v3.26.1
Derivatives and Hedging Activities
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Hedging Activities [Text Block] Derivatives and Hedging Activities
The following table summarizes the Bank’s notional amount, fair value of derivative instruments, and total derivative assets and liabilities (dollars in millions):
June 30, 2026December 31, 2025
Notional
Amount		Derivative
Assets		Derivative
 Liabilities		Notional
Amount 		Derivative
Assets		Derivative
 Liabilities
Derivatives designated as hedging instruments (fair value hedges)
Interest rate swaps$201,901 $265 $52 $162,769 $237 $29 
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps10,617 4 — 23,176 3 — 
Interest rate caps or floors1 — — — — — 
Forward settlement agreements130 — — 111 — — 
Mortgage loan purchase commitments127 — — 106 — — 
Total derivatives not designated as hedging instruments10,875 4 — 23,393 3 — 
Total derivatives before netting and collateral adjustments$212,776 269 52 $186,162 240 29 
Netting adjustments and cash collateral1
(181)(45)(160)(26)
Total derivative assets and derivative liabilities$88 $7 $80 $3 
1     Amounts represent the application of the netting requirements that allow the Bank to net settle positive and negative positions and also cash collateral, including accrued interest, held or placed with the same clearing agent and/or counterparty. At June 30, 2026 and December 31, 2025, cash collateral, including accrued interest, posted by the Bank was $12 million and $3 million. At June 30, 2026 and December 31, 2025, the Bank held cash collateral, including accrued interest, from clearing agents or counterparties of $148 million and $137 million.
The following tables summarize the net gains (losses) on qualifying fair value hedging relationships and the amortization of basis adjustments on discontinued fair value hedging relationships recorded in net interest income, including the net interest settlements on derivatives, as well as total income (expense) by hedged product recorded on the Statements of Income (dollars in millions):
For the Three Months Ended June 30, 2026
Interest Income (Expense)
AdvancesAFS Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1
$1,406 $310 $(930)$(941)
Gains (losses) on fair value hedging relationships
Interest rate contracts
   Derivatives2
$372 $222 $(15)$(33)
   Hedged items3
(335)(209)17 49 
Net gains (losses) on fair value hedging relationships$37 $13 $2 $16 
For the Three Months Ended June 30, 2025
Interest Income (Expense)
AdvancesAFS SecuritiesConsolidated Obligation Discount NotesConsolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1
$1,286 $345 $(595)$(1,244)
Gains (losses) on fair value hedging relationships
Interest rate contracts
Derivatives2
$(157)$(183)$— $15 
Hedged items3
282 233 — (23)
Net gains (losses) on fair value hedging relationships$125 $50 $— $(8)
1    Amounts shown to give context to the disclosure and include total interest income (expense) of the products indicated, including coupon, prepayment fees, amortization, and derivative net interest settlements. Interest income (expense) amounts also include gains and losses on derivatives and hedged items in fair value hedging relationships.
2    Includes changes in fair value and net interest settlements on derivatives.    
3    Includes changes in fair value and amortization/accretion of basis adjustments on closed hedge relationships.
For the Six Months Ended June 30, 2026
Interest Income (Expense)
AdvancesAFS Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1
$2,699 $632 $(1,818)$(1,855)
Gains (losses) on fair value hedging relationships
Interest rate contracts
   Derivatives2
$649 $341 $(30)$(100)
   Hedged items3
(573)(299)42 126 
Net gains (losses) on fair value hedging relationships$76 $42 $12 $26 
For the Six Months Ended June 30, 2025
Interest Income (Expense)
AdvancesAFS SecuritiesConsolidated Obligation Discount NotesConsolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1
$2,473 $684 $(1,291)$(2,301)
Gains (losses) on fair value hedging relationships
Interest rate contracts
Derivatives2
$(498)$(517)$— $64 
Hedged items3
743 617 — (77)
Net gains (losses) on fair value hedging relationships$245 $100 $— $(13)
1    Amounts shown to give context to the disclosure and include total interest income (expense) of the products indicated, including coupon, prepayment fees, amortization, and derivative net interest settlements. Interest income (expense) amounts also include gains and losses on derivatives and hedged items in fair value hedging relationships.
