Derivatives And Hedging Activities (Tables)
|
6 Months Ended |
Jun. 30, 2025 |
|---|
| Derivative Instruments, Gain (Loss) [Line Items] |
|
| Fair Value of Derivative Instruments |
Table 6.1 presents outstanding notional amounts and fair values of the derivatives outstanding by type of derivative and by hedge designation as of June 30, 2025 and December 31, 2024 (in thousands). Total derivative assets and liabilities include the effect of netting adjustments and cash collateral.
Table 6.1 | | | | | | | | | | | | | | | | | | | | | | | 06/30/2025 | 12/31/2024 | | | Notional
Amount | Derivative
Assets | Derivative
Liabilities | Notional
Amount | Derivative
Assets | Derivative
Liabilities | | Derivatives designated as hedging instruments: | | | | | | | | Interest rate swaps | $ | 45,845,234 | | $ | 122,054 | | $ | 176,032 | | $ | 37,883,273 | | $ | 66,190 | | $ | 226,184 | | Total derivatives designated as hedging relationships | 45,845,234 | | 122,054 | | 176,032 | | 37,883,273 | | 66,190 | | 226,184 | | Derivatives not designated as hedging instruments: | | | | | | | | Interest rate swaps | 4,999,932 | | 3,198 | | 591 | | 11,464,896 | | 25,282 | | 110 | | | Interest rate caps/floors | 1,385,000 | | 1,275 | | — | | 2,604,000 | | 4,181 | | — | | | Mortgage delivery commitments | 86,851 | | 567 | | 1 | | 34,524 | | 30 | | 73 | | Total derivatives not designated as hedging instruments | 6,471,783 | | 5,040 | | 592 | | 14,103,420 | | 29,493 | | 183 | | | TOTAL | $ | 52,317,017 | | 127,094 | | 176,624 | | $ | 51,986,693 | | 95,683 | | 226,367 | | Netting adjustments and cash collateral1 | | 224,644 | | (174,217) | | | 261,631 | | (220,236) | | | DERIVATIVE ASSETS AND LIABILITIES | | $ | 351,738 | | $ | 2,407 | | | $ | 357,314 | | $ | 6,131 | |
1 Amounts represent the application of the netting requirements that allow FHLBank to settle positive and negative positions and cash collateral, including accrued interest, held or placed with the same clearing agent and/or derivative counterparty. Cash collateral posted was $459,106,000 and $521,222,000 as of June 30, 2025 and December 31, 2024, respectively. Cash collateral received was $60,244,000 and $39,354,000 as of June 30, 2025 and December 31, 2024, respectively.
|
| Net Gains or Losses on Derivatives and Hedging Activities |
For the three months ended June 30, 2025 and 2024, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.2 (in thousands): Table 6.2 | | | | | | | | | | | | | | | | Three Months Ended | | 06/30/2025 | | Interest Income/Expense | | Advances | Available-for-sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | | Total amounts presented in the Statements of Income | $ | 548,614 | | $ | 180,970 | | $ | 114,114 | | $ | 677,333 | | | Gains (losses) on fair value hedging relationships: | | | | | | Interest rate contracts: | | | | | Derivatives1 | $ | (32,497) | | $ | (58,207) | | $ | (1,096) | | $ | 6,841 | | Hedged items2 | 73,622 | | 100,098 | | 209 | | (36,140) | | NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS | $ | 41,125 | | $ | 41,891 | | $ | (887) | | $ | (29,299) | |
| | | | | | | | | | | | | | | | Three Months Ended | | 06/30/2024 | | Interest Income/Expense | | Advances | Available-for-sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | | Total amounts presented in the Statements of Income | $ | 634,504 | | $ | 193,900 | | $ | 233,774 | | $ | 669,999 | | | Gains (losses) on fair value hedging relationships: | | | | | | Interest rate contracts: | | | | | Derivatives1 | $ | 57,347 | | $ | 42,784 | | $ | (3,609) | | $ | (29,912) | | Hedged items2 | 17,281 | | 13,646 | | 1,640 | | (42,552) | | NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS | $ | 74,628 | | $ | 56,430 | | $ | (1,969) | | $ | (72,464) | |
1 Includes net interest settlements in interest income/expense. 2 Includes amortization/accretion on closed fair value relationships in interest income. For the six months ended June 30, 2025 and 2024, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.3 (in thousands):
