v3.26.1
Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional Amount and Estimated Fair Value of Derivative Instruments
The following table presents the notional amount and estimated fair value of our derivative assets and liabilities.

June 30, 2026December 31, 2025
NotionalDerivativeDerivativeNotionalDerivativeDerivative
AmountAssetsLiabilitiesAmountAssetsLiabilities
Derivatives designated as hedging instruments:
Interest-rate swaps$63,143,899 $425,690 $495,919 $64,976,941 $389,237 $552,430 
Derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps4,170,000 323 52 6,336,000 280 — 
Swaptions50,000 94 — 400,000 30 — 
Interest-rate caps/floors331,100 298 — 331,100 224 — 
Interest-rate forwards231,600 17 1,084 62,100 — 234 
MDCs232,683 280 109 59,244 96 4 
Total derivatives not designated as hedging instruments5,015,383 1,012 1,245 7,188,444 630 238 
Total derivatives before adjustments$68,159,282 426,702 497,164 $72,165,385 389,867 552,668 
Netting adjustments and cash collateral1
32,044 (493,790)55,624 (551,733)
Total derivatives, net, at estimated fair value$458,746 $3,374 $445,491 $935 


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 June 30, 2026 and December 31, 2025, including accrued interest, totaled $668,506 and $719,187, respectively. Cash collateral received from counterparties and held at June 30, 2026 and December 31, 2025, including accrued interest, totaled $142,672 and $111,829, respectively.
Offsetting of Derivative Assets and Derivative Liabilities
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.

June 30, 2026December 31, 2025
Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
Derivative instruments meeting netting requirements:
Gross recognized amount
Uncleared$392,660 $496,782 $360,468 $549,572 
Cleared33,762 273 29,303 3,092 
Total gross recognized amount426,422 497,055 389,771 552,664 
Gross amounts of netting adjustments and cash collateral
Uncleared(384,443)(493,517)(348,819)(548,641)
Cleared416,487 (273)404,443 (3,092)
Total gross amounts of netting adjustments and cash collateral32,044 (493,790)55,624 (551,733)
Net amounts after netting adjustments and cash collateral
Uncleared8,217 3,265 11,649 931 
Cleared450,249 — 433,746 — 
Total net amounts after netting adjustments and cash collateral458,466 3,265 445,395 931 
Derivative instruments not meeting netting requirements (MDCs)280 109 96 4 
Total derivatives, net, at estimated fair value$458,746 $3,374 $445,491 $935 
Components of Net Gains (Losses) on Derivatives and Hedging Activities in Net Interest Income
Three Months Ended June 30, 2026
AdvancesAFS SecuritiesDiscount NotesCO Bonds
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives1
$18,263 $44,589 $417 $(45,208)
Net gains (losses) on derivatives²127,681 78,410 (246)(12,215)
Net gains (losses) on hedged items³(126,856)(90,047)251 12,305 
Price alignment interest(1,474)(1,904)(263)(2)
Net impact on net interest income$17,614 $31,048 $159 $(45,120)
Total interest income (expense) recorded in the statement of income4
$419,456 $167,972 $(260,055)$(491,702)
Three Months Ended June 30, 2025
AdvancesAFS SecuritiesCO Bonds
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives1
$68,336 $84,330 $(95,423)
Net gains (losses) on derivatives²(114,677)(47,793)122,007 
Net gains (losses) on hedged items³113,618 34,202 (122,439)
Price alignment interest(661)(3,964)(263)
Net impact on net interest income$66,616 $66,775 $(96,118)
Total interest income (expense) recorded in the statement of income4
$482,767 $183,250 $(581,667)

Six Months Ended June 30, 2026
AdvancesAFS SecuritiesDiscount NotesCO Bonds
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives1
$39,902 $94,775 $896 $(98,393)
Net gains (losses) on derivatives²214,211 102,257 (1,251)(16,914)
Net gains (losses) on hedged items³(213,347)(126,783)1,315 12,892 
Price alignment interest(1,491)(3,486)(533)(37)
Net impact on net interest income$39,275 $66,763 $427 $(102,452)
Total interest income (expense) recorded in the statement of income4
$816,385 $333,512 $(502,706)$(987,180)

Six Months Ended June 30, 2025
AdvancesAFS SecuritiesCO Bonds
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives1
$141,480 $169,425 $(205,226)
Net gains (losses) on derivatives²(289,230)(137,598)326,174 
Net gains (losses) on hedged items³286,262 110,698 (325,522)
Price alignment interest(3,198)(9,123)(553)
Net impact on net interest income$135,314 $133,402 $(205,127)
Total interest income (expense) recorded in the statement of income4
$929,379 $365,012 $(1,151,535)

1    Represents interest income/expense on derivatives in active 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, discount notes, and CO bonds only, as applicable.
Derivatives Not Designated as Hedging Instruments
The following table presents the components of our net gains (losses) on derivatives reported in other income.

Three Months Ended June 30,Six Months Ended June 30,
Type of Hedge2026202520262025
Net gains (losses) on derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps$3,798 $1,307 $8,563 $(10,629)
Swaptions(84)(77)(115)(170)
Interest-rate caps/floors(177)(275)73 (801)
Interest-rate forwards(1,758)(1,017)(910)(3,779)
Net interest settlements1
(1,484)(418)(2,697)2,027 
MDCs824 750 (172)3,419 
Net gains (losses) on derivatives in other income$1,119 $270 $4,742 $(9,933)

1    Relates to derivatives that are not in qualifying fair-value hedging relationships.
Effect of Fair Value Hedge-Related Derivative Instruments
The following table presents the amortized cost of, and the related cumulative basis adjustments on, our hedged items in active or discontinued qualifying fair-value hedging relationships.

June 30, 2026
AdvancesAFS SecuritiesDiscount NotesCO Bonds
Amortized cost of hedged items$20,851,772 $15,546,015 $9,736,706 $15,713,141 
Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships1
$(202,111)$(652,204)$(1,328)$(495,849)
For discontinued fair-value hedging relationships— 83,327 — 246 
Total cumulative fair-value hedging basis adjustments on hedged items$(202,111)$(568,877)$(1,328)$(495,603)

December 31, 2025
AdvancesAFS SecuritiesDiscount NotesCO Bonds
Amortized cost of hedged items$21,996,272 $15,251,368 $9,108,227 $17,303,980 
Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships1
$38,005 $(516,003)$(13)$(482,711)
For discontinued fair-value hedging relationships— 109,827 — — 
Total cumulative fair-value hedging basis adjustments on hedged items$38,005 $(406,176)$(13)$(482,711)

1    Excludes any offsetting effect of the net estimated fair value of the associated derivatives.