v3.25.1
Fair Value
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value
Note 11 — Fair Value
The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in “Item 8. Financial Statement and Supplementary Data – Note 14 – Fair Value” in the Bank’s 2024 Form 10-K. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the three months ended March 31, 2025.
The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2025, and December 31, 2024.
March 31, 2025
(In millions)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$8 $8 $8 $— $— $— 
Interest-bearing deposits3,300 3,300 3,300 — — — 
Securities purchased under agreements to resell9,150 9,150 — 9,150 — — 
Federal funds sold4,685 4,685 — 4,685 — — 
AFS securities20,393 20,393 — 19,451 942 — 
HTM securities1,454 1,436 — 1,345 91 — 
Advances37,913 37,903 — 37,903 — — 
Mortgage loans held for portfolio680 570 — 570 — — 
Accrued interest receivable182 182 — 182 — — 
Derivative assets, net(2)
2 2 — 661 — (659)
Other assets(3)
17 17 17 — — — 
Liabilities
Deposits1,335 1,335 — 1,335 — — 
Consolidated obligations:
Bonds56,079 55,925 — 55,925 — — 
Discount notes12,668 12,667 — 12,667 — — 
Total consolidated obligations68,747 68,592 — 68,592 — — 
Mandatorily redeemable capital stock153 153 153 — — — 
Accrued interest payable354 354 — 354 — — 
Derivative liabilities, net(2)
11 11 — 375 — (364)
December 31, 2024
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$2 $2 $2 $— $— $— 
Interest-bearing deposits3,765 3,765 3,765 — — — 
Securities purchased under agreements to resell7,750 7,750 — 7,750 — — 
Federal funds sold1,645 1,645 — 1,645 — — 
AFS securities20,312 20,312 — 19,355 957 — 
HTM securities1,489 1,469 — 1,374 95 — 
Advances45,637 45,596 — 45,596 — — 
Mortgage loans held for portfolio693 576 — 576 — — 
Accrued interest receivable181 181 — 181 — — 
Derivative assets, net(2)
30 30 — 752 — (722)
Other assets(3)
17 17 17 — — — 
Liabilities
Deposits1,061 1,061 — 1,061 — — 
Consolidated obligations:
Bonds58,174 57,985 — 57,985 — — 
Discount notes14,378 14,376 — 14,376 — — 
Total consolidated obligations72,552 72,361 — 72,361 — — 
Mandatorily redeemable capital stock331 331 331 — — — 
Accrued interest payable412 412 — 412 — — 
Derivative liabilities, net(2)
8 8 — 458 — (450)
(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.
(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 or counterparty.
(3)    Includes publicly traded mutual funds held in a grantor trust.
For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. For more information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Fair Value” in the Bank’s 2024 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three months ended March 31, 2025.
Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments may have a material effect on the fair value estimates.
Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at March 31, 2025, and December 31, 2024, by level within the fair value hierarchy.
March 31, 2025
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)Level 1Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,453 $— $— $6,453 
State housing agency obligations
— 11 — — 11 
MBS:
GSEs – multifamily— 12,987 — — 12,987 
PLRMBS— — 942 — 942 
Subtotal AFS MBS— 12,987 942 — 13,929 
Total AFS securities— 19,451 942 — 20,393 
Advances(2)
— 5,539 — — 5,539 
Derivative assets, net: interest rate-related— 661 — (659)2 
Other assets17 — — — 17 
Total recurring fair value measurements – Assets$17 $25,651 $942 $(659)$25,951 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $380 $— $— $380 
Derivative liabilities, net: interest rate-related— 375 — (364)11 
Total recurring fair value measurements – Liabilities$— $755 $— $(364)$391 
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio$— $— $1 $— $1 
Total nonrecurring fair value measurements – Assets$— $— $1 $— $1 
December 31, 2024
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)
Level 1
Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,510 $— $— $6,510 
MBS:
GSEs – multifamily— 12,845 — — 12,845 
PLRMBS— — 957 — 957 
Subtotal AFS MBS— 12,845 957 — 13,802 
Total AFS securities— 19,355 957 — 20,312 
Advances(2)
— 5,286 — — 5,286 
Derivative assets, net: interest rate-related— 752 — (722)30 
Other assets17 — — — 17 
Total recurring fair value measurements – Assets$17 $25,393 $957 $(722)$25,645 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $436 $— $— $436 
Derivative liabilities, net: interest rate-related— 458 — (450)8 
Total recurring fair value measurements – Liabilities$— $894 $— $(450)$444 
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio$— $— $1 $— $1 
Total nonrecurring fair value measurements – Assets$— $— $1 $— $1 
(1)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 by the Bank, with the same clearing agents or counterparty.
(2)Represents advances recorded under the fair value option at March 31, 2025, and December 31, 2024.
(3)Represents consolidated obligation bonds recorded under the fair value option at March 31, 2025, and December 31, 2024.
(4)The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2025, and the year ended December 31, 2024.
The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2025 and 2024.
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Balance, beginning of the period$957 $1,059 
Total gain/(loss) realized and unrealized included in:
Interest income3 (2)
(Provision for)/reversal of credit losses(1)4 
Unrealized gain/(loss) included in AOCI2 (3)
Settlements(19)(30)
Balance, end of the period$942 $1,028 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period$2 $(3)
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period$2 $2 
Fair Value Option. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value.
The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three months ended March 31, 2025 and 2024:
Three Months Ended
(In millions)March 31, 2025March 31, 2024
Advances
$33 $(13)
Consolidated obligation bonds
(4)(1)
Total
$29 $(14)
For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three months ended March 31, 2025 and 2024.

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at March 31, 2025, and December 31, 2024:
March 31, 2025December 31, 2024
(In millions)
Principal Balance
Fair ValueFair Value
Over/(Under)
Principal Balance		Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Advances(1)
$5,488 $5,539 $51 $5,269 $5,286 $17 
Consolidated obligation bonds390 380 (10)450 436 (14)
(1)    At March 31, 2025, and December 31, 2024, none of these advances were 90 days or more past due or had been placed on nonaccrual status.