Derivatives and Hedging Activities (Tables)
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9 Months Ended |
Sep. 30, 2025 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. | | | | | | | | | | | | | | September 30, 2025 | | (in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | | Derivatives designated as hedging instruments: | | | | Interest rate swaps | $ | 51,360,248 | | $ | 97,806 | | $ | 174,329 | | | Derivatives not designated as hedging instruments: | | | | Interest rate swaps | $ | 4,225,513 | | $ | 6,204 | | $ | 9,319 | | | | | | Interest rate caps or floors | 2,725,000 | | 1,486 | | — | | Mortgage delivery commitments | 25,044 | | 1 | | 313 | | | Total derivatives not designated as hedging instruments: | $ | 6,975,557 | | $ | 7,691 | | $ | 9,632 | | | Total derivatives before netting and collateral adjustments | $ | 58,335,805 | | $ | 105,497 | | $ | 183,961 | | Netting adjustments and cash collateral (1) | | 195,599 | | (170,574) | | Total derivative assets and total derivative liabilities | | $ | 301,096 | | $ | 13,387 | |
| | | | | | | | | | | | | | December 31, 2024 | | (in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | | Derivatives designated as hedging instruments: | | | | Interest rate swaps | $ | 45,422,034 | | $ | 58,925 | | $ | 357,182 | | | Derivatives not designated as hedging instruments: | | | | Interest rate swaps | $ | 2,667,496 | | $ | 4,230 | | $ | 14,656 | | | | | | Interest rate caps or floors | 2,225,000 | | 4,237 | | — | | Mortgage delivery commitments | 20,561 | | 7 | | 237 | | | Total derivatives not designated as hedging instruments: | $ | 4,913,057 | | $ | 8,474 | | $ | 14,893 | | | Total derivatives before netting and collateral adjustments | $ | 50,335,091 | | $ | 67,399 | | $ | 372,075 | | Netting adjustments and cash collateral (1) | | 286,230 | | (363,409) | | Total derivative assets and total derivative liabilities | | $ | 353,629 | | $ | 8,666 | |
Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $401.0 million for September 30, 2025 and $658.4 million for December 31, 2024. Cash collateral received was $34.9 million for September 30, 2025 and $8.8 million for December 31, 2024.
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| Derivative Instruments, Gain (Loss) by Hedging Relationship, by Income Statement Location, by Derivative Instrument Risk [Table] |
The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedging relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedging relationships. | | | | | | | | | | | | | | | | | | | (in thousands) | Three months ended September 30, 2025 | Hedged item type | Advances | AFS securities | Mortgage loans held for portfolio | Consolidated obligations – discount notes | Consolidated obligations – bonds | Total interest income/ (expense) | $ | 534,385 | | $ | 230,673 | | $ | 51,120 | | $ | (79,351) | | $ | (766,993) | | | | | | | | Gains/(losses) on derivative | $ | (14,798) | | $ | (32,898) | | $ | — | | $ | 1,861 | | $ | 52,437 | | Gains/ (losses) on hedged item | 14,851 | | 32,766 | | 265 | | (2,785) | | (52,622) | | Net interest settlements | 24,938 | | 37,424 | | — | | (1,168) | | (58,115) | | Effect of derivatives on net interest income | $ | 24,991 | | $ | 37,292 | | $ | 265 | | $ | (2,092) | | $ | (58,300) | | | | | | | | | (in thousands) | Nine months ended September 30, 2025 | Hedged item type | Advances | AFS securities | Mortgage loans held for portfolio | Consolidated obligations – discount notes | Consolidated obligations – bonds | Total interest income/ (expense) | $ | 1,933,769 | | $ | 693,477 | | $ | 144,993 | | $ | (266,589) | | $ | (2,539,277) | | | | | | | | Gains/(losses) on derivative | $ | (123,193) | | $ | (255,582) | | $ | — | | $ | 324 | | $ | 197,419 | | Gains/ (losses) on hedged item | 123,430 | | 255,490 | | 508 | | (35) | | (197,486) | | Net interest settlements | 79,224 | | 108,199 | | — | | (1,389) | | (168,498) | | Effect of derivatives on net interest income | $ | 79,461 | | $ | 108,107 | | $ | 508 | | $ | (1,100) | | $ | (168,565) | |
