10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2014

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 26,257,840 shares of common stock with a par value of $100 per share outstanding at October 31, 2014.

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	25
Item 3: Quantitative and Qualitative Disclosures about Market Risk	95
Item 4: Controls and Procedures	95
Part II - OTHER INFORMATION	95
Item 1: Legal Proceedings	95
Item 1A: Risk Factors	95
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds	95
Item 3: Defaults upon Senior Securities	95
Item 4: Mine Safety Disclosures	95
Item 5: Other Information	96
Item 6: Exhibits	96
Signature	96

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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, changes in 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 (MBS); changes in the assumptions used in the allowance for credit losses; changes in the Bank’s capital structure; changes in the Bank’s capital requirements; membership changes; changes in the demand by Bank members for Bank advances; an increase in advances’ prepayments; competitive forces, including the availability of other sources of funding for Bank members; changes in investor demand for consolidated obligations and/or the terms of interest rate exchange agreements and similar agreements; changes in the 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 (MD&A) 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 2013 Form 10-K (2013 Form 10-K), including Risk Factors included in Item 1A of that report.

Executive Summary

Overview. The Bank's financial condition and results of operations are influenced by 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. During the third quarter of 2014, funding spreads (i.e., the cost of FHLBank debt relative to LIBOR) generally improved due to more favorable market conditions.

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 capital and short-term investments will be limited in light of the Federal Reserve’s policy of maintaining the Federal funds rate at zero to 25 basis points. Finally, the Bank's mortgage-related assets make it sensitive to changes in mortgage rates. The Bank earns relatively narrow spreads between yields on assets (particularly advances, its largest asset) and the rates paid on corresponding liabilities.

The Bank's earnings are affected not only by rising or falling interest rates but also by the particular path and volatility of changes in market interest rates and the prevailing shape of the yield curve. The flattening of the yield curve tends to compress the Bank's net interest margin, while steepening of the curve offers better opportunities to purchase assets with wider net interest spreads. The performance of the Bank's mortgage asset portfolios is particularly affected by shifts in the 10-year maturity range of the yield curve, which is the point that heavily influences mortgage rates and potential refinancings. Yield curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products. The Bank continues to adjust its prepayment estimates in its models to better reflect actual borrower activity in this extended period of historically low rates. 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.

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Results of Operations. During the third quarter of 2014, the Bank recorded net income of $67.0 million, up $23.5 million from $43.5 million in the third quarter of 2013. This increase was driven primarily by higher net interest income and gains on litigation settlements (net of legal fees and expenses), partially offset by lower net gains on derivatives and hedging activities and net gains on the early extinguishment of debt recognized during the third quarter of 2013.

Net interest income for the third quarter of 2014 was $72.3 million, up $24.8 million compared to $47.5 million for the third quarter of 2013. The increase was primarily due to higher interest income on advances and lower interest expense on consolidated obligation bonds.

Also in the third quarter or 2014, the Bank recorded $14.1 million in gains on the resolution of litigation (net of legal fees and expenses) related to matters arising from investments the Bank made in private label mortgage backed securities (MBS). Net gains on derivatives and hedging activities were $247 thousand in the third quarter of 2014 compared to $5.4 million in the third quarter of 2013. The net gains on early extinguishment of debt recognized in the third quarter of 2013 were $9.6 million.

The net interest margin for the third quarter of 2014 was 39 basis points compared to 32 basis points in the third quarter of 2013. The seven point improvement was due primarily to lower funding costs on bonds.

Financial Condition. Advances. Advances totaled $53.1 billion at September 30, 2014 up from $50.2 billion at December 31, 2013. The increase of $2.9 billion was primarily due to increases in borrowing from large and regional members. In addition, as the size of the advance portfolio increased during the first nine months of 2014, the average life of an advance increased as well. At September 30, 2014, approximately 62% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 55% at December 31, 2013. As of September 30, 2014, the Bank's top five borrowers accounted for 73% of outstanding advances. As of December 31, 2013, the Bank's top five borrowers accounted for 77% of advances outstanding. The concentration of advances among a few borrowers can increase the potential for volatility in advances, earnings and capital.

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

Investments.At September 30, 2014, the Bank held $14.5 billion of total investments, including trading, available-for-sale (AFS) and held-to-maturity (HTM) investment securities, as well as interest-bearing deposits and Federal funds sold. These investments totaled $13.9 billion at December 31, 2013. The remaining balance of the private label MBS continues to decline primarily due to paydowns; additionally, the Bank has not purchased any new private-label MBS since 2007.

Consolidated Obligations. The Bank's consolidated obligations totaled $71.4 billion at September 30, 2014, up $5.5 billion from December 31, 2013. This growth in consolidated obligations was due to increases in both discount notes and bonds, issued primarily to support advance activity. At September 30, 2014, bonds represented 56% of the Bank's consolidated obligations, compared with 57% at December 31, 2013. Discount notes represented 44% of the Bank's consolidated obligations at September 30, 2014 compared with 43% at year-end 2013.

Capital Position, Dividends and Regulatory Requirements. Total retained earnings at September 30, 2014 were $803.8 million, up from $685.7 million at December 31, 2013 reflecting the Bank's net income for the first nine months of 2014 partially offset by dividends paid. Total accumulated other comprehensive income (AOCI) was $108.1 million at September 30, 2014, an increase of $63.8 million from December 31, 2013. This improvement was primarily due to net unrealized gains on Agency securities in the AFS portfolio.

The Bank paid a 4.0% annualized dividend on October 30, 2014.

The Bank met all of its capital requirements as of September 30, 2014, and in the Federal Housing Finance Agency's (Finance Agency) most recent determination, as of June 30, 2014, the Bank was deemed "adequately capitalized."

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Financial Highlights

The following financial highlights for the Condensed Statement of Condition as of December 31, 2013 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, 2013 which have been derived from the Bank's 2013 Form 10-K.

Condensed Statement of Income

	Three months ended
	September 30,			June 30,		March 31,		December 31,			September 30,
(in millions, except per share data)	2014			2014		2014		2013			2013
Net interest income	$	72.3		$	65.8	$	62.3	$	60.1		$	47.5
Provision (benefit) for credit losses	(0.4)			0.4		(3.9)		0.2			(0.7)
Other noninterest income:
Net gains (losses) on trading securities	(0.1		)	6.8		9.8		(5.1		)	0.2
Net gains (losses) on derivatives and     hedging activities	0.2			(9.5)		(9.2)		16.1			5.4
Net gains on extinguishment of debt	—			—		—		—			9.6
Gains on litigation settlements, net	14.1			—		36.6		—			—
Other, net	5.0			5.1		4.5		4.0			2.6
Total other noninterest income	19.2			2.4		41.7		15.0			17.8
Other expense	17.5			18.2		19.1		26.3			17.7
Income before assessments	74.4			49.6		88.8		48.6			48.3
Affordable Housing Program (AHP) assessment (2)	7.4			5.0		8.9		4.9			4.8
Net income	$	67.0		$	44.6	$	79.9	$	43.7		$	43.5
Earnings per share (3)	$	2.22		$	1.59	$	2.75	$	1.64		$	1.61

Dividends (4)	$	28.0		$	28.7		$	16.8		$	10.2		$	7.0
Dividend payout ratio (5)	41.78		%	64.30		%	21.02		%	23.37		%	16.15		%
Return on average equity	6.79		%	4.90		%	8.76		%	5.11		%	5.11		%
Return on average assets	0.36		%	0.26		%	0.48		%	0.27		%	0.29		%
Net interest margin (6)	0.39		%	0.39		%	0.37		%	0.37		%	0.32		%
Regulatory capital ratio (7)	5.08		%	5.21		%	5.32		%	5.16		%	5.10		%
GAAP capital ratio (8)	5.22		%	5.37		%	5.42		%	5.22		%	5.17		%
Total average equity to average assets	5.32		%	5.30		%	5.43		%	5.24		%	5.63		%

3

	Nine months ended
(in millions, except per share data)	September 30, 2014			September 30, 2013
Net interest income	$	200.4		$	135.0
Provision (benefit) for credit losses	(3.9		)	(2.0		)
Other noninterest income (loss):
Net OTTI losses, credit portion (1)	—			(0.4		)
Net gains on trading securities	16.5			0.5
Net gains (losses) on derivatives and hedging activities	(18.5		)	14.1
Net gains on extinguishment of debt	—			9.6
Gains on litigation settlements, net	50.7			1.5
Other, net	14.6			7.2
Total other noninterest income	63.3			32.5
Other expense	54.8			53.7
Income before assessments	212.8			115.8
AHP assessment (2)	21.3			11.7
Net income	$	191.5		$	104.1
Earnings per share (3)	$	6.57		$	3.77
Dividends (4)	$	73.5		$	11.2
Dividend payout ratio (5)	38.36		%	10.76		%
Return on average equity	6.81		%	4.05		%
Return on average assets	0.36		%	0.23		%
Net interest margin (6)	0.39		%	0.30		%
Regulatory capital ratio (7)	5.08		%	5.10		%
GAAP capital ratio (8)	5.22		%	5.17		%
Total average equity to average assets	5.35		%	5.74		%

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 AHP.

⁽³⁾ Calculated based on net income and weighted average shares outstanding.

⁽⁴⁾ The Bank paid a dividend of 4.00% annualized on July 30, 2014, 4.00% annualized on April 30, 2014, 2.50% annualized on February 21, 2014, 1.50% annualized on October 30, 2013, and 1.00% annualized on July 30, 2013.

⁽⁵⁾ Represents dividends paid as a percentage of net income for the respective periods presented.

⁽⁶⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

⁽⁷⁾ 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.

⁽⁸⁾ GAAP capital ratio is the sum of capital stock, retained earnings and AOCI as a percentage of total assets at period-end.

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Condensed Statement of Condition

	September 30,		June 30,		March 31,		December 31,		September 30,
(in millions)	2014		2014		2014		2013		2013
Cash and due from banks	$	5,508.4	$	1,267.9	$	1,141.3	$	3,121.3	$	3,063.1
Investments (1)	14,536.9		14,400.4		13,978.5		13,875.2		15,531.7
Advances	53,054.3		54,624.4		46,063.9		50,247.5		39,505.9
Mortgage loans held for portfolio, net (2)	3,116.3		3,140.6		3,174.3		3,224.1		3,277.7
Total assets	76,399.7		73,628.8		64,555.7		70,670.9		61,562.8
Consolidated obligations, net:
Discount notes	31,536.6		31,218.5		21,942.2		28,236.3		21,983.0
Bonds	39,889.1		37,500.6		37,901.4		37,698.3		35,225.4
Total consolidated obligations, net (3)	71,425.7		68,719.1		59,843.6		65,934.6		57,208.4
Deposits	665.9		700.0		780.4		694.4		780.7
Mandatorily redeemable capital stock	0.8		2.9		1.9		—		—
AHP payable	52.0		46.7		43.9		36.3		33.4
Total liabilities	72,408.5		69,674.3		61,055.2		66,978.7		58,380.2
Capital stock - putable	3,079.3		3,071.1		2,681.4		2,962.2		2,487.6
Unrestricted retained earnings	705.4		679.8		672.7		625.6		600.9
Restricted retained earnings	98.4		85.0		76.1		60.1		51.3
AOCI	108.1		118.6		70.3		44.3		42.8
Total capital	3,991.2		3,954.5		3,500.5		3,692.2		3,182.6

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 $7.7 million at September 30, 2014, $7.5 million at June 30, 2014, $7.3 million at March 31, 2014, $11.4 million at December 31, 2013, and $11.3 million at September 30, 2013.

⁽³⁾ Aggregate FHLBank System-wide consolidated obligations (at par) were $816.9 billion at September 30, 2014, $800.0 billion at June 30, 2014, $753.9 billion at March 31, 2014, $766.8 billion at December 31, 2013, and $720.7 billion at September 30, 2013.

Earnings Performance

The following is Management's Discussion and Analysis of the Bank's earnings performance for the three and nine months ended September 30, 2014 and 2013, 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 2013 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank recorded net income of $67.0 million for the third quarter of 2014, compared to $43.5 million for the third quarter of 2013. This $23.5 million increase was driven primarily by higher net interest income and gains on litigation settlements (net of legal fees and expenses), partially offset by lower net gains on derivatives and hedging activities and net gains on the early extinguishment of debt recognized during the third quarter of 2013.

Net interest income was $72.3 million for the third quarter of 2014, an increase of $24.8 million from $47.5 million in the third quarter of 2013, primarily due to higher interest income on advances and lower interest expense on consolidated obligation bonds. In addition, the Bank recorded $14.1 million in gains on the resolution of litigation (net of legal fees and expenses) related to matters arising from investments the Bank made in private label MBS. Net gains on derivatives and hedging activities were $247 thousand in the third quarter of 2014 compared to $5.4 million in the third quarter of 2013. The net gains on early extinguishment of debt recognized in the third quarter of 2013 were $9.6 million. The Bank's return on average equity for the third quarter of 2014 was 6.79%, compared to 5.11% for the third quarter of 2013.

The Bank recorded net income of $191.5 million for the first nine months of 2014, compared to $104.1 million for the same prior-year period. The $87.4 million increase was primarily due to higher net interest income, gains on litigation settlements (net of legal fees and expenses) and net gains on trading securities, partially offset by net losses on derivatives and hedging activities, and the net gains on the early extinguishment of debt recognized during the third quarter of 2013. Net

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interest income was $200.4 million for the first nine months of 2014, an increase of $65.4 million compared to $135.0 million in the prior-year period, primarily due to higher interest income on advances and lower interest expense on consolidated obligation bonds. In the first nine months of 2014, the Bank recorded $50.7 million in gains on the resolution of litigation (net of legal fees and expenses) related to matters arising from investments the Bank made in private label MBS, compared to $1.5 million in the same period in 2013. Net gains on trading securities were $16.5 million in the first nine months of 2014 compared to $449 thousand in the same period of 2013. Net losses on derivatives and hedging activities were $18.5 million in the first nine months of 2014 compared with a net gain of $14.1 million in the same period of 2013. The Bank's return on average equity for the first nine months of 2014 was 6.81%, compared to 4.05% for the comparable prior year period.

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 and nine months ended September 30, 2014 and 2013.

Average Balances and Interest Yields/Rates Paid

	Three months ended September 30,
	2014						2013
(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)	$	5,952.0		$	1.0	0.07	$	5,107.9		$	0.7	0.06
Interest-bearing deposits (2)	440.9			0.1		0.08	530.2			0.1		0.08
Investment securities (3)	11,402.8			54.5		1.90	11,406.0			53.8		1.87
Advances (4)	51,904.2			67.1		0.51	38,913.3			55.5		0.57
Mortgage loans held for portfolio (5)	3,136.6			32.1		4.05	3,345.2			34.3		4.06
Total interest-earning assets	72,836.5			154.8		0.84	59,302.6			144.4		0.96
Allowance for credit losses	(9.4		)				(14.5		)
Other assets (6)	799.4						592.2
Total assets	$	73,626.5					$	59,880.3
Liabilities and capital:
Deposits (2)	$	690.2		$	0.1	0.03	$	728.9		$	0.1	0.03
Consolidated obligation discount notes	29,876.5			6.3		0.08	17,314.4			3.7		0.08
Consolidated obligation bonds (7)	38,225.9			76.1		0.79	37,357.5			92.8		0.99
Other borrowings	1.1			—		—	88.5			0.3		1.43
Total interest-bearing liabilities	68,793.7			82.5		0.47	55,489.3			96.9		0.69
Other liabilities	915.5						1,018.1
Total capital	3,917.3						3,372.9
Total liabilities and capital	$	73,626.5					$	59,880.3
Net interest spread						0.37						0.27
Impact of noninterest-bearing funds						0.02						0.05
Net interest income/net interest margin				$	72.3	0.39				$	47.5	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 $0.4 billion and $0.6 billion in 2014 and 2013, respectively.

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

⁽⁶⁾ The non-credit 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 $(26.5) million and $(93.6) million in 2014 and 2013, respectively.

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Net interest income for the third quarter of 2014 increased $24.8 million from the third quarter of 2013 due to an increase in interest income and lower interest expense. Interest earning assets increased 22.8% with higher demand for advances and increased purchases of Federal funds sold and securities purchased under agreement to resell being partially offset by a lower amount of mortgage loans held for portfolio as the run-off exceeded new purchases. Higher interest income on advances was partially offset by lower interest income on mortgage loans held for portfolio. Interest income on advances increased as advance volume more than offset a decline in yield. Interest income on mortgage loans declined due to lower volume. The rate paid on interest-bearing liabilities declined 22 basis points due to lower funding costs on bonds and an increase in the level of discount notes relative to the total debt portfolio.

Average Balances and Interest Yields/Rates Paid

	Nine months ended September 30,
	2014						2013
(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)	$	5,594.6		$	2.7	0.07	$	5,835.1		$	4.1	0.10
Interest-bearing deposits (2)	472.1			0.3		0.08	452.3			0.4		0.11
Investment securities (3)	11,129.3			165.4		1.99	11,526.8			163.6		1.90
Advances (4)	49,165.6			194.0		0.53	38,028.3			169.9		0.60
Mortgage loans held for portfolio (5)	3,169.3			98.2		4.14	3,443.2			107.5		4.17
Total interest-earning assets	69,530.9			460.6		0.89	59,285.7			445.5		1.00
Allowance for credit losses	(10.7		)				(15.6		)
Other assets (6)	736.8						655.9
Total assets	$	70,257.0					$	59,926.0
Liabilities and capital:
Deposits (2)	$	711.7		$	0.2	0.03	$	860.6		$	0.3	0.04
Consolidated obligation discount notes	26,888.8			17.9		0.09	17,417.2			13.5		0.10
Consolidated obligation bonds (7)	37,972.0			242.1		0.85	36,947.2			295.4		1.07
Other borrowings	3.7			—		—	264.4			1.3		0.68
Total interest-bearing liabilities	65,576.2			260.2		0.53	55,489.4			310.5		0.75
Other liabilities	922.5						998.6
Total capital	3,758.3						3,438.0
Total liabilities and capital	$	70,257.0					$	59,926.0
Net interest spread						0.36						0.25
Impact of noninterest-bearing funds						0.03						0.05
Net interest income/net interest margin				$	200.4	0.39				$	135.0	0.30

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 securities 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 $0.5 billion and $0.7 billion in 2014 and 2013, 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 $(30.9) million and $74.7 million in 2014 and 2013, respectively.

Net interest income for year-to-date September 30, 2014 increased $65.4 million from the same year-ago period primarily due to an increase in interest income and lower interest expense. The rate paid on interest-bearing liabilities declined 22 basis points due to lower funding costs on bonds and an increase in the level of discount notes relative to the total debt portfolio. Interest-earning assets increased 17.3% with higher demand for advances being partially offset by lower purchases of investments and mortgage loans. Higher interest income on advances and investments were partially offset by lower interest

7

income on mortgage loans held for portfolio. Interest income on advances increased as advance volume more than offset a decline in yield. Interest income on investment securities increased due to an increase in yield which more than offset a decline in volume. Interest income on mortgage loans declined due to both lower volume and the run-off of higher-yielding assets that have been replaced with lower-yielding assets.

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 and nine months ended September 30, 2014 and 2013.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume
	2014 compared to 2013
	Three months ended September 30									Nine months ended September 30
(in millions)	Volume			Rate			Total			Volume			Rate			Total
Federal funds sold	$	0.1		$	0.2		$	0.3		$	(0.1	)	$	(1.3	)	$	(1.4	)
Interest-bearing deposits	—			—			—			—			(0.1		)	(0.1		)
Investment securities	—			0.7			0.7			(5.8		)	7.6			1.8
Advances	17.2			(5.6		)	11.6			45.6			(21.5		)	24.1
Mortgage loans held for portfolio	(2.1		)	(0.1		)	(2.2		)	(8.5		)	(0.8		)	(9.3		)
Total interest-earning assets	$	15.2		$	(4.8	)	$	10.4		$	31.2		$	(16.1	)	$	15.1
Interest-bearing deposits	$	—		$	—		$	—		$	—		$	(0.1	)	$	(0.1	)
Consolidated obligation discount notes	2.6			—			2.6			6.5			(2.1		)	4.4
Consolidated obligation bonds	2.1			(18.8		)	(16.7		)	8.0			(61.3		)	(53.3		)
Other borrowings	(0.5		)	0.2			(0.3		)	(2.2		)	0.9			(1.3		)
Total interest-bearing liabilities	$	4.2		$	(18.6	)	$	(14.4	)	$	12.3		$	(62.6	)	$	(50.3	)
Total increase in net interest income	$	11.0		$	13.8		$	24.8		$	18.9		$	46.5		$	65.4

In the quarter-over-quarter and year-over-year comparisons, interest income increased due primarily to volume increases partially offset by rate decreases while interest expense decreased due to rate declines that were partially offset by volume increases. In both comparisons, the decrease in interest expense was primarily related to a decrease in rates paid on consolidated obligation bonds. Since the beginning of 2013, approximately $2.2 billion of high cost consolidation obligation bonds with a weighted average yield of 5.0% has matured.

Average investment balances were relatively flat quarter-over-quarter as increased Agency notes balances were offset by decreased MBS and certificates of deposit balances. Balances decreased year-over-year driven by lower MBS, certificates of deposit and U.S. Treasury bill balances, partially offset by increases in Agency notes. The rate increase for both periods for investment securities was primarily related to the reduced levels of lower-yielding certificates of deposit and U.S. Treasury bills in the portfolio.

The following table presents the average par balances of the Bank's advance portfolio for the three and nine months ended September 30, 2014. These balances do not reflect any hedge accounting adjustments.

(in millions)	Three months ended September 30,				Nine months ended September 30,
Product	2014		2013		2014		2013
Repo/Mid-Term Repo	$	19,167.9	$	11,996.7	$	17,431.2	$	12,197.2
Core (Term)	30,333.3		24,038.4		29,282.9		22,760.3
Convertible Select	1,964.0		2,268.8		1,964.0		2,355.5
Total par value	$	51,465.2	$	38,303.9	$	48,678.1	$	37,313.0

The increase in advance volume led to an increase in interest income, partially offset by a decrease in the yield in both the quarter-over-quarter and year-over-year comparisons. Attractive advance rates and members' liquidity needs contributed to the increase in advance balances. The yield on this portfolio declined in both comparisons as the 2014 portfolios were comprised of more short-term and variable rate advances with relatively lower yields.

8

The average mortgage loans held for portfolio balance declined quarter-over-quarter and year-over-year due to the continued run-off of the Mortgage Partnership Finance (MPF) Plus portfolio. The Bank has not purchased loans into this portion of the portfolio since July 2006, and the run-off more than offset purchases of new loans into the MPF Original portion of the portfolio. Interest income decreased in both comparisons primarily due to the lower average portfolio balances.

The average consolidated obligations portfolio balances increased quarter-over-quarter and year-over-year as average discount note and bond balances both increased. However, interest expense on the consolidated obligations bond portfolio declined due to a decrease in rates paid, which more than offset the volume increase. The rate decrease on bonds was primarily due to longer term debt that was called or matured and then replaced with lower cost debt. 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.

During the first nine months of 2014, short-term funding spreads to LIBOR were relatively stable. However, long-term funding spreads improved considerably as the unfavorable market conditions present during much of 2013 began to recede.

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 and nine months ended September 30, 2014 and 2013. Derivative and hedging activities are discussed below.

Three Months Ended September 30, 2014 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	51,904.2	$	67.1	0.51	$	126.0	0.96	$	(58.9	)	(0.45	)
Mortgage loans held for  portfolio	3,136.6		32.1		4.05	33.0		4.16	(0.9		)	(0.11	)
All other interest-earning  assets	17,795.7		55.6		1.24	58.6		1.31	(3.0		)	(0.07	)
Total interest-earning  assets	$	72,836.5	$	154.8	0.84	$	217.6	1.18	$	(62.8	)	(0.34	)
Liabilities:
Consolidated obligation  bonds	$	38,225.9	$	76.1	0.79	$	141.1	1.46	$	(65.0	)	(0.67	)
All other interest-bearing  liabilities	30,567.8		6.4		0.08	6.4		0.08	—			—
Total interest-bearing  liabilities	$	68,793.7	$	82.5	0.47	$	147.5	0.85	$	(65.0	)	(0.38	)
Net interest income/net  interest spread			$	72.3	0.37	$	70.1	0.33	$	2.2		0.04

9

Three Months Ended September 30, 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	$	38,913.3	$	55.5	0.57	$	122.2	1.25	$	(66.7	)	(0.68	)
Mortgage loans held for  portfolio	3,345.2		34.3		4.06	35.3		4.17	(1.0		)	(0.11	)
All other interest-earning  assets	17,044.1		54.6		1.27	55.5		1.29	(0.9		)	(0.02	)
Total interest-earning  assets	$	59,302.6	$	144.4	0.96	$	213.0	1.42	$	(68.6	)	(0.46	)
Liabilities:
Consolidated obligation  bonds	$	37,357.5	$	92.8	0.99	$	158.5	1.68	$	(65.7	)	(0.69	)
All other interest-bearing  liabilities	18,131.8		4.1		0.09	4.1		0.09	—			—
Total interest-bearing  liabilities	$	55,489.3	$	96.9	0.69	$	162.6	1.16	$	(65.7	)	(0.47	)
Net interest income/net  interest spread			$	47.5	0.27	$	50.4	0.26	$	(2.9	)	0.01

Nine Months Ended September 30, 2014 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	49,165.6	$	194.0	0.53	$	375.3	1.02	$	(181.3	)	(0.49	)
Mortgage loans held for  portfolio	3,169.3		98.2		4.14	100.4		4.23	(2.2		)	(0.09	)
All other interest-earning  assets	17,196.0		168.4		1.31	176.8		1.37	(8.4		)	(0.06	)
Total interest-earning  assets	$	69,530.9	$	460.6	0.89	$	652.5	1.25	$	(191.9	)	(0.36	)
Liabilities:
Consolidated obligation  bonds	$	37,972.0	$	242.1	0.85	$	435.4	1.53	$	(193.3	)	(0.68	)
All other interest-bearing  liabilities	27,604.2		18.1		0.09	18.1		0.09	—			—
Total interest-bearing  liabilities	$	65,576.2	$	260.2	0.53	$	453.5	0.92	$	(193.3	)	(0.39	)
Net interest income/net  interest spread			$	200.4	0.36	$	199.0	0.33	$	1.4		0.03

10

Nine Months Ended September 30, 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	$	38,028.3	$	169.9	0.60	$	367.6	1.29	$	(197.7	)	(0.69	)
Mortgage loans held for  portfolio	3,443.2		107.5		4.17	110.6		4.29	(3.1		)	(0.12	)
All other interest-earning  assets	17,814.2		168.1		1.26	169.0		1.27	(0.9		)	(0.01	)
Total interest-earning  assets	$	59,285.7	$	445.5	1.00	$	647.2	1.45	$	(201.7	)	(0.45	)
Liabilities:
Consolidated obligation  bonds	$	36,947.2	$	295.4	1.07	$	482.7	1.75	$	(187.3	)	(0.68	)
All other interest-bearing  liabilities	18,542.2		15.1		0.11	15.1		0.11	—			—
Total interest-bearing  liabilities	$	55,489.4	$	310.5	0.75	$	497.8	1.20	$	(187.3	)	(0.45	)
Net interest income/net  interest spread			$	135.0	0.25	$	149.4	0.25	$	(14.4	)	—

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 use of derivatives increased net interest income and net interest spread for the three months and nine months ended September 30, 2014. The use of derivatives decreased net interest income for the three and the nine months ended September 30, 2013. The use of derivatives had comparatively little impact on the net interest spread for the same periods.

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 investments, 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.

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 third quarter of 2014 was $(0.4) million compared to $(0.7) million for the same period in 2013.

For the nine months ended September 30, 2014 and 2013, the provision (benefit) for credit losses on mortgage loans held for portfolio and BOB loans was $(3.9) million and $(2.0) million, respectively. The benefit was primarily due to a decrease in delinquencies, overall improvement in the housing market and a change in the allowance estimate as a result of the adoption of certain provisions of AB 2012-02 which is discussed in more detail in the Financial Condition section of this Item 2.

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Other Noninterest Income

	Three months ended September 30,					Nine months ended September 30,
(in millions)	2014			2013		2014			2013
Total OTTI losses	$	—		$	—	$	—		$	—
OTTI losses reclassified (from) AOCI	—			—		—			(0.4		)
Net OTTI losses, credit portion	—			—		—			(0.4		)
Net gains (losses) on trading securities	(0.1		)	0.2		16.5			0.5
Net gains (losses) on derivatives and hedging activities	0.2			5.4		(18.5		)	14.1
Net gains on extinguishment of debt	—			9.6		—			9.6
Gains on litigation settlements, net	14.1			—		50.7			1.5
Standby letters of credit fees	4.4			2.1		12.4			5.8
Other, net	0.6			0.5		2.2			1.4
Total other noninterest income	$	19.2		$	17.8	$	63.3		$	32.5

The Bank's higher total other noninterest income for the third quarter of 2014 compared to the same prior year period was due primarily to the settlement of litigation claims, net of legal fees and expenses, arising from investments the Bank made in private label MBS, partially offset by net gains on the early extinguishment of debt that were recognized in the third quarter of 2013. The Bank's higher total other noninterest income for the first nine months of 2014 compared to the same prior year period was due primarily to the settlement of private label MBS litigation claims, net of legal fees and expenses, and higher net gains on trading securities, partially offset by net losses on derivatives and hedging activities. The net gains on trading securities reflects the impact of fair market value changes on Agency investments held in the Bank's trading portfolio. The 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.

12

The following tables detail the net effect of derivatives and hedging activities for the three and nine months ended September 30, 2014 and 2013.

	Three months ended September 30, 2014
(in millions)	Advances			Investments			Mortgage Loans			Bonds			Discount Notes		Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(1.8	)	$	—		$	(0.9	)	$	5.9		$	—	$	3.2
Net interest settlements included in net interest income (2)	(57.1		)	(3.0		)	—			59.1			—		(1.0		)
Total effect on net interest income	$	(58.9	)	$	(3.0	)	$	(0.9	)	$	65.0		$	—	$	2.2
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	1.8		$	(0.1	)	$	—		$	(0.5	)	$	—	$	1.2
Gains (losses) on derivatives not receiving hedge accounting	1.7			(2.1		)	1.1			(1.8		)	0.1		(1.0		)
Total net gains (losses) on derivatives and hedging activities	$	3.5		$	(2.2	)	$	1.1		$	(2.3	)	$	0.1	$	0.2
Total net effect of derivatives and hedging activities	$	(55.4	)	$	(5.2	)	$	0.2		$	62.7		$	0.1	$	2.4

	Three months ended September 30, 2013
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Total
Net interest income:
Amortization/accretion of hedging activities in net interest     income (1)	$	(2.2	)	$	—		$	(1.0	)	$	7.8	$	4.6
Net interest settlements included in net interest income (2)	(64.5		)	(0.9		)	—			57.9		(7.5		)
Total effect on net interest income	$	(66.7	)	$	(0.9	)	$	(1.0	)	$	65.7	$	(2.9	)
Net gains (losses) on derivatives and hedging activities:
Gains on fair value hedges	$	1.9		$	0.8		$	—		$	0.4	$	3.1
Gains (losses) on derivatives not receiving hedge accounting	(3.8		)	(5.1		)	1.5			9.7		2.3
Total net gains (losses) on derivatives and hedging activities	$	(1.9	)	$	(4.3	)	$	1.5		$	10.1	$	5.4
Total net effect of derivatives and hedging activities	$	(68.6	)	$	(5.2	)	$	0.5		$	75.8	$	2.5

13

	Nine months ended September 30, 2014
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(7.2	)	$	—		$	(2.2	)	$	20.6	$	—	$	11.2
Net interest settlements included in net interest income (2)	(174.1		)	(8.4		)	—			172.7		—		(9.8		)
Total effect on net interest income	$	(181.3	)	$	(8.4	)	$	(2.2	)	$	193.3	$	—	$	1.4
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	2.9		$	(1.0	)	$	—		$	1.3	$	—	$	3.2
Gains (losses) on derivatives not receiving hedge accounting	(3.3		)	(51.0		)	(6.3		)	38.5		0.4		(21.7		)
Total net gains (losses) on derivatives and hedging activities	$	(0.4	)	$	(52.0	)	$	(6.3	)	$	39.8	$	0.4	$	(18.5	)
Total net effect of derivatives and hedging activities	$	(181.7	)	$	(60.4	)	$	(8.5	)	$	233.1	$	0.4	$	(17.1	)

	Nine months ended September 30, 2013
(in millions)	Advances			Investments			Mortgage Loans			Bonds			Total
Net interest income:
Amortization/accretion of hedging activities in net interest     income (1)	$	(7.2	)	$	—		$	(3.1	)	$	24.3		$	14.0
Net interest settlements included in net interest income (2)	(190.5		)	(0.9		)	—			163.0			(28.4		)
Total effect on net interest income	$	(197.7	)	$	(0.9	)	$	(3.1	)	$	187.3		$	(14.4	)
Net gains (losses) on derivatives and hedging activities:
Gains on fair value hedges	$	2.2		$	0.9		$	—		$	0.9		$	4.0
Gains (losses) on derivatives not receiving hedge accounting	0.6			11.2			14.0			(15.7		)	10.1
Total net gains (losses) on derivatives and hedging activities	$	2.8		$	12.1		$	14.0		$	(14.8	)	$	14.1
Total net effect of derivatives and hedging activities	$	(194.9	)	$	11.2		$	10.9		$	172.5		$	(0.3	)

Notes:

⁽¹⁾ Represents the amortization/accretion of hedging fair value adjustments.

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

Fair Value Hedges. The Bank uses fair value hedge accounting treatment for many 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 third quarter of 2014, total ineffectiveness related to these fair value hedges resulted in net gains of $1.2 million compared to net gains of $3.1 million during the third quarter of 2013. For the nine months ended September 30, 2014 and 2013, the Bank recorded net gains of $3.2 million and $4.0 million, respectively. The total notional amount increased to $28.8 billion at September 30, 2014 from $25.4 billion at December 31, 2013. 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" financial statement line item. For economic hedges, the Bank recorded net losses of $1.0 million in the third quarter of 2014 compared to net gains of $2.3 million for the third quarter of 2013. For the nine months ended September 30, 2014 and 2013, the Bank recorded net losses of $21.7 million compared to net gains of $10.1 million, respectively. Differences between 2014 and 2013 were driven by changes in LIBOR and the composition of the economic

14

hedge portfolio. The total notional amount of economic hedges, which includes mortgage delivery commitments, was $12.9 billion at September 30, 2014 and $11.8 billion at December 31, 2013.

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 2013 Form 10-K.

Assets

Total assets were $76.4 billion at September 30, 2014, compared to $70.7 billion at December 31, 2013. The increase of $5.7 billion was primarily due to increased advances and short-term liquidity balances, which include cash and Federal funds sold. Advances increased to $53.1 billion at September 30, 2014, from $50.2 billion at December 31, 2013. Short-term liquidity balances increased to $8.3 billion at September 30, 2014 from $6.0 billion at year-end 2013. The following provides additional details regarding the primary components of the Statement of Condition.

As previously noted, the Finance Agency has communicated its interest in keeping all of the FHLBanks focused on activities related to their missions, such as making advances. The Finance Agency continues to engage in dialog with the FHLBanks regarding their housing finance mission and levels of mission-related assets.

Advances. Advances (par) totaled $52.7 billion at September 30, 2014 compared to $49.7 billion at December 31, 2013. At September 30, 2014, the Bank had advances outstanding to 183 borrowing members, compared to 181 borrowing members at December 31, 2013. 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 73.3% of total advances as of September 30, 2014 compared to 77.4% at December 31, 2013.

The following table provides information on advances at par by product type at September 30, 2014 and December 31, 2013.

	September 30,		December 31,
in millions	2014		2013
Adjustable/variable-rate indexed:
Repo/Mid-Term Repo	$	7,075.3	$	7,435.0
Core (Term)	17,634.5		10,520.7
Total adjustable/variable-rate indexed	$	24,709.8	$	17,955.7
Fixed rate:
Repo/Mid-Term Repo	$	17,408.8	$	17,415.1
Core (Term)	7,335.7		6,839.2
Returnables	1,000.0		5,000.0
Total fixed rate	$	25,744.5	$	29,254.3
Convertible	$	1,964.0	$	2,255.0
Amortizing/mortgage-matched:
Core (Term)	$	254.3	$	249.0
Total par balance	$	52,672.6	$	49,714.0

The Bank had no putable advances at September 30, 2014 or December 31, 2013.

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The following table provides a distribution of the number of members, categorized by individual member asset size that had an outstanding average advance balance during the nine months ended September 30, 2014 and the year ended December 31, 2013.

	September 30,		December 31,
Member Asset Size	2014		2013
Less than $100 million	19		24
Between $100 million and $500 million	110		117
Between $500 million and $1 billion	44		50
Between $1 billion and $5 billion	31		27
Greater than $5 billion	17		18
Total borrowing members during the year	221		236
Total membership	303		297
Percentage of members borrowing during the period	72.9	%	79.5	%
Total borrowing members with outstanding loan balances at period-end	183		181
Percentage of members borrowing at period-end	60.4	%	60.9	%

During the first nine months of 2014, the Bank has experienced a net increase of six members. The Bank added 11 new members and lost five members. One member was placed into receivership with its charter being dissolved, one member merged with another institution outside of the Bank's district and three members merged with another institution within the Bank's district. Refer to the "Credit and Counterparty Risk - TCE and Collateral" discussion in the Risk Management section of this Item 2 for additional information on the member placed into receivership.

The following table provides information at par on advances by member classification at September 30, 2014 and December 31, 2013. Commercial Bank, Thrift, and Credit Union members are classified by asset size as follows: Large (over $25 billion), Regional ($4 to $25 billion), Mid-size ($1.1 to $4 billion) and Community Financial Institutions (CFI) (under $1.1 billion).

(in thousands)	September 30, 2014		December 31, 2013		Increase/(Decrease)
Member Classification
Large	$	38,240.2	$	36,945.1	3.5	%
Regional	7,360.6		5,567.7		32.2
Mid-size	2,489.0		2,765.5		(10.0	)
CFI (1)	3,913.1		3,547.3		10.3
Insurance	665.7		882.9		(24.6	)
Non-member	4.0		5.5		(27.3	)
Total	$	52,672.6	$	49,714.0	6.0	%

Notes:

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

As of September 30, 2014, total advances increased 6.0% compared with balances at December 31, 2013. Increases were primarily driven by greater demand from the Large and Regional members' short-term liquidity needs. The decrease in Mid-size was primarily due to one member who was reclassified from Mid-size to Regional due to that member's increase in asset size.

See the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section of this Item 2 for further information on collateral policies and practices and details regarding eligible collateral, including amounts and percentages of eligible collateral securing member advances as of September 30, 2014.

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Mortgage Loans Held for Portfolio.Mortgage loans held for portfolio, net of allowance for credit losses, decreased $107.8 million, to $3.1 billion at September 30, 2014. This decline was primarily driven by the continued net runoff of the MPF Plus portfolio as the Bank has not purchased loans into this portion of the portfolio since July 2006, which more than offset purchases of new loans into the MPF Original portion of the portfolio.

Balances regarding the Bank’s loan products and mortgage loans held 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 principaluntil 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 government guarantees or insurance.The Bank has a loan modification program for participating financial institutions (PFIs) under the MPF Program. The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged under the MPF Program to be troubled debt restructurings (TDRs), since some form of concession has been made by the Bank.

	September 30,		December 31,
(in millions)	2014		2013
Advances(1)	$	53,054.3	$	50,247.5
Mortgage loans held for portfolio, net(2)	3,116.3		3,224.1
Nonaccrual mortgage loans(3)	46.3		57.8
Mortgage loans 90 days or more delinquent and still accruing interest(4)	7.0		8.3
BOB loans, net	11.5		11.4

Notes:

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

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

⁽³⁾ Nonaccrual mortgage loans are reported net of interest applied to principal and does not include performing TDRs of $12.5 million at September 30, 2014 and $12.0 million at December 31, 2013.

