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Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2019

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 as of December 31, 2019 and 2018. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.



	2019								2018
	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	39,622	$	31		$	370		$	40,504	$	20	$	93
Total	39,622		31			370			40,504		20		93
Derivatives not designated as hedging instruments:
Interest rate swaps	60,424		13			14			59,398		65		54
Interest rate caps and floors	980		—			—			1,563		1		—
Mortgage delivery commitments	46		—			—			12		—		—
Total	61,450		13			14			60,973		66		54
Total derivatives before netting and collateral adjustments	$	101,072	44			384			$	101,477	86		147
Netting adjustments and cash collateral⁽¹⁾			(11		)	(384		)			99		(137		)
Total derivative assets and total derivative liabilities			$	33		$	—				$	185	$	10

(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 and related accrued interest was $378 and $257 at December 31, 2019 and 2018, respectively. Cash collateral received and related accrued interest was $5 and $22 at December 31, 2019 and 2018, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2019, 2018, and 2017. For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019.



	2019			2018			2017
	Gain/(Loss)			Gain/(Loss)			Gain/(Loss)
Derivatives designated as hedging instruments:
Interest rate swaps				$	(7	)	$	(1	)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(79	)	15			8
Interest rate caps and floors	(2		)	—			(5		)
Net settlements	(16		)	(13		)	(40		)
Mortgage delivery commitments	4			13			24
Total net gain/(loss) related to derivatives not designated as hedging instruments	(93		)	15			(13		)
Price alignment amount⁽¹⁾	1			(3		)	—
Net gain/(loss) on derivatives and hedging activities	$	(92	)	$	5		$	(14	)

(1)

This amount is for 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 those derivatives on the Bank’s Statements of Income for the years ended December 31, 2019, 2018, and 2017. Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements.



	2019⁽¹⁾
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	1,677		$	394		$	(1,631	)
Gain/(loss) on fair value hedging relationships
Derivatives⁽²⁾	$	(225	)	$	(377	)	$	41
Hedged items	240			341			(57		)
Net gain/(loss) on fair value hedging relationships	$	15		$	(36	)	$	(16	)



	2018⁽¹⁾
	Interest Income/(Expense)							Other Income/(Loss)
	Advances		AFS Securities		Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	1,563	$	247	$	(1,393	)	$	5
Gain/(loss) on fair value hedging relationships
Derivatives⁽²⁾	$	51	$	3	$	(20	)	$	(164	)
Hedged items								157
Net gain/(loss) on fair value hedging relationships	$	51	$	3	$	(20	)	$	(7	)



	2017⁽¹⁾
	Interest Income/(Expense)						Other Income/(Loss)
	Advances			Consolidated Obligation Bonds			Net Gain/(Loss) on Derivatives and Hedging Activities
Total income/(expense) presented in the Statements of Income	$	875		$	(713	)	$	(14	)
Gain/(loss) on fair value hedging relationships
Derivatives⁽²⁾	$	(27	)	$	27		$	22
Hedged items							(23		)
Net gain/(loss) on fair value hedging relationships	$	(27	)	$	27		$	(1	)

(1)

Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 and 2017 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships.

(2)

Includes net interest settlements.

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of December 31, 2019.



	2019
Hedged Item Type	Amortized Cost of Hedged Asset/(Liability)⁽¹⁾			Basis Adjustments for Active Hedging Relationships Included in Amortized Cost
Advances	$	22,900		$	204
AFS securities	12,877			431
Consolidated obligation bonds	(4,840		)	(9		)

Schedule of Derivative Instruments, Offsetting Derivative Assets

The following tables present 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 as of December 31, 2019 and 2018.



	2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—



	2018
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared	$	83	$	(82	)	$	1
Cleared	3		181			184
Total						$	185
Derivative Liabilities
Uncleared	$	129	$	(119	)	$	10
Cleared	18		(18		)	—
Total						$	10

Schedule of Derivative Instruments, Offsetting Derivative Liabilities



	2019
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	34	$	(16	)	$	18	$	—		$	18
Cleared	10		5			15		(381		)	396
Total						$	33				$	414
Derivative Liabilities
Uncleared	$	382	$	(382	)	$	—	$	—		$	—
Cleared	2		(2		)	—		—			—
Total						$	—				$	—



	2018
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared	$	83	$	(82	)	$	1
Cleared	3		181			184
Total						$	185
Derivative Liabilities
Uncleared	$	129	$	(119	)	$	10
Cleared	18		(18		)	—
Total						$	10