UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM~~10-Q~~

~~––––––––––––––––––––––––––––––––––––––––––––––––––––~~

x ~~QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934~~10-Q

~~For the quarterly period ended~~ ~~September 30, 2017~~

o~~TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934~~

~~For the transition period from __________ to __________~~

~~Commission File Number: 000-51402~~

~~––––––~~––––––––––––––––––––––––––––––––––––––––––––––––––––

☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2022

☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM ________ TO ________ .

Commission file number: 000-51402

FEDERAL HOME LOAN BANK OF BOSTON

(Exact name of registrant as specified in its charter)

Federally chartered corporation

of the United States

04-6002575

(State or other jurisdiction of incorporation or organization)

~~04-6002575~~

(I.R.S. employer identification number)

800 Boylston Street,

Boston

02199

(Address of principal executive offices)

~~02199~~

(Zip code)

(617) 292-9600

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x ~~Yes~~No o No

Indicate by check mark whether the registrant has submitted electronically ~~and posted on its corporate Web site, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit ~~and post~~ such files). Yes x ~~Yes~~No o No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of ~~“large~~"large accelerated ~~filer,"~~filer", "accelerated ~~filer,”~~filer", "smaller reporting ~~company,"~~company" and ~~emerging~~"emerging growth company" in Rule 12b-2 of the Exchange Act.

(Check one):

Large accelerated filer o

Accelerated filer o

Non-accelerated filer

~~(Do not check if a smaller reporting company)~~

Smaller reporting company o

☐

Emerging growth company

o☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the ~~Exchange~~ Act).o Yes x☐ No

~~Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.~~x


		Shares outstanding as of July 31, 2022
Class B Stock, par value	$100	16,266,828

Shares outstanding as of
October 31, 2017
Class A Stock, par value $100 zero
Class B Stock, par value $100 22,785,171

Federal Home Loan Bank of Boston

Form 10-Q

Table of Contents


PART I.			FINANCIAL INFORMATION		3

Item 1.			Financial Statements (unaudited)		3
			Statements of Condition		3
			Statements of Operations		4
			Statements of Comprehensive Income		5
			Statements of Capital		6
			Statements of Cash Flows		7
			Notes to Financial Statements		9
			Note 1 — Basis of Presentation		9
			Note 2 — Recently Issued and Adopted Accounting Guidance		9
			Note 3 — Investments		9
			Note 4 — Advances		14
			Note 5 — Mortgage Loans Held for Portfolio		17
			Note 6 — Derivatives and Hedging Activities		19
			Note 7 — Deposits		26
			Note 8 — Consolidated Obligations		26
			Note 9 — Affordable Housing Program		28
			Note 10 — Capital		28
			Note 11 — Accumulated Other Comprehensive Loss		29
			Note 12 — Fair Value		31
			Note 13 — Commitments and Contingencies		35
			Note 14 — Transactions with Shareholders		36
			Note 15 — Subsequent Events		37

~~PART I.~~			~~FINANCIAL INFORMATION~~	3

Item 1.2.	~~Financial Statements (unaudited)~~	3
	~~Statements of Condition~~	3
	~~Statements of Operations~~	4
	~~Statements of Comprehensive Income~~	5
	~~Statements of Capital~~	6
	~~Statements of Cash Flows~~	7
	~~Notes to Financial Statements~~	9
	~~Note 1 — Basis of Presentation~~	9
	~~Note 2 — Summary of Significant Accounting Policies~~	9
	~~Note 3 — Recently Issued and Adopted Accounting Guidance~~	9
	~~Note 4 — Trading Securities~~	11
	~~Note 5 — Available-for-Sale Securities~~	12
	~~Note 6 — Held-to-Maturity Securities~~	14
	~~Note 7 — Other-Than-Temporary Impairment~~	16
	~~Note 8 — Advances~~	18
	~~Note 9 — Mortgage Loans Held for Portfolio~~	20
	~~Note 10 — Allowance for Credit Losses~~	20
	~~Note 11 — Derivatives and Hedging Activities~~	24
	~~Note 12 — Deposits~~	29
	~~Note 13 — Consolidated Obligations~~	29
	~~Note 14 — Affordable Housing Program~~	30
	~~Note 15 — Capital~~	30
	~~Note 16 — Accumulated Other Comprehensive Loss~~	31
	~~Note 17 — Fair Value~~	33
	~~Note 18 — Commitments and Contingencies~~	38
	~~Note 19 — Transactions with Shareholders~~	39
	~~Note 20 — Subsequent Events~~	40

~~Item 2.~~	Management’s Discussion and Analysis of Financial Condition and Results of Operations	4137
Item 3.3.			Quantitative and Qualitative Disclosures About Market Risk		7763
Item 4.			Controls and Procedures		8167

PART II.			OTHER INFORMATION		8168

Item 1.1.			Legal Proceedings		8168
Item 1A.			Risk Factors		8268
Item 2.			Unregistered Sales of Equity Securities and Use of ~~Proceeds~~Proceed s		8268
Item 3.			Defaults Upon Senior Securities		8268
Item 4.			Mine Safety Disclosures		8268
Item 5.			Other Information		8269
Item 6.6.			Exhibits		8269

~~Table of Contents~~

PART I.I FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CONDITION (dollars and shares in thousands, except par value) (unaudited)	FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CONDITION (dollars and shares in thousands, except par value) (unaudited)						FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CONDITION (dollars and shares in thousands, except par value) (unaudited)
	September 30, 2017			December 31, 2016				June 30, 2022		December 31, 2021
ASSETS							ASSETS
Cash and due from banks	$	31,774		$	520,031		Cash and due from banks	$	65,965	$	204,993
Interest-bearing deposits	225,012			278			Interest-bearing deposits	395,230		85,153
Securities purchased under agreements to resell	2,999,000			5,999,000			Securities purchased under agreements to resell	11,250,000		800,000
Federal funds sold	6,250,000			2,700,000			Federal funds sold	2,998,000		1,944,000
Investment securities:							Investment securities:
Trading securities	509,463			612,622			Trading securities	980		501,867
Available-for-sale securities - includes $1,630 and $7,968 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged	7,559,111			6,588,664
Held-to-maturity securities - includes $7,021 and $23,618 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged (a)	1,798,011			2,130,767
Available-for-sale securities (amortized cost of $13,730,648 and $12,837,974 at June 30, 2022, and December 31, 2021, respectively)							Available-for-sale securities (amortized cost of $13,730,648 and $12,837,974 at June 30, 2022, and December 31, 2021, respectively)	13,496,627		12,895,987
Held-to-maturity securities (a)							Held-to-maturity securities (a)	113,697		145,492
Total investment securities	9,866,585			9,332,053			Total investment securities	13,611,304		13,543,346
Advances	37,467,404			39,099,339			Advances	30,318,486		12,340,020
Mortgage loans held for portfolio, net of allowance for credit losses of $500 and $650 at September 30, 2017, and December 31, 2016, respectively	3,942,776			3,693,894
Mortgage loans held for portfolio, net of allowance for credit losses of $1,500 and $1,700 at June 30, 2022, and December 31, 2021, respectively							Mortgage loans held for portfolio, net of allowance for credit losses of $1,500 and $1,700 at June 30, 2022, and December 31, 2021, respectively	2,897,373		3,120,159

Accrued interest receivable	84,886			84,653			Accrued interest receivable	85,367		68,360
Premises, software, and equipment, net	5,999			5,211

Derivative assets, net	48,163			61,598			Derivative assets, net	389,239		378,532
Other assets	53,856			49,529			Other assets	53,030		60,729
Total Assets	$	60,975,455		$	61,545,586		Total Assets	$	62,063,994	$	32,545,292
LIABILITIES							LIABILITIES
Deposits							Deposits
Interest-bearing	$	465,776		$	444,897		Interest-bearing	$	1,035,235	$	833,007
Non-interest-bearing	26,855			37,266			Non-interest-bearing	31,224		51,025
Total deposits	492,631			482,163			Total deposits	1,066,459		884,032
Consolidated obligations (COs):							Consolidated obligations (COs):
Bonds	28,492,595			27,171,434			Bonds	32,721,605		26,613,032
Discount notes	28,047,762			30,053,964			Discount notes	25,096,230		2,275,320
Total consolidated obligations	56,540,357			57,225,398			Total consolidated obligations	57,817,835		28,888,352
Mandatorily redeemable capital stock	36,042			32,687			Mandatorily redeemable capital stock	10,703		13,562
Accrued interest payable	100,148			80,822			Accrued interest payable	86,722		60,968
Affordable Housing Program (AHP) payable	77,329			81,627			Affordable Housing Program (AHP) payable	85,086		70,503
Derivative liabilities, net	309,675			357,876			Derivative liabilities, net	—		38,944
Other liabilities	191,657			40,235			Other liabilities	49,177		57,920
Total liabilities	57,747,839			58,300,808			Total liabilities	59,115,982		30,014,281
Commitments and contingencies (Note 18)
Commitments and contingencies (Note 13)							Commitments and contingencies (Note 13)	0		0
CAPITAL							CAPITAL
Capital stock – Class B – putable ($100 par value), 22,726 shares and 24,113 shares issued and outstanding at September 30, 2017, and December 31, 2016, respectively	2,272,648			2,411,306
Capital stock – Class B – putable ($100 par value), 15,572 shares and 9,536 shares issued and outstanding at June 30, 2022, and December 31, 2021, respectively							Capital stock – Class B – putable ($100 par value), 15,572 shares and 9,536 shares issued and outstanding at June 30, 2022, and December 31, 2021, respectively	1,557,243		953,638
Retained earnings:							Retained earnings:
Unrestricted	1,011,532			987,711			Unrestricted	1,230,558		1,179,986
Restricted	253,750			229,275			Restricted	376,620		368,420
Total retained earnings	1,265,282			1,216,986			Total retained earnings	1,607,178		1,548,406
Accumulated other comprehensive loss	(310,314		)	(383,514		)
Accumulated other comprehensive (loss) income							Accumulated other comprehensive (loss) income	(216,409)		28,967
Total capital	3,227,616			3,244,778			Total capital	2,948,012		2,531,011
Total Liabilities and Capital	$	60,975,455		$	61,545,586		Total Liabilities and Capital	$	62,063,994	$	32,545,292

(a) Fair values of held-to-maturity securities were $~~2,076,570~~$114,516 and ~~$2,372,290~~$148,068 at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, respectively.

The accompanying notes are an integral part of these financial statements.

Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF OPERATIONS (dollars in thousands) (unaudited)
	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
INTEREST INCOME
Advances	$	69,277	$	43,230	$	103,270	$	92,782
Prepayment fees on advances, net	2,364		4,232		3,278		11,965
Interest-bearing deposits	2,369		10		2,529		94
Securities purchased under agreements to resell	9,109		168		9,280		292
Federal funds sold	6,758		482		7,572		1,096
Investment securities:
Trading securities	17		15,141		551		32,449
Available-for-sale securities	62,405		10,841		107,138		33,836
Held-to-maturity securities	683		632		1,279		1,399
Total investment securities	63,105		26,614		108,968		67,684
Mortgage loans held for portfolio	21,419		23,007		42,947		48,144

Total interest income	174,401		97,743		277,844		222,057
INTEREST EXPENSE
Consolidated obligations:
Bonds	78,242		53,684		122,142		115,285
Discount notes	26,109		683		26,716		3,085
Total consolidated obligations	104,351		54,367		148,858		118,370
Deposits	326		25		348		50
Mandatorily redeemable capital stock	97		25		166		49
Other borrowings	310		5		313		9
Total interest expense	105,084		54,422		149,685		118,478
NET INTEREST INCOME	69,317		43,321		128,159		103,579
(Reduction of) provision for credit losses	(99)		199		(199)		(1,027)
NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES	69,416		43,122		128,358		104,606
OTHER INCOME (LOSS)

Loss on early extinguishment of debt	—		(1,523)		(432)		(4,948)
Service fees	3,943		2,684		6,495		5,380
Net losses on trading securities	(252)		(14,599)		(887)		(29,442)
Net (losses) gains on derivatives	(114)		447		(787)		(401)


Other, net	241		(113)		495		544
Total other income (loss)	3,818		(13,104)		4,884		(28,867)
OTHER EXPENSE
Compensation and benefits	10,773		10,461		22,012		20,699
Other operating expenses	6,249		6,012		12,668		11,864
Federal Housing Finance Agency (the FHFA)	1,014		957		2,103		1,914
Office of Finance	1,532		661		2,035		1,750
AHP voluntary contribution	5,455		1,713		13,980		4,789
Other	2,644		3,373		3,942		4,674
Total other expense	27,667		23,177		56,740		45,690
INCOME BEFORE ASSESSMENTS	45,567		6,841		76,502		30,049
AHP assessments	4,567		687		7,667		3,010


NET INCOME	$	41,000	$	6,154	$	68,835	$	27,039

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF OPERATIONS
(dollars in thousands)
(unaudited)

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
INTEREST INCOME
Advances $ 136,260
$ 84,830
$ 370,579
$ 244,060
Prepayment fees on advances, net 202
(35 ) 496
2,897
Securities purchased under agreements to resell 8,074
2,697
18,822
8,603
Federal funds sold 16,622
5,200
39,614
15,992
Investment securities:
Trading securities 2,767
2,182
8,077
6,623
Available-for-sale securities 30,625
28,452
78,161
76,767
Held-to-maturity securities 19,754
21,423
60,129
65,811
Prepayment fees on investments 42
85
123
416
Total investment securities 53,188
52,142
146,490
149,617
Mortgage loans held for portfolio 31,656
29,874
92,592
90,856
Other 822
171
1,549
414
Total interest income 246,824
174,879
670,142
512,439
INTEREST EXPENSE
Consolidated obligations:
Bonds 109,052
86,574
311,395
267,214
Discount notes 65,120
23,011
157,767
68,287
Total consolidated obligations 174,172
109,585
469,162
335,501
Deposits 1,144
180
2,434
441
Mandatorily redeemable capital stock 399
334
1,105
1,032
Other borrowings —
1
8
3
Total interest expense 175,715
110,100
472,709
336,977
NET INTEREST INCOME 71,109
64,779
197,433
175,462
Provision (reduction of provision) for credit losses 28
(94 ) (148 ) (194 )
NET INTEREST INCOME AFTER PROVISION (REDUCTION OF PROVISION) FOR CREDIT LOSSES 71,081
64,873
197,581
175,656
OTHER INCOME (LOSS)
Total other-than-temporary impairment losses on investment securities (12 ) (568 ) (102 ) (1,653 )
Net amount of impairment losses reclassified (from) to accumulated other comprehensive loss (420 ) 197
(1,316 ) (1,068 )
Net other-than-temporary impairment losses on investment securities, credit portion (432 ) (371 ) (1,418 ) (2,721 )
Litigation settlements —
—
—
19,584
Loss on early extinguishment of debt —
(184 ) —
(1,484 )
Service fees 2,228
1,948
6,362
5,850
Net unrealized losses on trading securities (1,591 ) (2,849 ) (3,857 ) (892 )
Net losses on derivatives and hedging activities (6 ) (1,922 ) (388 ) (11,120 )
Other 397
(65 ) 358
(203 )
Total other income (loss) 596
(3,443 ) 1,057
9,014
OTHER EXPENSE
Compensation and benefits 11,463
10,396
32,120
30,746
Other operating expenses 5,749
5,792
17,704
16,939
Federal Housing Finance Agency (the FHFA) 934
819
2,870
2,640
Office of Finance 734
732
2,321
2,274
Other 2,092
3,034
7,528
5,796
Total other expense 20,972
20,773
62,543
58,395
INCOME BEFORE ASSESSMENTS 50,705
40,657
136,095
126,275
AHP 5,110
4,099
13,720
12,731
NET INCOME $ 45,595
$ 36,558
$ 122,375
$ 113,544

The accompanying notes are an integral part of these financial statements.

Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands) (unaudited)
	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Net income	$	41,000	$	6,154	$	68,835	$	27,039
Other comprehensive (loss) income:

Net unrealized (losses) gains on available-for-sale securities	(150,748)		37,811		(292,034)		35,892


Net unrealized gains (losses) relating to hedging activities	23,637		(12,718)		47,133		(5,975)
Pension and postretirement benefits	(498)		1,329		(475)		1,589
Total other comprehensive (loss) income	(127,609)		26,422		(245,376)		31,506
Comprehensive (loss) income	$	(86,609)	$	32,576	$	(176,541)	$	58,545

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF COMPREHENSIVE INCOME
(dollars in thousands)
(unaudited)

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Net income $ 45,595
$ 36,558
$ 122,375
$ 113,544
Other comprehensive income:
Net unrealized (losses) gains on available-for-sale securities (61 ) (17,325 ) 42,439
62,446
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities
Net amount of impairment losses reclassified to (from) non-interest income 420
(196 ) 1,316
1,068
Accretion of noncredit portion 8,178
8,586
24,593
26,938
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities 8,598
8,390
25,909
28,006
Net unrealized (losses) gains relating to hedging activities
Unrealized (losses) gains (856 ) 1,082
(5,937 ) (25,688 )
Reclassification adjustment for previously deferred hedging gains and losses included in net income 2,161
5,341
9,875
19,445
Total net unrealized gains (losses) relating to hedging activities 1,305
6,423
3,938
(6,243 )
Pension and postretirement benefits 305
210
914
(2,256 )
Total other comprehensive income (loss) 10,147
(2,302 ) 73,200
81,953
Comprehensive income $ 55,742
$ 34,256
$ 195,575
$ 195,497

The accompanying notes are an integral part of these financial statements.

Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CAPITAL THREE AND SIX MONTHS ENDED JUNE 30, 2022 and 2021 (dollars and shares in thousands) (unaudited)

	Capital Stock Class B – Putable			Retained Earnings						Accumulated Other Comprehensive (Loss) Income
	Shares	Par Value		Unrestricted		Restricted		Total				Total Capital
BALANCE, MARCH 31, 2021	11,817	$	1,181,665	$	1,145,756	$	368,420	$	1,514,176	$	21,223	$	2,717,064
Comprehensive income				6,154		—		6,154		26,422		32,576
Proceeds from issuance of capital stock	584	58,347										58,347
Repurchase of capital stock	(1,574)	(157,373)										(157,373)
Shares reclassified to mandatorily redeemable capital stock	(16)	(1,582)										(1,582)
Cash dividends on capital stock				(4,631)				(4,631)				(4,631)
BALANCE, JUNE 30, 2021	10,811	$	1,081,057	$	1,147,279	$	368,420	$	1,515,699	$	47,645	$	2,644,401

BALANCE, MARCH 31, 2022	9,295	$	929,482	$	1,202,685	$	368,420	$	1,571,105	$	(88,800)	$	2,411,787
Comprehensive income				32,800		8,200		41,000		(127,609)		(86,609)
Proceeds from issuance of capital stock	19,394	1,939,415										1,939,415
Repurchase of capital stock	(13,027)	(1,302,693)										(1,302,693)
Shares reclassified to mandatorily redeemable capital stock	(90)	(8,961)										(8,961)
Cash dividends on capital stock				(4,927)				(4,927)				(4,927)
BALANCE, JUNE 30, 2022	15,572	$	1,557,243	$	1,230,558	$	376,620	$	1,607,178	$	(216,409)	$	2,948,012

BALANCE, DECEMBER 31, 2020	12,672	$	1,267,172	$	1,130,222	$	368,420	$	1,498,642	$	16,139	$	2,781,953
Comprehensive income				27,039		—		27,039		31,506		58,545
Proceeds from issuance of capital stock	982	98,184										98,184
Repurchase of capital stock	(2,827)	(282,717)										(282,717)
Shares reclassified to mandatorily redeemable capital stock	(16)	(1,582)										(1,582)
Cash dividends on capital stock				(9,982)				(9,982)				(9,982)
BALANCE, JUNE 30, 2021	10,811	$	1,081,057	$	1,147,279	$	368,420	$	1,515,699	$	47,645	$	2,644,401

BALANCE, DECEMBER 31, 2021	9,536	$	953,638	$	1,179,986	$	368,420	$	1,548,406	$	28,967	$	2,531,011
Comprehensive income				60,635		8,200		68,835		(245,376)		(176,541)
Proceeds from issuance of capital stock	20,613	2,061,275										2,061,275
Repurchase of capital stock	(14,487)	(1,448,709)										(1,448,709)
Shares reclassified to mandatorily redeemable capital stock	(90)	(8,961)										(8,961)
Cash dividends on capital stock				(10,063)				(10,063)				(10,063)
BALANCE, JUNE 30, 2022	15,572	$	1,557,243	$	1,230,558	$	376,620	$	1,607,178	$	(216,409)	$	2,948,012

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CAPITAL
NINE MONTHS ENDED SEPTEMBER 30, 2017 AND 2016
(dollars and shares in thousands)
(unaudited)

Capital Stock Class B – Putable Retained Earnings Accumulated Other Comprehensive Loss
Shares Par Value Unrestricted Restricted Total
Total
Capital
BALANCE, DECEMBER 31, 2015 23,367
$ 2,336,662
$ 934,214
$ 194,634
$ 1,128,848
$ (442,597 ) $ 3,022,913
Comprehensive income 90,835
22,709
113,544
81,953
195,497
Proceeds from sale of capital stock 3,143
314,274
314,274
Repurchase of capital stock (3,176 ) (317,634 ) (317,634 )
Shares reclassified to mandatorily redeemable capital stock (1 ) (40 ) (40 )
Cash dividends on capital stock (62,251 ) (62,251 ) (62,251 )
BALANCE, SEPTEMBER 30, 2016 23,333
$ 2,333,262
$ 962,798
$ 217,343
$ 1,180,141
$ (360,644 ) $ 3,152,759

BALANCE, DECEMBER 31, 2016 24,113
$ 2,411,306
$ 987,711
$ 229,275
$ 1,216,986
$ (383,514 ) $ 3,244,778
Comprehensive income 97,900
24,475
122,375
73,200
195,575
Proceeds from sale of capital stock 7,314
731,366
731,366
Repurchase of capital stock (8,614 ) (861,354 ) (861,354 )
Shares reclassified to mandatorily redeemable capital stock (87 ) (8,670 ) (8,670 )
Cash dividends on capital stock (74,079 ) (74,079 ) (74,079 )
BALANCE, SEPTEMBER 30, 2017 22,726
$ 2,272,648
$ 1,011,532
$ 253,750
$ 1,265,282
$ (310,314 ) $ 3,227,616

The accompanying notes are an integral part of these financial statements.

