Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Assets [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):

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	49	$	(43	)	$	4	$	10
Cleared derivatives	18		205			—		223
Total	$	67	$	162		$	4	$	233
Derivative Liabilities
Uncleared derivatives	$	447	$	(438	)	$	—	$	9
Cleared derivatives	9		(9		)	—		—
Total	$	456	$	(447	)	$	—	$	9

	December 31, 2019
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amount 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

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

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

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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):

	March 31, 2020							December 31, 2019
	Notional Amount		Derivative Assets		Derivative  Liabilities			Notional Amount		Derivative Assets		Derivative  Liabilities
Derivatives designated as hedging instruments (fair value hedges)
Interest rate swaps	$	37,610	$	55	$	360		$	37,684	$	31	$	159
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	1,858		12		89			1,038		8		43
Forward settlement agreements (TBAs)	342		—		7			122		—		—
Mortgage loan purchase commitments	348		4		—			127		—		—
Total derivatives not designated as hedging instruments	2,548		16		96			1,287		8		43
Total derivatives before netting and collateral adjustments	$	40,158	71		456			$	38,971	39		202
Netting adjustments and cash collateral1			162		(447		)			63		(201		)
Total derivative assets and derivative liabilities			$	233	$	9				$	102	$	1

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 March 31, 2020 and December 31, 2019, cash collateral posted by the Bank and related accrued interest was $609 million and $264 million. At both March 31, 2020 and December 31, 2019, the Bank did not hold any cash collateral or related accrued interest from clearing agents or counterparties.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

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 the Three Months Ended
	March 31,
	2020			2019
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	$	(45	)	(12		)
Forward settlement agreements (TBAs)	(8		)	(1		)
Mortgage loan purchase commitments	7			1
Net interest settlements	(2		)	—
Net gains (losses) on derivatives and hedging activities	$	(48	)	$	(12	)

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

	For the Three Months Ended March 31, 2020
	Interest Income (Expense)
	Advances			Available-for-Sale Securities			Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1	$	399		$	75		$	(410	)
Net interest income effect from fair value hedging relationships
Interest rate contracts
Derivatives2	$	(435	)	$	(316	)	$	237
Hedged items3	423			290			(233		)
Total net interest income effect from fair value hedging relationships	$	(12	)	$	(26	)	$	4

	For the Three Months Ended March 31, 2019
	Interest Income (Expense)
	Advances			Available-for-Sale Securities			Consolidated Obligation Bonds
Total income (expense) recorded on the Statements of Income1	$	715		$	143		$	(595	)
Net income effect from fair value hedging relationships
Interest rate contracts
Derivatives2	$	(78	)	$	(81	)	$	67
Hedged items3	103			86			(135		)
Total net income effect from fair value hedging relationships	$	25		$	5		$	(68	)

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. Interest income (expense) amounts also include gains and losses on derivatives and hedged items in fair value hedging relationships.

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.

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

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

	March 31, 2020
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	$	18,330	$	557	$	22		$	579
Available-for-sale securities	6,539		458		—			458
Consolidated obligation bonds	16,339		247		(13		)	234

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

Offsetting Assets and 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):

	March 31, 2020
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amount of Netting Adjustments and Cash Collateral			Derivative Instruments Not Meeting Netting Requirements2		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets
Uncleared derivatives	$	49	$	(43	)	$	4	$	10
Cleared derivatives	18		205			—		223
Total	$	67	$	162		$	4	$	233
Derivative Liabilities
Uncleared derivatives	$	447	$	(438	)	$	—	$	9
Cleared derivatives	9		(9		)	—		—
Total	$	456	$	(447	)	$	—	$	9

	December 31, 2019
	Derivative Instruments Meeting Netting Requirements
	Gross Amount Recognized1		Gross Amount 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

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

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