
7 - 12	1.0%	-	4.0%
13 - 18	2.0%	-	4.0%
19 - 30	2.0%	-	5.0%
31 - 54	2.0%	-	6.0%
Thereafter	2.3%	-	5.6%

Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings

	Significant Inputs for OTTI Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Alt-A:
2007	8.1	46.4	44.0	0.0
2006	9.3	31.7	51.8	0.0
Total Alt-A	8.5	40.7	47.0	0.0
Total Residential    MBS - OTTI	8.5	40.7	47.0	0.0

	Significant Inputs for OTTI HELOCs
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
HELOCS (Alt-A)
2004 and prior	15.1	7.8	100.0	4.1

Schedule of Other Than Temporarily Impaired Charges of Securities

The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2013 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	770,648	$	654,741	$	694,261
Alt-A	821,879		648,046		656,864
Subprime	2,415		1,392		1,523
HELOCs	19,824		13,885		14,281
Total OTTI securities	1,614,766		1,318,064		1,366,929
Private label MBS with no OTTI	3,897		3,897		3,705
Total AFS private label MBS	$	1,618,663	$	1,321,961	$	1,370,634

Notes:

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

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following tables present the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Beginning balance	$	326,024		$	322,589
Additions:
Credit losses for which OTTI was not previously recognized	—			74
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	442			7,105
Reductions:
Securities sold and matured during the period	(59		)	—
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(1,925		)	(1,816		)
Ending balance	$	324,482		$	327,952

Notes:

⁽¹⁾For thethree months ended March 31, 2013and2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012.

⁽²⁾ This activity represents the increase in cash flows recognized in interest income during the period.

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Other-Than-Temporary Impairment (Rollforward) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Beginning balance	$ 326,024		$ 322,589
Credit losses for which OTTI was not previously recognized	0		74
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	442	[1]	7,105	[1]
Securities sold and matured during the period	(59)		0
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2)	(1,925)	[2]	(1,816)	[2]
Ending balance	$ 324,482		$ 327,952

[1] For the three months ended March 31, 2013 and 2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012.

[2] This activity represents the increase in cash flows recognized in interest income during the period.

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Available-for-Sale (AFS) Securities (Securities Transferred) (Details) (Private label MBS [Member], USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 0	$ 11,930
OTTI Recognized in OCI	0	(662)
Fair Value	$ 0	$ 11,268

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Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2013

Mortgage Loans Held For Portfolio [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of March 31, 2013 and December 31, 2012 for mortgage loans held for portfolio.

(in thousands)	March 31, 2013			December 31, 2012
Fixed medium-term single-family mortgages (1)	$	551,340		$	563,312
Fixed long-term single-family mortgages (1)	2,880,578			2,922,897
Total par value	3,431,918			3,486,209
Premiums	52,536			51,637
Discounts	(7,527		)	(8,212		)
Hedging adjustments	19,287			17,078
Total mortgage loans held for portfolio	$	3,496,214		$	3,546,712

Note:

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

Mortgage Loans Held for Portfolio by Collateral or Guarantee Type [Table Text Block]

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Government-guaranteed/insured loans	$	341,491	$	350,133
Conventional loans	3,090,427		3,136,076
Total par value	$	3,431,918	$	3,486,209

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Allowance for Credit Losses (Tables)

3 Months Ended

Mar. 31, 2013

Financing Receivable, Allowance for Credit Losses [Line Items]

Past Due Financing Receivables [Table Text Block]

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

(in thousands)	March 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	57,617		$	20,523		$	—		$	78,140
Past due 60-89 days	13,115			7,097			—			20,212
Past due 90 days or more	64,842			7,452			229			72,523
Total past due loans	$	135,574		$	35,072		$	229		$	170,875
Total current loans	3,025,743			318,439			14,947			3,359,129
Total loans	$	3,161,317		$	353,511		$	15,176		$	3,530,004
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,337		$	1,478		$	—		$	55,815
Serious delinquency rate (3)	2.1		%	2.1		%	1.5		%	2.1		%
Past due 90 days or more still accruing interest	$	—		$	7,452		$	—		$	7,452
Loans on nonaccrual status (4)	$	68,819		$	—		$	542		$	69,361

(in thousands)	December 31, 2012
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	50,214		$	20,513		$	20		$	70,747
Past due 60-89 days	12,219			5,842			147			18,208
Past due 90 days or more	69,996			7,469			153			77,618
Total past due loans	$	132,429		$	33,824		$	320		$	166,573
Total current loans	3,070,963			328,351			15,126			3,414,440
Total loans	$	3,203,392		$	362,175		$	15,446		$	3,581,013
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,605		$	1,587		$	—		$	56,192
Serious delinquency rate (3)	2.2		%	2.1		%	1.0		%	2.2		%
Past due 90 days or more still accruing interest	$	—		$	7,469		$	—		$	7,469
Loans on nonaccrual status (4)	$	74,051		$	—		$	599		$	74,650

Notes:

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

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

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

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

Troubled Debt Restructurings on Financing Receivables [Table Text Block]

TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three months ended March 31, 2013 and 2012.

	Three months ended March 31, 2013
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	2,903	$	2,903
BOB loans	139		139
Total	$	3,042	$	3,042

	Three months ended March 31, 2012
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	663	$	628
Total	$	663	$	628

Individually Evaluated Impared Loan Statistic By Product Level [Table Text Block]

Individually Evaluated Impaired Loans.

	March 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	505	$	502	$	—
With a related allowance:
Conventional MPF loans	$	12,406	$	12,354	$	687
BOB loans	313		313		183
Total:
Conventional MPF loans	$	12,911	$	12,856	$	687
BOB loans	313		313		183

	December 31, 2012
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	507	$	504	$	—
With a related allowance:
Conventional MPF loans	$	12,449	$	12,388	$	642
BOB loans	280		280		100
Total:
Conventional MPF loans	$	12,956	$	12,892	$	642
BOB loans	280		280		100

Impaired Financing Receivables [Table Text Block]

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

	Three months ended March 31, 2013				Three months ended March 31, 2012
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	11,927	$	159	$	4,584	$	69
BOB loans	380		—		67		—
Total	$	12,307	$	159	$	4,651	$	69

Residential Portfolio Segment [Member]

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables [Table Text Block]

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

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Balance, January 1	$	14,163		$	14,344
Charge-offs	(622		)	(226		)
Provision (benefit) for credit losses	(148		)	206
Balance, March 31	$	13,393		$	14,324

Allowance for Credit Losses and Recorded Investment By ImpairmentMethodology [Table Text Block]

Ending balance, individually evaluated for impairment	$	687	$	140
Ending balance, collectively evaluated for impairment	12,706		14,184
Total allowance for credit losses	$	13,393	$	14,324
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	12,911	$	4,531
Collectively evaluated for impairment	3,148,406		3,403,276
Total recorded investment	$	3,161,317	$	3,407,807

Banking on Business Loans [Member]

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables [Table Text Block]

Rollforward of Allowance for Credit Losses.BOB Loans.

(in thousands)	Three months ended March 31, 2013		Three months ended March 31, 2012
Balance, January 1	$	2,481	$	3,223
BOB Recoveries (Charge-offs)	9		(495		)
Provision (benefit) for credit losses	13		(155		)
Balance, March 31	$	2,503	$	2,573

Allowance for Credit Losses and Recorded Investment By ImpairmentMethodology [Table Text Block]

Ending balance, individually evaluated for impairment	$	183	$	—
Ending balance, collectively evaluated for impairment	2,320		2,573
Total allowance for credit losses	$	2,503	$	2,573
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	313	$	—
Collectively evaluated for impairment	14,863		16,713
Total recorded investment	$	15,176	$	16,713

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Statement of Changes in Capital (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	$ 3,428,945	$ 3,662,838
Issuance of capital stock	253,265	20,433
Repurchase/redemption of capital stock	(236,507)	(154,333)
Net shares reclassified to mandatorily redeemable capital stock	(698)	(158,686)
Comprehensive income	53,680	83,540
Cash dividends	(2,202)	(851)
Total capital	3,496,483	3,452,941
Common Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	2,815,965	3,389,863
Balance, shares	28,160	33,899
Issuance of capital stock	253,265	20,433
Issuance of capital stock, shares	2,532	204
Repurchase/redemption of capital stock	(236,507)	(154,333)
Repurchase/redemption of capital stock, shares	(2,365)	(1,543)
Net shares reclassified to mandatorily redeemable capital stock	(698)	(158,686)
Net shares reclassified to mandatorily redeemable capital stock, shares	(7)	(1,587)
Total capital	2,832,025	3,097,277
Balance, shares	28,320	30,973
Retained Earnings, Unappropriated [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	528,767	430,774
Comprehensive income	22,901	17,424
Cash dividends	(2,202)	(851)
Total capital	549,466	447,347
Retained Earnings, Appropriated [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	30,508	4,566
Comprehensive income	5,725	4,356
Total capital	36,233	8,922
Retained Earnings [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	559,275	435,340
Comprehensive income	28,626	21,780
Cash dividends	(2,202)	(851)
Total capital	585,699	456,269
Accumulated Other Comprehensive Income (Loss) [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital	53,705	(162,365)
Comprehensive income	25,054	61,760
Total capital	$ 78,759	$ (100,605)

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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2013

Derivative Instruments, Gain (Loss) [Line Items]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables summarize the notional and fair value of derivative instruments as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	30,539,498	$	254,888		$	829,720
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,552,213	$	37,247		$	6,482
Interest rate caps	1,249,750		3,388			—
Mortgage delivery commitments	25,758		495			—
Total derivatives not in hedge accounting relationships	$	5,827,721	$	41,130		$	6,482
Total derivatives before netting and collateral adjustments	$	36,367,219	$	296,018		$	836,202
Netting adjustments			(249,158		)	(249,158		)
Cash collateral and related accrued interest			(28,111		)	(328,572		)
Total collateral and netting adjustments (1)			(277,269		)	(577,730		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	18,749		$	258,472

	December 31, 2012
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,661,620	$	273,265		$	878,667
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,318,343	$	37,767		$	6,036
Interest rate caps	1,199,750		1,968			—
Mortgage delivery commitments	34,332		622			—
Total derivatives not in hedge accounting relationships	$	5,552,425	$	40,357		$	6,036
Total derivatives before netting and collateral adjustments	$	31,214,045	$	313,622		$	884,703
Netting adjustments			(253,923		)	(253,923		)
Cash collateral and related accrued interest			(31,896		)	(320,355		)
Total collateral and netting adjustments (1)			(285,819		)	(574,278		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	27,803		$	310,425

Note:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

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

	Three months ended March 31,
(in thousands)	2013			2012
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	(1,099	)	$	2,670
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(4,936	)	$	2,372
Interest rate caps	194			(450		)
Net interest settlements	4,297			(981		)
Mortgage delivery commitments	3,124			391
Other	4			5
Total net gains related to derivatives not designated as hedging instruments	$	2,683		$	1,337
Net gains on derivatives and hedging activities	$	1,584		$	4,007

ScheduleOfDerivativeInstrumentsByTypeGainLossInStatementOfFinancialPerformance [Table Text Block]

The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the first quarter 2013 and 2012.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2013
Hedged item type:
Advances	$	57,970		$	(60,481	)	$	(2,511	)	$	(61,858	)
Consolidated obligations – bonds	(49,055		)	50,467			1,412			49,946
Total	$	8,915		$	(10,014	)	$	(1,099	)	$	(11,912	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2012
Hedged item type:
Advances	$	90,465		$	(88,559	)	$	1,906	$	(99,550	)
Consolidated obligations – bonds	(22,615		)	23,379			764		39,597
Total	$	67,850		$	(65,180	)	$	2,670	$	(59,953	)

Note:

⁽¹⁾ Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item.

Schedule of Credit Risk Exposure on Derivative Instruments

The following table presents separately the fair value of derivative instruments with and without the legal right of offset, including the related collateral received from or pledged to counterparties, based on the terms of the Bank's master netting or similar agreements.

	March 31, 2013
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	295,523		$	836,202
Gross amounts of netting adjustments and cash collateral	(277,269		)	(577,730		)
Net amounts after offsetting adjustments	18,254			258,472
Derivative instruments without legal right of offset	495			—
Total derivative assets and total derivative liabilities	$	18,749		$	258,472
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			173,228
Cannot be sold or repledged	—			4,942
Net unsecured amount	$	18,749		$	80,302

	December 31, 2012
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	313,000		$	884,703
Gross amounts of netting adjustments and cash collateral	(285,819		)	(574,278		)
Net amounts after offsetting adjustments	27,181			310,425
Derivative instruments without legal right of offset	622			—
Total derivative assets and total derivative liabilities	$	27,803		$	310,425
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			—
Cannot be sold or repledged	1,343			257,603
Net unsecured amount	$	26,460		$	52,822

Notes:

⁽¹⁾ Non-cash collateral consists primarily of investment securities. Any overcollateralization at an individual master agreement level is not included in the determination of the net unsecured amount.

⁽²⁾ The terms of the ISDA Credit Support Annex permit rehypothecation of the investment securities collateral.

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Capital (Dividends and Retained Earnings) (Details) (USD $)	3 Months Ended			0 Months Ended
	Mar. 31, 2013	Mar. 31, 2012	Dec. 31, 2012	Apr. 30, 2013 Dividend Paid [Member]	Feb. 23, 2013 Dividend Paid [Member]	Apr. 30, 2013 Repurchase of Equity [Member]
Capital [Line Items]
Joint Capital Enhancement Agreement Percentage	20.00%
Retained Earnings (Accumulated Deficit)	$ 585,699,000		$ 559,275,000
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter	1.00%
Retained Earnings, Unappropriated	549,466,000		528,767,000
Retained Earnings, Appropriated	36,233,000		30,508,000
Dividends, Per Share, Cash, Annualized Rate				0.29%	0.32%
Regulatory Stock Repurchased During Period, Value	300,000,000
Excess Capital	580,800,000
Repurchase/redemption of capital stock	$ 236,507,000	$ 154,333,000				$ 400,000,000

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Trading Securities [Abstract]
Net unrealized gains on trading securities held at period-end	$ 267	$ 467
Net realized (losses) on securities sold/matured during the period	(36)	(32)
Net gains on trading securities	$ 231	$ 435

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Other-Than-Temporary Impairment (Price Recovery) (Details)	Mar. 31, 2013
Maximum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
1 - 6	3.00%
7-12	4.00%
13-18	4.00%
19-30	5.00%
31-54	6.00%
Thereafter	5.60%
Minimum [Member]
Other than Temporary Impairment, Disclosure [Line Items]
1 - 6	0.00%
7-12	1.00%
13-18	2.00%
19-30	2.00%
31-54	2.00%
Thereafter	2.30%

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Derivatives and Hedging Activities (Credit Risk Exposure) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Derivative Instruments with legal right to offset [Abstract]
Gross recognized amount of assets	$ 295,523		$ 313,000
Gross recognized amount of liabilities	836,202		884,703
Gross amount of netting adjustments and cash collateral - Derivative assets	(277,269)		(285,819)
Gross amount of netting adjustments and cash collateral - Derivative liabilities	(577,730)		(574,278)
DerivativeAsset without legal right to offset	495		622
DerivativeLiabilitywithout legal right to offset	0		0
Net amounts after offsetting adjustments - Derivative assets	18,254		27,181
Net amounts after offsetting adjustments - Derivative liabilities	258,472		310,425
Derivative assets	18,749		27,803
Total Derivative liabilities	258,472		310,425
Securities pledged as collateral that can be sold or repledged	173,228	[1],[2]	0	[1],[2]
Securities Received as Collateral			1,343
Securities pledged as collateral that cannot be sold or repledged	4,942	[1]	257,603	[1]
Derivative Asset- Net unsecured amount	18,749		26,460
Derivative Liability - Net unsecured amount	$ 80,302		$ 52,822

[1] Non-cash collateral consists primarily of investment securities. Any overcollateralization at an individual master agreement level is not included in the determination of the net unsecured amount.

[2] The terms of the ISDA Credit Support Annex permit rehypothecation of the investment securities collateral.

