v3.26.1
Derivatives and Hedging Activities
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Hedging Activities
Note 10 — Derivatives and Hedging Activities
General. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
 March 31, 2026December 31, 2025
(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$64,743 $454 $126 $69,418 $507 $131 
Derivatives not designated as hedging instruments:
Interest rate swaps11,395 8 34 12,145 5 51 
Total derivatives before netting and collateral adjustments$76,138 462 160 $81,563 512 182 
Netting adjustments and cash collateral(1)
(434)(139)(470)(179)
Total derivative assets and total derivative liabilities$28 $21 $42 $3 
(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 $43 million and $53 million at March 31, 2026, and December 31, 2025, respectively. Cash collateral received, including accrued interest, was $338 million and $345 million at March 31, 2026, and December 31, 2025, 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.
Three Months Ended March 31, 2026
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
Total interest income/(expense) presented in the Statements of Income$379 $235 $(389)$(204)
Gain/(loss) on fair value hedging relationships
Derivatives(1)
$53 $130 $(37)$(2)
Hedged items
(44)(109)10 3 
Net gain/(loss) on derivatives and hedging activities recorded in net interest income
$9 $21 $(27)$1 
Three Months Ended March 31, 2025
Interest Income/(Expense)
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
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 
(1)    Includes net interest settlements.
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.
March 31, 2026
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)
$13,478 $19,109 $(13,955)$(18,566)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$(34)$(629)$105 $1 
Discontinued hedging relationships included in amortized cost(3)349 — — 
Total amount of fair value hedging basis adjustments$(37)$(280)$105 $1 
December 31, 2025
(In millions)AdvancesAFS SecuritiesConsolidated Obligation Bonds
Consolidated Obligation Discount Notes
Amortized cost of hedged asset/(liability)
$15,644 $19,194 $(20,438)$(14,683)
Fair value hedging basis adjustments:
Active hedging relationships included in amortized cost$8 $(563)$95 $(3)
Discontinued hedging relationships included in amortized cost— 387 — — 
Total amount of fair value hedging basis adjustments$8 $(176)$95 $(3)
The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income.
Three Months Ended
 (In millions)March 31, 2026March 31, 2025
Derivatives not designated as hedging instrumentsGain/(Loss)Gain/(Loss)
Economic hedges:
Interest rate swaps$13 $(24)
Net interest settlements4 10 
Total net gain/(loss) related to derivatives not designated as hedging instruments17 (14)
Price alignment amount(1)
— (1)
Net gain/(loss) on derivatives$17 $(15)
(1)    This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
Credit Risk. 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, 2026, was $45 million, for which the Bank posted cash collateral of $43 million in the ordinary course of business.
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.
March 31, 2026December 31, 2025
(In millions)Derivative AssetsDerivative LiabilitiesDerivative Assets Derivative Liabilities
Derivative instruments meeting netting requirements
Gross recognized amount
Uncleared$460 $143 $497 $179 
Cleared2 17 15 3 
Total gross recognized amount462 160 512 182 
Gross amount of netting adjustments and cash collateral
Uncleared(432)(137)(467)(176)
Cleared(2)(2)(3)(3)
Total gross amounts of netting adjustments and cash collateral(434)(139)(470)(179)
Total derivative assets and total derivative liabilities$28 $21 $42 $3 
Non-cash collateral received or pledged that can be sold or repledged
Cleared$— $15 $— $— 
Total net amount of non-cash collateral received or pledged$— $15 $— $— 
Net amount(1)(2)
Uncleared$28 $6 $30 $3 
Cleared— — 12 — 
Total net amount$28 $6 $42 $3 
(1)     The amount of non-cash collateral for uncleared derivatives included in the determination of the net amount is limited to the amount needed to secure the Bank’s or counterparties' uncleared exposure. At March 31, 2026, and December 31, 2025, the Bank received excess non-cash collateral with a fair value of $3 million and $2 million, respectively.
(2)     Any over-collateralization at the Bank’s individual clearing agent or counterparty level is not included in the determination of the net amount. At March 31, 2026, and December 31, 2025, the Bank had additional net credit exposure of $556 million and $501 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.