v3.26.1
Derivatives and Hedging Activities
 6 Months Ended
Jun. 30, 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 June 30, 2026 and December 31, 2025 (in thousands).
June 30, 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)
$23,223,399 $44,577 $3,988 $28,564,835 $34,801 $31,802 
Available-for-sale securities (1)
17,905,627 292,968 25,642 19,288,313 153,747 88,347 
Consolidated obligation bonds (1)
30,802,770 93,563 459,816 31,257,900 75,150 499,337 
Consolidated obligation discount notes (2)
691,000 529 — 966,000 651 — 
Total derivatives designated as hedging
   instruments
72,622,796 431,637 489,446 80,077,048 264,349 619,486 
Derivatives not designated as hedging
   instruments
Interest rate swaps
Advances— — — 850,000 2 — 
Available-for-sale securities3,922 7 1 653,337 1 33 
Mortgage loans held for portfolio863,465 3,854 288 713,465 3,387 92 
Consolidated obligation bonds106,445 479 31 106,445 519 35 
Consolidated obligation discount notes
19,932,000 51 343 28,021,000 65 515 
Trading securities5,191,450 303 10 3,196,050 469 — 
Counterparty exposure10,000,000 74,093 1,308 10,000,000 79,726 1,568 
Intermediary transactions6,186 14 11 18,558 60 56 
Other150,000 — 60 400,000 — 109 
Interest rate swaptions
Available-for-sale securities500,000 80 — 1,150,000 307 — 
Mortgage delivery commitments
17,087 40 — 25,952 — 1 
Total derivatives not designated as
    hedging instruments
36,770,555 78,921 2,052 45,134,807 84,536 2,409 
Total derivatives before collateral and netting adjustments
$109,393,351 510,558 491,498 $125,211,855 348,885 621,895 
Cash collateral and related accrued interest
(203,007)(207,557)(9,797)(316,400)
Cash received or remitted in excess of variation margin requirements(31)— (48)2 
Netting adjustments(273,825)(273,825)(301,142)(301,142)
Total collateral and netting adjustments (3)
(476,863)(481,382)(310,987)(617,540)
Net derivative balances reported in statements of condition
$33,695 $10,116 $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 and six months ended June 30, 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 June 30, 2026
Total amount of the financial statement line item$526,425 $209,347 $(541,992)$(302,340)$61,264 
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$86,943 $176,853 $(60,094)$— $— 
Hedged items(58,525)(149,102)16,145 — — 
Net gains (losses) on fair value hedging relationships
$28,418 $27,751 $(43,949)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $2,566 $(2,566)
Recognized in OCI— — — — 5,177 
Net gains on cash flow hedging relationships$— $— $— $2,566 $2,611 
Three Months Ended June 30, 2025
Total amount of the financial statement line item$790,229 $250,510 $(961,280)$(179,466)$(63,948)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$(21,798)$(102,129)$22,862 $— $— 
Hedged items98,213 175,571 (150,255)— — 
Net gains (losses) on fair value hedging relationships
$76,415 $73,442 $(127,393)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $5,977 $(5,977)
Recognized in OCI— — — — (3,293)
Net gains (losses) on cash flow hedging relationships$— $— $— $5,977 $(9,270)
Interest Income (Expense)
AdvancesAvailable-for-Sale SecuritiesConsolidated Obligation BondsConsolidated Obligation Discount NotesOther Comprehensive Income (Loss)
Six Months Ended June 30, 2026
Total amount of the financial statement line item$1,057,133 $425,111 $(1,099,759)$(617,432)$62,208 
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$183,073 $270,510 $(142,880)$— $— 
Hedged items(125,034)(209,715)29,548 — — 
Net gains (losses) on fair value hedging relationships
$58,039 $60,795 $(113,332)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $5,961 $(5,961)
Recognized in OCI— — — — 9,535 
Net gains on cash flow hedging relationships$— $— $— $5,961 $3,574 
Six Months Ended June 30, 2025
Total amount of the financial statement line item$1,558,446 $503,256 $(1,895,657)$(360,336)$(77,500)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives$(146,584)$(340,558)$148,408 $— $— 
Hedged items
290,003 488,178 (408,133)— — 
Net gains (losses) on fair value hedging relationships
$143,419 $147,620 $(259,725)$— $— 
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense
$— $— $— $11,709 $(11,709)
Recognized in OCI— — — — (11,039)
Net gains (losses) on cash flow hedging relationships$— $— $— $11,709 $(22,748)

For the three and six months ended June 30, 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 June 30, 2026, $10,687,000 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 3.6 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 June 30, 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)
June 30, 2026
Advances$23,115,739 $(146,939)$(130)$(147,069)
Available-for-sale securities17,509,847 (419,691)(6,449)(426,140)
Consolidated obligation bonds(30,395,004)489,206 (36)489,170 
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 and six months ended June 30, 2026 and 2025 (in thousands).
Gain (Loss) Recognized inGain (Loss) Recognized in
 Other Income (Loss) for theOther Income (Loss) for the
Three Months Ended June 30,Six Months Ended June 30,
2026202520262025
Derivatives not designated as hedging instruments
Interest rate swaps$803 $(3,406)$127 $(12,375)
Net interest income on interest rate swaps3,483 4,225 9,367 7,337 
Interest rate swaptions(255)(1,379)(227)(2,728)
Mortgage delivery commitments(309)264 (980)1,114 
Total net gains (losses) related to derivatives not designated as hedging instruments3,722 (296)8,287 (6,652)
Price alignment amount on variation margin for daily settled derivative contracts(1)
378 1,259 879 3,348 
Net gains (losses) on derivatives and hedging activities reported in other income (loss)$4,100 $963 $9,166 $(3,304)
_____________________________
(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 51 percent of the Bank's derivative contracts (based on notional value) have been cleared through third-party central clearinghouses (as of June 30, 2026, the notional balance of cleared transactions outstanding totaled $55.46 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 June 30, 2026, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties (including mortgage delivery commitments) totaled $53.93 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.