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Statement of Income (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Interest income:
Advances	$ 55,780	$ 65,488
Prepayment fees on advances, net	1,713	4,672
Interest-bearing deposits	117	141
Securities purchased under agreements to resell	576	481
Federal funds sold	1,463	461
Trading securities	60	375
Available-for-sale (AFS) securities	28,765	31,315
Held-to-maturity (HTM) securities	27,024	37,510
Mortgage loans held for portfolio	37,634	44,983
Total interest income	153,132	185,426
Interest expense:
Consolidated obligations - discount notes	5,245	1,769
Consolidated obligations - bonds	102,057	141,258
Mandatorily redeemable capital stock	289	61
Deposits	131	126
Other borrowings	7	11
Total interest expense	107,729	143,225
Net interest income	45,403	42,201
Provision (benefit) for credit losses	(121)	78
Net interest income after provision (benefit) for credit losses	45,524	42,123
Other noninterest income (loss):
Total OTTI losses (Note 5)	0	(1,051)
OTTI losses reclassified (from) AOCI (Note 5)	(442)	(6,128)
Net OTTI losses, credit portion (Note 5)	(442)	(7,179)
Net gains on trading securities (Note 2)	231	435
Net gains on derivatives and hedging activities (Note 9)	1,584	4,007
Other, net	2,327	2,330
Total other noninterest income (loss)	3,700	(407)
Other expense:
Compensation and benefits expense	9,230	9,553
Other operating expense	6,029	5,850
Finance Agency expense	1,172	1,326
Office of Finance expense	954	780
Total other expense	17,385	17,509
Income before assessments	31,839	24,207
Affordable Housing Program assessment	3,213	2,427
Net income	$ 28,626	$ 21,780
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	27,783	31,732
Basic and diluted earnings per share	$ 1.03	$ 0.69
Dividends per share	$ 0.08	$ 0.03

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Available-for-Sale (AFS) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Amortized Cost:
Amortized Cost Basis	$ 6,353,564	[1]	$ 5,877,858	[1]
Fair Value:
Fair Value	6,432,981		5,932,248
Total Non-MBS [Member]
Amortized Cost:
Due in one year or less	301,989		201,993
Due after one year through five years	1,399,319		969,850
Due after five years through ten years	21,000		21,000
Due in more than ten years	11,100		11,400
Amortized Cost Basis	1,733,408	[1]	1,204,243	[1]
Fair Value:
Due in one year or less	301,883		201,832
Due after one year through five years	1,398,413		969,510
Due after five years through ten years	21,007		21,016
Due in more than ten years	10,917		11,130
Fair Value	1,732,220		1,203,488
MBS [Member]
Amortized Cost:
Amortized Cost Basis	4,620,156	[1]	4,673,615	[1]
Fair Value:
Fair Value	$ 4,700,761		$ 4,728,760

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

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Statement of Cash Flows (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
OPERATING ACTIVITIES
Net income	$ 28,626	$ 21,780
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	(8,138)	7,314
Change in net fair value adjustment on derivative and hedging activities	(15,962)	(8,489)
Net OTTI credit losses	442	7,179
Other adjustments	(122)	78
Net change in:
Trading securities	149,866	248
Accrued interest receivable	7,993	5,012
Other assets	2,177	2,196
Accrued interest payable	34,012	37,935
Other liabilities	(2,590)	(1,914)
Total adjustments	167,678	49,559
Net cash provided by operating activities	196,304	71,339
Net change in:
Interest-bearing deposits (including $5,945 and$10,380 to other FHLBanks for mortgage loan program)	(2,285)	36,418
Securities purchased under agreements to resell	1,650,000	(1,000,000)
Federal funds sold	1,050,000	10,000
Premises, software and equipment, net	(656)	(815)
AFS securities:
Proceeds	393,448	519,838
Purchases	(871,676)	(1,406,991)
HTM securities:
Net change in short-term	400,000	700,000
Proceeds from long-term	346,286	388,432
Advances:
Proceeds	63,962,411	33,123,841
Made	(63,520,661)	(34,068,362)
Mortgage loans held for portfolio:
Proceeds	220,470	231,260
Purchases	(171,029)	(76,467)
Net cash provided by (used in) investing activities	3,456,308	(1,542,846)
Net change in:
Deposits and pass-through reserves	19,195	189,506
Net payments for derivative contracts with financing element	(7,877)	(15,659)
Net proceeds from issuance of consolidated obligations:
Discount notes	92,667,949	84,810,952
Bonds (none from other FHLBanks)	6,680,644	5,082,710
Payments for maturing and retiring consolidated obligations:
Discount notes	(98,515,095)	(83,938,712)
Bonds	(5,253,385)	(4,948,593)
Proceeds from issuance of capital stock	253,265	20,433
Payments for repurchase/redemption of mandatorily redeemable capital stock	(63,441)	(10,218)
Payments for repurchase/redemption of capital stock	(236,507)	(154,333)
Cash dividends paid	(2,274)	(851)
Net cash (used in) provided by financing activities	(4,457,526)	1,035,235
Net (decrease) in cash and cash equivalents	(804,914)	(436,272)
Cash and cash equivalents at beginning of the period	1,350,594	634,278
Cash and cash equivalents at end of the period	545,680	198,006
Supplemental disclosures:
Interest paid	84,275	117,492
AHP payments, net	1,493	513
Transfer of mortgage loans to real estate owned	5,813	5,577
Non-cash transfer of OTTI HTM securities to AFS	$ 0	$ 11,268

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Advances (Portfolio by Year of Contractual Maturity) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Advances [Abstract]
Due in 1 year or less	$ 15,458,766	$ 20,187,511
Due after 1 year through 2 years	5,512,505	3,869,388
Due after 2 years through 3 years	6,483,873	5,297,312
Due after 3 years through 4 years	3,865,224	3,634,200
Due after 4 years through 5 years	6,198,272	4,404,845
Thereafter	1,711,484	2,277,564
Total par value	39,230,124	39,670,820
Discount on AHP advances	(208)	(230)
Deferred prepayment fees	(15,146)	(15,230)
Hedging adjustments	779,268	842,427
Total book value	$ 39,994,038	$ 40,497,787
Due in 1 year or less, Weighted Average Interest Rate	0.43%	0.44%
Due after 1 year through 2 years, Weighted Average Interest Rate	0.93%	1.02%
Due after 2 years through 3 years, Weighted Average Interest Rate	2.02%	2.29%
Due after 3 years through 4 years, Weighted Average Interest Rate	2.66%	2.74%
Due after 4 years through 5 years, Weighted Average Interest Rate	1.01%	1.41%
Thereafter, Weighted Average Interest Rate	4.41%	3.71%
Total par value, Weighted Average Interest Rate	1.25%	1.25%

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Transactions with Related Parties (Tables)

3 Months Ended

Mar. 31, 2013

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

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

	Three months ended March 31,
(in thousands)	2013		2012
Total MPF loan volume purchased	$	2,262	$	5,725

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2013		December 31, 2012
Federal funds sold	$	165,000	$	245,000
Investments	179,610		179,610
Advances	26,917,773		27,399,641
Letters of credit	53,871		84,230
MPF loans	2,005,850		2,303,281
Deposits	10,671		5,797
Capital stock	1,499,066		1,477,835

Related Party Transactions, Income Statement

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

	Three months ended March 31,
(in thousands)	2013		2012
Interest income on advances (1)	$	31,122	$	33,473
Interest income on MPF loans	28,186		36,547

Note:

⁽¹⁾ For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. For the three months ended March 31, 2012, balances include contractual interest income of $121.8 million, net interest settlements on derivatives in fair value hedge relationships of $(80.7) million and total amortization of basis adjustments of $(7.6) million.

FHLBank of Chicago [Member]

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

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

	Three months ended March 31,
(in thousands)	2013		2012
Servicing fee expense	$	217	$	175
Interest income on MPF deposits	4		1

(in thousands)	March 31, 2013		December 31, 2012
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,490	$	11,435

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Allowance for Credit Losses (Credit Quality Indicators) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012		Mar. 31, 2012
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	$ 78,140	[1]	$ 70,747	[1]
Past due 60-89 days	20,212	[1]	18,208	[1]
Past due 90 days or more	72,523	[1]	77,618	[1]
Total past due loans	170,875	[1]	166,573	[1]
Total current loans	3,359,129	[1]	3,414,440	[1]
Total recorded investment	3,530,004	[1]	3,581,013	[1]
In process of foreclosures, included above (2)	55,815	[2]	56,192	[2]
Serious delinquency rate (3)	2.10%	[3]	2.20%	[3]
Past due 90 days or more still accruing interest	7,452		7,469
Loans on nonaccrual status (4)	69,361	[4]	74,650	[4]
Conventional Loan [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	57,617	[1]	50,214	[1]
Past due 60-89 days	13,115	[1]	12,219	[1]
Past due 90 days or more	64,842	[1]	69,996	[1]
Total past due loans	135,574	[1]	132,429	[1]
Total current loans	3,025,743	[1]	3,070,963	[1]
Total recorded investment	3,161,317	[1]	3,203,392	[1]
In process of foreclosures, included above (2)	54,337	[2]	54,605	[2]
Serious delinquency rate (3)	2.10%	[3]	2.20%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	68,819	[4]	74,051	[4]
Government-Insured Mortgage Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	20,523	[1]	20,513	[1]
Past due 60-89 days	7,097	[1]	5,842	[1]
Past due 90 days or more	7,452	[1]	7,469	[1]
Total past due loans	35,072	[1]	33,824	[1]
Total current loans	318,439	[1]	328,351	[1]
Total recorded investment	353,511	[1]	362,175	[1]
In process of foreclosures, included above (2)	1,478	[2]	1,587	[2]
Serious delinquency rate (3)	2.10%	[3]	2.10%	[3]
Past due 90 days or more still accruing interest	7,452		7,469
Loans on nonaccrual status (4)	0	[4]	0	[4]
Banking on Business Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	0	[1]	20	[1]
Past due 60-89 days	0	[1]	147	[1]
Past due 90 days or more	229	[1]	153	[1]
Total past due loans	229	[1]	320	[1]
Total current loans	14,947	[1]	15,126	[1]
Total recorded investment	15,176	[1]	15,446	[1]	16,713
In process of foreclosures, included above (2)	0	[2]	0	[2]
Serious delinquency rate (3)	1.50%	[3]	1.00%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	$ 542	[4]	$ 599	[4]

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance.

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

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

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

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Estimated Fair Values

3 Months Ended

Mar. 31, 2013

Fair Value Disclosures [Abstract]

Estimated Fair Values

Estimated Fair Values

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 at March 31, 2013 and December 31, 2012. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2013 and December 31, 2012 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities.

Fair Value Summary Table
	March 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	545,680	$	545,680	$	—	$	—	$	—		$	545,680
Interest-bearing deposits	5,490		—		5,490		—		—			5,490
Federal funds sold	3,545,000		—		3,544,989		—		—			3,544,989
Securities purchased under agreement to resell	850,000		—		849,999		—		—			849,999
Trading securities	203,724		3,726		199,998		—		—			203,724
AFS securities	6,432,981		1,998		5,060,349		1,370,634		—			6,432,981
HTM securities	4,918,286		—		3,884,565		1,127,063		—			5,011,628
Advances	39,994,038		—		40,138,719		—		—			40,138,719
Mortgage loans held for portfolio, net	3,482,821		—		3,723,789		—		—			3,723,789
BOB loans, net	12,542		—		—		12,542		—			12,542
Accrued interest receivable	84,705		—		84,705		—		—			84,705
Derivative assets	18,749		—		296,018		—		(277,269		)	18,749
Liabilities:
Deposits	$	1,022,870	$	—	$	1,022,872	$	—	$	—		$	1,022,872
Discount notes	18,300,639		—		18,301,620		—		—			18,301,620
Bonds	36,496,574		—		37,059,363		—		—			37,059,363
Mandatorily redeemable capital stock	368,823		369,112		—		—		—			369,112
Accrued interest payable	148,014		—		148,014		—		—			148,014
Derivative liabilities	258,472		—		836,202		—		(577,730		)	258,472

	December 31, 2012
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	1,350,594	$	1,350,594	$	—	$	—	$	—		$	1,350,594
Interest-bearing deposits	11,435		—		11,435		—		—			11,435
Federal funds sold	4,595,000		—		4,594,970		—		—			4,594,970
Securities purchased under agreement to resell	2,500,000		—		2,499,997		—		—			2,499,997
Trading securities	353,590		3,600		349,990		—		—			353,590
AFS securities	5,932,248		1,998		4,505,016		1,425,234		—			5,932,248
HTM securities	5,664,954		—		4,551,752		1,204,003		—			5,755,755
Advances	40,497,787		—		40,668,739		—		—			40,668,739
Mortgage loans held for portfolio, net	3,532,549		—		3,791,036		—		—			3,791,036
BOB loans, net	12,846		—		—		12,846		—			12,846
Accrued interest receivable	92,685		—		92,685		—		—			92,685
Derivative assets	27,803		—		313,622		—		(285,819		)	27,803
Liabilities:
Deposits	$	999,891	$	—	$	999,893	$	—	$	—		$	999,893
Discount notes	24,148,453		—		24,150,089		—		—			24,150,089
Bonds	35,135,608		—		35,777,834		—		—			35,777,834
Mandatorily redeemable capital stock	431,566		431,920		—		—		—			431,920
Accrued interest payable	114,003		—		114,003		—		—			114,003
Derivative liabilities	310,425		—		884,703		—		(574,278		)	310,425

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

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

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

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

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

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification within the fair value hierarchy of certain assets or liabilities. These reclassifications are reported as transfers in/out of the level as of the beginning of the quarter in which the changes occur. There were no such transfers during the three months ended March 31, 2013 and 2012.

Summary of Valuation Methodologies and Primary Inputs

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

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

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

Securities Purchased Under Agreement to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. For securities with variable rates or fixed rates with three months or less to maturity or repricing, the fair values approximate the carrying values.

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

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

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

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank considers these inputs to be Level 2 inputs. However, based on the current lack of significant market activity for private label residential MBS, the Bank believes as of March 31, 2013 private label residential MBS inputs should be classified as Level 3.

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

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

As an additional step, the Bank reviewed the final fair value estimates of its private-label MBS holdings as of March 31, 2013 for reasonableness using an implied yield test. The Bank calculated an implied yield for each of its private label MBS using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared such yield to the market yield for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of March 31, 2013, four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for a majority of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy.

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

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

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

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

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes.

The Bank is subject to credit risk in derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into master-netting

agreements for interest rate exchange agreements with highly rated institutions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. OIS curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

BOB Loans. The fair value approximates the carrying value.

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

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

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2013 and December 31, 2012.

Commitments to Extend Credit for Mortgage Loans. Certain mortgage purchase commitments are considered derivatives. The Bank may hedge these commitments by selling to-be-announced (TBA) mortgage-backed securities for forward settlement. A TBA represents a forward contract for the sale of mortgage-backed securities at a future agreed upon date for an established price. The mortgage purchase commitment and the TBA used in the firm commitment hedging strategy (economic hedge) are recorded as a derivative asset or derivative liability at fair value, with changes in fair value recognized in the current period earnings. When the mortgage purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan and amortized accordingly.

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

Fair Value on a Recurring Basis. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	199,998	$	—	$	—		$	199,998
Mutual funds offsetting deferred compensation	3,726		—		—		—			3,726
Total trading securities	$	3,726	$	199,998	$	—	$	—		$	203,724
AFS securities:
Other U.S. obligations	$	—	$	21,007	$	—	$	—		$	21,007
GSE securities	—		1,698,298		—		—			1,698,298
State or local Agency	—		10,917		—		—			10,917
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		387,735		—		—			387,735
GSE residential MBS	—		2,942,392		—		—			2,942,392
Private label MBS:
Private label residential	—		—		1,356,353		—			1,356,353
HELOCs	—		—		14,281		—			14,281
Total AFS securities	$	1,998	$	5,060,349	$	1,370,634	$	—		$	6,432,981
Derivative assets:
Interest rate related	$	—	$	295,523	$	—	$	(277,269	)	$	18,254
Mortgage delivery commitments	—		495		—		—			495
Total derivative assets	$	—	$	296,018	$	—	$	(277,269	)	$	18,749
Total assets at fair value	$	5,724	$	5,556,365	$	1,370,634	$	(277,269	)	$	6,655,454
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	836,202	$	—	$	(577,730	)	$	258,472
Total derivative liabilities (2)	$	—	$	836,202	$	—	$	(577,730	)	$	258,472

	December 31, 2012
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	349,990	$	—	$	—		$	349,990
Mutual funds offsetting deferred compensation	3,600		—		—		—			3,600
Total trading securities	$	3,600	$	349,990	$	—	$	—		$	353,590
AFS securities:
Other U.S. obligations	$	—	$	21,016	$	—	$	—		$	21,016
GSE securities	—		1,169,344		—		—			1,169,344
State or local agency	—		11,130		—		—			11,130
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		310,705		—		—			310,705
GSE residential MBS	—		2,992,821		—		—			2,992,821
Private label MBS:
Private label residential	—		—		1,410,476		—			1,410,476
HELOCs	—		—		14,758		—			14,758
Total AFS securities	$	1,998	$	4,505,016	$	1,425,234	$	—		$	5,932,248
Derivative assets:
Interest rate related	$	—	$	313,000	$	—	$	(285,819	)	$	27,181
Mortgage delivery commitments	—		622		—		—			622
Total derivative assets	$	—	$	313,622	$	—	$	(285,819	)	$	27,803
Total assets at fair value	$	5,598	$	5,168,628	$	1,425,234	$	(285,819	)	$	6,313,641
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	884,703	$	—	$	(574,278	)	$	310,425
Total derivative liabilities (2)	$	—	$	884,703	$	—	$	(574,278	)	$	310,425

Notes:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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

There were no transfers between Levels 1 and 2 during the first three months of 2013 or 2012.

