v3.26.3
Fair Value
 9 Months Ended
Sep. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value
Note 11 — Fair Value
The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. There have been no material changes in the fair value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs since the Bank’s 2025 Form 10-K.
The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments.
September 30, 2026
(In millions)
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$18 $18 $18 $— $— $— 
Interest-bearing deposits3,127 3,127 3,127 — — — 
Securities purchased under agreements to resell5,200 5,200 — 5,200 — — 
Federal funds sold5,945 5,945 — 5,945 — — 
AFS securities19,802 19,802 — 19,015 787 — 
HTM securities584 571 — 508 63 — 
Advances30,808 30,766 — 30,766 — — 
Mortgage loans held for portfolio601 490 — 490 — — 
Accrued interest receivable207 207 — 207 — — 
Derivative assets, net(2)
45 45 — 555 — (510)
Other assets(3)
21 21 21 — — — 
Liabilities
Deposits897 897 — 897 — — 
Consolidated obligations:
Bonds39,142 39,013 — 39,013 — — 
Discount notes18,391 18,389 — 18,389 — — 
Total consolidated obligations57,533 57,402 — 57,402 — — 
Mandatorily redeemable capital stock20 20 20 — — — 
Accrued interest payable207 207 — 207 — — 
Derivative liabilities, net(2)
1 1 — 173 — (172)
December 31, 2025
Carrying
Value(1)
Estimated Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks$16 $16 $16 $— $— $— 
Interest-bearing deposits3,092 3,092 3,092 — — — 
Securities purchased under agreements to resell4,650 4,650 — 4,650 — — 
Federal funds sold5,070 5,070 — 5,070 — — 
AFS securities20,253 20,253 — 19,372 881 — 
HTM securities903 892 — 816 76 — 
Advances38,227 38,271 — 38,271 — — 
Mortgage loans held for portfolio639 552 — 552 — — 
Accrued interest receivable193 193 — 193 — — 
Derivative assets, net(2)
42 42 — 512 — (470)
Other assets(3)
20 20 20 — — — 
Liabilities
Deposits873 873 — 873 — — 
Consolidated obligations:
Bonds47,254 47,162 — 47,162 — — 
Discount notes17,074 17,073 — 17,073 — — 
Total consolidated obligations64,328 64,235 — 64,235 — — 
Mandatorily redeemable capital stock106 106 106 — — — 
Accrued interest payable292 292 — 292 — — 
Derivative liabilities, net(2)
3 3 — 182 — (179)
(1)    For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses.
(2)    Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.
(3)    Includes publicly traded mutual funds held in a grantor trust.
Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis, by level within the fair value hierarchy.
September 30, 2026
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)Level 1Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,312 $— $— $6,312 
State housing agency obligations
— 64 — — 64 
MBS:
GSEs – multifamily— 12,639 — — 12,639 
PLRMBS— — 787 — 787 
Subtotal AFS MBS— 12,639 787 — 13,426 
Total AFS securities— 19,015 787 — 19,802 
Advances(2)
— 1,879 — — 1,879 
Derivative assets, net: interest rate-related— 555 — (510)45 
Other assets21 — — — 21 
Total recurring fair value measurements – Assets$21 $21,449 $787 $(510)$21,747 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $80 $— $— $80 
Derivative liabilities, net: interest rate-related— 173 — (172)1 
Total recurring fair value measurements – Liabilities$— $253 $— $(172)$81 
December 31, 2025
Fair Value Measurement Using:
Netting Adjustments
 and Cash Collateral(1)
(In millions)
Level 1
Level 2Level 3Total
Recurring fair value measurements – Assets:
AFS securities:
U.S. Treasury obligations$— $6,393 $— $— $6,393 
State housing agency obligations
— 42 — — 42 
MBS:
GSEs – multifamily— 12,937 — — 12,937 
PLRMBS— — 881 — 881 
Subtotal AFS MBS— 12,937 881 — 13,818 
Total AFS securities— 19,372 881 — 20,253 
Advances(2)
— 5,441 — — 5,441 
Derivative assets, net: interest rate-related— 512 — (470)42 
Other assets20 — — — 20 
Total recurring fair value measurements – Assets$20 $25,325 $881 $(470)$25,756 
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds(3)
$— $357 $— $— $357 
Derivative liabilities, net: interest rate-related— 182 — (179)3 
Total recurring fair value measurements – Liabilities$— $539 $— $(179)$360 
Nonrecurring fair value measurements – Assets:(4)
Impaired mortgage loans held for portfolio$— $— $2 $— $2 
Total nonrecurring fair value measurements – Assets$— $— $2 $— $2 
(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 agents or counterparty.
(2)Represents advances recorded under the fair value option at September 30, 2026, and December 31, 2025.
(3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2026, and December 31, 2025.
(4)The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2025.
The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3).
Three Months Ended
(In millions)
September 30, 2026September 30, 2025
Balance, beginning of the period$826 $920 
Total gain/(loss) realized and unrealized included in:
Interest income3 3 
(Provision for)/reversal of credit losses(6)2 
Unrealized gain/(loss) included in AOCI(14)— 
Settlements(22)(22)
Balance, end of the period$787 $903 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period
$(14)$— 
Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period
$(3)$6 
Nine Months Ended
(In millions)September 30, 2026September 30, 2025
Balance, beginning of the period$881 $957 
Total gain/(loss) realized and unrealized included in:
Interest income8 10 
(Provision for)/reversal of credit losses(12)(2)
Unrealized gain/(loss) included in AOCI(16)5 
Settlements(74)(67)
Balance, end of the period$787 $903 
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period$(16)$5 
Total amount of gain/(loss) for the period included in earnings relating to assets held at the end of the period
$(4)$9 
Fair Value Option. The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under the fair value option:
Three Months EndedNine Months Ended
(In millions)September 30, 2026September 30, 2025September 30, 2026September 30, 2025
Advances
$(19)$— $(59)$43 
Consolidated obligation bonds
(1)(3)(3)(9)
Total
$(20)$(3)$(62)$34 
For consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2026 and 2025.
The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option:
September 30, 2026December 31, 2025
(In millions)
Principal Balance
Fair ValueFair Value
Over/(Under)
Principal Balance		Principal BalanceFair ValueFair Value
Over/(Under)
Principal Balance
Advances
$1,891 $1,879 $(12)$5,371 $5,441 $70 
Consolidated obligation bonds80 80 — 360 357 (3)