Estimated Fair Values (Tables)

6 Months Ended

Jun. 30, 2026

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 1		Level 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 deposits	3,463,600		3,463,600		—		—		—		3,463,600
Securities purchased under agreements to resell (2)	2,200,000		—		2,200,000		—		—		2,200,000
Federal funds sold	7,097,000		—		7,096,993		—		—		7,096,993
Trading securities	113,575		—		113,575		—		—		113,575
AFS securities	20,595,928		—		20,500,323		95,605		—		20,595,928
HTM securities	1,013,785		—		936,153		25,840		—		961,993
Advances	77,683,630		—		77,639,644		—		—		77,639,644
Mortgage loans held for portfolio, net	5,476,529		—		5,080,714		—		—		5,080,714

Accrued interest receivable	371,342		—		371,342		—		—		371,342
Derivative assets	344,620		—		108,837		—		235,783		344,620
Liabilities:
Deposits	$	598,618	$	—	$	598,618	$	—	$	—	$	598,618
Discount notes	29,428,993		—		29,423,669		—		—		29,423,669
Bonds	81,349,327		—		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 liabilities	7,032		—		79,840		—		(72,808)		7,032


	December 31, 2025
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	32,585	$	32,585	$	—	$	—	$	—	$	32,585
Interest-bearing deposits	2,408,873		2,408,873		—		—		—		2,408,873
Securities purchased under agreements to resell (2)	2,680,000		—		2,680,006		—		—		2,680,006
Federal funds sold	5,977,000		—		5,976,975		—		—		5,976,975
Trading securities	119,676		—		119,676		—		—		119,676
AFS securities	18,189,327		—		18,087,199		102,128		—		18,189,327
HTM securities	1,143,705		—		1,071,285		28,314		—		1,099,599
Advances	36,819,992		—		36,861,975		—		—		36,861,975
Mortgage loans held for portfolio, net	5,220,302		—		4,856,826		—		—		4,856,826

Accrued interest receivable	261,589		—		261,590		—		—		261,590
Derivative assets	350,117		—		79,103		—		271,014		350,117
Liabilities:
Deposits	$	590,785	$	—	$	590,785	$	—	$	—	$	590,785
Discount notes	16,697,025		—		16,698,670		—		—		16,698,670
Bonds	50,795,251		—		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 Measurements

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 1		Level 2		Level 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 1		Level 2		Level 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:

Rollforward of Level 3 Assets and Liabilities

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)	2026		2025		2026		2025
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 income	1,058		690		2,149		1,880
Net unrealized gains (losses) on AFS in OCI	19		(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)

- 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.

+ References + Details