⁽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 Original Program has remained stable since year-end 2013. As of September 30, 2014, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.7% of the MPF Original portfolio compared with 0.6% at December 31, 2013.

The performance of the mortgage loans in the Bank's MPF Plus Program has improved since year-end 2013. As of September 30, 2014, the Bank's seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 3.8 % of the MPF Plus portfolio compared with 4.2% at December 31, 2013. The actual amount of MPF Plus seriously delinquent loans and foreclosures has fallen from December 31, 2013 to September 30, 2014 due to net runoff of the MPF Plus portfolio.

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 credit enhancement (CE) structure of the MPF Program. The losses inherent in the portfolio are based on either an individual or collective assessment of the mortgage loans.

The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions of AB 2012-02. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent, which are comprised primarily of MPF loans that are 180 days or more delinquent and loans that are not severely delinquent, but where the borrower has filed for bankruptcy. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property.

The remainder of the portfolio's incurred loss is estimated using a collective assessment, which is based on probability and loss given default. Probability of default and loss given default are based on the prior 12 month historical performance of the Bank's mortgage loans. Probability of default is based on a migration analysis, and loss given default is based on realized losses incurred on the sale of mortgage loan collateral including a factor that reduces estimated proceeds from primary mortgage insurance (PMI) given the credit deterioration experienced by those companies. 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

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provided by PFIs (available CE) until exhausted. Certain losses incurred by the Bank on MPF Plus can be recaptured by withholding fees paid to the PFI for its retention of credit risk. All additional losses are incurred by the Bank. The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at September 30, 2014 and December 31, 2013.

	MPF CE structure September 30, 2014				ACL September 30, 2014
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
MPF Original	$	2.9	$	147.8	$	3.6	$	(2.9	)	$	0.7
MPF Plus	20.5		40.7		17.0		(10.0		)	7.0
Total	$	23.4	$	188.5	$	20.6	$	(12.9	)	$	7.7

	MPF CE structure December 31, 2013				ACL December 31, 2013
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
MPF Original	$	2.7	$	133.9	$	2.3	$	(1.7	)	$	0.6
MPF Plus	22.8		42.7		23.3		(12.5		)	10.8
Total	$	25.5	$	176.6	$	25.6	$	(14.2	)	$	11.4

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Investments. At September 30, 2014, the sum of the Bank's interest-bearing deposits and Federal funds sold decreased approximately $97.4 million from December 31, 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 (trading, AFS, and HTM securities) totaled $11.8 billion at September 30, 2014 compared to $11.0 billion at December 31, 2013. Details of the investment securities portfolio follow.

	Carrying Value
(in millions)	September 30, 2014			December 31, 2013
Trading securities:
Mutual funds	$	5.1		$	4.6
GSE and Tennessee Valley Authority (TVA) obligations	270.5			234.6
Total trading securities	$	275.6		$	239.2
Yield on trading securities	2.86		%	2.85		%
AFS securities:
Mutual funds	$	2.0		$	2.0
GSE and TVA obligations	2,933.0			2,096.2
State or local agency obligations	61.2			14.0
MBS:
Other U.S. obligations residential MBS	342.7			385.3
GSE MBS	3,672.4			3,122.2
Private label residential MBS	1,013.0			1,123.6
Private label home equity line of credit (HELOCs)	12.4			14.4
Total AFS securities	$	8,036.7		$	6,757.7
Yield on AFS securities	1.72		%	2.26		%
HTM securities:
GSE securities	$	13.6		$	16.2
State or local agency obligations	217.3			242.9
MBS:
Other U.S. obligations residential MBS	1,195.9			1,435.5
GSE MBS	1,283.4			1,417.9
Private label residential MBS	729.0			873.3
HELOCs	—			9.7
Total HTM securities	$	3,439.2		$	3,995.5
Yield on HTM securities	2.05		%	2.06		%
Total investment securities	$	11,751.5		$	10,992.4
Yield on total investment securities	1.84		%	2.20		%

As of September 30, 2014, 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	$	4,367.7	$	4,399.5
Fannie Mae	2,527.1		2,545.0
Ginnie Mae	1,252.1		1,258.8
Federal Farm Credit Banks	1,200.2		1,200.2
Total	$	9,347.1	$	9,403.5

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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 September 30, 2014, the Bank was obligated to fund approximately $19.7 million in additional advances and BOB loans, $26.9 million of mortgage loans and $18.9 billion in outstanding standby letters of credit, and to issue $588.0 million 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 market value of equity to par value of capital stock (MV/CS) as well as other risk metrics. Details regarding these metrics are discussed in the Risk Management portion of this Item 2.

Management has developed and adopted a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The framework includes 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 $516.0 million as of September 30, 2014. The Bank exceeded its retained earnings target as of September 30, 2014 as it had $803.8 million of retained earnings. The framework also assists management in its overall analysis of the level of future dividends.

Retained earnings increased $118.1 million, to $803.8 million, at September 30, 2014 compared to $685.7 million at December 31, 2013. The increase in retained earnings during the first nine months of 2014 reflected net income partially offset by $73.5 million of dividends paid. Total retained earnings at September 30, 2014 included unrestricted retained earnings of $705.4 million and restricted retained earnings (RRE) of $98.4 million.

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 2013 Form 10-K.

Capital Plan. Under the Bank’s Capital Plan, members are required to purchase and maintain a certain level of capital stock to become members, obtain advances and engage in other business transactions. Adjustments to the amount of membership and activity stock that each member must hold can be made periodically by the Bank's Board of Directors in accordance with the terms of the Capital Plan.

The Bank announced changes to its Capital Plan on July 29, 2014. The changes were effective October 6, 2014 and included the following:

• creation of two subclasses of capital stock: B1 membership and B2 activity; the Bank has stated that there will be no differentiation in dividends throughout 2014

• widening of requirement ranges on activity-based capital stock for advances (2.0% - 6.0%) and letters of credit (0.0% - 4.0%) and a new activity capital stock category for forward-commitment advances (0.0% - 6.0%)

In addition, the membership stock requirement was reduced from 0.35% to 0.10% as of October 7, 2014. This membership stock requirement change reduced the Bank's permanent capital stock by $409 million. With respect to dividends, the Bank will continue to determine the amount of the dividend on a quarterly basis, so fluctuations in the amount of the dividend are possible. Additionally, as set forth in the Capital Plan, when the Bank determines to differentiate dividends, the

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dividend paid on subclass B2 activity stock will be equal to or higher than the dividend being paid on subclass B1 membership stock at that time.

Risk-Based Capital (RBC)

The Finance Agency’s RBC regulatory framework requires the Bank to maintain sufficient permanent (or "regulatory") 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.

	September 30,		December 31,
(in millions)	2014		2013
Permanent capital:
Capital stock (1)	$	3,080.1	$	2,962.2
Retained earnings	803.8		685.7
Total permanent capital	$	3,883.9	$	3,647.9
RBC requirement:
Credit risk capital	$	539.2	$	580.2
Market risk capital	139.1		229.5
Operations risk capital	203.5		242.9
Total RBC requirement	$	881.8	$	1,052.6
Excess permanent capital over RBC requirement	$	3,002.1	$	2,595.3
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 increased $406.8 million from year-end primarily due to increases in capital stock and retained earnings.

On September 23, 2014, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2014.

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 September 30, 2014.

	September 30,			December 31,
(dollars in millions)	2014			2013
Regulatory Capital Ratio
Minimum regulatory capital (4.0% of total assets)	$	3,056.0		$	2,826.8
Regulatory capital	3,883.9			3,647.9
Total assets	76,399.7			70,670.9
Regulatory capital ratio (regulatory capital as a percentage of total assets)	5.1		%	5.2		%
Leverage Ratio
Minimum leverage capital (5.0% of total assets)	$	3,820.0		$	3,533.5
Leverage capital (regulatory capital multiplied by a 1.5 weighting factor)	5,825.8			5,471.9
Leverage ratio (leverage capital as a percentage of total assets)	7.6		%	7.7		%

The ratios from December 31, 2013 to September 30, 2014 remained stable primarily due to corresponding increases in both regulatory capital and total assets.

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

(dollars in millions)	September 30, 2014			December 31, 2013
Commercial banks	180	$	2,566.0	179	$	2,540.0
Thrifts	74	346.4		78	284.1
Insurance companies	9	97.4		7	88.9
Credit unions	40	69.5		33	49.2
Total member institutions / total GAAP capital stock	303	3,079.3		297	2,962.2
Mandatorily redeemable capital stock		0.8			—
Total capital stock		$	3,080.1		$	2,962.2

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 2013 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 2013 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank's reported results and financial position for the period or in future periods. Management views these policies as critical accounting policies.

During the nine months ended September 30, 2014, the Bank updated its Critical Accounting Policy for its Allowance for Credit Losses on Mortgage Loans Held for Portfolio as a result of adoption of the classification provisions of the Finance Agency Advisory Bulletin 2012-02, as clarified by Advisory Bulletin 2013-02 (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, excluding investment securities. As a result of this adoption, the Bank began to obtain values of collateral for certain MPF loans, primarily those that are 180 days or more delinquent and loans that are not severely delinquent, but where the borrower has filed for bankruptcy. These values are now incorporated into the Bank's calculation of incurred losses on its MPF portfolio and the related allowance for credit losses. This adoption resulted in an immaterial benefit to the Bank's financial statements.

During the nine months ended September 30, 2014, the Bank also updated its Critical Accounting Policy for Guarantees and Consolidated Obligations as a result of the adoption of recently-issued FASB guidance for joint and several liabilities. The Bank's joint and several obligation associated with its consolidated obligations is within the scope of this guidance. This guidance requires the Bank to measure its obligation as the sum of (1) the amount the Bank agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the Bank expects to pay on behalf of its co-obligors. This adoption had no impact on the Bank's financial statements.

The Bank made no other changes to its critical accounting policies during the nine months ended September 30, 2014.

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

In addition to the above, AB 2012-02 requires the Bank to charge off the portion of a loan deemed to be a loss. However, this is not required until January 1, 2015. Upon adoption of the charge-off provisions, the Bank's allowance for loan losses will be reduced by the amount of the charge-off and a corresponding investment will be reduced, unless the loss is expected to be recovered by the CE of the MPF Program and which the Bank will establish a CE Fee Receivable. In total, the ultimate losses realized on the Bank's loan portfolio will be the same; however, the timing of when the losses are recognized will differ. The Bank does not expect the charge-off provisions to have a material impact on the Bank's financial statements.

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Legislative and Regulatory Developments

The legislative and regulatory environment in which the Bank and its members operate continues to evolve as a result of regulations enacted pursuant to the Housing and Economic Recovery Act of 2008, as amended (Housing Act) and the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act). The Bank’s business operations, funding costs, rights, obligations, and/or the environment in which the Bank carries out its housing finance mission are likely to continue to be significantly impacted by these changes. Significant regulatory actions and developments during the period covered by this report are summarized below.

Proposed Rules

Federal Housing Finance Agency Proposed Rule.On September 12, 2014, the Finance Agency issued a proposed rule that would:

• impose a new test on all FHLBank members that requires them to maintain at least 1% of their assets in first-lien home mortgage loans, including MBS backed by such loans, on an ongoing basis, and with maturities of five years or more to maintain their membership in their respective FHLBank. The proposal also suggests the possibility of a 2% or a 5% test as options;

• require all insured depository members (other than FDIC-insured depositories with less than $1.1 billion in assets) to maintain, on an ongoing basis, at least 10% of their assets in a broader range of residential mortgage loans, including those secured by junior liens and MBS, in order to maintain their membership in their respective FHLBank;

• eliminate all currently eligible captive insurance companies from FHLBank membership. Current captive insurance company members would have their memberships terminated five years after this rule is finalized. There would be restrictions on the level and maturity of advances that FHLBanks could make to these members during the sunset period. Under the proposed rule , a captive insurance company is a company that is authorized under state law to conduct an insurance business but whose primary business is not the underwriting of insurance for non-affiliated persons or entities; and

• clarify how an FHLBank should determine the “principal place of business” of an insurance company or Community Development Financial Institution (CDFI) for purposes of membership. The proposed rule would also change the way the principal place of business is determined for an institution that becomes a member of an FHLBank after issuance of the final rule. Current rules define an institution’s principal place of business as the state in which it maintains its home office. The proposal would add a second component requiring an institution to conduct business operations from the home office for that state to be considered its principal place of business. The changes would apply prospectively.

The Bank is currently evaluating the proposed rule, but if the proposed rule is adopted in its current form, the Bank’s financial condition and results of operation may be materially impacted due to loss of members and potential members. Refer also to discussion included in Item 1A: Risk Factors in this Form 10-Q. Comments on the proposed rule are due by January 12, 2015.

Margin and Capital Requirements for Covered Swap Entities. On September 3, 2014, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Farm Credit Administration, and the Finance Agency (collectively, the Agencies) jointly proposed a rule to establish minimum margin and capital requirements for registered swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants (collectively, Swap Entities) that are subject to the jurisdiction of one of the Agencies (the Proposed Rule). In addition, the Proposed Rule affords the Agencies discretion to subject other persons to the Proposed Rule’s requirements (such persons, together with Swap Entities, referred to as Covered Swap Entities). Comments on the Proposed Rule are due by November 24, 2014.

The Proposed Rule would subject non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and between Covered Swap Entities and financial end users that have material swaps exposure (i.e., an average daily aggregate notional of $3 billion or more in uncleared swaps) to a mandatory two-way initial margin requirement.  The amount of the initial margin required to be posted or collected would be either the amount calculated using a standardized schedule set forth in the Proposed Rule, which provides the gross initial margin (as a percentage of total notional exposure) for certain asset classes, or an internal margin model conforming to the requirements of the Proposed Rule that is approved by the applicable Agency. The Proposed Rule specifies the types of collateral that may be posted as initial margin (generally, cash, certain government securities, certain liquid debt, certain equity securities and gold); and sets forth haircuts for certain collateral asset classes.  Initial margin must be segregated with an independent, third-party custodian and may not be rehypothecated.

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The Proposed Rule would require variation margin to be exchanged daily for non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and between Covered Swap Entities and all financial end users (without regard to the swaps exposure of the particular financial end-user). The variation margin amount is the daily mark-to-market change in the value of the swap to the Covered Swap Entity, taking into account variation margin previously paid or collected. Variation margin may only be paid or collected in cash, is not subject to segregation with an independent, third-party custodian, and may, if permitted by contract, be rehypothecated.

Under the Proposed Rule, the variation margin requirement would become effective on December 1, 2015 and the initial margin requirement would be phased in over a four-year period commencing on that date. For entities that have less than a $1 trillion notional amount of non-cleared derivatives, the Proposed Rule’s initial margin requirement would not come into effect until December 1, 2019.

The Bank would not be a Covered Swap Entity under the Proposed Rule, although the Finance Agency has discretion to designate the Bank a Covered Swap Entity. Rather, the Bank is a financial end-user under the Proposed Rule, and it would likely have material swaps exposure upon the effective date of the Proposed Rule’s initial margin requirement.

Since the Bank is currently posting and collecting variation margin on its non-cleared swaps, it is not anticipated that the Proposed Rule’s variation margin requirement, if adopted, would have a material impact on the Bank’s costs. However, if the Proposed Rule’s initial margin requirement is adopted, it is anticipated that the Bank’s cost of engaging in non-cleared swaps would increase.

In addition, on September 17, 2014, the Commodity Futures Trading Commission (CFTC) adopted its version of the Proposed Rule (CFTC Proposed Rule) that generally mirrors the Proposed Rule. The CFTC Proposed Rule will only apply to a limited number of registered swap dealers and major swap participants that are not subject to the jurisdiction of one of the Agencies. Comments on the CFTC Proposed Rule are due by December 2, 2014.

Federal Home Loan Bank Capital Stock and Capital Plans. The Finance Agency issued on October 8, 2014, a proposed rule that would transfer existing parts 931 and 933 of the Federal Housing Finance Board regulations, which address requirements for FHLBanks’ capital stock and capital plans, to new Part 1277 of the Finance Agency regulations (Capital Proposed Rule). The Capital Proposed Rule would not make any substantive changes to these requirements, but would delete certain provisions that applied only to the one-time conversion of FHLBank stock to the new capital structure required by the Gramm-Leach-Bliley Act. The Capital Proposed Rule would also make certain clarifying changes so that the rules would more precisely reflect long-standing practices and requirements with regard to transactions in FHLBank stock. The Capital Proposed Rule would add appropriate references to ‘‘former members’’ to clarify when former FHLBank members can be required to maintain investment in FHLBank capital stock after withdrawal from the FHLBank. The Bank is currently evaluating the Capital Proposed Rule. Comments on the Capital Proposed Rule are due by December 8, 2014.

Final Rules

Basel Committee on Bank Supervision - Liquidity Coverage Ratio. On September 3, 2014, the Board of Governors of the Federal Reserve System, the Office of the Comptroller of the Currency, and the FDIC finalized the liquidity coverage ratio (LCR) rule, applicable to: (i) U.S. banking organizations with $250 billion or more in total consolidated assets or $10 billion or more in total consolidated on-balance sheet foreign exposure, and their consolidated subsidiary depository institutions with $10 billion or more in total consolidated assets; and (ii) certain other U.S. bank or savings and loan holding companies having at least $50 billion in total consolidated assets, which will be subject to less stringent requirements under the LCR rule. The LCR rule requires such covered companies to maintain investments of “high quality liquid assets” (HQLA) that are no less than 100% of their total net cash outflows over a prospective 30-day stress period. Among other things, the final rule defines the various categories of HQLA, called Levels 1, 2A, or 2B. The treatment of HQLAs for the LCR is most favorable under the Level 1 category, less favorable under the Level 2A category, and least favorable under the Level 2B category.

Under the final rule, collateral pledged to an FHLBank but not securing existing borrowings may be considered eligible HQLA to the extent the collateral itself qualifies as eligible HQLA; qualifying FHLBank System consolidated obligations are categorized as Level 2A HQLAs; and the amount of a covered company’s funding that is assumed to run-off includes 25% of FHLBank advances maturing within 30 days, to the extent such advances are not secured by level 1 or level 2A HQLA, where 0% and 15% run-off assumptions apply, respectively.  At this time, the impact of the final rule is uncertain. The final rule requires that all covered companies be fully compliant by January 1, 2017.

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Money Market Mutual Fund Reform. On July 23, 2014, the SEC approved final regulations governing money market mutual funds. The final regulations, among other things, will:

• require institutional prime money market funds (including institutional municipal money market funds) to sell and redeem shares based on their floating net asset value, which would result in the daily share prices of these money market funds fluctuating along with changes in the market-based value of the funds’ investments;

• allow money market fund boards of directors to directly address a run on a fund by imposing liquidity fees or suspending redemptions temporarily; and

• include enhanced diversification, disclosure and stress testing requirements, as well as provide updated reporting by money market funds and private funds that operate like money market funds.

The final regulations do not change the existing regulatory treatment of FHLBank consolidated obligations as liquid assets. FHLBank consolidated discount notes continue to be included in the definition of “daily liquid assets,” and the definition of “weekly liquid assets” continues to include FHLBanks' consolidated discount notes with a remaining maturity of up to 60 days. At this point, the future impact of these regulations on demand for FHLBank consolidated obligations is unknown.

Joint Final Rule on Credit Risk Retention for Asset-Backed Securities (ABS). On October 22, 2014, the Finance Agency and other U.S. federal regulators jointly approved a final rule requiring sponsors of ABS to retain credit risk in those transactions. The final rule largely retains the risk retention framework contained in the proposal issued by the agencies in August 2013 and generally requires sponsors of ABS to retain a minimum 5% economic interest in a portion of the credit risk of the assets collateralizing the ABS, unless all the securitized assets satisfy specified qualifications. The final rule specifies criteria for qualified residential mortgage (QRM), commercial real estate, auto, and commercial loans that would make them exempt from the risk retention requirement. The definition of QRM is aligned with the definition of “qualified mortgage” (QM) as provided in Section 129C of the Truth in Lending Act, and its implementing regulations, as adopted by the Consumer Financial Protection Bureau. The QM definition requires, among other things, full documentation and verification of consumers’ debt and income and a debt-to-income ratio that does not exceed 43 percent; and restricts the use of certain product features, such as negative amortization and interest-only and balloon payments.

Other exemptions from the credit risk requirement include certain owner-occupied mortgage loans secured by three-to-four unit residential properties that meet the criteria for QM and certain types of community-focused residential mortgages (including extensions of credit made by CDFIs). The final rule also includes a provision that requires the agencies to periodically review the definition of QRM, the exemption for certain community-focused residential mortgages, and the exemption for certain three-to-four unit residential mortgage loans and consider whether they should be modified.

The final rule exempts Agency MBS from the risk retention requirements as long as the sponsoring agency is operating under the conservatorship or receivership of the Finance Agency and fully guarantees the timely payment of principal and interest on all assets in the issued security. Further, MBS issued by any limited-life regulated entity succeeding to either Fannie Mae or Freddie Mac operating with capital support from the U.S. would be exempt from the risk retention requirements. The final rule will be effective one year after publication in the Federal Register for residential mortgage-backed securitizations and two years after publication for all other securitization types. The Bank is currently assessing the impact of the final rule and has not yet determined the effect, if any, that this rule, may have on the Bank’s operations.

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 appetite. The Member Products Policy establishes the eligibility and authorization requirements, policy limits and restrictions, and the terms applicable to each type of Bank product or service, as well as collateral requirements. The risk appetite is established by the Board, as are other applicable guidelines in connection with the Bank’s Capital Plan and overall risk management.

Risk Governance

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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 2013 Form 10-K.

Details regarding the Bank's Risk Governance framework and processes are included in the "Risk Governance" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2013 Form 10-K.

Capital Adequacy Measures. MV/CS provides a current assessment of the liquidation value of the balance sheet and measures the Bank's current ability to honor the par put redemption feature of its capital stock. This is one of the risk metrics used to evaluate the adequacy of retained earnings, which is used to develop dividend payment and 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. See the “Capital and Retained Earnings” discussion in Financial Condition in this Item 2 for details regarding the Bank’s retained earnings policy.

The MV/CS ratio was 134.9% at September 30, 2014 and 128.0% at December 31, 2013. This improvement was primarily due to increased retained earnings and narrower mortgage and MBS spreads (i.e. the incremental risk premium or the additional yield the market is expecting to be compensated for holding mortgage related investments versus less risky assets), which was partially offset by a higher capital stock balance.

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 loan-to-value or debt-to-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 for 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, all members are required to identify subprime, low FICO score and nontraditional loans that are included in their collateral and provide periodic certification that they comply with the FFIEC guidance.

Results of the Finance Agency Stress Tests Severely Adverse Scenario. The Finance Agency requires the FHLBanks to conduct annual stress testing to determine whether the FHLBanks have the capital necessary to absorb losses under adverse economic conditions. The FHLBanks must also consider the results when making changes to capital structure; when assessing exposures, concentrations, and risk positions; and in improving overall risk management. The Finance Agency provided the inputs and key assumptions, and the results should not be viewed as a forecast of expected likely outcomes of future results. Results were projected over a nine-quarter period from the fourth quarter of 2013 to the fourth quarter of 2015, starting with September 30, 2013 balances.

In addition, the FHLBanks are required to disclose the results of the severely adverse stress test scenario. The Bank disclosed the results of the severely adverse stress test scenario on July 17, 2014, which was the first such annual disclosure. The Bank's severely adverse stress test scenario results demonstrated capital adequacy as projected regulatory capital and leverage capital ratios exceeded regulatory requirements. The Bank regularly uses stress tests, and has begun to use those annual stress tests required by the Dodd-Frank Act, in capital planning to measure the exposure to material risks and to evaluate the adequacy of capital resources available to absorb potential losses arising from those risks. The results of the Bank's severely adverse stress test scenario are published on the Bank's website.

Qualitative and Quantitative Disclosures Regarding Market Risk

Managing Market Risk. The Bank's market risk management objective is to protect member/shareholder and bondholder value consistent with the Bank's housing mission and safe and sound operations across a wide range of interest rate

26

environments. Management believes that a disciplined approach to market risk management is essential to maintaining a strong capital base and uninterrupted access to the capital markets.

The Bank's Market Risk Models. Significant resources are devoted to ensuring that the level of market risk in the balance sheet is accurately measured, thus allowing management to monitor the risk against policy and regulatory limits. The Bank uses externally developed models to evaluate its financial position and market risk. One of the most critical market-based models relates to the prepayment of principal on mortgage-related instruments. Management regularly reviews the major assumptions and methodologies used in its models, as well as the performance of the models relative to empirical results.

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 that is 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 evaluation of such risks to ensure that they are well controlled and effective, and result in reasonable fair values.

Duration of Equity. One key risk metric used by the Bank, 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 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 developed 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.

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 September 30, 2014 and December 31, 2013. 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 is therefore not presented.

(in years)	Base Case	Up 100  basis points	Up 200  basis points
Alternate duration of equity:
September 30, 2014	0.4	0.6	1.2
December 31, 2013	0.4	0.9	1.2
Actual duration of equity:
September 30, 2014	1.0	1.2	1.8
December 31, 2013	1.2	1.6	2.0

Duration of equity changes from prior year-end primarily reflect the net effect of lower long-term interest rates, which reduced duration and maturing or called fixed rate debt. Run-off of the impaired private label MBS portfolio was an additional factor that reduced the actual duration of equity.

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

27

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. 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 September 30, 2014 and December 31, 2013. 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 September 30, 2014 and December 31, 2013.

	EDS Yield Curve Shifts (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
September 30, 2014	672	(56)	737	9	728	775	47	792	64
December 31, 2013	531	(29)	576	16	560	633	73	613	53
Year 2 Return Volatility
September 30, 2014	674	5	725	56	669	688	19	665	(4)
December 31, 2013	554	1	563	10	553	580	27	578	25

Projected EDS in all scenarios increased for both Year 1 and Year 2 mainly due to lower projected capital stock requirements and higher earnings from higher advance, letter of credit, agency investment, and mortgage delivery commitment projections as well as lower assumed hedging costs and maturity of high-yield debt. EDS volatility changes were mainly the result of lower long-term interest rate and floating rate reset risk and mark-to-market position changes.

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 $3.3 million. The Bank's ALCO has established a lower exposure limit as an operating guideline at $2.7 million. The daily forward-looking exposure was below the applicable Board limit and operating guidelines during the first nine months of 2014. At September 30, 2014, EaR measured $2.3 million.

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

TCE.The Bank manages the credit risk on the basis of a member’s total credit exposure to the Bank or TCE, which includes advances and related accrued interest, fees, basis adjustments and estimated prepayment fees; letters of credit; forward-dated advance commitments; member derivatives; and MPF credit enhancement and related obligations. This credit risk is managed by monitoring the financial condition of borrowers and by requiring all borrowers (and, where applicable in connection with member affiliate pledge arrangements approved by the Bank, their affiliates) to pledge sufficient eligible collateral for all member obligations to the Bank to ensure that all potential forms of credit-related exposures are covered by sufficient eligible collateral. This may include collateral pledged by a member’s affiliate. At September 30, 2014, TCE was $72.1 billion, comprised of approximately $52.7 billion in advance principal outstanding, $19.1 billion in letters of credit, and $0.3 billion in accrued interest, prepayment, MPF credit enhancement and other fees. In addition, at September 30, 2014, the Bank had $19.0 million in advance commitments.

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. Refer to the Collateral Policies and Practices section

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below for recent revisions to MBC requirements. Details regarding this Policy are available in the Advance Products discussion in Item 1. Business in the Bank's 2013 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 depository 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 nine months of 2014, there were 14 failures of FDIC-insured institutions nationwide. One of those was a member of the Bank. With no credit exposure outstanding to the Bank, the institution was closed by the Pennsylvania Department of Banking on February 28, 2014. The FDIC was appointed receiver, and it entered into a purchase and assumption agreement with an out-of-district institution to assume all of the deposits and substantially all of the assets of the failed institution.

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

The following table presents the Bank’s top ten borrowers with respect to their TCE at September 30, 2014.

	September 30, 2014
(dollars in millions)	TCE		% of Total
PNC Bank, National Association, DE (1)	$	21,356.8	29.6	%
Santander Bank, N.A, DE (2)	10,747.6		14.9
Chase Bank USA, N.A., DE	9,501.0		13.2
TD Bank, National Association, DE	6,894.9		9.6
Ally Bank, UT (3)	4,301.8		6.0
Citizens Bank of Pennsylvania, PA (4)	2,503.4		3.5
Customers Bank, PA	1,739.1		2.4
Fulton Bank, N.A., PA	1,390.7		1.9
First Commonwealth Bank, PA	1,018.1		1.4
Susquehanna Bank, PA	921.8		1.3
	$	60,375.2	83.8	%
Other borrowers	11,740.2		16.2
Total TCE outstanding	$	72,115.4	100.0	%

Notes:

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

⁽²⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

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

⁽⁴⁾ Citizens Bank of Pennsylvania is a subsidiary of the Royal Bank of Scotland, which is located in the United Kingdom.

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The TCE of the majority of the top ten borrowers was primarily outstanding advance balances at September 30, 2014, 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 September 30, 2014.

	September 30, 2014
(dollars in millions)	Advance Balance		% of Total
PNC Bank, National Association, DE (1)	$	15,085.1	28.6	%
Chase Bank USA, N.A., DE	9,500.0		18.0
Santander Bank, N.A, DE (2)	8,105.0		15.4
Ally Bank, UT (3)	4,300.0		8.2
Customers Bank, PA	1,594.5		3.0
Citizens Bank of Pennsylvania, PA (4)	1,250.0		2.4
First Commonwealth Bank, PA	988.6		1.9
Susquehanna Bank, PA	911.9		1.7
First National Bank of Pennsylvania, PA	850.1		1.6
Northwest Savings Bank, PA	725.4		1.4
	$	43,310.6	82.2	%
Other borrowers	9,362.0		17.8
Total advances	$	52,672.6	100.0	%

Notes:

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

⁽²⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

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

⁽⁴⁾ Citizens Bank of Pennsylvania is a subsidiary of the Royal Bank of Scotland, which is located in the United Kingdom.

The average year-to-date September 30, 2014 balances for the ten largest borrowers totaled $39.4 billion, or 81.0% of total average advances outstanding. During the nine months ended September 30, 2014, the maximum outstanding balance to any one borrower was $15.1 billion. The advances made by the Bank to each of these borrowers are secured by collateral with an estimated value, after collateral weightings, in excess of the book value of the advances. The Bank 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 September 30, 2014 and December 31, 2013. The letter of credit product is collateralized under the same procedures and guidelines that apply to advances.

(dollars in millions)	September 30, 2014		December 31, 2013
Letters of credit:
Public unit deposit	$	18,901.2	$	14,612.3
Tax exempt bonds	—		15.4
Other	23.3		37.6
Total (1)	$	18,924.5	$	14,665.3

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $150.8 million and $154.1 million, respectively.

At September 30, 2014, the Bank had a concentration of letters of credit with two members totaling $13.1 billion or 68.6% of the total outstanding amount. At December 31, 2013, $12.8 billion or 87.1% were concentrated with two members.

Collateral Policies and Practices. All members are required to maintain collateral to secure their TCE. During the third quarter of 2014, the Bank approved the acceptance of certain qualified whole loans as collateral from approved CDFIs. Additional recent revisions to the Bank’s Collateral Policy include acceptance of municipal bonds with a Nationally Recognized Statistical Rating Organization (NRSRO) rating of A or better, as eligible collateral at the following collateral weightings: AAA = 92%, AA = 90% and A = 88%. The securities must have a real estate connection (e.g. include a lien or real

30

estate). Additionally, Resolution Funding Corporation (REFCORP) bonds will be accepted at a 97% collateral weighting. Effective July 1, 2014, collateral acceptance parameters as well as credit risk management procedures related to securities collateral processing and monitoring, were expanded to include certain non-agency residential MBS issued/acquired after July 10, 2007, loans with Small Business Administration guarantees that otherwise comply with all other eligibility requirements, and certain low FICO loans with expanded mitigating factors as approved and determined through the Bank’s quarterly loan listing and market valuation process. Also effective July 1, 2014, the Bank approved the acceptance of mortgage collateral from insurance company members based in Delaware. Refer to the Risk Management section of the Bank's 2013 Form 10-K for additional information related to the Bank’s Collateral Policy.

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 (as applicable) to secure the member’s obligations with the Bank. The member provides a detailed listing, as an addendum to the specific collateral agreement, identifying those assets pledged as collateral. 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 2013 Form 10-K.

For all of the Bank's members, the following table summarizes total eligible collateral values, after collateral weighting, by type under both blanket lien and specific collateral pledge agreements as of September 30, 2014 and December 31, 2013. The amount of excess collateral by individual borrowers varies significantly.

(dollars in millions)	September 30, 2014					December 31, 2013
All members	Amount			Percentage		Amount			Percentage
One-to-four single family residential mortgage loans	$	77,986.4		43.7	%	$	70,295.5		43.6	%
High quality investment securities(1)	6,009.9			3.4		6,874.5			4.3
ORERC(2)/CFIeligible collateral	79,943.8			44.8		72,882.9			45.2
Multi-family residential mortgage loans	14,552.1			8.1		11,142.9			6.9
Total eligible collateral value	$	178,492.2		100.0	%	$	161,195.8		100.0	%
Total TCE	$	72,115.4				$	65,255.3
Collateralization ratio (eligible collateral value to TCE outstanding)	247.5		%			247.0		%

Note:

⁽¹⁾ High quality investment securities are defined in the Collateral section of the Bank's 2013 Form 10-K. In addition, municipal securities with a real estate connection (e.g. include a lien or real estate) and REFCORP bonds have been added to the Bank's definition of high quality investment securities.

⁽²⁾ Other real estate related collateral

For only member borrowers, the following tables present information on a combined basis regarding the type of collateral securing the outstanding credit exposure and the collateral status as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	62,713.1	39.6	%	$	10,432.0	87.9	%	$	293.7	36.3	%	$	73,438.8	42.9	%
High quality investment securities(1)	4,462.6		2.8		1,438.5		12.1		59.5		7.4		5,960.6		3.5
ORERC/CFI eligible collateral	76,900.6		48.5		—		—		433.3		53.6		77,333.9		45.2
Multi-family residential mortgage   loans	14,364.1		9.1		—		—		21.5		2.7		14,385.6		8.4
Total eligible collateral value	$	158,440.4	100.0	%	$	11,870.5	100.0	%	$	808.0	100.0	%	$	171,118.9	100.0	%
Total TCE	$	61,886.0	85.8	%	$	10,175.5	14.1	%	$	53.9	0.1	%	$	72,115.4	100.0	%
Number of members	204		93.2	%	8		3.7	%	7		3.1	%	219		100.0	%

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	December 31, 2013
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	54,268.4	38.9	%	$	10,965.9	88.5	%	$	459.9	33.2	%	$	65,694.2	42.8	%
High quality investment securities(1)	5,329.4		3.8		1,420.3		11.5		43.3		3.1		6,793.0		4.4
ORERC/CFI eligible collateral	69,066.1		49.5		—		—		845.1		61.1		69,911.2		45.6
Multi-family residential mortgage   loans	10,904.5		7.8		—		—		35.9		2.6		10,940.4		7.2
Total eligible collateral value	$	139,568.4	100.0	%	$	12,386.2	100.0	%	$	1,384.2	100.0	%	$	153,338.8	100.0	%
Total TCE	$	54,288.7	83.2	%	$	10,864.1	16.6	%	$	102.4	0.2	%	$	65,255.3	100.0	%
Number of members	200		92.0	%	6		3.0	%	10		5.0	%	216		100.0	%

Note:

⁽¹⁾ High quality investment securities are defined in the Collateral section of the Bank's 2013 Form 10-K. In addition, municipal securities with a real estate connection (e.g. include a lien or real estate) and REFCORP bonds have been added to the Bank's definition of high quality investment securities.

Credit and Counterparty Risk - Investments

Investment Quality and External Credit Ratings. The Bank is also subject to credit risk on investments consisting of money market investments and investment securities. The Bank considers a variety of credit quality factors when analyzing potential investments, including collateral performance, marketability, asset class or sector considerations, local and regional economic conditions, credit ratings based on NRSROs, and/or the financial health of the underlying issuer. As of September 30, 2014 and December 31, 2013, the Bank’s carrying value of investment securities issued by entities other than the U.S. government, Federal agencies or GSEs was $2.0 billion and $2.3 billion, respectively.

The following tables present the Bank’s investment carrying values as of September 30, 2014 and December 31, 2013 based on the lowest long-term credit rating from the NRSROs (Moody’s, S&P and Fitch). Carrying values for AFS and trading securities represent fair value.

	September 30, 2014 (1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below BBB		Total
Money market investments:
Federal funds sold	$	—	$	1,000.0	$	1,700.0	$	80.0	$	—	$	2,780.0
Total money market investments	—		1,000.0		1,700.0		80.0		—		2,780.0
Investment securities:
GSE and TVA obligations	—		3,217.1		—		—		—		3,217.1
State or local agency obligations	13.3		265.2		—		—		—		278.5
Total non-MBS	13.3		3,482.3		—		—		—		3,495.6
Other U.S. obligations residential MBS	—		1,538.6		—		—		—		1,538.6
GSE MBS	—		4,955.8		—		—		—		4,955.8
Private label residential MBS	—		5.0		31.4		290.6		1,411.0		1,738.0
HELOCs	—		—		—		—		12.4		12.4
Total MBS	—		6,499.4		31.4		290.6		1,423.4		8,244.8
Total investments	$	13.3	$	10,981.7	$	1,731.4	$	370.6	$	1,423.4	$	14,520.4

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	December 31, 2013 (1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below BBB		Total
Money market investments:
Federal funds sold	$	—	$	1,300.0	$	1,300.0	$	275.0	$	—	$	2,875.0
Total money market investments	—		1,300.0		1,300.0		275.0		—		2,875.0
Investment securities:
GSE and TVA obligations	—		2,347.0		—		—		—		2,347.0
State or local agency obligations	14.0		242.9		—		—		—		256.9
Total non-MBS	14.0		2,589.9		—		—		—		2,603.9
Other U.S. obligations residential MBS	—		1,820.8		—		—		—		1,820.8
GSE MBS	—		4,540.1		—		—		—		4,540.1
Private label residential MBS	—		12.4		38.0		369.7		1,572.8		1,992.9
HELOCs	—		—		9.7		—		14.4		24.1
Total MBS	—		6,373.3		47.7		369.7		1,587.2		8,377.9
Total investments	$	14.0	$	10,263.2	$	1,347.7	$	644.7	$	1,587.2	$	13,856.8

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 $7.1 million and $6.6 million at September 30, 2014 and December 31, 2013, respectively.

⁽²⁾ Balances exclude a $4.0 million and $4.1 million private label MBS security which was not rated both at September 30, 2014 and December 31, 2013, respectively.

⁽³⁾ Balances exclude total accrued interest of $19.0 million and $19.6 million at September 30, 2014 and December 31, 2013, respectively.

The Bank also manages credit risk based on an internal credit rating system. For purposes of determining the internal credit rating, the Bank measures credit exposure through a process which includes internal credit review and various external factors, including placement of the counterparty on negative watch by one or more NRSROs. For internal reporting purposes, the incorporation of negative credit watch into the credit rating analysis of an investment may translate into a downgrade of one credit rating level from the external rating. The Bank does not rely solely on any NRSRO rating in deriving its final internal credit rating.

Short-term Investments. The Bank maintains a short-term investment portfolio to provide funds to meet the credit needs of its members and to maintain liquidity. The FHLBank Act and Finance Agency regulations set liquidity requirements for the FHLBanks. In addition, the Bank maintains a contingency liquidity plan in the event of operational disruptions at the Bank and the 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 generally have overnight maturities 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;

• 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 which are deemed to be of investment quality. Management actively monitors the credit quality of these counterparties.

As of September 30, 2014, the Bank had unsecured exposure to seven counterparties totaling $2.8 billion, or an average of $397 million per counterparty, with unsecured exposure to five counterparties exceeding 10% of the total exposure.