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the first three months of 2013 and 2012. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2013			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(1,494		)	224
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	175			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	14,323			41
Unrealized gains on OTTI AFS and included in OCI	14,898			162
Purchases, issuances, sales, and settlements:
Settlements	(82,025		)	(904		)
Balance at March 31	$	1,356,353		$	14,281
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2013	$	(345	)	$	(97	)

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2012			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2012
Balance at January 1	$	1,631,361		$	15,073
Total gains (losses) (realized/unrealized) included in:
Net OTTI losses, credit portion	(6,021		)	(1,084		)
Net unrealized gains (losses) on AFS in OCI	(242		)	—
Reclassification of non-credit portion included in net income	5,706			1,084
Net change in fair value on OTTI AFS in OCI	48,938			208
Unrealized gains on OTTI AFS and included in OCI	7,094			—
Purchases, issuances, sales, and settlements:
Settlements	(113,227		)	(507		)
Transfer of OTTI securities from HTM to AFS	11,268			—
Balance at March 31	$	1,584,877		$	14,774
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2012	$	(6,021	)	$	(1,084	)

During the first three months of 2013, the Bank did not transfer any private label MBS from its HTM portfolio to its AFS portfolio in the period in which the OTTI charge was recorded. During the first three months of 2012, the Bank transferred one private label MBS from its HTM portfolio to its AFS portfolio. Because transfers of OTTI securities are separately reported in the quarter in which they occur, the net OTTI losses and noncredit losses recognized on these securities are not separately reflected in the tables above.

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Estimated Fair Values (Tables)

3 Months Ended

Mar. 31, 2013

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2013 and December 31, 2012 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities.

Fair Value Summary Table
	March 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	545,680	$	545,680	$	—	$	—	$	—		$	545,680
Interest-bearing deposits	5,490		—		5,490		—		—			5,490
Federal funds sold	3,545,000		—		3,544,989		—		—			3,544,989
Securities purchased under agreement to resell	850,000		—		849,999		—		—			849,999
Trading securities	203,724		3,726		199,998		—		—			203,724
AFS securities	6,432,981		1,998		5,060,349		1,370,634		—			6,432,981
HTM securities	4,918,286		—		3,884,565		1,127,063		—			5,011,628
Advances	39,994,038		—		40,138,719		—		—			40,138,719
Mortgage loans held for portfolio, net	3,482,821		—		3,723,789		—		—			3,723,789
BOB loans, net	12,542		—		—		12,542		—			12,542
Accrued interest receivable	84,705		—		84,705		—		—			84,705
Derivative assets	18,749		—		296,018		—		(277,269		)	18,749
Liabilities:
Deposits	$	1,022,870	$	—	$	1,022,872	$	—	$	—		$	1,022,872
Discount notes	18,300,639		—		18,301,620		—		—			18,301,620
Bonds	36,496,574		—		37,059,363		—		—			37,059,363
Mandatorily redeemable capital stock	368,823		369,112		—		—		—			369,112
Accrued interest payable	148,014		—		148,014		—		—			148,014
Derivative liabilities	258,472		—		836,202		—		(577,730		)	258,472

	December 31, 2012
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value
Assets:
Cash and due from banks	$	1,350,594	$	1,350,594	$	—	$	—	$	—		$	1,350,594
Interest-bearing deposits	11,435		—		11,435		—		—			11,435
Federal funds sold	4,595,000		—		4,594,970		—		—			4,594,970
Securities purchased under agreement to resell	2,500,000		—		2,499,997		—		—			2,499,997
Trading securities	353,590		3,600		349,990		—		—			353,590
AFS securities	5,932,248		1,998		4,505,016		1,425,234		—			5,932,248
HTM securities	5,664,954		—		4,551,752		1,204,003		—			5,755,755
Advances	40,497,787		—		40,668,739		—		—			40,668,739
Mortgage loans held for portfolio, net	3,532,549		—		3,791,036		—		—			3,791,036
BOB loans, net	12,846		—		—		12,846		—			12,846
Accrued interest receivable	92,685		—		92,685		—		—			92,685
Derivative assets	27,803		—		313,622		—		(285,819		)	27,803
Liabilities:
Deposits	$	999,891	$	—	$	999,893	$	—	$	—		$	999,893
Discount notes	24,148,453		—		24,150,089		—		—			24,150,089
Bonds	35,135,608		—		35,777,834		—		—			35,777,834
Mandatorily redeemable capital stock	431,566		431,920		—		—		—			431,920
Accrued interest payable	114,003		—		114,003		—		—			114,003
Derivative liabilities	310,425		—		884,703		—		(574,278		)	310,425

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	199,998	$	—	$	—		$	199,998
Mutual funds offsetting deferred compensation	3,726		—		—		—			3,726
Total trading securities	$	3,726	$	199,998	$	—	$	—		$	203,724
AFS securities:
Other U.S. obligations	$	—	$	21,007	$	—	$	—		$	21,007
GSE securities	—		1,698,298		—		—			1,698,298
State or local Agency	—		10,917		—		—			10,917
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		387,735		—		—			387,735
GSE residential MBS	—		2,942,392		—		—			2,942,392
Private label MBS:
Private label residential	—		—		1,356,353		—			1,356,353
HELOCs	—		—		14,281		—			14,281
Total AFS securities	$	1,998	$	5,060,349	$	1,370,634	$	—		$	6,432,981
Derivative assets:
Interest rate related	$	—	$	295,523	$	—	$	(277,269	)	$	18,254
Mortgage delivery commitments	—		495		—		—			495
Total derivative assets	$	—	$	296,018	$	—	$	(277,269	)	$	18,749
Total assets at fair value	$	5,724	$	5,556,365	$	1,370,634	$	(277,269	)	$	6,655,454
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	836,202	$	—	$	(577,730	)	$	258,472
Total derivative liabilities (2)	$	—	$	836,202	$	—	$	(577,730	)	$	258,472

	December 31, 2012
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	349,990	$	—	$	—		$	349,990
Mutual funds offsetting deferred compensation	3,600		—		—		—			3,600
Total trading securities	$	3,600	$	349,990	$	—	$	—		$	353,590
AFS securities:
Other U.S. obligations	$	—	$	21,016	$	—	$	—		$	21,016
GSE securities	—		1,169,344		—		—			1,169,344
State or local agency	—		11,130		—		—			11,130
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		310,705		—		—			310,705
GSE residential MBS	—		2,992,821		—		—			2,992,821
Private label MBS:
Private label residential	—		—		1,410,476		—			1,410,476
HELOCs	—		—		14,758		—			14,758
Total AFS securities	$	1,998	$	4,505,016	$	1,425,234	$	—		$	5,932,248
Derivative assets:
Interest rate related	$	—	$	313,000	$	—	$	(285,819	)	$	27,181
Mortgage delivery commitments	—		622		—		—			622
Total derivative assets	$	—	$	313,622	$	—	$	(285,819	)	$	27,803
Total assets at fair value	$	5,598	$	5,168,628	$	1,425,234	$	(285,819	)	$	6,313,641
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	884,703	$	—	$	(574,278	)	$	310,425
Total derivative liabilities (2)	$	—	$	884,703	$	—	$	(574,278	)	$	310,425

Notes:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the first three months of 2013 and 2012. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2013			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(1,494		)	224
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	175			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	14,323			41
Unrealized gains on OTTI AFS and included in OCI	14,898			162
Purchases, issuances, sales, and settlements:
Settlements	(82,025		)	(904		)
Balance at March 31	$	1,356,353		$	14,281
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2013	$	(345	)	$	(97	)

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2012			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2012
Balance at January 1	$	1,631,361		$	15,073
Total gains (losses) (realized/unrealized) included in:
Net OTTI losses, credit portion	(6,021		)	(1,084		)
Net unrealized gains (losses) on AFS in OCI	(242		)	—
Reclassification of non-credit portion included in net income	5,706			1,084
Net change in fair value on OTTI AFS in OCI	48,938			208
Unrealized gains on OTTI AFS and included in OCI	7,094			—
Purchases, issuances, sales, and settlements:
Settlements	(113,227		)	(507		)
Transfer of OTTI securities from HTM to AFS	11,268			—
Balance at March 31	$	1,584,877		$	14,774
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2012	$	(6,021	)	$	(1,084	)

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Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2013

Accounting Policies [Abstract]

Off-Balance-Sheet Credit Exposure, Policy [Policy Text Block]

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

Marketable Securities, Available-for-sale Securities, Policy [Policy Text Block]

 The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so.

The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so.

Marketable Securities, Held-to-maturity Securities, Policy [Policy Text Block]

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

Schedule Of Projected Annualized Home Price Recovery Rates [Policy Text Block]

Recovery Ranges of Housing Price Change
Months	Annualized Rates %
1 - 6	0.0%	-	3.0%
7 - 12	1.0%	-	4.0%
13 - 18	2.0%	-	4.0%
19 - 30	2.0%	-	5.0%
31 - 54	2.0%	-	6.0%
Thereafter	2.3%	-	5.6%

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy [Policy Text Block]

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

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees.

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

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

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2013 and December 31, 2012, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2013 and December 31, 2012, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank did not incur any credit losses on credit products during 2013 or 2012, or since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2013 and December 31, 2012, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy [Policy Text Block]

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

Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs as discussed in the TDR section of this Note 8.

Impairment of Investments, Policy [Policy Text Block]

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

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

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

The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying 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. CBSAs refer 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 with a population of 10,000 or more people. The OTTI Governance Committee developed a housing price forecast with seven short-term projections with changes ranging from (4.0)% to 4.0% over the 12 month period beginning January 1, 2013. For the vast majority of markets the short-term forecast has changes from (1.0)% to 1.0%. Thereafter, home prices were projected to recover using one of five different recovery paths.

Derivatives, Policy [Policy Text Block]

The Bank is subject to credit risk due to nonperformance by counterparties to the derivative agreements. The Bank manages counterparty credit risk through credit analysis, reliance on netting provisions in its ISDA agreements, collateral requirements and adherence to the requirements set forth in its ISDA agreements, policies and regulations.

The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit exposure of the Bank is substantially less than the notional amount. In the past, the Bank’s ISDA Master Agreements have typically required segregation of the Bank’s collateral posted with the counterparty and typically do not permit re-hypothecation. In view of recent and expected continuing developments in the derivatives market, including OTC derivatives, the Bank substantially completed during the first quarter of 2013 amendments to its ISDA agreements to permit re-hypothecation (not require collateral segregation). The Bank requires collateral agreements that establish collateral delivery thresholds by counterparty. The maximum credit risk is defined as the estimated cost of replacing interest rate swaps, mandatory delivery contracts for mortgage loans, and purchased caps and floors that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank.

The Bank may enter into enforceable master netting arrangements for derivative instruments that contain provisions allowing the legal right of offset. Under these agreements, the Bank has elected to offset at the individual master agreement level the gross derivative assets and gross derivative liabilities and the related received or pledged cash collateral and associated accrued interest.

Fair Value Measurement, Policy [Policy Text Block]

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

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

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

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

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

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

Fair Value of Financial Instruments, Policy [Policy Text Block]

To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank considers these inputs to be Level 2 inputs.

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

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

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time.

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

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes.

The Bank is subject to credit risk in derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into master-netting

agreements for interest rate exchange agreements with highly rated institutions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. OIS curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

BOB Loans. The fair value approximates the carrying value.

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

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

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2013 and December 31, 2012.

Commitments to Extend Credit for Mortgage Loans. Certain mortgage purchase commitments are considered derivatives. The Bank may hedge these commitments by selling to-be-announced (TBA) mortgage-backed securities for forward settlement. A TBA represents a forward contract for the sale of mortgage-backed securities at a future agreed upon date for an established price. The mortgage purchase commitment and the TBA used in the firm commitment hedging strategy (economic hedge) are recorded as a derivative asset or derivative liability at fair value, with changes in fair value recognized in the current period earnings. When the mortgage purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan and amortized accordingly.

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

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

Fair Value Transfer, Policy [Policy Text Block]

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.

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Allowance for Credit Losses (Narrative) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012	Dec. 31, 2012
Financing Receivable, Allowance for Credit Losses [Line Items]
Maximum Exposure Under First Loss Account	$ 28.0		$ 29.2
Credit Enhancement Fees	0.9	1.0
Real Estate Acquired Through Foreclosure	11.8		10.8
Financing Receivable, Modifications, Recorded Investment	1.6		2.9
Conventional Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Financing Receivable, Modifications, Subsequent Default, Recorded Investment	$ 1.9
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum	31.00%
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent	0.125%
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent	3.00%

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Statement of Cash Flows (Parenthetical) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Increase (Decrease) in Deposits to Other Federal Home Loan Banks for Mortgage Loan Program	$ 5,945	$ 10,380

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Statement of Comprehensive Income (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Net income	$ 28,626	$ 21,780
Net unrealized gains (losses) on AFS securities:
Unrealized (losses)	(4,838)	(621)
Net non-credit portion of OTTI losses on AFS securities:
Non-credit OTTI losses transferred from HTM securities	0	(662)
Net change in fair value of OTTI securities	14,364	49,146
Unrealized gains	15,060	7,094
Reclassification of non-credit portion included in net income	442	6,790
Total net non-credit portion of OTTI losses on AFS securities	29,866	62,368
Net non-credit portion of OTTI losses on HTM securities:
Non-credit portion	0	(662)
Reclassification of non-credit portion from HTM to AFS securities	0	662
Total net non-credit portion of OTTI losses on HTM securities	0	0
Pension and post-retirement benefits	26	13
Total other comprehensive income	25,054	61,760
Total comprehensive income	$ 53,680	$ 83,540

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Allowance for Credit Losses

3 Months Ended

Mar. 31, 2013

Allowance for Credit Losses [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

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

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

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2013 and December 31, 2012, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2013 and December 31, 2012, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank did not incur any credit losses on credit products during 2013 or 2012, or since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2013 and December 31, 2012, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

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

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. At March 31, 2013 and December 31, 2012, the MPF exposure under the FLA was $28.0 million and $29.2 million, respectively. This exposure includes both accrual and nonaccrual loans. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.9 million and $1.0 million during the first quarter 2013 and 2012, respectively.

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

Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs as discussed in the TDR section of this Note 8.

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

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Balance, January 1	$	14,163		$	14,344
Charge-offs	(622		)	(226		)
Provision (benefit) for credit losses	(148		)	206
Balance, March 31	$	13,393		$	14,324

Ending balance, individually evaluated for impairment	$	687	$	140
Ending balance, collectively evaluated for impairment	12,706		14,184
Total allowance for credit losses	$	13,393	$	14,324
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	12,911	$	4,531
Collectively evaluated for impairment	3,148,406		3,403,276
Total recorded investment	$	3,161,317	$	3,407,807

Rollforward of Allowance for Credit Losses.BOB Loans.

