Derivatives and Hedging Activities (Tables)
|
9 Months Ended |
Sep. 30, 2026 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | (In millions) | Notional
Amount of
Derivatives | | Derivative
Assets | | Derivative
Liabilities | | Notional
Amount of
Derivatives | | Derivative
Assets | | Derivative
Liabilities | | Derivatives designated as hedging instruments: | | | | | | | | | | | | | Interest rate swaps | $ | 54,014 | | | $ | 531 | | | $ | 170 | | | $ | 69,418 | | | $ | 507 | | | $ | 131 | | | Derivatives not designated as hedging instruments: | | | | | | | | | | | | | Interest rate swaps | 6,682 | | | 24 | | | 3 | | | 12,145 | | | 5 | | | 51 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total derivatives before netting and collateral adjustments | $ | 60,696 | | | 555 | | | 173 | | | $ | 81,563 | | | 512 | | | 182 | | Netting adjustments and cash collateral(1) | | | (510) | | | (172) | | | | | (470) | | | (179) | | | Total derivative assets and total derivative liabilities | | | $ | 45 | | | $ | 1 | | | | | $ | 42 | | | $ | 3 | |
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $71 million and $53 million at September 30, 2026, and December 31, 2025, respectively. Cash collateral received, including accrued interest, was $408 million and $345 million at September 30, 2026, and December 31, 2025, respectively.
|
| Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income. | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | (In millions) | September 30, 2026 | | September 30, 2025 | | September 30, 2026 | | September 30, 2025 | | | | Derivatives not designated as hedging instruments | Gain/(Loss) | | Gain/(Loss) | | Gain/(Loss) | | Gain/(Loss) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | Interest rate swaps | $ | 17 | | | $ | 3 | | | $ | 43 | | | $ | (34) | | | | | | | | | | | | | | | Net interest settlements | (2) | | | 12 | | | 3 | | | 36 | | | | | | | | | | | | | | | Total net gain/(loss) related to derivatives not designated as hedging instruments | 15 | | | 15 | | | 46 | | | 2 | | | | Price alignment amount(1) | — | | | — | | | — | | | (1) | | | | | Net gain/(loss) on derivatives | $ | 15 | | | $ | 15 | | | $ | 46 | | | $ | 1 | | | |
(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract.
|
| Derivative Instruments, Gain (Loss) [Table Text Block] |
The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of derivatives in those relationships on the Bank’s Statements of Income. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2026 | | Interest Income/(Expense) | | | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | | | Total interest income/(expense) presented in the Statements of Income | $ | 357 | | | $ | 231 | | | $ | (341) | | | $ | (225) | | | | | Gain/(loss) on fair value hedging relationships | | | | | | | | | | Derivatives(1) | $ | 78 | | | $ | 490 | | | $ | (97) | | | $ | 1 | | | | Hedged items | (73) | | | (471) | | | 84 | | | — | | | | Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $ | 5 | | | $ | 19 | | | $ | (13) | | | $ | 1 | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2025 | | Interest Income/(Expense) | | | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | | | Total interest income/(expense) presented in the Statements of Income | $ | 462 | | | $ | 280 | | | $ | (561) | | | $ | (173) | | | | | Gain/(loss) on fair value hedging relationships | | | | | | | | | | Derivatives(1) | $ | 11 | | | $ | 7 | | | $ | 1 | | | $ | (1) | | | | Hedged items | 22 | | | 52 | | | (62) | | | (2) | | | | Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $ | 33 | | | $ | 59 | | | $ | (61) | | | $ | (3) | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 2026 | | Interest Income/(Expense) | | | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | | | Total interest income/(expense) presented in the Statements of Income | $ | 1,108 | | | $ | 694 | | | $ | (1,069) | | | $ | (661) | | | | | Gain/(loss) on fair value hedging relationships | | | | | | | | | | Derivatives(1) | $ | 174 | | | $ | 792 | | | $ | (158) | | | $ | (2) | | | | Hedged items | (153) | | | (733) | | | 103 | | | 5 | | | | Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $ | 21 | | | $ | 59 | | | $ | (55) | | | $ | 3 | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 2025 | | Interest Income/(Expense) | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | | Total interest income/(expense) presented in the Statements of Income | $ | 1,468 | | | $ | 818 | | | $ | (1,761) | | | $ | (499) | | | Gain/(loss) on fair value hedging relationships | | | | | | | | Derivatives(1) | $ | (73) | | | $ | (325) | | | $ | 56 | | | $ | (5) | | Hedged items | 175 | | | 499 | | | (232) | | | 2 | | Net gain/(loss) on derivatives and hedging activities recorded in net interest income | $ | 102 | | | $ | 174 | | | $ | (176) | | | $ | (3) | | | | | | | | | | | | | | | | | |
|
| Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance |
