v3.25.3
Estimated Fair Values
 9 Months Ended
Sep. 30, 2025
Fair Value Disclosures [Abstract]  
Estimated Fair Values Estimated Fair Values
Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2025 and December 31, 2024. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2025 and December 31, 2024 are presented in the table below.
Fair Value Summary Table
 September 30, 2025
(in thousands)Carrying
Value		Level 1Level 2 Level 3
Netting Adjustment and Cash Collateral (1)
Estimated
Fair Value
                       Assets:      
Cash and due from banks$19,543 $19,543 $— $— $— $19,543 
Interest-bearing deposits2,473,784 2,473,784 — — — 2,473,784 
Securities purchased under agreements to resell (2)
2,280,000 — 2,280,005 — — 2,280,005 
Federal funds sold5,903,000 — 5,903,000 — — 5,903,000 
Trading securities119,169 — 119,169 — — 119,169 
AFS securities17,832,294 — 17,727,127 105,167 — 17,832,294 
HTM securities1,221,361 — 1,144,093 29,301 — 1,173,394 
Advances42,164,297 — 42,191,968 — — 42,191,968 
Mortgage loans held for portfolio, net5,187,822 — 4,779,683 — — 4,779,683 
Accrued interest receivable308,636 — 308,636 — — 308,636 
Derivative assets301,096 — 105,497 — 195,599 301,096 
                     Liabilities:       
Deposits$576,741 $— $576,741 $— $— $576,741 
Discount notes12,226,613 — 12,225,409 — — 12,225,409 
Bonds59,653,325 — 59,256,277 — — 59,256,277 
Mandatorily redeemable capital stock (3)
6,085 6,228 — — — 6,228 
Accrued interest payable (3)
424,768 — 424,625 — — 424,625 
Derivative liabilities13,387 — 183,961 — (170,574)13,387 
December 31, 2024
(in thousands)Carrying
Value		Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Estimated
Fair Value
                       Assets:      
Cash and due from banks$17,340 $17,340 $— $— $— $17,340 
Interest-bearing deposits2,726,628 2,726,628 — — — 2,726,628 
Securities purchased under agreements to resell (2)
6,280,000 — 6,279,993 — — 6,279,993 
Federal funds sold2,664,000 — 2,663,996 — — 2,663,996 
Trading securities149,153 — 149,153 — — 149,153 
AFS securities18,163,843 — 18,050,348 113,495 — 18,163,843 
HTM securities1,298,808 — 1,184,672 34,720 — 1,219,392 
Advances69,873,233 — 69,888,161 — — 69,888,161 
Mortgage loans held for portfolio, net4,816,452 — 4,233,555 — — 4,233,555 
Accrued interest receivable469,154 — 469,154 — — 469,154 
Derivative assets 353,629 — 67,399 — 286,230 353,629 
                        Liabilities:     
Deposits$774,883 $— $774,883 $— $— $774,883 
Discount notes11,685,159 — 11,683,853 — — 11,683,853 
Bonds87,965,104 — 87,349,924 — — 87,349,924 
Mandatorily redeemable capital stock (3)
7,025 7,568 — — 7,568 
Accrued interest payable (3)
540,958 540,415 — — 540,415 
Derivative liabilities 8,666 — 372,075 — (363,409)8,666 
Notes:
(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 agent and/or counterparties.
(2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2025 and December 31, 2024. These instruments’ maturity term is overnight.
(3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. A description of the fair value hierarchy and inputs is disclosed in Note 14 - Estimated Fair Values in the Bank’s 2024 Form 10-K. The Bank reviews its fair value hierarchy classifications on a quarterly basis. There were no significant changes in the Bank’s fair value hierarchy classification during the nine months ended September 30, 2025.

Summary of Valuation Methodologies and Primary Inputs

A description of the valuation methodologies and primary inputs is disclosed in Note 14 - Estimated Fair Values in the Bank’s 2024 Form 10-K. There were no significant changes in these valuation methodologies and primary inputs during the nine months ended September 30, 2025.
Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statements of Condition at September 30, 2025 and December 31, 2024. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. REO is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.
