v3.25.3
Mortgage Loans Held for Portfolio
 9 Months Ended
Sep. 30, 2025
Receivables [Abstract]  
Mortgage Loans Held for Portfolio Mortgage Loans Held for Portfolio
Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 8 – Transactions with Related Parties in this Form 10-Q for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2025 and December 31, 2024 for mortgage loans held for portfolio.
(in thousands)September 30, 2025December 31, 2024
Fixed-rate long-term single-family mortgages (1)
$5,060,058 $4,674,020 
Fixed-rate medium-term single-family mortgages (2)
81,312 95,558 
Total par value5,141,370 4,769,578 
Premiums73,271 66,974 
Discounts(12,144)(12,239)
Hedging adjustments(12,443)(5,432)
Total mortgage loans held for portfolio (3)
$5,190,054 $4,818,881 
Allowance for credit losses on mortgage loans(2,232)(2,429)
Mortgage loans held for portfolio, net$5,187,822 $4,816,452 
Notes:
(1) Long-term is defined as an original term of greater than 15 years and up to 30 years.
(2) Medium-term is defined as an original term of 15 years or less.
(3) Amounts exclude accrued interest receivable of $31.8 million at September 30, 2025 and $27.4 million at December 31, 2024.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2025 and December 31, 2024.
(in thousands)September 30, 2025December 31, 2024
Conventional loans$5,055,478 $4,677,261 
Government-guaranteed/insured loans85,892 92,317 
Total par value$5,141,370 $4,769,578 

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank’s risk tolerance. The Bank and its PFIs share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any PMI, credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s FLA. If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by SMI obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.
Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2025 and December 31, 2024.
September 30, 2025
(in thousands)Origination Year
Payment Status, at amortized cost (1)
Prior to 2021
2021 to 2025
Total
Past due 30-59 days$27,211 $17,327 $44,538 
Past due 60-89 days4,361 5,849 10,210 
Past due 90 days or more13,001 8,330 21,331 
Total past due loans$44,573 $31,506 $76,079 
Current loans2,146,042 2,880,350 5,026,392 
Total conventional loans $2,190,615 $2,911,856 $5,102,471 
December 31, 2024
Origination Year
Payment Status, at amortized cost (1)
Prior to 2020
2020 to 2024
Total
Past due 30-59 days$21,986 $19,827 $41,813 
Past due 60-89 days5,694 6,238 11,932 
Past due 90 days or more12,151 9,409 21,560 
Total past due loans$39,831 $35,474 $75,305 
Current loans1,443,397 3,205,963 4,649,360 
Total conventional loans $1,483,228 $3,241,437 $4,724,665 
Note:
(1) The amortized cost at September 30, 2025 and December 31, 2024 excludes accrued interest receivable.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2025 and December 31, 2024.
September 30, 2025
(dollars in thousands) (1)
Conventional MPF LoansGovernment-Guaranteed or Insured Loans Total
In process of foreclosure, included above (2)
$5,916 $672 $6,588 
Serious delinquency rate (3)
0.4 %2.6 %0.5 %
Past due 90 days or more still accruing interest$— $2,247 $2,247 
Loans on nonaccrual status $25,644 $— $25,644 
December 31, 2024
(dollars in thousands) (1)
Conventional MPF LoansGovernment-Guaranteed or Insured Loans Total
In process of foreclosure, included above (2)
$5,171 $301 $5,472 
Serious delinquency rate (3)
0.5 %3.0 %0.5 %
Past due 90 days or more still accruing interest$— $2,814 $2,814 
Loans on nonaccrual status $25,173 $— $25,173 
Notes:
(1) Amounts presented at amortized cost.
(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.
(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.
Mortgage Loans Held for Portfolio ACL. The Bank evaluates mortgage loans for credit losses on a quarterly basis. For additional information on the Bank’s ACL methodology on mortgage loans, see Note 6 - Mortgage Loans Held for Portfolio in the Bank’s 2024 Form 10-K. The Bank has not recorded an ACL for government-guaranteed or -insured mortgage loans at September 30, 2025 or December 31, 2024. The amount of Real Estate Owned (REO) reported in Other assets on the Statements of Condition was immaterial at both September 30, 2025 and December 31, 2024.

The following table presents a rollforward of the ACL on conventional MPF loans for the three and nine months ended September 30, 2025 and 2024.

Three months ended September 30,Nine months ended September 30,
(in thousands)2025202420252024
Balance, beginning of period$2,191 $2,694 $2,429 $3,018 
(Charge-offs) Recoveries, net (1)
(91)(342)(331)(698)
Provision (reversal) for credit losses13242 13474 
Balance, end of period$2,232 $2,394 $2,232 $2,394 
Note:
(1) Net charge-offs that the Bank does not expect to recover through CE receivable.