Investment Securities (Tables)
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6 Months Ended |
Jun. 30, 2025 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Trading Securities by Major Security Type |
Trading securities by major security type as of June 30, 2025 and December 31, 2024 are summarized in Table 3.1 (in thousands): Table 3.1 | | | | | | | | | | Fair Value | | 06/30/2025 | 12/31/2024 | | Non-mortgage-backed securities: | | | | | | | | | | | | GSE debentures | $ | — | | $ | 17,884 | | | Non-mortgage-backed securities | — | | 17,884 | | | Mortgage-backed securities: | | | | | | GSE MBS | 153,520 | | 422,079 | | | Mortgage-backed securities | 153,520 | | 422,079 | | | TOTAL | $ | 153,520 | | $ | 439,963 | |
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| Net Gains (Losses) on Trading Securities |
Net gains (losses) on trading securities during the three and six months ended June 30, 2025 and 2024 are shown in Table 3.2 (in thousands):
Table 3.2 | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | Six Months Ended | | | 06/30/2025 | 06/30/2024 | 06/30/2025 | 06/30/2024 | | Net gains (losses) on trading securities held as of June 30, 2025 | $ | 621 | | $ | 311 | | $ | 1,802 | | $ | (113) | | | Net gains (losses) on trading securities sold or matured prior to June 30, 2025 | 1,207 | | 3,627 | | 2,565 | | 5,842 | | | | NET GAINS (LOSSES) ON TRADING SECURITIES | $ | 1,828 | | $ | 3,938 | | $ | 4,367 | | $ | 5,729 | | |
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| Available-for-sale Securities by Major Security Type |
Available-for-sale securities by major security type as of June 30, 2025 are summarized in Table 3.3 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments, and excludes accrued interest receivable of $39,178,000 as of June 30, 2025. Table 3.3 | | | | | | | | | | | | | | | | 06/30/2025 | | Amortized
Cost | Gross
Unrecognized
Gains | Gross
Unrecognized
Losses | Fair
Value | | Non-mortgage-backed securities: | | | | | U.S. Treasury obligations | $ | 3,396,987 | | $ | — | | $ | (95,075) | | $ | 3,301,912 | | State or local housing agency obligations | 48,210 | | 41 | | (13) | | 48,238 | | | Non-mortgage-backed securities | 3,445,197 | | 41 | | (95,088) | | 3,350,150 | | | Mortgage-backed securities: | | | | | | U.S. obligation MBS | 68,509 | | — | | (1,022) | | 67,487 | | GSE MBS | 10,786,119 | | 25,812 | | (110,991) | | 10,700,940 | | | Mortgage-backed securities | 10,854,628 | | 25,812 | | (112,013) | | 10,768,427 | | | TOTAL | $ | 14,299,825 | | $ | 25,853 | | $ | (207,101) | | $ | 14,118,577 | | | | | | |
Available-for-sale securities by major security type as of December 31, 2024 are summarized in Table 3.4 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments, and excludes accrued interest receivable of $35,778,000 as of December 31, 2024.
Table 3.4 | | | | | | | | | | | | | | | | 12/31/2024 | | Amortized
Cost | Gross
Unrecognized
Gains | Gross
Unrecognized
Losses | Fair
Value | | Non-mortgage-backed securities: | | | | | U.S. Treasury obligations | $ | 3,313,012 | | $ | 6 | | $ | (75,795) | | $ | 3,237,223 | | State or local housing agency obligations | 24,465 | | — | | (286) | | 24,179 | | | Non-mortgage-backed securities | 3,337,477 | | 6 | | (76,081) | | 3,261,402 | | | Mortgage-backed securities: | | | | | | U.S. obligation MBS | 78,046 | | — | | (783) | | 77,263 | | GSE MBS | 9,782,201 | | 31,461 | | (94,708) | | 9,718,954 | | | Mortgage-backed securities | 9,860,247 | | 31,461 | | (95,491) | | 9,796,217 | | | TOTAL | $ | 13,197,724 | | $ | 31,467 | | $ | (171,572) | | $ | 13,057,619 | | | | | | |
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| Available-for-sale securities with unrealized losses, fair value |
Table 3.5 summarizes the available-for-sale securities with gross unrealized losses as of June 30, 2025 (in thousands). The gross unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Table 3.5 | | | | | | | | | | | | | | | | | | | | | | 06/30/2025 | | Less Than 12 Months | 12 Months or More | Total | | Fair
Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | | Non-mortgage-backed securities: | | | | | | | U.S. Treasury obligations | $ | 715,040 | | $ | (474) | | $ | 2,586,872 | | $ | (94,601) | | $ | 3,301,912 | | $ | (95,075) | | State or local housing agency obligations | 24,337 | | (13) | | — | | — | | 24,337 | | (13) | | | Non-mortgage-backed securities | 739,377 | | (487) | | 2,586,872 | | (94,601) | | 3,326,249 | | (95,088) | | | Mortgage-backed securities: | | | | | | | | U.S. obligation MBS | — | | — | | 67,487 | | (1,022) | | 67,487 | | (1,022) | | GSE MBS | 3,706,493 | | (27,465) | | 4,061,481 | | (83,526) | | 7,767,974 | | (110,991) | | Mortgage-backed securities | 3,706,493 | | (27,465) | | 4,128,968 | | (84,548) | | 7,835,461 | | (112,013) | | | TOTAL | $ | 4,445,870 | | $ | (27,952) | | $ | 6,715,840 | | $ | (179,149) | | $ | 11,161,710 | | $ | (207,101) | |
