Estimated Fair Values (Tables)

6 Months Ended

Jun. 30, 2024

The carrying value and estimated fair value of the Bank’s financial instruments at June 30, 2024 and December 31, 2023 are presented in the table below.


Fair Value Summary Table
	June 30, 2024
(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	$	13,757	$	13,757	$	—	$	—	$	—	$	13,757
Interest-bearing deposits	2,977,386		2,977,386		—		—		—		2,977,386
Securities purchased under agreements to resell (2)	6,080,000		—		6,079,989		—		—		6,079,989
Federal funds sold	2,975,000		—		2,974,997		—		—		2,974,997
Trading securities	187,406		—		187,406		—		—		187,406
AFS securities	17,272,699		—		17,155,718		116,982		—		17,272,700
HTM securities	1,253,800		—		1,132,196		37,919		—		1,170,115
Advances	72,874,282		—		72,845,652		—		—		72,845,652
Mortgage loans held for portfolio, net	4,745,921		—		4,150,949		—		—		4,150,949

Accrued interest receivable	499,170		—		499,170		—		—		499,170
Derivative assets	355,701		—		112,357		—		243,344		355,701
Liabilities:
Deposits	$	745,367	$	—	$	745,367	$	—	$	—	$	745,367
Discount notes	8,605,183		—		8,601,321		—		—		8,601,321
Bonds	93,294,031		—		92,705,559		—		—		92,705,559
Mandatorily redeemable capital stock (3)	27,752		28,372		—		—		—		28,372
Accrued interest payable (3)	680,083		—		679,462		—		—		679,462
Derivative liabilities	8,404		—		599,765		—		(591,361)		8,404


	December 31, 2023
(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	$	11,509	$	11,509	$	—	$	—	$	—	$	11,509
Interest-bearing deposits	3,110,803		3,110,803		—		—		—		3,110,803
Securities purchased under agreements to resell (2)	5,980,000		—		5,979,957		—		—		5,979,957
Federal funds sold	2,533,000		—		2,532,983		—		—		2,532,983
Trading securities	217,722		—		217,722		—		—		217,722
AFS securities	14,822,933		—		14,697,125		125,808		—		14,822,933
HTM securities	1,339,759		—		1,231,090		41,656		—		1,272,746
Advances	78,431,508		—		78,364,403		—		—		78,364,403
Mortgage loans held for portfolio, net	4,697,752		—		4,236,537		—		—		4,236,537

Accrued interest receivable	517,361		—		517,361		—		—		517,361
Derivative assets	408,507		—		206,615		—		201,892		408,507
Liabilities:
Deposits	$	636,726	$	—	$	636,726	$	—	$	—	$	636,726
Discount notes	13,683,580		—		13,678,683		—		—		13,678,683
Bonds	90,801,032		—		90,267,686		—		—		90,267,686
Mandatorily redeemable capital stock (3)	27,874		28,468		—		—		—		28,468
Accrued interest payable (3)	753,663		—		753,069		—		—		753,069
Derivative liabilities	7,334		—		650,673		—		(643,339)		7,334

Notes:

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued 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, 2024 and December 31, 2023. 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, 2024 and December 31, 2023. 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 is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.


	June 30, 2024
(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	$	—	$	187,406	$	—	$	—	$	187,406
Total trading securities	$	—	$	187,406	$	—	$	—	$	187,406
AFS securities:
Non MBS:
U.S. Treasury obligations	$	—	$	4,031,533	$	—	$	—	$	4,031,533
GSE and TVA obligations	—		963,027		—		—		963,027
State or local agency obligations	—		169,331		—		—		169,331
MBS:
U.S. obligations single-family	—		1,999,754		—		—		1,999,754
GSE single-family	—		3,752,338		—		—		3,752,338
GSE multifamily	—		6,239,734		—		—		6,239,734
Private label	—		—		116,982		—		116,982
Total AFS securities	$	—	$	17,155,717	$	116,982	$	—	$	17,272,699
Derivative assets:
Interest rate related	$	—	$	112,351	$	—	$	243,344	$	355,695
Mortgage delivery commitments	—		6		—		—		6
Total derivative assets	—		112,357		—		243,344		355,701

Total recurring assets at fair value	$	—	$	17,455,480	$	116,982	$	243,344	$	17,815,806
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	599,600	$	—	$	(591,361)	$	8,239
Mortgage delivery commitments	—		165		—		—		165
Total recurring liabilities at fair value	$	—	$	599,765	$	—	$	(591,361)	$	8,404
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	4,731	$	—	$	4,731
REO	—		—		297		—		297
Total non-recurring assets at fair value	$	—	$	—	$	5,028	$	—	$	5,028


	December 31, 2023
(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	$	—	$	217,722	$	—	$	—	$	217,722
Total trading securities	$	—	$	217,722	$	—	$	—	$	217,722
AFS securities:
Non MBS:
U.S. Treasury obligations	$	—	$	3,676,037	$	—	$	—	$	3,676,037
GSE and TVA obligations	—		983,307		—		—		983,307
State or local agency obligations	—		174,111		—		—		174,111
MBS:
U.S. obligations single-family	—		1,538,389		—		—		1,538,389
GSE single-family	—		2,047,752		—		—		2,047,752
GSE multifamily	—		6,277,529		—		—		6,277,529
Private label	—		—		125,808		—		125,808
Total AFS securities	$	—	$	14,697,125	$	125,808	$	—	$	14,822,933
Derivative assets:
Interest rate related	$	—	$	206,460	$	—	$	201,892	$	408,352
Mortgage delivery commitments	—		155		—		—		155
Total derivative assets	$	—	$	206,615	$	—	$	201,892	$	408,507
Total recurring assets at fair value	$	—	$	15,121,462	$	125,808	$	201,892	$	15,449,162
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	650,647	$	—	$	(643,339)	$	7,308
Mortgage delivery commitments	—		26		—		—		26
Total recurring liabilities at fair value	$	—	$	650,673	$	—	$	(643,339)	$	7,334
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	6,859	$	—	$	6,859
REO	—		—		290		—		290
Total non-recurring assets at fair value	$	—	$	—	$	7,149	$	—	$	7,149

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.

Rollforward of Level 3 Assets and Liabilities

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 six months ended June 30, 2024 and 2023. 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 2024 or 2023.


	AFS Private Label MBS
	Three months ended June 30,				Six months ended June 30,
(in thousands)	2024		2023		2024		2023
Balance, beginning of period	$	121,625	$	138,573	$	125,808	$	142,271
Total gains (losses) (realized/unrealized) included in:

(Provision) reversal for credit losses	(716)		(394)		(1,950)		(1,474)
Accretion of credit losses in interest income	1,485		1,177		2,883		3,279
Net unrealized gains (losses) on AFS in OCI	(992)		(1,657)		(2,275)		(3,802)
Settlements:

Settlements	(4,420)		(3,014)		(7,484)		(5,589)
Balance, end of period	$	116,982	$	134,685	$	116,982	$	134,685
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	$	769	$	783	$	933	$	1,805
Change in unrealized gains (losses) for the period included in other comprehensive income (loss) for assets held at June 30	$	(992)	$	(1,657)	$	(2,275)	$	(3,802)