The following table presents the Banks' unsecured credit exposure with private counterparties by investment type at September 30, 2014 and December 31, 2013. The unsecured investment credit exposure presented may not reflect the average

33

or maximum exposure during the period.

(in millions) Carrying Value (1)
	September 30, 2014		December 31, 2013
Federal funds sold	$	2,780.0	$	2,875.0
Total	$	2,780.0	$	2,875.0

Note:

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

As of September 30, 2014, 79.1% of the Bank’s unsecured investment credit exposure in Federal funds sold were to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing exposures.

Finance Agency regulations include limits on the amount of unsecured credit the Bank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty's overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of the Bank's total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. 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 September 30, 2014, the Bank was in compliance with the regulatory limits established for unsecured credit.

The Bank's unsecured credit exposures to U.S. branches and agency offices of foreign commercial banks include the risk that, as a result of political or economic conditions in a country, the counterparty may be unable to meet its 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.

(in millions)
September 30, 2014 (1) (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	500.0	$	80.0	$	580.0
U.S. branches and agency offices of foreign commercial banks:
Australia	500.0		—		—		500.0
Canada	—		1,000.0		—		1,000.0
Finland	—		200.0		—		200.0
Netherlands	500.0		—		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	1,000.0		1,200.0		—		2,200.0
Total unsecured investment credit exposure	$	1,000.0	$	1,700.0	$	80.0	$	2,780.0

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(in millions)
December 31, 2013 (1) (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	500.0	$	125.0	$	625.0
U.S. subsidiaries of foreign commercial banks	—		—		150.0		150.0
Total domestic and U.S. subsidiaries of foreign commercial banks	—		500.0		275.0		775.0
U.S. branches and agency offices of foreign commercial banks:
Australia	800.0		—		—		800.0
Canada	—		500.0		—		500.0
Netherlands	500.0		—		—		500.0
Norway	—		300.0		—		300.0
Total U.S. branches and agency offices of foreign commercial banks	1,300.0		800.0		—		2,100.0
Total unsecured investment credit exposure	$	1,300.0	$	1,300.0	$	275.0	$	2,875.0

Notes:

⁽¹⁾ Does not reflect any changes in ratings, outlook or watch status occurring after September 30, 2014.

⁽²⁾ These ratings represent the lowest rating available for each security owned by the Bank based on the NRSROs used by the Bank. The Bank’s internal ratings may differ from those obtained from the NRSROs.

⁽³⁾ Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

⁽⁴⁾ Represents the NRSRO rating of the counterparty not the country. There were no AAA rated investments at either September 30, 2014 or December 31, 2013.

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 buying investments that have short-term maturities and are placed with investment counterparties headquartered in countries with a AA or higher NRSRO rating.

(in millions)
September 30, 2014
Carrying Value (1)
Domicile of Counterparty	Overnight (2)		Due 2 days through 30 days		Due 31 days through 90 days		Total
Domestic	$	580.0	$	—	$	—	$	580.0
U.S. branches and agency offices of foreign commercial banks:
Australia	500.0		—		—		500.0
Canada	1,000.0		—		—		1,000.0
Finland	200.0		—		—		200.0
Netherlands	500.0		—		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	2,200.0		—		—		2,200.0
Total unsecured investment credit exposure	$	2,780.0	$	—	$	—	$	2,780.0

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(in millions)
December 31, 2013
Carrying Value (1)
Domicile of Counterparty	Overnight (2)		Due 2 days through 30 days		Due 31 days through 90 days		Total
Domestic	$	625.0	$	—	$	—	$	625.0
U.S. subsidiaries of foreign commercial banks	150.0		—		—		150.0
Total domestic and U.S. subsidiaries of foreign commercial bank	775.0		—		—		775.0
U.S. branches and agency offices of foreign commercial banks:
Australia	800.0		—		—		800.0
Canada	500.0		—		—		500.0
Netherlands	500.0		—		—		500.0
Norway	300.0		—		—		300.0
Total U.S. branches and agency offices of foreign commercial banks	2,100.0		—		—		2,100.0
Total unsecured investment credit exposure	$	2,875.0	$	—	$	—	$	2,875.0

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 September 30, 2014 and December 31, 2013.

The Bank did not have any other overnight securities at September 30, 2014 or December 31, 2013.

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 or U.S government corporations, the Bank invests in and is subject to credit risk related to GSE securities and state and local agency obligations. The Bank maintains a portfolio of U.S. Treasury, U.S. agency and GSE/TVA 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 $3.5 billion and $2.6 billion at September 30, 2014 and December 31, 2013, respectively.

Agency and GSE MBS. The Bank invests in and is subject to credit risk related to MBS issued or guaranteed by Federal agencies and GSEs that are directly supported by underlying mortgage loans. The Bank’s total agency and GSE MBS portfolio increased $133.5 million from December 31, 2013 to $6.5 billion at September 30, 2014. This increase was due to purchases of $852.5 million of AFS securities partially offset by paydowns of $719.0 million.

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 $266.7 million from December 31, 2013 to $1.8 billion at September 30, 2014. This decline was primarily due to repayments, partially offset by an increase in the fair value of private label MBS held as AFS.

The slight increase in prices on OTTI securities during the first nine months of 2014 increased the unrealized gains in AOCI from $77.6 million at December 31, 2013 to $91.7 million as of September 30, 2014. The weighted average price on these OTTI securities increased slightly from 86.0 at December 31, 2013 to 87.5 at September 30, 2014. 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 methodologies as described further in the Critical Accounting Policies section in Item 7. Management’s Discussion and Analysis in the Bank's 2013 Form 10-K.

Approximately 21% of the Bank’s MBS portfolio at September 30, 2014 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.

36

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 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. Refer to Part II, Item 1. Legal Proceedings in this Form 10-Q for additional information on the Bank's litigation.

37

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, collateral type, and the security's credit rating as of September 30, 2014. 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:
AA	$	—		$	—		$	—		$	5.0		$	5.0
A	—			—			—			10.9			10.9
BBB	—			—			22.4			181.9			204.3
Below investment grade:
BB	—			10.6			31.0			122.8			164.4
B	—			—			27.7			91.3			119.0
CCC	—			7.9			6.3			28.3			42.5
CC	—			22.2			5.7			—			27.9
C	18.9			98.7			—			—			117.6
D	227.4			89.3			41.9			—			358.6
Unrated	—			—			—			4.0			4.0
Total	$	246.3		$	228.7		$	135.0		$	444.2		$	1,054.2
Amortized cost	$	187.6		$	196.4		$	126.4		$	441.1		$	951.5
Gross unrealized losses (1)	—			(0.1		)	(3.2		)	(3.0		)	(6.3		)
Fair value	217.3			213.8			129.5			441.1			1,001.7
OTTI (2):
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	—			—			—			—			—
Net OTTI losses, credit portion	$	—		$	—		$	—		$	—		$	—
Weighted average fair value/par	88.2		%	93.5		%	95.9		%	99.3		%	95.0		%
Original weighted average credit support	7.2			8.2			4.5			5.5			6.4
Weighted-average credit support - current	0.1			1.7			7.9			12.6			6.7
Weighted avg. collateral delinquency(3)	13.2			12.6			10.7			9.2			11.1

38

	Private Label MBS by Vintage - Alt-A (3) (4)
(dollars in millions)	2007			2006			2005			2004 and earlier			Total
Par by lowest external long-  term rating:
A	$	—		$	7.2		$	—		$	13.2		$	20.4
BBB	—			—			4.0			79.5			83.5
Below investment grade:
BB	—			—			—			11.8			11.8
B	—			—			27.2			7.7			34.9
CCC	—			77.7			47.1			37.7			162.5
CC	—			—			7.7			1.9			9.6
D	180.3			292.5			48.5			—			521.3
Total	$	180.3		$	377.4		$	134.5		$	151.8		$	844.0
Amortized cost	$	137.0		$	296.8		$	126.4		$	146.2		$	706.4
Gross unrealized losses (1)	—			(1.1		)	(3.0		)	(0.9		)	(5.0		)
Fair value	144.6			322.1			125.4			150.0			742.1
OTTI (2):
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	—			—			—			—			—
Net OTTI losses, credit portion	$	—		$	—		$	—		$	—		$	—
Weighted average fair value/par	80.2		%	85.3		%	93.2		%	98.8		%	87.9		%
Original weighted average credit support	13.3			10.0			6.0			5.2			9.2
Weighted-average credit support - current	0.0			0.3			7.7			21.2			5.4
Weighted avg. collateral delinquency(3)	21.0			17.6			10.7			12.2			16.3

Notes:

⁽¹⁾ Represents total gross unrealized losses including non-credit-related other-than-temporary impairment recognized in AOCI. The unpaid principal balance and amortized cost of private label MBS in a gross unrealized loss position was $477.5 million and $456.4 million, respectively at September 30, 2014.

⁽²⁾ For the nine months ended September 30, 2014.

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

⁽⁴⁾ Includes HELOCs.

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

OTTI. The Bank did not recognize any credit-related OTTI charges in earnings during the nine months ended September 30, 2014 and recognized $0.4 million during the nine months ended September 30, 2013. 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 coordinates with the OTTI Governance Committee to update its OTTI analysis based on actual loan performance and current housing market assumptions in the collateral loss projection models, which generate the estimated cash flows from the Bank’s private label MBS. This process is described in Note 5 - OTTI to the unaudited financial statements included in this Form 10-Q.

39

The Bank’s quarterly OTTI analysis is based on current and forecasted economic trends. Significant assumptions used on the Bank’s private label MBS as part of its third quarter 2014 analysis are presented below.

	Significant Inputs for Private Label Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Prime	15.4	8.7	34.1	5.8
Alt-A	15.6	17.1	37.1	5.2
Subprime	8.4	21.3	58.4	35.6
Total Residential MBS	15.5	12.5	35.5	5.7

The Bank’s life-to-date credit losses are concentrated in its 2006 and 2007 vintage bonds. These vintages represent 92% of life-to-date credit losses, of which 48% relates to Prime and 44% relates to Alt-A, with the remainder in subprime and HELOC. The Bank has recognized life to date OTTI (in millions) as follows:

(dollars in millions)	September 30, 2014			September 30, 2013
Number of PLMBS with an OTTI charge:
Life-to-date	57			57
Still outstanding	45			49
Total OTTI credit loss recorded life-to-date	$	454.0		$	454.0
Principal write-downs on PLMBS	(115.2		)	(94.2		)
Credit losses on PLMBS no longer owned:
PLMBS sold (1)	(106.0		)	(106.0		)
PLMBS matured (less principal write-downs realized)	(4.4		)	(1.1		)
Remaining amount of previously recognized OTTI credit losses	$	228.4		$	252.7

Notes:

⁽¹⁾ The Bank recognized a gain in previous years of $15.6 million on the sale of these securities.

The table above excludes recoveries of OTTI through interest income, which occur if there is a significant increase in estimated cash flows whereby the Bank increases the yield on the Bank’s investment and recognizes recovery as interest income over the life of the investment. Recovery of OTTI through interest income was $5.8 million and $2.7 million for the third quarter of 2014 and 2013, respectively; $17.6 million and $7.0 million for the first nine months of 2014 and 2013, respectively; and $53.5 million life-to-date. The same private label MBS can have multiple increases in cash flows that are deemed to be significant.

The Bank transfers private label MBS from HTM to AFS when an OTTI credit loss is recorded on a security. The Bank believes that a credit loss constitutes evidence of deterioration in the credit quality of the security. The Bank believes that the transfer increases its flexibility to potentially sell other-than-temporarily-impaired securities if it makes economic sense. There were no transfers during the first nine months of 2014 and 2013.

Management will continue to evaluate all impaired securities, including those private label MBS on which OTTI has been recorded. Material credit losses have occurred on private label MBS and may occur in the future. The specific amount of credit losses will depend on the actual performance of the underlying loan collateral as well as the Bank’s future modeling assumptions. 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 which was agreed to by the OTTI Governance Committee that represented meaningful, plausible and more adverse external assumptions. This more adverse scenario decreases the short-term forecast by five percentage points, and slows housing price recovery rates 33%.The adverse scenario estimated cash flows were generated using the same model (Prime, Alt-A or subprime) as the base scenario. Using a model with more severe assumptions could increase the estimated credit loss recorded by the Bank. The securities included in this stress scenario were only those that were in an unrealized loss position at September 30, 2014. Additionally, the maximum credit loss under the adverse case was limited to the amount of the security's unrealized loss. The adverse case housing price forecast is not

40

management’s current best estimate of cash flows and is therefore not used as a basis for determining OTTI. The results of the analysis were immaterial for the three months ended September 30, 2014.

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 $3.1 billion and $3.2 billion at September 30, 2014 and December 31, 2013, respectively, after an allowance for credit losses of $7.7 million and $11.4 million, respectively.

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to 10 mortgage insurance companies which provide PMI and/or Supplemental Mortgage Insurance (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 Bank's approved mortgage insurance company list whenever PMI coverage is required.

None of the Bank’s mortgage insurers currently maintain a rating by at least one NRSRO of A or better. Given the credit deterioration of PMI providers, the estimate of the allowance for credit losses includes projected reduced claim payments. As required by the MPF Program, for 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 September 30, 2014, 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 September 30, 2014, $60.4 million of SMI exposure had been secured by two PFIs.

The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of September 30, 2014 was $13.8 million and $5.6 million, respectively. As of December 31, 2013, these amounts were $18.9 million and $7.5 million, respectively.

BOB Loans. The Bank's BOB loan program is targeted to small businesses in the Bank's district to assist in the growth and development of small businesses, including both start-up and expansion. The Bank makes funds available to members to extend credit to an approved small business borrower, thereby enabling small businesses to qualify for credit that otherwise may not be available. See Item 1. Business in the Bank's 2013 Form 10-K for additional information about the BOB loan program. The allowance for credit losses on BOB loans was $2.0 million and $2.2 million at September 30, 2014 and December 31, 2013, respectively.

Derivative Counterparties. 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. Over-the-counter derivative transactions may be either executed with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (Clearing Houses). The latter two types are derivatives referred to as cleared derivatives. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

The Bank is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions. The amount of credit risk on derivatives depends on the extent to which netting procedures, collateral requirements and other credit enhancements are used and are effective in mitigating the risk. The Bank manages credit risk through credit analysis, collateral management, and other credit enhancements.

Bilateral Derivatives. The Bank is subject to non-performance by counterparties to its bilateral derivative transactions. The Bank requires collateral on bilateral derivative transactions. The amount of net unsecured credit exposure that is permissible with respect to each counterparty depends on the credit rating of that counterparty. A counterparty must deliver collateral to the Bank if the total market value of the Bank's exposure to that counterparty rises above a specific trigger point. As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its bilateral derivative transactions with counterparties as of September 30, 2014.

41

Cleared Derivatives. The Bank is subject to credit risk due to non-performance by the Clearing Houses and clearing agent. The requirement that the Bank post initial and variation margin, through the clearing agent, to the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The Bank's use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of September 30, 2014.

The contractual or notional amount of derivative transactions reflects the involvement of the Bank in the various classes of financial instruments. The maximum credit risk of the Bank with respect to derivative transactions is the estimated cost of replacing the derivative transactions if there is a default, minus the value of any related collateral, including initial and variation margin. In determining maximum credit risk, the Bank considers accrued interest receivables and payables as well as the netting requirements to net assets and liabilities. The following table presents the derivative positions with non-member counterparties and member institutions to which the Bank has credit exposure at September 30, 2014 and December 31, 2013.

(in millions)	September 30, 2014
Credit Rating (1)	Notional Amount		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged To (From) Counterparties		Non-cash Collateral Pledged To (From) Counterparties		Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit    exposure:
Bilateral derivatives
AA	$	300.0	$	3.7		$	—	$	—	$	3.7
A	195.0		1.1			—		—		1.1
Liability positions with credit    exposure:
A	195.0		(1.8		)	2.0		—		0.2
Cleared derivatives (2)	16,582.1		(130.6		)	171.7		—		41.1
Total derivative positions with credit exposure to non-member counterparties	17,272.1		(127.6		)	173.7		—		46.1
Member institutions (3)	26.9		0.5			—		—		0.5
Total	$	17,299.0	$	(127.1	)	$	173.7	$	—	$	46.6
Derivative positions without credit exposure	24,351.8
Total notional	$	41,650.8

42

(in millions)	December 31, 2013
Credit Rating (1)	Notional Amount		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged To (From) Counterparties			Non-cash Collateral Pledged To (From) Counterparties			Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit    exposure:
Bilateral derivatives
AA	$	300.0	$	9.6		$	—		$	—		$	9.6
A	3,550.5		22.5			(4.8		)	(13.8		)	3.9
Cleared derivatives (2)	10,035.1		8.5			(2.7		)	—			5.8
Liability positions with credit exposure:
A	3,724.0		(132.3		)	133.4			—			1.1
Cleared derivatives (2)	—		—			25.6			—			25.6
Total derivative positions with credit exposure to non-member counterparties	17,609.6		(91.7		)	151.5			(13.8		)	46.0
Member institutions (3)	12.3		0.2			—			—			0.2
Total	$	17,621.9	$	(91.5	)	$	151.5		$	(13.8	)	$	46.2
Derivative positions without credit exposure	19,629.8
Total notional	$	37,251.7

Notes:

⁽¹⁾ This table does not reflect any changes in rating, outlook or watch status occurring after September 30, 2014 . The ratings presented in this table represent the lowest long-term counterparty credit rating available for each counterparty based on the NRSRO's used by the Bank.

⁽²⁾ Represents derivative transactions cleared through Clearing Houses, which are not rated.

⁽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.

The following tables summarize the Bank’s bilateral derivative counterparties which represent more than 10% of the Bank’s total notional amount outstanding and net credit exposure as of September 30, 2014 and December 31, 2013.

Notional Greater Than 10%	September 30, 2014				December 31, 2013
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Deutsche Bank AG	A	$	5,317.1	21.2	A	$	5,751.1	21.1
JP Morgan Chase Bank, NA	A	3,256.9		13.0	A	3,366.9		12.4
Morgan Stanley Capital	BBB	3,749.2		15.0	(1)	(1)		(1)
Credit Suisse International	(1)	(1)		(1)	A	3,284.0		12.1
BNP Paribas	(1)	(1)		(1)	A	2,738.7		10.1
All others	n/a	12,745.5		50.8	n/a	12,075.9		44.3
Total		$	25,068.7	100.0		$	27,216.6	100.0

43

Net Credit Exposure   Greater Than 10%	September 30, 2014				December 31, 2013
(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	$	3.7	68.3	AA	$	9.6	65.0
HSBC Bank USA, NA	A	1.1		20.2	A	3.1		20.8
All others	n/a	0.7		11.5	n/a	2.1		14.2
Total		$	5.5	100.0		$	14.8	100.0

Notes:

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

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

(in millions)	September 30, 2014						December 31, 2013
Country of Counterparty	Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged by the Bank		Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged by the Bank
Switzerland	$	76.5	$	76.5	$	76.1	$	126.1	$	126.1	$	126.3
United Kingdom	26.1		21.1		20.4		41.7		36.7		37.4
Germany	40.1		25.1		26.3		86.9		71.9		71.3
Total	$	142.7	$	122.7	$	122.8	$	254.7	$	234.7	$	235.0

Note: The average maturity of these derivative contracts is January 2019 and February 2019 at September 30, 2014 and December 31, 2013, respectively. Collateral Obligation (Net Exposure) is defined as Market Value of Total Exposure minus delivery threshold and minimum collateral transfer requirements.

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

(in millions)	September 30, 2014						December 31, 2013
Country of Counterparty	Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged to the Bank		Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged to the Bank
France	$	3.1	$	3.1	$	6.1	$	4.4	$	4.4	$	4.8
United Kingdom	10.5		9.3		9.2		9.6		8.6		13.1
Total	$	13.6	$	12.4	$	15.3	$	14.0	$	13.0	$	17.9

Note: The average maturity of these derivative contracts is March 2019 and December 2018 at September 30, 2014 and December 31. 2013, 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 2013 Form 10-K.

Consolidated obligations bonds and discount notes are rated Aaa with stable outlook/P-1 by Moody’s and AA+ with stable outlook/A-1+ by S&P, as of September 30, 2014. These ratings measure the likelihood of timely payment of principal and interest. At September 30, 2014, the Bank’s consolidated obligation bonds outstanding increased to $39.9 billion compared to

44

$37.7 billion at December 31, 2013. 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 September 30, 2014 increased to $31.5 billion compared to $28.2 billion at December 31, 2013, primarily due to an increase in advance activity. During the first nine months of 2014, short-term funding spreads remained relatively stable. Long-term funding spreads improved considerably as the unfavorable market conditions present in the latter half of 2013 began to recede. Consolidated obligation 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 September 30, 2014, callable bonds issued by the Bank were $14.3 billion, up approximately $3.1 billion from December 31, 2013. Note 10 - Consolidated Obligations 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 September 30, 2014.

Contingency Liquidity. In their asset/liability management planning, members may look to the Bank to provide standby liquidity. The Bank seeks to be in a position to meet its customers’ credit and liquidity needs without maintaining excessive holdings of low-yielding liquid investments or being forced to incur unnecessarily high borrowing costs. To satisfy these requirements and objectives, the Bank’s primary sources of liquidity are the issuance of new consolidated obligation bonds and discount notes and short-term investments, such as Federal funds sold and overnight securities purchased under agreements to resell. At September 30, 2014 and December 31, 2013, excess contingency liquidity was approximately $22.2 billion and $13.8 billion, respectively.

Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2013 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 - Consolidated Obligations of the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2013 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 these 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. in the Bank's 2013 Form 10-K.

45

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statement of Income (unaudited)

	Three months ended September 30,						Nine months ended September 30,
(in thousands, except per share amounts)	2014			2013			2014			2013
Interest income:
Advances	$	66,127		$	55,559		$	188,121		$	167,858
Prepayment fees on advances, net	947			9			5,848			2,124
Interest-bearing deposits	90			112			270			368
Securities purchased under agreements to resell	25			14			46			848
Federal funds sold	1,029			726			2,688			3,325
Trading securities	1,948			9			5,715			72
Available-for-sale (AFS) securities	34,594			30,399			102,427			87,964
Held-to-maturity (HTM) securities	17,977			23,298			57,203			75,461
Mortgage loans held for portfolio	31,986			34,200			98,216			107,463
Total interest income	154,723			144,326			460,534			445,483
Interest expense:
Consolidated obligations - discount notes	6,281			3,677			17,881			13,445
Consolidated obligations - bonds	76,046			92,783			242,051			295,424
Mandatorily redeemable capital stock	12			317			46			1,336
Deposits	54			55			166			269
Other borrowings	—			3			4			14
Total interest expense	82,393			96,835			260,148			310,488
Net interest income	72,330			47,491			200,386			134,995
Provision (benefit) for credit losses	(426		)	(682		)	(3,888		)	(2,025		)
Net interest income after provision (benefit) for credit losses	72,756			48,173			204,274			137,020
Other noninterest income (loss):
Total OTTI losses (Note 5)	—			—			—			—
OTTI losses reclassified (from) AOCI (Note 5)	—			—			—			(442		)
Net OTTI losses, credit portion (Note 5)	—			—			—			(442		)
Net gains (losses) on trading securities (Note 2)	(47		)	166			16,534			449
Net realized (loss) from sales of AFS securities (Note 3)	—			(41		)	—			(41		)
Net gains (losses) on derivatives and hedging activities (Note 9)	247			5,396			(18,455		)	14,132
Net gains on extinguishment of debt	—			9,665			—			9,665
Gains on litigation settlements, net	14,123			—			50,733			1,482
Standby letters of credit fees	4,414			2,086			12,377			5,819
Other, net	482			537			2,187			1,473
Total other noninterest income	19,219			17,809			63,376			32,537
Other expense:
Compensation and benefits	9,428			9,232			28,924			28,372
Other operating	6,215			6,698			19,937			19,847
Finance Agency	984			795			3,217			2,761
Office of Finance	886			907			2,760			2,708
Total other expense	17,513			17,632			54,838			53,688
Income before assessments	74,462			48,350			212,812			115,869
Affordable Housing Program (AHP) assessment	7,447			4,866			21,285			11,720
Net income	$	67,015		$	43,484		$	191,527		$	104,149
Earnings per share:
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	30,234			27,005			29,131			27,649
Basic and diluted earnings per share	$	2.22		$	1.61		$	6.57		$	3.77
Dividends per share	$	0.93		$	0.26		$	2.52		$	0.41

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 September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Net income	$	67,015		$	43,484		$	191,527		$	104,149
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities:
Unrealized gains (losses)	(5,656		)	(7,115		)	49,568			(59,301		)
Reclassification of losses included in net income	—			41			—			41
Total net unrealized gains (losses) on AFS	(5,656		)	(7,074		)	49,568			(59,260		)
Net non-credit portion of OTTI gains (losses) on AFS securities:
Net change in fair value of OTTI securities	(378		)	1,228			2,594			24,595
Unrealized gains (losses)	(4,523		)	1,706			11,498			23,147
Reclassification of non-credit portion included in net income	—			—			—			442
Total net non-credit portion of OTTI gains (losses) on AFS     securities	(4,901		)	2,934			14,092			48,184
Reclassification of net losses (gains) included in net income     relating to hedging activities	(7		)	—			(8		)	1
Pension and post-retirement benefits	41			80			120			131
Total other comprehensive income (loss)	(10,523		)	(4,060		)	63,772			(10,944		)
Total comprehensive income	$	56,492		$	39,424		$	255,299		$	93,205

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

47

Federal Home Loan Bank of Pittsburgh

Statement of Condition (unaudited)

(in thousands)	September 30, 2014		December 31, 2013
ASSETS
Cash and due from banks	$	5,508,402	$	3,121,345
Interest-bearing deposits	5,425		7,795
Federal funds sold	2,780,000		2,875,000
Investment securities:
Trading securities (Note 2)	275,630		239,190
AFS securities, at fair value, including zero and $79,233 pledged as collateral    that may be repledged, respectively (Note 3)	8,036,697		6,757,717
HTM securities; fair value of $3,482,390 and $4,034,830, respectively (Note 4)	3,439,240		3,995,530
Total investment securities	11,751,567		10,992,437
Advances (Note 6)	53,054,260		50,247,435
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of     $7,710 and $11,359, respectively (Note 8)	3,116,285		3,224,091
Banking on Business (BOB) loans, net of allowance for credit losses of     $1,980 and $2,231, respectively (Note 8)	11,524		11,400
Accrued interest receivable	85,580		95,374
Premises, software and equipment, net	11,068		11,136
Derivative assets (Note 9)	52,857		59,973
Other assets	22,761		24,933
Total assets	$	76,399,729	$	70,670,919

48

Federal Home Loan Bank of Pittsburgh

Statement of Condition (unaudited)

(continued)

(in thousands, except par value)	September 30, 2014		December 31, 2013
LIABILITIES AND CAPITAL
Liabilities
Deposits:
Interest-bearing	$	625,725	$	660,598
Noninterest-bearing	40,209		33,754
Total deposits	665,934		694,352
Consolidated obligations, net: (Note 10)
Discount notes	31,536,630		28,236,257
Bonds	39,889,114		37,698,302
Total consolidated obligations, net	71,425,744		65,934,559
Mandatorily redeemable capital stock (Note 11)	769		40
Accrued interest payable	140,792		97,689
Affordable Housing Program payable	52,009		36,353
Derivative liabilities (Note 9)	95,157		177,488
Other liabilities	28,096		38,236
Total liabilities	72,408,501		66,978,717
Commitments and contingencies (Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding      30,794 and 29,622 shares	3,079,331		2,962,143
Retained earnings:
Unrestricted	705,396		625,636
Restricted	98,389		60,083
Total retained earnings	803,785		685,719
Accumulated other comprehensive income (AOCI)	108,112		44,340
Total capital	3,991,228		3,692,202
Total liabilities and capital	$	76,399,729	$	70,670,919

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

49

Federal Home Loan Bank of Pittsburgh

Statement of Cash Flows (unaudited)

	Nine months ended September 30,
(in thousands)	2014			2013
OPERATING ACTIVITIES
Net income	$	191,527		$	104,149
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	(42,779		)	(27,633		)
Change in net fair value adjustment on derivative and hedging activities	22,084			(23,170		)
Net OTTI credit losses	—			442
Gains on extinguishment of debt	—			(9,665		)
Other adjustments	(4,596		)	(1,985		)
Net change in:
Trading securities	(46,331		)	331,724
Accrued interest receivable	9,791			7,688
Other assets	(813		)	800
Accrued interest payable	43,104			36,217
Other liabilities	15,499			8,643
Total adjustments	(4,041		)	323,061
Net cash provided by operating activities	$	187,486		$	427,210
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $2,370 and $7,084  from other FHLBanks for mortgage loan program)	$	81,701		$	(157,297	)
Securities purchased under agreements to resell	—			2,250,000
Federal funds sold	95,000			890,000
AFS securities:
Proceeds (include $19,909 from sale of AFS securities in 2013)	1,207,035			1,309,600
Purchases	(2,394,916		)	(2,315,345		)
HTM securities:
Net change in short-term	—			50,000
Proceeds from long-term maturities	556,382			1,026,885
Advances:
Proceeds	501,899,423			185,636,427
Made	(504,858,178		)	(184,868,258		)
Mortgage loans held for portfolio:
Proceeds	345,376			630,559
Purchases	(246,119		)	(390,652		)
Proceeds from sales of foreclosed assets	14,117			18,432
Premises, software and equipment:
Proceeds from sale	900			—
Purchases	(3,543		)	(2,091		)
Net cash (used in) provided by investing activities	$	(3,302,822	)	$	4,078,260

50

Federal Home Loan Bank of Pittsburgh

Statement of Cash Flows (unaudited)

(continued)

	Nine months ended September 30,
(in thousands)	2014			2013
FINANCING ACTIVITIES
Net change in:
Deposits and pass-through reserves	$	(17,774	)	$	(243,104	)
Net payments for derivative contracts with financing element	(24,547		)	(24,152		)
Net proceeds from issuance of consolidated obligations:
Discount notes	91,599,894			194,551,475
Bonds	14,440,509			21,153,447
Payments for maturing and retiring consolidated obligations:
Discount notes	(88,300,364		)	(196,715,749		)
Bonds	(12,239,781		)	(20,743,774		)
Proceeds from issuance of capital stock	1,355,404			933,991
Payments for repurchase/redemption of mandatorily redeemable   capital stock	(7,693		)	(432,224		)
Payments for repurchase/redemption of capital stock	(1,229,794		)	(1,261,637		)
Cash dividends paid	(73,461		)	(11,283		)
Net cash provided by (used in) financing activities	$	5,502,393		$	(2,793,010	)
Net increase in cash and cash equivalents	$	2,387,057		$	1,712,460
Cash and cash equivalents at beginning of the period	3,121,345			1,350,594
Cash and cash equivalents at end of the period	$	5,508,402		$	3,063,054
Supplemental disclosures:
Interest paid	$	246,640		$	308,684
AHP payments	5,629			2,823
Transfers of mortgage loans to real estate owned	11,215			13,315

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, 2012	28,160		$	2,815,965		$	528,767		$	30,508	$	559,275		$	53,705		$	3,428,945
Issuance of capital stock	9,340		933,991			—			—		—			—			933,991
Repurchase/redemption of capital stock	(12,617	)	(1,261,637		)	—			—		—			—			(1,261,637		)
Net shares reclassified to mandatorily    redeemable capital stock	(7	)	(698		)	—			—		—			—			(698		)
Comprehensive income	—		—			83,319			20,830		104,149			(10,944		)	93,205
Cash dividends	—		—			(11,211		)	—		(11,211		)	—			(11,211		)
September 30, 2013	24,876		$	2,487,621		$	600,875		$	51,338	$	652,213		$	42,761		$	3,182,595

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI		Total Capital
December 31, 2013	29,622		$	2,962,143		$	625,636		$	60,083	$	685,719		$	44,340	$	3,692,202
Issuance of capital stock	13,554		1,355,404			—			—		—			—		1,355,404
Repurchase/redemption of capital stock	(12,298	)	(1,229,794		)	—			—		—			—		(1,229,794		)
Net shares reclassified to mandatorily    redeemable capital stock	(84	)	(8,422		)	—			—		—			—		(8,422		)
Comprehensive income	—		—			153,221			38,306		191,527			63,772		255,299
Cash dividends	—		—			(73,461		)	—		(73,461		)	—		(73,461		)
September 30, 2014	30,794		$	3,079,331		$	705,396		$	98,389	$	803,785		$	108,112	$	3,991,228

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

52

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 membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock.

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

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to 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 Federal Home Loan Bank Act (FHLBank Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare and issue 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. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2013 included in the Bank's 2013 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 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any credit enhancements, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 8 - Allowance for Loan Losses for more information.

The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank plans to adopt the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans will be eliminated and the corresponding recorded investment in the loan will be reduced by the amounts that are charged-off, unless it is expected to be recovered through credit enhancement (CE), for which the Bank will recognize a CE Fee Receivable. Under the Bank’s existing accounting practices and upon adoption of the Advisory Bulletin, the ultimate amount of losses realized on the Bank’s loan portfolio will be the same over time; however, the timing of when the Bank recognizes the losses in its financial statements will differ.

The Bank does not expect the adoption of the charge-off provisions of the Advisory Bulletin to have a material impact on its 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 was effective for the Bank beginning January 1, 2014. The Bank's joint and several obligation associated with its consolidated obligations is within the scope of this guidance. However, this guidance had no impact on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance clarifying when a loan should be de-recognized and the related real estate property recognized. This guidance will allow the Bank to recognize properties as real estate owned once the borrower has voluntarily conveyed its interest in the property to the Bank through a deed in lieu of foreclosure or similar agreement. This guidance, which will be effective for the Bank beginning January 1, 2015, will not impact the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2017, is not expected to materially impact the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.In June 2014, the FASB issued guidance amending the accounting for certain repurchase agreements, including repurchase-to-maturity transactions and repurchase financing transactions. The guidance will also require expanded disclosures for transactions accounted for as secured borrowings and sales. This guidance, which will be effective for the Bank beginning January 1, 2015, is not expected to have a material impact on the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

54

Notes to Financial Statements (continued)

Classification of Certain Government Insured Residential Mortgage Loans upon Foreclosure. In August 2014, the FASB issued guidance to limit diversity in practice for classification of certain mortgage loans backed by a government guarantee upon foreclosure. Upon foreclosure, the mortgage loan should be de-recognized and a separate other receivable recognized for the amount of the loan balance expected to be recovered from the guarantor. This guidance, which will be effective for the Bank beginning January 1, 2015, is not expected to impact the Bank 's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Going Concern. In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed on its December 31, 2016 financial information.

Note 2 – Trading Securities

The following table presents trading securities as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Non-MBS:
Mutual funds	$	5,121	$	4,576
GSE and Tennessee Valley Authority (TVA) obligations	270,509		234,614
Total	$	275,630	$	239,190

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 $5.2 million and $4.7 million at September 30, 2014 and December 31, 2013, respectively, as reported in Other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014			2013		2014		2013
Net unrealized gains (losses) on trading securities held at period-end	$	(47	)	$	166	$	16,448	$	484
Net realized gains (losses) on securities sold/matured during the period	—			—		86		(35		)
Net gains (losses) on trading securities	$	(47	)	$	166	$	16,534	$	449

55

Notes to Financial Statements (continued)

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

The following tables present AFS securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,920,807		—			17,250		(5,119		)	2,932,938
State or local agency obligations	62,081		—			184		(1,034		)	61,231
Total non-MBS	$	2,984,881	$	—		$	17,439	$	(6,153	)	$	2,996,167
MBS:
Other U.S. obligations residential MBS	$	342,749	$	—		$	222	$	(243	)	$	342,728
GSE MBS (3)	3,666,425		—			18,683		(12,664		)	3,672,444
Private label MBS:
Private label residential MBS	924,189		(1,129		)	90,138		(196		)	1,013,002
HELOCs	9,631		(53		)	2,778		—			12,356
Total private label MBS	933,820		(1,182		)	92,916		(196		)	1,025,358
Total MBS	$	4,942,994	$	(1,182	)	$	111,821	$	(13,103	)	$	5,040,530
Total AFS securities	$	7,927,875	$	(1,182	)	$	129,260	$	(19,256	)	$	8,036,697

	December 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,103,847		—			1,160		(8,830		)	2,096,177
State or local agency obligations	15,430		—			35		(1,422		)	14,043
Total non-MBS	$	2,121,270	$	—		$	1,200	$	(10,252	)	$	2,112,218
MBS:
Other U.S. obligations residential MBS	$	386,169	$	—		$	27	$	(900	)	$	385,296
GSE MBS (3)	3,144,543		—			11,389		(33,781		)	3,122,151
Private label MBS:
Private label residential MBS	1,048,893		(3,723		)	78,618		(164		)	1,123,624
HELOCs	11,681		(109		)	2,856		—			14,428
Total private label MBS	1,060,574		(3,832		)	81,474		(164		)	1,138,052
Total MBS	$	4,591,286	$	(3,832	)	$	92,890	$	(34,845	)	$	4,645,499
Total AFS securities	$	6,712,556	$	(3,832	)	$	94,090	$	(45,097	)	$	6,757,717

Notes:

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

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

⁽³⁾ Includes amortized cost of $2.9 billion of 1-4 family MBS and $0.8 billion of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $2.3 billion and $0.8 billion.

The Bank has established a Rabbi trust to secure a portion of the benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds as disclosed above. These obligations were $5.7 million and $5.4 million at September 30, 2014 and December 31, 2013, respectively as reported in Other liabilities in the Statement of Condition.

56

Notes to Financial Statements (continued)

As of September 30, 2014, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.3 million, credit losses of $228.5 million and OTTI-related accretion adjustments of $7.8 million. As of December 31, 2013, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.4 million and credit losses of $246.1 million and OTTI-related accretion adjustments of $1.4 million.

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Non-credit portion of OTTI losses	$	(1,182	)	$	(3,832	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	92,916			81,474
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	91,734		$	77,642

The following tables summarize the AFS securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,489,611	$	(4,219	)	$	222,906	$	(900	)	$	1,712,517	$	(5,119	)
State or local agency obligations	10,122		(428		)	11,880		(606		)	22,002		(1,034		)
Total non-MBS	$	1,499,733	$	(4,647	)	$	234,786	$	(1,506	)	$	1,734,519	$	(6,153	)
MBS:
Other U.S. obligations residential MBS	$	—	$	—		$	137,398	$	(243	)	$	137,398	$	(243	)
GSE MBS	248,935		(997		)	485,793		(11,667		)	734,728		(12,664		)
Private label:
Private label residential MBS	43,311		(145		)	50,463		(1,180		)	93,774		(1,325		)
HELOCs	—		—			1,534		(53		)	1,534		(53		)
Total private label MBS	43,311		(145		)	51,997		(1,233		)	95,308		(1,378		)
Total MBS	$	292,246	$	(1,142	)	$	675,188	$	(13,143	)	$	967,434	$	(14,285	)
Total	$	1,791,979	$	(5,789	)	$	909,974	$	(14,649	)	$	2,701,953	$	(20,438	)

57

Notes to Financial Statements (continued)

	December 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 and TVA obligations	$	1,350,088	$	(8,830	)	$	—	$	—		$	1,350,088	$	(8,830	)
State or local agency obligations	3,994		(456		)	8,664		(966		)	12,658		(1,422		)
Total non-MBS	$	1,354,082	$	(9,286	)	$	8,664	$	(966	)	$	1,362,746	$	(10,252	)
MBS:
Other U.S. obligations residential MBS	$	317,394	$	(806	)	$	28,803	$	(94	)	$	346,197	$	(900	)
GSE MBS	1,142,806		(33,495		)	64,515		(286		)	1,207,321		(33,781		)
Private label:
Private label residential MBS	66,847		(648		)	42,306		(3,239		)	109,153		(3,887		)
HELOCs	—		—			1,679		(109		)	1,679		(109		)
Total private label MBS	66,847		(648		)	43,985		(3,348		)	110,832		(3,996		)
Total MBS	$	1,527,047	$	(34,949	)	$	137,303	$	(3,728	)	$	1,664,350	$	(38,677	)
Total	$	2,881,129	$	(44,235	)	$	145,967	$	(4,694	)	$	3,027,096	$	(48,929	)

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. Refer to description in Note 4 - Held-to-Maturity Securities. The Bank transferred no private label MBS from HTM to AFS during the first nine months of 2014 and 2013.

