Derivatives and Hedging Activities (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] |
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, 2026 | | December 31, 2025 | | | Notional Amount of
Derivatives | | Estimated Fair Value | | Notional 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 securities | | 3,922 | | | 7 | | | 1 | | | 653,337 | | | 1 | | | 33 | | | Mortgage loans held for portfolio | | 863,465 | | | 3,854 | | | 288 | | | 713,465 | | | 3,387 | | | 92 | | | Consolidated obligation bonds | | 106,445 | | | 479 | | | 31 | | | 106,445 | | | 519 | | | 35 | | Consolidated obligation discount notes | | 19,932,000 | | | 51 | | | 343 | | | 28,021,000 | | | 65 | | | 515 | | | Trading securities | | 5,191,450 | | | 303 | | | 10 | | | 3,196,050 | | | 469 | | | — | | | Counterparty exposure | | 10,000,000 | | | 74,093 | | | 1,308 | | | 10,000,000 | | | 79,726 | | | 1,568 | | | Intermediary transactions | | 6,186 | | | 14 | | | 11 | | | 18,558 | | | 60 | | | 56 | | | Other | | 150,000 | | | — | | | 60 | | | 400,000 | | | — | | | 109 | | | Interest rate swaptions | | | | | | | | | | | | | | Available-for-sale securities | | 500,000 | | | 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.
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| Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationships [Table Text Block] |
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) | | | | | | | Advances | | Available-for-Sale Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | | | Other 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 items | | 98,213 | | | 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) | | | | | | | Advances | | Available-for-Sale Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | | | Other 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) | | | | | | | | | | | | | | |
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| Cumulative Basis Adjustments for Fair Value Hedges [Table Text Block] |
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 Cost | | Basis 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 securities | | 17,509,847 | | | (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 securities | | 19,125,045 | | | (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.
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| Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income [Table Text Block] |
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 in | | Gain (Loss) Recognized in | | Other Income (Loss) for the | | Other Income (Loss) for the | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2026 | | 2025 | | 2026 | | 2025 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives not designated as hedging instruments | | | | | | | | | Interest rate swaps | $ | 803 | | | $ | (3,406) | | | $ | 127 | | | $ | (12,375) | | | Net interest income on interest rate swaps | 3,483 | | | 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 instruments | 3,722 | | | (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.
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