v3.26.1
Estimated Fair Values
 6 Months Ended
Jun. 30, 2026
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 June 30, 2026 and December 31, 2025. 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 June 30, 2026 and December 31, 2025 are presented in the table below.
Fair Value Summary Table
June 30, 2026
(in thousands)Carrying
Value		Level 1Level 2 Level 3
Netting Adjustment and Cash Collateral (1)
Estimated
Fair Value
                       Assets:
Cash and due from banks$36,728 $36,728 $— $— $— $36,728 
Interest-bearing deposits3,463,600 3,463,600 — — — 3,463,600 
Securities purchased under agreements to resell (2)
2,200,000 — 2,200,000 — — 2,200,000 
Federal funds sold7,097,000 — 7,096,993 — — 7,096,993 
Trading securities113,575 — 113,575 — — 113,575 
AFS securities20,595,928 — 20,500,323 95,605 — 20,595,928 
HTM securities1,013,785 — 936,153 25,840 — 961,993 
Advances77,683,630 — 77,639,644 — — 77,639,644 
Mortgage loans held for portfolio, net5,476,529 — 5,080,714 — — 5,080,714 
Accrued interest receivable371,342 — 371,342 — — 371,342 
Derivative assets344,620 — 108,837 — 235,783 344,620 
                     Liabilities:
Deposits$598,618 $— $598,618 $— $— $598,618 
Discount notes29,428,993 — 29,423,669 — — 29,423,669 
Bonds81,349,327 — 80,890,944 — — 80,890,944 
Mandatorily redeemable capital stock (3)
13,379 13,710 — — — 13,710 
Accrued interest payable (3)
413,359 — 413,028 — — 413,028 
Derivative liabilities7,032 — 79,840 — (72,808)7,032 
December 31, 2025
(in thousands)Carrying
Value		Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Estimated
Fair Value
                       Assets:
Cash and due from banks$32,585 $32,585 $— $— $— $32,585 
Interest-bearing deposits2,408,873 2,408,873 — — — 2,408,873 
Securities purchased under agreements to resell (2)
2,680,000 — 2,680,006 — — 2,680,006 
Federal funds sold5,977,000 — 5,976,975 — — 5,976,975 
Trading securities119,676 — 119,676 — — 119,676 
AFS securities18,189,327 — 18,087,199 102,128 — 18,189,327 
HTM securities1,143,705 — 1,071,285 28,314 — 1,099,599 
Advances36,819,992 — 36,861,975 — — 36,861,975 
Mortgage loans held for portfolio, net5,220,302 — 4,856,826 — — 4,856,826 
Accrued interest receivable261,589 — 261,590 — — 261,590 
Derivative assets 350,117 — 79,103 — 271,014 350,117 
                        Liabilities:
Deposits$590,785 $— $590,785 $— $— $590,785 
Discount notes16,697,025 — 16,698,670 — — 16,698,670 
Bonds50,795,251 — 50,432,389 — — 50,432,389 
Mandatorily redeemable capital stock (3)
12,344 12,638 — — — 12,638 
Accrued interest payable (3)
305,053 — 304,759 — — 304,759 
Derivative liabilities 1,994 — 126,831 — (124,837)1,994 
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 June 30, 2026 and December 31, 2025. 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 2025 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 six months ended June 30, 2026.

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 June 30, 2026 and December 31, 2025. 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. Real Estate Owned (REO) is measured using fair value when the assets’ fair value less costs to sell is lower than the carrying amount.
June 30, 2026
(in thousands)Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Total
Recurring fair value measurements - Assets
Trading securities:
Non-MBS:
GSE obligations$— $113,575 $— $— $113,575 
Total trading securities$— $113,575 $— $— $113,575 
AFS securities:
Non-MBS:
U.S. Treasury obligations$— $5,105,478 $— $— $5,105,478 
GSE and TVA obligations— 775,565 — — 775,565 
State or local agency obligations— 175,902 — — 175,902 
MBS:
U.S. obligations single-family — 1,447,418 — — 1,447,418 
GSE single-family — 5,852,554 — — 5,852,554 
GSE multifamily — 7,143,406 — — 7,143,406 
Private label — — 95,605 — 95,605 
Total AFS securities$— $20,500,323 $95,605 $— $20,595,928 
Derivative assets:
Interest rate related$— $108,830 $— $235,783 $344,613 
Mortgage delivery commitments— 7 — — 7 
Total derivative assets— 108,837 — 235,783 344,620 
Total recurring assets at fair value$— $20,722,735 $95,605 $235,783 $21,054,123 
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related$— $78,890 $— $(72,808)$6,082 
Mortgage delivery commitments— 950 — — 950 
Total recurring liabilities at fair value $— $79,840 $— $(72,808)$7,032 
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio $— $— $5,399 $— $5,399 
REO— — 906 — 906 
Total non-recurring assets at fair value $— $— $6,305 $— $6,305 
December 31, 2025
(in thousands)Level 1Level 2Level 3
Netting Adjustment and Cash Collateral (1)
Total
Recurring fair value measurements - Assets
Trading securities:
Non-MBS:
GSE obligations$— $119,676 $— $— $119,676 
Total trading securities$— $119,676 $— $— $119,676 
AFS securities:
Non-MBS:
U.S. Treasury obligations$— $4,912,280 $— $— $4,912,280 
GSE and TVA obligations— 834,063 — — 834,063 
State or local agency obligations— 174,833 — — 174,833 
MBS:
U.S. obligations single-family — 1,303,882 — — 1,303,882 
GSE single-family — 4,547,773 — — 4,547,773 
GSE multifamily — 6,314,368 — — 6,314,368 
Private label — — 102,128 — 102,128 
Total AFS securities$— $18,087,199 $102,128 $— $18,189,327 
Derivative assets:
Interest rate related $— $79,097 $— $271,014 $350,111 
Mortgage delivery commitments— 6 — — 6 
Total derivative assets$— $79,103 $— $271,014 $350,117 
Total recurring assets at fair value$— $18,285,978 $102,128 $271,014 $18,659,120 
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related $— $126,233 $— $(124,837)$1,396 
Mortgage delivery commitments— 598 — — 598 
Total recurring liabilities at fair value $— $126,831 $— $(124,837)$1,994 
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio$— $— $10,751 $— $10,751 
REO— — 328 — 328 
Total non-recurring assets at fair value $— $— $11,079 $— $11,079 
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 Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of assets and liabilities that are measured at fair value on the Statements of Condition using significant unobservable inputs (Level 3) for the six months ended June 30, 2026 and 2025. 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 six months of 2026 or 2025.
AFS Private Label MBS
Three months ended June 30,Six months ended June 30,
(in thousands)2026202520262025
Balance, beginning of period$98,889 $111,876 $102,128 $113,495 
Total gains (losses) (realized/unrealized) included in:
(Provision) reversal for credit losses (1,006)(708)(2,246)(1,493)
Accretion of credit losses in interest income1,058 690 2,149 1,880 
Net unrealized gains (losses) on AFS in OCI19 (947)(1,020)(997)
Settlements:
Settlements(3,355)(3,098)(5,406)(5,072)
Balance, end of period$95,605 $107,813 $95,605 $107,813 
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 June 30
$52 $(18)$(97)$387 
Change in unrealized gains (losses) for the period included in other comprehensive income (loss) for assets held at June 30
$19 $(947)$(1,020)$(997)