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,980	$	302,208	$	201,992	$	202,104
Due after one year through five years	1,843,749		1,839,334		1,226,635		1,223,399
Due after five years through ten years	608,649		619,890		524,313		521,278
Due in more than ten years	230,503		234,735		168,330		165,437
AFS securities excluding MBS	2,984,881		2,996,167		2,121,270		2,112,218
MBS	4,942,994		5,040,530		4,591,286		4,645,499
Total AFS securities	$	7,927,875	$	8,036,697	$	6,712,556	$	6,757,717

58

Notes to Financial Statements (continued)

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	2,565,185	$	1,536,763
Variable-rate	419,696		584,507
Total non-MBS	$	2,984,881	$	2,121,270
Amortized cost of AFS MBS:
Fixed-rate	$	2,054,209	$	2,155,940
Variable-rate	2,888,785		2,435,346
Total MBS	$	4,942,994	$	4,591,286
Total amortized cost of AFS securities	$	7,927,875	$	6,712,556

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.

Realized Losses on AFS Securities. The following table provides a summary of proceeds and gross losses on sale of one AFS security for the three and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014		2013			2014		2013
Proceeds from sale of AFS securities	$	—	$	19,909		$	—	$	19,909
Gross losses on AFS securities	—		(41		)	—		(41		)

59

Notes to Financial Statements (continued)

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

The following tables present HTM securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,612	$	485	$	—		$	14,097
State or local agency obligations	217,274		3,227		(12,382		)	208,119
Total non-MBS	$	230,886	$	3,712	$	(12,382	)	$	222,216
MBS:
Other U.S. obligations residential MBS	$	1,195,934	$	8,145	$	—		$	1,204,079
GSE MBS (1)	1,283,406		49,256		(58		)	1,332,604
Private label residential MBS	729,014		4,529		(10,052		)	723,491
Total MBS	$	3,208,354	$	61,930	$	(10,110	)	$	3,260,174
Total HTM securities	$	3,439,240	$	65,642	$	(22,492	)	$	3,482,390

	December 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	16,220	$	721	$	—		$	16,941
State or local agency obligations	242,934		3,817		(10,753		)	235,998
Total non-MBS	$	259,154	$	4,538	$	(10,753	)	$	252,939
MBS:
Other U.S. obligations residential MBS	$	1,435,458	$	8,869	$	(15	)	$	1,444,312
GSE MBS (1)	1,417,926		49,097		(215		)	1,466,808
Private label MBS:
Private label residential MBS	873,325		4,300		(15,732		)	861,893
HELOCs	9,667		—		(789		)	8,878
Total private label MBS	882,992		4,300		(16,521		)	870,771
Total MBS	$	3,736,376	$	62,266	$	(16,751	)	$	3,781,891
Total HTM securities	$	3,995,530	$	66,804	$	(27,504	)	$	4,034,830

Notes:

⁽¹⁾ Includes $451.3 million of 1-4 family MBS and $832.1 million of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million.

60

Notes to Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	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	$	4,029	$	(61	)	$	122,774	$	(12,321	)	$	126,803	$	(12,382	)
MBS:
GSE MBS	$	—	$	—		$	11,774	$	(58	)	$	11,774	$	(58	)
Private label:
Private label residential MBS	136,055		(474		)	217,297		(9,578		)	353,352		(10,052		)
Total MBS	$	136,055	$	(474	)	$	229,071	$	(9,636	)	$	365,126	$	(10,110	)
Total	$	140,084	$	(535	)	$	351,845	$	(21,957	)	$	491,929	$	(22,492	)

	December 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	$	18,367	$	(271	)	$	132,463	$	(10,482	)	$	150,830	$	(10,753	)
MBS:
Other U.S. obligations residential MBS	$	37,984	$	(15	)	$	—	$	—		$	37,984	$	(15	)
GSE MBS	93,356		(112		)	13,369		(103		)	106,725		(215		)
Private label:
Private label residential MBS	292,159		(3,829		)	197,089		(11,903		)	489,248		(15,732		)
HELOCs	—		—			8,878		(789		)	8,878		(789		)
Total private label MBS	292,159		(3,829		)	205,967		(12,692		)	498,126		(16,521		)
Total MBS	$	423,499	$	(3,956	)	$	219,336	$	(12,795	)	$	642,835	$	(16,751	)
Total	$	441,866	$	(4,227	)	$	351,799	$	(23,277	)	$	793,665	$	(27,504	)

Securities Transferred. The Bank had no transfers of securities from HTM to AFS during the first nine months of 2014 and 2013.

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.

61

Notes to Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due after one year through five years	$	17,702	$	18,125	$	16,221	$	16,941
Due after five years through ten years	35,757		37,135		40,043		41,530
Due after ten years	177,427		166,956		202,890		194,468
HTM securities excluding MBS	230,886		222,216		259,154		252,939
MBS	3,208,354		3,260,174		3,736,376		3,781,891
Total HTM securities	$	3,439,240	$	3,482,390	$	3,995,530	$	4,034,830

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	73,026	$	96,569
Variable-rate	157,860		162,585
Total non-MBS	$	230,886	$	259,154
Amortized cost of HTM MBS:
Fixed-rate	$	1,154,591	$	1,303,424
Variable-rate	2,053,763		2,432,952
Total MBS	$	3,208,354	$	3,736,376
Total HTM securities	$	3,439,240	$	3,995,530

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 (OTTI)

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, which could be up to the difference between the security's amortized cost basis and its fair value, and records any difference in its Statement of Income. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2013 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - Other-than-Temporary ImpairmentAnalysis to the audited financial statements in the Bank’s 2013 Form 10-K.

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the third quarter of 2014, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 9.0% over the 12 month period beginning July 1, 2014. For the vast majority of markets the short-term forecast has changes from 0.0% to 5.0%. Thereafter, home prices transition over 62 months to the long-term forecast based on historical averages, as adjusted for then current estimates of the overall housing market.

All of the Bank's other-than-temporarily impaired securities were classified as AFS at September 30, 2014. The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2014 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.

62

Notes to Financial Statements (continued)

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	528,448	$	428,843	$	481,535
Alt-A	622,987		490,316		526,466
Subprime	2,216		1,333		1,500
HELOCs	13,920		9,631		12,356
Total OTTI securities	1,167,571		930,123		1,021,857
Private label MBS with no OTTI	3,697		3,697		3,501
Total AFS private label MBS	$	1,171,268	$	933,820	$	1,025,358

Notes:

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

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and nine months ended September 30, 2014 and 2013.

(in thousands)	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
Beginning balance	$	302,421		$	322,144		$	314,224		$	326,024
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	—			—			—			442
Reductions:
Securities sold and matured during the period	256			—			292			(59		)
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(5,762		)	(2,703		)	(17,601		)	(6,966		)
Balance, September 30	$	296,915		$	319,441		$	296,915		$	319,441

Notes:

⁽¹⁾ For the three months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to July 1, 2014 and 2013. For the nine months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013.

⁽²⁾ This activity represents amounts accreted as interest income over the remaining lives of the applicable securities.

All Other AFS and HTM Investments. At September 30, 2014, 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 any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at September 30, 2014.

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 September 30, 2014 and December 31, 2013, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging from zero to 5.50%.

63

Notes to Financial Statements (continued)

The following table details the Bank’s advances portfolio by year of contractual maturity as of September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014					December 31, 2013
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	20,274,344		0.42	%	$	22,169,669		0.41	%
Due after 1 year through 2 years	9,591,673			1.15		10,343,245			1.36
Due after 2 years through 3 years	10,541,256			1.17		6,865,608			1.68
Due after 3 years through 4 years	7,974,783			1.53		6,073,540			1.21
Due after 4 years through 5 years	3,310,062			0.83		3,690,006			2.12
Thereafter	980,440			1.56		571,970			2.89
Total par value	52,672,558			0.92	%	49,714,038			1.04	%
Discount on AHP advances	(84		)			(141		)
Deferred prepayment fees	(9,560		)			(12,371		)
Hedging adjustments	391,346					545,909
Total book value	$	53,054,260				$	50,247,435

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 September 30, 2014 and December 31, 2013, the Bank had convertible advances outstanding of $2.0 billion and $2.3 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 September 30, 2014 and December 31, 2013, the Bank had returnable advances of $1.0 billion and $5.0 billion, respectively. At September 30, 2014 and December 31, 2013, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of September 30, 2014 and December 31, 2013.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Due in 1 year or less	$	20,274,344	$	22,169,669	$	22,118,344	$	24,308,669
Due after 1 year through 2 years	9,591,673		10,343,245		8,794,173		10,219,245
Due after 2 years through 3 years	10,541,256		6,865,608		9,916,256		5,752,108
Due after 3 years through 4 years	7,974,783		6,073,540		7,598,783		5,481,540
Due after 4 years through 5 years	3,310,062		3,690,006		3,284,562		3,406,006
Thereafter	980,440		571,970		960,440		546,470
Total par value	$	52,672,558	$	49,714,038	$	52,672,558	$	49,714,038

64

Notes to Financial Statements (continued)

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Fixed rate – overnight	$	1,998,742	$	1,284,394
Fixed rate – term:
Due in 1 year or less	12,947,675		17,801,335
Thereafter	11,159,287		10,778,131
Total fixed rate	26,105,704		29,863,860
Variable rate:
Due in 1 year or less	5,327,927		3,083,940
Thereafter	21,238,927		16,766,238
Total variable rate	26,566,854		19,850,178
Total par value	$	52,672,558	$	49,714,038

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2014, the Bank had advances of $38.6 billion outstanding to its five largest borrowers, which represented 73.3% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at September 30, 2014.

As of December 31, 2013, the Bank had advances of $38.5 billion outstanding to the five largest borrowers, which represented 77.4% of total advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2013.

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

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. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 12 for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2014 and December 31, 2013 for mortgage loans held for portfolio.

(in thousands)	September 30, 2014			December 31, 2013
Fixed-rate medium-term single-family mortgages (1)	$	433,322		$	488,334
Fixed-rate long-term single-family mortgages (1)	2,622,025			2,682,255
Total par value	3,055,347			3,170,589
Premiums	49,993			50,436
Discounts	(5,198		)	(6,147		)
Hedging adjustments	23,853			20,572
Total mortgage loans held for portfolio	$	3,123,995		$	3,235,450

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 September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Government-guaranteed/insured loans	$	287,262	$	306,025
Conventional loans	2,768,085		2,864,564
Total par value	$	3,055,347	$	3,170,589

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

Note 8 – Allowance for Credit Losses

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

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This 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 each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to 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 FHLBank Act affords any security interest granted to the Bank by a member

66

Notes to Financial Statements (continued)

(or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be 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 September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at September 30, 2014 and December 31, 2013, 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 Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. At September 30, 2014 and December 31, 2013, the MPF exposure under the FLA was $23.4 million and $25.2 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 $0.8 million and $0.9 million during the third quarter 2014 and 2013, respectively and $2.4 million and $2.7 million during the nine months ended September 30, 2014 and 2013, 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 experienced by PMI companies, estimated future claim

67

Notes to Financial Statements (continued)

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 a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent, which are comprised primarily of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property.

The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. The estimated fair value is determined based on a value provided by a third party's Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations, which may differ from the retail-based AVMs. The resulting loss is then reduced by available CE and PMI.

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

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, beginning of period	$	7,543		$	12,208		$	11,359		$	14,163
(Charge-offs) Recoveries, net	613			(188		)	311			(810		)
Provision (benefit) for credit losses	(446		)	(748		)	(3,960		)	(2,081		)
Balance, September 30	$	7,710		$	11,272		$	7,710		$	11,272

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. Mortgage Loans - Conventional MPF.

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	6,172	$	795
Ending balance, collectively evaluated for impairment	1,538		10,564
Total allowance for credit losses	$	7,710	$	11,359
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	71,135	$	15,571
Collectively evaluated for impairment	2,771,059		2,919,583
Total recorded investment	$	2,842,194	$	2,935,154

BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets.

68

Notes to Financial Statements (continued)

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, Beginning of period	$	1,974		$	2,362		$	2,231		$	2,481
Charge-offs	(8		)	—			(363		)	(134		)
Provision (benefit) for credit losses	14			(21		)	112			(6		)
Balance, September 30	$	1,980		$	2,341		$	1,980		$	2,341

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans.

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	43	$	—
Ending balance, collectively evaluated for impairment	1,937		2,231
Total allowance for credit losses	$	1,980	$	2,231
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	116	$	—
Collectively evaluated for impairment	13,503		13,742
Total recorded investment	$	13,619	$	13,742

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)	September 30, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	49,506		$	17,080		$	—		$	66,586
Past due 60-89 days	12,465			5,092			5			17,562
Past due 90 days or more	44,011			7,213			170			51,394
Total past due loans	$	105,982		$	29,385		$	175		$	135,542
Total current loans	2,736,212			268,567			13,444			3,018,223
Total loans	$	2,842,194		$	297,952		$	13,619		$	3,153,765
Other delinquency statistics:
In process of foreclosures, included above (2)	$	27,828		$	1,810		$	—		$	29,638
Serious delinquency rate (3)	1.5		%	2.4		%	1.2		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,213		$	—		$	7,213
Loans on nonaccrual status (4)	$	47,547		$	—		$	291		$	47,838

69

Notes to Financial Statements (continued)

(in thousands)	December 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	52,689		$	18,580		$	151		$	71,420
Past due 60-89 days	13,522			5,860			82			19,464
Past due 90 days or more	55,508			8,556			219			64,283
Total past due loans	$	121,719		$	32,996		$	452		$	155,167
Total current loans	2,813,435			284,104			13,290			3,110,829
Total loans	$	2,935,154		$	317,100		$	13,742		$	3,265,996
Other delinquency statistics:
In process of foreclosures, included above (2)	$	43,953		$	2,401		$	—		$	46,354
Serious delinquency rate (3)	1.9		%	2.7		%	1.6		%	2.0		%
Past due 90 days or more still accruing interest	$	—		$	8,556		$	—		$	8,556
Loans on nonaccrual status (4)	$	59,244		$	—		$	452		$	59,696

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 unaccreted 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.

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	September 30, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	32,618	$	32,317	$	—
With a related allowance:
Conventional MPF loans	38,517		38,340		6,172
Total:
Conventional MPF loans	$	71,135	$	70,657	$	6,172

	December 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	501	$	498	$	—
With a related allowance:
Conventional MPF loans	15,070		15,004		795
Total:
Conventional MPF loans	$	15,571	$	15,502	$	795

70

Notes to Financial Statements (continued)

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

	Three months ended September 30, 2014				Three months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	72,990	$	350	$	15,258	$	190

	Nine months ended September 30, 2014				Nine months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	76,809	$	1,032	$	14,316	$	533

Beginning January 1, 2014, with the adoption of AB 2012-02, the Bank now considers all loans over 180 days to be individually impaired loans, which is the reason for the increase as compared to the respective 2013 amounts.

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 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 so that the ratio of the borrower's housing expense to monthly income is no more than 31%. 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.

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 the reporting date. BOB loan TDRs are not significant for any periods presented and are excluded from the tables that follow.

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 and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	2,567	$	2,567	$	3,658	$	3,658

	Nine months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	8,949	$	8,949	$	9,827	$	9,775

Certain TDRs may experience a payment default, which the Bank considers to have occurred when a loan is 60 days or more delinquent. Conventional MPF loans totaling $4.9 million and $4.6 million had experienced a payment default during the nine months ended September 30, 2014, and September 30, 2013, respectively. The Bank had $4.2 million and $3.5 million of TDRs on nonaccrual status at September 30, 2014 and December 31, 2013, respectively.

71

Notes to Financial Statements (continued)

Real Estate Owned (REO). The Bank had $6.9 million and $8.8 million of REO reported in Other assets on the Statement of Condition at September 30, 2014 and December 31, 2013, respectively.

Purchases, Sales and Reclassifications. During the three and nine months ended September 30, 2014 and 2013, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Note 9 – Derivatives and Hedging Activities

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 derivative transactions, see Note 11 to the audited financial statements in the Bank's 2013 Form 10-K.

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. Over-the-counter derivative transactions may be either executed with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the Bank of the required initial and variation margin. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	28,783,665	$	112,787		$	543,784
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,994,286	$	37,183		$	33,011
Interest rate swaptions	50,000		1,079			—
Interest rate caps	796,000		5,118			—
Mortgage delivery commitments	26,861		505			—
Total derivatives not in hedge accounting relationships	$	12,867,147	$	43,885		$	33,011
Total derivatives before netting and collateral adjustments	$	41,650,812	$	156,672		$	576,795
Netting adjustments			(85,610		)	(85,610		)
Cash collateral and related accrued interest			(18,205		)	(396,028		)
Total collateral and netting adjustments (1)			(103,815		)	(481,638		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,857		$	95,157

72

Notes to Financial Statements (continued)

	December 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,443,924	$	169,718		$	800,078
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	10,730,985	$	72,519		$	34,829
Interest rate caps	1,064,500		7,182			—
Mortgage delivery commitments	12,279		160			—
Total derivatives not in hedge accounting relationships	$	11,807,764	$	79,861		$	34,829
Total derivatives before netting and collateral adjustments	$	37,251,688	$	249,579		$	834,907
Netting adjustments			(182,045		)	(182,045		)
Cash collateral and related accrued interest			(7,561		)	(475,374		)
Total collateral and netting adjustments (1)			(189,606		)	(657,419		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	59,973		$	177,488

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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 September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	1,203		$	3,116		$	3,130		$	4,004
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(9,552	)	$	(3,504	)	$	(44,089	)	$	(11,327	)
Interest rate swaptions	101			—			366			—
Interest rate caps	(261		)	(894		)	(3,802		)	1,535
Net interest settlements	6,460			5,055			20,009			14,325
Mortgage delivery commitments	2,289			1,619			5,912			5,584
Other	7			4			19			11
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(956	)	$	2,280		$	(21,585	)	$	10,128
Net gains (losses) on derivatives and hedging activities	$	247		$	5,396		$	(18,455	)	$	14,132

73

Notes to Financial Statements (continued)

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 three and nine months ended September 30, 2014 and 2013.

(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 September 30, 2014
Hedged item type:
Advances	$	89,426		$	(87,573	)	$	1,853		$	(57,130	)
Consolidated obligations – bonds	(72,049		)	71,557			(492		)	59,146
AFS securities	1,117			(1,275		)	(158		)	(2,920		)
Total	$	18,494		$	(17,291	)	$	1,203		$	(904	)
Nine months ended September 30, 2014
Hedged item type:
Advances	$	150,102		$	(147,208	)	$	2,894		$	(174,125	)
Consolidated obligations – bonds	38,336			(37,053		)	1,283			172,695
AFS securities	(17,727		)	16,680			(1,047		)	(8,355		)
Total	$	170,711		$	(167,581	)	$	3,130		$	(9,785	)

(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 September 30, 2013
Hedged item type:
Advances	$	29,142		$	(27,194	)	$	1,948	$	(64,388	)
Consolidated obligations – bonds	34,356			(33,967		)	389		57,917
AFS securities	(3,443		)	4,222			779		(911		)
Total	$	60,055		$	(56,939	)	$	3,116	$	(7,382	)
Nine months ended September 30, 2013
Hedged item type:
Advances	$	222,985		$	(220,743	)	$	2,242	$	(190,432	)
Consolidated obligations – bonds	(258,510		)	259,393			883		162,998
AFS securities	(2,653		)	3,532			879		(926		)
Total	$	(38,178	)	$	42,182		$	4,004	$	(28,360	)

Note:

⁽¹⁾Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.2 million and $4.5 million for the third quarter of 2014 and 2013, respectively, and $11.2 million and $14.0 million for the nine months ended September 30, 2014 and 2013, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The Bank had no active cash flow hedging relationships during the first nine months of 2014 or 2013.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives.

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount

74

Notes to Financial Statements (continued)

calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. However, due to the nature of initial and variation margin, the Bank will always be over-collateralized with the Clearing Houses. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and believes that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

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

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at September 30, 2014 was $316.5 million, for which the Bank has posted cash collateral with a fair value of approximately $224.3 million. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $52.8 million of collateral to its derivative counterparties at September 30, 2014.

For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required to post additional initial margin by its clearing agents at September 30, 2014.

75

Notes to Financial Statements (continued)

Offsetting of Derivative Assets and Derivative Liabilities. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	148,685		$	234,156
Cleared derivatives		7,482			15,264
Total gross recognized amount		156,167			249,420
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(137,468		)	(205,752		)
Cleared derivatives		33,653			16,146
Total gross amounts of netting adjustments and cash collateral		(103,815		)	(189,606		)
Net amounts after netting adjustments:
Bilateral derivatives		11,217			28,404
Cleared derivatives		41,135			31,410
Total net amounts after netting adjustments		52,352			59,814
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		505			159
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		505			159
Total derivative assets
Bilateral derivatives		11,722			28,563
Cleared derivatives		41,135			31,410
Total derivative assets as reported in the Statement of Condition		52,857			59,973
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(6,264		)	(13,778		)
Net unsecured amount:
Bilateral derivatives		5,458			14,785
Cleared derivatives		41,135			31,410
Total net unsecured amount		$	46,593		$	46,195

76

Notes to Financial Statements (continued)

	Derivative Liabilities
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	438,751		$	828,187
Cleared derivatives		138,044			6,720
Total gross recognized amount		576,795			834,907
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(343,594		)	(650,699		)
Cleared derivatives		(138,044		)	(6,720		)
Total gross amounts of netting adjustments and cash collateral		(481,638		)	(657,419		)
Net amounts after netting adjustments:
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		95,157			177,488
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		—			—
Total derivative liabilities
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		95,157			177,488
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		—			(79,233		)
Net unsecured amount:
Bilateral derivatives		95,157			98,255
Net unsecured amount		$	95,157		$	98,255

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

77

Notes to Financial Statements (continued)

Note 10 – Consolidated Obligations

Consolidated obligations consist of consolidated bonds and discount notes. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other eleven FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, to the extent that an event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amount of the 12 FHLBanks’ outstanding consolidated obligations were$816.9 billionand$766.8 billion atSeptember 30,2014and December 31,2013, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2013 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Par value of consolidated bonds:
Fixed-rate	$	31,020,282		$	29,062,248
Step-up	4,378,500			3,052,500
Floating-rate	4,465,000			5,580,000
Total par value	39,863,782			37,694,748
Bond premiums	91,457			87,961
Bond discounts	(12,206		)	(14,019		)
Hedging adjustments	(53,919		)	(70,388		)
Total book value	$	39,889,114		$	37,698,302

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2014 and December 31, 2013.

	September 30, 2014				December 31, 2013
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	13,809,415	1.06	%	$	12,576,595	0.94	%
Due after 1 year through 2 years	6,184,340		1.29		7,979,165		1.75
Due after 2 years through 3 years	3,852,965		1.65		2,711,605		2.29
Due after 3 years through 4 years	5,352,825		1.71		2,040,700		2.25
Due after 4 years through 5 years	3,348,565		1.49		4,594,700		1.50
Thereafter	6,959,690		2.25		7,151,890		2.14
Index amortizing notes	355,982		4.16		640,093		4.54
Total par value	$	39,863,782	1.51	%	$	37,694,748	1.64	%

78

Notes to Financial Statements (continued)

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Noncallable	$	25,594,782	$	26,549,748
Callable	14,269,000		11,145,000
Total par value	$	39,863,782	$	37,694,748

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2014 and December 31, 2013.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2014		December 31, 2013
Due in 1 year or less	$	27,998,415	$	23,436,595
Due after 1 year through 2 years	5,754,340		7,914,165
Due after 2 years through 3 years	2,327,965		2,196,605
Due after 3 years through 4 years	1,803,325		1,437,200
Due after 4 years through 5 years	688,565		1,150,700
Thereafter	935,190		919,390
Index amortizing notes	355,982		640,093
Total par value	$	39,863,782	$	37,694,748

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014			December 31, 2013
Book value	$	31,536,630		$	28,236,257
Par value	31,541,403			28,242,236
Weighted average interest rate (1)	0.07		%	0.09		%

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 regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 17 to the audited financial statements in the Bank’s 2013 Form 10-K.

At September 30, 2014, 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 September 30, 2014 and December 31, 2013, all of the Bank's capital stock outstanding was Class B stock.

79

Notes to Financial Statements (continued)

The following table demonstrates the Bank’s compliance with these capital requirements at September 30, 2014 and December 31, 2013.

	September 30, 2014						December 31, 2013
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	881,809		$	3,883,885		$	1,052,654		$	3,647,902
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	5.2		%
Total regulatory capital	3,055,989			3,883,885			2,826,837			3,647,902
Leverage ratio	5.0		%	7.6		%	5.0		%	7.7		%
Leverage capital	3,819,986			5,825,827			3,533,546			5,471,853

The ratios from December 31, 2013 to September 30, 2014 decreased slightly primarily due to a greater percentage increase in total assets than in regulatory capital. When the Finance Agency implemented the prompt corrective action provisions of the Housing and Economic Recovery Act of 2008 (Housing Act), it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 23, 2014, the Bank received final notification from the Finance Agency that it was considered to be "adequately capitalized" for the quarter ended June 30, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2014.

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 September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	694,905	22.6	%
Chase Bank USA, N.A., Wilmington, DE	419,542		13.6
Santander Bank, N.A., Wilmington, DE	415,607		13.5

(dollars in thousands)	December 31, 2013
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	601,605	20.3	%
Chase Bank USA, N.A., Wilmington, DE	439,802		14.8
Santander Bank, N.A., Wilmington, DE	416,685		14.1
Ally Bank, Midvale, UT	307,800		10.4

Note:

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

Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's issued and outstanding shares of 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 Finance Agency regulation.

At September 30, 2014 and December 31, 2013, the Bank had $769 thousand and $40 thousand, 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 and nine months ended September 30, 2014, estimated dividends on mandatorily redeemable capital stock totaling $12 thousand and $46 thousand, respectively, were recorded as interest expense. For the three and nine months ended September 30, 2013, estimated dividends on mandatorily redeemable capital stock totaling $317 thousand and $1.3 million, respectively, were recorded as interest expense.

80

Notes to Financial Statements (continued)

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2014 and 2013.

	Nine months ended September 30,
(in thousands)	2014			2013
Balance, beginning of the period	$	40		$	431,566
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	8,422			698
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(7,693		)	(432,224		)
Balance, end of period	$	769		$	40

Note:

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

As of September 30, 2014, the total mandatorily redeemable capital stock reflected the balance for two institutions, one of which was merged out of district and is considered to be a nonmember. The other institution has notified the Bank of its intention to voluntary redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		40
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	—		—
Due after 4 years through 5 years	769		—
Total	$	769	$	40

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. 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 September 30, 2014, retained earnings were $803.8 million, including $705.4 million of unrestricted retained earnings and $98.4 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. In February, April, July 2014 and October 2014, the Bank declared quarterly dividends of 2.5%, 4.0%, 4.0% and 4.0% on an annualized basis, respectively.

Capital Changes. The Bank's previously announced changes to its Capital Plan became effective October 6 and included creating two subclasses of capital stock (membership and activity) and a widening of the requirement ranges on activity-based capital stock for advances, letters of credit, and forward-commitment advances. In addition, the membership stock requirement w

81

Notes to Financial Statements (continued)

as reduced effective October 7, 2014, which decreased the Bank’s capital stock. Also, the Bank announced effective December 3, 2014 that it will repurchase excess capital stock on a weekly, rather than monthly, basis.

The following table summarizes the changes in AOCI for the three months ended September 30, 2014 and 2013.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2013	$	(16,796	)	$	64,249		$	—	$	287		$	(919	)	$	46,821
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,115		)	1,706			—		—			—			(5,409		)
Net change in fair value of OTTI securities	—			1,228			—		—			—			1,228
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—			—		—			—			41
Amortization - pension and post-retirement	—			—			—		—			80			80
September 30, 2013	$	(23,870	)	$	67,183		$	—	$	287		$	(839	)	$	42,761
June 30, 2014	$	22,743		$	96,635		$	—	$	286		$	(1,029	)	$	118,635
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(5,656		)	(4,523		)	—		—			—			(10,179		)
Net change in fair value of OTTI securities	—			(378		)	—		—			—			(378		)
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—			—		(7		)	—			(7		)
Amortization - pension and post-retirement	—			—			—		—			41			41
September 30, 2014	$	17,087		$	91,734		$	—	$	279		$	(988	)	$	108,112

82

Notes to Financial Statements (continued)

The following table summarizes the changes in AOCI for the nine months ended September 30, 2014 and 2013.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2012	$	35,390		$	18,999	$	—	$	286		$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	(59,301		)	23,147		—		—			—			(36,154		)
Net change in fair value of OTTI securities	—			24,595		—		—			—			24,595
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—		—		—			—			41
Noncredit OTTI to credit OTTI	—			442		—		—			—			442
Amortization - hedging activities	—			—		—		1			—			1
Amortization - pension and post-retirement	—			—		—		—			131			131
September 30, 2013	$	(23,870	)	$	67,183	$	—	$	287		$	(839	)	$	42,761
December 31, 2013	$	(32,481	)	$	77,642	$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	49,568			11,498		—		—			—			61,066
Net change in fair value of OTTI securities	—			2,594		—		—			—			2,594
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—		—		(8		)	—			(8		)
Amortization - pension and post-retirement	—			—		—		—			120			120
September 30, 2014	$	17,087		$	91,734	$	—	$	279		$	(988	)	$	108,112

83

Notes to Financial Statements (continued)

Note 12 – Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	September 30, 2014		December 31, 2013
Federal funds sold	$	—	$	45,000
Investments	161,885		168,905
Advances	33,804,195		37,978,850
Letters of credit (1)	9,487,132		7,206,562
MPF loans	1,397,353		1,633,238
Deposits	11,401		10,422
Capital stock	1,604,489		1,834,397

Note:

⁽¹⁾ Letters of credit are off-balance sheet commitments.

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Interest income on advances (1)	$	35,376	$	32,242	$	101,957	$	94,422
Interest income on MPF loans	19,558		24,205		61,988		78,517
Letter of credit fees	2,197		176		6,050		263
Prepayment fees on advances	—		—		3,090		—

Note:

⁽¹⁾ For the three and nine months ended September 30, 2014, balances include contractual interest income of $81.0 million and $243.7 million, net interest settlements on derivatives in fair value hedge relationships of $(45.2) million and $(138.7) million and total amortization of basis adjustments of $(0.5) million and $(3.1) million. For the three and nine months ended September 30, 2013, balances include contractual interest income of $86.8 million and $256.7 million, net interest settlements on derivatives in fair value hedge relationships of $(54.0) million and $(160.1) million and total amortization of basis adjustments of $(0.6) million and $(2.2) million.

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Total MPF loan volume purchased	$	5,457	$	6,569	$	6,778	$	13,018

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Servicing fee expense	$	256	$	231	$	735	$	681
Interest income on MPF deposits	1		—		1		6

(in thousands)	September 30, 2014		December 31, 2013
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,425	$	7,795

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the nine months ended September 30, 2014 and 2013, there was no borrowing or lending activity between the Bank and other FHLBanks.

84

Notes to Financial Statements (continued)

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 nine months ended September 30, 2014 and 2013, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2014 and 2013.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2013 Form 10-K.

Note 13 – Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2014 and December 31, 2013. Although the management of the Bank believes that the valuation methods used are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2014 and December 31, 2013 are presented in the table below.

Fair Value Summary Table
	September 30, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,508,402	$	5,508,402	$	—	$	—	$	—		$	5,508,402
Interest-bearing deposits	5,425		—		5,425		—		—			5,425
Federal funds sold	2,780,000		—		2,779,997		—		—			2,779,997
Trading securities	275,630		5,121		270,509		—		—			275,630
AFS securities	8,036,697		1,998		7,009,341		1,025,358		—			8,036,697
HTM securities	3,439,240		—		2,758,899		723,491		—			3,482,390
Advances	53,054,260		—		53,171,179		—		—			53,171,179
Mortgage loans held for portfolio, net	3,116,285		—		3,282,500		—		—			3,282,500
BOB loans, net	11,524		—		—		11,524		—			11,524
Accrued interest receivable	85,580		—		85,580		—		—			85,580
Derivative assets	52,857		—		156,672		—		(103,815		)	52,857
Liabilities:
Deposits	$	665,934	$	—	$	665,936	$	—	$	—		$	665,936
Discount notes	31,536,630		—		31,537,929		—		—			31,537,929
Bonds	39,889,114		—		40,042,787		—		—			40,042,787
Mandatorily redeemable capital stock (1)	769		781		—		—		—			781
Accrued interest payable (1)	140,792		—		140,780		—		—			140,780
Derivative liabilities	95,157		—		576,795		—		(481,638		)	95,157

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Notes to Financial Statements (continued)

	December 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,121,345	$	3,121,345	$	—	$	—	$	—		$	3,121,345
Interest-bearing deposits	7,795		—		7,795		—		—			7,795
Federal funds sold	2,875,000		—		2,874,983		—		—			2,874,983
Trading securities	239,190		4,576		234,614		—		—			239,190
AFS securities	6,757,717		1,998		5,617,667		1,138,052		—			6,757,717
HTM securities	3,995,530		—		3,164,059		870,771		—			4,034,830
Advances	50,247,435		—		50,346,040		—		—			50,346,040
Mortgage loans held for portfolio, net	3,224,091		—		3,351,450		—		—			3,351,450
BOB loans, net	11,400		—		—		11,400		—			11,400
Accrued interest receivable	95,374		—		95,374		—		—			95,374
Derivative assets	59,973		—		249,579		—		(189,606		)	59,973
Liabilities:
Deposits	$	694,352	$	—	$	694,357	$	—	$	—		$	694,357
Discount notes	28,236,257		—		28,238,042		—		—			28,238,042
Bonds	37,698,302		—		37,847,493		—		—			37,847,493
Mandatorily redeemable capital stock (1)	40		40		—		—		—			40
Accrued interest payable (1)	97,689		—		97,689		—		—			97,689
Derivative liabilities	177,488		—		834,907		—		(657,419		)	177,488

Notes:

⁽¹⁾ The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

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

Fair Value Hierarchy. The Bank records trading securities, AFS securities, 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

86

Notes to Financial Statements (continued)

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 nine months ended September 30, 2014 and 2013.

87

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.

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.

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.

The Bank also reviewed the final fair value estimates of its private label MBS holdings as of September 30, 2014 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield 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 September 30, 2014, 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. Based on the current lack of significant market activity for private label residential MBS, the Bank believes that as of September 30, 2014, private label residential MBS inputs should be classified as Level 3.

88

Notes to Financial Statements (continued)

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 as of 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 on bilateral 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 netting arrangements for its derivative transactions. 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. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

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.

89

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 September 30, 2014 and December 31, 2013.

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.

90

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 September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
Non MBS:
GSE and TVA Obligations	$	—	$	270,509	$	—	$	—		$	270,509
Mutual funds	5,121		—		—		—			5,121
Total trading securities	$	5,121	$	270,509	$	—	$	—		$	275,630
AFS securities:
GSE and TVA Obligations	$	—	$	2,932,938	$	—	$	—		$	2,932,938
State or local agency obligations	—		61,231		—		—			61,231
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		342,728		—		—			342,728
GSE MBS	—		3,672,444		—		—			3,672,444
Private label MBS:
Private label residential MBS	—		—		1,013,002		—			1,013,002
HELOCs	—		—		12,356		—			12,356
Total AFS securities	$	1,998	$	7,009,341	$	1,025,358	$	—		$	8,036,697
Derivative assets:
Interest rate related	$	—	$	156,167	$	—	$	(103,815	)	$	52,352
Mortgage delivery commitments	—		505		—		—			505
Total derivative assets	$	—	$	156,672	$	—	$	(103,815	)	$	52,857
Total assets at fair value	$	7,119	$	7,436,522	$	1,025,358	$	(103,815	)	$	8,365,184
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	576,795	$	—	$	(481,638	)	$	95,157
Total derivative liabilities (2)	$	—	$	576,795	$	—	$	(481,638	)	$	95,157

91

Notes to Financial Statements (continued)

	December 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA Obligations	$	—	$	234,614	$	—	$	—		$	234,614
Mutual funds	4,576		—		—		—			4,576
Total trading securities	$	4,576	$	234,614	$	—	$	—		$	239,190
AFS securities:
GSE and TVA Obligations	$	—	$	2,096,177	$	—	$	—		2,096,177
State or local agency obligations	—		14,043		—		—			14,043
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		385,296		—		—			385,296
GSE MBS	—		3,122,151		—		—			3,122,151
Private label MBS:
Private label residential MBS	—		—		1,123,624		—			1,123,624
HELOCs	—		—		14,428		—			14,428
Total AFS securities	$	1,998	$	5,617,667	$	1,138,052	$	—		$	6,757,717
Derivative assets:
Interest rate related	$	—	$	249,419	$	—	$	(189,606	)	$	59,813
Mortgage delivery commitments	—		160		—		—			160
Total derivative assets	$	—	$	249,579	$	—	$	(189,606	)	$	59,973
Total assets at fair value	$	6,574	$	6,101,860	$	1,138,052	$	(189,606	)	$	7,056,880
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	834,907	$	—	$	(657,419	)	$	177,488
Total derivative liabilities (2)	$	—	$	834,907	$	—	$	(657,419	)	$	177,488

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first nine months of 2014 or 2013.

92

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 nine months ended September 30, 2014 and 2013. 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. There were no Level 3 transfers during the first nine months of 2014 or 2013.

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2014			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	9,441			1,002
Net unrealized (losses) on AFS in OCI	(32		)	—
Net change in fair value on OTTI AFS in OCI	2,539			55
Unrealized gains (losses) on OTTI AFS in OCI	11,575			(77		)
Purchases, issuances, sales, and settlements:
Settlements	(134,145		)	(3,052		)
Balance at September 30	$	1,013,002		$	12,356
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2014	$	9,441		$	1,002

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2013			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(2,857		)	600
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	162			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	24,362			233
Unrealized gains on OTTI AFS in OCI	21,164			1,983
Purchases, issuances, sales, and settlements:
Settlements	(273,299		)	(2,832		)
Balance at September 30	$	1,180,008		$	14,742
Total amount of gains (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 September 30, 2013	$	(3,202	)	$	503

93

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)	September 30, 2014						December 31, 2013
Notional amount	Final Expiration Date Within One Year		Final Expiration Date After One Year (3)		Total		Total
Standby letters of credit outstanding (1)	$	11,347,348	$	7,577,171	$	18,924,519	$	14,665,346
Commitments to fund additional advances and BOB loans	19,686		—		19,686		411,249
Commitments to fund or purchase mortgage loans	26,861		—		26,861		12,279
Unsettled consolidated obligation bonds, at par (2)	338,000		—		338,000		32,000
Unsettled consolidated obligation discount notes, at par	250,000		—		250,000		750,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $150.8 million and $154.1 million at September 30, 2014 and December 31, 2013, respectively.

⁽²⁾ Includes $330.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at September 30, 2014 and December 31, 2013, respectively.

⁽³⁾ These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less.

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.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.9 million and $3.7 million as of September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at September 30, 2014 and December 31, 2013 of $7.6 billion and $6.4 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

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.

94

Item 3:  Quantitative and Qualitative Disclosures about Market Risk

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

Item 4: Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer, chief financial officer, and chief accounting officer, the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended (the 1934 Act). Based on this evaluation, the Bank’s chief executive officer, chief financial officer, and chief accounting officer concluded that the Bank’s disclosure controls and procedures were effective as of September 30, 2014.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the third quarter of 2014 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

As previously disclosed, the Bank resolved complaints against various defendants in regard to certain private label MBS purchased by the Bank, which includes, in one instance, a guarantee of an additional cash payment by November, 2015. McGraw-Hill, the only remaining defendant in the Bank's lawsuits in regard to certain private label MBS purchased by the Bank, has filed a motion for summary judgment, and the Bank's response is due December 9, 2014.