(in thousands)	Three months ended March 31, 2013		Three months ended March 31, 2012
Balance, January 1	$	2,481	$	3,223
BOB Recoveries (Charge-offs)	9		(495		)
Provision (benefit) for credit losses	13		(155		)
Balance, March 31	$	2,503	$	2,573

Ending balance, individually evaluated for impairment	$	183	$	—
Ending balance, collectively evaluated for impairment	2,320		2,573
Total allowance for credit losses	$	2,503	$	2,573
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	313	$	—
Collectively evaluated for impairment	14,863		16,713
Total recorded investment	$	15,176	$	16,713

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

(in thousands)	March 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	57,617		$	20,523		$	—		$	78,140
Past due 60-89 days	13,115			7,097			—			20,212
Past due 90 days or more	64,842			7,452			229			72,523
Total past due loans	$	135,574		$	35,072		$	229		$	170,875
Total current loans	3,025,743			318,439			14,947			3,359,129
Total loans	$	3,161,317		$	353,511		$	15,176		$	3,530,004
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,337		$	1,478		$	—		$	55,815
Serious delinquency rate (3)	2.1		%	2.1		%	1.5		%	2.1		%
Past due 90 days or more still accruing interest	$	—		$	7,452		$	—		$	7,452
Loans on nonaccrual status (4)	$	68,819		$	—		$	542		$	69,361

(in thousands)	December 31, 2012
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	50,214		$	20,513		$	20		$	70,747
Past due 60-89 days	12,219			5,842			147			18,208
Past due 90 days or more	69,996			7,469			153			77,618
Total past due loans	$	132,429		$	33,824		$	320		$	166,573
Total current loans	3,070,963			328,351			15,126			3,414,440
Total loans	$	3,203,392		$	362,175		$	15,446		$	3,581,013
Other delinquency statistics:
In process of foreclosures, included above (2)	$	54,605		$	1,587		$	—		$	56,192
Serious delinquency rate (3)	2.2		%	2.1		%	1.0		%	2.2		%
Past due 90 days or more still accruing interest	$	—		$	7,469		$	—		$	7,469
Loans on nonaccrual status (4)	$	74,051		$	—		$	599		$	74,650

Notes:

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

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

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

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

Real Estate Owned (REO). The Bank had $11.8 million and $10.8 million of REO reported in other assets on the Statement of Condition at March 31, 2013 and December 31, 2012, respectively.

TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that otherwise would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharged the borrower’s obligation to the Bank, and the borrower did not reaffirm the debt.

Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The loan modification program modifies borrower's monthly payment for a period of up to 36 months to no more than a housing expense ratio of 31% of their monthly income. The outstanding principal

balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years and a housing expense ratio not to exceed 31%. This will result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged in the modified loan. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3%, resulting in reduced monthly principal and interest payments during the 36 month period, until the target housing expense ratio is met or the interest rate floor is hit.

A TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying or decreasing the original contractual principal and interest, if applicable. All mortgage loans individually evaluated for impairment were considered TDRs at March 31, 2013.

BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of reporting date.

TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three months ended March 31, 2013 and 2012.

	Three months ended March 31, 2013
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	2,903	$	2,903
BOB loans	139		139
Total	$	3,042	$	3,042

	Three months ended March 31, 2012
(in thousands)	Pre-Modification		Post-Modification
Conventional MPF loans	$	663	$	628
Total	$	663	$	628

Certain TDRs may experience a payment default, which the Bank considers to be a loan 60 days or more delinquent. Conventional MPF loans totaling $1.9 million had experienced a payment default during the three months ended March 31, 2013, and it was immaterial during three months ended March 31, 2012. The Bank had $1.6 million and $2.9 million of TDRs on nonaccrual status at March 31, 2013 and December 31, 2012, respectively.

Individually Evaluated Impaired Loans.

	March 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	505	$	502	$	—
With a related allowance:
Conventional MPF loans	$	12,406	$	12,354	$	687
BOB loans	313		313		183
Total:
Conventional MPF loans	$	12,911	$	12,856	$	687
BOB loans	313		313		183

	December 31, 2012
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	507	$	504	$	—
With a related allowance:
Conventional MPF loans	$	12,449	$	12,388	$	642
BOB loans	280		280		100
Total:
Conventional MPF loans	$	12,956	$	12,892	$	642
BOB loans	280		280		100

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

	Three months ended March 31, 2013				Three months ended March 31, 2012
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	11,927	$	159	$	4,584	$	69
BOB loans	380		—		67		—
Total	$	12,307	$	159	$	4,651	$	69

Purchases, Sales and Reclassifications. During the first quarter 2013 and 2012, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

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Commitments and Contingencies (Details) (USD $)	3 Months Ended
	Mar. 31, 2013		Dec. 31, 2012
Loss Contingencies [Line Items]
Other Liabilities	$ 18,578,000		$ 22,924,000
Standby Letters Of Credit, Final Expiration	2018
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	463,600,000		400,300,000
Standby Letters of Credit [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year	733,050,000	[1]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	7,907,578,000	[1]	7,636,199,000	[1]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year	7,174,528,000	[1]
Other Liabilities	1,800,000		1,600,000
Loan Origination Commitments [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year	0
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	910,335,000		501,087,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year	910,335,000
Loan Purchase or Fund Commitments [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	25,758,000		34,332,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year	25,758,000
Unsecured Debt [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	2,802,500,000	[2]	1,420,000,000	[2]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year	2,802,500,000	[2]
Short-term Debt, Type [Domain]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	700,000,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year	700,000,000
Interest Rate Swap [Member] | Unsecured Debt [Member]
Loss Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	2,700,000,000		1,400,000,000
Open RepoPlus Advance Product [Member]
Loss Contingencies [Line Items]
Line of Credit Facility, Remaining Borrowing Capacity	$ 4,700,000,000		$ 6,100,000,000

[1] Includes approved requests to issue future standby letters of credit of $463.6 million and $400.3 million at March 31, 2013 and December 31, 2012, respectively.

[2] Includes $2.7 billion and $1.4 billion of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2013 and December 31, 2012, respectively.

XML

Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012	Dec. 31, 2012		Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Reclassification Adjustment of Noncredit Portion of Impairment Losses Included In Net Income Relating to AFS Securities	$ 442		$ 6,790
Derivative assets: Mortgage delivery commitments	41,130			40,357
Derivative assets	18,749			27,803
Derivative liabilities: Mortgage delivery commitments	6,482			6,036
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	3,726			3,600
AFS securities	1,998			1,998
Derivative assets: Interest rate related	0			0
Derivative assets	0			0
Total assets at fair value	5,724			5,598
Derivative liabilities: Interest rate related	0			0
Total derivative liabilities	0	[1]		0	[1]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	199,998			349,990
AFS securities	5,060,349			4,505,016
Derivative assets: Interest rate related	295,523			313,000
Derivative assets	296,018			313,622
Total assets at fair value	5,556,365			5,168,628
Derivative liabilities: Interest rate related	836,202			884,703
Total derivative liabilities	836,202	[1]		884,703	[1]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
AFS securities	1,370,634			1,425,234
Derivative assets: Interest rate related	0			0
Derivative assets	0			0
Total assets at fair value	1,370,634			1,425,234
Derivative liabilities: Interest rate related	0			0
Total derivative liabilities	0	[1]		0	[1]
Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]		0	[2]
AFS securities	0	[2]		0	[2]
Derivative assets: Interest rate related	(277,269)	[2]		(285,819)	[2]
Derivative assets	(277,269)	[2]		(285,819)	[2]
Total assets at fair value	(277,269)	[2]		(285,819)	[2]
Derivative liabilities: Interest rate related	(577,730)	[2]		(574,278)	[2]
Total derivative liabilities	(577,730)	[1],[2]		(574,278)	[1],[2]
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	203,724			353,590
AFS securities	6,432,981			5,932,248
Derivative assets: Interest rate related	18,254			27,181
Derivative assets	18,749			27,803
Total assets at fair value	6,655,454			6,313,641
Derivative liabilities: Interest rate related	258,472			310,425
Total derivative liabilities	258,472	[1]		310,425	[1]
Mortgage Delivery Commitments [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	495			622
Derivative liabilities: Mortgage delivery commitments	0			0
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	0			0
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	495			622
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	0			0
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	0	[2]		0	[2]
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	495			622
US Treasury Bill Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0			0
US Treasury Bill Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				349,990
US Treasury Bill Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
US Treasury Bill Securities [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]		0	[2]
US Treasury Bill Securities [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	199,998			349,990
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	3,726			3,600
AFS securities	1,998			1,998
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
AFS securities	0			0
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
AFS securities	0			0
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0	[2]		0	[2]
AFS securities	0	[2]		0	[2]
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	3,726			3,600
AFS securities	1,998			1,998
Other U.S. obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
Other U.S. obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	199,998
AFS securities	21,007			21,016
Other U.S. obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0
AFS securities				0
Other U.S. obligations [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities				0	[2]
Other U.S. obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	21,007			21,016
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0
AFS securities	1,698,298			1,169,344
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0
AFS securities	0			0
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]		0	[2]
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,698,298			1,169,344
State and local Agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
State and local Agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	10,917			11,130
State and local Agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
State and local Agency [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]		0	[2]
State and local Agency [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	10,917			11,130
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	387,735			310,705
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]		0	[2]
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	387,735			310,705
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,942,392			2,992,821
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]		0	[2]
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,942,392			2,992,821
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,356,353			1,410,476
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,356,353			1,410,476
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	14,281			14,758
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0	[2]		0	[2]
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	14,281			14,758
Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Settlements	(82,025)		(113,227)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value	1,356,353		1,584,877	1,410,476		1,631,361
Reclassification Adjustment of Noncredit Portion of Impairment Losses Included In Net Income Relating to AFS Securities	345		5,706
Available-for-Sale Securities, Home Equity Lines Of Credit [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Settlements	(904)		(507)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value	14,281		14,774	14,758		15,073
Reclassification Adjustment of Noncredit Portion of Impairment Losses Included In Net Income Relating to AFS Securities	$ 97		$ 1,084

[1] Derivative liabilities represent the total liabilities at fair value.

[2] Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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Document and Entity Information	3 Months Ended
	Mar. 31, 2013	Apr. 30, 2013
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Pittsburgh
Entity Central Index Key	0001330399
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Mar. 31, 2013
Document Fiscal Year Focus	2013
Document Fiscal Period Focus	Q1
Amendment Flag	false
Entity Common Stock, Shares Outstanding		29,197,796

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Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities Disclosure

Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategies is not to eliminate interest rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's interest rate exchange agreements and the use of these agreements, see Note 11 to the audited financial statements in the Bank's 2012 Form 10-K.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	30,539,498	$	254,888		$	829,720
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,552,213	$	37,247		$	6,482
Interest rate caps	1,249,750		3,388			—
Mortgage delivery commitments	25,758		495			—
Total derivatives not in hedge accounting relationships	$	5,827,721	$	41,130		$	6,482
Total derivatives before netting and collateral adjustments	$	36,367,219	$	296,018		$	836,202
Netting adjustments			(249,158		)	(249,158		)
Cash collateral and related accrued interest			(28,111		)	(328,572		)
Total collateral and netting adjustments (1)			(277,269		)	(577,730		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	18,749		$	258,472

	December 31, 2012
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,661,620	$	273,265		$	878,667
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	4,318,343	$	37,767		$	6,036
Interest rate caps	1,199,750		1,968			—
Mortgage delivery commitments	34,332		622			—
Total derivatives not in hedge accounting relationships	$	5,552,425	$	40,357		$	6,036
Total derivatives before netting and collateral adjustments	$	31,214,045	$	313,622		$	884,703
Netting adjustments			(253,923		)	(253,923		)
Cash collateral and related accrued interest			(31,896		)	(320,355		)
Total collateral and netting adjustments (1)			(285,819		)	(574,278		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	27,803		$	310,425

Note:

⁽¹⁾ Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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

	Three months ended March 31,
(in thousands)	2013			2012
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	(1,099	)	$	2,670
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(4,936	)	$	2,372
Interest rate caps	194			(450		)
Net interest settlements	4,297			(981		)
Mortgage delivery commitments	3,124			391
Other	4			5
Total net gains related to derivatives not designated as hedging instruments	$	2,683		$	1,337
Net gains on derivatives and hedging activities	$	1,584		$	4,007

The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the first quarter 2013 and 2012.

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2013
Hedged item type:
Advances	$	57,970		$	(60,481	)	$	(2,511	)	$	(61,858	)
Consolidated obligations – bonds	(49,055		)	50,467			1,412			49,946
Total	$	8,915		$	(10,014	)	$	(1,099	)	$	(11,912	)

(in thousands)	Gains/(Losses) on Derivative			Gains/(Losses) on Hedged Item			Net Fair Value Hedge Ineffectiveness		Effect of Derivatives on Net Interest Income (1)
Three months ended March 31, 2012
Hedged item type:
Advances	$	90,465		$	(88,559	)	$	1,906	$	(99,550	)
Consolidated obligations – bonds	(22,615		)	23,379			764		39,597
Total	$	67,850		$	(65,180	)	$	2,670	$	(59,953	)

Note:

⁽¹⁾ Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item.

The Bank had no active cash flow hedging relationships during the first three months of 2013 or 2012. As of March 31, 2013, the deferred net gains (losses) on derivative instruments in AOCI expected to be reclassified to earnings during the next twelve months, as well as the losses reclassified from AOCI into income, were not material.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to nonperformance by counterparties to the derivative agreements. The Bank manages counterparty credit risk through credit analysis, reliance on netting provisions in its ISDA agreements, collateral requirements and adherence to the requirements set forth in its ISDA agreements, policies and regulations.

The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit exposure of the Bank is substantially less than the notional amount. In the past, the Bank’s ISDA Master Agreements have typically required segregation of the Bank’s collateral posted with the counterparty and typically do not permit re-hypothecation. In view of recent and expected continuing developments in the derivatives market, including OTC derivatives, the Bank substantially completed during the first quarter of 2013 amendments to its ISDA agreements to permit re-hypothecation (not require collateral segregation). The Bank requires collateral agreements that establish collateral delivery thresholds by counterparty. The maximum credit risk is defined as the estimated cost of replacing interest rate swaps, mandatory delivery contracts for mortgage loans, and purchased caps and floors that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank.

The Bank may enter into enforceable master netting arrangements for derivative instruments that contain provisions allowing the legal right of offset. Under these agreements, the Bank has elected to offset at the individual master agreement level the gross derivative assets and gross derivative liabilities and the related received or pledged cash collateral and associated accrued interest. The following table presents separately the fair value of derivative instruments with and without the legal right of offset, including the related collateral received from or pledged to counterparties, based on the terms of the Bank's master netting or similar agreements.

	March 31, 2013
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	295,523		$	836,202
Gross amounts of netting adjustments and cash collateral	(277,269		)	(577,730		)
Net amounts after offsetting adjustments	18,254			258,472
Derivative instruments without legal right of offset	495			—
Total derivative assets and total derivative liabilities	$	18,749		$	258,472
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			173,228
Cannot be sold or repledged	—			4,942
Net unsecured amount	$	18,749		$	80,302

	December 31, 2012
(in thousands)	Derivative Assets			Derivative Liabilities
Derivative instruments with legal right of offset:
Gross recognized amount	$	313,000		$	884,703
Gross amounts of netting adjustments and cash collateral	(285,819		)	(574,278		)
Net amounts after offsetting adjustments	27,181			310,425
Derivative instruments without legal right of offset	622			—
Total derivative assets and total derivative liabilities	$	27,803		$	310,425
Non-cash collateral received or pledged not offset:(1)
Can be sold or repledged (2)	—			—
Cannot be sold or repledged	1,343			257,603
Net unsecured amount	$	26,460		$	52,822

Notes:

⁽¹⁾ Non-cash collateral consists primarily of investment securities. Any overcollateralization at an individual master agreement level is not included in the determination of the net unsecured amount.

⁽²⁾ The terms of the ISDA Credit Support Annex permit rehypothecation of the investment securities collateral.

Generally, the Bank’s ISDA agreements contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on derivative instruments in net liability positions. The aggregate fair value of all derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2013 was $587.0 million for which the Bank has posted cash and securities collateral with a fair value of approximately $506.7 million in the normal course of business. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $63.8 million of collateral to its derivative counterparties at March 31, 2013.

