| Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Policies in our 2021 Form 10-K for our accounting policies for derivatives. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. We are not a derivatives dealer and do not trade derivatives for speculative purposes. We enter into derivative transactions through either of the following: • A bilateral agreement with an individual counterparty for over-the-counter derivative transactions. • Clearinghouses classified as Derivatives Clearing Organizations (DCOs) through Futures Commission Merchants (FCMs), which are clearing members of the DCOs, for cleared derivative transactions. Managing Interest Rate Risk We use fair value hedges to manage our exposure to changes in the fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment, attributable to changes in a benchmark interest rate, such as SOFR. Our cash flow hedge strategy is to hedge the variability in the total proceeds received from rolling forecasted zero-coupon discount note issuance, attributable to changes in the benchmark interest rate, by entering into pay-fixed interest rate swaps. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. We may also use economic hedges when hedge accounting is not permitted or hedge effectiveness is not achievable. Managing Credit Risk on Derivative Agreements Over-the-counter (bilateral) Derivative Transactions : We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements, collateral requirements and other credit enhancements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all over-the-counter derivatives. Additionally, collateral related to over-the-counter derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and which may be held by the member institution for our benefit. As of June 30, 2022, based on credit analyses and collateral requirements, we have not recorded a credit loss on our over-the-counter derivative agreements. See Note 15 - Fair Value in our 2021 Form 10-K for discussion regarding our fair value methodology for over-the-counter derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For nearly all of our bilateral derivative transactions executed prior to March 1, 2017, and for all transactions entered into on or after March 1, 2017, our bilateral derivative agreements are fully collateralized with a zero unsecured threshold in accordance with variation margin requirements issued by the U.S. federal bank regulatory agencies and the Commodity Futures Trading Commission (CFTC). We pledged no investment securities on our bilateral derivative transactions (that can be sold or repledged by our counterparty) as of June 30, 2022. For certain transactions executed prior to March 1, 2017, we may be required to post net additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating had been lowered from its current rating to the next lower rating by a major credit rating agency, such as Standard and Poor's or Moody’s, the amount of collateral we would have been required to deliver would have been immaterial at June 30, 2022. Cleared Derivative Transactions : Cleared derivative transactions are subject to variation and initial margin requirements established by the DCO and its clearing members. Variation margin payments are characterized as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure. See Note 1 - Background and Basis of Presentation and Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2021 Form 10-K for further discussion. We post our initial margin collateral payments and make variation margin settlement payments through our FCMs, on behalf of the DCO, which could expose us to institutional credit risk in the event that the FCMs or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and variation margin settlement payments are made daily through the FCMs for changes in the value of cleared derivatives. The DCO determines initial margin requirements for cleared derivatives. We pledged $616 million of investment securities (that can be sold or repledged) as part of our initial margin related to cleared derivative transactions at June 30, 2022. Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at June 30, 2022. The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our Condensed Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. As of June 30, 2022 December 31, 2021 Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 79,172 $ 677 $ 2,030 $ 70,321 $ 58 $ 466 Derivatives not in hedge accounting relationships- Interest rate contracts 4,711 12 31 2,772 10 59 Mortgage delivery commitments 390 1 1 625 2 2 Other 128 1 — 148 — — Derivatives not in hedge accounting relationships 5,229 14 32 3,545 12 61 Gross derivative amount before netting adjustments and cash collateral $ 84,401 691 2,062 $ 73,866 70 527 Netting adjustments and cash collateral (564) (1,910) (56) (495) Derivatives on Condensed Statements of Condition $ 127 $ 152 $ 14 $ 32 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 1,601 $ 447 Cash collateral received and related accrued interest 256 8 The following table presents the noninterest income - derivatives and economic hedging activities as presented in the Condensed Statements of Income . Three months ended June 30, Six months ended June 30, For the periods ending 2022 2021 2022 2021 Economic hedges - Interest rate contracts $ 15 $ (11) $ 42 $ 16 Mortgage delivery commitments (3) 1 (8) (12) Other 6 (3) 13 3 Economic hedges 18 (13) 47 7 Variation margin on daily settled cleared derivatives (1) — (1) — Noninterest income - Derivatives and hedging activities $ 17 $ (13) $ 46 $ 7 The following tables present details regarding the offsetting of our cleared and bilateral derivatives on our Condensed Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. Derivative Assets As of June 30, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 632 $ 58 $ 690 $ 61 $ 7 $ 68 Netting adjustments and cash collateral (506) (58) (564) (49) (7) (56) Derivatives with legal right of offset - net 126 — 126 12 — 12 Derivatives without legal right of offset 1 — 1 2 — 2 Derivatives on Condensed Statements of Condition 127 — 127 14 — 14 Net amount $ 127 $ — $ 127 $ 14 $ — $ 14 Derivative Liabilities As of June 30, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 1,876 $ 185 $ 2,061 $ 495 $ 30 $ 525 Netting adjustments and cash collateral (1,852) (58) (1,910) (487) (8) (495) Derivatives with legal right of offset - net 24 127 151 8 22 30 Derivatives without legal right of offset 1 — 1 2 — 2 Derivatives on Condensed Statements of Condition 25 127 152 10 22 32 Less: Noncash collateral received or pledged and cannot be sold or repledged — 127 127 — 22 22 Net amount $ 25 $ — $ 25 $ 10 $ — $ 10 At June 30, 2022 and December 31, 2021, we had $489 million and $622 million of additional credit exposure due to pledging of noncash collateral to our counterparties, which exceeded our net derivative position for combined cleared and bilateral derivatives. Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans. As of June 30, 2022 we did not have any active fair value hedges on our MPF Loans. Three months ended June 30, 2022 Three months ended June 30, 2021 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ 597 $ (644) $ (47) $ (354) $ 310 $ (44) Advances 325 (316) 9 (124) 77 (47) Consolidated obligation bonds (543) 595 52 135 (76) 59 Total $ 379 $ (365) $ 14 $ (343) $ 311 $ (32) Six months ended June 30, 2022 Six months ended June 30, 2021 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ 1,472 $ (1,611) $ (139) $ 381 $ (521) $ (140) Advances 978 (990) (12) 212 (298) (86) Consolidated obligation bonds (1,818) 1,967 149 (70) 176 106 Other — — — — (1) (1) Total $ 632 $ (634) $ (2) $ 523 $ (644) $ (121) 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, 2022 Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments Available-for-sale securities $ 14,270 $ (1,247) $ 392 $ (855) Advances 15,847 (765) 2 (763) Consolidated obligation bonds 44,446 (2,162) (14) (2,176) Other 233 — 5 5 As of December 31, 2021 Available-for-sale securities $ 14,412 $ 335 $ 421 $ 756 Advances 19,720 225 2 227 Consolidated obligation bonds 36,335 (192) (16) (208) Other 265 — 6 6 Cash Flow Hedges For cash flow hedges the entire change in the fair value of the hedging instrument is recorded in AOCI and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether hedge accounting is qualified. We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate. As a result, we enter into cash flow hedge relationships utilizing derivative agreements to hedge the total net proceeds received from our "rolling" forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate. The maximum length of time over which we are hedging this exposure is 8 years. We reclassify amounts in AOCI into our Condensed Statements of Income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued cash flow hedges for the periods presented. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were immaterial as of June 30, 2022. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our Condensed Statements of Income . In this regard, the Amount Reclassified from AOCI into Net Interest Income column below includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type. Three months ended June 30, 2022 Three months ended June 30, 2021 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ 22 $ (2) $ (14) $ (4) Bonds — (1) — (1) Total $ 22 $ (3) $ (14) $ (5) Six months ended June 30, 2022 Six months ended June 30, 2021 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ 74 $ (6) $ 23 $ (8) Bonds — (1) — (1) Total $ 74 $ (7) $ 23 $ (9) |