Item 1A: Risk Factors

For a complete discussion of Risk Factors, see Item 1A. Risk Factors in the Bank’s 2013 Form 10-K. Management believes there have been no material changes to those Risk Factors other than the following:

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

As discussed in the Legislative and Regulatory Developments section of this Form 10-Q, the Finance Agency has issued a proposed rule which would amend its membership regulation to impose, among other requirements, certain initial and ongoing asset tests on prospective and current FHLBank members. Current members that fail the applicable tests would be subject to having their membership terminated. Any outstanding advances to these terminated members would mature over their remaining life. This could have a material impact on the Bank. Additionally, under the proposed rule, prospective members that fail the tests would not be eligible for membership, and all captive insurance companies would be ineligible for membership.

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.

95

Item 5: Other Information

None

Item 6: Exhibits

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 31.3	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting 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 32.3	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer
Exhibit 101	Interactive Data File (XBRL)

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: November 6, 2014

By: /s/ David G. Paulson

David G. Paulson

Chief Financial Officer

By: /s/ Edward V. Weller

Edward V. Weller

Chief Accounting Officer

96

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 (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

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

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

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

Date:     November 6, 2014/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

EX-31.2

Exhibit 31.2

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, David G. Paulson, certify that:

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

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

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

4. The registrant's other certifying 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 (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

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

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

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

Date:     November 6, 2014/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

EX-31.3

Exhibit 31.3

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

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Accounting Officer

I, Edward V. Weller, certify that:

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

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

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

4. The registrant's other certifying 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 (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

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

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

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

Date:     November 6, 2014/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

EX-32.1

Exhibit 32.1

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

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

as Adopted Pursuant to Section 906

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

I, Winthrop Watson, state and attest that:

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2014 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

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

Date:     November 6, 2014/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

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

EX-32.2

Exhibit 32.2

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

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

as Adopted Pursuant to Section 906

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

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

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2014 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

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

Date:     November 6, 2014/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

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

EX-32.3

Exhibit 32.2

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 Accounting Officer

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

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

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

l this Form 10-Q of the registrant for the quarter ended September 30, 2014 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

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

Date:     November 6, 2014/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

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

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Trading Securities (Details) (USD $)	Sep. 30, 2014	Dec. 31, 2013
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 275,630,000	$ 239,190,000
Deferred Compensation Liabilities	5,200,000	4,700,000
GSE and TVA obligations [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	270,509,000	234,614,000
Mutual Funds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 5,121,000	$ 4,576,000

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Other-Than-Temporary Impairment (Narrative) (Details)	Sep. 30, 2014
Minimum
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Change Rate	(3.00%)
Projected House Price Change Rate	0.00%
Maximum
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Change Rate	9.00%
Projected House Price Change Rate	5.00%

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Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 3,439,240		$ 3,995,530
Gross Unrealized Holding Gains	65,642		66,804
Gross Unrealized Holding Losses	(22,492)		(27,504)
Fair Value	3,482,390		4,034,830
GSE securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	13,612		16,220
Gross Unrealized Holding Gains	485		721
Gross Unrealized Holding Losses	0		0
Fair Value	14,097		16,941
State or local agency obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	217,274		242,934
Gross Unrealized Holding Gains	3,227		3,817
Gross Unrealized Holding Losses	(12,382)		(10,753)
Fair Value	208,119		235,998
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	230,886		259,154
Gross Unrealized Holding Gains	3,712		4,538
Gross Unrealized Holding Losses	(12,382)		(10,753)
Fair Value	222,216		252,939
Other U.S. obligations residential MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,195,934		1,435,458
Gross Unrealized Holding Gains	8,145		8,869
Gross Unrealized Holding Losses	0		(15)
Fair Value	1,204,079		1,444,312
Total private label MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost			882,992
Gross Unrealized Holding Gains			4,300
Gross Unrealized Holding Losses			(16,521)
Fair Value			870,771
HELOCs [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost			9,667
Gross Unrealized Holding Gains			0
Gross Unrealized Holding Losses			(789)
Fair Value			8,878
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	3,208,354		3,736,376
Gross Unrealized Holding Gains	61,930		62,266
Gross Unrealized Holding Losses	(10,110)		(16,751)
Fair Value	3,260,174		3,781,891
1-4 family , residential MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	451,300		561,600
Multi family residential MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	832,100		856,300
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,283,406	[1]	1,417,926	[1]
Gross Unrealized Holding Gains	49,256	[1]	49,097	[1]
Gross Unrealized Holding Losses	(58)	[1]	(215)	[1]
Fair Value	1,332,604	[1]	1,466,808	[1]
Residential Mortgage Backed Securities [Member] | Total private label MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	729,014		873,325
Gross Unrealized Holding Gains	4,529		4,300
Gross Unrealized Holding Losses	(10,052)		(15,732)
Fair Value	$ 723,491		$ 861,893

[1] Includes $451.3 million of 1-4 family MBS and $832.1 million of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million.

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Derivatives and Hedging Activities (Offsetting Assets) (Details) (USD $)	Sep. 30, 2014		Dec. 31, 2013
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	$ 156,167,000		$ 249,420,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(103,815,000)	[1]	(189,606,000)	[1]
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	52,352,000		59,814,000
Derivative Asset, Not Subject to Master Netting Arrangement	505,000	[2]	159,000	[2]
Derivative assets	52,857,000		59,973,000
Derivative Asset, Fair Value, Amount Offset Against Collateral	46,593,000		46,195,000
Over the Counter [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	148,685,000		234,156,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(137,468,000)		(205,752,000)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	11,217,000		28,404,000
Derivative Asset, Not Subject to Master Netting Arrangement	505,000		159,000
Derivative assets	11,722,000		28,563,000
Derivative, Collateral, Obligation to Return Securities that can be sold or repledged	(6,264,000)		(13,778,000)
Derivative Asset, Fair Value, Amount Offset Against Collateral	5,458,000		14,785,000
Exchange Cleared [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	7,482,000		15,264,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	33,653,000		16,146,000
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	41,135,000		31,410,000
Derivative Asset, Not Subject to Master Netting Arrangement	0		0
Derivative assets	41,135,000		31,410,000
Derivative Asset, Fair Value, Amount Offset Against Collateral	$ 41,135,000		$ 31,410,000

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

[2] Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

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Advances (Narrative) (Details) (USD $)			9 Months Ended
	Sep. 30, 2014 Institutions	Dec. 31, 2013 Institutions	Sep. 30, 2014 Minimum	Sep. 30, 2014 Maximum	Sep. 30, 2014 Federal Home Loan Bank, Advances, Convertible Option [Member]	Dec. 31, 2013 Federal Home Loan Bank, Advances, Convertible Option [Member]	Sep. 30, 2014 Federal Home Loan Bank, Advances, Callable Option [Member]	Dec. 31, 2013 Federal Home Loan Bank, Advances, Callable Option [Member]
Federal Home Loan Bank Advances
Total Par Value	$ 52,672,558,000	$ 49,714,038,000			$ 2,000,000,000	$ 2,300,000,000	$ 1,000,000,000	$ 5,000,000,000
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate			1 day	30 years
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate			30 days	10 years
Interest rate of advances			0.00%	7.40%
AHP subsidized loans, interest rate			0.00%	5.50%
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	$ 38,600,000,000	$ 38,500,000,000
Number Of Top Advances Borrowers	5	5
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	73.30%	77.40%
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent	3	4

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Capital (Capital Concentrations) (Details) (Capital Stock Ownership By Third Party, USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Capital [Line Items]
Concentration Risk Benchmark, Percent	10.00%
Chase Bank USA, N.A.
Capital [Line Items]
Concentration Risk Benchmark, Percent	13.60%		14.80%
Capital Stock	$ 419,542		$ 439,802
PNC Bank N.A.
Capital [Line Items]
Concentration Risk Benchmark, Percent	22.60%	[1]	20.30%	[1]
Capital Stock	694,905	[1]	601,605	[1]
Santander Bank N.A.
Capital [Line Items]
Concentration Risk Benchmark, Percent	13.50%		14.10%
Capital Stock	415,607		416,685
Ally Bank [Member]
Capital [Line Items]
Concentration Risk Benchmark, Percent			10.40%	[1]
Capital Stock			$ 307,800	[1]

[1] For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA.

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Available-for-Sale (AFS) Securities (Realized Gains and Losses on Securities) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds	$ 0	$ 19,909	$ 0	$ 19,909
Proceeds from Sale of Available-for-sale Securities			0	19,909
Available-for-sale Securities, Gross Realized Losses	$ 0	$ (41)	$ 0	$ (41)

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Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2014

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 the Bank's consolidated obligation bonds as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Par value of consolidated bonds:
Fixed-rate	$	31,020,282		$	29,062,248
Step-up	4,378,500			3,052,500
Floating-rate	4,465,000			5,580,000
Total par value	39,863,782			37,694,748
Bond premiums	91,457			87,961
Bond discounts	(12,206		)	(14,019		)
Hedging adjustments	(53,919		)	(70,388		)
Total book value	$	39,889,114		$	37,698,302

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 September 30, 2014 and December 31, 2013.

	September 30, 2014				December 31, 2013
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	13,809,415	1.06	%	$	12,576,595	0.94	%
Due after 1 year through 2 years	6,184,340		1.29		7,979,165		1.75
Due after 2 years through 3 years	3,852,965		1.65		2,711,605		2.29
Due after 3 years through 4 years	5,352,825		1.71		2,040,700		2.25
Due after 4 years through 5 years	3,348,565		1.49		4,594,700		1.50
Thereafter	6,959,690		2.25		7,151,890		2.14
Index amortizing notes	355,982		4.16		640,093		4.54
Total par value	$	39,863,782	1.51	%	$	37,694,748	1.64	%

Schedule of Long-term Debt by Call Feature

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Noncallable	$	25,594,782	$	26,549,748
Callable	14,269,000		11,145,000
Total par value	$	39,863,782	$	37,694,748

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 September 30, 2014 and December 31, 2013.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2014		December 31, 2013
Due in 1 year or less	$	27,998,415	$	23,436,595
Due after 1 year through 2 years	5,754,340		7,914,165
Due after 2 years through 3 years	2,327,965		2,196,605
Due after 3 years through 4 years	1,803,325		1,437,200
Due after 4 years through 5 years	688,565		1,150,700
Thereafter	935,190		919,390
Index amortizing notes	355,982		640,093
Total par value	$	39,863,782	$	37,694,748

Discount Notes

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 as of September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014			December 31, 2013
Book value	$	31,536,630		$	28,236,257
Par value	31,541,403			28,242,236
Weighted average interest rate (1)	0.07		%	0.09		%

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Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014 Institutions	Sep. 30, 2013	Sep. 30, 2014 Institutions		Sep. 30, 2013
Capital [Abstract]
Balance, beginning of the period			$ 40		$ 431,566
Shares Reclassified to Mandatorily Redeemable Capital Stock Value			8,422		698
Other redemptions (1)			(7,693)	[1]	(432,224)	[1]
Balance, end of the period	769	40	769		40
Dividends on mandatorily redeemable capital stock	$ 12	$ 317	$ 46		$ 1,336
Financial Instruments Subject to Mandatory Redemption, Number of Institutions	2		2

[1] Reflects the impact on mandatorily redeemable capital stock related to excess capital stock repurchases.

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Consolidated Obligations (Contractual Maturity Terms) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Consolidated Obligation Bonds
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 13,809,415	$ 12,576,595
Due in 1 year or less, Weighted Average Interest Rate	1.06%	0.94%
Due after 1 year through 2 years	6,184,340	7,979,165
Due after 1 year through 2 years, Weighted Average Interest Rate	1.29%	1.75%
Due after 2 years through 3 years	3,852,965	2,711,605
Due after 2 years through 3 years, Weighted Average Interest Rate	1.65%	2.29%
Due after 3 years through 4 years	5,352,825	2,040,700
Due after 3 years through 4 years, Weighted Average Interest Rate	1.71%	2.25%
Due after 4 years through 5 years	3,348,565	4,594,700
Due after 4 years through 5 years, Weighted Average Interest Rate	1.49%	1.50%
Thereafter	6,959,690	7,151,890
Thereafter, Weighted Average Interest Rate	2.25%	2.14%
Index amortizing notes	355,982	640,093
Index amortizing notes, Weighted Average Interest Rate	4.16%	4.54%
Par value of consolidated bonds	$ 39,863,782	$ 37,694,748
Par value of consolidated obligation bonds, Weighted Average Interest Rate	1.51%	1.64%

XML

Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended			9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013	Sep. 30, 2014		Sep. 30, 2013	Dec. 31, 2013
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net change in fair value of OTTI securities	$ (378)		$ 1,228	$ 2,594		$ 24,595
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	481,638	[1]		481,638	[1]		657,419	[1]
AFS securities	8,036,697			8,036,697			6,757,717
Trading securities	275,630			275,630			239,190
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(103,815)	[1]		(103,815)	[1]		(189,606)	[1]
Total Derivative assets	52,857			52,857			59,973
Total Derivative liabilities	95,157			95,157			177,488
Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(481,638)	[1]		(481,638)	[1]		(657,419)	[1]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(103,815)	[1]		(103,815)	[1]
Total Derivative assets	(103,815)	[1]		(103,815)	[1]		(189,606)	[1]
Total assets at fair value	(103,815)	[1]		(103,815)	[1]		(189,606)	[1]
Total Derivative liabilities	(481,638)	[1],[2]		(481,638)	[1],[2]		(657,419)	[1],[2]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,998			1,998			1,998
Derivative assets: Interest rate related	0			0			0
Trading securities	5,121			5,121			4,576
Total Derivative assets	0			0			0
Total assets at fair value	7,119			7,119			6,574
Derivative liabilities: Interest rate related	0			0			0
Total Derivative liabilities	0	[2]		0	[2]		0	[2]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	7,009,341			7,009,341			5,617,667
Derivative assets: Interest rate related	156,167			156,167			249,419
Trading securities	270,509			270,509			234,614
Total Derivative assets	156,672			156,672			249,579
Total assets at fair value	7,436,522			7,436,522			6,101,860
Derivative liabilities: Interest rate related	576,795			576,795			834,907
Total Derivative liabilities	576,795	[2]		576,795	[2]		834,907	[2]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,025,358			1,025,358			1,138,052
Derivative assets: Interest rate related	0			0			0
Trading securities	0			0			0
Total Derivative assets	0			0			0
Total assets at fair value	1,025,358			1,025,358			1,138,052
Derivative liabilities: Interest rate related	0			0			0
Total Derivative liabilities	0	[2]		0	[2]		0	[2]
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	8,036,697			8,036,697			6,757,717
Derivative assets: Interest rate related	52,352			52,352			59,813
Trading securities	275,630			275,630			239,190
Total Derivative assets	52,857			52,857			59,973
Total assets at fair value	8,365,184			8,365,184			7,056,880
Derivative liabilities: Interest rate related	95,157			95,157			177,488
Total Derivative liabilities	95,157	[2]		95,157	[2]		177,488	[2]
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	0	[1]		0	[1]		0	[1]
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	0			0			0
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	505			505			160
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	0			0			0
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets: Mortgage delivery commitments	505			505			160
Mutual Funds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,998			1,998			1,998
Trading securities	5,121			5,121			4,576
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,998			1,998			1,998
Trading securities	5,121			5,121			4,576
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Trading securities	0			0			0
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Trading securities	0			0			0
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,998			1,998			1,998
Trading securities	5,121			5,121			4,576
GSE and TVA obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,932,938			2,932,938			2,096,177
Trading securities	270,509			270,509			234,614
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Trading securities	0			0			0
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,932,938			2,932,938			2,096,177
Trading securities	270,509			270,509			234,614
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Trading securities	0			0			0
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,932,938			2,932,938			2,096,177
Trading securities	270,509			270,509			234,614
State or local agency obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	61,231			61,231			14,043
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	61,231			61,231			14,043
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	61,231			61,231			14,043
Other U.S. obligations residential MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	342,728			342,728			385,296
Other U.S. obligations residential MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Other U.S. obligations residential MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	342,728			342,728			385,296
Other U.S. obligations residential MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Other U.S. obligations residential MBS | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	342,728			342,728			385,296
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	3,672,444			3,672,444			3,122,151
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	3,672,444			3,672,444			3,122,151
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,013,002			1,013,002			1,123,624
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,013,002			1,013,002			1,123,624
Total private label MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	1,025,358			1,025,358			1,138,052
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0			0			0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	12,356			12,356			14,428
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	$ 12,356			$ 12,356			$ 14,428

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

[2] Derivative liabilities represent the total liabilities at fair value.

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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	Sep. 30, 2014	Dec. 31, 2013
Advances [Abstract]
Due in 1 year or less	$ 20,274,344	$ 22,169,669
Due after 1 year through 2 years	9,591,673	10,343,245
Due after 2 years through 3 years	10,541,256	6,865,608
Due after 3 years through 4 years	7,974,783	6,073,540
Due after 4 years through 5 years	3,310,062	3,690,006
Thereafter	980,440	571,970
Due in 1 year or less	22,118,344	24,308,669
Due after 1 year through 2 years	8,794,173	10,219,245
Due after 2 years through 3 years	9,916,256	5,752,108
Due after 3 years through 4 years	7,598,783	5,481,540
Due after 4 years through 5 years	3,284,562	3,406,006
Thereafter	960,440	546,470
Total Par Value	$ 52,672,558	$ 49,714,038

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes	$ 31,536,630		$ 28,236,257
Discount Notes
Short-term Debt [Line Items]
Par value	$ 31,541,403		$ 28,242,236
Weighted average interest rate	0.07%	[1]	0.09%	[1]

[1] Represents an implied rate.

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Transactions with Related Parties (Narrative) (Details) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Related Party Transaction [Line Items]
Net gains (losses) on derivatives and hedging activities	$ 247,000	$ 5,396,000	$ (18,455,000)	$ 14,132,000
Principal Owner [Member]
Related Party Transaction [Line Items]
Contractual interest income	81,000,000	86,800,000	243,700,000	256,700,000
Net gains (losses) on derivatives and hedging activities	(45,200,000)	(54,000,000)	(138,700,000)	(160,100,000)
Amortization of basis adjustments	$ (500,000)	$ (600,000)	$ (3,100,000)	$ (2,200,000)

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Capital (Dividends and Retained Earnings) (Details) (USD $) In Thousands, except Per Share data, unless otherwise specified	0 Months Ended			9 Months Ended		0 Months Ended
	Jul. 31, 2014	Apr. 30, 2014	Feb. 21, 2014	Sep. 30, 2014	Dec. 31, 2013	Oct. 31, 2014 Dividend Paid [Member]
Capital [Line Items]
Capital stock, Par value Per Share				$ 100	$ 100
Joint Capital Enhancement Agreement Percentage				20.00%
Retained Earnings (Accumulated Deficit)				$ 803,785	$ 685,719
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter				1.00%
Unrestricted				705,396	625,636
Restricted				$ 98,389	$ 60,083
Dividends, Per Share, Cash, Annualized Rate	4.00%	4.00%	2.50%			4.00%

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Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013		Sep. 30, 2013	Dec. 31, 2012
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Trading securities	$ 275,630		$ 239,190
AFS securities	8,036,697		6,757,717
HTM Securities	3,439,240		3,995,530
Held to maturity securities - fair value	3,482,390		4,034,830
Derivative assets	52,857		59,973
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(103,815)	[1]	(189,606)	[1]
Mandatorily redeemable capital stock	769		40		40	431,566
Derivative liabilities	95,157		177,488
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(481,638)	[1]	(657,419)	[1]
Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,508,402		3,121,345
Interest-bearing deposits	5,425		7,795
Federal funds sold	2,779,997		2,874,983
Trading securities	275,630		239,190
AFS securities	8,036,697		6,757,717
Held to maturity securities - fair value	3,482,390		4,034,830
Advances	53,171,179		50,346,040
Accrued interest receivable	85,580		95,374
Derivative assets	52,857		59,973
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(103,815)	[1]	(189,606)	[1]
Deposits	665,936		694,357
Mandatorily redeemable capital stock	781	[2]	40	[2]
Accrued interest payable	140,780	[2]	97,689	[2]
Derivative liabilities	95,157		177,488
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(481,638)	[1]	(657,419)	[1]
Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,508,402		3,121,345
Interest-bearing deposits	0		0
Federal funds sold	0		0
Trading securities	5,121		4,576
AFS securities	1,998		1,998
Held to maturity securities - fair value	0		0
Advances	0		0
Accrued interest receivable	0		0
Derivative assets	0		0
Deposits	0		0
Mandatorily redeemable capital stock	781	[2]	40	[2]
Accrued interest payable	0		0
Derivative liabilities	0		0
Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0		0
Interest-bearing deposits	5,425		7,795
Federal funds sold	2,779,997		2,874,983
Trading securities	270,509		234,614
AFS securities	7,009,341		5,617,667
Held to maturity securities - fair value	2,758,899		3,164,059
Advances	53,171,179		50,346,040
Accrued interest receivable	85,580		95,374
Derivative assets	156,672		249,579
Deposits	665,936		694,357
Mandatorily redeemable capital stock			0
Accrued interest payable	140,780	[2]	97,689	[2]
Derivative liabilities	576,795		834,907
Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0		0
Interest-bearing deposits	0		0
Federal funds sold	0		0
Trading securities	0		0
AFS securities	1,025,358		1,138,052
Held to maturity securities - fair value	723,491		870,771
Advances	0		0
Accrued interest receivable	0		0
Derivative assets	0		0
Deposits	0
Mandatorily redeemable capital stock	0		0
Accrued interest payable	0		0
Derivative liabilities	0		0
Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,508,402		3,121,345
Interest-bearing deposits	5,425		7,795
Federal funds sold	2,780,000		2,875,000
Trading securities	275,630		239,190
AFS securities	8,036,697		6,757,717
HTM Securities	3,439,240		3,995,530
Advances	53,054,260		50,247,435
Accrued interest receivable	85,580		95,374
Derivative assets	52,857		59,973
Deposits	665,934		694,352
Mandatorily redeemable capital stock	769	[2]	40	[2]
Accrued interest payable	140,792	[2]	97,689	[2]
Derivative liabilities	95,157		177,488
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	3,282,500		3,351,450
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	0		0
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	3,282,500		3,351,450
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	0		0
Mortgage loans held for portfolio, net | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	3,116,285		3,224,091
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	11,524		11,400
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	0		0
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	0		0
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	11,524		11,400
Banking on Business Loans | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans held for Portfolio, Net of Allowance	11,524		11,400
Discount Notes | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	31,537,929		28,238,042
Discount Notes | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0		0
Discount Notes | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	31,537,929		28,238,042
Discount Notes | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0		0
Discount Notes | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	31,536,630		28,236,257
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	40,042,787		37,847,493
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0		0
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	40,042,787		37,847,493
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0		0
Consolidated Obligation Bonds | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	$ 39,889,114		$ 37,698,302

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

[2] The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

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Capital (Capital Requirements) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Capital [Abstract]
Federal Home Loan Bank, Risk-Based Capital, Required	$ 881,809	$ 1,052,654
Federal Home Loan Bank, Risk-Based Capital, Actual	3,883,885	3,647,902
Regulatory Capital Ratio, Required	4.00%	4.00%
Federal Home Loan Bank, Regulatory Capital, Required	3,055,989	2,826,837
Federal Home Loan Bank, Regulatory Capital, Actual	3,883,885	3,647,902
Federal Home Loan Bank, Regulatory Capital Ratio, Actual	5.10%	5.20%
Number of Finance Agency Regualtory Capital Requirements	3
Leverage ratio - Required	5.00%	5.00%
Federal Home Loan Bank, Leverage Capital, Actual	5,825,827	5,471,853
Leverage ratio - Actual	7.60%	7.70%
Federal Home Loan Bank, Leverage Capital, Required	$ 3,819,986	$ 3,533,546

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Derivatives and Hedging Activities (Offsetting Liabilities) (Details) (USD $)	Sep. 30, 2014		Dec. 31, 2013
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	$ 576,795,000		$ 834,907,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(481,638,000)	[1]	(657,419,000)	[1]
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	95,157,000		177,488,000
Derivative liabilities	95,157,000		177,488,000
Derivative Liability, Fair Value, Amount Offset Against Collateral	95,157,000		98,255,000
Over the Counter [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	438,751,000		828,187,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(343,594,000)		(650,699,000)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	95,157,000		177,488,000
Derivative Liability, Not Subject to Master Netting Arrangement	0		0
Derivative liabilities	95,157,000		177,488,000
Derivative, Collateral, Right to Reclaim Securities that can be sold or repledged	0		(79,233,000)
Derivative Liability, Fair Value, Amount Offset Against Collateral	95,157,000		98,255,000
Exchange Cleared [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	138,044,000		6,720,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(138,044,000)		(6,720,000)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	0		0
Derivative liabilities	$ 0		$ 0

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

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Trading Securities (Tables)

9 Months Ended

Sep. 30, 2014

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

Schedule of Trading Securities

The following table presents trading securities as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Non-MBS:
Mutual funds	$	5,121	$	4,576
GSE and Tennessee Valley Authority (TVA) obligations	270,509		234,614
Total	$	275,630	$	239,190

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 third quarter and the first nine months of 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014			2013		2014		2013
Net unrealized gains (losses) on trading securities held at period-end	$	(47	)	$	166	$	16,448	$	484
Net realized gains (losses) on securities sold/matured during the period	—			—		86		(35		)
Net gains (losses) on trading securities	$	(47	)	$	166	$	16,534	$	449

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Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Amortized Cost:
Amortized Cost	$ 3,439,240	$ 3,995,530
Fair Value:
Fair Value	3,482,390	4,034,830
Total non-MBS
Amortized Cost:
Due after one year through five years	17,702	16,221
Due after five years through ten years	35,757	40,043
Due after ten years	177,427	202,890
Amortized Cost	230,886	259,154
Fair Value:
Due after one year through five years	18,125	16,941
Due after five years through ten years	37,135	41,530
Due after ten years	166,956	194,468
Fair Value	222,216	252,939
MBS [Member]
Amortized Cost:
Amortized Cost	3,208,354	3,736,376
Fair Value:
Fair Value	$ 3,260,174	$ 3,781,891

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Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Available-for-sale Securities [Abstract]
Noncredit portion of OTTI losses	$ (1,182)	$ (3,832)
Net unrealized gains on OTTI securities since their last OTTI credit charge	92,916	81,474
Net noncredit portion of OTTI losses on AFS securities in AOCI	$ 91,734	$ 77,642

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 13,809,415	$ 12,576,595
Due after 1 year through 2 years	6,184,340	7,979,165
Due after 2 years through 3 years	3,852,965	2,711,605
Due after 3 years through 4 years	5,352,825	2,040,700
Due after 4 years through 5 years	3,348,565	4,594,700
Thereafter	6,959,690	7,151,890
Index amortizing notes	355,982	640,093
Par value of consolidated bonds	39,863,782	37,694,748
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	27,998,415	23,436,595
Due after 1 year through 2 years	5,754,340	7,914,165
Due after 2 years through 3 years	2,327,965	2,196,605
Due after 3 years through 4 years	1,803,325	1,437,200
Due after 4 years through 5 years	688,565	1,150,700
Thereafter	935,190	919,390
Index amortizing notes	$ 355,982	$ 640,093

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2014

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

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

(in thousands)	September 30, 2014						December 31, 2013
Notional amount	Final Expiration Date Within One Year		Final Expiration Date After One Year (3)		Total		Total
Standby letters of credit outstanding (1)	$	11,347,348	$	7,577,171	$	18,924,519	$	14,665,346
Commitments to fund additional advances and BOB loans	19,686		—		19,686		411,249
Commitments to fund or purchase mortgage loans	26,861		—		26,861		12,279
Unsettled consolidated obligation bonds, at par (2)	338,000		—		338,000		32,000
Unsettled consolidated obligation discount notes, at par	250,000		—		250,000		750,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $150.8 million and $154.1 million at September 30, 2014 and December 31, 2013, respectively.

⁽²⁾ Includes $330.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at September 30, 2014 and December 31, 2013, respectively.

⁽³⁾ These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less.

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Other-Than-Temporary Impairment (OTTI Securities) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014
Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
AFS Securities-Unpaid Principal Balance	$ 1,171,268
AFS Securities-Amortized Cost	933,820	[1]
AFS Securities-Fair Value	1,025,358
Available-for-sale Securities | Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	1,167,571
Private label MBS with no OTTI-Unpaid Principal Balance	3,697
OTTI Securities-Amortized Cost	930,123	[1]
Private label MBS with no OTTI - Amortized Cost	3,697	[1]
OTTI Securities-Fair Value	1,021,857
Private label MBS with no OTTI-Fair Value	3,501
Available-for-sale Securities | Private label residential MBS [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	528,448
OTTI Securities-Amortized Cost	428,843	[1]
OTTI Securities-Fair Value	481,535
Available-for-sale Securities | Private label residential MBS [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	622,987
OTTI Securities-Amortized Cost	490,316	[1]
OTTI Securities-Fair Value	526,466
Available-for-sale Securities | Private label residential MBS [Member] | Subprime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	2,216
OTTI Securities-Amortized Cost	1,333	[1]
OTTI Securities-Fair Value	1,500
Available-for-sale Securities | HELOCs [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	13,920
OTTI Securities-Amortized Cost	9,631	[1]
OTTI Securities-Fair Value	$ 12,356

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

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness	$ 1,203	$ 3,116	$ 3,130	$ 4,004
Net gains (losses) related to derivatives not designated as hedging instruments	(956)	2,280	(21,585)	10,128
Net gains (losses) on derivatives and hedging activities	247	5,396	(18,455)	14,132
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness	1,203	3,116	3,130	4,004
Net gains (losses) related to derivatives not designated as hedging instruments	(9,552)	(3,504)	(44,089)	(11,327)
Interest Rate Swaption [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	101	0	366	0
Interest Rate Caps and Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	(261)	(894)	(3,802)	1,535
Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	6,460	5,055	20,009	14,325
Intermediary Transactions Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	7	4	19	11
Mortgages [Member] | Forward Contracts [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	$ 2,289	$ 1,619	$ 5,912	$ 5,584

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Allowance for Credit Losses (Allowance for Credit Losses) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended			9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013	Sep. 30, 2014		Sep. 30, 2013	Dec. 31, 2013
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance							$ 11,359
Ending Balance	7,710			7,710			11,359
Total recorded investment	3,153,765	[1]		3,153,765	[1]		3,265,996	[1]
Mortgage loans held for portfolio, net
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	7,543		12,208	11,359		14,163
(Charge-offs) Recoveries, net	613		(188)	311		(810)
Provision (benefit) for credit losses	(446)		(748)	(3,960)		(2,081)
Ending Balance	7,710		11,272	7,710		11,272
Ending balance, individually evaluated for impairment	6,172			6,172			795
Ending balance, collectively evaluated for impairment	1,538			1,538			10,564
Individually evaluated for impairment, with or without a related allowance	71,135			71,135			15,571
Collectively evaluated for impairment	2,771,059			2,771,059			2,919,583
Total recorded investment	2,842,194			2,842,194			2,935,154
Banking on Business Loans
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	1,974		2,362	2,231		2,481
(Charge-offs) Recoveries, net	(8)		0	(363)		134
Provision (benefit) for credit losses	14		(21)	112		(6)
Ending Balance	1,980		2,341	1,980		2,341
Ending balance, individually evaluated for impairment	43			43			0
Ending balance, collectively evaluated for impairment	1,937			1,937			2,231
Individually evaluated for impairment, with or without a related allowance	116			116			0
Collectively evaluated for impairment	13,503			13,503			13,742
Total recorded investment	$ 13,619	[1]		$ 13,619	[1]		$ 13,742	[1]

[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 unaccreted discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance.

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Available-for-Sale (AFS) Securities (Narrative) (Details) (USD $)									9 Months Ended
	Sep. 30, 2014	Jun. 30, 2014	Dec. 31, 2013	Sep. 30, 2013	Jun. 30, 2013	Dec. 31, 2012	Sep. 30, 2014 MBS [Member]	Dec. 31, 2013 MBS [Member]	Sep. 30, 2014 Total private label MBS loan	Sep. 30, 2014 SERP [Member]	Dec. 31, 2013 SERP [Member]	Sep. 30, 2014 Available-for-sale Securities MBS [Member]	Dec. 31, 2013 Available-for-sale Securities MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Supplemental retirement obligation										$ 5,700,000	$ 5,400,000
Net purchased discounts							(9,300,000)	(8,400,000)
Credit losses	(296,915,000)	(302,421,000)	(314,224,000)	(319,441,000)	(322,144,000)	(326,024,000)						(228,500,000)	(246,100,000)
Other Than Temporary Impairment Credit Losses Recognized In Earnings Interest Accretion Adjustment												$ 7,800,000	$ 1,400,000
Number of securities transferred from HTM to AFS									0

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Background Information

9 Months Ended

Sep. 30, 2014

Nature of Operations [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 membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock.

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

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to 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 Federal Home Loan Bank Act (FHLBank Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare and issue 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. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2013 included in the Bank's 2013 Form 10-K.

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Allowance for Credit Losses (Credit Quality Indicators) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	$ 66,586	[1]	$ 71,420	[1]
Past due 60-89 days	17,562	[1]	19,464	[1]
Past due 90 days or more	51,394	[1]	64,283	[1]
Total past due loans	135,542	[1]	155,167	[1]
Total current loans	3,018,223	[1]	3,110,829	[1]
Total recorded investment	3,153,765	[1]	3,265,996	[1]
In process of foreclosures, included above (2)	29,638	[2]	46,354	[2]
Serious delinquency rate (3)	1.60%	[3]	2.00%	[3]
Past due 90 days or more still accruing interest	7,213		8,556
Loans on nonaccrual status (4)	47,838	[4]	59,696	[4]
Conventional MPF Loan [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	49,506	[1]	52,689	[1]
Past due 60-89 days	12,465	[1]	13,522	[1]
Past due 90 days or more	44,011	[1]	55,508	[1]
Total past due loans	105,982	[1]	121,719	[1]
Total current loans	2,736,212	[1]	2,813,435	[1]
Total recorded investment	2,842,194	[1]	2,935,154	[1]
In process of foreclosures, included above (2)	27,828	[2]	43,953	[2]
Serious delinquency rate (3)	1.50%	[3]	1.90%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	47,547	[4]	59,244	[4]
Government-Insured Mortgage Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	17,080	[1]	18,580	[1]
Past due 60-89 days	5,092	[1]	5,860	[1]
Past due 90 days or more	7,213	[1]	8,556	[1]
Total past due loans	29,385	[1]	32,996	[1]
Total current loans	268,567	[1]	284,104	[1]
Total recorded investment	297,952	[1]	317,100	[1]
In process of foreclosures, included above (2)	1,810	[2]	2,401	[2]
Serious delinquency rate (3)	2.40%	[3]	2.70%	[3]
Past due 90 days or more still accruing interest	7,213		8,556
Loans on nonaccrual status (4)	0	[4]	0	[4]
Banking on Business Loans
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	0	[1]	151	[1]
Past due 60-89 days	5	[1]	82	[1]
Past due 90 days or more	170	[1]	219	[1]
Total past due loans	175	[1]	452	[1]
Total current loans	13,444	[1]	13,290	[1]
Total recorded investment	13,619	[1]	13,742	[1]
In process of foreclosures, included above (2)	0	[2]	0	[2]
Serious delinquency rate (3)	1.20%	[3]	1.60%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	$ 291	[4]	$ 452	[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 unaccreted 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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Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Fair Value:
Less than 12 Months	$ 1,791,979		$ 2,881,129
Greater than 12 Months	909,974		145,967
Fair Value	2,701,953		3,027,096
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(5,789)		(44,235)
UnrealizedLossPositiongreaterthan12Months	(14,649)		(4,694)
Unrealized Losses (1)	(20,438)	[1]	(48,929)	[1]
Total non-MBS
Fair Value:
Less than 12 Months	1,499,733		1,354,082
Greater than 12 Months	234,786		8,664
Fair Value	1,734,519		1,362,746
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(4,647)		(9,286)
UnrealizedLossPositiongreaterthan12Months	(1,506)		(966)
Unrealized Losses (1)	(6,153)	[1]	(10,252)	[1]
GSE and TVA obligations [Member]
Fair Value:
Less than 12 Months	1,489,611		1,350,088
Greater than 12 Months	222,906		0
Fair Value	1,712,517		1,350,088
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(4,219)		(8,830)
UnrealizedLossPositiongreaterthan12Months	(900)		0
Unrealized Losses (1)	(5,119)	[1]	(8,830)	[1]
State or local agency obligations [Member]
Fair Value:
Less than 12 Months	10,122		3,994
Greater than 12 Months	11,880		8,664
Fair Value	22,002		12,658
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(428)		(456)
UnrealizedLossPositiongreaterthan12Months	(606)		(966)
Unrealized Losses (1)	(1,034)	[1]	(1,422)	[1]
Other U.S. obligations residential MBS
Fair Value:
Less than 12 Months	0		317,394
Greater than 12 Months	137,398		28,803
Fair Value	137,398		346,197
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	0		(806)
UnrealizedLossPositiongreaterthan12Months	(243)		(94)
Unrealized Losses (1)	(243)	[1]	(900)	[1]
Total MBS [Member]
Fair Value:
Less than 12 Months	292,246		1,527,047
Greater than 12 Months	675,188		137,303
Fair Value	967,434		1,664,350
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(1,142)		(34,949)
UnrealizedLossPositiongreaterthan12Months	(13,143)		(3,728)
Unrealized Losses (1)	(14,285)	[1]	(38,677)	[1]
Private label MBS [Member]
Fair Value:
Less than 12 Months	43,311		66,847
Greater than 12 Months	51,997		43,985
Fair Value	95,308		110,832
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(145)		(648)
UnrealizedLossPositiongreaterthan12Months	(1,233)		(3,348)
Unrealized Losses (1)	(1,378)	[1]	(3,996)	[1]
Asset Backed Securities, Backed By Home Equity Loans [Member] [Domain]
Fair Value:
Less than 12 Months	0		0
Greater than 12 Months	1,534		1,679
Fair Value	1,534		1,679
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	0		0
UnrealizedLossPositiongreaterthan12Months	(53)		(109)
Unrealized Losses (1)	(53)	[1]	(109)	[1]
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	248,935		1,142,806
Greater than 12 Months	485,793		64,515
Fair Value	734,728		1,207,321
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(997)		(33,495)
UnrealizedLossPositiongreaterthan12Months	(11,667)		(286)
Unrealized Losses (1)	(12,664)	[1]	(33,781)	[1]
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Fair Value:
Less than 12 Months	43,311		66,847
Greater than 12 Months	50,463		42,306
Fair Value	93,774		109,153
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(145)		(648)
UnrealizedLossPositiongreaterthan12Months	(1,180)		(3,239)
Unrealized Losses (1)	$ (1,325)	[1]	$ (3,887)	[1]

[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.