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FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CASH FLOWS (dollars in thousands) (unaudited)
	For the Six Months Ended June 30,
	2022		2021
OPERATING ACTIVITIES
Net income	$	68,835	$	27,039
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and (accretion)/amortization	(21,913)		(457)
Reduction of provision for credit losses	(199)		(1,027)
Net change in derivatives and hedging activities	1,126,266		100,227
Loss on early extinguishment of debt	432		4,948
Other adjustments, net	2,170		1,524


Net change in:
Market value of trading securities	887		29,442
Accrued interest receivable	(17,007)		4,150
Other assets	3,805		(4,307)
Accrued interest payable	25,754		(1,262)
Other liabilities	5,202		(4,630)
Total adjustments	1,125,397		128,608
Net cash provided by operating activities	1,194,232		155,647

INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits	(1,228,327)		99,288
Securities purchased under agreements to resell	(10,450,000)		—
Federal funds sold	(1,054,000)		492,000

Trading securities:

Proceeds	500,000		1,050,543

Available-for-sale securities:

Proceeds	382,354		568,035
Purchases	(2,205,484)		(5,269,292)
Held-to-maturity securities:
Proceeds	32,920		29,453

Advances to members:
Repaid	114,877,033		22,112,465
Originated	(133,007,490)		(18,523,434)
Mortgage loans held for portfolio:
Proceeds	276,785		738,567
Purchases	(60,013)		(291,307)
Other investing activities, net	(86)		(423)
Net cash (used in) provided by investing activities	(31,936,308)		1,005,895

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CASH FLOWS
(dollars in thousands)
(unaudited)

For the Nine Months Ended September 30,
2017 2016
OPERATING ACTIVITIES

Net income $ 122,375
$ 113,544
Adjustments to reconcile net income to net cash provided by operating activities:

Depreciation and amortization (5,690 ) (23,463 )
Reduction of provision for credit losses (148 ) (194 )
Change in net fair-value adjustments on derivatives and hedging activities (10,293 ) 17,856
Net other-than-temporary impairment losses on investment securities, credit portion 1,418
2,721
Loss on early extinguishment of debt —
1,484
Other adjustments 3,741
3,207
Net change in:

Market value of trading securities 3,857
892
Accrued interest receivable (238 ) 7,390
Other assets (1,522 ) (304 )
Accrued interest payable 19,326
11,849
Other liabilities (1,343 ) (11,614 )
Total adjustments 9,108
9,824
Net cash provided by operating activities 131,483
123,368

INVESTING ACTIVITIES

Net change in:

Interest-bearing deposits (195,156 ) (111,135 )
Securities purchased under agreements to resell 3,000,000
2,951,000
Federal funds sold (3,550,000 ) (3,380,000 )
Premises, software, and equipment (1,901 ) (1,638 )
Trading securities:

Proceeds 717,022
9,471
Purchases (618,051 ) (399,155 )
Available-for-sale securities:

Proceeds from long-term 902,513
901,082
Purchases of long-term (1,710,033 ) (1,608,830 )
Held-to-maturity securities:

Proceeds from long-term 376,797
425,936
Advances to members:

Proceeds 361,435,261
255,534,514
Disbursements (359,828,724 ) (256,626,490 )
Mortgage loans held for portfolio:

Proceeds 352,393
408,128
Purchases (608,887 ) (550,511 )
Proceeds from sale of foreclosed assets 3,239
4,368
Net cash provided by (used in) investing activities 274,473
(2,443,260 )

FINANCING ACTIVITIES

Net change in deposits 10,348
127,432
Net payments on derivatives with a financing element (4,100 ) (10,493 )
Net proceeds from issuance of consolidated obligations:

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FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CASH FLOWS — (Continued) (dollars in thousands) (unaudited)
	For the Six Months Ended June 30,
	2022		2021
FINANCING ACTIVITIES
Net change in deposits	182,427		(118,705)
Net payments on derivatives with a financing element	94,558		30,092
Net proceeds from issuance of consolidated obligations:
Discount notes	121,903,886		153,007,790
Bonds	10,444,334		10,008,979

Payments for maturing and retiring consolidated obligations:
Discount notes	(99,096,517)		(157,518,396)
Bonds	(3,516,301)		(7,755,500)
Bonds transferred to other FHLBanks	—		(173,984)
Payment of financing lease	(22)		(22)

Proceeds from issuance of capital stock	2,061,275		98,184
Payments for repurchase of capital stock	(1,448,709)		(282,717)
Payments for redemption of mandatorily redeemable capital stock	(11,820)		(432)
Cash dividends paid	(10,063)		(9,982)
Net cash provided by (used in) financing activities	30,603,048		(2,714,693)
Net decrease in cash and due from banks	(139,028)		(1,553,151)
Cash and due from banks at beginning of the period	204,993		2,050,028
Cash and due from banks at end of the period	$	65,965	$	496,877
Supplemental disclosures:
Interest paid	$	122,494	$	144,512
AHP payments	$	6,708	$	7,838


Noncash transfers of mortgage loans held for portfolio to other assets	$	306	$	245

Discount notes 125,580,345
114,582,795
Bonds 7,821,400
15,435,348
Payments for maturing and retiring consolidated obligations:

Discount notes (127,600,947 ) (114,339,603 )
Bonds (6,491,880 ) (13,483,496 )
Proceeds from issuance of capital stock 731,366
314,274
Payments for redemption of mandatorily redeemable capital stock (5,315 ) (8,217 )
Payments for repurchase of capital stock (861,354 ) (317,634 )
Cash dividends paid (74,076 ) (62,251 )
Net cash (used in) provided by financing activities (894,213 ) 2,238,155
Net decrease in cash and due from banks (488,257 ) (81,737 )
Cash and due from banks at beginning of the period 520,031
254,218
Cash and due from banks at end of the period $ 31,774
$ 172,481
Supplemental disclosures:
Interest paid $ 471,076
$ 363,979
AHP payments $ 16,217
$ 12,739
Noncash transfers of mortgage loans held for portfolio to other assets $ 1,588
$ 2,657

The accompanying notes are an integral part of these financial statements.

Table of



~~Table of~~ Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

FEDERAL HOME LOAN BANK OF BOSTON

NOTES TO FINANCIAL STATEMENTS

Note 1 — Basis of Presentation

The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. ~~Accordingly, they do not include all of the information and footnotes required by GAAP for complete annual financial statements.~~ In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring ~~accruals.~~ accruals other than the immaterial accounting adjustment discussed below.

In the second quarter of 2022 we identified an accounting error related to changes in fair value of certain available-for-sale securities that are in fair-value hedge relationships. As a result of this error, cumulatively from the second quarter of 2019 through the first quarter of 2022, net income and retained earnings were understated by $6.2 million. We determined the error did not have a material effect on our financial condition, results of operations, or cash flows for the impacted periods, and a correcting adjustment was recorded in interest income from available-for-sale securities in the second quarter of 2022.

The ~~presentation~~preparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, ~~2017. The unaudited~~2022. These interim financial statements do not include all the information and footnotes required by GAAP for complete annual financial statements and accordingly should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, ~~2016,~~2021, filed with the Securities and Exchange Commission (the SEC) on March ~~24, 2017~~18, 2022 (the ~~2016~~2021 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston.

Note 2 ~~— Summary of Significant Accounting Policies~~

As of September 30, 2017, we have not made any significant changes to the summary of significant accounting policies described in Item 8 — Financial Statements and Supplementary Data — Note 18 — Fair Values in the 2016 Annual Report other than described below.

We utilize two derivatives clearing organizations (DCOs), for all cleared derivative transactions, Chicago Mercantile Exchange, Inc. (CME Inc.) and LCH Limited (LCH Ltd.). Effective January 3, 2017, CME Inc. made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral transfers. We continue to characterize our variation margin related to LCH Ltd. contracts as cash collateral. At both DCOs, initial margin is considered cash collateral.

~~Note 3~~ — Recently Issued and Adopted Accounting Guidance

Effective Beginning in 2020

~~Targeted Improvements to Accounting for Hedging Activities,~~

Facilitation of the Effects of Reference Rate Reform on Financial Reporting.On ~~August 28, 2017,~~March 12, 2020, the Financial Accounting Standards Board (FASB) ~~issued amended~~released temporary optional guidance that provides transition relief for reference rate reform. The guidance contains optional expedients and exceptions for applying GAAP to ~~improve the financial reporting of~~contract modifications, hedging relationships, ~~to better portray~~and other transactions that reference the ~~economic results of an entity’s risk management activities in its financial statements. This guidance requires~~London Interbank Offered Rate (LIBOR) or a reference rate that ~~for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that~~ is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness and permit, among other things, the following:

~~Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception.~~

~~Measurement of the hedged item in a partial-term fair value hedge of interest-rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged.~~

Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest-rate risk.

For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest-rate.

~~For a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments, an entity can designate an amount that is not~~ expected to be discontinued as a result of reference rate reform if certain criteria are met. This standard was effective upon issuance and the provisions generally can be applied prospectively as of January 1, 2020, through December 31, 2022.

In addition to the optional expedients for contract modifications and hedging relationships, this update provides a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity that reference a rate affected by ~~prepayments, defaults,~~reference rate reform and ~~other events affecting the timing and amount of cash flows (the “last-of-layer” method) into a hedging relationship.~~

~~An entity can perform subsequent assessments of hedge effectiveness qualitatively in instances where initial quantitative testing is required.~~

~~For financial instruments eligible to be designated~~that were classified as ~~a hedged item under the last-of-layer method, a one-time reclassification of prepayable financial instruments from~~ held-to-maturity ~~to available-for-sale at the date of adoption is permitted.~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

~~This guidance becomes effective for us for interim and annual periods beginning on~~before January 1, ~~2019, and early adoption is permitted. For all cash flow hedges existing on~~2020. In the ~~date~~third quarter of ~~adoption, this guidance should be applied through a cumulative-effect adjustment to accumulated other comprehensive income with a corresponding adjustment to retained earnings as of~~2020, we adopted the beginning of the year of adoption. The amended presentation and disclosure guidance is required only prospectively. We do not intend to adopt this guidance early. We are in the process of evaluating this guidance, and its anticipated effect on our financial condition, results of operations, and cash flows has not yet been determined.

~~Premium Amortization on Purchased Callable Debt Securities.~~On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for us for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. We do not intend to adopt this guidance early. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. We currently do not have a significant amount of assets that are in scope to be evaluated under the updated guidance. As such, adoptionprovision of this guidance iswhich allows a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity.

In the fourth quarter of 2020, we retrospectively elected to adopt the provision of this guidance specific to the modification of interest rates used for the discounting of derivative instruments. This did not ~~expected to~~ have a material effect on our financial condition, results of operations, or cash flows.

~~Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost.~~ On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employers disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for us for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The changes outlined in the guidance will primarily impact the presentation of the income statement, but will not impact net income. As such, adoption of this guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows.

