XML 12 R28.htm IDEA: XBRL DOCUMENT v3.20.1
Derivatives and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Derivative Instruments [Table Text Block]

Table 7.1 - Fair Value of Derivative Instruments
(dollars in thousands)

 
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
$
12,808,610

 
$
30,660

 
$
(48,635
)
 
$
12,128,105

 
$
14,734

 
$
(12,805
)
Forward-start interest-rate swaps
17,000

 
24

 
—

 
17,000

 
19

 
—

Total derivatives designated as hedging instruments
12,825,610

 
30,684

 
(48,635
)
 
12,145,105

 
14,753

 
(12,805
)
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
Economic hedges:
 
 
 
 
 
 
 
 
 
 
 
Interest-rate swaps
4,142,300

 
28

 
(55,319
)
 
2,902,300

 
349

 
(31,000
)
Mortgage-delivery commitments (1)
98,765

 
147

 
(695
)
 
49,911

 
227

 
—

Total derivatives not designated as hedging instruments
4,241,065

 
175

 
(56,014
)
 
2,952,211

 
576

 
(31,000
)
Total notional amount of derivatives
$
17,066,675

 
 

 
 

 
$
15,097,316

 
 

 
 

Total derivatives before netting and collateral adjustments
 

 
30,859

 
(104,649
)
 
 
 
15,329

 
(43,805
)
Netting adjustments and cash collateral, including related accrued interest (2)
 

 
196,861

 
80,245

 
 
 
144,402

 
33,534

Derivative assets and derivative liabilities
 

 
$
227,720

 
$
(24,404
)
 
 
 
$
159,731

 
$
(10,271
)
_______________________
(1)
Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income.
(2)
Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $278.3 million and $178.5 million at March 31, 2020, and December 31, 2019, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $1.2 million and $561 thousand at March 31, 2020, and December 31, 2019.
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block]
Tables 7.2 presents the net gains (losses) on qualifying fair-value and cash flow hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements.

Table 7.2 - Net Gains (Losses) on Hedging Relationships
(dollars in thousands)

 
 
For the Three Months Ended March 31, 2020
 
 
Advances
 
Available-for-sale Securities
 
CO Bonds
Total interest income (expense) in the statements of operations
 
$
168,659

 
$
12,361

 
$
(123,547
)
 
 
 
 
 
 
 
Gains (losses) on hedging relationships
 
 
 
 
 
 
Changes in fair value:
 
 
 
 
 
 
Derivatives
 
$
(127,568
)
 
$
(376,494
)
 
$
63,735

Hedged items
 
124,692

 
366,518

 
(64,058
)
Net changes in fair value before price alignment interest
 
(2,876
)
 
(9,976
)
 
(323
)
Price alignment interest(1)
 
389

 
1,035

 
(177
)
Net interest settlements on derivatives(2)(3)
 
(2,625
)
 
(9,098
)
 
2,956

Net (losses) gains on qualifying hedging relationships
 
(5,112
)
 
(18,039
)
 
2,456

Amortization/accretion of discontinued hedging relationships
 
(337
)
 
—

 
(888
)
Net (losses) gains on derivatives and hedging activities recorded in net interest income
 
$
(5,449
)
 
$
(18,039
)
 
$
1,568

 
 
For the Three Months Ended March 31, 2019
 
 
Advances
 
Available-for-sale Securities
 
CO Bonds
Total interest income (expense) in the statements of operations
 
$
247,877

 
$
21,291

 
$
(154,817
)
 
 
 
 
 
 
 
Gains (losses) on hedging relationships
 
 
 
 
 
 
Changes in fair value:
 
 
 
 
 
 
Derivatives
 
$
(24,897
)
 
$
(23,197
)
 
$
33,636

Hedged items
 
25,672

 
19,115

 
(34,633
)
Net changes in fair value before price alignment interest
 
775

 
(4,082
)
 
(997
)
Price alignment interest(1)
 
286

 
8

 
5

Net interest settlements on derivatives(2)(3)
 