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Advances (Tables)

9 Months Ended

Sep. 30, 2014

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 September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014					December 31, 2013
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	20,274,344		0.42	%	$	22,169,669		0.41	%
Due after 1 year through 2 years	9,591,673			1.15		10,343,245			1.36
Due after 2 years through 3 years	10,541,256			1.17		6,865,608			1.68
Due after 3 years through 4 years	7,974,783			1.53		6,073,540			1.21
Due after 4 years through 5 years	3,310,062			0.83		3,690,006			2.12
Thereafter	980,440			1.56		571,970			2.89
Total par value	52,672,558			0.92	%	49,714,038			1.04	%
Discount on AHP advances	(84		)			(141		)
Deferred prepayment fees	(9,560		)			(12,371		)
Hedging adjustments	391,346					545,909
Total book value	$	53,054,260				$	50,247,435

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

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of September 30, 2014 and December 31, 2013.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Due in 1 year or less	$	20,274,344	$	22,169,669	$	22,118,344	$	24,308,669
Due after 1 year through 2 years	9,591,673		10,343,245		8,794,173		10,219,245
Due after 2 years through 3 years	10,541,256		6,865,608		9,916,256		5,752,108
Due after 3 years through 4 years	7,974,783		6,073,540		7,598,783		5,481,540
Due after 4 years through 5 years	3,310,062		3,690,006		3,284,562		3,406,006
Thereafter	980,440		571,970		960,440		546,470
Total par value	$	52,672,558	$	49,714,038	$	52,672,558	$	49,714,038

Schedule of Advances Classified by Contractual Interest Payment Terms

The following table details interest rate payment terms for advances as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Fixed rate – overnight	$	1,998,742	$	1,284,394
Fixed rate – term:
Due in 1 year or less	12,947,675		17,801,335
Thereafter	11,159,287		10,778,131
Total fixed rate	26,105,704		29,863,860
Variable rate:
Due in 1 year or less	5,327,927		3,083,940
Thereafter	21,238,927		16,766,238
Total variable rate	26,566,854		19,850,178
Total par value	$	52,672,558	$	49,714,038

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Other-Than-Temporary Impairment (Tables)

9 Months Ended

Sep. 30, 2014

Other Than Temporary Impairment [Abstract]

Schedule of Other Than Temporarily Impaired Charges of Securities

The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2014 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	$	528,448	$	428,843	$	481,535
Alt-A	622,987		490,316		526,466
Subprime	2,216		1,333		1,500
HELOCs	13,920		9,631		12,356
Total OTTI securities	1,167,571		930,123		1,021,857
Private label MBS with no OTTI	3,697		3,697		3,501
Total AFS private label MBS	$	1,171,268	$	933,820	$	1,025,358

Notes:

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

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and nine months ended September 30, 2014 and 2013.

(in thousands)	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
Beginning balance	$	302,421		$	322,144		$	314,224		$	326,024
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	—			—			—			442
Reductions:
Securities sold and matured during the period	256			—			292			(59		)
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(5,762		)	(2,703		)	(17,601		)	(6,966		)
Balance, September 30	$	296,915		$	319,441		$	296,915		$	319,441

Notes:

⁽¹⁾ For the three months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to July 1, 2014 and 2013. For the nine months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013.

⁽²⁾ This activity represents amounts accreted as interest income over the remaining lives of the applicable securities.

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Advances (Portfolio by Year of Contractual Maturity) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract]
Due in 1 year or less	$ 20,274,344	$ 22,169,669
Due after 1 year through 2 years	9,591,673	10,343,245
Due after 2 years through 3 years	10,541,256	6,865,608
Due after 3 years through 4 years	7,974,783	6,073,540
Due after 4 years through 5 years	3,310,062	3,690,006
Thereafter	980,440	571,970
Total Par Value	52,672,558	49,714,038
Discount on AHP advances	(84)	(141)
Deferred prepayment fees	(9,560)	(12,371)
Hedging adjustments	391,346	545,909
Total book value	$ 53,054,260	$ 50,247,435
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract]
Due in 1 year or less	0.42%	0.41%
Due after 1 year through 2 years	1.15%	1.36%
Due after 2 years through 3 years	1.17%	1.68%
Due after 3 years through 4 years	1.53%	1.21%
Due after 4 years through 5 years	0.83%	2.12%
Thereafter	1.56%	2.89%
Total par value, Weighted Average Interest Rate	0.92%	1.04%

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Available-for-Sale (AFS) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Amortized Cost:
Amortized Cost	$ 7,927,875	[1]	$ 6,712,556	[1]
Fair Value:
Fair Value	8,036,697		6,757,717
Total non-MBS
Amortized Cost:
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis	301,980		201,992
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis	1,843,749		1,226,635
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis	608,649		524,313
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis	230,503		168,330
Amortized Cost	2,984,881	[1]	2,121,270	[2]
Fair Value:
Available-for-sale Securities, Debt Maturities, Next Twelve Months, Fair Value	302,208		202,104
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value	1,839,334		1,223,399
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value	619,890		521,278
Available-for-sale Securities, Debt Maturities, after Ten Years, Fair Value	234,735		165,437
Fair Value	2,996,167		2,112,218	[2]
MBS [Member]
Amortized Cost:
Amortized Cost	4,942,994	[1]	4,591,286	[1]
Fair Value:
Fair Value	$ 5,040,530		$ 4,645,499

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

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

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Mortgage Loans Held for Portfolio (Tables)

9 Months Ended

Sep. 30, 2014

Mortgage Loans on Real Estate [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of September 30, 2014 and December 31, 2013 for mortgage loans held for portfolio.

(in thousands)	September 30, 2014			December 31, 2013
Fixed-rate medium-term single-family mortgages (1)	$	433,322		$	488,334
Fixed-rate long-term single-family mortgages (1)	2,622,025			2,682,255
Total par value	3,055,347			3,170,589
Premiums	49,993			50,436
Discounts	(5,198		)	(6,147		)
Hedging adjustments	23,853			20,572
Total mortgage loans held for portfolio	$	3,123,995		$	3,235,450

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

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Government-guaranteed/insured loans	$	287,262	$	306,025
Conventional loans	2,768,085		2,864,564
Total par value	$	3,055,347	$	3,170,589

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Allowance for Credit Losses (Tables)

9 Months Ended

Sep. 30, 2014

Financing Receivable, Allowance for Credit Losses [Line Items]

Past Due Financing Receivables

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

(in thousands)	September 30, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	49,506		$	17,080		$	—		$	66,586
Past due 60-89 days	12,465			5,092			5			17,562
Past due 90 days or more	44,011			7,213			170			51,394
Total past due loans	$	105,982		$	29,385		$	175		$	135,542
Total current loans	2,736,212			268,567			13,444			3,018,223
Total loans	$	2,842,194		$	297,952		$	13,619		$	3,153,765
Other delinquency statistics:
In process of foreclosures, included above (2)	$	27,828		$	1,810		$	—		$	29,638
Serious delinquency rate (3)	1.5		%	2.4		%	1.2		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,213		$	—		$	7,213
Loans on nonaccrual status (4)	$	47,547		$	—		$	291		$	47,838

(in thousands)	December 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	52,689		$	18,580		$	151		$	71,420
Past due 60-89 days	13,522			5,860			82			19,464
Past due 90 days or more	55,508			8,556			219			64,283
Total past due loans	$	121,719		$	32,996		$	452		$	155,167
Total current loans	2,813,435			284,104			13,290			3,110,829
Total loans	$	2,935,154		$	317,100		$	13,742		$	3,265,996
Other delinquency statistics:
In process of foreclosures, included above (2)	$	43,953		$	2,401		$	—		$	46,354
Serious delinquency rate (3)	1.9		%	2.7		%	1.6		%	2.0		%
Past due 90 days or more still accruing interest	$	—		$	8,556		$	—		$	8,556
Loans on nonaccrual status (4)	$	59,244		$	—		$	452		$	59,696

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 unaccreted 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

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 and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	2,567	$	2,567	$	3,658	$	3,658

	Nine months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	8,949	$	8,949	$	9,827	$	9,775

Individually Evaluated Impared Loan Statistic By Product Level

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	September 30, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	32,618	$	32,317	$	—
With a related allowance:
Conventional MPF loans	38,517		38,340		6,172
Total:
Conventional MPF loans	$	71,135	$	70,657	$	6,172

	December 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	501	$	498	$	—
With a related allowance:
Conventional MPF loans	15,070		15,004		795
Total:
Conventional MPF loans	$	15,571	$	15,502	$	795

Impaired Financing Receivables

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

	Three months ended September 30, 2014				Three months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	72,990	$	350	$	15,258	$	190

	Nine months ended September 30, 2014				Nine months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	76,809	$	1,032	$	14,316	$	533

Mortgage loans held for portfolio, net

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables

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

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, beginning of period	$	7,543		$	12,208		$	11,359		$	14,163
(Charge-offs) Recoveries, net	613			(188		)	311			(810		)
Provision (benefit) for credit losses	(446		)	(748		)	(3,960		)	(2,081		)
Balance, September 30	$	7,710		$	11,272		$	7,710		$	11,272

Allowance for Credit Losses and Recorded Investment By Impairment Methodology

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	6,172	$	795
Ending balance, collectively evaluated for impairment	1,538		10,564
Total allowance for credit losses	$	7,710	$	11,359
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	71,135	$	15,571
Collectively evaluated for impairment	2,771,059		2,919,583
Total recorded investment	$	2,842,194	$	2,935,154

Banking on Business Loans

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, Beginning of period	$	1,974		$	2,362		$	2,231		$	2,481
Charge-offs	(8		)	—			(363		)	(134		)
Provision (benefit) for credit losses	14			(21		)	112			(6		)
Balance, September 30	$	1,980		$	2,341		$	1,980		$	2,341

Allowance for Credit Losses and Recorded Investment By Impairment Methodology

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	43	$	—
Ending balance, collectively evaluated for impairment	1,937		2,231
Total allowance for credit losses	$	1,980	$	2,231
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	116	$	—
Collectively evaluated for impairment	13,503		13,742
Total recorded investment	$	13,619	$	13,742

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Statement of Changes in Capital (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			$ 3,692,202	$ 3,428,945
Issuance of capital stock			1,355,404	933,991
Repurchase/redemption of capital stock			(1,229,794)	(1,261,637)
Net shares reclassified to mandatorily redeemable capital stock			(8,422)	(698)
Comprehensive Income	56,492	39,424	255,299	93,205
Cash dividends			(73,461)	(11,211)
Total capital, ending balance	3,991,228	3,182,595	3,991,228	3,182,595
Capital Stock - Putable
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			2,962,143	2,815,965
Balance, shares beginning balance			29,622	28,160
Issuance of capital stock			1,355,404	933,991
Issuance of capital stock, shares			13,554	9,340
Repurchase/redemption of capital stock			(1,229,794)	(1,261,637)
Repurchase/redemption of capital stock, shares			(12,298)	(12,617)
Net shares reclassified to mandatorily redeemable capital stock			(8,422)	(698)
Net shares reclassified to mandatorily redeemable capital stock, shares			(84)	(7)
Total capital, ending balance	3,079,331	2,487,621	3,079,331	2,487,621
Balance, shares ending balance	30,794	24,876	30,794	24,876
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			625,636	528,767
Comprehensive Income			153,221	83,319
Cash dividends			(73,461)	(11,211)
Total capital, ending balance	705,396	600,875	705,396	600,875
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			60,083	30,508
Comprehensive Income			38,306	20,830
Total capital, ending balance	98,389	51,338	98,389	51,338
Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			685,719	559,275
Comprehensive Income			191,527	104,149
Cash dividends			(73,461)	(11,211)
Total capital, ending balance	803,785	652,213	803,785	652,213
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			44,340	53,705
Comprehensive Income			63,772	(10,944)
Total capital, ending balance	$ 108,112	$ 42,761	$ 108,112	$ 42,761

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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 September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	28,783,665	$	112,787		$	543,784
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,994,286	$	37,183		$	33,011
Interest rate swaptions	50,000		1,079			—
Interest rate caps	796,000		5,118			—
Mortgage delivery commitments	26,861		505			—
Total derivatives not in hedge accounting relationships	$	12,867,147	$	43,885		$	33,011
Total derivatives before netting and collateral adjustments	$	41,650,812	$	156,672		$	576,795
Netting adjustments			(85,610		)	(85,610		)
Cash collateral and related accrued interest			(18,205		)	(396,028		)
Total collateral and netting adjustments (1)			(103,815		)	(481,638		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,857		$	95,157

	December 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,443,924	$	169,718		$	800,078
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	10,730,985	$	72,519		$	34,829
Interest rate caps	1,064,500		7,182			—
Mortgage delivery commitments	12,279		160			—
Total derivatives not in hedge accounting relationships	$	11,807,764	$	79,861		$	34,829
Total derivatives before netting and collateral adjustments	$	37,251,688	$	249,579		$	834,907
Netting adjustments			(182,045		)	(182,045		)
Cash collateral and related accrued interest			(7,561		)	(475,374		)
Total collateral and netting adjustments (1)			(189,606		)	(657,419		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	59,973		$	177,488

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

Derivative Instruments, Gain (Loss)

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 September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	1,203		$	3,116		$	3,130		$	4,004
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(9,552	)	$	(3,504	)	$	(44,089	)	$	(11,327	)
Interest rate swaptions	101			—			366			—
Interest rate caps	(261		)	(894		)	(3,802		)	1,535
Net interest settlements	6,460			5,055			20,009			14,325
Mortgage delivery commitments	2,289			1,619			5,912			5,584
Other	7			4			19			11
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(956	)	$	2,280		$	(21,585	)	$	10,128
Net gains (losses) on derivatives and hedging activities	$	247		$	5,396		$	(18,455	)	$	14,132

Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance

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 three and nine months ended September 30, 2014 and 2013.

(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 September 30, 2014
Hedged item type:
Advances	$	89,426		$	(87,573	)	$	1,853		$	(57,130	)
Consolidated obligations – bonds	(72,049		)	71,557			(492		)	59,146
AFS securities	1,117			(1,275		)	(158		)	(2,920		)
Total	$	18,494		$	(17,291	)	$	1,203		$	(904	)
Nine months ended September 30, 2014
Hedged item type:
Advances	$	150,102		$	(147,208	)	$	2,894		$	(174,125	)
Consolidated obligations – bonds	38,336			(37,053		)	1,283			172,695
AFS securities	(17,727		)	16,680			(1,047		)	(8,355		)
Total	$	170,711		$	(167,581	)	$	3,130		$	(9,785	)

(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 September 30, 2013
Hedged item type:
Advances	$	29,142		$	(27,194	)	$	1,948	$	(64,388	)
Consolidated obligations – bonds	34,356			(33,967		)	389		57,917
AFS securities	(3,443		)	4,222			779		(911		)
Total	$	60,055		$	(56,939	)	$	3,116	$	(7,382	)
Nine months ended September 30, 2013
Hedged item type:
Advances	$	222,985		$	(220,743	)	$	2,242	$	(190,432	)
Consolidated obligations – bonds	(258,510		)	259,393			883		162,998
AFS securities	(2,653		)	3,532			879		(926		)
Total	$	(38,178	)	$	42,182		$	4,004	$	(28,360	)

Note:

⁽¹⁾Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.2 million and $4.5 million for the third quarter of 2014 and 2013, respectively, and $11.2 million and $14.0 million for the nine months ended September 30, 2014 and 2013, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

Offsetting Assets

The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	148,685		$	234,156
Cleared derivatives		7,482			15,264
Total gross recognized amount		156,167			249,420
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(137,468		)	(205,752		)
Cleared derivatives		33,653			16,146
Total gross amounts of netting adjustments and cash collateral		(103,815		)	(189,606		)
Net amounts after netting adjustments:
Bilateral derivatives		11,217			28,404
Cleared derivatives		41,135			31,410
Total net amounts after netting adjustments		52,352			59,814
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		505			159
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		505			159
Total derivative assets
Bilateral derivatives		11,722			28,563
Cleared derivatives		41,135			31,410
Total derivative assets as reported in the Statement of Condition		52,857			59,973
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(6,264		)	(13,778		)
Net unsecured amount:
Bilateral derivatives		5,458			14,785
Cleared derivatives		41,135			31,410
Total net unsecured amount		$	46,593		$	46,195

Offsetting Liabilities

	Derivative Liabilities
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	438,751		$	828,187
Cleared derivatives		138,044			6,720
Total gross recognized amount		576,795			834,907
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(343,594		)	(650,699		)
Cleared derivatives		(138,044		)	(6,720		)
Total gross amounts of netting adjustments and cash collateral		(481,638		)	(657,419		)
Net amounts after netting adjustments:
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		95,157			177,488
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		—			—
Total derivative liabilities
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		95,157			177,488
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		—			(79,233		)
Net unsecured amount:
Bilateral derivatives		95,157			98,255
Net unsecured amount		$	95,157		$	98,255

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

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Transactions with Related Parties (By Balance Sheet Grouping) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Related Party Transaction [Line Items]
Federal funds sold	$ 2,780,000	$ 2,875,000
Investments	11,751,567	10,992,437
Advances	53,054,260	50,247,435
MPF loans	3,055,347	3,170,589
Capital stock	3,079,331	2,962,143
Principal Owner [Member]
Related Party Transaction [Line Items]
Federal funds sold	0	45,000
Investments	161,885	168,905
Advances	33,804,195	37,978,850
Letters of credit	9,487,132	7,206,562
MPF loans	1,397,353	1,633,238
Deposits	11,401	10,422
Capital stock	$ 1,604,489	$ 1,834,397

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Trading Securities [Abstract]
Net unrealized gains on trading securities held at period-end	$ (47)	$ 166	$ 16,448	$ 484
Net realized gains (losses) on securities sold/matured during the period	0	0	86	(35)
Net gains (losses) on trading securities	$ (47)	$ 166	$ 16,534	$ 449

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Other-Than-Temporary Impairment (Rollforward) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013		Sep. 30, 2014		Sep. 30, 2013
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Beginning balance	$ 302,421		$ 322,144		$ 314,224		$ 326,024
Additional OTTI credit losses for which an OTTI charge was previously recognized(1)	0	[1]	0	[1]	0	[1]	442	[1]
Securities sold and matured during the period	256		0		292		(59)
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2)	(5,762)	[2]	(2,703)	[2]	(17,601)	[2]	(6,966)	[2]
Ending balance	$ 296,915		$ 319,441		$ 296,915		$ 319,441

[1] For the three months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to July 1, 2014 and 2013. For the nine months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013.

[2] This activity represents amounts accreted as interest income over the remaining lives of the applicable securities.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Schedule of Short-term and Long-term Debt [Line Items]
Federal Home Loan Bank, Consolidated Obligations, Bonds	$ 39,889,114	$ 37,698,302
FHLBanks [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	816,900,000	766,800,000
Consolidated Obligation Bonds
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	39,863,782	37,694,748
Bond premiums	91,457	87,961
Bond discounts	(12,206)	(14,019)
Hedging adjustments	(53,919)	(70,388)
Federal Home Loan Bank, Consolidated Obligations, Bonds	39,889,114	37,698,302
Consolidated Obligation Bonds | Fixed Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	31,020,282	29,062,248
Consolidated Obligation Bonds | Step Up [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	4,378,500	3,052,500
Consolidated Obligation Bonds | Floating Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 4,465,000	$ 5,580,000

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Statement of Income (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Interest income:
Advances	$ 66,127	$ 55,559	$ 188,121	$ 167,858
Prepayment fees on advances, net	947	9	5,848	2,124
Interest-bearing deposits	90	112	270	368
Securities purchased under agreements to resell	25	14	46	848
Federal funds sold	1,029	726	2,688	3,325
Trading securities	1,948	9	5,715	72
Available-for-sale (AFS) securities	34,594	30,399	102,427	87,964
Held-to-maturity (HTM) securities	17,977	23,298	57,203	75,461
Mortgage loans held for portfolio	31,986	34,200	98,216	107,463
Total interest income	154,723	144,326	460,534	445,483
Interest expense:
Consolidated obligations - discount notes	6,281	3,677	17,881	13,445
Consolidated obligations - bonds	76,046	92,783	242,051	295,424
Mandatorily redeemable capital stock	12	317	46	1,336
Deposits	54	55	166	269
Other borrowings	0	3	4	14
Total interest expense	82,393	96,835	260,148	310,488
Net interest income	72,330	47,491	200,386	134,995
Provision (benefit) for credit losses	(426)	(682)	(3,888)	(2,025)
Net interest income after provision (benefit) for credit losses	72,756	48,173	204,274	137,020
Other noninterest income (loss):
Total OTTI losses (Note 5)	0	0	0	0
OTTI losses reclassified (from) AOCI (Note 5)	0	0	0	(442)
Net OTTI losses, credit portion (Note 5)	0	0	0	(442)
Net gains (losses) on trading securities (Note 2)	(47)	166	16,534	449
Net realized (loss) from sales of AFS securities (Note 3)	0	(41)	0	(41)
Net gains on derivatives and hedging activities (Note 9)	247	5,396	(18,455)	14,132
Net gains on extinguishment of debt	0	9,665	0	9,665
Gains on litigation settlements, net	14,123	0	50,733	1,482
Standby letters of credit fees	4,414	2,086	12,377	5,819
Other, net	482	537	2,187	1,473
Total other noninterest income	19,219	17,809	63,376	32,537
Noninterest Expense [Abstract]
Compensation and benefits	9,428	9,232	28,924	28,372
Other operating	6,215	6,698	19,937	19,847
Finance Agency	984	795	3,217	2,761
Office of Finance	886	907	2,760	2,708
Total other expense	17,513	17,632	54,838	53,688
Income before assessments	74,462	48,350	212,812	115,869
Affordable Housing Program (AHP) assessment	7,447	4,866	21,285	11,720
Net Income	$ 67,015	$ 43,484	$ 191,527	$ 104,149
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	30,234	27,005	29,131	27,649
Basic and diluted earnings per share	$ 2.22	$ 1.61	$ 6.57	$ 3.77
Dividends per share	$ 0.93	$ 0.26	$ 2.52	$ 0.41

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Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 7,927,875	[1]	$ 6,712,556	[1]
Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,984,881	[1]	2,121,270	[2]
MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,942,994	[1]	4,591,286	[1]
Fixed Interest Rate [Member] | Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,565,185		1,536,763
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,054,209		2,155,940
Adjustable Interest Rate [Member] | Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	419,696		584,507
Adjustable Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 2,888,785		$ 2,435,346

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

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

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Statement of Cash Flows (USD $) In Thousands, unless otherwise specified	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013
OPERATING ACTIVITIES
Net Income	$ 191,527	$ 104,149
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	(42,779)	(27,633)
Change in net fair value adjustment on derivative and hedging activities	22,084	(23,170)
Net OTTI credit losses	0	442
Gains on extinguishment of debt	0	(9,665)
Other adjustments	(4,596)	(1,985)
Net change in:
Trading securities	(46,331)	331,724
Accrued interest receivable	9,791	7,688
Other assets	(813)	800
Accrued interest payable	43,104	36,217
Other liabilities	15,499	8,643
Total adjustments	(4,041)	323,061
Net cash provided by operating activities	187,486	427,210
Net change in:
Interest-bearing deposits (including $2,370 and $7,084 from other FHLBanks for mortgage loan program)	81,701	(157,297)
Securities purchased under agreements to resell	0	2,250,000
Federal funds sold	95,000	890,000
AFS securities:
Proceeds (include $19,909 from sale of AFS securities in 2013)	1,207,035	1,309,600
Purchases	(2,394,916)	(2,315,345)
HTM securities:
Net change in short-term	0	50,000
Proceeds from long-term maturities	556,382	1,026,885
Advances:
Proceeds	501,899,423	185,636,427
Made	(504,858,178)	(184,868,258)
Mortgage loans held for portfolio:
Proceeds	345,376	630,559
Purchases	(246,119)	(390,652)
Proceeds from Sale of foreclosed Assets	14,117	18,432
Premises, software and equipment [Abstract]
Proceeds from sale	900	0
Purchases	3,543	2,091
Net cash (used in) provided by investing activities	(3,302,822)	4,078,260
Net change in:
Deposits and pass-through reserves	(17,774)	(243,104)
Net payments for derivative contracts with financing element	(24,547)	(24,152)
Net proceeds from issuance of consolidated obligations:
Discount notes	91,599,894	194,551,475
Bonds	14,440,509	21,153,447
Payments for maturing and retiring consolidated obligations
Discount notes	(88,300,364)	(196,715,749)
Bonds	(12,239,781)	(20,743,774)
Proceeds from issuance of capital stock	1,355,404	933,991
Payments for repurchase/redemption of mandatorily redeemable capital stock	(7,693)	(432,224)
Payments for repurchase/redemption of capital stock	(1,229,794)	(1,261,637)
Cash dividends paid	(73,461)	(11,283)
Net cash (used in) provided by financing activities	5,502,393	(2,793,010)
Net increase in cash and cash equivalents	2,387,057	1,712,460
Cash and cash equivalents at beginning of the period	3,121,345	1,350,594
Cash and cash equivalents at end of the period	5,508,402	3,063,054
Supplemental disclosures:
Interest paid	246,640	308,684
AHP payments, net	5,629	2,823
Transfers of mortgage loans to real estate owned	$ 11,215	$ 13,315

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Mortgage Loans Held for Portfolio (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 3,055,347		$ 3,170,589
Premiums	49,993		50,436
Discounts	(5,198)		(6,147)
Hedging adjustments	23,853		20,572
Total mortgage loans held for portfolio	3,123,995		3,235,450
Fixed-rate medium-term single-family mortgages (1)
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	433,322	[1]	488,334	[1]
Fixed-rate long-term single-family mortgages (1)
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 2,622,025	[1]	$ 2,682,255	[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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Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2014

Related Party Transaction [Line Items]

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member balances.

(in thousands)	September 30, 2014		December 31, 2013
Federal funds sold	$	—	$	45,000
Investments	161,885		168,905
Advances	33,804,195		37,978,850
Letters of credit (1)	9,487,132		7,206,562
MPF loans	1,397,353		1,633,238
Deposits	11,401		10,422
Capital stock	1,604,489		1,834,397

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, and interest expense on deposits were immaterial for the periods presented.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Interest income on advances (1)	$	35,376	$	32,242	$	101,957	$	94,422
Interest income on MPF loans	19,558		24,205		61,988		78,517
Letter of credit fees	2,197		176		6,050		263
Prepayment fees on advances	—		—		3,090		—

Note:

⁽¹⁾ For the three and nine months ended September 30, 2014, balances include contractual interest income of $81.0 million and $243.7 million, net interest settlements on derivatives in fair value hedge relationships of $(45.2) million and $(138.7) million and total amortization of basis adjustments of $(0.5) million and $(3.1) million. For the three and nine months ended September 30, 2013, balances include contractual interest income of $86.8 million and $256.7 million, net interest settlements on derivatives in fair value hedge relationships of $(54.0) million and $(160.1) million and total amortization of basis adjustments of $(0.6) million and $(2.2) million.

Schedule of Related Party Transactions, Mortgage Loans

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Total MPF loan volume purchased	$	5,457	$	6,569	$	6,778	$	13,018

FHLBank of Chicago [Member]

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Servicing fee expense	$	256	$	231	$	735	$	681
Interest income on MPF deposits	1		—		1		6

(in thousands)	September 30, 2014		December 31, 2013
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,425	$	7,795

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Allowance for Credit Losses (Narrative) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Financing Receivable, Allowance for Credit Losses [Line Items]
Maximum Exposure Under First Loss Account	$ 23.4		$ 23.4		$ 25.2
Credit Enhancement Fees	0.8	0.9	2.4	2.7
Real Estate Acquired Through Foreclosure	6.9		6.9		8.8
Financing Receivable, Modifications, Recorded Investment	$ 4.2		$ 4.2		$ 3.5
Conventional MPF Loan [Member]
Financing Receivable, Allowance for Credit Losses [Line Items]
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum	31.00%		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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Estimated Fair Values

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Estimated Fair Values

Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2014 and December 31, 2013. Although the management of the Bank believes that the valuation methods used are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2014 and December 31, 2013 are presented in the table below.

Fair Value Summary Table
	September 30, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,508,402	$	5,508,402	$	—	$	—	$	—		$	5,508,402
Interest-bearing deposits	5,425		—		5,425		—		—			5,425
Federal funds sold	2,780,000		—		2,779,997		—		—			2,779,997
Trading securities	275,630		5,121		270,509		—		—			275,630
AFS securities	8,036,697		1,998		7,009,341		1,025,358		—			8,036,697
HTM securities	3,439,240		—		2,758,899		723,491		—			3,482,390
Advances	53,054,260		—		53,171,179		—		—			53,171,179
Mortgage loans held for portfolio, net	3,116,285		—		3,282,500		—		—			3,282,500
BOB loans, net	11,524		—		—		11,524		—			11,524
Accrued interest receivable	85,580		—		85,580		—		—			85,580
Derivative assets	52,857		—		156,672		—		(103,815		)	52,857
Liabilities:
Deposits	$	665,934	$	—	$	665,936	$	—	$	—		$	665,936
Discount notes	31,536,630		—		31,537,929		—		—			31,537,929
Bonds	39,889,114		—		40,042,787		—		—			40,042,787
Mandatorily redeemable capital stock (1)	769		781		—		—		—			781
Accrued interest payable (1)	140,792		—		140,780		—		—			140,780
Derivative liabilities	95,157		—		576,795		—		(481,638		)	95,157

	December 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,121,345	$	3,121,345	$	—	$	—	$	—		$	3,121,345
Interest-bearing deposits	7,795		—		7,795		—		—			7,795
Federal funds sold	2,875,000		—		2,874,983		—		—			2,874,983
Trading securities	239,190		4,576		234,614		—		—			239,190
AFS securities	6,757,717		1,998		5,617,667		1,138,052		—			6,757,717
HTM securities	3,995,530		—		3,164,059		870,771		—			4,034,830
Advances	50,247,435		—		50,346,040		—		—			50,346,040
Mortgage loans held for portfolio, net	3,224,091		—		3,351,450		—		—			3,351,450
BOB loans, net	11,400		—		—		11,400		—			11,400
Accrued interest receivable	95,374		—		95,374		—		—			95,374
Derivative assets	59,973		—		249,579		—		(189,606		)	59,973
Liabilities:
Deposits	$	694,352	$	—	$	694,357	$	—	$	—		$	694,357
Discount notes	28,236,257		—		28,238,042		—		—			28,238,042
Bonds	37,698,302		—		37,847,493		—		—			37,847,493
Mandatorily redeemable capital stock (1)	40		40		—		—		—			40
Accrued interest payable (1)	97,689		—		97,689		—		—			97,689
Derivative liabilities	177,488		—		834,907		—		(657,419		)	177,488

Notes:

⁽¹⁾ The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

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

Fair Value Hierarchy. The Bank records trading securities, AFS securities, 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 nine months ended September 30, 2014 and 2013.

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.

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.

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.

The Bank also reviewed the final fair value estimates of its private label MBS holdings as of September 30, 2014 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield 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 September 30, 2014, 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. Based on the current lack of significant market activity for private label residential MBS, the Bank believes that as of September 30, 2014, private label residential MBS inputs should be classified as Level 3.

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

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

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. 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 as of 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 on bilateral 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 netting arrangements for its derivative transactions. 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. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

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 September 30, 2014 and December 31, 2013.

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 September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
Non MBS:
GSE and TVA Obligations	$	—	$	270,509	$	—	$	—		$	270,509
Mutual funds	5,121		—		—		—			5,121
Total trading securities	$	5,121	$	270,509	$	—	$	—		$	275,630
AFS securities:
GSE and TVA Obligations	$	—	$	2,932,938	$	—	$	—		$	2,932,938
State or local agency obligations	—		61,231		—		—			61,231
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		342,728		—		—			342,728
GSE MBS	—		3,672,444		—		—			3,672,444
Private label MBS:
Private label residential MBS	—		—		1,013,002		—			1,013,002
HELOCs	—		—		12,356		—			12,356
Total AFS securities	$	1,998	$	7,009,341	$	1,025,358	$	—		$	8,036,697
Derivative assets:
Interest rate related	$	—	$	156,167	$	—	$	(103,815	)	$	52,352
Mortgage delivery commitments	—		505		—		—			505
Total derivative assets	$	—	$	156,672	$	—	$	(103,815	)	$	52,857
Total assets at fair value	$	7,119	$	7,436,522	$	1,025,358	$	(103,815	)	$	8,365,184
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	576,795	$	—	$	(481,638	)	$	95,157
Total derivative liabilities (2)	$	—	$	576,795	$	—	$	(481,638	)	$	95,157

	December 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA Obligations	$	—	$	234,614	$	—	$	—		$	234,614
Mutual funds	4,576		—		—		—			4,576
Total trading securities	$	4,576	$	234,614	$	—	$	—		$	239,190
AFS securities:
GSE and TVA Obligations	$	—	$	2,096,177	$	—	$	—		2,096,177
State or local agency obligations	—		14,043		—		—			14,043
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		385,296		—		—			385,296
GSE MBS	—		3,122,151		—		—			3,122,151
Private label MBS:
Private label residential MBS	—		—		1,123,624		—			1,123,624
HELOCs	—		—		14,428		—			14,428
Total AFS securities	$	1,998	$	5,617,667	$	1,138,052	$	—		$	6,757,717
Derivative assets:
Interest rate related	$	—	$	249,419	$	—	$	(189,606	)	$	59,813
Mortgage delivery commitments	—		160		—		—			160
Total derivative assets	$	—	$	249,579	$	—	$	(189,606	)	$	59,973
Total assets at fair value	$	6,574	$	6,101,860	$	1,138,052	$	(189,606	)	$	7,056,880
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	834,907	$	—	$	(657,419	)	$	177,488
Total derivative liabilities (2)	$	—	$	834,907	$	—	$	(657,419	)	$	177,488

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first nine months of 2014 or 2013.

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 nine months ended September 30, 2014 and 2013. 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. There were no Level 3 transfers during the first nine months of 2014 or 2013.

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2014			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	9,441			1,002
Net unrealized (losses) on AFS in OCI	(32		)	—
Net change in fair value on OTTI AFS in OCI	2,539			55
Unrealized gains (losses) on OTTI AFS in OCI	11,575			(77		)
Purchases, issuances, sales, and settlements:
Settlements	(134,145		)	(3,052		)
Balance at September 30	$	1,013,002		$	12,356
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2014	$	9,441		$	1,002

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2013			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(2,857		)	600
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	162			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	24,362			233
Unrealized gains on OTTI AFS in OCI	21,164			1,983
Purchases, issuances, sales, and settlements:
Settlements	(273,299		)	(2,832		)
Balance at September 30	$	1,180,008		$	14,742
Total amount of gains (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 September 30, 2013	$	(3,202	)	$	503

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Estimated Fair Values (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2014 and December 31, 2013 are presented in the table below.

Fair Value Summary Table
	September 30, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,508,402	$	5,508,402	$	—	$	—	$	—		$	5,508,402
Interest-bearing deposits	5,425		—		5,425		—		—			5,425
Federal funds sold	2,780,000		—		2,779,997		—		—			2,779,997
Trading securities	275,630		5,121		270,509		—		—			275,630
AFS securities	8,036,697		1,998		7,009,341		1,025,358		—			8,036,697
HTM securities	3,439,240		—		2,758,899		723,491		—			3,482,390
Advances	53,054,260		—		53,171,179		—		—			53,171,179
Mortgage loans held for portfolio, net	3,116,285		—		3,282,500		—		—			3,282,500
BOB loans, net	11,524		—		—		11,524		—			11,524
Accrued interest receivable	85,580		—		85,580		—		—			85,580
Derivative assets	52,857		—		156,672		—		(103,815		)	52,857
Liabilities:
Deposits	$	665,934	$	—	$	665,936	$	—	$	—		$	665,936
Discount notes	31,536,630		—		31,537,929		—		—			31,537,929
Bonds	39,889,114		—		40,042,787		—		—			40,042,787
Mandatorily redeemable capital stock (1)	769		781		—		—		—			781
Accrued interest payable (1)	140,792		—		140,780		—		—			140,780
Derivative liabilities	95,157		—		576,795		—		(481,638		)	95,157

	December 31, 2013
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	3,121,345	$	3,121,345	$	—	$	—	$	—		$	3,121,345
Interest-bearing deposits	7,795		—		7,795		—		—			7,795
Federal funds sold	2,875,000		—		2,874,983		—		—			2,874,983
Trading securities	239,190		4,576		234,614		—		—			239,190
AFS securities	6,757,717		1,998		5,617,667		1,138,052		—			6,757,717
HTM securities	3,995,530		—		3,164,059		870,771		—			4,034,830
Advances	50,247,435		—		50,346,040		—		—			50,346,040
Mortgage loans held for portfolio, net	3,224,091		—		3,351,450		—		—			3,351,450
BOB loans, net	11,400		—		—		11,400		—			11,400
Accrued interest receivable	95,374		—		95,374		—		—			95,374
Derivative assets	59,973		—		249,579		—		(189,606		)	59,973
Liabilities:
Deposits	$	694,352	$	—	$	694,357	$	—	$	—		$	694,357
Discount notes	28,236,257		—		28,238,042		—		—			28,238,042
Bonds	37,698,302		—		37,847,493		—		—			37,847,493
Mandatorily redeemable capital stock (1)	40		40		—		—		—			40
Accrued interest payable (1)	97,689		—		97,689		—		—			97,689
Derivative liabilities	177,488		—		834,907		—		(657,419		)	177,488

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 September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
Non MBS:
GSE and TVA Obligations	$	—	$	270,509	$	—	$	—		$	270,509
Mutual funds	5,121		—		—		—			5,121
Total trading securities	$	5,121	$	270,509	$	—	$	—		$	275,630
AFS securities:
GSE and TVA Obligations	$	—	$	2,932,938	$	—	$	—		$	2,932,938
State or local agency obligations	—		61,231		—		—			61,231
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		342,728		—		—			342,728
GSE MBS	—		3,672,444		—		—			3,672,444
Private label MBS:
Private label residential MBS	—		—		1,013,002		—			1,013,002
HELOCs	—		—		12,356		—			12,356
Total AFS securities	$	1,998	$	7,009,341	$	1,025,358	$	—		$	8,036,697
Derivative assets:
Interest rate related	$	—	$	156,167	$	—	$	(103,815	)	$	52,352
Mortgage delivery commitments	—		505		—		—			505
Total derivative assets	$	—	$	156,672	$	—	$	(103,815	)	$	52,857
Total assets at fair value	$	7,119	$	7,436,522	$	1,025,358	$	(103,815	)	$	8,365,184
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	576,795	$	—	$	(481,638	)	$	95,157
Total derivative liabilities (2)	$	—	$	576,795	$	—	$	(481,638	)	$	95,157

	December 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA Obligations	$	—	$	234,614	$	—	$	—		$	234,614
Mutual funds	4,576		—		—		—			4,576
Total trading securities	$	4,576	$	234,614	$	—	$	—		$	239,190
AFS securities:
GSE and TVA Obligations	$	—	$	2,096,177	$	—	$	—		2,096,177
State or local agency obligations	—		14,043		—		—			14,043
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations residential MBS	—		385,296		—		—			385,296
GSE MBS	—		3,122,151		—		—			3,122,151
Private label MBS:
Private label residential MBS	—		—		1,123,624		—			1,123,624
HELOCs	—		—		14,428		—			14,428
Total AFS securities	$	1,998	$	5,617,667	$	1,138,052	$	—		$	6,757,717
Derivative assets:
Interest rate related	$	—	$	249,419	$	—	$	(189,606	)	$	59,813
Mortgage delivery commitments	—		160		—		—			160
Total derivative assets	$	—	$	249,579	$	—	$	(189,606	)	$	59,973
Total assets at fair value	$	6,574	$	6,101,860	$	1,138,052	$	(189,606	)	$	7,056,880
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	834,907	$	—	$	(657,419	)	$	177,488
Total derivative liabilities (2)	$	—	$	834,907	$	—	$	(657,419	)	$	177,488

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

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 nine months ended September 30, 2014 and 2013. 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. There were no Level 3 transfers during the first nine months of 2014 or 2013.

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2014			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	9,441			1,002
Net unrealized (losses) on AFS in OCI	(32		)	—
Net change in fair value on OTTI AFS in OCI	2,539			55
Unrealized gains (losses) on OTTI AFS in OCI	11,575			(77		)
Purchases, issuances, sales, and settlements:
Settlements	(134,145		)	(3,052		)
Balance at September 30	$	1,013,002		$	12,356
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2014	$	9,441		$	1,002

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2013			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2013
Balance at January 1	$	1,410,476		$	14,758
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(2,857		)	600
Net OTTI losses, credit portion	(345		)	(97		)
Net unrealized gains on AFS in OCI	162			—
Reclassification of non-credit portion included in net income	345			97
Net change in fair value on OTTI AFS in OCI	24,362			233
Unrealized gains on OTTI AFS in OCI	21,164			1,983
Purchases, issuances, sales, and settlements:
Settlements	(273,299		)	(2,832		)
Balance at September 30	$	1,180,008		$	14,742
Total amount of gains (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 September 30, 2013	$	(3,202	)	$	503

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Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2014

Marketable Securities, Available-for-sale Securities, Policy

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

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

Impairment of Investments, Policy

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the third quarter of 2014, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 9.0% over the 12 month period beginning July 1, 2014. For the vast majority of markets the short-term forecast has changes from 0.0% to 5.0%. Thereafter, home prices transition over 62 months to the long-term forecast based on historical averages, as adjusted for then current estimates of the overall housing market.