| | | | | | | | | | | | | | | | | | | (in thousands) | Three months ended September 30, 2024 | Hedged item type | Advances | AFS securities | Mortgage loans held for portfolio | Consolidated obligations – discount notes | Consolidated obligations – bonds | Total interest income / (expense) | $ | 1,058,730 | | $ | 262,123 | | $ | 42,555 | | $ | (143,277) | | $ | (1,238,603) | | | | | | | | Gains/(losses) on derivative | $ | (245,715) | | $ | (292,757) | | $ | — | | $ | 1,841 | | $ | 298,007 | | Gains/ (losses) on hedged item | 245,823 | | 289,817 | | (91) | | (1,638) | | (298,041) | | Net interest settlements | 74,955 | | 56,888 | | — | | (995) | | (124,212) | | Effect of derivatives on net interest income | $ | 75,063 | | $ | 53,948 | | $ | (91) | | $ | (792) | | $ | (124,246) | | | | | | | | | (in thousands) | Nine months ended September 30, 2024 | Hedged item type | Advances | AFS securities | Mortgage loans held for portfolio | Consolidated obligations – discount notes | Consolidated obligations – bonds | Total interest income / (expense) | $ | 3,147,401 | | $ | 735,937 | | $ | 124,967 | | $ | (466,347) | | $ | (3,558,550) | | | | | | | | Gains/(losses) on derivative | $ | (183,617) | | $ | (164,311) | | $ | — | | $ | 823 | | $ | 344,215 | | Gains/ (losses) on hedged item | 183,856 | | 161,450 | | (256) | | (1,079) | | (343,370) | | Net interest settlements | 241,114 | | 163,526 | | — | | (3,723) | | (414,514) | | Effect of derivatives on net interest income | $ | 241,353 | | $ | 160,665 | | $ | (256) | | $ | (3,979) | | $ | (413,669) | |
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| Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance |
The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. | | | | | | | | | | | | | | | | (in thousands) | September 30, 2025 | | Hedged item type | Advances | AFS securities | Consolidated obligations – discount notes | Consolidated obligations – bonds | Amortized cost of hedged asset/liability (1) | $ | 11,794,760 | | $ | 8,893,004 | | $ | 9,742,157 | | $ | 20,581,524 | | | | | | | Basis adjustments for active hedge relationships included in amortized cost | $ | (30,612) | | $ | (127,891) | | $ | 2,840 | | $ | (138,797) | | Basis adjustments for discontinued hedge relationships included in amortized cost | (83) | | 530 | | — | | — | | Total amount of fair value hedging basis adjustments | $ | (30,695) | | $ | (127,361) | | $ | 2,840 | | $ | (138,797) | |
| | | | | | | | | | | | | | | | (in thousands) | December 31, 2024 | | Hedged item type | Advances | AFS securities | Consolidated obligations – discount notes | Consolidated obligations – bonds | Amortized cost of hedged asset/liability (1) | $ | 13,682,797 | | $ | 8,656,149 | | $ | 4,637,983 | | $ | 17,551,788 | | | | | | | Basis adjustments for active hedge relationships included in amortized cost | $ | (153,830) | | $ | (383,451) | | $ | 2,806 | | $ | (336,283) | | Basis adjustments for discontinued hedge relationships included in amortized cost | (296) | | 600 | | — | | — | | Total amount of fair value hedging basis adjustments | $ | (154,126) | | $ | (382,851) | | $ | 2,806 | | $ | (336,283) | |
Note: (1) Includes only the portion of amortized cost representing the hedged items in active or discontinued fair value hedging relationships. Amortized cost includes fair value hedging adjustments.
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| Derivatives Not Designated as Hedging Instruments |
The following table presents net gains (losses) related to derivatives not designated as hedging instruments in noninterest income. | | | | | | | | | | | | | | | | | Three months ended September 30, | Nine months ended September 30, | | (in thousands) | 2025 | 2024 | 2025 | 2024 | | Derivatives not designated as hedging instruments: | | | | | | Economic hedges: | | | | | | Interest rate swaps | $ | (3,958) | | $ | (18,319) | | $ | (18,324) | | $ | (13,140) | | | | | | | | Interest rate caps or floors | (965) | | (1,829) | | (4,718) | | (2,910) | | | Net interest settlements | 1,377 | | 3,888 | | 4,861 | | 9,494 | | | | | | | | Mortgage delivery commitments | (2,730) | | (1,591) | | (7,475) | | (2,797) | | | Other | 1 | | — | | 1 | | 1 | | | Total net gains (losses) related to derivatives not designated as hedging instruments | $ | (6,275) | | $ | (17,851) | | $ | (25,655) | | $ | (9,352) | | Other - price alignment amount on cleared derivatives (1) | (1) | | (114) | | (239) | | (1,266) | | | Net gains (losses) on derivatives | $ | (6,276) | | $ | (17,965) | | $ | (25,894) | | $ | (10,618) | |
Note: (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract.
