Fair Value (Tables)

9 Months Ended

Sep. 30, 2026

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 Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	18	$	18	$	18	$	—	$	—	$	—
Interest-bearing deposits	3,127		3,127		3,127		—		—		—
Securities purchased under agreements to resell	5,200		5,200		—		5,200		—		—
Federal funds sold	5,945		5,945		—		5,945		—		—

AFS securities	19,802		19,802		—		19,015		787		—
HTM securities	584		571		—		508		63		—
Advances	30,808		30,766		—		30,766		—		—
Mortgage loans held for portfolio	601		490		—		490		—		—

Accrued interest receivable	207		207		—		207		—		—
Derivative assets, net(2)	45		45		—		555		—		(510)
Other assets(3)	21		21		21		—		—		—
Liabilities
Deposits	897		897		—		897		—		—
Consolidated obligations:
Bonds	39,142		39,013		—		39,013		—		—
Discount notes	18,391		18,389		—		18,389		—		—
Total consolidated obligations	57,533		57,402		—		57,402		—		—
Mandatorily redeemable capital stock	20		20		20		—		—		—

Accrued interest payable	207		207		—		207		—		—
Derivative liabilities, net(2)	1		1		—		173		—		(172)


	December 31, 2025
	Carrying Value(1)		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Assets
Cash and due from banks	$	16	$	16	$	16	$	—	$	—	$	—
Interest-bearing deposits	3,092		3,092		3,092		—		—		—
Securities purchased under agreements to resell	4,650		4,650		—		4,650		—		—
Federal funds sold	5,070		5,070		—		5,070		—		—

AFS securities	20,253		20,253		—		19,372		881		—
HTM securities	903		892		—		816		76		—
Advances	38,227		38,271		—		38,271		—		—
Mortgage loans held for portfolio	639		552		—		552		—		—
Accrued interest receivable	193		193		—		193		—		—
Derivative assets, net(2)	42		42		—		512		—		(470)
Other assets(3)	20		20		20		—		—		—
Liabilities
Deposits	873		873		—		873		—		—
Consolidated obligations:
Bonds	47,254		47,162		—		47,162		—		—
Discount notes	17,074		17,073		—		17,073		—		—
Total consolidated obligations	64,328		64,235		—		64,235		—		—
Mandatorily redeemable capital stock	106		106		106		—		—		—

Accrued interest payable	292		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, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques

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 1		Level 2		Level 3				Total
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 assets	21		—		—		—		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 2		Level 3				Total
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 assets	20		—		—		—		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.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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, 2026		September 30, 2025
Balance, beginning of the period	$	826	$	920
Total gain/(loss) realized and unrealized included in:
Interest income	3		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, 2026		September 30, 2025
Balance, beginning of the period	$	881	$	957
Total gain/(loss) realized and unrealized included in:
Interest income	8		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, Quantitative Disclosures

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 Ended				Nine Months Ended
(In millions)	September 30, 2026		September 30, 2025		September 30, 2026		September 30, 2025
Advances	$	(19)	$	—	$	(59)	$	43
Consolidated obligation bonds	(1)		(3)		(3)		(9)
Total	$	(20)	$	(3)	$	(62)	$	34

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, 2026						December 31, 2025
(In millions)	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances	$	1,891	$	1,879	$	(12)	$	5,371	$	5,441	$	70
Consolidated obligation bonds	80		80		—		360		357		(3)

- 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.

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