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

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

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This 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 each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to 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 FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be 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 September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at September 30, 2014 and December 31, 2013, 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 Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank.

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

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 experienced 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 a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

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

Derivatives, Policy

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

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. However, due to the nature of initial and variation margin, the Bank will always be over-collateralized with the Clearing Houses. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and believes that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

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

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions.

Fair Value Measurement, Policy

Fair Value Hierarchy. The Bank records trading securities, AFS securities, 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

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.

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 as of 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 on bilateral 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 netting arrangements for its derivative transactions. 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. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

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

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

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

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

Mortgage delivery commitments:

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

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 September 30, 2014 and December 31, 2013.

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.

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.

Fair Value Transfer, Policy

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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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013		Sep. 30, 2014	Sep. 30, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ 18,494,000		$ 60,055,000		$ 170,711,000	$ (38,178,000)
Gains/(Losses) on Hedged Item	(17,291,000)		(56,939,000)		(167,581,000)	42,182,000
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	1,203,000		3,116,000		3,130,000	4,004,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(904,000)	[1]	(7,382,000)	[1]	(9,785,000)	(28,360,000)
amortization and accretion of hedged items	3,200,000		4,500,000		11,200,000	14,000,000
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	89,426,000		29,142,000		150,102,000	222,985,000
Gains/(Losses) on Hedged Item	(87,573,000)		(27,194,000)		(147,208,000)	(220,743,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	1,853,000		1,948,000		2,894,000	2,242,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(57,130,000)	[1]	(64,388,000)	[1]	(174,125,000)	(190,432,000)
Federal Home Loan Bank, Consolidated Obligations, Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(72,049,000)		34,356,000		38,336,000	(258,510,000)
Gains/(Losses) on Hedged Item	71,557,000		(33,967,000)		(37,053,000)	259,393,000
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	(492,000)		389,000		1,283,000	883,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	59,146,000	[1]	57,917,000	[1]	172,695,000	162,998,000
Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	1,117,000		(3,443,000)		(17,727,000)	(2,653,000)
Gains/(Losses) on Hedged Item	(1,275,000)		4,222,000		16,680,000	3,532,000
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	(158,000)		779,000		(1,047,000)	879,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	$ (2,920,000)	[1]	$ (911,000)		$ (8,355,000)	$ (926,000)

[1] Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.2 million and $4.5 million for the third quarter of 2014 and 2013, respectively, and $11.2 million and $14.0 million for the nine months ended September 30, 2014 and 2013, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

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Statement of Cash Flows (Parenthetical) (USD $) In Thousands, unless otherwise specified	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013
Increase (Decrease) in Deposits with Other Federal Home Loan Banks	$ 2,370	$ 7,084
Proceeds from Sale of Available-for-sale Securities	$ 0	$ 19,909

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Statement of Comprehensive Income (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Net Income	$ 67,015	$ 43,484	$ 191,527	$ 104,149
Net unrealized gains (losses) on AFS securities:
Unrealized gains (losses)	(5,656)	(7,115)	49,568	(59,301)
Reclassification of losses included in net income	0	41	0	41
Total net unrealized gains (losses) on AFS	(5,656)	(7,074)	49,568	(59,260)
Net non-credit portion of OTTI gains (losses) on AFS securities:
Net change in fair value of OTTI securities	(378)	1,228	2,594	24,595
Unrealized gains (losses)	(4,523)	1,706	11,498	23,147
Reclassification on non-credit portion included in net income	0	0	0	442
Total net non-credit portion of OTTI gains (losses) on AFS securities	(4,901)	2,934	14,092	48,184
Reclassification of net losses (gains) included in net income relating to hedging activities	(7)	0	(8)	1
Pension and post-retirement benefits	41	80	120	131
Total other comprehensive income (loss)	(10,523)	(4,060)	63,772	(10,944)
Total Comprehensive Income	$ 56,492	$ 39,424	$ 255,299	$ 93,205

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Allowance for Credit Losses

9 Months Ended

Sep. 30, 2014

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 types: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans.

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This 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 each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to 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 FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be 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 September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at September 30, 2014 and December 31, 2013, 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 Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

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

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

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. At September 30, 2014 and December 31, 2013, the MPF exposure under the FLA was $23.4 million and $25.2 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 $0.8 million and $0.9 million during the third quarter 2014 and 2013, respectively and $2.4 million and $2.7 million during the nine months ended September 30, 2014 and 2013, 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 experienced 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 a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent, which are comprised primarily of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property.

The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. The estimated fair value is determined based on a value provided by a third party's Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations, which may differ from the retail-based AVMs. The resulting loss is then reduced by available CE and PMI.

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

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, beginning of period	$	7,543		$	12,208		$	11,359		$	14,163
(Charge-offs) Recoveries, net	613			(188		)	311			(810		)
Provision (benefit) for credit losses	(446		)	(748		)	(3,960		)	(2,081		)
Balance, September 30	$	7,710		$	11,272		$	7,710		$	11,272

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. Mortgage Loans - Conventional MPF.

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	6,172	$	795
Ending balance, collectively evaluated for impairment	1,538		10,564
Total allowance for credit losses	$	7,710	$	11,359
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	71,135	$	15,571
Collectively evaluated for impairment	2,771,059		2,919,583
Total recorded investment	$	2,842,194	$	2,935,154

BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets.

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Balance, Beginning of period	$	1,974		$	2,362		$	2,231		$	2,481
Charge-offs	(8		)	—			(363		)	(134		)
Provision (benefit) for credit losses	14			(21		)	112			(6		)
Balance, September 30	$	1,980		$	2,341		$	1,980		$	2,341

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans.

	September 30, 2014		December 31, 2013
Ending balance, individually evaluated for impairment	$	43	$	—
Ending balance, collectively evaluated for impairment	1,937		2,231
Total allowance for credit losses	$	1,980	$	2,231
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	116	$	—
Collectively evaluated for impairment	13,503		13,742
Total recorded investment	$	13,619	$	13,742

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)	September 30, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	49,506		$	17,080		$	—		$	66,586
Past due 60-89 days	12,465			5,092			5			17,562
Past due 90 days or more	44,011			7,213			170			51,394
Total past due loans	$	105,982		$	29,385		$	175		$	135,542
Total current loans	2,736,212			268,567			13,444			3,018,223
Total loans	$	2,842,194		$	297,952		$	13,619		$	3,153,765
Other delinquency statistics:
In process of foreclosures, included above (2)	$	27,828		$	1,810		$	—		$	29,638
Serious delinquency rate (3)	1.5		%	2.4		%	1.2		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,213		$	—		$	7,213
Loans on nonaccrual status (4)	$	47,547		$	—		$	291		$	47,838

(in thousands)	December 31, 2013
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			BOB Loans			Total
Past due 30-59 days	$	52,689		$	18,580		$	151		$	71,420
Past due 60-89 days	13,522			5,860			82			19,464
Past due 90 days or more	55,508			8,556			219			64,283
Total past due loans	$	121,719		$	32,996		$	452		$	155,167
Total current loans	2,813,435			284,104			13,290			3,110,829
Total loans	$	2,935,154		$	317,100		$	13,742		$	3,265,996
Other delinquency statistics:
In process of foreclosures, included above (2)	$	43,953		$	2,401		$	—		$	46,354
Serious delinquency rate (3)	1.9		%	2.7		%	1.6		%	2.0		%
Past due 90 days or more still accruing interest	$	—		$	8,556		$	—		$	8,556
Loans on nonaccrual status (4)	$	59,244		$	—		$	452		$	59,696

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 unaccreted 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.

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	September 30, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	32,618	$	32,317	$	—
With a related allowance:
Conventional MPF loans	38,517		38,340		6,172
Total:
Conventional MPF loans	$	71,135	$	70,657	$	6,172

	December 31, 2013
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	501	$	498	$	—
With a related allowance:
Conventional MPF loans	15,070		15,004		795
Total:
Conventional MPF loans	$	15,571	$	15,502	$	795

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

	Three months ended September 30, 2014				Three months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	72,990	$	350	$	15,258	$	190

	Nine months ended September 30, 2014				Nine months ended September 30, 2013
(in thousands)	Average Recorded Investment		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	76,809	$	1,032	$	14,316	$	533

Beginning January 1, 2014, with the adoption of AB 2012-02, the Bank now considers all loans over 180 days to be individually impaired loans, which is the reason for the increase as compared to the respective 2013 amounts.

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 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 so that the ratio of the borrower's housing expense to monthly income is no more than 31%. 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.

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 the reporting date. BOB loan TDRs are not significant for any periods presented and are excluded from the tables that follow.

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 and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	2,567	$	2,567	$	3,658	$	3,658

	Nine months ended September 30,
	2014				2013
(in thousands)	Pre-Modification		Post-Modification		Pre-Modification		Post-Modification
Conventional MPF loans	$	8,949	$	8,949	$	9,827	$	9,775

Certain TDRs may experience a payment default, which the Bank considers to have occurred when a loan is 60 days or more delinquent. Conventional MPF loans totaling $4.9 million and $4.6 million had experienced a payment default during the nine months ended September 30, 2014, and September 30, 2013, respectively. The Bank had $4.2 million and $3.5 million of TDRs on nonaccrual status at September 30, 2014 and December 31, 2013, respectively.

Real Estate Owned (REO). The Bank had $6.9 million and $8.8 million of REO reported in Other assets on the Statement of Condition at September 30, 2014 and December 31, 2013, respectively.

Purchases, Sales and Reclassifications. During the three and nine months ended September 30, 2014 and 2013, 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 $)							9 Months Ended
	Sep. 30, 2014	Dec. 31, 2013	Sep. 30, 2014 Standby Letters of Credit Issuance Commitments [Member]	Dec. 31, 2013 Standby Letters of Credit Issuance Commitments [Member]	Sep. 30, 2014 Open RepoPlus Advance Product	Dec. 31, 2013 Open RepoPlus Advance Product	Sep. 30, 2014 Minimum	Sep. 30, 2014 Maximum	Sep. 30, 2014 Standby Letters of Credit		Dec. 31, 2013 Standby Letters of Credit		Sep. 30, 2014 Commitments to fund additional advances and BOB loans	Dec. 31, 2013 Commitments to fund additional advances and BOB loans	Sep. 30, 2014 Unsettled consolidated obligation bonds, at par (2)		Dec. 31, 2013 Unsettled consolidated obligation bonds, at par (2)		Sep. 30, 2014 Unsettled consolidated obligation bonds, at par (2) Interest Rate Swap [Member]	Dec. 31, 2013 Unsettled consolidated obligation bonds, at par (2) Interest Rate Swap [Member]	Sep. 30, 2014 Unsettled consolidated obligation discount notes, at par	Dec. 31, 2013 Unsettled consolidated obligation discount notes, at par	Sep. 30, 2014 Mortgages [Member] Commitments to fund or purchase mortgage loans	Dec. 31, 2013 Mortgages [Member] Commitments to fund or purchase mortgage loans
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms							less than one month	5 years
Off-balance Sheet Risks, Expiring Within One Year									$ 11,347,348,000	[1]			$ 19,686,000		$ 338,000,000	[2]					$ 250,000,000		$ 26,861,000
Off-balance Sheet Risks, Expiring After One Year									7,577,171,000	[3]			0		0						0		0
Off-balance Sheet Risks, Total Liability			150,800,000	154,100,000					18,924,519,000	[1]	14,665,346,000	[1]	19,686,000	411,249,000	338,000,000	[2]	32,000,000	[2]	330,000,000	15,000,000	250,000,000	750,000,000	26,861,000	12,279,000
Other Liabilities - Standby Letter of Credit Fees	28,096,000	38,236,000							3,900,000		3,700,000
Open Repo Plus Product Outstanding					$ 7,600,000,000	$ 6,400,000,000
Maximum Commitment Period								45 days

[1] Excludes approved requests to issue future standby letters of credit of $150.8 million and $154.1 million at September 30, 2014 and December 31, 2013, respectively.

[2] Includes $330.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at September 30, 2014 and December 31, 2013, respectively.

[3] These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less.

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Document and Entity Information	9 Months Ended
	Sep. 30, 2014	Oct. 31, 2014
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Pittsburgh
Entity Central Index Key	0001330399
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Sep. 30, 2014
Document Fiscal Year Focus	2014
Document Fiscal Period Focus	Q3
Amendment Flag	false
Entity Common Stock, Shares Outstanding		26,257,840

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and 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 derivative transactions, see Note 11 to the audited financial statements in the Bank's 2013 Form 10-K.

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. Over-the-counter derivative transactions may be either executed with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the Bank of the required initial and variation margin. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	28,783,665	$	112,787		$	543,784
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,994,286	$	37,183		$	33,011
Interest rate swaptions	50,000		1,079			—
Interest rate caps	796,000		5,118			—
Mortgage delivery commitments	26,861		505			—
Total derivatives not in hedge accounting relationships	$	12,867,147	$	43,885		$	33,011
Total derivatives before netting and collateral adjustments	$	41,650,812	$	156,672		$	576,795
Netting adjustments			(85,610		)	(85,610		)
Cash collateral and related accrued interest			(18,205		)	(396,028		)
Total collateral and netting adjustments (1)			(103,815		)	(481,638		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,857		$	95,157

	December 31, 2013
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	25,443,924	$	169,718		$	800,078
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	10,730,985	$	72,519		$	34,829
Interest rate caps	1,064,500		7,182			—
Mortgage delivery commitments	12,279		160			—
Total derivatives not in hedge accounting relationships	$	11,807,764	$	79,861		$	34,829
Total derivatives before netting and collateral adjustments	$	37,251,688	$	249,579		$	834,907
Netting adjustments			(182,045		)	(182,045		)
Cash collateral and related accrued interest			(7,561		)	(475,374		)
Total collateral and netting adjustments (1)			(189,606		)	(657,419		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	59,973		$	177,488

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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 September 30,						Nine months ended September 30,
(in thousands)	2014			2013			2014			2013
Derivatives and hedged items in fair value hedging   relationships:
Interest rate swaps - fair value hedge ineffectiveness	$	1,203		$	3,116		$	3,130		$	4,004
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(9,552	)	$	(3,504	)	$	(44,089	)	$	(11,327	)
Interest rate swaptions	101			—			366			—
Interest rate caps	(261		)	(894		)	(3,802		)	1,535
Net interest settlements	6,460			5,055			20,009			14,325
Mortgage delivery commitments	2,289			1,619			5,912			5,584
Other	7			4			19			11
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(956	)	$	2,280		$	(21,585	)	$	10,128
Net gains (losses) on derivatives and hedging activities	$	247		$	5,396		$	(18,455	)	$	14,132

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 three and nine months ended September 30, 2014 and 2013.

(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 September 30, 2014
Hedged item type:
Advances	$	89,426		$	(87,573	)	$	1,853		$	(57,130	)
Consolidated obligations – bonds	(72,049		)	71,557			(492		)	59,146
AFS securities	1,117			(1,275		)	(158		)	(2,920		)
Total	$	18,494		$	(17,291	)	$	1,203		$	(904	)
Nine months ended September 30, 2014
Hedged item type:
Advances	$	150,102		$	(147,208	)	$	2,894		$	(174,125	)
Consolidated obligations – bonds	38,336			(37,053		)	1,283			172,695
AFS securities	(17,727		)	16,680			(1,047		)	(8,355		)
Total	$	170,711		$	(167,581	)	$	3,130		$	(9,785	)

(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 September 30, 2013
Hedged item type:
Advances	$	29,142		$	(27,194	)	$	1,948	$	(64,388	)
Consolidated obligations – bonds	34,356			(33,967		)	389		57,917
AFS securities	(3,443		)	4,222			779		(911		)
Total	$	60,055		$	(56,939	)	$	3,116	$	(7,382	)
Nine months ended September 30, 2013
Hedged item type:
Advances	$	222,985		$	(220,743	)	$	2,242	$	(190,432	)
Consolidated obligations – bonds	(258,510		)	259,393			883		162,998
AFS securities	(2,653		)	3,532			879		(926		)
Total	$	(38,178	)	$	42,182		$	4,004	$	(28,360	)

Note:

⁽¹⁾Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.2 million and $4.5 million for the third quarter of 2014 and 2013, respectively, and $11.2 million and $14.0 million for the nine months ended September 30, 2014 and 2013, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The Bank had no active cash flow hedging relationships during the first nine months of 2014 or 2013.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives.

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. However, due to the nature of initial and variation margin, the Bank will always be over-collateralized with the Clearing Houses. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and believes that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

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

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at September 30, 2014 was $316.5 million, for which the Bank has posted cash collateral with a fair value of approximately $224.3 million. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $52.8 million of collateral to its derivative counterparties at September 30, 2014.

For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required to post additional initial margin by its clearing agents at September 30, 2014.

Offsetting of Derivative Assets and Derivative Liabilities. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	148,685		$	234,156
Cleared derivatives		7,482			15,264
Total gross recognized amount		156,167			249,420
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(137,468		)	(205,752		)
Cleared derivatives		33,653			16,146
Total gross amounts of netting adjustments and cash collateral		(103,815		)	(189,606		)
Net amounts after netting adjustments:
Bilateral derivatives		11,217			28,404
Cleared derivatives		41,135			31,410
Total net amounts after netting adjustments		52,352			59,814
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		505			159
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		505			159
Total derivative assets
Bilateral derivatives		11,722			28,563
Cleared derivatives		41,135			31,410
Total derivative assets as reported in the Statement of Condition		52,857			59,973
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(6,264		)	(13,778		)
Net unsecured amount:
Bilateral derivatives		5,458			14,785
Cleared derivatives		41,135			31,410
Total net unsecured amount		$	46,593		$	46,195

	Derivative Liabilities
(in thousands)		September 30, 2014			December 31, 2013
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	438,751		$	828,187
Cleared derivatives		138,044			6,720
Total gross recognized amount		576,795			834,907
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(343,594		)	(650,699		)
Cleared derivatives		(138,044		)	(6,720		)
Total gross amounts of netting adjustments and cash collateral		(481,638		)	(657,419		)
Net amounts after netting adjustments:
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		95,157			177,488
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		—			—
Total derivative liabilities
Bilateral derivatives		95,157			177,488
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		95,157			177,488
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		—			(79,233		)
Net unsecured amount:
Bilateral derivatives		95,157			98,255
Net unsecured amount		$	95,157		$	98,255

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013	Sep. 30, 2013	Dec. 31, 2012
Capital [Abstract]
Due in 1 year or less	$ 0	$ 0
Due after 1 year through 2 years	0	40
Due after 2 years through 3 years	0	0
Due after 3 years through 4 years	0	0
Due after 4 years through 5 years	769	0
Total	$ 769	$ 40	$ 40	$ 431,566

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Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013		Sep. 30, 2014		Sep. 30, 2013
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net OTTI losses, credit portion	$ 0	[1]	$ 0	[1]	$ 0	[1]	$ (442)	[1]
Net change in fair value on OTTI AFS in OCI	(378)		1,228		2,594		24,595
Unrealized gains on OTTI AFS in OCI	(4,523)		1,706		11,498		23,147
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | 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					1,123,624		1,410,476
Accretion of credit losses in interest income					9,441		(2,857)
Net OTTI losses, credit portion							(345)
Net unrealized gains (losses) on AFS in OCI					(32)		162
Reclassification of non-credit portion included in net income							345
Net change in fair value on OTTI AFS in OCI					2,539		24,362
Unrealized gains on OTTI AFS in OCI					11,575		21,164
Purchases, issuances, sales, and settlements:
Settlements					(134,145)		(273,299)
Balance at September 30	1,013,002		1,180,008		1,013,002		1,180,008
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					9,441		(3,202)
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | 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					14,428		14,758
Accretion of credit losses in interest income					1,002		600
Net OTTI losses, credit portion							97
Net unrealized gains (losses) on AFS in OCI					0		0
Reclassification of non-credit portion included in net income							97
Net change in fair value on OTTI AFS in OCI					55		233
Unrealized gains on OTTI AFS in OCI					(77)		1,983
Purchases, issuances, sales, and settlements:
Settlements					(3,052)		(2,832)
Balance at September 30	12,356		14,742		12,356		14,742
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					$ 1,002		$ 503

[1] For the three months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to July 1, 2014 and 2013. For the nine months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013.

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Statement of Condition (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
ASSETS
Cash and due from banks	$ 5,508,402	$ 3,121,345
Interest-bearing deposits	5,425	7,795
Federal funds sold	2,780,000	2,875,000
Investment securities
Trading securities (Note 2)	275,630	239,190
AFS securities, at fair value, including zero and $79,233 pledged as collateral that may be repledged, respectively (Note 3)	8,036,697	6,757,717
HTM securities; fair value of $3,482,390 and $4,034,830, respectively (Note 4)	3,439,240	3,995,530
Total investment securities	11,751,567	10,992,437
Advances (Note 6)	53,054,260	50,247,435
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $7,710 and $11,359, respectively (Note 8)	3,116,285	3,224,091
Banking on Business (BOB) loans, net of allowance for credit losses of $1,980 and $2,231, respectively (Note 8)	11,524	11,400
Accrued interest receivable	85,580	95,374
Property, software and equipment, net	11,068	11,136
Derivative assets (Note 9)	52,857	59,973
Other assets	22,761	24,933
Total assets	76,399,729	70,670,919
Deposits
Interest-bearing	625,725	660,598
Noninterest-bearing	40,209	33,754
Total Deposits	665,934	694,352
Consolidated Obligations, net (Note 10)
Discount notes	31,536,630	28,236,257
Bonds	39,889,114	37,698,302
Total consolidated Obligations, Net	71,425,744	65,934,559
Mandatory redeemable capital stock (Note 11)	769	40
Accrued interest payable	140,792	97,689
Affordable Housing Program payable	52,009	36,353
Derivative liabilities (Note 9)	95,157	177,488
Other Liabilities	28,096	38,236
Total liabilities	72,408,501	66,978,717
Commitments and Contingencies ( Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding 30,794 and 29,622 shares	3,079,331	2,962,143
Retained earnings:
Unrestricted	705,396	625,636
Restricted	98,389	60,083
Total retained earnings	803,785	685,719
Accumulated other comprehensive income (AOCI)	108,112	44,340
Total capital	3,991,228	3,692,202
Total liabilities and capital	$ 76,399,729	$ 70,670,919

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Available-for-Sale (AFS) Securities

9 Months Ended

Sep. 30, 2014

Available-for-sale Securities [Abstract]

Available-for-Sale (AFS) Securities

Available-for-Sale (AFS) Securities

The following tables present AFS securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,920,807		—			17,250		(5,119		)	2,932,938
State or local agency obligations	62,081		—			184		(1,034		)	61,231
Total non-MBS	$	2,984,881	$	—		$	17,439	$	(6,153	)	$	2,996,167
MBS:
Other U.S. obligations residential MBS	$	342,749	$	—		$	222	$	(243	)	$	342,728
GSE MBS (3)	3,666,425		—			18,683		(12,664		)	3,672,444
Private label MBS:
Private label residential MBS	924,189		(1,129		)	90,138		(196		)	1,013,002
HELOCs	9,631		(53		)	2,778		—			12,356
Total private label MBS	933,820		(1,182		)	92,916		(196		)	1,025,358
Total MBS	$	4,942,994	$	(1,182	)	$	111,821	$	(13,103	)	$	5,040,530
Total AFS securities	$	7,927,875	$	(1,182	)	$	129,260	$	(19,256	)	$	8,036,697

	December 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,103,847		—			1,160		(8,830		)	2,096,177
State or local agency obligations	15,430		—			35		(1,422		)	14,043
Total non-MBS	$	2,121,270	$	—		$	1,200	$	(10,252	)	$	2,112,218
MBS:
Other U.S. obligations residential MBS	$	386,169	$	—		$	27	$	(900	)	$	385,296
GSE MBS (3)	3,144,543		—			11,389		(33,781		)	3,122,151
Private label MBS:
Private label residential MBS	1,048,893		(3,723		)	78,618		(164		)	1,123,624
HELOCs	11,681		(109		)	2,856		—			14,428
Total private label MBS	1,060,574		(3,832		)	81,474		(164		)	1,138,052
Total MBS	$	4,591,286	$	(3,832	)	$	92,890	$	(34,845	)	$	4,645,499
Total AFS securities	$	6,712,556	$	(3,832	)	$	94,090	$	(45,097	)	$	6,757,717

Notes:

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

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

⁽³⁾ Includes amortized cost of $2.9 billion of 1-4 family MBS and $0.8 billion of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $2.3 billion and $0.8 billion.

The Bank has established a Rabbi trust to secure a portion of the benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds as disclosed above. These obligations were $5.7 million and $5.4 million at September 30, 2014 and December 31, 2013, respectively as reported in Other liabilities in the Statement of Condition.

As of September 30, 2014, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.3 million, credit losses of $228.5 million and OTTI-related accretion adjustments of $7.8 million. As of December 31, 2013, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.4 million and credit losses of $246.1 million and OTTI-related accretion adjustments of $1.4 million.

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Non-credit portion of OTTI losses	$	(1,182	)	$	(3,832	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	92,916			81,474
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	91,734		$	77,642

The following tables summarize the AFS securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,489,611	$	(4,219	)	$	222,906	$	(900	)	$	1,712,517	$	(5,119	)
State or local agency obligations	10,122		(428		)	11,880		(606		)	22,002		(1,034		)
Total non-MBS	$	1,499,733	$	(4,647	)	$	234,786	$	(1,506	)	$	1,734,519	$	(6,153	)
MBS:
Other U.S. obligations residential MBS	$	—	$	—		$	137,398	$	(243	)	$	137,398	$	(243	)
GSE MBS	248,935		(997		)	485,793		(11,667		)	734,728		(12,664		)
Private label:
Private label residential MBS	43,311		(145		)	50,463		(1,180		)	93,774		(1,325		)
HELOCs	—		—			1,534		(53		)	1,534		(53		)
Total private label MBS	43,311		(145		)	51,997		(1,233		)	95,308		(1,378		)
Total MBS	$	292,246	$	(1,142	)	$	675,188	$	(13,143	)	$	967,434	$	(14,285	)
Total	$	1,791,979	$	(5,789	)	$	909,974	$	(14,649	)	$	2,701,953	$	(20,438	)

	December 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 and TVA obligations	$	1,350,088	$	(8,830	)	$	—	$	—		$	1,350,088	$	(8,830	)
State or local agency obligations	3,994		(456		)	8,664		(966		)	12,658		(1,422		)
Total non-MBS	$	1,354,082	$	(9,286	)	$	8,664	$	(966	)	$	1,362,746	$	(10,252	)
MBS:
Other U.S. obligations residential MBS	$	317,394	$	(806	)	$	28,803	$	(94	)	$	346,197	$	(900	)
GSE MBS	1,142,806		(33,495		)	64,515		(286		)	1,207,321		(33,781		)
Private label:
Private label residential MBS	66,847		(648		)	42,306		(3,239		)	109,153		(3,887		)
HELOCs	—		—			1,679		(109		)	1,679		(109		)
Total private label MBS	66,847		(648		)	43,985		(3,348		)	110,832		(3,996		)
Total MBS	$	1,527,047	$	(34,949	)	$	137,303	$	(3,728	)	$	1,664,350	$	(38,677	)
Total	$	2,881,129	$	(44,235	)	$	145,967	$	(4,694	)	$	3,027,096	$	(48,929	)

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. Refer to description in Note 4 - Held-to-Maturity Securities. The Bank transferred no private label MBS from HTM to AFS during the first nine months of 2014 and 2013.

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,980	$	302,208	$	201,992	$	202,104
Due after one year through five years	1,843,749		1,839,334		1,226,635		1,223,399
Due after five years through ten years	608,649		619,890		524,313		521,278
Due in more than ten years	230,503		234,735		168,330		165,437
AFS securities excluding MBS	2,984,881		2,996,167		2,121,270		2,112,218
MBS	4,942,994		5,040,530		4,591,286		4,645,499
Total AFS securities	$	7,927,875	$	8,036,697	$	6,712,556	$	6,757,717

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	2,565,185	$	1,536,763
Variable-rate	419,696		584,507
Total non-MBS	$	2,984,881	$	2,121,270
Amortized cost of AFS MBS:
Fixed-rate	$	2,054,209	$	2,155,940
Variable-rate	2,888,785		2,435,346
Total MBS	$	4,942,994	$	4,591,286
Total amortized cost of AFS securities	$	7,927,875	$	6,712,556

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.

Realized Losses on AFS Securities. The following table provides a summary of proceeds and gross losses on sale of one AFS security for the three and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014		2013			2014		2013
Proceeds from sale of AFS securities	$	—	$	19,909		$	—	$	19,909
Gross losses on AFS securities	—		(41		)	—		(41		)

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Trading Securities

9 Months Ended

Sep. 30, 2014

Trading Securities [Abstract]

Trading Securities

Trading Securities

The following table presents trading securities as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Non-MBS:
Mutual funds	$	5,121	$	4,576
GSE and Tennessee Valley Authority (TVA) obligations	270,509		234,614
Total	$	275,630	$	239,190

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 $5.2 million and $4.7 million at September 30, 2014 and December 31, 2013, respectively, as reported in Other liabilities in the Statement of Condition.

The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014			2013		2014		2013
Net unrealized gains (losses) on trading securities held at period-end	$	(47	)	$	166	$	16,448	$	484
Net realized gains (losses) on securities sold/matured during the period	—			—		86		(35		)
Net gains (losses) on trading securities	$	(47	)	$	166	$	16,534	$	449

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2014

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

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

(in thousands)	September 30, 2014						December 31, 2013
Notional amount	Final Expiration Date Within One Year		Final Expiration Date After One Year (3)		Total		Total
Standby letters of credit outstanding (1)	$	11,347,348	$	7,577,171	$	18,924,519	$	14,665,346
Commitments to fund additional advances and BOB loans	19,686		—		19,686		411,249
Commitments to fund or purchase mortgage loans	26,861		—		26,861		12,279
Unsettled consolidated obligation bonds, at par (2)	338,000		—		338,000		32,000
Unsettled consolidated obligation discount notes, at par	250,000		—		250,000		750,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $150.8 million and $154.1 million at September 30, 2014 and December 31, 2013, respectively.

⁽²⁾ Includes $330.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at September 30, 2014 and December 31, 2013, respectively.

⁽³⁾ These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less.

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.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.9 million and $3.7 million as of September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at September 30, 2014 and December 31, 2013 of $7.6 billion and $6.4 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

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

9 Months Ended

Sep. 30, 2014

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations consist of consolidated bonds and discount notes. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other eleven FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, to the extent that an event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amount of the 12 FHLBanks’ outstanding consolidated obligations were$816.9 billionand$766.8 billion atSeptember 30,2014and December 31,2013, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2013 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Par value of consolidated bonds:
Fixed-rate	$	31,020,282		$	29,062,248
Step-up	4,378,500			3,052,500
Floating-rate	4,465,000			5,580,000
Total par value	39,863,782			37,694,748
Bond premiums	91,457			87,961
Bond discounts	(12,206		)	(14,019		)
Hedging adjustments	(53,919		)	(70,388		)
Total book value	$	39,889,114		$	37,698,302

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2014 and December 31, 2013.

	September 30, 2014				December 31, 2013
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	13,809,415	1.06	%	$	12,576,595	0.94	%
Due after 1 year through 2 years	6,184,340		1.29		7,979,165		1.75
Due after 2 years through 3 years	3,852,965		1.65		2,711,605		2.29
Due after 3 years through 4 years	5,352,825		1.71		2,040,700		2.25
Due after 4 years through 5 years	3,348,565		1.49		4,594,700		1.50
Thereafter	6,959,690		2.25		7,151,890		2.14
Index amortizing notes	355,982		4.16		640,093		4.54
Total par value	$	39,863,782	1.51	%	$	37,694,748	1.64	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Noncallable	$	25,594,782	$	26,549,748
Callable	14,269,000		11,145,000
Total par value	$	39,863,782	$	37,694,748

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2014 and December 31, 2013.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2014		December 31, 2013
Due in 1 year or less	$	27,998,415	$	23,436,595
Due after 1 year through 2 years	5,754,340		7,914,165
Due after 2 years through 3 years	2,327,965		2,196,605
Due after 3 years through 4 years	1,803,325		1,437,200
Due after 4 years through 5 years	688,565		1,150,700
Thereafter	935,190		919,390
Index amortizing notes	355,982		640,093
Total par value	$	39,863,782	$	37,694,748

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014			December 31, 2013
Book value	$	31,536,630		$	28,236,257
Par value	31,541,403			28,242,236
Weighted average interest rate (1)	0.07		%	0.09		%

Note:

⁽¹⁾ Represents an implied rate.

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Transactions with Related Parties (Statement of Income Effects) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended				9 Months Ended
	Sep. 30, 2014		Sep. 30, 2013		Sep. 30, 2014		Sep. 30, 2013
Related Party Transaction [Line Items]
Interest income on advances (1)	$ 66,127		$ 55,559		$ 188,121		$ 167,858
Interest Income on MPF	31,986		34,200		98,216		107,463
Letter of credit fees	482		537		2,187		1,473
Prepayment Fees on Advances, Net	947		9		5,848		2,124
Total MPF Loan Volume Purchased					246,119		390,652
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances (1)	35,376	[1]	32,242	[1]	101,957	[1]	94,422	[1]
Interest Income on MPF	19,558		24,205		61,988		78,517
Prepayment Fees on Advances, Net	0		0		3,090		0
Total MPF Loan Volume Purchased	5,457		6,569		6,778		13,018
Standby Letters of Credit | Principal Owner [Member]
Related Party Transaction [Line Items]
Letter of credit fees	$ 2,197		$ 176		$ 6,050		$ 263

[1] For the three and nine months ended September 30, 2014, balances include contractual interest income of $81.0 million and $243.7 million, net interest settlements on derivatives in fair value hedge relationships of $(45.2) million and $(138.7) million and total amortization of basis adjustments of $(0.5) million and $(3.1) million. For the three and nine months ended September 30, 2013, balances include contractual interest income of $86.8 million and $256.7 million, net interest settlements on derivatives in fair value hedge relationships of $(54.0) million and $(160.1) million and total amortization of basis adjustments of $(0.6) million and $(2.2) million.

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Advances

9 Months Ended

Sep. 30, 2014

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 September 30, 2014 and December 31, 2013, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging from zero to 5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014					December 31, 2013
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	20,274,344		0.42	%	$	22,169,669		0.41	%
Due after 1 year through 2 years	9,591,673			1.15		10,343,245			1.36
Due after 2 years through 3 years	10,541,256			1.17		6,865,608			1.68
Due after 3 years through 4 years	7,974,783			1.53		6,073,540			1.21
Due after 4 years through 5 years	3,310,062			0.83		3,690,006			2.12
Thereafter	980,440			1.56		571,970			2.89
Total par value	52,672,558			0.92	%	49,714,038			1.04	%
Discount on AHP advances	(84		)			(141		)
Deferred prepayment fees	(9,560		)			(12,371		)
Hedging adjustments	391,346					545,909
Total book value	$	53,054,260				$	50,247,435

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 September 30, 2014 and December 31, 2013, the Bank had convertible advances outstanding of $2.0 billion and $2.3 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 September 30, 2014 and December 31, 2013, the Bank had returnable advances of $1.0 billion and $5.0 billion, respectively. At September 30, 2014 and December 31, 2013, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of September 30, 2014 and December 31, 2013.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Due in 1 year or less	$	20,274,344	$	22,169,669	$	22,118,344	$	24,308,669
Due after 1 year through 2 years	9,591,673		10,343,245		8,794,173		10,219,245
Due after 2 years through 3 years	10,541,256		6,865,608		9,916,256		5,752,108
Due after 3 years through 4 years	7,974,783		6,073,540		7,598,783		5,481,540
Due after 4 years through 5 years	3,310,062		3,690,006		3,284,562		3,406,006
Thereafter	980,440		571,970		960,440		546,470
Total par value	$	52,672,558	$	49,714,038	$	52,672,558	$	49,714,038

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Fixed rate – overnight	$	1,998,742	$	1,284,394
Fixed rate – term:
Due in 1 year or less	12,947,675		17,801,335
Thereafter	11,159,287		10,778,131
Total fixed rate	26,105,704		29,863,860
Variable rate:
Due in 1 year or less	5,327,927		3,083,940
Thereafter	21,238,927		16,766,238
Total variable rate	26,566,854		19,850,178
Total par value	$	52,672,558	$	49,714,038

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2014, the Bank had advances of $38.6 billion outstanding to its five largest borrowers, which represented 73.3% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at September 30, 2014.

As of December 31, 2013, the Bank had advances of $38.5 billion outstanding to the five largest borrowers, which represented 77.4% of total advances outstanding. Of these five, four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2013.

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

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Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 3,055,347	$ 3,170,589
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	2,768,085	2,864,564
Government Mortgage Loans [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 287,262	$ 306,025

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Held-to-Maturity (HTM) Securities

9 Months Ended

Sep. 30, 2014

Held-to-maturity Securities [Abstract]

Held-to-Maturity (HTM) Securities

Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,612	$	485	$	—		$	14,097
State or local agency obligations	217,274		3,227		(12,382		)	208,119
Total non-MBS	$	230,886	$	3,712	$	(12,382	)	$	222,216
MBS:
Other U.S. obligations residential MBS	$	1,195,934	$	8,145	$	—		$	1,204,079
GSE MBS (1)	1,283,406		49,256		(58		)	1,332,604
Private label residential MBS	729,014		4,529		(10,052		)	723,491
Total MBS	$	3,208,354	$	61,930	$	(10,110	)	$	3,260,174
Total HTM securities	$	3,439,240	$	65,642	$	(22,492	)	$	3,482,390

	December 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	16,220	$	721	$	—		$	16,941
State or local agency obligations	242,934		3,817		(10,753		)	235,998
Total non-MBS	$	259,154	$	4,538	$	(10,753	)	$	252,939
MBS:
Other U.S. obligations residential MBS	$	1,435,458	$	8,869	$	(15	)	$	1,444,312
GSE MBS (1)	1,417,926		49,097		(215		)	1,466,808
Private label MBS:
Private label residential MBS	873,325		4,300		(15,732		)	861,893
HELOCs	9,667		—		(789		)	8,878
Total private label MBS	882,992		4,300		(16,521		)	870,771
Total MBS	$	3,736,376	$	62,266	$	(16,751	)	$	3,781,891
Total HTM securities	$	3,995,530	$	66,804	$	(27,504	)	$	4,034,830

Notes:

⁽¹⁾ Includes $451.3 million of 1-4 family MBS and $832.1 million of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million.

The following tables summarize the HTM securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	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	$	4,029	$	(61	)	$	122,774	$	(12,321	)	$	126,803	$	(12,382	)
MBS:
GSE MBS	$	—	$	—		$	11,774	$	(58	)	$	11,774	$	(58	)
Private label:
Private label residential MBS	136,055		(474		)	217,297		(9,578		)	353,352		(10,052		)
Total MBS	$	136,055	$	(474	)	$	229,071	$	(9,636	)	$	365,126	$	(10,110	)
Total	$	140,084	$	(535	)	$	351,845	$	(21,957	)	$	491,929	$	(22,492	)

	December 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	$	18,367	$	(271	)	$	132,463	$	(10,482	)	$	150,830	$	(10,753	)
MBS:
Other U.S. obligations residential MBS	$	37,984	$	(15	)	$	—	$	—		$	37,984	$	(15	)
GSE MBS	93,356		(112		)	13,369		(103		)	106,725		(215		)
Private label:
Private label residential MBS	292,159		(3,829		)	197,089		(11,903		)	489,248		(15,732		)
HELOCs	—		—			8,878		(789		)	8,878		(789		)
Total private label MBS	292,159		(3,829		)	205,967		(12,692		)	498,126		(16,521		)
Total MBS	$	423,499	$	(3,956	)	$	219,336	$	(12,795	)	$	642,835	$	(16,751	)
Total	$	441,866	$	(4,227	)	$	351,799	$	(23,277	)	$	793,665	$	(27,504	)

Securities Transferred. The Bank had no transfers of securities from HTM to AFS during the first nine months of 2014 and 2013.