The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Note 14 discusses assets pledged by the Bank to these counterparties. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

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Capital (Capital Concentrations) (Details) (Capital Stock Ownership By Third Party [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Capital [Line Items]
Concentration Risk Benchmark, Percent	10.00%
Sovereign Bank N.A. [Member]
Capital [Line Items]
Concentration Risk Benchmark, Percent	19.00%	20.10%
Capital Stock	$ 609,190	$ 652,430
PNC Bank N.A. [Member]
Capital [Line Items]
Concentration Risk Benchmark, Percent		11.10%	[1]
Capital Stock		358,945	[1]
Chase Bank USA, N.A. [Member] [Domain]
Capital [Line Items]
Concentration Risk Benchmark, Percent	14.90%	10.20%
Capital Stock	$ 476,870	$ 330,066

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

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Estimated Fair Values (Valuation Techniques) (Details)	Mar. 31, 2013 price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Fair Value Measurements, Valuation Techniques, Number of Third Party Vendor Prices Received	4

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Statement of Condition (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
ASSETS
Cash and due from banks	$ 545,680	$ 1,350,594
Interest-bearing deposits	5,490	11,435
Federal funds sold	3,545,000	4,595,000
Securities purchased under agreements to resell	850,000	2,500,000
Investment Securities
Trading securities, includes $173,228 pledged as collateral that may be repledged at March 31, 2013 ( Note 2)	203,724	353,590
AFS securities at fair value( Note 3)	6,432,981	5,932,248
HTM securities ; fair value of $5,011,628 and $5,755,755, respectively ( Note 4)	4,918,286	5,664,954
Total investment securities	11,554,991	11,950,792
Advances (Note 6)	39,994,038	40,497,787
Mortgage loans held for portfolio ( Note 7), net of allowance for credit losses of $13,393 and $14,163, respectively ( Note 8)	3,482,821	3,532,549
Banking on Business (BOB) loans, net of allowance for credit losses of $2,503 and $2,481, respectively ( Note 8)	12,542	12,846
Accrued interest receivable	84,705	92,685
Property, software and equipment, net	12,498	13,299
Derivative assets ( Note 9)	18,749	27,803
Other assets	30,116	31,482
Total assets	60,136,630	64,616,272
Deposits:
Interest-bearing	988,142	960,903
Noninterest-bearing	34,728	38,988
Total deposits	1,022,870	999,891
Consolidated obligations, net: ( Note 10)
Discount notes	18,300,639	24,148,453
Bonds	36,496,574	35,135,608
Total consolidated obligations, net	54,797,213	59,284,061
Mandatory redeemable capital stock ( Note 11)	368,823	431,566
Accrued interest payable	148,014	114,003
Affordable Housing Program	26,177	24,457
Derivative liabilities ( Note 9)	258,472	310,425
Other Liabilities	18,578	22,924
Total liabilities	56,640,147	61,187,327
Commitments and Contingencies
Capital ( Note 11)
Capital stock - putable ($100 par value) issued and outstanding 28,320 and 28,160 shares	2,832,025	2,815,965
Retained earnings:
Unrestricted	549,466	528,767
Restricted	36,233	30,508
Total retained earnings	585,699	559,275
AOCI	78,759	53,705
Total capital	3,496,483	3,428,945
Total liabilities and capital	$ 60,136,630	$ 64,616,272

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Available-for-Sale (AFS) Securities

3 Months Ended

Mar. 31, 2013

Available-for-sale Securities [Abstract]

Available-for-Sale (AFS) Securities

Available-for-Sale (AFS) Securities

The following tables present AFS securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			7		—			21,007
GSE securities	1,699,315		—			683		(1,700		)	1,698,298
State or local agency obligations	11,100		—			—		(183		)	10,917
Total non-MBS	$	1,733,408	$	—		$	695	$	(1,883	)	$	1,732,220
MBS:
Other U.S. obligations residential MBS	$	387,861	$	—		$	276	$	(402	)	$	387,735
GSE residential MBS	2,910,334		—			32,120		(62		)	2,942,392
Private label MBS:
Private label residential MBS	1,308,077		(14,475		)	62,943		(192		)	1,356,353
HELOCs	13,884		(393		)	790		—			14,281
Total private label MBS	1,321,961		(14,868		)	63,733		(192		)	1,370,634
Total MBS	$	4,620,156	$	(14,868	)	$	96,129	$	(656	)	$	4,700,761
Total AFS securities	$	6,353,564	$	(14,868	)	$	96,824	$	(2,539	)	$	6,432,981

	December 31, 2012
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			16		—			21,016
GSE securities	1,169,850		—			296		(802		)	1,169,344
State and local agency obligations	11,400		—			—		(270		)	11,130
Total non-MBS	$	1,204,243	$	—		$	317	$	(1,072	)	$	1,203,488
MBS:
Other U.S. obligations residential MBS	$	310,541	$	—		$	284	$	(120	)	$	310,705
GSE residential MBS	2,956,471		—			36,379		(29		)	2,992,821
Private label MBS:
Private label residential MBS	1,391,941		(29,142		)	48,045		(368		)	1,410,476
HELOCs	14,662		(532		)	628		—			14,758
Total private label MBS	1,406,603		(29,674		)	48,673		(368		)	1,425,234
Total MBS	$	4,673,615	$	(29,674	)	$	85,336	$	(517	)	$	4,728,760
Total AFS securities	$	5,877,858	$	(29,674	)	$	85,653	$	(1,589	)	$	5,932,248

Notes:

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

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

The Bank has established a Rabbi trust to secure benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds and secure a portion of the Bank's supplemental retirement obligation. These obligations were $4.2 million and $4.5 million at March 31, 2013 and December 31, 2012, respectively, as reported in other liabilities in the Statement of Condition.

As of March 31, 2013, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $7.9 million, credit losses of $279.0 million and OTTI-related accretion adjustments of $0.2 million. As of December 31, 2012, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.0 million and credit losses of $293.5 million, partially offset by OTTI-related accretion adjustments of $1.1 million.

The following table presents a reconciliation of the AFS OTTI loss recognized through accumulated comprehensive income (AOCI) to the total net noncredit portion of OTTI gains on AFS securities in AOCI as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Non-credit portion of OTTI losses	$	(14,868	)	$	(29,674	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	63,733			48,673
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	48,865		$	18,999

The following tables summarize the AFS securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	1,197,713	$	(1,650	)	$	49,950	$	(50	)	$	1,247,663	$	(1,700	)
State or local agency obligations	—		—			10,917		(183		)	10,917		(183		)
Total non-MBS	$	1,197,713	$	(1,650	)	$	60,867	$	(233	)	$	1,258,580	$	(1,883	)
MBS:
Other U.S. obligations residential MBS	$	180,262	$	(402	)	$	—	$	—		$	180,262	$	(402	)
GSE residential MBS	121,230		(62		)	—		—			121,230		(62		)
Private label:
Private label residential MBS	19,515		(502		)	375,556		(14,165		)	395,071		(14,667		)
HELOCs	—		—			1,657		(393		)	1,657		(393		)
Total private label MBS	19,515		(502		)	377,213		(14,558		)	396,728		(15,060		)
Total MBS	$	321,007	$	(966	)	$	377,213	$	(14,558	)	$	698,220	$	(15,524	)
Total	$	1,518,720	$	(2,616	)	$	438,080	$	(14,791	)	$	1,956,800	$	(17,407	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	719,190	$	(708	)	$	49,907	$	(94	)	$	769,097	$	(802	)
State or local agency obligations	11,130		(270		)	—		—			11,130		(270		)
Total non-MBS	$	730,320	$	(978	)	$	49,907	$	(94	)	$	780,227	$	(1,072	)
MBS:
Other U.S. obligations residential MBS	$	94,848	$	(120	)	$	—	$	—		$	94,848	$	(120	)
GSE residential MBS	72,619		(29		)	—		—			72,619		(29		)
Private label:
Private label residential MBS	12,728		(60		)	521,311		(29,450		)	534,039		(29,510		)
HELOCs	—		—			3,230		(532		)	3,230		(532		)
Total private label MBS	12,728		(60		)	524,541		(29,982		)	537,269		(30,042		)
Total MBS	$	180,195	$	(209	)	$	524,541	$	(29,982	)	$	704,736	$	(30,191	)
Total	$	910,515	$	(1,187	)	$	574,448	$	(30,076	)	$	1,484,963	$	(31,263	)

Note:

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

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. The Bank transferred no private label MBS from HTM to AFS during the first three months of 2013 and one during the first three months of 2012. These securities had an OTTI credit loss recorded on them during the period in which they were transferred.

During the three months ended March 31, 2013 and 2012, private label MBS were transferred as presented below.

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
March 31, 2013 transfers	$	—	$	—		$	—
March 31, 2012 transfers	11,930		(662		)	11,268

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,989	$	301,883	$	201,993	$	201,832
Due after one year through five years	1,399,319		1,398,413		969,850		969,510
Due after five years through ten years	21,000		21,007		21,000		21,016
Due in more than ten years	11,100		10,917		11,400		11,130
AFS securities excluding MBS	1,733,408		1,732,220		1,204,243		1,203,488
MBS	4,620,156		4,700,761		4,673,615		4,728,760
Total AFS securities	$	6,353,564	$	6,432,981	$	5,877,858	$	5,932,248

Interest Rate Payment Terms.  The following table details interest payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	1,033,457	$	504,298
Variable-rate	699,951		699,945
Total non-MBS	$	1,733,408	$	1,204,243
Amortized cost of AFS MBS:
Fixed-rate	$	2,001,207	$	2,050,785
Variable-rate	2,618,949		2,622,830
Total MBS	$	4,620,156	$	4,673,615
Total AFS securities	$	6,353,564	$	5,877,858

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

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Trading Securities

3 Months Ended

Mar. 31, 2013

Trading Securities [Abstract]

Trading Securities

Trading Securities

The following table presents trading securities as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
U.S. Treasury bills	$	199,998	$	349,990
Mutual funds offsetting deferred compensation	3,726		3,600
Total	$	203,724	$	353,590

The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $3.8 million and $3.7 million at March 31, 2013 and December 31, 2012, respectively as reported in other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for the first quarter of 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Net unrealized gains on trading securities held at period-end	$	267		$	467
Net realized (losses) on securities sold/matured during the period	(36		)	(32		)
Net gains on trading securities	$	231		$	435

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Commitments and Contingencies

3 Months Ended

Mar. 31, 2013

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies Disclosure

Commitments and Contingencies

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

(in thousands)	March 31, 2013						December 31, 2012
Notional amount	Expire Within One Year		Expire After One Year		Total		Total
Standby letters of credit outstanding (1)	$	7,174,528	$	733,050	$	7,907,578	$	7,636,199
Commitments to fund additional advances and BOB loans	910,335		—		910,335		501,087
Commitments to fund or purchase mortgage loans	25,758		—		25,758		34,332
Unsettled consolidated obligation bonds, at par (2)	2,802,500		—		2,802,500		1,420,000
Unsettled consolidated obligation discount notes, at par	700,000		—		700,000		—

Notes:

⁽¹⁾ Includes approved requests to issue future standby letters of credit of $463.6 million and $400.3 million at March 31, 2013 and December 31, 2012, respectively.

⁽²⁾ Includes $2.7 billion and $1.4 billion of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2013 and December 31, 2012, respectively.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, range from less than one month to 5 years, including a final expiration in 2018. Commitments that legally bind and unconditionally obligate the Bank for additional advances, including BOB loans, may be outstanding for periods of up to two years.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $1.8 million and $1.6 million as of March 31, 2013 and December 31, 2012, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit.

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

The Bank does not have any legally binding or unconditional unused lines of credit for advances at March 31, 2013 and December 31, 2012. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at March 31, 2013 and December 31, 2012 of $4.7 billion and $6.1 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. Commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program totaled $25.8 million and $34.3 million at March 31, 2013 and December 31, 2012, respectively. Delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank generally executes derivative instruments with large banks and major broker-dealers and generally enters into bilateral pledge (collateral) agreements. The Bank had pledged securities, as collateral, to counterparties that have market risk exposure from the Bank related to derivatives. Please refer to Note 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a

material effect on its financial condition or results of operations.

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

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Consolidated Obligations

3 Months Ended

Mar. 31, 2013

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2012 Form 10-K.

The following table details interest rate payment terms for consolidated obligation bonds as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Par value of consolidated bonds:
Fixed-rate	$	32,112,284		$	31,307,129
Step-up	2,242,500			1,622,500
Floating-rate	1,860,000			1,860,000
Total par value	36,214,784			34,789,629
Bond premiums	92,192			99,090
Bond discounts	(17,398		)	(18,915		)
Hedging adjustments	206,996			265,804
Total book value	$	36,496,574		$	35,135,608

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2013 and December 31, 2012.

	March 31, 2013				December 31, 2012
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	10,758,455	1.13	%	$	11,543,105	1.14	%
Due after 1 year through 2 years	6,445,695		2.06		5,850,945		1.94
Due after 2 years through 3 years	4,167,015		2.41		5,617,465		2.32
Due after 3 years through 4 years	1,820,805		2.92		1,706,240		3.24
Due after 4 years through 5 years	5,281,225		1.65		2,941,900		1.86
Thereafter	6,872,290		2.21		6,155,290		2.32
Index amortizing notes	869,299		4.51		974,684		4.48
Total par value	$	36,214,784	1.89	%	$	34,789,629	1.93	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Noncallable	$	25,493,784	$	26,470,629
Callable	10,721,000		8,319,000
Total par value	$	36,214,784	$	34,789,629

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2013 and December 31, 2012.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2013		December 31, 2012
Due in 1 year or less	$	21,253,955	$	19,541,605
Due after 1 year through 2 years	6,141,195		4,791,445
Due after 2 years through 3 years	3,767,015		5,242,465
Due after 3 years through 4 years	1,524,805		1,590,240
Due after 4 years through 5 years	1,478,725		1,354,400
Thereafter	1,179,790		1,294,790
Index amortizing notes	869,299		974,684
Total par value	$	36,214,784	$	34,789,629

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes, all of which are due within one year, as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013			December 31, 2012
Book value	$	18,300,639		$	24,148,453
Par value	18,303,991			24,154,343
Weighted average interest rate (1)	0.11		%	0.12		%

Note:

⁽¹⁾ Represents an implied rate.

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended						3 Months Ended							3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012	Mar. 31, 2013 Net Unrealized Gains (Losses) on Hedging Activities [Member]	Dec. 31, 2012 Net Unrealized Gains (Losses) on Hedging Activities [Member]	Mar. 31, 2012 Net Unrealized Gains (Losses) on Hedging Activities [Member]	Dec. 31, 2011 Net Unrealized Gains (Losses) on Hedging Activities [Member]	Mar. 31, 2013 Pension and Post Retirement Plans [Member]	Mar. 31, 2012 Pension and Post Retirement Plans [Member]	Mar. 31, 2013 Total AOCI [Member]	Mar. 31, 2012 Total AOCI [Member]	Mar. 31, 2012 Held-to-maturity Securities [Member] Noncredit OTTI Gains(Losses) [Member]	Mar. 31, 2013 Held-to-maturity Securities [Member] Noncredit OTTI Gains(Losses) [Member]	Dec. 31, 2012 Held-to-maturity Securities [Member] Noncredit OTTI Gains(Losses) [Member]	Mar. 31, 2013 Available-for-sale Securities [Member] Net Unrealized Gains(Losses) on AFS [Member]	Mar. 31, 2012 Available-for-sale Securities [Member] Net Unrealized Gains(Losses) on AFS [Member]	Mar. 31, 2013 Available-for-sale Securities [Member] Noncredit OTTI Gains(Losses) [Member]	Mar. 31, 2012 Available-for-sale Securities [Member] Noncredit OTTI Gains(Losses) [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI (loss), Beginning of period	$ 53,705		$ 286	$ 286	$ 286	$ 286	$ (970)	$ (428)	$ 53,705	$ (162,365)	$ 0	$ 0	$ 0	$ 35,390	$ 5,891	$ 18,999	$ (168,114)
Net unrealized gains									10,222	6,473				(4,838)	(621)	15,060	7,094
Net change in fair value of OTTI securities	14,364	49,146							14,364	49,146						14,364	49,146
Noncredit component of OTTI losses	0	662							442	6,128	(662)					442	6,790
Reclassification adjustment of noncredit OTTI losses included in net income	442	6,790
Noncredit OTTI losses transferred from HTM to AFS											662						(662)
Pension and post-retirement benefits	26	13					26	13	26	13
Total AOCI (loss), End of period	$ 78,759		$ 286	$ 286	$ 286	$ 286	$ (944)	$ (415)	$ 78,759	$ (100,605)	$ 0	$ 0	$ 0	$ 30,552	$ 5,270	$ 48,865	$ (105,746)

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Advances

3 Months Ended

Mar. 31, 2013

Advances [Abstract]

Advances

Advances

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

At March 31, 2013 and December 31, 2012, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging between zero and 5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013					December 31, 2012
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	15,458,766		0.43	%	$	20,187,511		0.44	%
Due after 1 year through 2 years	5,512,505			0.93		3,869,388			1.02
Due after 2 years through 3 years	6,483,873			2.02		5,297,312			2.29
Due after 3 years through 4 years	3,865,224			2.66		3,634,200			2.74
Due after 4 years through 5 years	6,198,272			1.01		4,404,845			1.41
Thereafter	1,711,484			4.41		2,277,564			3.71
Total par value	39,230,124			1.25	%	39,670,820			1.25	%
Discount on AHP advances	(208		)			(230		)
Deferred prepayment fees	(15,146		)			(15,230		)
Hedging adjustments	779,268					842,427
Total book value	$	39,994,038				$	40,497,787

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. At March 31, 2013 and December 31, 2012, the Bank had convertible advances outstanding of $2.4 billion and $2.6 billion, respectively.

