General. The Bank regularly enters into interest rate exchange agreements. For more information on the Bank’s derivative strategies and accounting for derivatives and hedging activities, see “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2024 Form 10-K.

The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of March 31, 2025, and December 31, 2024. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.


	March 31, 2025						December 31, 2024
(In millions)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	71,266	$	647	$	306	$	76,005	$	713	$	399
Derivatives not designated as hedging instruments:
Interest rate swaps	10,442		14		69		13,871		39		59



Total derivatives before netting and collateral adjustments	$	81,708	661		375		$	89,876	752		458
Netting adjustments and cash collateral(1)			(659)		(364)				(722)		(450)
Total derivative assets and total derivative liabilities			$	2	$	11			$	30	$	8

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $140 million and $210 million at March 31, 2025, and December 31, 2024, respectively. Cash collateral received, including accrued interest, was $435 million and $482 million at March 31, 2025, and December 31, 2024, respectively.

The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income for the three months ended March 31, 2025 and 2024.



	Three Months Ended March 31, 2025
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes(2)
Total interest income/(expense) presented in the Statements of Income	$	473	$	268	$	(594)	$	(126)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	(64)	$	(218)	$	44	$	(2)
Hedged items	102		275		(100)		4
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	38	$	57	$	(56)	$	2



	Three Months Ended March 31, 2024
	Interest Income/(Expense)
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	759	$	283	$	(850)
Gain/(loss) on fair value hedging relationships
Derivatives(1)	$	311	$	398	$	(161)
Hedged items	(153)		(294)		22
Net gain/(loss) on derivatives and hedging activities recorded in net interest income	$	158	$	104	$	(139)

(2) The net gain/(loss) on consolidated obligation discount notes in fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income was de minimis for the three months ended March 31, 2024.

The following tables present the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2025, and December 31, 2024.


	March 31, 2025
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)(1)	$	17,683	$	19,364	$	(24,379)	$	(10,158)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(117)	$	(879)	$	265	$	—
Discontinued hedging relationships included in amortized cost	25		480		—		—
Total amount of fair value hedging basis adjustments	$	(92)	$	(399)	$	265	$	—


	December 31, 2024
(In millions)	Advances		AFS Securities		Consolidated Obligation Bonds		Consolidated Discount Notes
Amortized cost of hedged asset/(liability)(1)	$	24,880	$	19,296	$	(22,142)	$	(9,702)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost	$	(230)	$	(1,191)	$	364	$	(4)
Discontinued hedging relationships included in amortized cost	32		512		—		—
Total amount of fair value hedging basis adjustments	$	(198)	$	(679)	$	364	$	(4)

The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2025 and 2024.


	Three Months Ended
(In millions)		March 31, 2025		March 31, 2024
Derivatives not designated as hedging instruments		Gain/(Loss)		Gain/(Loss)



Economic hedges:
Interest rate swaps		$	(24)	$	11

Net interest settlements		10		5

Total net gain/(loss) related to derivatives not designated as hedging instruments		(14)		16
Price alignment amount(1)		(1)		(1)
Net gain/(loss) on derivatives		$	(15)	$	15

(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.

Credit Risk. The Bank’s use of clearing agents and central counterparties helps mitigate credit risk exposure by employing standard valuation processes over initial and variation margin processes.

The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating to various rights and obligations. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at March 31, 2025, was $144 million, for which the Bank posted cash collateral of $140 million in the ordinary course of business.

Additional information related to credit risk from counterparties and uncleared derivative transactions margin rules for uncleared derivative transactions is included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2024 Form 10-K.

The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty on a net basis when the netting requirements have been met. The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of March 31, 2025, and December 31, 2024.


	March 31, 2025				December 31, 2024
(In millions)	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared	$	653	$	369	$	730	$	452
Cleared	8		6		22		6
Total gross recognized amount	661		375		752		458
Gross amount of netting adjustments and cash collateral
Uncleared	(653)		(358)		(729)		(444)
Cleared	(6)		(6)		7		(6)
Total gross amounts of netting adjustments and cash collateral	(659)		(364)		(722)		(450)
Total derivative assets and total derivative liabilities	$	2	$	11	$	30	$	8






Net amount(1)
Uncleared	$	—	$	11	$	1	$	8
Cleared	2		—		29		—
Total net amount	$	2	$	11	$	30	$	8

(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2025, and December 31, 2024, the Bank had additional net credit exposure of $537 million and $504 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.