v3.26.1
Derivatives and Hedging Activities
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments and Hedging Activities Disclosure [Text Block] Derivatives and Hedging Activities
     As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. As further discussed in the 2025 10-K, the Bank enters into interest rate swap, swaption and cap agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates.
The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at March 31, 2026 and December 31, 2025 (in thousands).
 March 31, 2026December 31, 2025
 Notional Amount of
Derivatives		Estimated Fair ValueNotional Amount of
Derivatives		Estimated Fair Value
Derivative
Assets		Derivative
Liabilities		Derivative
Assets		Derivative
Liabilities
Derivatives designated as hedging instruments      
Interest rate swaps      
Advances (1)
$23,812,750 $30,653 $29,056 $28,564,835 $34,801 $31,802 
Available-for-sale securities (1)
18,991,520 181,682 65,264 19,288,313 153,747 88,347 
Consolidated obligation bonds (1)
32,602,500 80,561 484,468 31,257,900 75,150 499,337 
Consolidated obligation discount notes (2)
766,000 11 396 966,000 651 — 
Total derivatives designated as hedging
   instruments
76,172,770 292,907 579,184 80,077,048 264,349 619,486 
Derivatives not designated as hedging
   instruments
      
Interest rate swaps      
Advances— — — 850,000 2 — 
Available-for-sale securities49,382 3 10 653,337 1 33 
Mortgage loans held for portfolio713,465 2,464 513 713,465 3,387 92 
Consolidated obligation bonds116,445 83 — 106,445 519 35 
Consolidated obligation discount notes
16,751,000 89 19 28,021,000 65 515 
Trading securities4,696,050 2 311 3,196,050 469 — 
Counterparty exposure10,000,000 106,385 — 10,000,000 79,726 1,568 
Intermediary transactions6,186 35 32 18,558 60 56 
Other200,000 43 8 400,000 — 109 
Interest rate swaptions
Available-for-sale securities1,150,000 335 — 1,150,000 307 — 
Mortgage delivery commitments
18,078 — 126 25,952 — 1 
Total derivatives not designated as
    hedging instruments
33,700,606 109,439 1,019 45,134,807 84,536 2,409 
Total derivatives before collateral and netting adjustments
$109,873,376 402,346 580,203 $125,211,855 348,885 621,895 
Cash collateral and related accrued interest
 (77,657)(230,739) (9,797)(316,400)
Cash received or remitted in excess of variation margin requirements— 24 (48)2 
Netting adjustments (316,775)(316,775) (301,142)(301,142)
Total collateral and netting adjustments (3)
 (394,432)(547,490) (310,987)(617,540)
Net derivative balances reported in statements of condition
 $7,914 $32,713  $37,898 $4,355 
_____________________________
(1)Derivatives designated as fair value hedges.
(2)Derivatives designated as cash flow hedges.
(3)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three months ended March 31, 2026 and 2025 (in thousands). Gains and losses on derivatives in fair value hedging relationships include the change in fair value of the derivatives and the net interest income/expense associated with those derivatives.
Interest Income (Expense)
AdvancesAvailable-for-Sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount NotesOther Comprehensive Income (Loss)
Three Months Ended March 31, 2026
Total amount of the financial statement line item$530,708 $215,764 $(557,767)$(315,092)$944 
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$96,130 $93,657 $(82,786)$— $— 
Hedged items(66,509)(60,613)13,403 — — 
Net gains (losses) on fair value hedging relationships
$29,621 $33,044 $(69,383)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $3,395 $(3,395)
Recognized in OCI— — — — 4,358 
Net gains on cash flow hedging relationships$— $— $— $3,395 $963 
Three Months Ended March 31, 2025
Total amount of the financial statement line item$768,217 $252,746 $(934,377)$(180,870)$(13,552)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$(124,786)$(238,429)$125,546 $— $— 
Hedged items
191,790 312,607 (257,878)— — 
Net gains (losses) on fair value hedging relationships
$67,004 $74,178 $(132,332)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $5,732 $(5,732)
Recognized in OCI— — — — (7,746)
Net gains (losses) on cash flow hedging relationships$— $— $— $5,732 $(13,478)

For the three months ended March 31, 2026 and 2025, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At March 31, 2026, $9,445,000 of deferred net gains on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At that same date, the
maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 3.8 years.
The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of March 31, 2026 and December 31, 2025 (in thousands).
Line Item in Statement of Condition of Hedged Item
Amortized Cost of Hedged Asset/(Liability) (1)
Basis Adjustments for Active Hedging Relationships Included in Amortized CostBasis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost
Total Fair Value Hedging Basis Adjustments (2)
March 31, 2026
Advances$23,779,593 $(88,353)$(298)$(88,651)
Available-for-sale securities18,745,712 (270,970)(6,767)(277,737)
Consolidated obligation bonds(32,226,490)473,072 (47)473,025 
December 31, 2025
Advances$28,592,914 $(17,351)$(479)$(17,830)
Available-for-sale securities19,125,045 (210,472)(7,822)(218,294)
Consolidated obligation bonds(30,995,980)460,026 (404)459,622 
_____________________________
(1)Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.
(2)Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items.
The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three months ended March 31, 2026 and 2025 (in thousands).
Gain (Loss) Recognized in
Other Income (Loss) for the
Three Months Ended March 31,
 20262025
Derivatives not designated as hedging instruments  
Interest rate swaps$(676)$(8,969)
Net interest income on interest rate swaps5,884 3,112 
Interest rate swaptions28 (1,349)
Mortgage delivery commitments(671)850 
Total net gains (losses) related to derivatives not designated as hedging instruments4,565 (6,356)
Price alignment amount on variation margin for daily settled derivative contracts(1)
501 2,089 
Net gains (losses) on derivatives and hedging activities reported in other income (loss)$5,066 $(4,267)
_____________________________
(1)Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item.

Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. Approximately 50 percent of the Bank's derivative contracts (based on notional value) have been cleared through third-party central clearinghouses (as of March 31, 2026, the notional balance of cleared transactions outstanding totaled $54.39 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions. As of March 31, 2026, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties (including mortgage delivery commitments) totaled $55.46 billion and $0.02 billion, respectively. Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations.
The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 12. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.