The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). In exchange for receiving the right to call the advance on a predetermined call schedule, the member pays a higher fixed rate for the advance relative to an equivalent maturity, non-callable, fixed-rate advance. If the call option is exercised, replacement funding may be available. At March 31, 2013 and December 31, 2012, the Bank had returnable advances of $5.5 billion and $6.4 billion, respectively.

The following table summarizes advances by year of contractual maturity or next call date or next convertible date as of March 31, 2013 and December 31, 2012.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012
Due in 1 year or less	$	16,958,766	$	20,587,511	$	17,690,766	$	22,439,511
Due after 1 year through 2 years	4,512,505		3,869,388		5,416,005		3,778,888
Due after 2 years through 3 years	5,983,873		5,297,312		6,162,373		5,174,812
Due after 3 years through 4 years	3,865,224		3,634,200		2,716,724		2,520,700
Due after 4 years through 5 years	6,198,272		4,404,845		5,706,272		3,812,845
Thereafter	1,711,484		1,877,564		1,537,984		1,944,064
Total par value	$	39,230,124	$	39,670,820	$	39,230,124	$	39,670,820

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Fixed rate – overnight	$	696,700	$	517,050
Fixed rate – term:
Due in 1 year or less	14,729,066		19,625,461
Thereafter	11,437,314		9,728,590
Total fixed rate	26,863,080		29,871,101
Variable rate:
Due in 1 year or less	33,000		45,000
Thereafter	12,334,044		9,754,719
Total variable rate	12,367,044		9,799,719
Total par value	$	39,230,124	$	39,670,820

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of March 31, 2013, the Bank had advances of $31.3 billion outstanding to its five largest borrowers, which represented 79.8% of total advances outstanding. Of these five, four had outstanding advance balances in excess of 10% of the total portfolio at March 31, 2013. As of December 31, 2012, the Bank had advances of $31.7 billion outstanding to the five largest borrowers, which represented 79.9% of total advances outstanding. Of these five, four had outstanding advance balances in excess of 10% of the total portfolio at December 31, 2012.

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Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Advances [Abstract]
Due in 1 year or less	$ 16,958,766	$ 20,587,511
Due after 1 year through 2 years	4,512,505	3,869,388
Due after 2 years through 3 years	5,983,873	5,297,312
Due after 3 years through 4 years	3,865,224	3,634,200
Due after 4 years through 5 years	6,198,272	4,404,845
Thereafter	1,711,484	1,877,564
Due in 1 year or less	17,690,766	22,439,511
Due after 1 year through 2 years	5,416,005	3,778,888
Due after 2 years through 3 years	6,162,373	5,174,812
Due after 3 years through 4 years	2,716,724	2,520,700
Due after 4 years through 5 years	5,706,272	3,812,845
Thereafter	1,537,984	1,944,064
Total par value	$ 39,230,124	$ 39,670,820

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Held-to-Maturity (HTM) Securities

3 Months Ended

Mar. 31, 2013

Held to Maturity Securities [Abstract]

Held-to-Maturity (HTM) Securities

Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	22,081	$	1,097	$	—		$	23,178
State or local agency obligations	254,731		9,145		(10,974		)	252,902
Total non-MBS	$	276,812	$	10,242	$	(10,974	)	$	276,080
MBS:
Other U.S. obligations residential MBS	$	1,789,677	$	12,757	$	—		$	1,802,434
GSE residential MBS	1,715,883		90,286		(118		)	1,806,051
Private label MBS:
Private label residential MBS	1,124,366		13,826		(21,104		)	1,117,088
HELOCs	11,548		—		(1,573		)	9,975
Total private label MBS	1,135,914		13,826		(22,677		)	1,127,063
Total MBS	$	4,641,474	$	116,869	$	(22,795	)	$	4,735,548
Total HTM securities	$	4,918,286	$	127,111	$	(33,769	)	$	5,011,628

	December 31, 2012
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	36	$	—		$	400,036
GSE securities	24,830		1,283		—			26,113
State or local agency obligations	254,734		8,961		(14,202		)	249,493
Total non-MBS	$	679,564	$	10,280	$	(14,202	)	$	675,642
MBS:
Other U.S. obligations residential MBS	$	1,922,589	$	12,568	$	—		$	1,935,157
GSE residential MBS	1,842,212		98,878		(137		)	1,940,953
Private label MBS:
Private label residential MBS	1,208,482		12,720		(27,510		)	1,193,692
HELOCs	12,107		—		(1,796		)	10,311
Total private label MBS	1,220,589		12,720		(29,306		)	1,204,003
Total MBS	$	4,985,390	$	124,166	$	(29,443	)	$	5,080,113
Total HTM securities	$	5,664,954	$	134,446	$	(43,645	)	$	5,755,755

The following tables summarize the HTM securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	139,476	$	(10,974	)	$	139,476	$	(10,974	)
MBS:
GSE residential MBS	$	—	$	—		$	16,120	$	(118	)	$	16,120	$	(118	)
Private label:
Private label residential MBS	24,968		(87		)	421,685		(21,017		)	446,653		(21,104		)
HELOCs	—		—			9,975		(1,573		)	9,975		(1,573		)
Total private label MBS	24,968		(87		)	431,660		(22,590		)	456,628		(22,677		)
Total MBS	$	24,968	$	(87	)	$	447,780	$	(22,708	)	$	472,748	$	(22,795	)
Total	$	24,968	$	(87	)	$	587,256	$	(33,682	)	$	612,224	$	(33,769	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	136,248	$	(14,202	)	$	136,248	$	(14,202	)
MBS:
GSE residential MBS	$	45,809	$	(3	)	$	17,072	$	(134	)	$	62,881	$	(137	)
Private label:
Private label residential MBS	—		—			464,771		(27,510		)	464,771		(27,510		)
HELOCs	—		—			10,311		(1,796		)	10,311		(1,796		)
Total private label MBS	—		—			475,082		(29,306		)	475,082		(29,306		)
Total MBS	$	45,809	$	(3	)	$	492,154	$	(29,440	)	$	537,963	$	(29,443	)
Total	$	45,809	$	(3	)	$	628,402	$	(43,642	)	$	674,211	$	(43,645	)

Securities Transferred. The Bank had no transfers of securities from HTM to AFS during the first three months of 2013. During the first three months of 2012, the Bank transferred one private label MBS from HTM to AFS. See Note 3 for additional information.

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

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	1,095	$	1,102	$	401,095	$	401,147
Due after one year through five years	22,081		23,178		24,830		26,113
Due after five years through ten years	8,778		9,153		7,414		7,522
Due after ten years	244,858		242,647		246,225		240,860
HTM securities excluding MBS	276,812		276,080		679,564		675,642
MBS	4,641,474		4,735,548		4,985,390		5,080,113
Total HTM securities	$	4,918,286	$	5,011,628	$	5,664,954	$	5,755,755

At March 31, 2013 and December 31, 2012, the amortized cost of the Bank’s MBS classified as HTM included net purchased discounts of $49 thousand and $143 thousand, respectively.

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	104,812	$	507,564
Variable-rate	172,000		172,000
Total non-MBS	$	276,812	$	679,564
Amortized cost of HTM MBS:
Fixed-rate	$	1,663,718	$	1,772,557
Variable-rate	2,977,756		3,212,833
Total HTM MBS	$	4,641,474	$	4,985,390
Total HTM securities	$	4,918,286	$	5,664,954

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

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Other-Than-Temporary Impairment

3 Months Ended

Mar. 31, 2013

Other Than Temporary Impairment [Abstract]

Other-Than-Temporary Impairment

Other-Than-Temporary Impairment

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum OTTI loss in earnings, which is equal to the entire difference between the security’s amortized cost basis and its fair value at the Statement of Condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is OTTI by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value.

Private Label Residential MBS and HELOCs. The Bank invests in MBS, which were rated AAA at the time of purchase with the exception of one pre-2004 vintage security that was rated AA at the time of purchase. Each MBS may contain one or more forms of credit protection/enhancements, including but not limited to guarantee of principal and interest, subordination, over-collateralization, and excess interest and insurance wrap.

To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by HELOCs and certain other securities where underlying collateral data is not available, are not able to be cash flow tested using the FHLBanks’ common platform. For these securities, alternate procedures, as prescribed by the OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were approximately 5% of the par balance of private label MBS at March 31, 2013.

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

• the remaining payment terms for the security;

• prepayment speeds and default rates;

• loss severity based on underlying loan-level borrower and loan characteristics;

• expected housing price changes; and

• interest-rate assumptions.

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

The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying 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. CBSAs refer 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 with a population of 10,000 or more people. The OTTI Governance Committee developed a housing price forecast with seven short-term projections with changes ranging from (4.0)% to 4.0% over the 12 month period beginning January 1, 2013. For the vast majority of markets the short-term forecast has changes from (1.0)% to 1.0%. Thereafter, home prices were projected to recover using one of five different recovery paths.

Recovery Ranges of Housing Price Change
Months	Annualized Rates %
1 - 6	0.0%	-	3.0%
7 - 12	1.0%	-	4.0%
13 - 18	2.0%	-	4.0%
19 - 30	2.0%	-	5.0%
31 - 54	2.0%	-	6.0%
Thereafter	2.3%	-	5.6%

The month-by-month projection of future loan performance derived from the first model is the mean of 100 projections and reflects projected prepayments, defaults and loss severities. These projections are 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. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario.

For those securities for which an OTTI credit loss was determined to have occurred during the three months ended March 31, 2013 (that is, a determination was made that the entire amortized cost basis will not likely be recovered), the following tables present a summary of the significant inputs used to measure the amount of the credit loss recognized in

earnings during the three months ended March 31, 2013 as well as the related credit enhancement (CE). CE is defined as the percentage of subordinated tranches and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar weighted averages of the significant inputs used to measure the credit loss. The CUSIP classification (Prime, Alt-A and subprime) is based on the classification as determined by the first model used to run the estimated cash flows for the CUSIP and not the classification at the time of issuance.

	Significant Inputs for OTTI Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Alt-A:
2007	8.1	46.4	44.0	0.0
2006	9.3	31.7	51.8	0.0
Total Alt-A	8.5	40.7	47.0	0.0
Total Residential    MBS - OTTI	8.5	40.7	47.0	0.0

	Significant Inputs for OTTI HELOCs
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
Year of Securitization	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
HELOCS (Alt-A)
2004 and prior	15.1	7.8	100.0	4.1

All of the Bank's other-than-temporarily impaired securities were classified as AFS at March 31, 2013. The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2013 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	770,648	$	654,741	$	694,261
Alt-A	821,879		648,046		656,864
Subprime	2,415		1,392		1,523
HELOCs	19,824		13,885		14,281
Total OTTI securities	1,614,766		1,318,064		1,366,929
Private label MBS with no OTTI	3,897		3,897		3,705
Total AFS private label MBS	$	1,618,663	$	1,321,961	$	1,370,634

Notes:

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

The following tables present the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Three months ended March 31, 2013			Three months ended March 31, 2012
Beginning balance	$	326,024		$	322,589
Additions:
Credit losses for which OTTI was not previously recognized	—			74
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	442			7,105
Reductions:
Securities sold and matured during the period	(59		)	—
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(1,925		)	(1,816		)
Ending balance	$	324,482		$	327,952

Notes:

⁽¹⁾For thethree months ended March 31, 2013and2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012.

⁽²⁾ This activity represents the increase in cash flows recognized in interest income during the period.

All Other AFS and HTM Investments. At March 31, 2013 and 2012, the Bank held certain securities in an unrealized loss position. These unrealized losses were considered temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions and neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell the security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at March 31, 2013 and 2012.

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Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2013

Mortgage Loans Held For Portfolio [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

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

The following table presents balances as of March 31, 2013 and December 31, 2012 for mortgage loans held for portfolio.

(in thousands)	March 31, 2013			December 31, 2012
Fixed medium-term single-family mortgages (1)	$	551,340		$	563,312
Fixed long-term single-family mortgages (1)	2,880,578			2,922,897
Total par value	3,431,918			3,486,209
Premiums	52,536			51,637
Discounts	(7,527		)	(8,212		)
Hedging adjustments	19,287			17,078
Total mortgage loans held for portfolio	$	3,496,214		$	3,546,712

Note:

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

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Government-guaranteed/insured loans	$	341,491	$	350,133
Conventional loans	3,090,427		3,136,076
Total par value	$	3,431,918	$	3,486,209

See Note 8 for information related to the Banks' credit risk on mortgage loans and allowance for credit losses.

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Allowance for Credit Losses (Allowance for Credit Losses) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012	Dec. 31, 2012
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance				$ 14,163
Ending Balance	13,393			14,163
Total recorded investment	3,530,004	[1]		3,581,013	[1]
Banking on Business Loans [Member]
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	2,481		3,223
Charge-offs	9		(495)
Provision (benefit) for credit losses	13		(155)
Ending Balance	2,503		2,573
Ending balance, individually evaluated for impairment	183		0
Ending balance, collectively evaluated for impairment	2,320		2,573
Individually evaluated for impairment, with or without a related allowance	313		0
Collectively evaluated for impairment	14,863		16,713
Total recorded investment	15,176	[1]	16,713	15,446	[1]
Residential Portfolio Segment [Member]
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	14,163		14,344
Charge-offs	(622)		(226)
Provision (benefit) for credit losses	(148)		206
Ending Balance	13,393		14,324
Ending balance, individually evaluated for impairment	687		140
Ending balance, collectively evaluated for impairment	12,706		14,184
Individually evaluated for impairment, with or without a related allowance	12,911		4,531
Collectively evaluated for impairment	3,148,406		3,403,276
Total recorded investment	$ 3,161,317		$ 3,407,807

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance.

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Transactions with Related Parties (By Balance Sheet Grouping) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Related Party Transaction [Line Items]
Federal funds sold	$ 3,545,000	$ 4,595,000
Investments	11,554,991	11,950,792
Advances	39,994,038	40,497,787
MPF loans	3,431,918	3,486,209
Deposits	1,022,870	999,891
Capital stock	2,832,025	2,815,965
Principal Owner [Member]
Related Party Transaction [Line Items]
Federal funds sold	165,000	245,000
Investments	179,610	179,610
Advances	26,917,773	27,399,641
Letters of credit	53,871	84,230
MPF loans	2,005,850	2,303,281
Deposits	10,671	5,797
Capital stock	$ 1,499,066	$ 1,477,835

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Allowance for Credit Losses (TDR Modifications) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Financing Receivable, Modifications [Line Items]
Pre-Modification	$ 3,042	$ 663
Post-Modification	3,042	628
Conventional Loan [Member]
Financing Receivable, Modifications [Line Items]
Pre-Modification	2,903	663
Post-Modification	2,903	628
Banking on Business Loans [Member]
Financing Receivable, Modifications [Line Items]
Pre-Modification	139
Post-Modification	$ 139

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Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Mortgage Loans on Real Estate [Line Items]
Loans And Leases Receivable, Unpaid Principal Balance	$ 3,431,918	$ 3,486,209
Government-Insured Mortgage Loans [Member]
Mortgage Loans on Real Estate [Line Items]
Loans And Leases Receivable, Unpaid Principal Balance	341,491	350,133
Conventional Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans And Leases Receivable, Unpaid Principal Balance	$ 3,090,427	$ 3,136,076

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Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI losses, credit portion	$ (442)	[1]	$ (7,105)	[1]
Reclassification of non-credit portion included in net income	442		6,790
Net change in fair value on OTTI AFS in OCI	14,364		49,146
Unrealized gains on OTTI AFS in OCI	15,060		7,094
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1	1,410,476		1,631,361
Accretion of credit losses in interest income	(1,494)
Net OTTI losses, credit portion	(345)		(6,021)
Net unrealized gains on AFS in OCI	175		(242)
Reclassification of non-credit portion included in net income	345		5,706
Net change in fair value on OTTI AFS in OCI	14,323		48,938
Unrealized gains on OTTI AFS in OCI	14,898		7,094
Purchases, issuances, sales, and settlements:
Settlements	(82,025)		(113,227)
Transfer of OTTI securities from HTM to AFS			11,268
Balance at March 31	1,356,353		1,584,877
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held	(345)		(6,021)
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-Sale Securities, Home Equity Lines Of Credit [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1	14,758		15,073
Accretion of credit losses in interest income	224
Net OTTI losses, credit portion	(97)		(1,084)
Net unrealized gains on AFS in OCI	0		0
Reclassification of non-credit portion included in net income	97		1,084
Net change in fair value on OTTI AFS in OCI	41		208
Unrealized gains on OTTI AFS in OCI	162		0
Purchases, issuances, sales, and settlements:
Settlements	(904)		(507)
Transfer of OTTI securities from HTM to AFS			0
Balance at March 31	14,281		14,774
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held	$ (97)		$ (1,084)
Private Label Residential MBS [Member]
Purchases, issuances, sales, and settlements:
Number of securities transferred from HTM to AFS	0		1

[1] For the three months ended March 31, 2013 and 2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012.

