v3.26.1
Derivatives and Hedging Activities
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Hedging Activities Derivatives and Hedging Activities
Nature of Business Activity

The Bank is exposed to interest-rate risk primarily from the effect of interest-rate changes on its interest-earning assets and on its interest-bearing liabilities that finance these assets. To mitigate the risk of loss, the Bank has established policies and procedures, which include guidelines on the amount of exposure to interest-rate changes that it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin, and average maturity of its interest-earning assets and funding sources. The goal of the Bank’s interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits.

The Bank enters into derivatives to manage the interest-rate risk exposure that is inherent in its otherwise unhedged assets and funding sources, to achieve the Bank’s risk management objectives, and to act as an intermediary between its members and counterparties. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. The Bank’s over-the-counter derivatives transactions may either be (1) uncleared derivatives, which are executed bilaterally with a counterparty; or (2) cleared derivatives, which are cleared through a Futures Commission Merchant (clearing agent) with a Derivatives Clearing Organization (Clearinghouse). Once a derivatives transaction has been accepted for clearing by a Clearinghouse, the derivatives transaction is novated, and the executing counterparty is replaced with the Clearinghouse as the counterparty. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For additional information on the Bank’s derivatives and hedging activities, see Note 13—Derivatives and Hedging Activities to the 2025 audited financial statements contained in the Bank’s Form 10-K.

Financial Statement Effect and Additional Financial Information

The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged.

The following table presents the notional amount, fair value of derivative instruments, and total derivative 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.
 
As of June 30, 2026As of December 31, 2025
Notional Amount of DerivativesDerivative Assets    Derivative Liabilities    Notional Amount of DerivativesDerivative Assets    Derivative Liabilities    
Derivatives in hedging relationships:
  Interest-rate swaps $94,674 $157 $187 $109,775 $104 $303 
Derivatives not designated as hedging instruments:
  Interest-rate swaps 12 — — 53 — — 
Total derivatives before netting and collateral adjustments
$94,686 157 187 $109,828 104 303 
Netting adjustments and cash collateral (1)
230 (185)230 (299)
Derivative assets and derivative liabilities$387 $2 $334 $4 
_________
(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 with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $482 and $541 as of June 30, 2026 and December 31, 2025, respectively. Cash collateral received, including accrued interest, was $67 and $12 as of June 30, 2026 and December 31, 2025, respectively.
The following tables present the net gains (losses) on fair value hedging relationships.
For the Three Months Ended June 30,
20262025
Interest Income (Expense)
AdvancesAvailable-for-sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount NotesAdvancesAvailable-for-sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount Notes
Total interest income (expense) recorded in the Statements of Income$1,084 $128 $(1,041)$(409)$1,193 $83 $(1,397)$(189)
Gains (losses) on fair value
    hedging relationships
Interest rate contracts
Derivatives (1)
$112 $89 $(28)$(4)$(35)$(39)$4 $(1)
Hedged items (2)
(94)(97)(17)5 99 47 (124)— 
Net gains (losses) on fair value
    hedging relationships		$18 $(8)$(45)$1 $64 $8 $(120)$(1)
For the Six Months Ended June 30,
20262025
Interest Income (Expense)
AdvancesAvailable-for-sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount NotesAdvancesAvailable-for-sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount Notes
Total interest income (expense) reported on the Statements of Income$2,117 $227 $(2,016)$(816)$2,301 $143 $(2,654)$(417)
Gains (losses) on fair value
    hedging relationships
Changes in fair value:
Derivatives (1)
$208 $158 $(86)$(12)$(206)$(88)$57 $(1)
Hedged items (2)
(170)(170)(23)19 326 100 (304)6 
Net gains (losses) on fair value
    hedging relationships		$38 $(12)$(109)$7 $120 $12 $(247)$5 
____________
(1) Includes changes in fair value and net interest settlements and excludes the interest income (expense) of the respective hedged item.
(2) Includes changes in fair value and amortization and accretion of basis adjustments.
The following tables present the total basis adjustments on hedged items designated as fair value hedges and the related
amortized cost of the hedged items.
As of June 30, 2026
AdvancesAvailable-for-sale SecuritiesConsolidated Obligations
 Bonds		Consolidated Obligations
 Discount Notes
Amortized cost of hedged asset or liability (1)
$18,987 $13,787 $28,094 $33,738 
Fair Value Hedging adjustments:
Basis adjustments for active hedging relationships
    included in amortized cost		$(280)$(91)$(182)$(10)
Basis adjustments for discontinued hedging relationships
    included in amortized cost		— — (5)— 
Total amounts of fair value hedging basis adjustments$(280)$(91)$(187)$(10)

As of December 31, 2025
AdvancesAvailable-for-sale SecuritiesConsolidated Obligations
 Bonds		Consolidated Obligations
 Discount Notes
Amortized cost of hedged asset or liability (1)
$23,557 $8,908 $36,918 $39,888 
Fair Value Hedging adjustments:
    Basis adjustments for active hedging relationships
        included in amortized cost
$(120)$79 $(204)$9 
    Basis adjustments for discontinued hedging relationships
        included in amortized cost
1 — (6)— 
Total amounts of fair value hedging basis adjustments$(119)$79 $(210)$9 
___________
(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.

Managing Credit Risk on Derivatives

The Bank is subject to credit risk to its derivative transactions due to the risk of nonperformance by counterparties and manages this risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and FHFA regulations.
For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Additionally, collateral related to derivatives with member institutions includes collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank.

For cleared derivatives, the Clearinghouse is the Bank’s counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies the Bank. The Bank utilizes two Clearinghouses for all cleared derivative transactions, CME Clearing and LCH Ltd. At both Clearinghouses, variation margin is characterized as daily settlement payments, and initial margin is considered cash collateral. Because the Bank is required to post initial and variation margin through the clearing agent to the Clearinghouse, it exposes the Bank to institutional credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties, and collateral/payments is posted daily through a clearing agent for changes in the fair value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default, including bankruptcy, insolvency, or similar proceeding involving the Clearinghouse or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse.

The Bank presents derivative instruments and the related cash collateral that is received or pledged, plus the associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements.
The following table presents the fair value of derivative instruments after netting adjustments, including the related collateral received from or pledged to counterparties.
As of June 30, 2026As of December 31, 2025
Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
Gross recognized amount:
     Uncleared derivatives$129 $182 $81 $297 
     Cleared derivatives28 5 23 6 
Total gross recognized amount157 187 104 303 
Gross amounts of netting adjustments and cash collateral:
     Uncleared derivatives(118)(180)(73)(293)
     Cleared derivatives348 (5)303 (6)
Total gross amounts of netting adjustments and cash collateral
230 (185)230 (299)
Net amounts after netting adjustments and cash collateral:
     Uncleared derivatives11 2 8 4 
     Cleared derivatives376 — 326 — 
Total net amounts after netting adjustments and cash collateral
387 2 334 4 
Non-cash collateral received or pledged not offset-cannot be sold or repledged:
     Uncleared derivatives5 — — — 
     Cleared derivatives— — — — 
Total cannot be sold or repledged5 — — — 
Net unsecured amounts:
    Uncleared derivatives6 2 8 4 
    Cleared derivatives376 — 326 — 
Net amount (1)
$382 $2 $334 $4 
_________
(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. The Bank pledged excess non-cash collateral with a fair value of $20 and $0 as of June 30, 2026 and
December 31, 2025, respectively, and the Bank received excess non-cash collateral with a fair value of $15 and $0 as of June 30, 2026 and
December 31, 2025, respectively.