| Fair Value [Text Block] | Fair Values The carrying values, fair values, and fair-value hierarchy of our financial instruments at December 31, 2015 and 2014 , were as follows (dollars in thousands). These fair values do not represent an estimate of our overall market value as a going concern, which would take into account, among other things, our future business opportunities and the net profitability of our assets and liabilities. December 31, 2015 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 254,218 $ 254,218 $ 254,218 $ — $ — $ — Interest-bearing deposits 197 197 197 — — — Securities purchased under agreements to resell 6,700,000 6,699,852 — 6,699,852 — — Federal funds sold 2,120,000 2,119,962 — 2,119,962 — — Trading securities (1) 230,134 230,134 — 230,134 — — Available-for-sale securities (1) 6,314,285 6,314,285 — 6,314,285 — — Held-to-maturity securities 2,654,565 2,923,124 — 1,562,243 1,360,881 — Advances 36,076,167 36,209,343 — 36,209,343 — — Mortgage loans, net 3,581,788 3,666,146 — 3,635,073 31,073 — Accrued interest receivable 84,442 84,442 — 84,442 — — Derivative assets (1) 40,117 40,117 — 27,138 — 12,979 Other assets (1) 15,292 15,292 6,373 8,919 — — Liabilities: Deposits (482,602 ) (482,595 ) — (482,595 ) — — COs: Bonds (25,433,409 ) (25,578,547 ) — (25,578,547 ) — — Discount notes (28,479,097 ) (28,479,076 ) — (28,479,076 ) — — Mandatorily redeemable capital stock (41,989 ) (41,989 ) (41,989 ) — — — Accrued interest payable (81,268 ) (81,268 ) — (81,268 ) — — Derivative liabilities (1) (442,007 ) (442,007 ) — (521,177 ) — 79,170 Other: Commitments to extend credit for advances — (689 ) — (689 ) — — Standby letters of credit (831 ) (831 ) — (831 ) — — _______________________ (1) Carried at fair value on a recurring basis. December 31, 2014 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 1,124,536 $ 1,124,536 $ 1,124,536 $ — $ — $ — Interest-bearing deposits 163 163 163 — — — Securities purchased under agreements to resell 5,250,000 5,249,941 — 5,249,941 — — Federal funds sold 2,550,000 2,549,982 — 2,549,982 — — Trading securities (1) 244,969 244,969 — 244,969 — — Available-for-sale securities (1) 5,481,978 5,481,978 — 5,481,978 — — Held-to-maturity securities 3,352,189 3,710,815 — 2,176,268 1,534,547 — Advances 33,482,074 33,618,345 — 33,618,345 — — Mortgage loans, net 3,483,948 3,612,078 — 3,612,078 — — Accrued interest receivable 77,411 77,411 — 77,411 — — Derivative assets (1) 14,548 14,548 — 26,483 — (11,935 ) Other assets (1) 11,200 11,200 5,682 5,518 — — Liabilities: Deposits (369,331 ) (369,330 ) — (369,330 ) — — COs: Bonds (25,505,774 ) (25,741,697 ) — (25,741,697 ) — — Discount notes (25,309,608 ) (25,310,307 ) — (25,310,307 ) — — Mandatorily redeemable capital stock (298,599 ) (298,599 ) (298,599 ) — — — Accrued interest payable (91,225 ) (91,225 ) — (91,225 ) — — Derivative liabilities (1) (558,889 ) (558,889 ) — (616,033 ) — 57,144 Other: Commitments to extend credit for advances — 430 — 430 — — Standby letters of credit (745 ) (745 ) — (745 ) — — _______________________ (1) Carried at fair value on a recurring basis. Fair-Value Methodologies and Techniques We have determined the fair-value amounts above using available market and other pertinent information and our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of our financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. Therefore, these fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect our judgment of how a market participant would estimate the fair values. Fair-Value Hierarchy. Fair value is the price in an orderly transaction between market participants to sell an asset or transfer a liability in the principal (or advantageous) market for the asset or liability at the measurement date (an exit price). We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain private-label MBS, certain mortgage loans, and certain other assets on a non-recurring basis. U.S. GAAP establishes a fair-value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the fair-value measurement is determined. This overall level is an indication of market observability of the fair-value measurement for the asset or liability. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair-value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 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 other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified or 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; (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, volatilities, and prepayment speeds); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Unobservable inputs for the asset or liability. We review the fair-value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the years ended December 31, 2015 and 2014 . Summary of Valuation Methodologies and Primary Inputs Cash and Due from Banks. The fair value approximates the recorded carrying value. Interest-Bearing Deposits. The fair value approximates the recorded carrying value. Securities Purchased under Agreements to Resell. The fair value is determined by calculating the present value of expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Federal Funds Sold. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for federal funds with similar terms. Investment Securities. We determine the fair values of our investment securities, other than HFA floating-rate securities, based on prices obtained for each of these securities that we request from four designated third-party pricing vendors. The fair value of each such security is the average of such vendor prices that are within a cluster pricing tolerance range. A cluster is defined as a group of available vendor prices for a given security that is within a defined price tolerance range of the median vendor price depending on the security type. An outlier is any vendor price that is outside of the defined cluster and is evaluated for reasonableness. The use of the average of available vendor prices within a cluster and the evaluation of reasonableness of outlier prices does not discard available information. In addition, the fair values produced by this method are reviewed for reasonableness. We request prices on each of our securities subject to this fair-value method from four third-party vendors, when available. These pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. We establish a median price for each security using a formula that is based on the number of prices received: • if four prices are received, the average of the two middle prices is used; • if three prices are received, the middle price is used; • if two prices are received, the average of the two prices is used; and • if one price is received, it is used subject to validation of outliers as described below. Vendor prices that are outside of a defined cluster are identified as outliers and are subject to additional review including, but not limited to, comparison to prices provided by an additional third-party valuation vendor, prices for similar securities, and/or nonbinding dealer estimates, or the use of internal model prices, which we believe reflect the facts and circumstances that a market participant would consider. We also perform this analysis in those limited instances where no third-party vendor price or only one third-party vendor price is available to determine fair value. If the analysis indicates that an outlier (or outliers) is (are) not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then we use the average of the vendor prices within the tolerance threshold of the median price as the final price. If, on the other hand, we determine that an outlier (or some other price identified in the analysis) is a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. As of December 31, 2015 , four vendor prices were received for 96.1 percent of our investment securities and the final prices for substantially all of those securities were computed by averaging the four prices. The relative proximity of the prices received supports our conclusion that the final computed prices are reasonable estimates of fair value. Based on the current low level of market activity for private-label residential MBS, the nonrecurring fair-value measurements for such securities as of December 31, 2015 and 2014 , fell within Level 3 of the fair-value hierarchy. Our fixed-rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activities for these bonds. Investment Securities – HFA Floating Rate Securities. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Our floating rate HFA securities also fall within Level 3 of the fair-value hierarchy due to the current lack of market activity for these bonds. Advances. We determine the fair value of advances by calculating the present value of expected future cash flows from the advances and excluding the amount of accrued interest receivable. The discount rates used in these calculations are the current replacement rates for advances with similar terms. We calculate our replacement advance rates at a spread to our cost of funds. Our cost of funds approximates the CO curve. See — COs within this note for a discussion of the CO curve. We use market-based expectations of future interest-rate volatility implied from current market prices for similar options to estimate the fair values of advances with optionality. In accordance with the FHFA's advances regulations, advances with a maturity or repricing period greater than six months require a prepayment fee sufficient to make us financially indifferent to the borrower's decision to prepay the advances. Therefore, we do not assume prepayment risk when we determine the fair value of advances. Additionally, we do not account for credit risk in determining the fair value of our advances due to the strong credit protections that mitigate the credit risk associated with advances. Collateral requirements for advances provide surety for the repayment such that the probability of credit losses on advances is very low. We have the ability to establish a blanket lien on all financial assets of most members, and in the case of federally insured depository institutions, our lien has a statutory priority over all other creditors with respect to collateral that has not been perfected by other parties. All of these factors serve to mitigate credit risk on advances. Mortgage Loans. The fair values for mortgage loans are determined based on quoted market prices of similar mortgage loans adjusted for credit and liquidity risk. The fair value of impaired conventional mortgage loans is based on the lower of the carrying value of the loans or fair value of the collateral less estimated costs to sell. The fair value of impaired government mortgage loans is equal to the unpaid principal balance. REO. Fair value is derived from third-party valuations of the property, which fall within Level 3 of the fair-value hierarchy. Accrued Interest Receivable and Payable. The fair value approximates the recorded carrying value. Derivative Assets/Liabilities - Interest-Rate-Exchange Agreements . We base the fair values of interest-rate-exchange agreements on available market prices of derivatives having similar terms, including accrued interest receivable and payable. The fair-value methodology uses standard valuation techniques for derivatives such as discounted cash-flow analysis and comparisons with similar instruments. The fair values of all interest-rate-exchange agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We generally use a midmarket pricing convention based on the bid-ask spread as a practical expedient for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We have evaluated the potential for the fair value of the instruments to be affected by counterparty risk and our own credit risk and have determined that no adjustments were significant to the overall fair-value measurements. The discounted cash-flow model uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption . At December 31, 2015 and 2014 , we used either the overnight-index swap (OIS) curve or the LIBOR swap curve depending on