Table 3.6 summarizes the available-for-sale securities with gross unrealized losses as of December 31, 2024 (in thousands). The gross unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Table 3.6 | | | | | | | | | | | | | | | | | | | | | | 12/31/2024 | | Less Than 12 Months | 12 Months or More | Total | | Fair
Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | | Non-mortgage-backed securities: | | | | | | | U.S. Treasury obligations | $ | 244,268 | | $ | (1,144) | | $ | 2,754,861 | | $ | (74,652) | | $ | 2,999,129 | | $ | (75,796) | | State or local housing agency obligations | 24,179 | | (286) | | — | | — | | 24,179 | | (286) | | | Non-mortgage-backed securities | 268,447 | | (1,430) | | 2,754,861 | | (74,652) | | 3,023,308 | | (76,082) | | | Mortgage-backed securities: | | | | | | | | U.S. obligation MBS | — | | — | | 77,263 | | (783) | | 77,263 | | (783) | | GSE MBS | 2,880,112 | | (14,624) | | 3,638,445 | | (80,083) | | 6,518,557 | | (94,707) | | Mortgage-backed securities | 2,880,112 | | (14,624) | | 3,715,708 | | (80,866) | | 6,595,820 | | (95,490) | | | TOTAL | $ | 3,148,559 | | $ | (16,054) | | $ | 6,470,569 | | $ | (155,518) | | $ | 9,619,128 | | $ | (171,572) | |
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| Securities Classified By Contractual Maturity |
The amortized cost and fair values of available-for-sale securities by contractual maturity as of June 30, 2025 and December 31, 2024 are shown in Table 3.7 (in thousands). Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
Table 3.7 | | | | | | | | | | | | | | | | 06/30/2025 | 12/31/2024 | | Amortized
Cost | Fair
Value | Amortized
Cost | Fair
Value | | Non-mortgage-backed securities: | | | | | | Due in one year or less | $ | 1,219,860 | | $ | 1,177,703 | | $ | 457,610 | | $ | 440,483 | | Due after one year through five years | 2,177,127 | | 2,124,209 | | 2,855,402 | | 2,796,740 | | Due after five years through ten years | — | | — | | — | | — | | | Due after ten years | 48,210 | | 48,238 | | 24,465 | | 24,179 | | | Non-mortgage-backed securities | 3,445,197 | | 3,350,150 | | 3,337,477 | | 3,261,402 | | | Mortgage-backed securities | 10,854,628 | | 10,768,427 | | 9,860,247 | | 9,796,217 | | | TOTAL | $ | 14,299,825 | | $ | 14,118,577 | | $ | 13,197,724 | | $ | 13,057,619 | |
The amortized cost and fair values of held-to-maturity securities by contractual maturity as of June 30, 2025 and December 31, 2024 are shown in Table 3.10 (in thousands). Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
Table 3.10 | | | | | | | | | | | | | | | | 06/30/2025 | 12/31/2024 | | Amortized
Cost | Fair
Value | Amortized
Cost | Fair
Value | | Non-mortgage-backed securities: | | | | | | Due in one year or less | $ | — | | $ | — | | $ | — | | $ | — | | Due after one year through five years | — | | — | | — | | — | | Due after five years through ten years | 29,755 | | 29,378 | | 30,895 | | 30,450 | | | Due after ten years | — | | — | | — | | — | | | Non-mortgage-backed securities | 29,755 | | 29,378 | | 30,895 | | 30,450 | | | Mortgage-backed securities | 174,140 | | 172,746 | | 188,931 | | 187,026 | | | TOTAL | $ | 203,895 | | $ | 202,124 | | $ | 219,826 | | $ | 217,476 | |
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| Held-To-Maturity Securities by Major Security Type |
Held-to-maturity Securities: Held-to-maturity securities by major security type as of June 30, 2025 are summarized in Table 3.8 (in thousands). Carrying value equals amortized cost, which includes adjustments made to the cost basis of an investment for accretion and amortization, and excludes accrued interest receivable of $414,000 as of June 30, 2025.
Table 3.8 | | | | | | | | | | | | | | | | 06/30/2025 | | Amortized
Cost | Gross
Unrecognized
Gains | Gross
Unrecognized
Losses | Fair
Value | | Non-mortgage-backed securities: | | | | | State or local housing agency obligations | $ | 29,755 | | $ | — | | $ | (377) | | $ | 29,378 | | | Non-mortgage-backed securities | 29,755 | | — | | (377) | | 29,378 | | | Mortgage-backed securities: | | | | | | | | | | GSE MBS | 174,140 | | 252 | | (1,646) | | 172,746 | | | Mortgage-backed securities | 174,140 | | 252 | | (1,646) | | 172,746 | | | TOTAL | $ | 203,895 | | $ | 252 | | $ | (2,023) | | $ | 202,124 | |
Held-to-maturity securities by major security type as of December 31, 2024 are summarized in Table 3.9 (in thousands). Carrying value equals amortized cost, which includes adjustments made to the cost basis of an investment for accretion and amortization, and excludes accrued interest receivable of $476,000 as of December 31, 2024.
Table 3.9 | | | | | | | | | | | | | | | | 12/31/2024 | | Amortized
Cost | Gross
Unrecognized
Gains | Gross
Unrecognized
Losses | Fair
Value | | Non-mortgage-backed securities: | | | | | State or local housing agency obligations | $ | 30,895 | | $ | — | | $ | (445) | | $ | 30,450 | | | Non-mortgage-backed securities | 30,895 | | — | | (445) | | 30,450 | | | Mortgage-backed securities: | | | | | | | | | | GSE MBS | 188,931 | | 359 | | (2,264) | | 187,026 | | | Mortgage-backed securities | 188,931 | | 359 | | (2,264) | | 187,026 | | | TOTAL | $ | 219,826 | | $ | 359 | | $ | (2,709) | | $ | 217,476 | |
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