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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020, and December 31, 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.



	March 31, 2020							December 31, 2019
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	46,837	$	24	$	1,011		$	39,622	$	31		$	370
Total	46,837		24		1,011			39,622		31			370
Derivatives not designated as hedging instruments:
Interest rate swaps	70,963		18		44			60,424		13			14
Interest rate caps and floors	980		—		—			980		—			—
Mortgage delivery commitments	87		3		—			46		—			—
Total	72,030		21		44			61,450		13			14
Total derivatives before netting and collateral adjustments	$	118,867	45		1,055			$	101,072	44			384
Netting adjustments and cash collateral⁽¹⁾			17		(1,055		)			(11		)	(384		)
Total derivative assets and total derivative liabilities			$	62	$	—				$	33		$	—

(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 $1,082 and $378 at March 31, 2020, and December 31, 2019, respectively. Cash collateral received and related accrued interest was $9 and $5 at March 31, 2020, and December 31, 2019, 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 three months ended March 31, 2020 and 2019.



	Three Months Ended
	March 31, 2020			March 31, 2019
	Gain/(Loss)			Gain/(Loss)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(143	)	$	(23	)
Interest rate caps and floors	—			(1		)
Net settlements	(8		)	(5		)
Mortgage delivery commitments	4			1
Net gain/(loss) on derivatives and hedging activities	$	(147	)	$	(28	)

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 three months ended March 31, 2020 and 2019.



	Three Months Ended March 31, 2020
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total interest income/(expense) presented in the Statements of Income	$	279		$	51		$	(276	)
Gain/(loss) on fair value hedging relationships
Derivatives⁽¹⁾	$	(651	)	$	(968	)	$	26
Hedged items	610			893			(23		)
Net gain/(loss) on fair value hedging relationships	$	(41	)	$	(75	)	$	3



	Three Months Ended March 31, 2019
	Interest Income/(Expense)
	Advances			AFS Securities			Consolidated Obligation Bonds
Total income/(expense) presented in the Statements of Income	$	498		$	79		$	(455	)
Gain/(loss) on fair value hedging relationships
Derivatives⁽¹⁾	$	(82	)	$	(128	)	$	19
Hedged items	103			117			(28		)
Net gain/(loss) on fair value hedging relationships	$	21		$	(11	)	$	(9	)

(1)

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 March 31, 2020.



	March 31, 2020
Hedged Item Type	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		Cumulative Amount of Fair Value Hedging Basis Adjustments
Advances	$	32,880		$	804		$	8	$	812
AFS securities	14,195			1,275			49		1,324
Consolidated obligation bonds	(2,707		)	(32		)	—		(32		)

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 March 31,

2020, and December 31, 2019.



	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements⁽¹⁾		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—



	December 31, 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						$	—				$	—

Schedule of Derivative Instruments, Offsetting Derivative Liabilities

2020, and December 31, 2019.



	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Amount Recognized		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements⁽¹⁾		Total Derivative Assets and Total Derivative Liabilities		Noncash Collateral Not Offset That Can Be Sold or Repledged			Net Amount
Derivative Assets
Uncleared	$	15	$	20		$	3	$	38	$	—		$	38
Cleared	27		(3		)	—		24		(643		)	667
Total								$	62				$	705
Derivative Liabilities
Uncleared	$	1,041	$	(1,041	)	$	—	$	—	$	—		$	—
Cleared	14		(14		)	—		—		—			—
Total								$	—				$	—



	December 31, 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						$	—				$	—