| Fair Value, by Balance Sheet Grouping |
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.
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| 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.
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| 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) | |
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