~~Financial Instruments - Credit Losses.~~ On June 16, 2016, the FASB issued amended guidance for the accounting of credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events (including historical experience), current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. The new guidance requires a financial asset, or a group of financial assets, measured at amortized cost to be presented at the net amount expected to be collected over the contractual term of the financial asset(s). The guidance also requires, among other things, the following:

The statement of income reflects the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period.

Entities determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost in a similar manner to other financial assets measured at amortized cost. The initial allowance for credit losses is required to be added to the purchase price.

Entities record credit losses relating to available-for-sale debt securities through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost.

~~Public entities further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination.~~

This guidance is effective for us for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. This guidance is required to be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, entities are required to use a prospective transition approach for



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. We ~~do not intend to adopt the new guidance early. While we~~ are in the process of evaluating the remaining provisions of this guidance, ~~we expect~~and the ~~adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset. The effect~~anticipated effects on our financial condition, results of operations, and cash flows ~~will depend~~have not yet been determined.

Note 3 — Investments

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold

We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received, or whose guarantors have received, a credit rating of triple-B or greater (investment grade) by a nationally recognized statistical rating organization (NRSRO), or the equivalent. At June 30, 2022, and December 31, 2021, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below single-A.

Table of Contents

Securities purchased under agreements to resell are short-term and are structured such that they are evaluated daily to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an amount of additional securities as collateral or remit an equivalent amount of cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the ~~composition~~collateral held as security and collateral maintenance provisions with our counterparties, we determined that no allowance for credit losses was needed for our securities purchased under agreements to resell at June 30, 2022, and December 31, 2021.

Federal funds sold are unsecured loans that are transacted on an overnight term or short-term basis. FHFA regulations include a limit on the amount of ~~our financial assets held at the adoption date~~unsecured credit we may extend to a counterparty. All investments in interest-bearing deposits and federal funds sold outstanding as ~~well as the economic conditions~~of June 30, 2022, and ~~forecasts at that time.~~

~~Contingent Put and Call Options in Debt Instruments.~~ On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. Specifically, the updated guidance clarifies what steps are required when assessing whether the economic characteristics and risks of call (put) options are clearly and closely relatedDecember 31, 2021, have been repaid according to the ~~economic characteristics~~contractual terms. No allowance for credit losses was recorded for these assets at June 30, 2022, and ~~risks of their~~December 31, 2021.

Debt Securities

We invest in debt ~~hosts,~~securities, which is one of the criteria for bifurcating an embedded derivative. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest ratesare classified as either trading, available-for-sale, or ~~credit risks.~~held-to-maturity. We ~~adopted this guidance on January 1, 2017. The adoption of this guidance did not have any effect on our financial condition, results of operations, or cash flows.~~

~~Recognition and Measurement of Financial Assets and Financial Liabilities.~~ ~~On January 5, 2016, the FASB issued amended guidance on~~are prohibited by FHFA regulations from investing in certain ~~aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:~~

~~Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income;~~

Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments;

~~Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is,~~higher-risk securities, ~~or loans and receivables) on the statement of condition or the accompanying notes to the financial statements; and~~

Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statement of condition.

This guidance becomes effective for us for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, are required to be applied by means of a cumulative-effect adjustment on the statement of conditionsuch as ~~of the beginning of the period of adoption. We do not invest in~~ equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities, but we ~~have~~are not ~~previously elected the fair value option for our own debt securities. Accordingly, adoption of this guidance is not expected~~required to ~~have a material effect on our financial condition, results of operations, or cash flows, though it is expected to result in certain immaterial revisions to our disclosures.~~divest instruments that experience credit deterioration after their purchase.

~~Note 4 —~~ Trading Securities

Table 3.1 - Trading Securities by Major Security ~~Types. Our trading securities as of~~ ~~September 30, 2017, and December 31, 2016, were (dollars~~Type

(dollars in thousands):


	June 30, 2022		December 31, 2021
Corporate bonds	$	980	$	1,442
U.S. Treasury obligations	—		500,425
Total	$	980	$	501,867

September 30, 2017 December 31, 2016
U.S. Treasury obligations $ 309,498
$ 399,521

Mortgage backed securities (MBS)

U.S. government-guaranteed – single-family 7,207
8,494
Government-sponsored enterprise (GSE)s – single-family 440
768
GSEs – multifamily 192,318
203,839
199,965
213,101
Total $ 509,463
$ 612,622

Table 3.2 - Net Losses on Trading Securities

(dollars in thousands)

~~Table of Contents~~


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Net losses on trading securities held at period end	$	(252)	$	(12,659)	$	(462)	$	(23,698)
Net losses on trading securities sold or matured during the period	—		(1,940)		(425)		(5,744)
Net losses on trading securities	$	(252)	$	(14,599)	$	(887)	$	(29,442)

Net unrealized losses on trading securities for the nine months ended September 30, 2017, and 2016, amounted to $3.9 million and $892,000 for securities held on September 30, 2017, and 2016, respectively.

We do not participate in speculative trading practices and typically hold these investments over a longer time horizon.

Available-for-sale Securities

~~Note 5 —~~

Table of Contents

Table 3.3 - Available-for-Sale Securities

by Major Security ~~Types. Our available-for-sale securities as of~~ ~~September 30, 2017, were (dollars~~Type

(dollars in thousands):


	June 30, 2022
			Amounts Recorded in Accumulated Other Comprehensive Income
	Amortized Cost (1)		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury obligations	$	5,913,640	$	610	$	(24,637)	$	5,889,613
State housing-finance-agency obligations (HFA securities)	62,470		—		(1,937)		60,533
Supranational institutions	375,108		12		(5,873)		369,247

U.S. government-owned corporations	274,680		—		(25,501)		249,179
Government-sponsored enterprises (GSE)	112,367		—		(5,861)		106,506
	6,738,265		622		(63,809)		6,675,078
Mortgage-backed securities (MBS)
U.S. government guaranteed – single-family	19,625		4		(1,658)		17,971
U.S. government guaranteed – multifamily	536,937		—		(18,325)		518,612
GSE – single-family	923,641		649		(40,866)		883,424
GSE – multifamily	5,512,180		18,737		(129,375)		5,401,542
	6,992,383		19,390		(190,224)		6,821,549
Total	$	13,730,648	$	20,012	$	(254,033)	$	13,496,627

Amounts Recorded in Accumulated Other Comprehensive Loss

Amortized
Cost ⁽¹⁾

Unrealized
Gains

Unrealized
Losses

Fair
Value
State or local housing-finance-agency obligations (HFA securities) $ 20,470
$ —
$ (1,927 ) $ 18,543
Supranational institutions 445,886
—
(24,394 ) 421,492
U.S. government-owned corporations 317,205
—
(30,812 ) 286,393
GSEs 130,269
—
(10,236 ) 120,033
913,830
—
(67,369 ) 846,461
MBS

U.S. government guaranteed – single-family 104,886
66
(2,253 ) 102,699
U.S. government guaranteed – multifamily 470,866
—
(2,896 ) 467,970
GSEs – single-family 4,551,950
5,441
(29,370 ) 4,528,021
GSEs – multifamily 1,611,949
2,945
(934 ) 1,613,960
6,739,651
8,452
(35,453 ) 6,712,650
Total $ 7,653,481
$ 8,452
$ (102,822 ) $ 7,559,111

~~_______________________~~


~~(1)~~	Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments.

~~Our available-for-sale securities as of~~ ~~December 31, 2016, were (dollars in thousands):~~


											December 31, 2021
			Amounts Recorded in Accumulated Other Comprehensive Loss										Amounts Recorded in Accumulated Other Comprehensive Income
	Amortized Cost ⁽¹⁾		Unrealized Gains		Unrealized Losses			Fair Value			Amortized Cost (1)		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury obligations										U.S. Treasury obligations	$	5,081,536	$	3,380	$	(370)	$	5,084,546
HFA securities	$	9,350	$	—	$	(1,204	)	$	8,146	HFA securities	63,330		2		(1,067)		62,265
Supranational institutions	452,021		—		(29,401		)	422,620		Supranational institutions	409,337		96		(5,668)		403,765
U.S. government-owned corporations	317,588		—		(45,631		)	271,957		U.S. government-owned corporations	325,567		—		(18,703)		306,864
GSEs	130,798		—		(13,330		)	117,468
GSE										GSE	130,143		—		(3,671)		126,472
	909,757		—		(89,566		)	820,191			6,009,913		3,478		(29,479)		5,983,912
MBS										MBS
U.S. government guaranteed – single-family	127,032		16		(2,321		)	124,727		U.S. government guaranteed – single-family	21,435		100		—		21,535
U.S. government guaranteed – multifamily	565,593		45		(2,277		)	563,361		U.S. government guaranteed – multifamily	541,238		219		(52)		541,405
GSEs – single-family	4,447,803		1,765		(45,713		)	4,403,855
GSEs – multifamily	675,288		1,242		—			676,530
GSE – single-family										GSE – single-family	1,093,890		9,945		(121)		1,103,714
GSE – multifamily										GSE – multifamily	5,171,498		99,119		(25,196)		5,245,421
	5,815,716		3,068		(50,311		)	5,768,473			6,828,061		109,383		(25,369)		6,912,075
Total	$	6,725,473	$	3,068	$	(139,877	)	$	6,588,664	Total	$	12,837,974	$	112,861	$	(54,848)	$	12,895,987

_______________________



(1)~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~


~~(1)~~	Amortized cost of ~~available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments.~~

~~The following table summarizes our~~ available-for-sale securities ~~with unrealized losses as~~includes adjustments made to the cost basis of ~~September~~an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable of $37.1 million and $31.6 million at June 30, ~~2017, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands):~~

Less than 12 Months 12 Months or More Total

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses
HFA securities $ 18,543
$ (1,927 ) $ —
$ —
$ 18,543
$ (1,927 )
Supranational institutions —
—
421,492
(24,394 ) 421,492
(24,394 )
U.S. government-owned corporations —
—
286,393
(30,812 ) 286,393
(30,812 )
GSEs —
—
120,033
(10,236 ) 120,033
(10,236 )
18,543
(1,927 ) 827,918
(65,442 ) 846,461
(67,369 )

MBS

U.S. government guaranteed – single-family 75,908
(2,253 ) —
—
75,908
(2,253 )
U.S. government guaranteed – multifamily 293,802
(1,418 ) 174,168
(1,478 ) 467,970
(2,896 )
GSEs – single-family 2,437,249
(16,871 ) 779,735
(12,499 ) 3,216,984
(29,370 )
GSEs – multifamily 962,206
(934 ) —
—
962,206
(934 )
3,769,165
(21,476 ) 953,903
(13,977 ) 4,723,068
(35,453 )
Total temporarily impaired $ 3,787,708
$ (23,403 ) $ 1,781,821

$ (79,419 )
$ 5,569,529

$ (102,822 )

~~The following table summarizes our available-for-sale securities with unrealized losses as of~~ ~~December 31, 2016, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands):~~

Less than 12 Months 12 Months or More Total

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses
HFA securities $ 8,146
$ (1,204 ) $ —
$ —
$ 8,146
$ (1,204 )
Supranational institutions —
—
422,620
(29,401 ) 422,620
(29,401 )
U.S. government-owned corporations —
—
271,957
(45,631 ) 271,957
(45,631 )
GSEs —
—
117,468
(13,330 ) 117,468
(13,330 )
8,146
(1,204 ) 812,045
(88,362 ) 820,191
(89,566 )
MBS

U.S. government guaranteed – single-family 31,606
(4 ) 90,854
(2,317 ) 122,460
(2,321 )
U.S. government guaranteed – multifamily 326,126
(1,261 ) 165,246
(1,016 ) 491,372
(2,277 )
GSEs – single-family 3,517,094
(39,181 ) 351,331
(6,532 ) 3,868,425
(45,713 )
3,874,826
(40,446 ) 607,431
(9,865 ) 4,482,257
(50,311 )
Total temporarily impaired $ 3,882,972
$ (41,650 ) $ 1,419,476
$ (98,227 ) $ 5,302,448
$ (139,877 )

~~Redemption Terms.~~ ~~The amortized cost and fair value of our available-for-sale securities by contractual maturity at~~ ~~September 30, 2017~~,2022, and December 31, ~~2016, were (dollars in thousands):~~2021, respectively.



