XML 46 R36.htm IDEA: XBRL DOCUMENT v3.19.2
Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Derivative Instruments
The following table presents the notional amount, 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.
 
 
As of June 30, 2019
 
As of December 31, 2018
 
Notional
Amount of Derivatives    
 
Derivative Assets    
 
Derivative Liabilities    
 
Notional
Amount of Derivatives    
 
Derivative Assets    
 
Derivative Liabilities    
Derivatives in hedging relationships:
 
 
 
 
 
 
 
 
 
 
 
  Interest-rate swaps (1)
$
56,670

 
$
60

 
$
93

 
$
50,427

 
$
32

 
$
151

Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
  Interest-rate swaps (1)
604

 
5

 
2

 
1,008

 
3

 
11

  Interest-rate caps or floors
7,083

 
2

 
2

 
8,083

 
1

 
1

Total derivatives not designated as hedging instruments
7,687

 
7

 
4

 
9,091

 
4

 
12

Total derivatives before netting and collateral adjustments
$
64,357

 
67

 
97

 
$
59,518

 
36

 
163

Netting adjustments and cash collateral (2)
 
 
301

 
(88
)
 
 
 
278

 
(146
)
Derivative assets and derivative liabilities
 
 
$
368

 
$
9

 
 
 
$
314

 
$
17

___________
(1) Includes variation margin for daily settled contracts of $692 and $21 as of June 30, 2019 and December 31, 2018, respectively.
(2) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $411 and $433 as of June 30, 2019 and December 31, 2018, respectively. Cash collateral received and related accrued interest was $22 and $9 as of June 30, 2019 and December 31, 2018, respectively.
Net Gains (Losses) on Fair Value Hedging Relationships
The following tables present the net gains (losses) on fair value hedging relationships.
 
 
For the Three Months Ended June 30, 2019
 
For the Six Months Ended June 30, 2019
 
 
Interest Income (Expense)
 
Interest Income (Expense)
 
 
Advances
 
Consolidated Obligation Bonds
 
Advances
 
Consolidated Obligation Bonds
Total interest income (expense) recorded in the Statements of Income
 
$
659

 
$
(450
)
 
$
1,315

 
$
(916
)
Changes in fair value:
 
 
 
 
 
 
 
 
Hedged items
 
$
483

 
$
(80
)
 
$
758

 
$
(169
)
Derivatives
 
(487
)
 
79

 
(758
)
 
164

Net changes in fair value
 
(4
)
 
(1
)
 
—

 
(5
)
Net interest settlements on derivatives (1) (2)
 
13

 
(12
)
 
33

 
(30
)
Amortization/accretion of active hedging relationships
 
(6
)
 
—

 
(12
)
 
—

Other
 
1

 
—

 
1

 
—

Total net interest income effect from fair value hedging relationships
 
$
4

 
$
(13
)
 
$
22

 
$
(35
)
____________
(1) 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.
(2) Excludes the interest income/expense of the respective hedged items.

 
 
For the Three Months Ended June 30, 2018 (1)
 
For the Six Months Ended June 30, 2018 (1)
 
 
Interest Income (Expense)
 
Noninterest Income
 
Interest Income (Expense)
 
Noninterest Income
 
 
Advances
 
Consolidated Obligation Bonds
 
Consolidated Obligation Discount Notes
 
Net gains (losses) on derivatives and hedging activities
 
Advances
 
Consolidated Obligation Bonds
 
Consolidated Obligation Discount Notes
 
Net gains (losses) on derivatives and hedging activities
Interest-rate contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Derivatives
 
$
(1
)
 
$
(15
)
 
$
(1
)
 
$
89

 
$
(34
)
 
$
(11
)
 
$
(2
)
 
$
295

    Hedged items (2)
 
—

 
—

 
—

 
(74
)
 
—

 
—

 
—

 
(261
)
Net (losses) gains on fair value hedging relationships
 
$
(1
)
 
$
(15
)
 
$
(1
)
 
$
15

 
$
(34
)
 
$
(11
)
 
$
(2
)
 
$
34

___________
(1) Prior period amounts were not conformed to new hedge accounting guidance adopted January 1, 2019.
(2) Prior period amounts do not include amortization on the hedged items.
Cumulative Basis Adjustments for Fair Value Hedges

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related
amortized cost of the hedged items.