16,251

 
(5,791
)
 
(9,080
)
Net gains (losses) on qualifying hedging relationships
 
17,312

 
(9,865
)
 
(10,072
)
Amortization/accretion of discontinued hedging relationships
 
(444
)
 
—

 
(75
)
Net gains (losses) on derivatives and hedging activities recorded in net interest income
 
$
16,868

 
$
(9,865
)
 
$
(10,147
)

_______________________
(1)
Relates to derivatives for which variation margin payments are characterized as daily settled contracts.
(2)
Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.
(3)
Excludes the interest income/expense of the respective hedged items recorded in net interest income.

Tables 7.3 presents the net gains (losses) on qualifying cash flow hedging relationships.



Table 7.3 - Net Gains (Losses) on Cash Flow Hedging Relationships
(dollars in thousands)

 
 
For the Three Months Ended March 31,
 
 
2020
 
2019
Forward-start interest rate swaps - CO Bonds
 
 
 
 
Losses reclassified from accumulated other comprehensive loss into interest expense
 
$
(1,757
)
 
$
(786
)
Losses recognized in other comprehensive income
 
(1,125
)
 
(3,379
)
Gains (Losses) By Type of Hedged Item [Table Text Block]
Table 7.4 - Cumulative Basis Adjustments for Fair-Value Hedges
(dollars in thousands)

 
 
March 31, 2020
Line Item in Statement of Condition of Hedged Item
 
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
 
$
6,241,203

 
$
187,480

 
$
10,505

 
$
197,985

Available-for-sale securities
 
4,419,656

 
595,088

 
—

 
595,088

Consolidated bonds
 
3,130,935

 
59,218

 
41,687

 
100,905

_______________________
(1)
Includes only the portion of amortized cost representing the hedged items in fair-value hedging relationships.
Derivatives Not Designated as Hedging Instruments [Table Text Block]
Table 7.5 - Net Gains and Losses on Derivatives not Designated as Hedging Instruments
(dollars in thousands)

 
 
For the Three Months Ended March 31,
 
 
2020
 
2019
Interest-rate swaps
 
$
(52,569
)
 
$
(60
)
Mortgage-delivery commitments
 
(62
)
 
608

Price alignment interest(1)
 
73

 
—

 
 
 
 
 
Net (losses) gains on derivatives not designated as hedging instruments
 
$
(52,558
)
 
$
548

______________________
(1)
Relates to derivatives for which variation margin payments are characterized as daily settled contracts.
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] Table 7.6 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at March 31, 2020.

Table 7.6 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2020
(dollars in thousands)

Ratings Downgrade (1)
 
 
 
From
 
To
 
Incremental Collateral
 
AA+
 
AA or AA-
 
$
579

 
AA-
 
A+, A or A-
 
—

 
A-
 
below A-
 
7,513

 
_______________________
(1)
Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used.
Offsetting Assets [Table Text Block]
Table 7.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2020, and December 31, 2019, and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties.

Table 7.7 - Netting of Derivative Assets and Derivative Liabilities
(dollars in thousands)

 
March 31, 2020
 
Derivative Instruments Meeting Netting Requirements
 
 
 
 
 
Non-cash Collateral (Received) or Pledged Not Offset(2)
 
 
 
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
 
Mortgage Delivery Commitments
 
Total Derivative Assets and Total Derivative Liabilities
 
Can Be Sold or Repledged
Cannot Be Sold or Repledged
 
Net Amount
Derivative Assets
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
13,187

$
(13,187
)
 
$
147

 
$
147

 
$
—

$
—

 
$
147

Cleared
17,526

210,047

 
 
 
227,573

 
—

—

 
227,573

Total
 
 
 
 
 
$
227,720

 
 
 
 
$
227,720

 
 
 
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
(100,449
)
$
76,740

 
$
(695
)
 
$
(24,404
)
 
$
—

$
21,442

 
$
(2,962
)
Cleared
(3,506
)
3,506

 
 
 
—

 
—

—

 
—

Total
 
 
 
 
 
$
(24,404
)
 
 
 
 
$
(2,962
)
_______________________
(1)
Includes gross amounts of netting adjustments and cash collateral.
(2)
Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2020, we had additional net credit exposure of $158 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.

