Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Liabilities [Table Text Block]

The following tables present the fair value of derivative instruments meeting or not meeting the netting requirements and the related collateral received from or pledged to counterparties (dollars in millions):

	December 31, 2019
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amounts of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	34	$	(28	)	$	—	$	6
Cleared derivatives	5		91			—		96
Total	$	39	$	63		$	—	$	102
Derivative Liabilities
Uncleared derivatives	$	199	$	(198	)	$	—	$	1
Cleared derivatives	3		(3		)	—		—
Total	$	202	$	(201	)	$	—	$	1

	December 31, 2018
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amounts of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	96	$	(96	)	$	1	$	1
Cleared derivatives	7		50			—		57
Total	$	103	$	(46	)	$	1	$	58
Derivative Liabilities
Uncleared derivatives	$	119	$	(110	)	$	—	$	9
Cleared derivatives	20		(20		)	—		—
Total	$	139	$	(130	)	$	—	$	9

1    Represents derivative assets and derivative liabilities prior to netting adjustments and cash collateral.

2     Represents mortgage loan purchase commitments not subject to enforceable netting requirements.

Derivative Instruments in Statement of Financial Position

The following table summarizes the Bank’s notional amount and fair value of derivative instruments and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest (dollars in millions):

	December 31, 2019							December 31, 2018
	Notional Amount		Derivative Assets		Derivative  Liabilities			Notional Amount		Derivative Assets			Derivative  Liabilities
Derivatives designated as hedging instruments (fair value hedges)
Interest rate swaps	$	37,684	$	31	$	159		$	47,316	$	83		$	115
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	1,038		8		43			1,321		20			24
Forward settlement agreements (TBAs)	122		—		—			98		—			—
Mortgage loan purchase commitments	127		—		—			101		1			—
Total derivatives not designated as hedging instruments	1,287		8		43			1,520		21			24
Total derivatives before netting and collateral adjustments	$	38,971	39		202			$	48,836	104			139
Netting adjustments and cash collateral1			63		(201		)			(46		)	(130		)
Total derivative assets and derivative liabilities			$	102	$	1				$	58		$	9

1

Amounts represent the application of the netting requirements that allow the Bank to net settle positive and negative positions and also cash collateral and the related accrued interest held or placed with the same clearing agent and/or counterparty. At December 31, 2019 and 2018, cash collateral posted by the Bank and related accrued interest was $264 million and $121 million. At December 31, 2019, the Bank held no cash collateral and related accrued interest from clearing agents and/or counterparties. At December 31, 2018, the Bank held cash collateral and related accrued interest from clearing agents and/or counterparties of $37 million.

Derivative Instrument Gain (Loss) in Statement of Financial Performance

The following table summarizes the components of “Net gains (losses) on derivatives and hedging activities” as presented on the Statements of Income (dollars in millions). For periods prior to January 1, 2019, net gains (losses) representing hedge ineffectiveness for fair value hedging relationships were recorded in “Net gains (losses) on derivatives and hedging activities.” Beginning on January 1, 2019, changes in the fair value of the derivative and the hedged item in a fair value hedge relationship are recorded in net interest income.

	For the Years Ended December 31,
	2019			2018			2017
Derivatives designated as hedging instruments (fair value hedges)
Interest rate swaps				$	3		$	11
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	$	(34	)	$	16		$	10
Forward settlement agreements (TBAs)	(5		)	2			(2		)
Mortgage loan purchase commitments	5			(2		)	2
Net interest settlements	(1		)	(3		)	(12		)
Total net gains (losses) related to derivatives not designated as hedging instruments	(35		)	13			(2		)
Price alignment amount1	—			3			3
Net gains (losses) on derivatives and hedging activities	$	(35	)	$	19		$	12

1

This amount represents interest on variation margin which is a component of the derivative fair value for cleared transactions. The amounts reported for the year ended December 31, 2019 reflect the price alignment amounts on variation margin for daily settled derivative contracts not designated as hedging instruments. The amounts recorded for the year ended December 31, 2019 were less than $1 million. The price alignment amounts on variation margin for daily settled derivative contracts designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item. The amounts reported for the year ended December 31, 2018 and 2017 reflect the price alignment amounts on variation margin for all daily settled derivative contracts.