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Capital (Tables)

3 Months Ended

Mar. 31, 2013

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

The following table demonstrates the Bank’s compliance with these capital requirements at March 31, 2013 and December 31, 2012.

	March 31, 2013						December 31, 2012
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	1,053,372		$	3,786,547		$	1,029,858		$	3,806,806
Total capital-to-asset ratio	4.0		%	6.3		%	4.0		%	5.9		%
Total regulatory capital	2,405,465			3,786,547			2,584,651			3,806,806
Leverage ratio	5.0		%	9.4		%	5.0		%	8.8		%
Leverage capital	3,006,831			5,679,820			3,230,814			5,710,209

Schedule of Concentration in Capital Stock Held

(dollars in thousands)	March 31, 2013
Member	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	609,190	19.0	%
Chase Bank USA, N.A, Wilmington, DE	476,870		14.9

(dollars in thousands)	December 31, 2012
Member (1)	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	652,430	20.1	%
PNC Bank, N.A., Wilmington, DE	358,945		11.1
Chase Bank USA, N.A., Wilmington, DE	330,066		10.2

Note:

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

Schedule of Mandatorily Redeemable Capital Stock

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Balance, beginning of the period	$	431,566		$	45,673
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	698			158,686
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(63,441		)	(10,218		)
Balance, end of the period	$	368,823		$	194,141

Note:

⁽¹⁾ Reflects the impact on mandatorily redeemable capital stock related to partial excess capital stock repurchases.

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Due in 1 year or less	$	1,906	$	50
Due after 1 year through 2 years	118		2,323
Due after 2 years through 3 years	15,149		17,759
Due after 3 years through 4 years	106,472		124,502
Due after 4 years through 5 years	245,178		286,932
Total	$	368,823	$	431,566

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM			Net Unrealized Gains on Hedging Activities		Pension and Post-Retirement Plans			Total
December 31, 2011	$	5,891		$	(168,114	)	$	—		$	286	$	(428	)	$	(162,365	)
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(621		)	7,094			—			—		—			6,473
Noncredit OTTI losses transferred	—			(662		)	662			—		—			—
Net change in fair value of OTTI securities	—			49,146			—			—		—			49,146
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			6,790			(662		)	—		—			6,128
Amortization - pension and post-retirement	—			—			—			—		13			13
March 31, 2012	$	5,270		$	(105,746	)	$	—		$	286	$	(415	)	$	(100,605	)
December 31, 2012	$	35,390		$	18,999		$	—		$	286	$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(4,838		)	15,060			—			—		—			10,222
Net change in fair value of OTTI securities	—			14,364			—			—		—			14,364
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			442			—			—		—			442
Amortization - pension and post-retirement	—			—			—			—		26			26
March 31, 2013	$	30,552		$	48,865		$	—		$	286	$	(944	)	$	78,759

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Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 4,918,286	$ 5,664,954
Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	276,812	679,564
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	4,641,474	4,985,390
Fixed Interest Rate [Member] | Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	104,812	507,564
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,663,718	1,772,557
Adjustable Interest Rate [Member] | Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	172,000	172,000
Adjustable Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,977,756	$ 3,212,833

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Transactions with Related Parties

3 Months Ended

Mar. 31, 2013

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2013		December 31, 2012
Federal funds sold	$	165,000	$	245,000
Investments	179,610		179,610
Advances	26,917,773		27,399,641
Letters of credit	53,871		84,230
MPF loans	2,005,850		2,303,281
Deposits	10,671		5,797
Capital stock	1,499,066		1,477,835

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

	Three months ended March 31,
(in thousands)	2013		2012
Interest income on advances (1)	$	31,122	$	33,473
Interest income on MPF loans	28,186		36,547

Note:

⁽¹⁾ For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. For the three months ended March 31, 2012, balances include contractual interest income of $121.8 million, net interest settlements on derivatives in fair value hedge relationships of $(80.7) million and total amortization of basis adjustments of $(7.6) million.

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

	Three months ended March 31,
(in thousands)	2013		2012
Total MPF loan volume purchased	$	2,262	$	5,725

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

	Three months ended March 31,
(in thousands)	2013		2012
Servicing fee expense	$	217	$	175
Interest income on MPF deposits	4		1

(in thousands)	March 31, 2013		December 31, 2012
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,490	$	11,435

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended March 31, 2013 and 2012, there was no borrowing or lending activity between the Bank and other FHLBanks.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the three months ended March 31, 2013 and 2012, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the three months ended March 31, 2013 and 2012.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2012 Form 10-K.

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

3 Months Ended

Mar. 31, 2013

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

Schedule of Available-for-sale Securities Reconciliation

The following tables present AFS securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			7		—			21,007
GSE securities	1,699,315		—			683		(1,700		)	1,698,298
State or local agency obligations	11,100		—			—		(183		)	10,917
Total non-MBS	$	1,733,408	$	—		$	695	$	(1,883	)	$	1,732,220
MBS:
Other U.S. obligations residential MBS	$	387,861	$	—		$	276	$	(402	)	$	387,735
GSE residential MBS	2,910,334		—			32,120		(62		)	2,942,392
Private label MBS:
Private label residential MBS	1,308,077		(14,475		)	62,943		(192		)	1,356,353
HELOCs	13,884		(393		)	790		—			14,281
Total private label MBS	1,321,961		(14,868		)	63,733		(192		)	1,370,634
Total MBS	$	4,620,156	$	(14,868	)	$	96,129	$	(656	)	$	4,700,761
Total AFS securities	$	6,353,564	$	(14,868	)	$	96,824	$	(2,539	)	$	6,432,981

	December 31, 2012
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds partially securing      supplemental retirement plan	$	1,993	$	—		$	5	$	—		$	1,998
Other U.S. obligations	21,000		—			16		—			21,016
GSE securities	1,169,850		—			296		(802		)	1,169,344
State and local agency obligations	11,400		—			—		(270		)	11,130
Total non-MBS	$	1,204,243	$	—		$	317	$	(1,072	)	$	1,203,488
MBS:
Other U.S. obligations residential MBS	$	310,541	$	—		$	284	$	(120	)	$	310,705
GSE residential MBS	2,956,471		—			36,379		(29		)	2,992,821
Private label MBS:
Private label residential MBS	1,391,941		(29,142		)	48,045		(368		)	1,410,476
HELOCs	14,662		(532		)	628		—			14,758
Total private label MBS	1,406,603		(29,674		)	48,673		(368		)	1,425,234
Total MBS	$	4,673,615	$	(29,674	)	$	85,336	$	(517	)	$	4,728,760
Total AFS securities	$	5,877,858	$	(29,674	)	$	85,653	$	(1,589	)	$	5,932,248

Notes:

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

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

Schedule of Transfers From Held to Maturity to Available for Sale

uring the three months ended March 31, 2013 and 2012, private label MBS were transferred as presented below.

(in thousands)	Amortized Cost		OTTI Recognized in OCI			Fair Value
March 31, 2013 transfers	$	—	$	—		$	—
March 31, 2012 transfers	11,930		(662		)	11,268

Marketable Securities, Available-for-sale Securities, Policy [Policy Text Block]

 The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so.

The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so.

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

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

Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comrehensive Income

The following table presents a reconciliation of the AFS OTTI loss recognized through accumulated comprehensive income (AOCI) to the total net noncredit portion of OTTI gains on AFS securities in AOCI as of March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013			December 31, 2012
Non-credit portion of OTTI losses	$	(14,868	)	$	(29,674	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	63,733			48,673
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	48,865		$	18,999

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	1,197,713	$	(1,650	)	$	49,950	$	(50	)	$	1,247,663	$	(1,700	)
State or local agency obligations	—		—			10,917		(183		)	10,917		(183		)
Total non-MBS	$	1,197,713	$	(1,650	)	$	60,867	$	(233	)	$	1,258,580	$	(1,883	)
MBS:
Other U.S. obligations residential MBS	$	180,262	$	(402	)	$	—	$	—		$	180,262	$	(402	)
GSE residential MBS	121,230		(62		)	—		—			121,230		(62		)
Private label:
Private label residential MBS	19,515		(502		)	375,556		(14,165		)	395,071		(14,667		)
HELOCs	—		—			1,657		(393		)	1,657		(393		)
Total private label MBS	19,515		(502		)	377,213		(14,558		)	396,728		(15,060		)
Total MBS	$	321,007	$	(966	)	$	377,213	$	(14,558	)	$	698,220	$	(15,524	)
Total	$	1,518,720	$	(2,616	)	$	438,080	$	(14,791	)	$	1,956,800	$	(17,407	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE securities	$	719,190	$	(708	)	$	49,907	$	(94	)	$	769,097	$	(802	)
State or local agency obligations	11,130		(270		)	—		—			11,130		(270		)
Total non-MBS	$	730,320	$	(978	)	$	49,907	$	(94	)	$	780,227	$	(1,072	)
MBS:
Other U.S. obligations residential MBS	$	94,848	$	(120	)	$	—	$	—		$	94,848	$	(120	)
GSE residential MBS	72,619		(29		)	—		—			72,619		(29		)
Private label:
Private label residential MBS	12,728		(60		)	521,311		(29,450		)	534,039		(29,510		)
HELOCs	—		—			3,230		(532		)	3,230		(532		)
Total private label MBS	12,728		(60		)	524,541		(29,982		)	537,269		(30,042		)
Total MBS	$	180,195	$	(209	)	$	524,541	$	(29,982	)	$	704,736	$	(30,191	)
Total	$	910,515	$	(1,187	)	$	574,448	$	(30,076	)	$	1,484,963	$	(31,263	)

Note:

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

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,989	$	301,883	$	201,993	$	201,832
Due after one year through five years	1,399,319		1,398,413		969,850		969,510
Due after five years through ten years	21,000		21,007		21,000		21,016
Due in more than ten years	11,100		10,917		11,400		11,130
AFS securities excluding MBS	1,733,408		1,732,220		1,204,243		1,203,488
MBS	4,620,156		4,700,761		4,673,615		4,728,760
Total AFS securities	$	6,353,564	$	6,432,981	$	5,877,858	$	5,932,248

Schedule of Interest Rate Payment Terms For Investments

The following table details interest payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	1,033,457	$	504,298
Variable-rate	699,951		699,945
Total non-MBS	$	1,733,408	$	1,204,243
Amortized cost of AFS MBS:
Fixed-rate	$	2,001,207	$	2,050,785
Variable-rate	2,618,949		2,622,830
Total MBS	$	4,620,156	$	4,673,615
Total AFS securities	$	6,353,564	$	5,877,858

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

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Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Fair Value:
Less than 12 Months	$ 24,968	$ 45,809
Greater than 12 Months	587,256	628,402
Fair Value	612,224	674,211
Unrealized Losses:
Less than 12 Months	(87)	(3)
Greater than 12 Months	(33,682)	(43,642)
Unrealized Losses	(33,769)	(43,645)
State and local agency obligations [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	139,476	136,248
Fair Value	139,476	136,248
Unrealized Losses:
Less than 12 Months	0	0
Greater than 12 Months	(10,974)	(14,202)
Unrealized Losses	(10,974)	(14,202)
GSE residential MBS [Member]
Fair Value:
Less than 12 Months	0	45,809
Greater than 12 Months	16,120	17,072
Fair Value	16,120	62,881
Unrealized Losses:
Less than 12 Months	0	(3)
Greater than 12 Months	(118)	(134)
Unrealized Losses	(118)	(137)
Private Label Residential MBS [Member]
Fair Value:
Less than 12 Months	24,968	0
Greater than 12 Months	421,685	464,771
Fair Value	446,653	464,771
Unrealized Losses:
Less than 12 Months	(87)	0
Greater than 12 Months	(21,017)	(27,510)
Unrealized Losses	(21,104)	(27,510)
HELOCs [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	9,975	10,311
Fair Value	9,975	10,311
Unrealized Losses:
Less than 12 Months	0	0
Greater than 12 Months	(1,573)	(1,796)
Unrealized Losses	(1,573)	(1,796)
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Fair Value:
Less than 12 Months	24,968	0
Greater than 12 Months	431,660	475,082
Fair Value	456,628	475,082
Unrealized Losses:
Less than 12 Months	(87)	0
Greater than 12 Months	(22,590)	(29,306)
Unrealized Losses	(22,677)	(29,306)
MBS [Member]
Fair Value:
Less than 12 Months	24,968	45,809
Greater than 12 Months	447,780	492,154
Fair Value	472,748	537,963
Unrealized Losses:
Less than 12 Months	(87)	(3)
Greater than 12 Months	(22,708)	(29,440)
Unrealized Losses	$ (22,795)	$ (29,443)

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Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 6,353,564	[1]	$ 5,877,858	[1]
OTTI Recognized in AOCI	(14,868)	[2]	(29,674)	[2]
Gross Unrealized Gains	96,824		85,653
Gross Unrealized Losses	(2,539)		(1,589)
Fair Value	6,432,981		5,932,248
Total Non-MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,733,408	[1]	1,204,243	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	695		317
Gross Unrealized Losses	(1,883)		(1,072)
Fair Value	1,732,220		1,203,488
Mutual Funds [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,993	[1]	1,993	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	5		5
Gross Unrealized Losses	0		0
Fair Value	1,998		1,998
Other U.S. obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	21,000	[1]	21,000	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	7		16
Gross Unrealized Losses	0		0
Fair Value	21,007		21,016
GSE securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,699,315	[1]	1,169,850	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	683		296
Gross Unrealized Losses	(1,700)		(802)
Fair Value	1,698,298		1,169,344
State and local agency obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	11,100	[1]	11,400	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	0		0
Gross Unrealized Losses	(183)		(270)
Fair Value	10,917		11,130
Total MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,620,156	[1]	4,673,615	[1]
OTTI Recognized in AOCI	(14,868)	[2]	(29,674)	[2]
Gross Unrealized Gains	96,129		85,336
Gross Unrealized Losses	(656)		(517)
Fair Value	4,700,761		4,728,760
Other US obligations MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	387,861	[1]	310,541	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	276		284
Gross Unrealized Losses	(402)		(120)
Fair Value	387,735		310,705
GSE residential MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,910,334	[1]	2,956,471	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	32,120		36,379
Gross Unrealized Losses	(62)		(29)
Fair Value	2,942,392		2,992,821
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,321,961	[1]	1,406,603	[1]
OTTI Recognized in AOCI	(14,868)	[2]	(29,674)	[2]
Gross Unrealized Gains	63,733		48,673
Gross Unrealized Losses	(192)		(368)
Fair Value	1,370,634		1,425,234
Private label residential MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,308,077	[1]	1,391,941	[1]
OTTI Recognized in AOCI	(14,475)	[2]	(29,142)	[2]
Gross Unrealized Gains	62,943		48,045
Gross Unrealized Losses	(192)		(368)
Fair Value	1,356,353		1,410,476
HELOCs [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	13,884	[1]	14,662	[1]
OTTI Recognized in AOCI	(393)	[2]	(532)	[2]
Gross Unrealized Gains	790		628
Gross Unrealized Losses	0		0
Fair Value	$ 14,281		$ 14,758

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

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

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Statement of Condition (Parenthetical) (USD $) In Thousands, except Per Share data, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
ASSETS
Held to maturity securities - fair value	$ 5,011,628	$ 5,755,755
Allowance for Credit losses, Mortgage Loans	13,393	14,163
Allowance for Credit Losses, BOB loans	2,503	2,481
Trading Securities Pledged as Collateral that may be repledged	$ 173,228	$ 0
Stockholders' Equity Attributable to Parent [Abstract]
Common Stock, Par or Stated Value Per Share	$ 100	$ 100
Common Stock, Shares, Issued and Outstanding	28,320	28,160

XML

Transactions with Related Parties (Narrative) (Details) (USD $)	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012
Related Party Transaction [Line Items]
Net gains (losses) on derivatives and hedging activities	$ 1,584,000	$ 4,007,000
Principal Owner [Member]
Related Party Transaction [Line Items]
Contractual interest income	83,900,000	121,800,000
Net gains (losses) on derivatives and hedging activities	(52,000,000)	(80,700,000)
Total amortization of basis adjustments	$ (800,000)	$ (7,600,000)

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Accounting Adjustments, Changes in Accounting Principle and Recently Issued

3 Months Ended

Mar. 31, 2013

Accounting Adjustments [Abstract]

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

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

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). AB 2012-02 establishes a standard and uniform methodology for adverse classification and identification of special mention assets and off-balance sheet credit exposures at the FHLBanks, excluding investment securities. The adverse classification requirements of AB 2012-02 will be effective for the Bank beginning January 1, 2014, and the charge-off requirements will be effective for the Bank beginning January 1, 2015. The Bank is currently assessing the provisions of AB 2012-02 and has not yet determined the effect that it will have on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Obligations Resulting from Joint and Several Liability Arrangements. In February 2013, the FASB issued guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date. This guidance requires an entity to measure such obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. This guidance is effective for interim and annual periods beginning on or after December 15, 2013 and should be applied retrospectively to obligations with joint and several liabilities existing at the beginning of an entity’s fiscal year of adoption. This guidance is not expected to materially affect the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

The following pronouncements have impacted, or will impact, the Bank’s financial disclosures but will have no impact on its Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Offsetting Assets and Liabilities. During December 2011, the FASB issued new disclosure requirements for assets and liabilities which are offset in the financial statements. The guidance requires presentation of both gross and net information about derivatives and repurchase agreements which are offset. This guidance was effective for the Bank beginning January 1, 2013 and was applied retrospectively. Refer to Note 9 - Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Disclosures of Amounts Reclassified Out of Accumulated Other Comprehensive Income. During February 2013, the FASB issued guidance to improve the transparency of disclosures about reclassifications out of AOCI. The guidance requires disclosure of significant amounts reclassified out of AOCI and cross-references to other reclassification disclosures required by U.S. GAAP. This guidance was effective for the Bank beginning January 1, 2013 and was applied prospectively. Refer to Note 11- Capital.