The following tables present the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | Amortized cost of hedged asset/(liability) | $ | 10,980 | | | $ | 18,794 | | | $ | (12,002) | | | $ | (11,629) | | | Fair value hedging basis adjustments: | | | | | | | | | Active hedging relationships included in amortized cost | $ | (134) | | | $ | (1,203) | | | $ | 198 | | | $ | 2 | | | Discontinued hedging relationships included in amortized cost | (7) | | | 301 | | | — | | | — | | | Total amount of fair value hedging basis adjustments | $ | (141) | | | $ | (902) | | | $ | 198 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | (In millions) | Advances | | AFS Securities | | Consolidated Obligation Bonds | | Consolidated Obligation Discount Notes | Amortized cost of hedged asset/(liability) | $ | 15,644 | | | $ | 19,194 | | | $ | (20,438) | | | $ | (14,683) | | | Fair value hedging basis adjustments: | | | | | | | | | Active hedging relationships included in amortized cost | $ | 8 | | | $ | (563) | | | $ | 95 | | | $ | (3) | | | Discontinued hedging relationships included in amortized cost | — | | | 387 | | | — | | | — | | | Total amount of fair value hedging basis adjustments | $ | 8 | | | $ | (176) | | | $ | 95 | | | $ | (3) | |
|
| Schedule of Derivative Instruments, Offsetting Derivative Assets |
The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | | | December 31, 2025 | | | | (In millions) | Derivative Assets | | Derivative Liabilities | | | | Derivative Assets | | Derivative Liabilities | | | | Derivative instruments meeting netting requirements | | | | | | | | | | | | | Gross recognized amount | | | | | | | | | | | | | Uncleared | $ | 545 | | | $ | 171 | | | | | $ | 497 | | | $ | 179 | | | | | Cleared | 10 | | | 2 | | | | | 15 | | | 3 | | | | | Total gross recognized amount | 555 | | | 173 | | | | | 512 | | | 182 | | | | | Gross amount of netting adjustments and cash collateral | | | | | | | | | | | | | Uncleared | (508) | | | (170) | | | | | (467) | | | (176) | | | | | Cleared | (2) | | | (2) | | | | | (3) | | | (3) | | | | | Total gross amounts of netting adjustments and cash collateral | (510) | | | (172) | | | | | (470) | | | (179) | | | | | Total derivative assets and total derivative liabilities | $ | 45 | | | $ | 1 | | | | | $ | 42 | | | $ | 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net amount(1)(2) | | | | | | | | | | | | | Uncleared | $ | 37 | | | $ | 1 | | | | | $ | 30 | | | $ | 3 | | | | | Cleared | 8 | | | — | | | | | 12 | | | — | | | | | Total net amount | $ | 45 | | | $ | 1 | | | | | $ | 42 | | | $ | 3 | | | |
(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. At both September 30, 2026, and December 31, 2025, the Bank received excess non-cash collateral with a fair value of $2 million. (2) Any over-collateralization at the Bank’s individual clearing agent or counterparty level is not included in the determination of the net amount. At September 30, 2026, and December 31, 2025, the Bank had additional net credit exposure of $511 million and $501 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.
|
| Schedule of Derivative Instruments, Offsetting Derivative Liabilities |
The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | | | December 31, 2025 | | | | (In millions) | Derivative Assets | | Derivative Liabilities | | | | Derivative Assets | | Derivative Liabilities | | | | Derivative instruments meeting netting requirements | | | | | | | | | | | | | Gross recognized amount | | | | | | | | | | | | | Uncleared | $ | 545 | | | $ | 171 | | | | | $ | 497 | | | $ | 179 | | | | | Cleared | 10 | | | 2 | | | | | 15 | | | 3 | | | | | Total gross recognized amount | 555 | | | 173 | | | | | 512 | | | 182 | | | | | Gross amount of netting adjustments and cash collateral | | | | | | | | | | | | | Uncleared | (508) | | | (170) | | | | | (467) | | | (176) | | | | | Cleared | (2) | | | (2) | | | | | (3) | | | (3) | | | | | Total gross amounts of netting adjustments and cash collateral | (510) | | | (172) | | | | | (470) | | | (179) | | | | | Total derivative assets and total derivative liabilities | $ | 45 | | | $ | 1 | | | | | $ | 42 | | | $ | 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net amount(1)(2) | | | | | | | | | | | | | Uncleared | $ | 37 | | | $ | 1 | | | | | $ | 30 | | | $ | 3 | | | | | Cleared | 8 | | | — | | | | | 12 | | | — | | | | | Total net amount | $ | 45 | | | $ | 1 | | | | | $ | 42 | | | $ | 3 | | | |
(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. At both September 30, 2026, and December 31, 2025, the Bank received excess non-cash collateral with a fair value of $2 million. (2) Any over-collateralization at the Bank’s individual clearing agent or counterparty level is not included in the determination of the net amount. At September 30, 2026, and December 31, 2025, the Bank had additional net credit exposure of $511 million and $501 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position.
|