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Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value The following tables summarize the notional amount and fair value of derivative instruments and total derivatives 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.
 September 30, 2020
(in thousands)Notional Amount of DerivativesDerivative AssetsDerivative Liabilities
Derivatives designated as hedging instruments:   
Interest rate swaps
$19,000,868 $5,978 $3,124 
Derivatives not designated as hedging instruments:   
Interest rate swaps
$1,926,488 $430 $2,102 
Interest rate caps or floors
1,205,000 995 — 
Mortgage delivery commitments
68,027 49 103 
Total derivatives not designated as hedging instruments:$3,199,515 $1,474 $2,205 
Total derivatives before netting and collateral adjustments$22,200,383 $7,452 $5,329 
Netting adjustments and cash collateral (1)
 153,534 (3,578)
Derivative assets and derivative liabilities as reported on the Statement of
  Condition		 $160,986 $1,751 
 December 31, 2019
(in thousands)Notional Amount of DerivativesDerivative AssetsDerivative Liabilities
Derivatives designated as hedging instruments:   
Interest rate swaps
$34,572,128 $14,079 $4,148 
Derivatives not designated as hedging instruments:   
Interest rate swaps
$10,413,906 $1,676 $4,642 
Interest rate caps or floors
1,330,000 417 — 
Mortgage delivery commitments
73,574 29 79 
Total derivatives not designated as hedging instruments:$11,817,480 $2,122 $4,721 
Total derivatives before netting and collateral adjustments$46,389,608 $16,201 $8,869 
Netting adjustments and cash collateral (1)
 124,050 (5,845)
Derivative assets and derivative liabilities as reported on the Statement of
  Condition		 $140,251 $3,024 
Note:
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $160.0 million and $138.1 million at September 30, 2020 and December 31, 2019, respectively. Cash collateral received was $2.9 million for September 30, 2020 and $8.2 million for December 31, 2019.
Derivative Instruments, Gain (Loss)
The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.
(in thousands)Gains/(Losses) on DerivativeGains/ (Losses) on Hedged Item Net Interest SettlementsEffect of Derivatives on Net Interest IncomeTotal Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2020  
Hedged item type:  
Advances
$124,582 $(124,569)$(69,603)$(69,590)$95,201 
AFS securities
9,402 (8,918)(7,070)(6,586)31,996 
Mortgage loans held for portfolio
— (1,035)— (1,035)35,932 
Consolidated obligations – bonds
(21,443)21,693 21,635 21,885 (80,579)
Total$112,541 $(112,829)$(55,038)$(55,326)
Nine months ended September 30, 2020 
Hedged item type:
Advances
$(188,539)$188,424 $(136,712)$(136,827)$548,953 
AFS securities
(103,292)100,135 (13,734)(16,891)138,565 
Mortgage loans held for portfolio
— (2,118)— (2,118)121,561 
Consolidated obligations – bonds
4,938 (4,287)54,393 55,044 (462,006)
Total$(286,893)$282,154 $(96,053)$(100,792)
(in thousands)Gains/(Losses) on DerivativeGains/ (Losses) on Hedged Item Net Interest SettlementsEffect of Derivatives on Net Interest IncomeTotal Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2019
Hedged item type:
Advances
$(34,790)$34,652 $8,521 $8,383 $478,477 
AFS securities
(30,639)29,136 2,918 1,415 71,884 
Mortgage loans held for portfolio
— (755)— (755)42,452 
Consolidated obligations – bonds
15,163 (15,402)(12,098)(12,337)(413,901)
Total$(50,266)$47,631 $(659)$(3,294)
Nine months ended September 30, 2019
Hedged item type:
Advances
$(347,838)$347,605 $51,693 $51,460 $1,508,189 
AFS securities
(102,668)98,539 1,534 (2,595)201,198 
Mortgage loans held for portfolio
— (2,320)— (2,320)126,922 
Consolidated obligations – bonds
162,570 (164,114)(63,985)(65,529)(1,259,974)
$(287,936)$279,710 $(10,758)$(18,984)
The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.
 Three months ended September 30,Nine months ended September 30,
(in thousands)2020201920202019
Derivatives not designated as hedging instruments:  
Economic hedges:  
Interest rate swaps
$4,588 $(15,873)$(92,864)$(49,797)
Interest rate caps or floors
(57)(1,129)578 (1,933)
Net interest settlements
(1,726)(676)(8,891)(3,642)
       To Be Announced (TBA)— (21)38 (21)
Mortgage delivery commitments772 (11)3,138 17 
Other(1)10 148 25 
Total net gains (losses) related to derivatives not designated as hedging instruments
$3,576 $(17,700)$(97,853)$(55,351)
Other - price alignment amount on cleared derivatives (1)
13 303 168 150 
Net gains (losses) on derivatives and hedging activities
$3,589 $(17,397)$(97,685)$(55,201)
Notes:
(1) This amount is for derivatives for which variation margin is characterized as a settled to market.
Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance
The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.
(in thousands)September 30, 2020
Hedged item type
Carrying Amount of Hedged Assets/Liabilities (1)
Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/LiabilitiesFair Value Hedging Adjustments for Discontinued Hedging RelationshipsCumulative Amount of Fair Value Hedging Adjustments
Advances$12,964,844 $361,223 $(25)$361,198 
AFS securities1,509,667 149,180 1,182 150,362 
Consolidated obligations – bonds5,060,725 37,015 318 37,333 
(in thousands)December 31, 2019
Hedged item type
Carrying Amount of Hedged Assets/Liabilities (1)
Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/LiabilitiesFair Value Hedging Adjustments for Discontinued Hedging RelationshipsCumulative Amount of Fair Value Hedging Adjustments
Advances$16,724,094 $172,779 $(9)$172,770 
AFS securities1,391,938 48,946 1,281 50,227 
Consolidated obligations – bonds16,715,492 32,886 160 33,046 
Note:
(1) Includes carrying value of hedged items in current fair value hedging relationships.
Offsetting Assets Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.
    The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.
Derivative Assets
(in thousands)September 30, 2020December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
        Uncleared derivatives$4,306 $8,743 
      Cleared derivatives3,097 7,429 
 Total gross recognized amount
7,403 16,172 
Gross amounts of netting adjustments and cash collateral
        Uncleared derivatives(3,793)(7,631)
      Cleared derivatives157,327 131,681 
Total gross amounts of netting adjustments and cash collateral
153,534 124,050 
Net amounts after netting adjustments and cash collateral
        Uncleared derivatives513 1,112 
      Cleared derivatives160,424 139,110 
Total net amounts after netting adjustments and cash collateral
160,937 140,222 
 Derivative instruments not meeting netting requirements: (1)
     Uncleared derivatives49 29 
     Cleared derivatives— — 
     Total derivative instruments not meeting netting requirements:49 29 
Total derivative assets:
       Uncleared derivatives562 1,141 
     Cleared derivatives160,424 139,110 
Total derivative assets as reported in the Statement of Condition160,986 140,251 
Net unsecured amount:
       Uncleared derivatives562 1,141 
       Cleared derivatives160,424 139,110 
Total net unsecured amount$160,986 $140,251 
Derivative Liabilities
(in thousands)September 30, 2020December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
        Uncleared derivatives$4,778 $7,135 
      Cleared derivatives448 1,655 
     Total gross recognized amount5,226 8,790 
Gross amounts of netting adjustments and cash collateral
        Uncleared derivatives(3,130)(4,190)
      Cleared derivatives(448)(1,655)
Total gross amounts of netting adjustments and cash collateral
(3,578)(5,845)
Net amounts after netting adjustments and cash collateral
        Uncleared derivatives1,648 2,945 
      Cleared derivatives— — 
Total net amounts after netting adjustments and cash collateral
1,648 2,945 
 Derivative instruments not meeting netting requirements: (1)
        Uncleared derivatives103 79 
      Cleared derivatives— — 
     Total derivative instruments not meeting netting requirements:103 79 
Total derivative liabilities
        Uncleared derivatives1,751 3,024 
      Cleared derivatives— — 
Total derivative liabilities as reported in the Statement of Condition1,751 3,024 
Net unsecured amount:
        Uncleared derivatives1,751 3,024 
      Cleared derivatives— — 
Total net unsecured amount$1,751 $3,024 
Note:
(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
Offsetting Liabilities
Derivative Liabilities
(in thousands)September 30, 2020December 31, 2019
Derivative instruments meeting netting requirements:
Gross recognized amount:
        Uncleared derivatives$4,778 $7,135 
      Cleared derivatives448 1,655 
     Total gross recognized amount5,226 8,790 
Gross amounts of netting adjustments and cash collateral
        Uncleared derivatives(3,130)(4,190)
      Cleared derivatives(448)(1,655)
Total gross amounts of netting adjustments and cash collateral
(3,578)(5,845)
Net amounts after netting adjustments and cash collateral
        Uncleared derivatives1,648 2,945 
      Cleared derivatives— — 
Total net amounts after netting adjustments and cash collateral
1,648 2,945 
 Derivative instruments not meeting netting requirements: (1)
        Uncleared derivatives103 79 
      Cleared derivatives— — 
     Total derivative instruments not meeting netting requirements:103 79 
Total derivative liabilities
        Uncleared derivatives1,751 3,024 
      Cleared derivatives— — 
Total derivative liabilities as reported in the Statement of Condition1,751 3,024 
Net unsecured amount:
        Uncleared derivatives1,751 3,024 
      Cleared derivatives— — 
Total net unsecured amount$1,751 $3,024 
Note:
(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).