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Table 3.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position

(dollars in thousands)


	June 30, 2022
	Continuous Unrealized Loss Less than 12 Months				Continuous Unrealized Loss 12 Months or More				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury obligations	$	4,768,902	$	(19,582)	$	878,735	$	(5,055)	$	5,647,637	$	(24,637)
HFA securities	11,315		(35)		49,218		(1,902)		60,533		(1,937)
Supranational institutions	—		—		355,775		(5,873)		355,775		(5,873)
U.S. government-owned corporations	—		—		249,179		(25,501)		249,179		(25,501)
GSE	—		—		106,505		(5,861)		106,505		(5,861)
	4,780,217		(19,617)		1,639,412		(44,192)		6,419,629		(63,809)

MBS
U.S. government guaranteed – single-family	17,220		(1,658)		—		—		17,220		(1,658)
U.S. government guaranteed – multifamily	518,612		(18,325)		—		—		518,612		(18,325)
GSE – single-family	739,239		(32,937)		78,231		(7,929)		817,470		(40,866)
GSE – multifamily	4,739,498		(121,950)		198,174		(7,425)		4,937,672		(129,375)
	6,014,569		(174,870)		276,405		(15,354)		6,290,974		(190,224)
Total	$	10,794,786	$	(194,487)	$	1,915,817	$	(59,546)	$	12,710,603	$	(254,033)


	December 31, 2021
	Continuous Unrealized Loss Less than 12 Months				Continuous Unrealized Loss 12 Months or More				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury obligations	$	1,212,443	$	(370)	$	—	$	—	$	1,212,443	$	(370)
HFA securities	—		—		50,053		(1,067)		50,053		(1,067)
Supranational institutions	—		—		389,180		(5,668)		389,180		(5,668)
U.S. government-owned corporations	—		—		306,864		(18,703)		306,864		(18,703)
GSE	—		—		126,472		(3,671)		126,472		(3,671)
	1,212,443		(370)		872,569		(29,109)		2,085,012		(29,479)
MBS

U.S. government guaranteed – multifamily	187,437		(52)		—		—		187,437		(52)
GSE – single-family	93,020		(121)		—		—		93,020		(121)
GSE – multifamily	1,507,051		(25,196)		—		—		1,507,051		(25,196)
	1,787,508		(25,369)		—		—		1,787,508		(25,369)
Total	$	2,999,951	$	(25,739)	$	872,569	$	(29,109)	$	3,872,520	$	(54,848)

Table of Contents

Table 3.5 - Available-for-Sale Securities by Contractual Maturity

(dollars in thousands)


	September 30, 2017				December 31, 2016					June 30, 2022				December 31, 2021
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	—	$	—	$	—	$	—	Due in one year or less	$	27,000	$	26,711	$	27,000	$	26,780
Due after one year through five years	16,950		15,523		9,350		8,146		Due after one year through five years	2,981,336		2,970,217		1,898,894		1,898,308
Due after five years through 10 years	449,405		424,512		171,589		161,746		Due after five years through 10 years	3,384,900		3,364,172		3,674,762		3,671,798
Due after 10 years	447,475		406,426		728,818		650,299		Due after 10 years	345,029		313,978		409,257		387,026
	913,830		846,461		909,757		820,191			6,738,265		6,675,078		6,009,913		5,983,912
MBS ⁽¹⁾	6,739,651		6,712,650		5,815,716		5,768,473		MBS (1)	6,992,383		6,821,549		6,828,061		6,912,075
Total	$	7,653,481	$	7,559,111	$	6,725,473	$	6,588,664	Total	$	13,730,648	$	13,496,627	$	12,837,974	$	12,895,987

_______________________


~~(1)~~	(1) MBS are not presented by contractual maturity because their expected maturities will likely ~~differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees.~~

~~Note 6 — Held-to-Maturity Securities~~

~~Major Security Types. Our held-to-maturity securities as of~~ ~~September 30, 2017, were (dollars in thousands):~~

Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
U.S. agency obligations $ 1,391
$ —
$ 1,391
$ 28
$ —
$ 1,419
HFA securities 157,479
—
157,479
23
(17,525 ) 139,977
158,870
—
158,870
51
(17,525 ) 141,396
MBS

U.S. government guaranteed – single-family 10,705
—
10,705
233
—
10,938
U.S. government guaranteed – multifamily 373
—
373
—
—
373
GSEs – single-family 619,442
—
619,442
12,841
(147 ) 632,136
GSEs – multifamily 294,039
—
294,039
8,839
—
302,878
Private-label – residential 871,152
(166,346 ) 704,806
278,651
(4,195 ) 979,262
Asset-backed securities (ABS) backed by home equity loans 9,899
(123 ) 9,776
280
(469 ) 9,587
1,805,610
(166,469 ) 1,639,141
300,844
(4,811 ) 1,935,174
Total $ 1,964,480
$ (166,469 ) $ 1,798,011
$ 300,895
$ (22,336 ) $ 2,076,570

~~Our held-to-maturity securities as of~~ ~~December 31, 2016, were (dollars in thousands):~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
U.S. agency obligations $ 2,159
$ —
$ 2,159
$ 56
$ —
$ 2,215
HFA securities 162,568
—
162,568
11
(19,291 ) 143,288
164,727
—
164,727
67
(19,291 ) 145,503
MBS
U.S. government guaranteed – single-family 12,719
—
12,719
246
—
12,965
U.S. government guaranteed – multifamily 1,532
—
1,532
—
—
1,532
GSEs – single-family 812,836
—
812,836
16,881
(519 ) 829,198
GSEs – multifamily 318,667
—
318,667
11,692
—
330,359
Private-label – residential 999,149
(191,804 ) 807,345
240,818
(8,373 ) 1,039,790
ABS backed by home equity loans 13,515
(574 ) 12,941
602
(600 ) 12,943
2,158,418
(192,378 ) 1,966,040
270,239
(9,492 ) 2,226,787
Total $ 2,323,145
$ (192,378 ) $ 2,130,767
$ 270,306
$ (28,783 ) $ 2,372,290

~~The following table summarizes our held-to-maturity securities with unrealized losses as of~~ ~~September 30, 2017, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands).~~

Less than 12 Months 12 Months or More Total

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses
HFA securities $ —
$ —
$ 126,190
$ (17,525 ) $ 126,190
$ (17,525 )

MBS

GSEs – single-family 17,966
(12 ) 18,635
(135 ) 36,601
(147 )
Private-label – residential —
—
190,124
(7,644 ) 190,124
(7,644 )
ABS backed by home equity loans —
—
8,480
(471 ) 8,480
(471 )
17,966
(12 ) 217,239
(8,250 ) 235,205
(8,262 )
Total $ 17,966
$ (12 ) $ 343,429
$ (25,775 ) $ 361,395
$ (25,787 )

~~The following table summarizes our held-to-maturity securities with unrealized losses as of~~ ~~December 31, 2016, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands).~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Less than 12 Months 12 Months or More Total

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses

Fair
Value

Unrealized
Losses
HFA securities $ —
$ —
$ 140,959
$ (19,291 ) $ 140,959
$ (19,291 )

MBS

GSEs – single-family 83,291
(393 ) 13,405
(126 ) 96,696
(519 )
Private-label – residential 16,915
(128 ) 397,407
(28,781 ) 414,322
(28,909 )
ABS backed by home equity loans —
—
11,898
(720 ) 11,898
(720 )
100,206
(521 ) 422,710
(29,627 ) 522,916
(30,148 )
Total $ 100,206
$ (521 ) $ 563,669
$ (48,918 ) $ 663,875
$ (49,439 )

~~Redemption Terms.~~ ~~The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at~~ ~~September 30, 2017, and December 31, 2016, are shown below (dollars in thousands). Expected maturities of some securities and MBS may~~ differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay ~~their~~ obligations with or without call or prepayment fees.

September 30, 2017 December 31, 2016
Year of Maturity
Amortized
Cost

Carrying
Value ⁽¹⁾

Fair
Value

Amortized
Cost

Carrying
Value ⁽¹⁾

Fair
Value
Due in one year or less $ 109
$ 109
$ 111
$ —
$ —
$ —
Due after one year through five years 15,046
15,046
15,095
16,637
16,637
16,663
Due after five years through 10 years —
—
—
—
—
—
Due after 10 years 143,715
143,715
126,190
148,090
148,090
128,840
158,870
158,870
141,396
164,727
164,727
145,503
MBS ⁽²⁾
1,805,610
1,639,141
1,935,174
2,158,418
1,966,040
2,226,787
Total $ 1,964,480
$ 1,798,011
$ 2,076,570
$ 2,323,145
$ 2,130,767
$ 2,372,290

~~_______________________~~


~~(1)~~	Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss.


~~(2)~~	MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees.

~~Note 7 — Other-Than-Temporary Impairment~~

~~We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter.~~

~~Available-for-Sale Securities~~

~~We determined that none of our available-for-sale securities were other-than-temporarily impaired at~~ ~~September 30, 2017. At~~ ~~September 30, 2017~~, we held certain available-for-sale securities in an unrealized loss position. These unrealized losses reflect the impact of normal yield and spread fluctuations attendant with security markets. We consider these unrealized losses temporary because we expect to recover the entire amortized cost basis on these available-for-sale securities in an unrealized loss position and neither intend to sell these securities nor is it more likely than not that we will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Additionally, there have been no shortfalls of principal or interest on any available-for-sale security.

Held-to-Maturity Securities

Table 3.6 - Held-to-Maturity Securities by Major Security Type

(dollars in thousands)


	June 30, 2022
	Amortized Cost(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value

MBS
U.S. government guaranteed – single-family	$	3,914	$	59	$	—	$	3,973

GSE – single-family	109,783		1,152		(392)		110,543

Total	$	113,697	$	1,211	$	(392)	$	114,516


	December 31, 2021
	Amortized Cost(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value

MBS
U.S. government guaranteed – single-family	$	4,320	$	88	$	—	$	4,408

GSE – single-family	141,172		2,605		(117)		143,660

Total	$	145,492	$	2,693	$	(117)	$	148,068

_______________________

(1)Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable of $214 thousand and $200 thousand at June 30, 2022, and December 31, 2021, respectively.

Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). The following table summarizes the proceeds from sale and gains and losses on sales of securities for the three and six months ended June 30, 2022 and 2021.

Table 3.7 - Proceeds and Gains (Losses) from Sales of Investment Securities



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

(dollars in thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Available-for-Sale Securities
Proceeds from sale	$	—	$	—	$	142,733	$	—
Amortized cost	—		—		142,735		—

Gross realized gains from sale	—		—		124		—
Gross realized losses from sale	—		—		(126)		—
Realized net loss from sale	$	—	$	—	$	(2)	$	—

Held-to-Maturity Securities(1)
Proceeds from sale	$	—	$	—	$	10,405	$	—
Carrying value	—		—		10,385		—

Gross realized gains from sale	—		—		22		—
Gross realized losses from sale	—		—		(2)		—
Realized net gain from sale	$	—	$	—	$	20	$	—

_______________________

~~HFA~~(1)Held-to-maturity securities sold had less than 15 percent of the acquired principal outstanding at the time of sale. Such sales are treated as maturities for the purposes of security classification. The sale does not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates.

Allowance for Credit Losses on Available-for-Sale Securities and ~~Agency MBS.~~ Held-to-Maturity Securities

We ~~have reviewed our investments in HFA~~evaluate available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. Our available-for-sale and held-to-maturity securities are principally debt securities of GSE or U.S. government-owned corporations, supranational institutions, and state or local housing finance agency obligations, and MBS issued by Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae) that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At June 30, 2022, and December 31, 2021, all available-for-sale securities and ~~agency MBS and have determined that all~~held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security.

We evaluate individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). At June 30, 2022, certain available-for-sale securities were in an unrealized loss position. These losses are ~~temporary. We do not~~considered temporary as we expect to recover the entire amortized cost basis on these available-for-sale investment securities and we neither intend to sell ~~the investments~~these securities nor isdo we consider it more likely than not that we will be required to sell these securities before the ~~investments before~~anticipated recovery of ~~the~~each security's remaining amortized cost basis. Further, we have not experienced any material payment defaults on the instruments. Based on our assessment of the creditworthiness of the issuers or guarantors, no allowance for credit losses was recorded on available-for-sale securities at June 30, 2022, and December 31, 2021.

We evaluate held-to-maturity securities for impairment on a collective or pooled basis unless an individual assessment is deemed necessary because the securities do not ~~consider~~possess similar risk characteristics. We have not experienced and do not anticipate any material payment defaults on these ~~investments to be other-than-temporarily impaired at~~ ~~September 30, 2017~~.

~~Private-Label Residential MBS and ABS Backed by Home Equity Loans.~~ ~~For those securities for which a credit loss was recognized during the three months ended~~ ~~September 30, 2017, the following table presents a summary~~securities. Based on our assessment of the ~~average projected values over the remaining lives~~creditworthiness of the ~~securities~~issuers or guarantors, no allowance for the significant inputs used to measure the amount of the credit loss recognized in earnings, as well as related current credit enhancement. Credit enhancement is defined as the percentage of subordinated tranches, over-collateralization, and other credit enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS (dollars in thousands).

Weighted Average of Significant Inputs
Weighted Average Current
Credit Enhancement
Private-label MBS by Classification Par Value
Projected
Prepayment Rates

Projected
Default Rates

Projected
Loss Severities

Alt-A - Private-label residential MBS ⁽¹⁾
$ 58,723
8.7 % 32.2 % 36.5 % 11.8 %

~~_______________________~~


~~(1)~~	Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance.

~~The following table sets forth our securities for which other-than-temporary impairment~~ credit losses ~~were recognized during the life of the security through~~ ~~September~~was recorded on held-to-maturity securities at June 30, ~~2017~~ ~~(dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.~~2022, and December 31, 2021.

September 30, 2017
Other-Than-Temporarily Impaired Investment ⁽¹⁾
Par
Value

Amortized
Cost

Carrying
Value

Fair
Value
Private-label residential MBS – Prime $ 32,645
$ 27,934
$ 21,911
$ 30,054
Private-label residential MBS – Alt-A 976,435
722,033
561,711
832,077
ABS backed by home equity loans – Subprime 1,230
995
872
1,153
Total other-than-temporarily impaired securities $ 1,010,310
$ 750,962
$ 584,494
$ 863,284

~~_______________________~~

~~(1)~~

We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate.

The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands).



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Balance at beginning of period $ 468,706
$ 516,922
$ 490,404
$ 533,888
Additions:
Credit losses for which other-than-temporary impairment was not previously recognized —
6
—
6
Additional credit losses for which an other-than-temporary impairment charge was previously recognized⁽¹⁾
432
365
1,418
2,715
Reductions:
Securities matured during the period⁽²⁾
—
—
(5,565 ) —
Increase in cash flows expected to be collected which are recognized over the remaining life of the security⁽³⁾
(8,356 ) (9,613 ) (25,475 ) (28,929 )
Balance at end of period $ 460,782
$ 507,680
$ 460,782
$ 507,680

~~_______________________~~

~~(1)~~

~~For the three months ended September 30, 2017 and~~ ~~2016, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2017 and~~ ~~2016, respectively. For the nine months ended~~ ~~September 30, 2017~~ ~~and~~ ~~2016, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2017 and~~ ~~2016, respectively.~~


~~(2)~~	~~Represents reductions related to securities having reached final maturity during the period and, therefore, are no longer held by us at the end of the period.~~


~~(3)~~	~~Represents amounts accreted as interest income during the current period.~~

Note 84 — Advances

General Terms. At ~~both~~ ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, we had advances outstanding with interest rates ranging from ~~zero~~0.00 percent to 6.23 percent and 0.00 percent to 7.72 percent, ~~as summarized below (dollars in thousands).~~respectively.

September 30, 2017 December 31, 2016
Year of Contractual Maturity Amount
Weighted
Average
Rate
Amount
Weighted
Average
Rate
Overdrawn demand-deposit accounts $ 7,177
1.46 % $ 3,780
0.92 %
Due in one year or less 19,459,542
1.40
18,783,802
1.05
Due after one year through two years 9,114,490
1.47
10,966,780
1.15
Due after two years through three years 3,213,137
1.76
2,508,459
1.67
Due after three years through four years 1,564,384
1.81
2,177,432
1.64
Due after four years through five years 2,264,058
1.77
2,041,269
1.80
Thereafter 1,885,862
2.16
2,633,333
1.70
Total par value 37,508,650
1.52 % 39,114,855
1.23 %
Premiums 19,382

22,633

Discounts (30,511 )
(25,847 )
Fair value of bifurcated derivatives ⁽¹⁾
812
(153 )
Hedging adjustments (30,929 )
(12,149 )
Total $ 37,467,404

$ 39,099,339

~~_________________________~~

1814



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Table 4.1 - Advances Outstanding by Year of Contractual Maturity


~~(1)~~	At ~~September 30, 2017, and December 31, 2016, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives.~~

(dollars in thousands)


	June 30, 2022				December 31, 2021
	Amount		Weighted Average Rate		Amount		Weighted Average Rate
Overdrawn demand-deposit accounts	$	126	1.90	%	$	64	0.60	%
Due in one year or less	15,572,853		1.55		5,064,776		0.76
Due after one year through two years	9,536,392		1.78		1,354,297		2.26
Due after two years through three years	1,152,769		1.74		1,541,076		1.64
Due after three years through four years	1,352,529		1.50		2,173,238		1.43
Due after four years through five years	1,372,914		1.81		1,310,971		1.07
Due after five years through fifteen years	1,457,711		2.19		871,692		2.11
Thereafter	32,564		1.28		31,591		1.33
Total par value	30,477,858		1.67	%	12,347,705		1.28	%

Discounts	(33,800)				(34,926)
Fair value of bifurcated derivatives (1)	1,580				11,890
Hedging adjustments	(127,152)				15,351
Total (2)	$	30,318,486			$	12,340,020

_________________________

(1) At ~~September~~June 30, ~~2017,~~2022, and December 31, ~~2016,~~2021, we had ~~callable~~certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives.

(2) Excludes accrued interest receivable of $32.2 million and $16.3 million at June 30, 2022, and December 31, 2021, respectively.

We offer advances to members and eligible nonmembers that provide the borrower the right, based upon predetermined option exercise dates, to repay the advance prior to maturity without incurring prepayment or termination fees (callable advances). We also offer certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination ~~fees outstanding totaling $6.0 billion and $7.9 billion, respectively.~~fees. Other advances may only be prepaid by paying a fee (prepayment fee) that makes us financially indifferent to the prepayment of the advance.

~~The following table sets forth our advances outstanding by the year of contractual maturity or next call date for callable advances (dollars in thousands):~~

Year of Contractual Maturity or Next Call Date ⁽¹⁾, Par Value
September 30, 2017 December 31, 2016
Overdrawn demand-deposit accounts $ 7,177
$ 3,780
Due in one year or less 25,208,717
26,447,977
Due after one year through two years 3,766,490
3,693,780
Due after two years through three years 3,037,937
2,508,459
Due after three years through four years 1,554,384
2,002,232
Due after four years through five years 2,102,058
1,891,269
Thereafter 1,831,887
2,567,358
Total par value $ 37,508,650
$ 39,114,855

~~_______________________~~


~~(1)~~	~~Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.~~

At ~~September 30, 2017, and December 31, 2016, we had putable advances outstanding totaling $2.2 billion~~ ~~and~~ ~~$3.4 billion, respectively.~~

~~The following table sets forth our advances outstanding by the year of contractual maturity or next put date for putable advances (dollars in thousands):~~

Year of Contractual Maturity or Next Put Date, Par Value September 30, 2017 December 31, 2016
Overdrawn demand-deposit accounts $ 7,177
$ 3,780
Due in one year or less 20,854,942
20,788,552
Due after one year through two years 9,514,740
10,946,530
Due after two years through three years 3,124,637
2,455,709
Due after three years through four years 1,407,484
1,974,932
Due after four years through five years 1,602,058
1,736,769
Thereafter 997,612
1,208,583
Total par value $ 37,508,650
$ 39,114,855

Table 4.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date

~~Interest-Rate-Payment Terms.~~ ~~The following table details interest-rate-payment types for our outstanding advances (dollars~~(dollars in thousands):


	June 30, 2022		December 31, 2021
Overdrawn demand-deposit accounts	$	126	$	64
Due in one year or less	24,926,478		6,116,251
Due after one year through two years	1,231,392		1,354,297
Due after two years through three years	1,062,994		1,249,001
Due after three years through four years	1,316,029		2,106,238
Due after four years through five years	455,164		632,271
Due after five years through fifteen years	1,453,111		857,992
Thereafter	32,564		31,591
Total par value	$	30,477,858	$	12,347,705

Par value of advances September 30, 2017 December 31, 2016
Fixed-rate $ 30,721,798
$ 30,526,192
Variable-rate 6,786,852
8,588,663
Total par value $ 37,508,650
$ 39,114,855

We currently hold putable advances that provide us with the right to require repayment prior to maturity of the advance (and thereby extinguish the advance) on predetermined exercise dates (put dates). Generally, we would exercise the put options when interest rates increase relative to contractual rates.

