Fair Value (Tables)

3 Months Ended

Mar. 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 Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	8	$	8	$	8	$	—	$	—	$	—
Interest-bearing deposits	3,300		3,300		3,300		—		—		—
Securities purchased under agreements to resell	9,150		9,150		—		9,150		—		—
Federal funds sold	4,685		4,685		—		4,685		—		—

AFS securities	20,393		20,393		—		19,451		942		—
HTM securities	1,454		1,436		—		1,345		91		—
Advances	37,913		37,903		—		37,903		—		—
Mortgage loans held for portfolio	680		570		—		570		—		—

Accrued interest receivable	182		182		—		182		—		—
Derivative assets, net(2)	2		2		—		661		—		(659)
Other assets(3)	17		17		17		—		—		—
Liabilities
Deposits	1,335		1,335		—		1,335		—		—
Consolidated obligations:
Bonds	56,079		55,925		—		55,925		—		—
Discount notes	12,668		12,667		—		12,667		—		—
Total consolidated obligations	68,747		68,592		—		68,592		—		—
Mandatorily redeemable capital stock	153		153		153		—		—		—

Accrued interest payable	354		354		—		354		—		—
Derivative liabilities, net(2)	11		11		—		375		—		(364)


	December 31, 2024
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	2	$	2	$	2	$	—	$	—	$	—
Interest-bearing deposits	3,765		3,765		3,765		—		—		—
Securities purchased under agreements to resell	7,750		7,750		—		7,750		—		—
Federal funds sold	1,645		1,645		—		1,645		—		—

AFS securities	20,312		20,312		—		19,355		957		—
HTM securities	1,489		1,469		—		1,374		95		—
Advances	45,637		45,596		—		45,596		—		—
Mortgage loans held for portfolio	693		576		—		576		—		—
Accrued interest receivable	181		181		—		181		—		—
Derivative assets, net(2)	30		30		—		752		—		(722)
Other assets(3)	17		17		17		—		—		—
Liabilities
Deposits	1,061		1,061		—		1,061		—		—
Consolidated obligations:
Bonds	58,174		57,985		—		57,985		—		—
Discount notes	14,378		14,376		—		14,376		—		—
Total consolidated obligations	72,552		72,361		—		72,361		—		—
Mandatorily redeemable capital stock	331		331		331		—		—		—

Accrued interest payable	412		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.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques

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 1		Level 2		Level 3				Total
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 assets	17		—		—		—		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 2		Level 3				Total
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 assets	17		—		—		—		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.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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, 2025		March 31, 2024
Balance, beginning of the period	$	957	$	1,059
Total gain/(loss) realized and unrealized included in:
Interest income	3		(2)
(Provision for)/reversal of credit losses	(1)		4

Unrealized gain/(loss) included in AOCI	2		(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, Quantitative Disclosures

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, 2025		March 31, 2024
Advances		$	33	$	(13)
Consolidated obligation bonds		(4)		(1)
Total		$	29	$	(14)

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, 2025						December 31, 2024
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances(1)	$	5,488	$	5,539	$	51	$	5,269	$	5,286	$	17
Consolidated obligation bonds	390		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.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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