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| Offsetting Assets |
The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.
| | | | | | | | | | | | | | | | | | | | | | September 30, 2025 | | | | | Derivative Instruments Meeting Netting Requirements | | | | | | (in thousands) | Gross Recognized Amount | Gross Amounts of Netting Adjustments and Cash Collateral | Net amounts after netting adjustments and cash collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | | | | Derivative assets | | | | | | | | | | Uncleared | $ | 104,173 | | $ | (101,979) | | $ | 2,194 | | $ | 1 | | $ | 2,195 | | | | | | Cleared | 1,323 | | 297,578 | | 298,901 | | — | | 298,901 | | | | | Total derivative assets | $ | 105,496 | | $ | 195,599 | | $ | 301,095 | | $ | 1 | | $ | 301,096 | | | | | | | | | | | | | | Derivative liabilities | | | | | | | | | | Uncleared | $ | 174,767 | | $ | (161,693) | | $ | 13,074 | | $ | 313 | | $ | 13,387 | | | | | | Cleared | 8,881 | | (8,881) | | — | | — | | — | | | | | Total derivative liabilities | $ | 183,648 | | $ | (170,574) | | $ | 13,074 | | $ | 313 | | $ | 13,387 | | | | |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | | | | Derivative Instruments Meeting Netting Requirements | | | | | | (in thousands) | Gross Recognized Amount | Gross Amounts of Netting Adjustments and Cash Collateral | Net amounts after netting adjustments and cash collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | | | | Derivative assets | | | | | | | | | | Uncleared | $ | 64,028 | | $ | (62,931) | | $ | 1,097 | | $ | 7 | | $ | 1,104 | | | | | | Cleared | 3,364 | | 349,161 | | 352,525 | | — | | 352,525 | | | | | Total derivative assets | $ | 67,392 | | $ | 286,230 | | $ | 353,622 | | $ | 7 | | $ | 353,629 | | | | | | | | | | | | | | Derivative liabilities | | | | | | | | | | Uncleared | $ | 370,972 | | $ | (362,543) | | $ | 8,429 | | $ | 237 | | $ | 8,666 | | | | | | Cleared | 866 | | (866) | | — | | — | | — | | | | | Total derivative liabilities | $ | 371,838 | | $ | (363,409) | | $ | 8,429 | | $ | 237 | | 8,666 | | | | |
Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
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| Offsetting Liabilities |
The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.
| | | | | | | | | | | | | | | | | | | | | | September 30, 2025 | | | | | Derivative Instruments Meeting Netting Requirements | | | | | | (in thousands) | Gross Recognized Amount | Gross Amounts of Netting Adjustments and Cash Collateral | Net amounts after netting adjustments and cash collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | | | | Derivative assets | | | | | | | | | | Uncleared | $ | 104,173 | | $ | (101,979) | | $ | 2,194 | | $ | 1 | | $ | 2,195 | | | | | | Cleared | 1,323 | | 297,578 | | 298,901 | | — | | 298,901 | | | | | Total derivative assets | $ | 105,496 | | $ | 195,599 | | $ | 301,095 | | $ | 1 | | $ | 301,096 | | | | | | | | | | | | | | Derivative liabilities | | | | | | | | | | Uncleared | $ | 174,767 | | $ | (161,693) | | $ | 13,074 | | $ | 313 | | $ | 13,387 | | | | | | Cleared | 8,881 | | (8,881) | | — | | — | | — | | | | | Total derivative liabilities | $ | 183,648 | | $ | (170,574) | | $ | 13,074 | | $ | 313 | | $ | 13,387 | | | | |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | | | | Derivative Instruments Meeting Netting Requirements | | | | | | (in thousands) | Gross Recognized Amount | Gross Amounts of Netting Adjustments and Cash Collateral | Net amounts after netting adjustments and cash collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | | | | Derivative assets | | | | | | | | | | Uncleared | $ | 64,028 | | $ | (62,931) | | $ | 1,097 | | $ | 7 | | $ | 1,104 | | | | | | Cleared | 3,364 | | 349,161 | | 352,525 | | — | | 352,525 | | | | | Total derivative assets | $ | 67,392 | | $ | 286,230 | | $ | 353,622 | | $ | 7 | | $ | 353,629 | | | | | | | | | | | | | | Derivative liabilities | | | | | | | | | | Uncleared | $ | 370,972 | | $ | (362,543) | | $ | 8,429 | | $ | 237 | | $ | 8,666 | | | | | | Cleared | 866 | | (866) | | — | | — | | — | | | | | Total derivative liabilities | $ | 371,838 | | $ | (363,409) | | $ | 8,429 | | $ | 237 | | 8,666 | | | | |
Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
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