~~Credit-Risk~~

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Table 4.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date

(dollars in thousands)


	June 30, 2022		December 31, 2021
Overdrawn demand-deposit accounts	$	126	$	64
Due in one year or less	15,881,753		6,088,201
Due after one year through two years	9,307,992		908,797
Due after two years through three years	1,141,769		1,497,076
Due after three years through four years	1,341,029		1,709,313
Due after four years through five years	1,358,914		1,277,471
Due after five years through fifteen years	1,413,711		835,192
Thereafter	32,564		31,591
Total par value	$	30,477,858	$	12,347,705

Table 4.4 - Advances by Current Interest Rate Terms

(dollars in thousands)


	June 30, 2022		December 31, 2021



Fixed-rate	$	16,925,337	$	9,998,766
Variable-rate	13,552,521		2,348,939
Total par value	$	30,477,858	$	12,347,705

Credit Risk Exposure and Security ~~Terms. At~~ ~~September 30, 2017, and December 31, 2016, we had $12.1 billion and~~ ~~$16.2 billion, respectively, of advances issued to members with at least~~ ~~$1.0 billion~~Terms. ofOur advances ~~outstanding. These advances were~~are primarily made to ~~five borrowers~~member financial institutions, including commercial banks, insurance companies, savings institutions, and ~~six borrowers, respectively, as of~~ ~~September 30, 2017, and December 31, 2016, representing 32.3~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

~~percent and~~ ~~41.5 percent, respectively, of total par value of outstanding advances. For information related to our~~ credit ~~risk on advances and allowance for credit losses, see Note 10 — Allowance for Credit Losses.~~

~~Note 9 — Mortgage Loans Held for Portfolio~~

~~We invest in mortgage loans through the Mortgage Partnership Finance~~^® ~~(MPF~~^® program). These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio.

~~The following table presents certain characteristics of these investments (dollars in thousands):~~

September 30, 2017 December 31, 2016
Real estate

Fixed-rate 15-year single-family mortgages $ 489,503
$ 528,486
Fixed-rate 20- and 30-year single-family mortgages 3,382,217
3,098,476
Premiums 70,092
67,523
Discounts (1,555 ) (1,696 )
Deferred derivative gains, net 3,019
1,755
Total mortgage loans held for portfolio 3,943,276
3,694,544
Less: allowance for credit losses (500 ) (650 )
Total mortgage loans, net of allowance for credit losses $ 3,942,776
$ 3,693,894

~~The following table details the par value of mortgage loans held for portfolio (dollars in thousands):~~

September 30, 2017 December 31, 2016
Conventional mortgage loans $ 3,500,469
$ 3,235,835
Government mortgage loans 371,251
391,127
Total par value $ 3,871,720
$ 3,626,962

~~See Note 10 — Allowance for Credit Losses for information related to our credit risk from our investments in mortgage loans and allowance for credit losses based on these investments.~~

~~"Mortgage Partnership Finance," and "MPF" are registered trademarks of the Federal Home Loan Bank of Chicago.~~

~~Note 10 — Allowance for Credit Losses~~

An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if necessary, to provide for probable losses inherent in our portfolio as of the statement of condition date. To the extent necessary, an allowance for credit losses for off-balance-sheet credit exposure is recorded as a liability.

~~For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report.~~

~~Secured Member Credit Products~~

unions. We manage our credit exposure to secured member credit products through an integrated approach that generally includes establishing a credit limit for each ~~borrower,~~borrower. This approach includes an ongoing review of each borrower's financial condition, and collateral and lending policies that are intended to limit risk of loss while balancing borrowers' needs for a reliable source of funding.

For additional information on credit risk exposure and security terms see Part II — Item 8 — Financial Statements and Supplementary Data — Note 6 — Advances in the 2021 Annual Report.

Using a risk-based approach and taking into consideration each borrower's financial strength, we consider the types and level of collateral to be the primary indicator of credit quality on our credit products. At ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, we had rights to collateral, on a borrower-by-borrower basis, with an estimated value in excess of our outstanding extensions of credit.

We continue to evaluate and make changes to our collateral guidelines based on market conditions. At June 30, 2022, and December 31, 2021, none of our ~~secured member credit products outstanding~~advances were past due, on nonaccrual status, or considered impaired. In addition, there were no troubled debt restructurings related to ~~credit products~~advances during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2022 and 2021.

~~2016~~.



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on ~~secured member credit products,~~advances, we have not recorded any allowance for credit losses on our ~~secured member credit products~~advances at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016. At~~ 2021.

Prepayment Fees.

~~September~~

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Table 4.5 - Advances Prepayment Fees

(dollars in thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Prepayment fees received from borrowers	$	772	$	4,728	$	1,695	$	14,145
Hedging fair-value adjustments on prepaid advances	1,271		(479)		1,280		(936)
Net discounts (premiums) associated with prepaid advances	321		(17)		303		(1,244)


Advance prepayment fees recognized in income, net	$	2,364	$	4,232	$	3,278	$	11,965

Note 5 — Mortgage Loans Held for Portfolio

We invest in mortgage loans through the Mortgage Partnership Finance® (MPF®) program. These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, directly or indirectly, by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio.

Table 5.1 - Mortgage Loans Held for Portfolio

(dollars in thousands)


	June 30, 2022		December 31, 2021
Real estate
Fixed-rate 15-year single-family mortgages	$	247,499	$	278,393
Fixed-rate 20- and 30-year single-family mortgages	2,608,527		2,793,682
Premiums	43,274		48,043
Discounts	(1,707)		(671)
Deferred derivative gains, net	1,280		2,412
Total mortgage loans held for portfolio(1)	2,898,873		3,121,859
Less: allowance for credit losses	(1,500)		(1,700)
Total mortgage loans, net of allowance for credit losses	$	2,897,373	$	3,120,159

________________________

(1) Excludes accrued interest receivable of $14.7 million and $15.7 million at June 30, ~~2017~~,2022, and December 31, ~~2016, no liability to reflect an~~2021, respectively.

Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type

(dollars in thousands)


	June 30, 2022		December 31, 2021
Conventional mortgage loans	$	2,682,484	$	2,880,354
Government mortgage loans	173,542		191,721
Total par value	$	2,856,026	$	3,072,075

Credit-Enhancements. Our allowance for credit losses ~~for off-balance-sheet~~factors in the credit-enhancements associated with conventional mortgage loans under the MPF program. These credit-enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit-enhancement. The credit ~~exposures was recorded. See Note 18 — Commitments and Contingencies for~~risk analysis of our conventional loans is performed at the individual master commitment level to determine the credit-enhancements available to recover losses on loans under each individual master commitment. For additional information on ~~our off-balance-sheet~~ credit ~~exposure.~~

~~For additional information~~enhancements see Part II — Item 8 — Financial Statements and Supplementary Data — Note 107 — Mortgage Loans Held for Portfolio — Credit-Enhancements in the 2021 Annual Report.

Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor borrower performance. A past due loan is one where the borrower has failed to make a full payment of principal

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and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Tables 5.3 and 5.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at June 30, 2022, and December 31, 2021.

Table 5.3 - Credit Quality Indicator for Conventional Mortgage Loans

(dollars in thousands)


	June 30, 2022
	Year of Origination
Payment Status at Amortized Cost(1)	Prior to 2018		2018 to 2022		Total
Past due 30-59 days delinquent	$	7,149	$	4,069	$	11,218
Past due 60-89 days delinquent	3,099		2,602		5,701
Past due 90 days or more delinquent	9,838		6,754		16,592
Total past due	20,086		13,425		33,511
Total current loans	1,253,021		1,435,500		2,688,521
Total conventional mortgage loans	$	1,273,107	$	1,448,925	$	2,722,032


	December 31, 2021
	Year of Origination
Payment Status at Amortized Cost(1)	Prior to 2017		2017 to 2021		Total
Past due 30-59 days delinquent	$	7,719	$	8,053	$	15,772
Past due 60-89 days delinquent	3,312		2,660		5,972
Past due 90 days or more delinquent	11,932		9,196		21,128
Total past due	22,963		19,909		42,872
Total current loans	1,153,115		1,730,438		2,883,553
Total conventional mortgage loans	$	1,176,078	$	1,750,347	$	2,926,425

_________________________

(1) Amortized cost excludes accrued interest receivable.

Table 5.4 - Other Delinquency Statistics of Mortgage Loans

(dollars in thousands)


	June 30, 2022
	Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total
In process of foreclosure (1)	$	1,844		$	878		$	2,722
Serious delinquency rate (2)	0.62		%	1.68		%	0.68		%
Past due 90 days or more still accruing interest	$	—		$	2,966		$	2,966
Loans on nonaccrual status (3)	$	16,821		$	—		$	16,821


	December 31, 2021
	Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total
In process of foreclosure (1)	$	786		$	935		$	1,721
Serious delinquency rate (2)	0.74		%	2.24		%	0.83		%
Past due 90 days or more still accruing interest	$	—		$	4,383		$	4,383
Loans on nonaccrual status (3)	$	21,529		$	—		$	21,529

_______________________

(1) Includes loans where the decision of foreclosure or a similar alternative such as the pursuit of a deed-in-lieu of foreclosure has been reported.

(2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class.

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(3) As of June 30, 2022, and December 31, 2021, $7.7 million and $11.8 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

Allowance for Credit Losses for Mortgage Loans.

Conventional Mortgage Loans.Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other loans are evaluated for expected credit losses on an individual basis. We determine our allowance for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. We use a discounted cash flow model to project our expected losses. We use a third-party model to project cash flows to estimate the expected credit losses over the life of the loans. The model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior. We incorporate associated credit enhancements and expected recoveries, if any, to determine our estimate of expected credit losses.

Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent when the borrower is experiencing financial difficulty and repayment is expected to come substantially from the sale of the underlying collateral. We estimate the fair value of this collateral by using a third-party property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will reserve for these estimated losses or record a direct charge-off of the loan balance if certain triggering criteria are met.

Table 5.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the three and six months ended June 30, 2022, and 2021.

Table 5.5 - Allowance for Credit Losses on Conventional Mortgage Loans

(dollars in ~~the 2016 Annual Report.~~thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Allowance for credit losses (1)
Balance, beginning of period	$	1,600	$	1,900	$	1,700	$	3,100

(Charge-offs) recoveries	(1)		26		(1)		52

(Reduction of) provision for credit losses	(99)		199		(199)		(1,027)
Balance, end of period	$	1,500	$	2,125	$	1,500	$	2,125

_________________________

(1) These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed below under — Government Mortgage Loans Held for Portfolio.

Government Mortgage Loans Held for ~~Portfolio~~Portfolio. We invest in government mortgage loans secured by one- to four-family residential properties. Government mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration (the FHA), the U.S. Department of Veterans Affairs (the VA), the Rural Housing Service of the U.S. Department of Agriculture (RHS), or by the U.S. Department of Housing and Urban Development (HUD).

~~Based~~The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on ~~our assessment of our servicers~~these loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees, but in such instances, we have recourse against the servicer for such failure. Due to government guarantees or insurance on our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016. In addition, these~~2021. Additionally, government mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met.

