| Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Policies in our 2023 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 the Secured Overnight Financing Rate (SOFR). We use cash flow hedges to hedge the variability in the net proceeds received from forecasted zero-coupon discount notes, and the variability of cash flows associated with periodic SOFR-indexed bonds issuances, attributable to changes in the benchmark interest rate, by entering into pay-fixed interest rate swaps. 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 to hedge securities in our trading portfolio, 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 negotiated provisions of such agreements to mitigate such risk, including, for example, terms related to master netting arrangements, collateral requirements and other credit enhancements. 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. As of September 30, 2024, 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 to the financial statements in our 2023 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. Our bilateral derivative transactions are subject to variation margin requirements and are fully collateralized with a zero unsecured threshold. We pledged no investment securities for variation margin on our bilateral derivative transactions (that can be sold or repledged by our counterparty) as of September 30, 2024. Bilateral derivative transactions executed on or after September 1, 2022, are subject to two-way initial margin requirements if our aggregate uncleared derivative transaction exposure to a counterparty exceeds a specified threshold. The initial margin is required to be held at a third party custodian and does not change ownership. Rather, the party in respect of which the initial margin has been posted to a third party custodian will have a security interest in the amount of initial margin required to be posted and can only take ownership upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of September 30, 2024, we pledged and/or received initial margin with certain bilateral derivative counterparties. 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 2023 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 $865 million of investment securities (that can be sold or repledged) as part of our initial margin related to cleared derivative transactions at September 30, 2024. 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 September 30, 2024. 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 September 30, 2024 December 31, 2023 Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 109,808 $ 910 $ 1,428 $ 127,433 $ 1,058 $ 2,064 Derivatives not in hedge accounting relationships- Interest rate contracts 17,821 36 29 7,223 23 20 Mortgage delivery commitments 288 1 — 183 1 — Other 127 — — 116 — 1 Derivatives not in hedge accounting relationships 18,236 37 29 7,522 24 21 Gross derivatives amount before netting adjustments and cash collateral $ 128,044 947 1,457 $ 134,955 1,082 2,085 Netting adjustments and cash collateral (843) (1,446) (1,000) (2,065) Derivatives on Condensed Statements of Condition $ 104 $ 11 $ 82 $ 20 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 927 $ 1,361 Cash collateral received and related accrued interest 324 296 The following table presents the noninterest income (loss) - derivatives and economic hedging activities as presented in the Condensed Statements of Income . Three months ended September 30, Nine months ended September 30, For the periods ending 2024 2023 2024 2023 Economic hedges - Interest rate contracts $ (71) $ 13 $ (51) $ 23 Mortgage delivery commitments 3 (4) (1) (3) Other (3) 3 (1) 4 Economic hedges (71) 12 (53) 24 Variation margin on derivatives 1 (1) — (1) Noninterest income (loss) - Derivatives and hedging activities $ (70) $ 11 $ (53) $ 23 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, as applicable, 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 September 30, 2024 As of December 31, 2023 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 766 $ 180 $ 946 $ 993 $ 88 $ 1,081 Netting adjustments and cash collateral (755) (88) (843) (913) (87) (1,000) Derivatives with legal right of offset - net 11 92 103 80 1 81 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on Condensed Statements of Condition 12 92 104 81 1 82 Less: Noncash collateral received or pledged and can be sold or repledged — — — 61 — 61 Net amount $ 12 $ 92 $ 104 $ 20 $ 1 $ 21 Derivative Liabilities As of September 30, 2024 As of December 31, 2023 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 1,368 $ 89 $ 1,457 $ 1,979 $ 106 $ 2,085 Netting adjustments and cash collateral (1,357) (89) (1,446) (1,978) (87) (2,065) Derivatives with legal right of offset - net 11 — 11 1 19 20 Derivatives on Condensed Statements of Condition 11 — 11 1 19 20 Less: Noncash collateral received or pledged and can be sold or repledged — — — — 19 19 Noncash collateral received or pledged and cannot be sold or repledged 3 — 3 — — — Net amount $ 8 $ — $ 8 $ 1 $ — $ 1 At September 30, 2024 and December 31, 2023, we had $865 million and $837 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. Separately, as of September 30, 2024, we posted an additional $57 million in noncash initial margin collateral and received an additional $19 million in noncash initial margin collateral related to our bilateral derivative transactions. 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 the 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 September 30, 2024 we did not have any active fair value hedges on our MPF Loans. Three months ended September 30, 2024 Three months ended September 30, 2023 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 $ (762) $ 918 $ 156 $ 862 $ (721) $ 141 Advances (516) 705 189 375 $ (188) 187 Consolidated obligation bonds 599 (943) (344) (487) $ 90 (397) Other — 1 1 — — — Total $ (679) $ 681 $ 2 $ 750 $ (819) $ (69) Nine months ended September 30, 2024 Nine months ended September 30, 2023 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 $ 31 $ 408 $ 439 $ 1,105 $ (749) $ 356 Advances 138 439 577 678 (201) 477 Consolidated obligation bonds (172) (908) (1,080) (1,044) (51) (1,095) Other — 2 2 — 1 1 Total $ (3) $ (59) $ (62) $ 739 $ (1,000) $ (261) 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 September 30, 2024 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 $ 21,947 $ (1,114) $ 161 $ (953) Advances 35,313 (236) — (236) Consolidated obligation bonds 51,429 (1,050) (10) (1,060) Other 155 — 2 2 As of December 31, 2023 Available-for-sale securities $ 19,962 $ (1,554) $ 194 $ (1,360) Advances 33,983 (675) — (675) Consolidated obligation bonds 68,847 (1,956) (11) (1,967) Other 179 — 3 3 Cash Flow Hedges For cash flow hedges, the entire change in the fair value of the hedging instrument is recorded in accumulated other comprehensive income (loss) (AOCI) and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether the hedge qualifies for hedge accounting. We are exposed to the variability in the net proceeds received from forecasted zero-coupon discount notes, and the variability of cash flows associated with periodic SOFR-indexed bond 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 these exposures. The maximum length of time over which we are hedging this exposure is 6 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. There were no deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months as of September 30, 2024. 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 September 30, 2024 Three months ended September 30, 2023 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 $ (14) $ 10 $ 16 $ 11 Bonds (12) 2 — — Total $ (26) $ 12 $ 16 $ 11 Nine months ended September 30, 2024 Nine months ended September 30, 2023 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 $ 9 $ 31 $ 30 $ 31 Bonds (11) 3 — — Total $ (2) $ 34 $ 30 $ 31 |