Table 6.3 | | | | | | | | | | | | | | | | | | Six Months Ended | | 06/30/2025 | | Interest Income/Expense | | Advances | Available-for-sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | | Total amounts presented in the Statements of Income | $ | 1,056,702 | | $ | 357,339 | | $ | 231,289 | | $ | 1,310,351 | | | Gains (losses) on fair value hedging relationships: | | | | | | Interest rate contracts: | | | | | Derivatives1 | $ | (116,518) | | $ | (160,041) | | $ | (1,700) | | $ | 28,202 | | Hedged items2 | 196,220 | | 242,027 | | 1,347 | | (88,245) | | NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS | $ | 79,702 | | $ | 81,986 | | $ | (353) | | $ | (60,043) | |
| | | | | | | | | | | | | | | | | | Six Months Ended | | 06/30/2024 | | Interest Income/Expense | | Advances | Available-for-sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | | Total amounts presented in the Statements of Income | $ | 1,226,491 | | $ | 383,959 | | $ | 461,315 | | $ | 1,293,539 | | | Gains (losses) on fair value hedging relationships: | | | | | | Interest rate contracts: | | | | | Derivatives1 | $ | 252,237 | | $ | 188,471 | | $ | (6,663) | | $ | (114,399) | | Hedged items2 | (99,758) | | (74,607) | | 2,353 | | (35,509) | | | NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS | $ | 152,479 | | $ | 113,864 | | $ | (4,310) | | $ | (149,908) | | | | 1 Includes net interest settlements in interest income/expense. | 2 Includes amortization/accretion on closed fair value relationships in interest income. |
. |
| Cumulative Basis Adjustments for Fair Value Hedges |
Table 6.4 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of June 30, 2025 and December 31, 2024 (in thousands):
Table 6.4 | | | | | | | | | | | | | | | | 06/30/2025 | | Advances | Available-for-Sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | Carrying value of hedged asset/(liability)1 | $ | 16,507,894 | | 9,515,097 | | (2,483,146) | | (17,303,204) | | | | | | | Basis adjustments for active hedging relationships | $ | (16,104) | | $ | (16,544) | | $ | 510 | | $ | 110,052 | | Basis adjustments for discontinued hedging relationships | (3,697) | | — | | — | | (5,347) | | Cumulative amount of fair value hedging basis adjustments2 | $ | (19,801) | | $ | (16,544) | | $ | 510 | | $ | 104,705 | | | | | | | | 12/31/2024 | | Advances | Available-for-Sale Securities | Consolidated Obligation Discount Notes | Consolidated Obligation Bonds | Carrying value of hedged asset/(liability)1 | $ | 15,700,289 | | 7,984,796 | | (3,043,704) | | (10,653,310) | | | | | | | Basis adjustments for active hedging relationships | $ | (210,116) | | $ | (258,571) | | $ | (837) | | $ | 198,495 | | Basis adjustments for discontinued hedging relationships | (5,937) | | — | | — | | (5,545) | | Cumulative amount of fair value hedging basis adjustments2 | $ | (216,053) | | $ | (258,571) | | $ | (837) | | $ | 192,950 | |
1 Includes only the portion of carrying value representing the hedged items in fair value hedging relationships. For available-for-sale securities, amortized cost is considered to be carrying value (i.e., the fair value adjustment recorded in accumulated other comprehensive income (AOCI) is excluded). 2 Included in amortized cost of the hedged asset/liability.
|
| Net Gains or Losses on Derivatives Not Designated as Hedging Instruments |
Table 6.5 provides information regarding net gains (losses) on derivatives recorded in non-interest income (in thousands).
Table 6.5 | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | Six Months Ended | | | | 06/30/2025 | 06/30/2024 | 06/30/2025 | 06/30/2024 | | | Derivatives not designated as hedging instruments: | | | | | | | Economic hedges: | | | | | | | Interest rate swaps | $ | (3,184) | | $ | (5,118) | | $ | (8,330) | | $ | (4,344) | | | | Interest rate caps/floors | (1,184) | | (1,192) | | (2,918) | | (1,796) | | | | Net interest settlements | 1,802 | | 8,282 | | 5,479 | | 16,820 | | | Price alignment amount1 | (9) | | (117) | | (72) | | (242) | | | | Mortgage delivery commitments | 69 | | (177) | | 817 | | (232) | | | | NET GAINS (LOSSES) ON DERIVATIVES | $ | (2,506) | | $ | 1,678 | | $ | (5,024) | | $ | 10,206 | | | | | | | | | | 1 This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
|