 September 30, 2025
(in thousands)Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Total
Recurring fair value measurements - Assets     
Trading securities:     
Non MBS:
GSE obligations$— $119,169 $— $— $119,169 
Total trading securities$— $119,169 $— $— $119,169 
AFS securities:     
Non MBS:
U.S. Treasury obligations$— $3,952,753 $— $— $3,952,753 
GSE and TVA obligations— 862,486 — — 862,486 
State or local agency obligations— 172,001 — — 172,001 
MBS:
U.S. obligations single-family — 1,401,260 — — 1,401,260 
GSE single-family — 4,958,359 — — 4,958,359 
GSE multifamily — 6,380,268 — — 6,380,268 
Private label — — 105,167 — 105,167 
Total AFS securities$— $17,727,127 $105,167 $— $17,832,294 
Derivative assets:    
Interest rate related$— $105,496 $— $195,599 $301,095 
Mortgage delivery commitments— 1 — — 1 
Total derivative assets— 105,497 — 195,599 301,096 
Total recurring assets at fair value$— $17,951,793 $105,167 $195,599 $18,252,559 
Recurring fair value measurements - Liabilities     
Derivative liabilities:     
Interest rate related$— $183,648 $— $(170,574)$13,074 
Mortgage delivery commitments— 313 — — 313 
Total recurring liabilities at fair value $— $183,961 $— $(170,574)$13,387 
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio $— $— $8,870 $— $8,870 
REO— — 94 — 94 
Total non-recurring assets at fair value $— $— $8,964 $— $8,964 
 December 31, 2024
(in thousands)Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Total
Recurring fair value measurements - Assets     
Trading securities:     
Non MBS:
GSE obligations$— $149,153 $— $— $149,153 
Total trading securities$— $149,153 $— $— $149,153 
AFS securities:     
Non MBS:
U.S. Treasury obligations$— $4,112,955 $— $— $4,112,955 
GSE and TVA obligations— 907,124 — — 907,124 
State or local agency obligations— 169,336 — — 169,336 
MBS:
U.S. obligations single-family — 1,712,384 — — 1,712,384 
GSE single-family — 4,597,885 — — 4,597,885 
GSE multifamily — 6,550,664 — — 6,550,664 
Private label — — 113,495 — 113,495 
Total AFS securities$— $18,050,348 $113,495 $— $18,163,843 
Derivative assets:     
Interest rate related $— $67,392 $— $286,230 $353,622 
Mortgage delivery commitments— 7 — — 7 
Total derivative assets$— $67,399 $— $286,230 $353,629 
Total recurring assets at fair value$— $18,266,900 $113,495 $286,230 $18,666,625 
Recurring fair value measurements - Liabilities     
Derivative liabilities:     
Interest rate related
$— $371,838 $— $(363,409)$8,429 
Mortgage delivery commitments
— 237 — — 237 
Total recurring liabilities at fair value $— $372,075 $— $(363,409)$8,666 
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio
$— $— $8,090 $— $8,090 
REO
— — 312 — 312 
Total non-recurring assets at fair value $— $— $8,402 $— $8,402 
Note:
(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 agent and/or counterparties.
Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statements of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2025 and 2024. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2025 or 2024.
AFS Private Label MBS
Three months ended September 30,Nine months ended September 30,
(in thousands)2025202420252024
Balance, beginning of period$107,813 $116,982 $113,495 $125,808 
Total gains (losses) (realized/unrealized) included in: 
(Provision) reversal for credit losses (245)889 (1,738)(1,061)
Accretion of credit losses in interest income1,112 1,582 2,991 4,465 
Net unrealized gains (losses) on AFS in OCI7 3,780 (990)1,505 
Settlements: 
Settlements(3,520)(3,878)(8,591)(11,362)
Balance, end of period$105,167 $119,355 $105,167 $119,355 
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at September 30
$867 $2,471 $1,254 $3,404 
Change in unrealized gains (losses) for the period included in other comprehensive income (loss) for assets held at September 30
$7 $3,780 $(991)$1,505