Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities [Text Block]

Derivatives and Hedging Activities

The following table summarizes the Bank’s notional amount, fair value of derivative instruments, and total derivative assets and liabilities (dollars in millions):

	March 31, 2026						December 31, 2025
	Notional Amount		Derivative Assets		Derivative  Liabilities		Notional Amount		Derivative Assets		Derivative  Liabilities
Derivatives designated as hedging instruments (fair value hedges)
Interest rate swaps	$	181,606	$	159	$	109	$	162,769	$	237	$	29
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	16,060		—		3		23,176		3		—
Forward settlement agreements	319		2		—		111		—		—
Mortgage loan purchase commitments	328		—		2		106		—		—
Total derivatives not designated as hedging instruments	16,707		2		5		23,393		3		—
Total derivatives before netting and collateral adjustments	$	198,313	161		114		$	186,162	240		29
Netting adjustments and cash collateral1			(154)		(45)				(160)		(26)
Total derivative assets and derivative liabilities			$	7	$	69			$	80	$	3

1     Amounts represent the application of the netting requirements that allow the Bank to net settle positive and negative positions and also cash collateral, including accrued interest, held or placed with the same clearing agent and/or counterparty. At March 31, 2026 and December 31, 2025, cash collateral, including accrued interest, posted by the Bank was $17 million and $3 million. At March 31, 2026 and December 31, 2025, the Bank held cash collateral, including accrued interest, from clearing agents or counterparties of $126 million and $137 million.

The following tables summarize the net gains (losses) on qualifying fair value hedging relationships and the amortization of basis adjustments on discontinued fair value hedging relationships recorded in net interest income, including the net interest settlements on derivatives, as well as total income (expense) by hedged product recorded on the Statements of Income (dollars in millions):

	For the Three Months Ended March 31, 2026
	Interest Income (Expense)
	Advances		AFS Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1	$	1,293	$	322	$	(888)	$	(914)
Gains (losses) on fair value hedging relationships
Interest rate contracts
Derivatives2	$	277	$	119	$	(15)	$	(67)
Hedged items3	(238)		(90)		25		77
Net gains (losses) on fair value hedging relationships	$	39	$	29	$	10	$	10

	For the Three Months Ended March 31, 2025
	Interest Income (Expense)
	Advances		AFS Securities		Consolidated Obligation Bonds
Total interest income (expense) recorded on the Statements of Income1	$	1,187	$	339	$	(1,057)
Gains (losses) on fair value hedging relationships
Interest rate contracts
Derivatives2	$	(341)	$	(334)	$	49
Hedged items3	461		384		(54)
Net gains (losses) on fair value hedging relationships	$	120	$	50	$	(5)

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 and net interest settlements on derivatives.    

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

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

	March 31, 2026
	Advances		AFS Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Amortized cost of hedged asset/ liability1	$	63,269	$	19,732	$	70,916	$	26,303
Fair value hedging adjustments
Changes in fair value for active hedging relationships included in amortized cost	$	(159)	$	(406)	$	(8)	$	(21)
Basis adjustments for discontinued hedging relationships included in amortized cost	(6)		(41)		—		—
Total amount of fair value hedging adjustments	$	(165)	$	(447)	$	(8)	$	(21)

	December 31, 2025
	Advances		AFS Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Amortized cost of hedged asset/ liability1	$	58,516	$	19,983	$	61,439	$	20,546
Fair value hedging adjustments
Changes in fair value for active hedging relationships included in amortized cost	$	82	$	(315)	$	17	$	56
Basis adjustments for discontinued hedging relationships included in amortized cost	(10)		(42)		—		—
Total amount of fair value hedging adjustments	$	72	$	(357)	$	17	$	56

1    Represents the portion of amortized cost designated as a hedged item in an active or discontinued fair value hedging relationship. Amortized cost includes fair value hedging adjustments.

The following table summarizes the components of “Net gains (losses) on derivatives” as presented on the Statements of Income (dollars in millions):

	For the Three Months Ended
	March 31,
	2026		2025
Derivatives not designated as hedging instruments (economic hedges)
Interest rate swaps	$	43	$	(53)
Forward settlement agreements	3		(2)
Mortgage loan purchase commitments	(3)		2
Net interest settlements	3		18
Net gains (losses) on derivatives	$	46	$	(35)

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, 2026
	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		Non-cash Collateral Not Offset - Can be Sold or Repledged		Net Amount3
Derivative Assets
Uncleared derivatives	$	159	$	(152)	$	—	$	7	$	—	$	7
Cleared derivatives	2		(2)		—		—		—		—
Total	$	161	$	(154)	$	—	$	7	$	—	$	7
Derivative Liabilities
Uncleared derivatives	$	47	$	(42)	$	2	$	7	$	—	$	7
Cleared derivatives	65		(3)		—		62		62		—
Total	$	112	$	(45)	$	2	$	69	$	62	$	7

	December 31, 2025
	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		Non-cash Collateral Not Offset - Can be Sold or Repledged		Net Amount3
Derivative Assets
Uncleared derivatives	$	159	$	(158)	$	—	$	1	$	—	$	1
Cleared derivatives	81		(2)		—		79		—		79
Total	$	240	$	(160)	$	—	$	80	$	—	$	80
Derivative Liabilities
Uncleared derivatives	$	27	$	(24)	$	—	$	3	$	—	$	3
Cleared derivatives	2		(2)		—		—		—		—
Total	$	29	$	(26)	$	—	$	3	$	—	$	3

1    Represents derivative assets and derivative liabilities prior to netting adjustments and cash collateral, including accrued interest.

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

3    Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2026 and December 31, 2025, the Bank had additional net credit exposure of $1.6 billion and $1.4 billion due to instances where the Bank’s non-cash collateral to a counterparty exceeded the Bank’s net derivative position.