the terms of the ISDA agreement we have with each derivative counterparty. • 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. Derivative Assets/Liabilities – Commitments to Invest in Mortgage Loans . Commitments to invest in mortgage loans are recorded as derivatives in the statement of condition. The fair values of such commitments are based on the end-of-day delivery commitment prices provided by the FHLBank of Chicago and a spread, derived from MBS TBA delivery commitment prices with adjustment for the contractual features of the MPF program, such as servicing and credit-enhancement features. Deposits. We determine the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing this amount by any accrued interest payable. The discount rates used in these calculations are the rates of currently issued deposits with similar terms. COs. We estimate fair values based on the cost of issuing comparable term debt, excluding non-interest selling costs. Fair values of COs without embedded options are determined based on internal valuation models that use market-based yield curve inputs obtained from the Office of Finance. Fair values of COs with embedded options are determined by internal valuation models with market-based inputs obtained from the Office of Finance and derivative dealers. The inputs used to determine the fair values of COs are as follows: • CO Curve. The Office of Finance constructs an internal yield curve, referred to as the CO curve, using the U.S. Treasury curve as a base yield curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE debt trades, and secondary market activity. • Volatility Assumption. To estimate the fair values of COs with optionality, we use market-based expectations of future interest-rate volatility implied from current market prices for similar options. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par as indicated by contemporaneous member purchases and sales at par value. Capital stock can only be acquired by our members at par value and redeemed at par value. Our capital stock is not traded and no market mechanism exists for the exchange of capital stock outside of our cooperative structure. Commitments. For fixed-rate advance commitments, fair value considers the difference between current levels of interest rates and the committed rates. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methodologies 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. Since these estimates are made as of a specific point in time, they are susceptible to material near-term changes. Fair Value Measured on a Recurring Basis. The following tables present our assets and liabilities that are measured at fair value on the statement of condition, which are recorded on a recurring basis at December 31, 2015 and 2014 , by fair-value hierarchy level (dollars in thousands): December 31, 2015 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 10,296 $ — $ — $ 10,296 GSEs – single-family MBS — 1,449 — — 1,449 GSEs – multifamily MBS — 218,389 — — 218,389 Total trading securities — 230,134 — — 230,134 Available-for-sale securities: Supranational institutions — 438,913 — — 438,913 U.S. government-owned corporations — 265,968 — — 265,968 GSEs — 117,792 — — 117,792 U.S. government guaranteed – single-family MBS — 156,642 — — 156,642 U.S. government guaranteed – multifamily MBS — 744,762 — — 744,762 GSEs – single-family MBS — 4,590,208 — — 4,590,208 Total available-for-sale securities — 6,314,285 — — 6,314,285 Derivative assets: Interest-rate-exchange agreements — 27,120 — 12,979 40,099 Mortgage delivery commitments — 18 — — 18 Total derivative assets — 27,138 — 12,979 40,117 Other assets 6,373 8,919 — — 15,292 Total assets at fair value $ 6,373 $ 6,580,476 $ — $ 12,979 $ 6,599,828 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (521,152 ) $ — $ 79,170 $ (441,982 ) Mortgage delivery commitments — (25 ) — — (25 ) Total liabilities at fair value $ — $ (521,177 ) $ — $ 79,170 $ (442,007 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. December 31, 2014 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 12,235 $ — $ — $ 12,235 GSEs – single-family MBS — 2,300 — — 2,300 GSEs – multifamily MBS — 230,434 — — 230,434 Total trading securities — 244,969 — — 244,969 Available-for-sale securities: Supranational institutions — 447,685 — — 447,685 U.S. government-owned corporations — 284,997 — — 284,997 GSEs — 123,453 — — 123,453 U.S. government guaranteed – single-family MBS — 206,028 — — 206,028 U.S. government guaranteed – multifamily MBS — 871,423 — — 871,423 GSEs – single-family MBS — 3,548,392 — — 3,548,392 Total available-for-sale securities — 5,481,978 — — 5,481,978 Derivative assets: Interest-rate-exchange agreements — 26,412 — (11,935 ) 14,477 Mortgage delivery commitments — 71 — — 71 Total derivative assets — 26,483 — (11,935 ) 14,548 Other assets 5,682 5,518 — — 11,200 Total assets at fair value $ 5,682 $ 5,758,948 $ — $ (11,935 ) $ 5,752,695 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (616,025 ) $ — $ 57,144 $ (558,881 ) Mortgage delivery commitments — (8 ) — — (8 ) Total liabilities at fair value $ — $ (616,033 ) $ — $ 57,144 $ (558,889 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Fair Value on a Nonrecurring Basis We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). The following tables present financial assets by level within the fair-value hierarchy which were recorded at fair value on a nonrecurring basis. During the year ended December 31, 2015 , the fair values presented are as of the date the fair value adjustment was recorded. The fair values presented at December 31, 2014 , are as of period-end. December 31, 2015 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 16,653 $ 16,653 Mortgage loans held for portfolio — — 5,376 5,376 REO — — 2,284 2,284 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 24,313 $ 24,313 December 31, 2014 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 23,259 $ 23,259 REO — — 843 843 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 24,102 $ 24,102 |
