v3.25.1
Derivatives and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
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, 2025December 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 swaps10,442 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 $482 million at March 31, 2025, and December 31, 2024, respectively.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three months ended March 31, 2025 and 2024.
Three Months Ended
 (In millions)March 31, 2025March 31, 2024
Derivatives not designated as hedging instrumentsGain/(Loss)Gain/(Loss)
Economic hedges:
Interest rate swaps$(24)$11 
Net interest settlements10 5 
Total net gain/(loss) related to derivatives not designated as hedging instruments(14)16 
Price alignment amount(1)
(1)(1)
Net gain/(loss) on derivatives$(15)$15 
(1)    This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
Derivative Instruments, Gain (Loss) [Table Text Block]
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)AdvancesAFS SecuritiesConsolidated 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)AdvancesAFS SecuritiesConsolidated 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)
(1)    Includes net interest settlements.
(2)
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance
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)AdvancesAFS SecuritiesConsolidated 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 $— 
Discontinued hedging relationships included in amortized cost25 480 — — 
Total amount of fair value hedging basis adjustments$(92)$(399)$265 $— 
December 31, 2024
(In millions)AdvancesAFS SecuritiesConsolidated 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 $(4)
Discontinued hedging relationships included in amortized cost32 512 — — 
Total amount of fair value hedging basis adjustments$(198)$(679)$364 $(4)
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
Schedule of Derivative Instruments, Offsetting Derivative Assets 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, 2025December 31, 2024
(In millions)Derivative AssetsDerivative LiabilitiesDerivative Assets Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared$653 $369 $730 $452 
Cleared8 6 22 6 
Total gross recognized amount661 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 
Cleared2 — 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.
Schedule of Derivative Instruments, Offsetting Derivative Liabilities 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, 2025December 31, 2024
(In millions)Derivative AssetsDerivative LiabilitiesDerivative Assets Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared$653 $369 $730 $452 
Cleared8 6 22 6 
Total gross recognized amount661 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 
Cleared2 — 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.