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Advances (Narrative) (Details) (USD $) In Billions, unless otherwise specified	Mar. 31, 2013 Institutions	Dec. 31, 2012 Institutions
Advances [Line Items]
Convertible Advances Outstanding	$ 2.4	$ 2.6
Federal Home Loan Bank, Advances, Returnable	5.5	6.4
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	$ 31.3	$ 31.7
Number Of Top Advances Borrowers	5	5
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	79.80%	79.90%
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent	4	4
Minimum [Member]
Advances [Line Items]
Interest rate of advances	0.00%
AHP subsidized loans, interest rate	0.00%
Maximum [Member]
Advances [Line Items]
Interest rate of advances	7.40%
AHP subsidized loans, interest rate	5.50%

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012	Mar. 31, 2012	Dec. 31, 2011
Capital [Abstract]
Due in 1 year or less	$ 1,906	$ 50
Due after 1 year through 2 years	118	2,323
Due after 2 years through 3 years	15,149	17,759
Due after 3 years through 4 years	106,472	124,502
Due after 4 years through 5 years	245,178	286,932
Total	$ 368,823	$ 431,566	$ 194,141	$ 45,673

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013		Dec. 31, 2012
Derivatives, Fair Value [Line Items]
Derivatives not in hedge accounting relationships: Notional Amount of Derivatives	$ 5,827,721		$ 5,552,425
Derivatives not in hedge accounting relationships: Derivative Assets	41,130		40,357
Derivatives not in hedge accounting relationships: Derivative Liabilities	6,482		6,036
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	36,367,219		31,214,045
Total derivatives before netting and collateral adjustments: Derivative Assets	296,018		313,622
Total derivatives before netting and collateral adjustments: Derivative Liabilities	836,202		884,703
Derivative assets	18,749		27,803
Derivative liabilities as reported on Statement of Condition	258,472		310,425
Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivatives in hedge accounting relationships: Notional Amount of Derivatives	30,539,498		25,661,620
Derivatives in hedge accounting relationships: Derivative Assets	254,888		273,265
Derivatives in hedge accounting relationships: Derivative Liabilities	829,720		878,667
Derivatives not in hedge accounting relationships: Notional Amount of Derivatives	4,552,213		4,318,343
Derivatives not in hedge accounting relationships: Derivative Assets	37,247		37,767
Derivatives not in hedge accounting relationships: Derivative Liabilities	6,482		6,036
Interest Rate Cap [Member]
Derivatives, Fair Value [Line Items]
Derivatives not in hedge accounting relationships: Notional Amount of Derivatives	1,249,750		1,199,750
Derivatives not in hedge accounting relationships: Derivative Assets	3,388		1,968
Derivatives not in hedge accounting relationships: Derivative Liabilities	0		0
Mortgage Delivery Commitments [Member]
Derivatives, Fair Value [Line Items]
Derivatives not in hedge accounting relationships: Notional Amount of Derivatives	25,758		34,332
Derivatives not in hedge accounting relationships: Derivative Assets	495		622
Derivatives not in hedge accounting relationships: Derivative Liabilities	0		0
Netting Adjustment By Counterparty [Member]
Derivatives, Fair Value [Line Items]
Total collateral and netting adjustments: Derivative Assets	(249,158)		(253,923)
Total collateral and netting adjustments: Derivative Liabilities	(249,158)		(253,923)
Cash Collateral And Related Accrued Interest [Member]
Derivatives, Fair Value [Line Items]
Total collateral and netting adjustments: Derivative Assets	(28,111)		(31,896)
Total collateral and netting adjustments: Derivative Liabilities	(328,572)		(320,355)
Netting and Collateral [Member]
Derivatives, Fair Value [Line Items]
Total collateral and netting adjustments: Derivative Assets	(277,269)	[1]	(285,819)	[1]
Total collateral and netting adjustments: Derivative Liabilities	$ (577,730)	[1]	$ (574,278)	[1]

[1] Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

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Held-to-Maturity (HTM) Securities (Tables)

3 Months Ended

Mar. 31, 2013

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

Held-to-maturity Securities

The following tables present HTM securities as of March 31, 2013 and December 31, 2012.

	March 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	22,081	$	1,097	$	—		$	23,178
State or local agency obligations	254,731		9,145		(10,974		)	252,902
Total non-MBS	$	276,812	$	10,242	$	(10,974	)	$	276,080
MBS:
Other U.S. obligations residential MBS	$	1,789,677	$	12,757	$	—		$	1,802,434
GSE residential MBS	1,715,883		90,286		(118		)	1,806,051
Private label MBS:
Private label residential MBS	1,124,366		13,826		(21,104		)	1,117,088
HELOCs	11,548		—		(1,573		)	9,975
Total private label MBS	1,135,914		13,826		(22,677		)	1,127,063
Total MBS	$	4,641,474	$	116,869	$	(22,795	)	$	4,735,548
Total HTM securities	$	4,918,286	$	127,111	$	(33,769	)	$	5,011,628

	December 31, 2012
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	400,000	$	36	$	—		$	400,036
GSE securities	24,830		1,283		—			26,113
State or local agency obligations	254,734		8,961		(14,202		)	249,493
Total non-MBS	$	679,564	$	10,280	$	(14,202	)	$	675,642
MBS:
Other U.S. obligations residential MBS	$	1,922,589	$	12,568	$	—		$	1,935,157
GSE residential MBS	1,842,212		98,878		(137		)	1,940,953
Private label MBS:
Private label residential MBS	1,208,482		12,720		(27,510		)	1,193,692
HELOCs	12,107		—		(1,796		)	10,311
Total private label MBS	1,220,589		12,720		(29,306		)	1,204,003
Total MBS	$	4,985,390	$	124,166	$	(29,443	)	$	5,080,113
Total HTM securities	$	5,664,954	$	134,446	$	(43,645	)	$	5,755,755

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

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

Schedule of Unrealized Loss on Investments

The following tables summarize the HTM securities with unrealized losses as of March 31, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2013
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	139,476	$	(10,974	)	$	139,476	$	(10,974	)
MBS:
GSE residential MBS	$	—	$	—		$	16,120	$	(118	)	$	16,120	$	(118	)
Private label:
Private label residential MBS	24,968		(87		)	421,685		(21,017		)	446,653		(21,104		)
HELOCs	—		—			9,975		(1,573		)	9,975		(1,573		)
Total private label MBS	24,968		(87		)	431,660		(22,590		)	456,628		(22,677		)
Total MBS	$	24,968	$	(87	)	$	447,780	$	(22,708	)	$	472,748	$	(22,795	)
Total	$	24,968	$	(87	)	$	587,256	$	(33,682	)	$	612,224	$	(33,769	)

	December 31, 2012
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	—	$	—		$	136,248	$	(14,202	)	$	136,248	$	(14,202	)
MBS:
GSE residential MBS	$	45,809	$	(3	)	$	17,072	$	(134	)	$	62,881	$	(137	)
Private label:
Private label residential MBS	—		—			464,771		(27,510		)	464,771		(27,510		)
HELOCs	—		—			10,311		(1,796		)	10,311		(1,796		)
Total private label MBS	—		—			475,082		(29,306		)	475,082		(29,306		)
Total MBS	$	45,809	$	(3	)	$	492,154	$	(29,440	)	$	537,963	$	(29,443	)
Total	$	45,809	$	(3	)	$	628,402	$	(43,642	)	$	674,211	$	(43,645	)

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	1,095	$	1,102	$	401,095	$	401,147
Due after one year through five years	22,081		23,178		24,830		26,113
Due after five years through ten years	8,778		9,153		7,414		7,522
Due after ten years	244,858		242,647		246,225		240,860
HTM securities excluding MBS	276,812		276,080		679,564		675,642
MBS	4,641,474		4,735,548		4,985,390		5,080,113
Total HTM securities	$	4,918,286	$	5,011,628	$	5,664,954	$	5,755,755

Schedule of Interest Rate Payment Terms For Investments

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	104,812	$	507,564
Variable-rate	172,000		172,000
Total non-MBS	$	276,812	$	679,564
Amortized cost of HTM MBS:
Fixed-rate	$	1,663,718	$	1,772,557
Variable-rate	2,977,756		3,212,833
Total HTM MBS	$	4,641,474	$	4,985,390
Total HTM securities	$	4,918,286	$	5,664,954

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

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Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2013	Dec. 31, 2012
Schedule of Short-term and Long-term Debt [Line Items]
Total book value	$ 36,496,574	$ 35,135,608
Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	36,214,784	34,789,629
Unamortized premiums	92,192	99,090
Unamortized discount	(17,398)	(18,915)
Hedging adjustments	206,996	265,804
Total book value	36,496,574	35,135,608
Fixed Interest Rate [Member] | Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	32,112,284	31,307,129
Step Up [Member] | Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	2,242,500	1,622,500
Adjustable Interest Rate [Member] | Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 1,860,000	$ 1,860,000

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Background Information (Details)	Mar. 31, 2013 Banks
Nature of Operations [Line Items]
Number of Federal Home Loan Banks	12
Minimum [Member]
Nature of Operations [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%

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Capital

3 Months Ended

Mar. 31, 2013

Capital [Abstract]

Capital

Capital

The Bank is subject to three capital requirements under its current capital plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total capital; and (3) leverage capital. See details regarding these requirements and the Bank’s capital plan in Note 17 to the audited financial statements in the Bank’s 2012 Form 10-K.

At March 31, 2013, the Bank was in compliance with all regulatory capital requirements. Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory requirements. At March 31, 2013 and December 31, 2012, all of the Bank's capital stock outstanding was Class B stock.

The following table demonstrates the Bank’s compliance with these capital requirements at March 31, 2013 and December 31, 2012.

	March 31, 2013						December 31, 2012
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	1,053,372		$	3,786,547		$	1,029,858		$	3,806,806
Total capital-to-asset ratio	4.0		%	6.3		%	4.0		%	5.9		%
Total regulatory capital	2,405,465			3,786,547			2,584,651			3,806,806
Leverage ratio	5.0		%	9.4		%	5.0		%	8.8		%
Leverage capital	3,006,831			5,679,820			3,230,814			5,710,209

The increase in the ratios from December 31, 2012 to March 31, 2013 was primarily due to the decrease in total assets. When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On March 26, 2013, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2012. In its determination, the Finance Agency expressed concerns regarding the Bank's capital position. The Finance Agency believes that the Bank's retained earnings are not sufficient and its private label MBS portfolio creates uncertainty about the Bank's earnings prospects and ability to build retained earnings at a satisfactory pace. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2013.

Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of March 31, 2013 and December 31, 2012.

(dollars in thousands)	March 31, 2013
Member	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	609,190	19.0	%
Chase Bank USA, N.A, Wilmington, DE	476,870		14.9

(dollars in thousands)	December 31, 2012
Member (1)	Capital Stock		% of Total
Sovereign Bank, N.A., Wilmington, DE	$	652,430	20.1	%
PNC Bank, N.A., Wilmington, DE	358,945		11.1
Chase Bank USA, N.A., Wilmington, DE	330,066		10.2

Note:

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

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

At March 31, 2013 and December 31, 2012, the Bank had $368.8 million and $431.6 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. For the three months ended March 31, 2013 and 2012, estimated dividends on mandatorily redeemable capital stock totaling $289 thousand and $61 thousand, respectively, were recorded as interest expense.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2013 and 2012.

	Three months ended March 31,
(in thousands)	2013			2012
Balance, beginning of the period	$	431,566		$	45,673
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	698			158,686
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(63,441		)	(10,218		)
Balance, end of the period	$	368,823		$	194,141

Note:

⁽¹⁾ Reflects the impact on mandatorily redeemable capital stock related to partial excess capital stock repurchases.

As of March 31, 2013, the total mandatorily redeemable capital stock reflected balances for 17 institutions. Three institutions were taken over by the FDIC and their charters were dissolved. Two institutions voluntarily dissolved their charters with the Office of Thrift Supervision. Nine institutions were merged out of district and are considered nonmembers. One institution's charter was converted to an uninsured trust company, which is ineligible for membership. Two institutions have moved their principal place of business (charter) out of the Bank's district. These redemptions were not complete as of March 31, 2013.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2013 and December 31, 2012.

(in thousands)	March 31, 2013		December 31, 2012
Due in 1 year or less	$	1,906	$	50
Due after 1 year through 2 years	118		2,323
Due after 2 years through 3 years	15,149		17,759
Due after 3 years through 4 years	106,472		124,502
Due after 4 years through 5 years	245,178		286,932
Total	$	368,823	$	431,566

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

Dividends and Retained Earnings. As prescribed in the FHLBanks' amended JCEA, each FHLBank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At March 31, 2013, retained earnings were $585.7 million, including $549.5 million of unrestricted retained earnings and $36.2 million of RRE.

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

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

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. On February 22, 2013, the Bank paid a dividend equal to an annual yield of 0.32%. On April 30, 2013, the Bank paid a dividend equal to an annual yield of 0.29%. The dividend in each period was calculated on stockholders' average balances for the previous quarter and was based on average 3-month LIBOR for the previous quarter.

The Bank has executed partial repurchases of excess capital stock since the fourth quarter of 2010. The Bank repurchased $300.0 million of excess capital stock on February 22, 2013. The total amount of member excess capital stock at March 31, 2013 was $580.8 million. The Bank also repurchased $400.0 million in excess capital stock on April 30, 2013.

The following table summarizes the changes in AOCI for the three months ended March 31, 2013 and 2012.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM			Net Unrealized Gains on Hedging Activities		Pension and Post-Retirement Plans			Total
December 31, 2011	$	5,891		$	(168,114	)	$	—		$	286	$	(428	)	$	(162,365	)
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(621		)	7,094			—			—		—			6,473
Noncredit OTTI losses transferred	—			(662		)	662			—		—			—
Net change in fair value of OTTI securities	—			49,146			—			—		—			49,146
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			6,790			(662		)	—		—			6,128
Amortization - pension and post-retirement	—			—			—			—		13			13
March 31, 2012	$	5,270		$	(105,746	)	$	—		$	286	$	(415	)	$	(100,605	)
December 31, 2012	$	35,390		$	18,999		$	—		$	286	$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassifications:
Net unrealized gains (losses)	(4,838		)	15,060			—			—		—			10,222
Net change in fair value of OTTI securities	—			14,364			—			—		—			14,364
Reclassifications from OCI to net income:
Noncredit OTTI to credit OTTI	—			442			—			—		—			442
Amortization - pension and post-retirement	—			—			—			—		26			26
March 31, 2013	$	30,552		$	48,865		$	—		$	286	$	(944	)	$	78,759