 
December 31, 2019
 
Derivative Instruments Meeting Netting Requirements
 
 
 
 
 
Non-cash Collateral (Received) or Pledged Not Offset(2)
 
 
 
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
 
Mortgage Delivery Commitments
 
Total Derivative Assets and Total Derivative Liabilities
 
Can Be Sold or Repledged
Cannot Be Sold or Repledged
 
Net Amount
Derivative Assets
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
4,950

$
(3,519
)
 
$
227

 
$
1,658

 
$
(995
)
$
—

 
$
663

Cleared
10,152

147,921

 
 
 
158,073

 
—

—

 
158,073

Total
 
 
 
 
 
$
159,731

 
 
 
 
$
158,736

 
 
 
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
(42,199
)
$
31,928

 
$
—

 
$
(10,271
)
 
$
82

$
9,333

 
$
(856
)
Cleared
(1,606
)
1,606

 
 
 
—

 
—

—

 
—

Total
 
 
 
 
 
$
(10,271
)
 
 
 
 
$
(856
)
_______________________
(1)
Includes gross amounts of netting adjustments and cash collateral.
(2)
Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2019, we had additional net credit exposure of $300 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.
Offsetting Liabilities [Table Text Block]
Table 7.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2020, and December 31, 2019, and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties.

Table 7.7 - Netting of Derivative Assets and Derivative Liabilities
(dollars in thousands)

 
March 31, 2020
 
Derivative Instruments Meeting Netting Requirements
 
 
 
 
 
Non-cash Collateral (Received) or Pledged Not Offset(2)
 
 
 
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
 
Mortgage Delivery Commitments
 
Total Derivative Assets and Total Derivative Liabilities
 
Can Be Sold or Repledged
Cannot Be Sold or Repledged
 
Net Amount
Derivative Assets
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
13,187

$
(13,187
)
 
$
147

 
$
147

 
$
—

$
—

 
$
147

Cleared
17,526

210,047

 
 
 
227,573

 
—

—

 
227,573

Total
 
 
 
 
 
$
227,720

 
 
 
 
$
227,720

 
 
 
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
(100,449
)
$
76,740

 
$
(695
)
 
$
(24,404
)
 
$
—

$
21,442

 
$
(2,962
)
Cleared
(3,506
)
3,506

 
 
 
—

 
—

—

 
—

Total
 
 
 
 
 
$
(24,404
)
 
 
 
 
$
(2,962
)
_______________________
(1)
Includes gross amounts of netting adjustments and cash collateral.
(2)
Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2020, we had additional net credit exposure of $158 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.

 
December 31, 2019
 
Derivative Instruments Meeting Netting Requirements
 
 
 
 
 
Non-cash Collateral (Received) or Pledged Not Offset(2)
 
 
 
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
 
Mortgage Delivery Commitments
 
Total Derivative Assets and Total Derivative Liabilities
 
Can Be Sold or Repledged
Cannot Be Sold or Repledged
 
Net Amount
Derivative Assets
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
4,950

$
(3,519
)
 
$
227

 
$
1,658

 
$
(995
)
$
—

 
$
663

Cleared
10,152

147,921

 
 
 
158,073

 
—

—

 
158,073

Total
 
 
 
 
 
$
159,731

 
 
 
 
$
158,736

 
 
 
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
 
 
Uncleared
$
(42,199
)
$
31,928

 
$
—

 
$
(10,271
)
 
$
82

$
9,333

 
$
(856
)
Cleared
(1,606
)
1,606

 
 
 
—

 
—

—

 
—

Total
 
 
 
 
 
$
(10,271
)
 
 
 
 
$
(856
)
_______________________
(1)
Includes gross amounts of netting adjustments and cash collateral.
(2)
Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2019, we had additional net credit exposure of $300 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.