| Derivatives and Hedging Activities |
Note 6 - Derivatives and Hedging Activities
Financial Statement Effect and Additional Financial Information. We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis by the clearing agent and/or by counterparty when the netting requirements have been met.
The following table presents the notional amount and estimated fair value of our derivative assets and liabilities.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2025 | | December 31, 2024 | | | Notional | | Derivative | | Derivative | | Notional | | Derivative | | Derivative | | | Amount | | Assets | | Liabilities | | Amount | | Assets | | Liabilities | | Derivatives designated as hedging instruments: | | | | | | | | | | | | | | Interest-rate swaps | | $ | 60,104,900 | | | $ | 507,279 | | | $ | 848,767 | | | $ | 64,974,465 | | | $ | 676,279 | | | $ | 1,020,918 | | | | | | | | | | | | | | | | Derivatives not designated as hedging instruments: | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | | | | Interest-rate swaps | | 7,825,000 | | | 1,511 | | | 1,612 | | | 13,117,348 | | | 624 | | | 247 | | | Swaptions | | 500,000 | | | 77 | | | — | | | — | | | — | | | — | | | Interest-rate caps/floors | | 906,100 | | | 649 | | | — | | | 906,100 | | | 1,174 | | | — | | | Interest-rate forwards | | 142,100 | | | 22 | | | 158 | | | 107,500 | | | 1,563 | | | — | | | MDCs | | 141,644 | | | 442 | | | 6 | | | 107,682 | | | 41 | | | 371 | | | Total derivatives not designated as hedging instruments | | 9,514,844 | | | 2,701 | | | 1,776 | | | 14,238,630 | | | 3,402 | | | 618 | | | Total derivatives before adjustments | | $ | 69,619,744 | | | 509,980 | | | 850,543 | | | $ | 79,213,095 | | | 679,681 | | | 1,021,536 | | Netting adjustments and cash collateral1 | | | | (67,419) | | | (841,219) | | | | | (201,614) | | | (1,012,234) | | | Total derivatives, net, at estimated fair value | | | | $ | 442,561 | | | $ | 9,324 | | | | | $ | 478,067 | | | $ | 9,302 | |
1 Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2025 and December 31, 2024, including accrued interest, totaled $942,487 and $1,030,169, respectively. Cash collateral received from counterparties and held at March 31, 2025 and December 31, 2024, including accrued interest, totaled $168,687 and $219,550, respectively. Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions.
Uncleared Derivatives. The following table presents separately the estimated fair value of our derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2025 | | December 31, 2024 | | | Derivative Assets | | Derivative Liabilities | | Derivative Assets | | Derivative Liabilities | | Derivative instruments meeting netting requirements: | | | | | | | | | | Gross recognized amount | | | | | | | | | | Uncleared | | $ | 508,252 | | | $ | 845,108 | | | $ | 674,368 | | | $ | 1,020,626 | | | Cleared | | 1,286 | | | 5,429 | | | 5,272 | | | 539 | | | Total gross recognized amount | | 509,538 | | | 850,537 | | | 679,640 | | | 1,021,165 | | | Gross amounts of netting adjustments and cash collateral | | | | | | | | | | Uncleared | | (502,877) | | | (835,790) | | | (669,265) | | | (1,011,695) | | | Cleared | | 435,458 | | | (5,429) | | | 467,651 | | | (539) | | | Total gross amounts of netting adjustments and cash collateral | | (67,419) | | | (841,219) | | | (201,614) | | | (1,012,234) | | | Net amounts after netting adjustments and cash collateral | | | | | | | | | | Uncleared | | 5,375 | | | 9,318 | | | 5,103 | | | 8,931 | | | Cleared | | 436,744 | | | — | | | 472,923 | | | — | | | Total net amounts after netting adjustments and cash collateral | | 442,119 | | | 9,318 | | | 478,026 | | | 8,931 | | Derivative instruments not meeting netting requirements1 | | 442 | | | 6 | | | 41 | | | 371 | | | Total derivatives, net, at estimated fair value | | $ | 442,561 | | | $ | 9,324 | | | $ | 478,067 | | | $ | 9,302 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1 Includes MDCs. The following table presents the impact of our qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2025 | | | Advances | | AFS Securities | | CO Bonds | | Total | | Net impact of fair-value hedging relationships on net interest income: | | | | | | | | | Net interest settlements on derivatives1 | | $ | 73,144 | | | $ | 85,095 | | | $ | (109,803) | | | $ | 48,436 | | | Net gains (losses) on derivatives² | | (174,553) | | | (89,805) | | | 204,168 | | | (60,190) | | | Net gains (losses) on hedged items³ | | 172,645 | | | 76,496 | | | (203,083) | | | 46,058 | | | Price alignment interest | | (2,537) | | | (5,159) | | | (290) | | | (7,986) | | | Net impact on net interest income | | $ | 68,699 | | | $ | 66,627 | | | $ | (109,008) | | | $ | 26,318 | | | | | | | | | | | Total interest income (expense) recorded in the statement of income4 | | $ | 446,613 | | | $ | 181,762 | | | $ | (569,869) | | | $ | 58,506 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2024 | | | Advances | | AFS Securities | | CO Bonds | | Total | | Net impact of fair-value hedging relationships on net interest income: | | | | | | | | | Net interest settlements on derivatives1 | | $ | 147,350 | | | $ | 129,866 | | | $ | (249,220) | | | $ | 27,996 | | | Net gains (losses) on derivatives² | | 163,859 | | | 71,185 | | | (53,389) | | | 181,655 | | | Net gains (losses) on hedged items³ | | (162,925) | | | (84,330) | | | 55,651 | | | (191,604) | | | Price alignment interest | | (5,679) | | | (7,424) | | | (271) | | | (13,374) | | | Net impact on net interest income | | $ | 142,605 | | | $ | 109,297 | | | $ | (247,229) | | | $ | 4,673 | | | | | | | | | | | Total interest income (expense) recorded in the statement of income4 | | $ | 514,856 | | | $ | 220,367 | | | $ | (621,413) | | | $ | 113,810 | |
1 Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. 2 Includes increases (decreases) in estimated fair value and swap fees received (paid) resulting from terminations of derivatives. 3 Includes increases (decreases) in estimated fair value and amortization of net gains and losses on ineffective and discontinued fair-value hedging relationships. 4 For advances, AFS securities and CO bonds only. The following table presents the components of our net gains (losses) on derivatives reported in other income.
| | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | Type of Hedge | | | | | | 2025 | | 2024 | | Net gains (losses) on derivatives not designated as hedging instruments: | | | | | | | | | | Economic hedges: | | | | | | | | | | Interest-rate swaps | | | | | | $ | (11,936) | | | $ | 7,286 | | | Swaptions | | | | | | (93) | | | — | | | Interest-rate caps/floors | | | | | | (525) | | | (97) | | | Interest-rate forwards | | | | | | (2,762) | | | (156) | | Net interest settlements1 | | | | | | 2,445 | | | 2,038 | | | MDCs | | | | | | 2,668 | | | 54 | | | Net gains (losses) on derivatives in other income | | | | | | $ | (10,203) | | | $ | 9,125 | |
1 Relates to derivatives that are not in qualifying fair-value hedging relationships. The interest income/expense of the associated hedged items is recorded in net interest income.
The following table presents the amortized cost of, and the related cumulative basis adjustments on, our hedged items in qualifying fair-value hedging relationships. | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2025 | | | Advances | | AFS Securities | | CO Bonds | | | Amortized cost of hedged items1 | | $ | 22,152,985 | | | $ | 14,497,089 | | | $ | 21,995,403 | | | | | | | | | | | | | | Cumulative basis adjustments included in amortized cost: | | | | | | | | | For active fair-value hedging relationships2 | | $ | (107,717) | | | $ | (795,955) | | | $ | (758,251) | | | | | For discontinued fair-value hedging relationships | | — | | | 152,214 | | | — | | | | | Total cumulative fair-value hedging basis adjustments on hedged items | | $ | (107,717) | | | $ | (643,741) | | | $ | (758,251) | | | | | | | | | | | | | | | December 31, 2024 | | | Advances | | AFS Securities | | CO Bonds | | | Amortized cost of hedged items1 | | $ | 22,584,803 | | | $ | 14,338,221 | | | $ | 25,182,096 | | | | | | | | | | | | | | Cumulative basis adjustments included in amortized cost: | | | | | | | | | For active fair-value hedging relationships2 | | $ | (318,967) | | | $ | (1,080,359) | | | $ | (961,333) | | | | | For discontinued fair-value hedging relationships | | — | | | 170,245 | | | — | | | | | Total cumulative fair-value hedging basis adjustments on hedged items | | $ | (318,967) | | | $ | (910,114) | | | $ | (961,333) | | | |
1 Includes the amortized cost of the hedged items in active or discontinued fair-value hedging relationships. 2 Excludes any offsetting effect of the net estimated fair value of the associated derivatives.
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