The following tables summarize the income effect from fair value hedging relationships recorded in either net interest income or other income as well as total income (expense) by product recorded on the Statements of Income (dollars in millions):

	For the Year Ended December 31, 2019
	Interest Income (Expense)
	Advances			Available-for-Sale Securities			Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1	$	2,466		$	506		$	(2,289	)
Net interest income effect from fair value hedging relationships
Interest rate contracts
Derivatives2	(223		)	(233		)	188
Hedged items3	276			224			(357		)
Total net interest income effect from fair value hedging relationships	$	53		$	(9	)	$	(169	)

	For the Year Ended December 31, 2018
	Interest Income (Expense)								Other Income
	Advances		Available-for-Sale Securities			Consolidated Obligation Bonds			Net Gains (Losses) on Derivatives and Hedging Activities
Total income (expense) recorded on the Statements of Income1	$	2,443	$	504		$	(2,095	)	$	19
Net income effect from fair value hedging relationships
Interest rate contracts
Derivatives4	47		(22		)	(217		)	203
Hedged items5	7		4			(2		)	(200		)
Total net income effect from fair value hedging relationships	$	54	$	(18	)	$	(219	)	$	3

	For the Year Ended December 31, 2017
	Interest Income (Expense)									Other Income
	Advances			Available-for-Sale Securities			Consolidated Obligation Bonds			Net Gains (Losses) on Derivatives and Hedging Activities
Total income (expense) recorded on the Statements of Income1	$	1,589		$	368		$	(1,239	)	$	12
Net income effect from fair value hedging relationships
Interest rate contracts
Derivatives4	(70		)	(93		)	6			85
Hedged items5	(3		)	(2		)	5			(74		)
Total net income effect from fair value hedging relationships	$	(73	)	$	(95	)	$	11		$	11

1    Amounts shown to give context to the disclosure and include total interest income (expense) of the products indicated, including coupon, prepayment fees, amortization, and

derivative net interest settlements. In 2019, interest income (expense) amounts also include gains and losses on derivatives and hedged items in fair value hedging relationships.

In 2018, gains and losses on derivatives and hedged items in fair value hedging relationships were recorded in other income in “net gains (losses) on derivatives and hedging

activities” along with gains and losses on economic derivatives.

2    Includes changes in fair value, net interest settlements on derivatives, and amortization of the financing element of off-market derivatives.

3    Includes changes in fair value and amortization/accretion of basis adjustments on closed hedge relationships.

4    Interest income (expense) amounts include net interest settlements on derivatives and amortization of the financing element of off-market derivatives. Other income amounts

include changes in fair value.

5    Interest income (expense) amounts include amortization/accretion of basis adjustments on closed hedge relationships. Other income amounts include changes in fair value.

Derivative Instruments By Hedge Type in Statement of Financial Performance

The following table summarizes cumulative fair value hedging adjustments and the related amortized cost of the hedged items (dollars in millions):

	December 31, 2019
Line Item on Statements of Condition	Amortized Cost of Hedged Asset/ Liability1		Changes in Fair Value for Active Hedging Relationships Included in Amortized Cost		Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost			Cumulative Amount of Fair Value Hedging Adjustments
Advances	$	14,806	$	146	$	10		$	156
Available-for-sale securities	6,221		167		—			167
Consolidated obligation bonds	20,256		16		(15		)	1

1    Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.

Offsetting Assets

The following tables present the fair value of derivative instruments meeting or not meeting the netting requirements and the related collateral received from or pledged to counterparties (dollars in millions):

	December 31, 2019
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amounts of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	34	$	(28	)	$	—	$	6
Cleared derivatives	5		91			—		96
Total	$	39	$	63		$	—	$	102
Derivative Liabilities
Uncleared derivatives	$	199	$	(198	)	$	—	$	1
Cleared derivatives	3		(3		)	—		—
Total	$	202	$	(201	)	$	—	$	1

	December 31, 2018
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amounts of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	96	$	(96	)	$	1	$	1
Cleared derivatives	7		50			—		57
Total	$	103	$	(46	)	$	1	$	58
Derivative Liabilities
Uncleared derivatives	$	119	$	(110	)	$	—	$	9
Cleared derivatives	20		(20		)	—		—
Total	$	139	$	(130	)	$	—	$	9

1    Represents derivative assets and derivative liabilities prior to netting adjustments and cash collateral.

2     Represents mortgage loan purchase commitments not subject to enforceable netting requirements.