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 September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due after one year through five years	$	17,702	$	18,125	$	16,221	$	16,941
Due after five years through ten years	35,757		37,135		40,043		41,530
Due after ten years	177,427		166,956		202,890		194,468
HTM securities excluding MBS	230,886		222,216		259,154		252,939
MBS	3,208,354		3,260,174		3,736,376		3,781,891
Total HTM securities	$	3,439,240	$	3,482,390	$	3,995,530	$	4,034,830

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	73,026	$	96,569
Variable-rate	157,860		162,585
Total non-MBS	$	230,886	$	259,154
Amortized cost of HTM MBS:
Fixed-rate	$	1,154,591	$	1,303,424
Variable-rate	2,053,763		2,432,952
Total MBS	$	3,208,354	$	3,736,376
Total HTM securities	$	3,439,240	$	3,995,530

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

9 Months Ended

Sep. 30, 2014

Other Than Temporary Impairment [Abstract]

Other-Than-Temporary Impairment

Other-Than-Temporary Impairment (OTTI)

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, which could be up to the difference between the security's amortized cost basis and its fair value, and records any difference in its Statement of Income. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2013 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - Other-than-Temporary ImpairmentAnalysis to the audited financial statements in the Bank’s 2013 Form 10-K.

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the third quarter of 2014, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 9.0% over the 12 month period beginning July 1, 2014. For the vast majority of markets the short-term forecast has changes from 0.0% to 5.0%. Thereafter, home prices transition over 62 months to the long-term forecast based on historical averages, as adjusted for then current estimates of the overall housing market.

All of the Bank's other-than-temporarily impaired securities were classified as AFS at September 30, 2014. The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2014 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	$	528,448	$	428,843	$	481,535
Alt-A	622,987		490,316		526,466
Subprime	2,216		1,333		1,500
HELOCs	13,920		9,631		12,356
Total OTTI securities	1,167,571		930,123		1,021,857
Private label MBS with no OTTI	3,697		3,697		3,501
Total AFS private label MBS	$	1,171,268	$	933,820	$	1,025,358

Notes:

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

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and nine months ended September 30, 2014 and 2013.

(in thousands)	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
Beginning balance	$	302,421		$	322,144		$	314,224		$	326,024
Additions:
Additional OTTI credit losses for which an OTTI charge was previously recognized (1)	—			—			—			442
Reductions:
Securities sold and matured during the period	256			—			292			(59		)
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2)	(5,762		)	(2,703		)	(17,601		)	(6,966		)
Balance, September 30	$	296,915		$	319,441		$	296,915		$	319,441

Notes:

⁽¹⁾ For the three months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to July 1, 2014 and 2013. For the nine months ended September 30, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013.

⁽²⁾ This activity represents amounts accreted as interest income over the remaining lives of the applicable securities.

All Other AFS and HTM Investments. At September 30, 2014, 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 any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at September 30, 2014.

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Mortgage Loans Held for Portfolio

9 Months Ended

Sep. 30, 2014

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

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

The following table presents balances as of September 30, 2014 and December 31, 2013 for mortgage loans held for portfolio.

(in thousands)	September 30, 2014			December 31, 2013
Fixed-rate medium-term single-family mortgages (1)	$	433,322		$	488,334
Fixed-rate long-term single-family mortgages (1)	2,622,025			2,682,255
Total par value	3,055,347			3,170,589
Premiums	49,993			50,436
Discounts	(5,198		)	(6,147		)
Hedging adjustments	23,853			20,572
Total mortgage loans held for portfolio	$	3,123,995		$	3,235,450

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 September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Government-guaranteed/insured loans	$	287,262	$	306,025
Conventional loans	2,768,085		2,864,564
Total par value	$	3,055,347	$	3,170,589

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

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Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) (Conventional MPF Loan [Member], USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Conventional MPF Loan [Member]
Recorded Investment
With no related allowance	$ 32,618	$ 501
With a related allowance	38,517	15,070
Total recorded investment	71,135	15,571
Unpaid Principal Balance
With no related allowance	32,317	498
With a related allowance	38,340	15,004
Total Unpaid Principal Balance	70,657	15,502
Related Allowance for Credit Losses	$ 6,172	$ 795

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Transactions with Related Parties (Transactions with Other FHLBanks) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Related Party Transaction [Line Items]
Interest income on MPF	$ 31,986	$ 34,200	$ 98,216	$ 107,463
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on MPF	19,558	24,205	61,988	78,517
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	256	231	735	681
Interest income on MPF	1	0	1	6
Interest-bearing deposits maintained with FHLBank of Chicago	$ 5,425		$ 5,425		$ 7,795

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	$ 41,650,812		$ 37,251,688
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	156,672		249,579
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	576,795		834,907
Derivative Asset, Fair Value, Gross Liability	(85,610)		(182,045)
Derivative Liability, Fair Value, Gross Asset	(85,610)		(182,045)
Total collateral and netting adjustments: Derivative Assets	(18,205)		(7,561)
Total collateral and netting adjustments: Derivative Liabilities	(396,028)		(475,374)
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(103,815)	[1]	(189,606)	[1]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(481,638)	[1]	(657,419)	[1]
Derivative assets	52,857		59,973
Derivative liabilities	95,157		177,488
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	28,783,665		25,443,924
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	112,787		169,718
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	543,784		800,078
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	12,867,147		11,807,764
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	43,885		79,861
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	33,011		34,829
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	11,994,286		10,730,985
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	37,183		72,519
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	33,011		34,829
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	50,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	1,079
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	0
Not Designated as Hedging Instrument [Member] | Interest Rate Caps and Floors [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	796,000		1,064,500
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	5,118		7,182
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	0		0
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	26,861		12,279
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	505		160
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	$ 0		$ 0

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

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Allowance for Credit Losses (TDR Modifications) (Details) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Conventional MPF Loan [Member]
Financing Receivable, Modifications [Line Items]
Financing Receivable, Modifications, Subsequent Default, Recorded Investment			$ 4,900,000	$ 4,600,000
Pre-Modification	2,567,000	3,658,000	8,949,000	9,827,000
Post-Modification	2,567,000	3,658,000	8,949,000	9,775,000
Conventional MPF Loan [Member]
Financing Receivable, Modifications [Line Items]
Average Recorded Investment	72,990,000	15,258,000	76,809,000	14,316,000
Interest Income Recognized	$ 350,000	$ 190,000	$ 1,032,000	$ 533,000

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Capital (Tables)

9 Months Ended

Sep. 30, 2014

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 September 30, 2014 and December 31, 2013.

	September 30, 2014						December 31, 2013
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	881,809		$	3,883,885		$	1,052,654		$	3,647,902
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	5.2		%
Total regulatory capital	3,055,989			3,883,885			2,826,837			3,647,902
Leverage ratio	5.0		%	7.6		%	5.0		%	7.7		%
Leverage capital	3,819,986			5,825,827			3,533,546			5,471,853

Schedule of Concentration in Capital Stock Held

(dollars in thousands)	September 30, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	694,905	22.6	%
Chase Bank USA, N.A., Wilmington, DE	419,542		13.6
Santander Bank, N.A., Wilmington, DE	415,607		13.5

(dollars in thousands)	December 31, 2013
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	601,605	20.3	%
Chase Bank USA, N.A., Wilmington, DE	439,802		14.8
Santander Bank, N.A., Wilmington, DE	416,685		14.1
Ally Bank, Midvale, UT	307,800		10.4

Note:

⁽¹⁾ For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, 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 nine months ended September 30, 2014 and 2013.

	Nine months ended September 30,
(in thousands)	2014			2013
Balance, beginning of the period	$	40		$	431,566
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	8,422			698
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(7,693		)	(432,224		)
Balance, end of period	$	769		$	40

Note:

⁽¹⁾ Reflects the impact on mandatorily redeemable capital stock related to 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 September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		40
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	—		—
Due after 4 years through 5 years	769		—
Total	$	769	$	40

Schedule of Accumulated Other Comprehensive Income (Loss)

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2013	$	(16,796	)	$	64,249		$	—	$	287		$	(919	)	$	46,821
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,115		)	1,706			—		—			—			(5,409		)
Net change in fair value of OTTI securities	—			1,228			—		—			—			1,228
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—			—		—			—			41
Amortization - pension and post-retirement	—			—			—		—			80			80
September 30, 2013	$	(23,870	)	$	67,183		$	—	$	287		$	(839	)	$	42,761
June 30, 2014	$	22,743		$	96,635		$	—	$	286		$	(1,029	)	$	118,635
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(5,656		)	(4,523		)	—		—			—			(10,179		)
Net change in fair value of OTTI securities	—			(378		)	—		—			—			(378		)
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—			—		(7		)	—			(7		)
Amortization - pension and post-retirement	—			—			—		—			41			41
September 30, 2014	$	17,087		$	91,734		$	—	$	279		$	(988	)	$	108,112

The following table summarizes the changes in AOCI for the nine months ended September 30, 2014 and 2013.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2012	$	35,390		$	18,999	$	—	$	286		$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	(59,301		)	23,147		—		—			—			(36,154		)
Net change in fair value of OTTI securities	—			24,595		—		—			—			24,595
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—		—		—			—			41
Noncredit OTTI to credit OTTI	—			442		—		—			—			442
Amortization - hedging activities	—			—		—		1			—			1
Amortization - pension and post-retirement	—			—		—		—			131			131
September 30, 2013	$	(23,870	)	$	67,183	$	—	$	287		$	(839	)	$	42,761
December 31, 2013	$	(32,481	)	$	77,642	$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	49,568			11,498		—		—			—			61,066
Net change in fair value of OTTI securities	—			2,594		—		—			—			2,594
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—		—		(8		)	—			(8		)
Amortization - pension and post-retirement	—			—		—		—			120			120
September 30, 2014	$	17,087		$	91,734	$	—	$	279		$	(988	)	$	108,112

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Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 3,439,240	$ 3,995,530
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	230,886	259,154
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	3,208,354	3,736,376
Fixed Income Interest Rate [Member] | Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	73,026	96,569
Fixed Income Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,154,591	1,303,424
Variable Income Interest Rate [Member] | Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	157,860	162,585
Variable Income Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 2,053,763	$ 2,432,952

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Transactions with Related Parties

9 Months Ended

Sep. 30, 2014

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	September 30, 2014		December 31, 2013
Federal funds sold	$	—	$	45,000
Investments	161,885		168,905
Advances	33,804,195		37,978,850
Letters of credit (1)	9,487,132		7,206,562
MPF loans	1,397,353		1,633,238
Deposits	11,401		10,422
Capital stock	1,604,489		1,834,397

Note:

⁽¹⁾ Letters of credit are off-balance sheet commitments.

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Interest income on advances (1)	$	35,376	$	32,242	$	101,957	$	94,422
Interest income on MPF loans	19,558		24,205		61,988		78,517
Letter of credit fees	2,197		176		6,050		263
Prepayment fees on advances	—		—		3,090		—

Note:

⁽¹⁾ For the three and nine months ended September 30, 2014, balances include contractual interest income of $81.0 million and $243.7 million, net interest settlements on derivatives in fair value hedge relationships of $(45.2) million and $(138.7) million and total amortization of basis adjustments of $(0.5) million and $(3.1) million. For the three and nine months ended September 30, 2013, balances include contractual interest income of $86.8 million and $256.7 million, net interest settlements on derivatives in fair value hedge relationships of $(54.0) million and $(160.1) million and total amortization of basis adjustments of $(0.6) million and $(2.2) million.

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Total MPF loan volume purchased	$	5,457	$	6,569	$	6,778	$	13,018

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

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2014		2013		2014		2013
Servicing fee expense	$	256	$	231	$	735	$	681
Interest income on MPF deposits	1		—		1		6

(in thousands)	September 30, 2014		December 31, 2013
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,425	$	7,795

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the nine months ended September 30, 2014 and 2013, 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 nine months ended September 30, 2014 and 2013, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2014 and 2013.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2013 Form 10-K.

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

9 Months Ended

Sep. 30, 2014

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

Schedule of Available-for-sale Securities Reconciliation

The following tables present AFS securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,920,807		—			17,250		(5,119		)	2,932,938
State or local agency obligations	62,081		—			184		(1,034		)	61,231
Total non-MBS	$	2,984,881	$	—		$	17,439	$	(6,153	)	$	2,996,167
MBS:
Other U.S. obligations residential MBS	$	342,749	$	—		$	222	$	(243	)	$	342,728
GSE MBS (3)	3,666,425		—			18,683		(12,664		)	3,672,444
Private label MBS:
Private label residential MBS	924,189		(1,129		)	90,138		(196		)	1,013,002
HELOCs	9,631		(53		)	2,778		—			12,356
Total private label MBS	933,820		(1,182		)	92,916		(196		)	1,025,358
Total MBS	$	4,942,994	$	(1,182	)	$	111,821	$	(13,103	)	$	5,040,530
Total AFS securities	$	7,927,875	$	(1,182	)	$	129,260	$	(19,256	)	$	8,036,697

	December 31, 2013
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	2,103,847		—			1,160		(8,830		)	2,096,177
State or local agency obligations	15,430		—			35		(1,422		)	14,043
Total non-MBS	$	2,121,270	$	—		$	1,200	$	(10,252	)	$	2,112,218
MBS:
Other U.S. obligations residential MBS	$	386,169	$	—		$	27	$	(900	)	$	385,296
GSE MBS (3)	3,144,543		—			11,389		(33,781		)	3,122,151
Private label MBS:
Private label residential MBS	1,048,893		(3,723		)	78,618		(164		)	1,123,624
HELOCs	11,681		(109		)	2,856		—			14,428
Total private label MBS	1,060,574		(3,832		)	81,474		(164		)	1,138,052
Total MBS	$	4,591,286	$	(3,832	)	$	92,890	$	(34,845	)	$	4,645,499
Total AFS securities	$	6,712,556	$	(3,832	)	$	94,090	$	(45,097	)	$	6,757,717

Notes:

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

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

Schedule of Realized Gain (Loss) [Table Text Block]

The following table provides a summary of proceeds and gross losses on sale of one AFS security for the three and nine months ended September 30, 2014 and 2013.

	Three months ended September 30,					Nine months ended September 30,
(in thousands)	2014		2013			2014		2013
Proceeds from sale of AFS securities	$	—	$	19,909		$	—	$	19,909
Gross losses on AFS securities	—		(41		)	—		(41		)

Available-for-sale Securities

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 AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014			December 31, 2013
Non-credit portion of OTTI losses	$	(1,182	)	$	(3,832	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	92,916			81,474
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	91,734		$	77,642

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,489,611	$	(4,219	)	$	222,906	$	(900	)	$	1,712,517	$	(5,119	)
State or local agency obligations	10,122		(428		)	11,880		(606		)	22,002		(1,034		)
Total non-MBS	$	1,499,733	$	(4,647	)	$	234,786	$	(1,506	)	$	1,734,519	$	(6,153	)
MBS:
Other U.S. obligations residential MBS	$	—	$	—		$	137,398	$	(243	)	$	137,398	$	(243	)
GSE MBS	248,935		(997		)	485,793		(11,667		)	734,728		(12,664		)
Private label:
Private label residential MBS	43,311		(145		)	50,463		(1,180		)	93,774		(1,325		)
HELOCs	—		—			1,534		(53		)	1,534		(53		)
Total private label MBS	43,311		(145		)	51,997		(1,233		)	95,308		(1,378		)
Total MBS	$	292,246	$	(1,142	)	$	675,188	$	(13,143	)	$	967,434	$	(14,285	)
Total	$	1,791,979	$	(5,789	)	$	909,974	$	(14,649	)	$	2,701,953	$	(20,438	)

	December 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 and TVA obligations	$	1,350,088	$	(8,830	)	$	—	$	—		$	1,350,088	$	(8,830	)
State or local agency obligations	3,994		(456		)	8,664		(966		)	12,658		(1,422		)
Total non-MBS	$	1,354,082	$	(9,286	)	$	8,664	$	(966	)	$	1,362,746	$	(10,252	)
MBS:
Other U.S. obligations residential MBS	$	317,394	$	(806	)	$	28,803	$	(94	)	$	346,197	$	(900	)
GSE MBS	1,142,806		(33,495		)	64,515		(286		)	1,207,321		(33,781		)
Private label:
Private label residential MBS	66,847		(648		)	42,306		(3,239		)	109,153		(3,887		)
HELOCs	—		—			1,679		(109		)	1,679		(109		)
Total private label MBS	66,847		(648		)	43,985		(3,348		)	110,832		(3,996		)
Total MBS	$	1,527,047	$	(34,949	)	$	137,303	$	(3,728	)	$	1,664,350	$	(38,677	)
Total	$	2,881,129	$	(44,235	)	$	145,967	$	(4,694	)	$	3,027,096	$	(48,929	)

Note:

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

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	301,980	$	302,208	$	201,992	$	202,104
Due after one year through five years	1,843,749		1,839,334		1,226,635		1,223,399
Due after five years through ten years	608,649		619,890		524,313		521,278
Due in more than ten years	230,503		234,735		168,330		165,437
AFS securities excluding MBS	2,984,881		2,996,167		2,121,270		2,112,218
MBS	4,942,994		5,040,530		4,591,286		4,645,499
Total AFS securities	$	7,927,875	$	8,036,697	$	6,712,556	$	6,757,717

Schedule of Interest Rate Payment Terms For Investments

The following table details interest payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	2,565,185	$	1,536,763
Variable-rate	419,696		584,507
Total non-MBS	$	2,984,881	$	2,121,270
Amortized cost of AFS MBS:
Fixed-rate	$	2,054,209	$	2,155,940
Variable-rate	2,888,785		2,435,346
Total MBS	$	4,942,994	$	4,591,286
Total amortized cost of AFS securities	$	7,927,875	$	6,712,556

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	Sep. 30, 2014	Dec. 31, 2013
Fair Value:
Less than 12 Months	$ 140,084	$ 441,866
Greater than 12 Months	351,845	351,799
Fair Value	491,929	793,665
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(535)	(4,227)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(21,957)	(23,277)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(22,492)	(27,504)
State or local agency obligations [Member]
Fair Value:
Less than 12 Months	4,029	18,367
Greater than 12 Months	122,774	132,463
Fair Value	126,803	150,830
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(61)	(271)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(12,321)	(10,482)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(12,382)	(10,753)
Other U.S. obligations residential MBS
Fair Value:
Less than 12 Months		37,984
Greater than 12 Months		0
Fair Value		37,984
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(15)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		0
Total, Continuous Unrealized Loss Position, Accumulated Loss		(15)
HELOCs [Member]
Fair Value:
Less than 12 Months		0
Greater than 12 Months		8,878
Fair Value		8,878
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		0
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(789)
Total, Continuous Unrealized Loss Position, Accumulated Loss		(789)
Total private label MBS
Fair Value:
Less than 12 Months		292,159
Greater than 12 Months		205,967
Fair Value		498,126
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		(3,829)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		(12,692)
Total, Continuous Unrealized Loss Position, Accumulated Loss		(16,521)
MBS [Member]
Fair Value:
Less than 12 Months	136,055	423,499
Greater than 12 Months	229,071	219,336
Fair Value	365,126	642,835
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(474)	(3,956)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(9,636)	(12,795)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(10,110)	(16,751)
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	0	93,356
Greater than 12 Months	11,774	13,369
Fair Value	11,774	106,725
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	0	(112)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(58)	(103)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(58)	(215)
Residential Mortgage Backed Securities [Member] | Total private label MBS
Fair Value:
Less than 12 Months	136,055	292,159
Greater than 12 Months	217,297	197,089
Fair Value	353,352	489,248
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(474)	(3,829)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(9,578)	(11,903)
Total, Continuous Unrealized Loss Position, Accumulated Loss	$ (10,052)	$ (15,732)

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Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014		Dec. 31, 2013
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 7,927,875	[1]	$ 6,712,556	[1]
OTTI Recognized in AOCI	(1,182)	[2]	(3,832)	[2]
Gross Unrealized Gains	129,260		94,090
Gross Unrealized Losses	(19,256)	[2]	(45,097)	[2]
Fair Value	8,036,697		6,757,717
Other Than Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,984,881	[1]	2,121,270	[2]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	17,439		1,200	[2]
Gross Unrealized Losses	(6,153)		(10,252)	[2]
Fair Value	2,996,167		2,112,218	[2]
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	[2]	0	[2]
Fair Value	1,998		1,998
GSE and TVA obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,920,807	[1]	2,103,847	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	17,250		1,160
Gross Unrealized Losses	(5,119)	[2]	(8,830)	[2]
Fair Value	2,932,938		2,096,177
State or local agency obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	62,081	[1]	15,430	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	184		35
Gross Unrealized Losses	(1,034)		(1,422)	[2]
Fair Value	61,231		14,043
Total MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,942,994	[1]	4,591,286	[1]
OTTI Recognized in AOCI	(1,182)	[2]	(3,832)	[2]
Gross Unrealized Gains	111,821		92,890
Gross Unrealized Losses	(13,103)	[2]	(34,845)	[2]
Fair Value	5,040,530		4,645,499
Other U.S. obligations residential MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	342,749	[1]	386,169	[1]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	222		27
Gross Unrealized Losses	(243)	[2]	(900)	[2]
Fair Value	342,728		385,296
1-4 family , residential MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,900,000		2,300,000
Multi family residential MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	800,000		800,000
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	933,820	[1]	1,060,574	[1]
OTTI Recognized in AOCI	(1,182)	[2]	(3,832)	[2]
Gross Unrealized Gains	92,916		81,474
Gross Unrealized Losses	(196)	[2]	(164)	[2]
Fair Value	1,025,358		1,138,052
Asset Backed Securities, Backed By Home Equity Loans [Member] [Domain]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	9,631	[1]	11,681	[1]
OTTI Recognized in AOCI	(53)	[2]	(109)	[2]
Gross Unrealized Gains	2,778		2,856
Gross Unrealized Losses	0	[2]	0	[2]
Fair Value	12,356		14,428
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	3,666,425	[1],[3]	3,144,543	[1],[3]
OTTI Recognized in AOCI	0	[2]	0	[2]
Gross Unrealized Gains	18,683		11,389
Gross Unrealized Losses	(12,664)	[2]	(33,781)	[2]
Fair Value	3,672,444		3,122,151
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	924,189	[1]	1,048,893	[1]
OTTI Recognized in AOCI	(1,129)	[2]	(3,723)	[2]
Gross Unrealized Gains	90,138		78,618
Gross Unrealized Losses	(196)		(164)	[2]
Fair Value	$ 1,013,002		$ 1,123,624

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

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

[3] Includes amortized cost of $2.9 billion of 1-4 family MBS and $0.8 billion of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $2.3 billion and $0.8 billion.

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Statement of Condition (Parenthetical) (USD $) In Thousands, except Per Share data, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
ASSETS
Available-for-sale Securities Pledged as Collateral	$ 0	$ 79,233
Held to maturity securities - fair value	3,482,390	4,034,830
Allowance for Credit losses, Mortgage Loans	7,710	11,359
Allowance for Credit Losses, BOB loans	$ 1,980	$ 2,231
Stockholders' Equity Attributable to Parent [Abstract]
Capital Stock, Par value Per Share	$ 100	$ 100
Capital Stock, Shares, Issued and Outstanding	30,794	29,622

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Estimated Fair Values (Valuation Techniques) (Details)	Sep. 30, 2014 vendor
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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Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

9 Months Ended

Sep. 30, 2014

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 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any credit enhancements, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 8 - Allowance for Loan Losses for more information.

The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank plans to adopt the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans will be eliminated and the corresponding recorded investment in the loan will be reduced by the amounts that are charged-off, unless it is expected to be recovered through credit enhancement (CE), for which the Bank will recognize a CE Fee Receivable. Under the Bank’s existing accounting practices and upon adoption of the Advisory Bulletin, the ultimate amount of losses realized on the Bank’s loan portfolio will be the same over time; however, the timing of when the Bank recognizes the losses in its financial statements will differ.

The Bank does not expect the adoption of the charge-off provisions of the Advisory Bulletin to have a material impact on its 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 was effective for the Bank beginning January 1, 2014. The Bank's joint and several obligation associated with its consolidated obligations is within the scope of this guidance. However, this guidance had no impact on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance clarifying when a loan should be de-recognized and the related real estate property recognized. This guidance will allow the Bank to recognize properties as real estate owned once the borrower has voluntarily conveyed its interest in the property to the Bank through a deed in lieu of foreclosure or similar agreement. This guidance, which will be effective for the Bank beginning January 1, 2015, will not impact the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2017, is not expected to materially impact the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.In June 2014, the FASB issued guidance amending the accounting for certain repurchase agreements, including repurchase-to-maturity transactions and repurchase financing transactions. The guidance will also require expanded disclosures for transactions accounted for as secured borrowings and sales. This guidance, which will be effective for the Bank beginning January 1, 2015, is not expected to have a material impact on the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Classification of Certain Government Insured Residential Mortgage Loans upon Foreclosure. In August 2014, the FASB issued guidance to limit diversity in practice for classification of certain mortgage loans backed by a government guarantee upon foreclosure. Upon foreclosure, the mortgage loan should be de-recognized and a separate other receivable recognized for the amount of the loan balance expected to be recovered from the guarantor. This guidance, which will be effective for the Bank beginning January 1, 2015, is not expected to impact the Bank 's Statement of Income, Statement of Comprehensive Income, or Statement of Condition.

Going Concern. In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed on its December 31, 2016 financial information.

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Advances (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed rate – overnight	$ 1,998,742	$ 1,284,394
Due in 1 year or less	12,947,675	17,801,335
Thereafter	11,159,287	10,778,131
Total Fixed Rate	26,105,704	29,863,860
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Due in 1 year or less	5,327,927	3,083,940
Thereafter	21,238,927	16,766,238
Total Variable Rate	26,566,854	19,850,178
Total Par Value	$ 52,672,558	$ 49,714,038

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended	9 Months Ended			3 Months Ended		9 Months Ended								3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014 Net Unrealized Gains(Losses) on AFS Available-for-sale Securities	Sep. 30, 2013 Net Unrealized Gains(Losses) on AFS Available-for-sale Securities	Sep. 30, 2014 Net Unrealized Gains(Losses) on AFS Available-for-sale Securities	Sep. 30, 2013 Net Unrealized Gains(Losses) on AFS Available-for-sale Securities	Sep. 30, 2014 Net Unrealized Gains(Losses) on AFS Net Unrealized Gains on Hedging Activities[Member]	Sep. 30, 2014 Net Unrealized Gains(Losses) on AFS Net Unrealized Gains on Hedging Activities[Member]	Sep. 30, 2013 Net Unrealized Gains(Losses) on AFS Net Unrealized Gains on Hedging Activities[Member]	Jun. 30, 2013 Net Unrealized Gains(Losses) on AFS Net Unrealized Gains on Hedging Activities[Member]	Sep. 30, 2014 Noncredit OTTI Gains(Losses) Available-for-sale Securities	Sep. 30, 2013 Noncredit OTTI Gains(Losses) Available-for-sale Securities	Sep. 30, 2014 Noncredit OTTI Gains(Losses) Available-for-sale Securities	Sep. 30, 2013 Noncredit OTTI Gains(Losses) Available-for-sale Securities	Sep. 30, 2014 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Jun. 30, 2014 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Dec. 31, 2013 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Sep. 30, 2013 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Jun. 30, 2013 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Dec. 31, 2012 Noncredit OTTI Gains(Losses) Held-to-maturity Securities	Sep. 30, 2014 Pension and Post Retirement Plans	Sep. 30, 2013 Pension and Post Retirement Plans	Sep. 30, 2014 Pension and Post Retirement Plans	Sep. 30, 2013 Pension and Post Retirement Plans	Sep. 30, 2014 Total AOCI	Sep. 30, 2013 Total AOCI	Sep. 30, 2014 Total AOCI	Sep. 30, 2013 Total AOCI
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period					$ 22,743	$ (16,796)	$ (32,481)	$ 35,390	$ 286	$ 287	$ 286	$ 287	$ 96,635	$ 64,249	$ 77,642	$ 18,999	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ (1,029)	$ (919)	$ (1,108)	$ (970)	$ 118,635	$ 46,821	$ 44,340	$ 53,705
Net unrealized gains (losses)					(5,656)	(7,115)	49,568	(59,301)					(4,523)	1,706	11,498	23,147											(10,179)	(5,409)	61,066	(36,154)
Net change in fair value of OTTI securities	(378)	1,228	2,594	24,595									(378)	1,228	2,594	24,595											(378)	1,228	2,594	24,595
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax	0	(41)	0	(41)		41		41																				41		41
Noncredit OTTI to Credit OTTI																442														442
Reclassification of net losses (gains) included in net income relating to hedging activities	7	0	8	(1)					(7)	(8)	1																(7)		(8)	1
Amortization - Pension and post-retirement	41	80	120	131																			41	80	120	131	41	80	120	131
Total AOCI income (loss), End of period					$ 17,087	$ (23,870)	$ 17,087	$ (23,870)	$ 279	$ 279	$ 287	$ 287	$ 91,734	$ 67,183	$ 91,734	$ 67,183	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ (988)	$ (839)	$ (988)	$ (839)	$ 108,112	$ 42,761	$ 108,112	$ 42,761

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Derivatives and Hedging Activities (Narrative) (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative, Net Liability Position, Aggregate Fair Value	$ 316.5
Collateral Already Posted, Aggregate Fair Value	224.3
Additional Collateral, Aggregate Fair Value	$ 52.8

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Held-to-Maturity (HTM) Securities (Tables)

9 Months Ended

Sep. 30, 2014

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

Held-to-maturity Securities

The following tables present HTM securities as of September 30, 2014 and December 31, 2013.

	September 30, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,612	$	485	$	—		$	14,097
State or local agency obligations	217,274		3,227		(12,382		)	208,119
Total non-MBS	$	230,886	$	3,712	$	(12,382	)	$	222,216
MBS:
Other U.S. obligations residential MBS	$	1,195,934	$	8,145	$	—		$	1,204,079
GSE MBS (1)	1,283,406		49,256		(58		)	1,332,604
Private label residential MBS	729,014		4,529		(10,052		)	723,491
Total MBS	$	3,208,354	$	61,930	$	(10,110	)	$	3,260,174
Total HTM securities	$	3,439,240	$	65,642	$	(22,492	)	$	3,482,390

	December 31, 2013
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	16,220	$	721	$	—		$	16,941
State or local agency obligations	242,934		3,817		(10,753		)	235,998
Total non-MBS	$	259,154	$	4,538	$	(10,753	)	$	252,939
MBS:
Other U.S. obligations residential MBS	$	1,435,458	$	8,869	$	(15	)	$	1,444,312
GSE MBS (1)	1,417,926		49,097		(215		)	1,466,808
Private label MBS:
Private label residential MBS	873,325		4,300		(15,732		)	861,893
HELOCs	9,667		—		(789		)	8,878
Total private label MBS	882,992		4,300		(16,521		)	870,771
Total MBS	$	3,736,376	$	62,266	$	(16,751	)	$	3,781,891
Total HTM securities	$	3,995,530	$	66,804	$	(27,504	)	$	4,034,830

Notes:

⁽¹⁾ Includes $451.3 million of 1-4 family MBS and $832.1 million of multi-family MBS at September 30, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million.

Held-to-maturity Securities

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

Schedule of Unrealized Loss on Investments

The following tables summarize the HTM securities with unrealized losses as of September 30, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2014
	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	$	4,029	$	(61	)	$	122,774	$	(12,321	)	$	126,803	$	(12,382	)
MBS:
GSE MBS	$	—	$	—		$	11,774	$	(58	)	$	11,774	$	(58	)
Private label:
Private label residential MBS	136,055		(474		)	217,297		(9,578		)	353,352		(10,052		)
Total MBS	$	136,055	$	(474	)	$	229,071	$	(9,636	)	$	365,126	$	(10,110	)
Total	$	140,084	$	(535	)	$	351,845	$	(21,957	)	$	491,929	$	(22,492	)

	December 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	$	18,367	$	(271	)	$	132,463	$	(10,482	)	$	150,830	$	(10,753	)
MBS:
Other U.S. obligations residential MBS	$	37,984	$	(15	)	$	—	$	—		$	37,984	$	(15	)
GSE MBS	93,356		(112		)	13,369		(103		)	106,725		(215		)
Private label:
Private label residential MBS	292,159		(3,829		)	197,089		(11,903		)	489,248		(15,732		)
HELOCs	—		—			8,878		(789		)	8,878		(789		)
Total private label MBS	292,159		(3,829		)	205,967		(12,692		)	498,126		(16,521		)
Total MBS	$	423,499	$	(3,956	)	$	219,336	$	(12,795	)	$	642,835	$	(16,751	)
Total	$	441,866	$	(4,227	)	$	351,799	$	(23,277	)	$	793,665	$	(27,504	)

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2014				December 31, 2013
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due after one year through five years	$	17,702	$	18,125	$	16,221	$	16,941
Due after five years through ten years	35,757		37,135		40,043		41,530
Due after ten years	177,427		166,956		202,890		194,468
HTM securities excluding MBS	230,886		222,216		259,154		252,939
MBS	3,208,354		3,260,174		3,736,376		3,781,891
Total HTM securities	$	3,439,240	$	3,482,390	$	3,995,530	$	4,034,830

Schedule of Interest Rate Payment Terms For Investments

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	73,026	$	96,569
Variable-rate	157,860		162,585
Total non-MBS	$	230,886	$	259,154
Amortized cost of HTM MBS:
Fixed-rate	$	1,154,591	$	1,303,424
Variable-rate	2,053,763		2,432,952
Total MBS	$	3,208,354	$	3,736,376
Total HTM securities	$	3,439,240	$	3,995,530

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 (Consolidated Obligation Bonds Noncallable and Callable) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 39,863,782	$ 37,694,748
Non Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	25,594,782	26,549,748
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 14,269,000	$ 11,145,000

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Background Information (Details)	Sep. 30, 2014 Banks
Nature of Operations [Line Items]
Number of Federal Home Loan Banks	12
Minimum
Nature of Operations [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%

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Capital

9 Months Ended

Sep. 30, 2014

Capital [Abstract]

Capital

Capital

The Bank is subject to three capital requirements under its current Capital Plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 17 to the audited financial statements in the Bank’s 2013 Form 10-K.

At September 30, 2014, 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 September 30, 2014 and December 31, 2013, 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 September 30, 2014 and December 31, 2013.

	September 30, 2014						December 31, 2013
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	881,809		$	3,883,885		$	1,052,654		$	3,647,902
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	5.2		%
Total regulatory capital	3,055,989			3,883,885			2,826,837			3,647,902
Leverage ratio	5.0		%	7.6		%	5.0		%	7.7		%
Leverage capital	3,819,986			5,825,827			3,533,546			5,471,853

The ratios from December 31, 2013 to September 30, 2014 decreased slightly primarily due to a greater percentage increase in total assets than in regulatory capital. When the Finance Agency implemented the prompt corrective action provisions of the Housing and Economic Recovery Act of 2008 (Housing Act), it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 23, 2014, the Bank received final notification from the Finance Agency that it was considered to be "adequately capitalized" for the quarter ended June 30, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2014.

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 September 30, 2014 and December 31, 2013.

(dollars in thousands)	September 30, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	694,905	22.6	%
Chase Bank USA, N.A., Wilmington, DE	419,542		13.6
Santander Bank, N.A., Wilmington, DE	415,607		13.5

(dollars in thousands)	December 31, 2013
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	601,605	20.3	%
Chase Bank USA, N.A., Wilmington, DE	439,802		14.8
Santander Bank, N.A., Wilmington, DE	416,685		14.1
Ally Bank, Midvale, UT	307,800		10.4

Note:

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

Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's issued and outstanding shares of 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 Finance Agency regulation.

At September 30, 2014 and December 31, 2013, the Bank had $769 thousand and $40 thousand, 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 and nine months ended September 30, 2014, estimated dividends on mandatorily redeemable capital stock totaling $12 thousand and $46 thousand, respectively, were recorded as interest expense. For the three and nine months ended September 30, 2013, estimated dividends on mandatorily redeemable capital stock totaling $317 thousand and $1.3 million, respectively, were recorded as interest expense.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2014 and 2013.

	Nine months ended September 30,
(in thousands)	2014			2013
Balance, beginning of the period	$	40		$	431,566
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	8,422			698
Redemption of mandatorily redeemable capital stock:
Other redemptions (1)	(7,693		)	(432,224		)
Balance, end of period	$	769		$	40

Note:

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

As of September 30, 2014, the total mandatorily redeemable capital stock reflected the balance for two institutions, one of which was merged out of district and is considered to be a nonmember. The other institution has notified the Bank of its intention to voluntary redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2014 and December 31, 2013.

(in thousands)	September 30, 2014		December 31, 2013
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		40
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	—		—
Due after 4 years through 5 years	769		—
Total	$	769	$	40

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. 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 September 30, 2014, retained earnings were $803.8 million, including $705.4 million of unrestricted retained earnings and $98.4 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. In February, April, July 2014 and October 2014, the Bank declared quarterly dividends of 2.5%, 4.0%, 4.0% and 4.0% on an annualized basis, respectively.

Capital Changes. The Bank's previously announced changes to its Capital Plan became effective October 6 and included creating two subclasses of capital stock (membership and activity) and a widening of the requirement ranges on activity-based capital stock for advances, letters of credit, and forward-commitment advances. In addition, the membership stock requirement was reduced effective October 7, 2014, which decreased the Bank’s capital stock. Also, the Bank announced effective December 3, 2014 that it will repurchase excess capital stock on a weekly, rather than monthly, basis.

The following table summarizes the changes in AOCI for the three months ended September 30, 2014 and 2013.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
June 30, 2013	$	(16,796	)	$	64,249		$	—	$	287		$	(919	)	$	46,821
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(7,115		)	1,706			—		—			—			(5,409		)
Net change in fair value of OTTI securities	—			1,228			—		—			—			1,228
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—			—		—			—			41
Amortization - pension and post-retirement	—			—			—		—			80			80
September 30, 2013	$	(23,870	)	$	67,183		$	—	$	287		$	(839	)	$	42,761
June 30, 2014	$	22,743		$	96,635		$	—	$	286		$	(1,029	)	$	118,635
Other comprehensive income (loss) before reclassification:
Net unrealized (losses)	(5,656		)	(4,523		)	—		—			—			(10,179		)
Net change in fair value of OTTI securities	—			(378		)	—		—			—			(378		)
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—			—		(7		)	—			(7		)
Amortization - pension and post-retirement	—			—			—		—			41			41
September 30, 2014	$	17,087		$	91,734		$	—	$	279		$	(988	)	$	108,112

The following table summarizes the changes in AOCI for the nine months ended September 30, 2014 and 2013.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2012	$	35,390		$	18,999	$	—	$	286		$	(970	)	$	53,705
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	(59,301		)	23,147		—		—			—			(36,154		)
Net change in fair value of OTTI securities	—			24,595		—		—			—			24,595
Reclassifications from OCI to net income:
Reclassification adjustment for losses     included in net income	41			—		—		—			—			41
Noncredit OTTI to credit OTTI	—			442		—		—			—			442
Amortization - hedging activities	—			—		—		1			—			1
Amortization - pension and post-retirement	—			—		—		—			131			131
September 30, 2013	$	(23,870	)	$	67,183	$	—	$	287		$	(839	)	$	42,761
December 31, 2013	$	(32,481	)	$	77,642	$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	49,568			11,498		—		—			—			61,066
Net change in fair value of OTTI securities	—			2,594		—		—			—			2,594
Reclassifications from OCI to net income:
Amortization - hedging activities	—			—		—		(8		)	—			(8		)
Amortization - pension and post-retirement	—			—		—		—			120			120
September 30, 2014	$	17,087		$	91,734	$	—	$	279		$	(988	)	$	108,112