 
 
As of June 30, 2019
Line Item in Statement of Conditions of Hedged Item
 
Amortized Cost of Hedged Asset or 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
 
$
31,457

 
$
801

 
$
14

 
$
815

Consolidated obligations:
 
 
 
 
 
 
 
 
Bonds
 
25,139

 
29

 
(1
)
 
28

___________
(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]
The following table presents net losses (gains) related to derivatives and hedging activities recorded in noninterest income on the Statements of Income. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in noninterest income (loss) for periods prior to January 1, 2019.
 
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
 
2019
 
2018
 
2019
 
2018
Derivatives and hedged items in fair value hedging relationships:
 
 
 
 
 
 
 
 
  Interest-rate swaps
 
N/A (1)
 
$
15

 
N/A (1)
 
$
34

Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
  Interest-rate swaps
 
$
(3
)
 
1

 
$
(4
)
 
4

  Interest-rate caps or floors
 
1

 
(1
)
 
—

 
—

  Net interest settlements
 
—

 
—

 
—

 
(1
)
Total net (losses) gains related to derivatives not designated as hedging instruments
 
(2
)
 
—

 
(4
)
 
3

Price alignment amount (2)
 
—

 
(1
)
 
—

 
(1
)
Net (losses) gains on derivatives and hedging activities
 
$
(2
)
 
$
14

 
$
(4
)
 
$
36


__________
(1) Not applicable due to new hedge accounting guidance adopted January 1, 2019.
(2) This amount is for derivatives for which variation margin is characterized as daily settled contract.
Offsetting Assets [Table Text Block]
The following table presents the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

 
As of June 30, 2019
 
As of December 31, 2018
 
Derivative Assets
 
Derivative Liabilities
 
Derivative Assets
 
Derivative Liabilities
Gross recognized amount:
 
 
 
 
 
 
 
     Uncleared derivatives
$
56

 
$
95

 
$
35

 
$
128

     Cleared derivatives
11

 
2

 
1

 
35

Total gross recognized amount
67

 
97

 
36

 
163

Gross amounts of netting adjustments and cash collateral:
 
 
 
 
 
 
 
     Uncleared derivatives
(49
)
 
(86
)
 
(33
)
 
(111
)
     Cleared derivatives
350

 
(2
)
 
311

 
(35
)
Total gross amounts of netting adjustments and cash collateral
301

 
(88
)
 
278

 
(146
)
Net amounts after netting adjustments and cash collateral:
 
 
 
 
 
 
 
     Uncleared derivatives
7

 
9

 
2

 
17

     Cleared derivatives
361

 
—

 
312

 
—

Total net amounts after netting adjustments and cash collateral
368

 
9

 
314

 
17

Non-cash collateral received or pledged not offset-cannot be sold or repledged: (1)
 
 
 
 
 
 
 
     Uncleared derivatives
4

 
—

 
—

 
—

     Cleared derivatives
—

 
—

 
—

 
—

Total cannot be sold or repledged (1)
4

 
—

 
—

 
—

Net unsecured amounts: (1)
 
 
 
 
 
 
 
    Uncleared derivatives
3

 
9

 
2

 
17

    Cleared derivatives
361

 
—

 
312

 
—

Total net unsecured amount (1)
$
364

 
$
9

 
$
314

 
$
17

____________ 
(1) The Bank had net credit exposure of $2 as of June 30, 2019 and December 31, 2018, due to instances where the Bank’s pledged collateral to a counterparty exceeded the Bank’s net derivative liability position.