2    Includes changes in fair value and net interest settlements on derivatives.    
3    Includes changes in fair value and amortization/accretion of basis adjustments on closed hedge relationships.

The following tables summarize cumulative fair value hedging adjustments and the related amortized cost of the hedged items (dollars in millions):
June 30, 2026
AdvancesAFS Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Amortized cost of hedged asset/ liability1
$62,503 $20,102 $89,990 $26,706 
Fair value hedging adjustments
Changes in fair value for active hedging relationships included in amortized cost $(497)$(617)$(26)$(70)
Basis adjustments for discontinued hedging relationships included in amortized cost(4)(40)— — 
Total amount of fair value hedging adjustments $(501)$(657)$(26)$(70)

December 31, 2025
AdvancesAFS Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Amortized cost of hedged asset/ liability1
$58,516 $19,983 $61,439 $20,546 
Fair value hedging adjustments
Changes in fair value for active hedging relationships included in amortized cost$82 $(315)$17 $56 
Basis adjustments for discontinued hedging relationships included in amortized cost(10)(42)— — 
Total amount of fair value hedging adjustments $72 $(357)$17 $56 
1    Represents the portion of amortized cost designated as a hedged item in an active or discontinued fair value hedging relationship. Amortized cost includes fair value hedging adjustments.
The following table summarizes the components of “Net gains (losses) on derivatives” as presented on the Statements of Income (dollars in millions):
For the Three Months Ended
For the Six Months Ended
June 30,June 30,
2026202520262025
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps$43 $(23)$86 $(76)
Forward settlement agreements— — 3 (2)
Mortgage loan purchase commitments— — (3)2 
Net interest settlements1 (1)4 17 
Net gains (losses) on derivatives$44 $(24)$90 $(59)
The following tables present the fair value of derivative instruments meeting or not meeting the netting requirements and the related collateral received from or pledged to counterparties (dollars in millions):
June 30, 2026
Derivative Instruments Meeting Netting Requirements
Gross Amount Recognized1
Gross Amounts of Netting Adjustments and Cash Collateral
Derivative Instruments Not Meeting Netting Requirements2
Total Derivative Assets and Total Derivative LiabilitiesNon-cash Collateral Not Offset - Can be Sold or Repledged
Net Amount3
Derivative Assets
   Uncleared derivatives$177 $(177)$— $— $— $— 
   Cleared derivatives92 (4)— 88 — 88 
Total$269 $(181)$— $88 $— $88 
Derivative Liabilities
   Uncleared derivatives$48 $(41)$— $7 $— $7 
   Cleared derivatives4 (4)— — — — 
Total$52 $(45)$— $7 $— $7 
December 31, 2025
Derivative Instruments Meeting Netting Requirements
Gross Amount Recognized1
Gross Amounts of Netting Adjustments and Cash Collateral
Derivative Instruments Not Meeting Netting Requirements2
Total Derivative Assets and Total Derivative LiabilitiesNon-cash Collateral Not Offset - Can be Sold or Repledged
Net Amount3
Derivative Assets
   Uncleared derivatives$159 $(158)$— $1 $— $1 
   Cleared derivatives81 (2)— 79 — 79 
Total$240 $(160)$— $80 $— $80 
Derivative Liabilities
   Uncleared derivatives$27 $(24)$— $3 $— $3 
   Cleared derivatives2 (2)— — — — 
Total$29 $(26)$— $3 $— $3 
1    Represents derivative assets and derivative liabilities prior to netting adjustments and cash collateral, including accrued interest.
2    Represents mortgage loan purchase commitments not subject to enforceable master netting requirements.
3    Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. At June 30, 2026 and December 31, 2025, the Bank had additional net credit exposure of $1.5 billion and $1.4 billion due to instances where the Bank’s non-cash collateral to a counterparty exceeded the Bank’s net derivative position.