~~For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report.~~

~~Conventional Mortgage Loans Held for Portfolio~~

~~For information on our conventional mortgage loans held for portfolio see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report.~~

~~Credit Quality Indicators.~~ Key credit quality indicators for mortgage loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below set forth certain key credit quality indicators for our investments in mortgage loans at September 30, 2017, and December 31, 2016 (dollars in thousands):

September 30, 2017
Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total
Past due 30-59 days delinquent $ 24,577
$ 12,131
$ 36,708
Past due 60-89 days delinquent 5,741
3,190
8,931
Past due 90 days or more delinquent 15,492
5,121
20,613
Total past due 45,810
20,442
66,252
Total current loans 3,535,765
360,928
3,896,693
Total mortgage loans $ 3,581,575
$ 381,370
$ 3,962,945
Other delinquency statistics
In process of foreclosure, included above ⁽¹⁾
$ 7,201
$ 1,888
$ 9,089
Serious delinquency rate ⁽²⁾
0.45 % 1.34 % 0.54 %
Past due 90 days or more still accruing interest $ —
$ 5,121
$ 5,121
Loans on nonaccrual status ⁽³⁾
$ 16,020
$ —
$ 16,020

~~_______________________~~


~~(1)~~	~~Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.~~


~~(2)~~	~~Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class.~~


~~(3)~~	~~Includes conventional mortgage loans with contractual principal or interest payments~~ ~~90 days~~ ~~or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan.~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

December 31, 2016
Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total
Past due 30-59 days delinquent $ 26,757
$ 14,878
$ 41,635
Past due 60-89 days delinquent 5,508
3,846
9,354
Past due 90 days or more delinquent 16,379
5,807
22,186
Total past due 48,644
24,531
73,175
Total current loans 3,262,671
377,438
3,640,109
Total mortgage loans $ 3,311,315
$ 401,969
$ 3,713,284
Other delinquency statistics
In process of foreclosure, included above ⁽¹⁾
$ 7,495
$ 1,502
$ 8,997
Serious delinquency rate ⁽²⁾
0.53 % 1.44 % 0.63 %
Past due 90 days or more still accruing interest $ —
$ 5,807
$ 5,807
Loans on nonaccrual status ⁽³⁾
$ 16,940
$ —
$ 16,940

~~_______________________~~


~~(1)~~	~~Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.~~


~~(2)~~	~~Loans that are~~ ~~90 days~~ ~~or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class.~~


~~(3)~~	~~Includes conventional mortgage loans with contractual principal or interest payments~~ ~~90 days~~ ~~or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan.~~

For information on how we collectively and individually evaluate mortgage loans for impairment see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report.

~~Individually Evaluated Impaired Loans.~~ ~~The following tables present the recorded investment, par value and any related allowance for impaired loans individually assessed for impairment at~~ ~~September 30, 2017, and December 31, 2016, and the average recorded investment and interest income recognized on these loans during the three and nine months ended~~ ~~September 30, 2017~~ ~~and~~ ~~2016~~ ~~(dollars in thousands).~~

As of September 30, 2017 As of December 31, 2016
Recorded Investment Par Value Recorded Investment Par Value
Individually evaluated impaired mortgage loans with no related allowance $ 18,786
$ 18,751
$ 22,945
$ 22,905

For the Three Months Ended September 30,
2017 2016
Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized
Individually evaluated impaired mortgage loans with no related allowance $ 18,645
$ 91
$ 23,492
$ 116



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

For the Nine Months Ended September 30,
2017 2016
Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized
Individually evaluated impaired mortgage loans with no related allowance $ 19,614
$ 314
$ 24,728
$ 298

~~Credit Enhancements.~~ Our allowance for credit losses factors in the credit enhancements associated with conventional mortgage loans under the MPF program. These credit enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit enhancement. The credit-enhancement amounts estimated to protect us against credit losses are determined through the use of a model. Any incurred losses that would be recovered from the credit enhancements are not reserved as part of our allowance for loan losses. In such cases, a receivable is generally established to reflect the expected recovery from credit-enhancement arrangements.

Previously, conventional mortgage loans were required to be credit enhanced so that the risk of loss was limited to the losses equivalent to an investment in a double-A rated MBS at the time of purchase. The FHFA final rule on acquired member assets (AMA) went into effect on January 18, 2017, allowing each FHLBank to utilize its own model to determine the credit enhancement for AMA loan assets and pool loans in lieu of a nationally recognized statistical ratings organization (NRSRO) ratings model. Upon effectiveness of the final AMA rule, we determined that assets delivered to us must be credit enhanced at our determined “AMA investment grade” of a double-A rated MBS. In March 2017, we determined that assets delivered to us must be credit enhanced at our revised determination of “AMA investment grade” of a single-A-minus rated MBS. This revision had no impact on the September 30, 2017, allowance for credit losses. We share the risk of credit losses on our investments in mortgage loans with the related participating financial institution by structuring potential losses on these investments into layers with respect to each master commitment. We analyze the risk characteristics of our mortgage loans using a third-party model to determine the credit enhancement amount at the time of purchase. This credit-enhancement amount is broken into a first-loss account and a credit-enhancement obligation of each participating financial institution, which may be calculated based on the risk analysis to equal the difference between the amounts needed for the master commitment to have a rating equivalent to a single-A-minus rated MBS and our initial first-loss account exposure.

~~Roll-Forward of Allowance for Credit Losses on Mortgage Loans.~~ ~~The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and nine months ended~~ ~~September 30, 2017~~ ~~and~~ ~~2016, as well as the recorded investment in mortgage loans by impairment methodology at~~ ~~September 30, 2017~~ ~~and~~ ~~2016~~ (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance.

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Allowance for credit losses
Balance, beginning of period $ 500
$ 900
$ 650
$ 1,025
Charge-offs, net of recoveries (28 ) (6 ) (2 ) (31 )
Provision (reduction of provision) for credit losses 28
(94 ) (148 ) (194 )
Balance, end of period $ 500
$ 800
$ 500
$ 800
Ending balance, individually evaluated for impairment $ —
$ —
$ —
$ —
Ending balance, collectively evaluated for impairment $ 500
$ 800
$ 500
$ 800
Recorded investment, end of period ⁽¹⁾

Individually evaluated for impairment $ 18,786
$ 22,950
$ 18,786
$ 22,950
Collectively evaluated for impairment $ 3,562,789
$ 3,296,946
$ 3,562,789
$ 3,296,946

~~_________________________~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~


~~(1)~~	These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed above under — Government Mortgage Loans Held for Portfolio.

Note 116 — Derivatives and Hedging Activities

Table of Contents

~~The following table presents the notional amount and~~

Table 6.1 - Fair Value of Derivative Instruments

(dollars in thousands)


	June 30, 2022						December 31, 2021
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments
Interest-rate swaps	$	35,907,900	$	3,496	$	(1,040,253)	$	26,589,956	$	362	$	(163,457)
Forward-start interest-rate swaps	1,391,000		—		(3,923)		1,391,000		48		(428)
Total derivatives designated as hedging instruments	37,298,900		3,496		(1,044,176)		27,980,956		410		(163,885)

Derivatives not designated as hedging instruments
Interest-rate swaps	329,800		—		(2,689)		900,425		3,440		(13,663)
CO bond firm commitments	20,000		28		—		55,000		54		(30)

Mortgage-delivery commitments (1)	6,864		108		—		3,164		68		—
Total derivatives not designated as hedging instruments	356,664		136		(2,689)		958,589		3,562		(13,693)
Total notional amount of derivatives	$	37,655,564					$	28,939,545
Total derivatives before netting and collateral adjustments			3,632		(1,046,865)				3,972		(177,578)
Netting adjustments and cash collateral, including related accrued interest (2)			385,607		1,046,865				374,560		138,634
Derivative assets and derivative liabilities			$	389,239	$	—			$	378,532	$	(38,944)

_______________________

(1)Mortgage-delivery commitments are classified as derivatives with changes in fair value ~~of derivatives (excluding fair value adjustments related to variation margin for daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities include~~recorded in other income.

(2)Amounts represent the effect of ~~netting adjustments, cash~~master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $1.4 billion and ~~variation margin for daily settled contracts as of~~ ~~September~~$513.2 million at June 30, ~~2017~~,2022, and December 31, ~~2016 (dollars in thousands):~~

September 30, 2017 December 31, 2016

Notional
Amount of
Derivatives

Derivative
Assets

Derivative
Liabilities
Notional
Amount of
Derivatives Derivative
Assets Derivative
Liabilities
Derivatives designated as hedging instruments

Interest-rate swaps $ 14,385,569
$ 41,366
$ (341,616 ) $ 18,215,809
$ 52,715
$ (413,026 )
Forward-start interest-rate swaps 527,800
—
(41,974 ) 527,800
—
(36,250 )
Total derivatives designated as hedging instruments 14,913,369
41,366
(383,590 ) 18,743,609
52,715
(449,276 )

Derivatives not designated as hedging instruments
Economic hedges:
Interest-rate swaps 1,206,400
1,699
(7,191 ) 1,199,000
2,293
(10,840 )
CO bond firm commitments 50,000
56
—
—
—
—
Mortgage-delivery commitments⁽¹⁾
62,221
76
(110 ) 22,524
70
(171 )
Total derivatives not designated as hedging instruments 1,318,621
1,831
(7,301 ) 1,221,524
2,363
(11,011 )
Total notional amount of derivatives $ 16,231,990

$ 19,965,133

Total derivatives before netting and collateral adjustments
43,197
(390,891 ) 55,078
(460,287 )
Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest ⁽²⁾

4,966
81,216
6,520
102,411
Derivative assets and derivative liabilities
$ 48,163
$ (309,675 ) $ 61,598
$ (357,876 )

~~_______________________~~


~~(1)~~	~~Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income.~~

~~(2)~~

Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $48.5 million and $109.8 million at ~~September 30, 2017, and December 31, 2016,~~2021, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits ~~in the statement of cash flows. Cash collateral and related accrued interest received was~~ ~~$731,000~~ ~~and $850,000 at~~ ~~September 30, 2017, and December 31, 2016, respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017.~~

~~Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and~~ ~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016, were as follows (dollars in thousands):~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Derivatives designated as hedging instruments
Interest-rate swaps $ (876 ) $ (3,278 ) $ (2,287 ) $ (8,529 )
Forward-start interest-rate swaps (18 ) (22 ) 213
(558 )
Total net losses related to derivatives designated as hedging instruments (894 ) (3,300 ) (2,074 ) (9,087 )

Derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps 14
1,186
(208 ) (3,531 )
Interest-rate caps or floors —
(59 ) —
(59 )
CO bond firm commitments 56
—
56
—
Mortgage-delivery commitments 692
251
1,556
1,557
Total net gains (losses) related to derivatives not designated as hedging instruments 762
1,378
1,404
(2,033 )

Other⁽¹⁾
126
—
282
—

Net losses on derivatives and hedging activities $ (6 ) $ (1,922 ) $ (388 ) $ (11,120 )

~~______________~~


~~(1)~~	~~Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount.~~

The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and ~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016~~ ~~(dollars in thousands):~~

For the Three Months Ended September 30, 2017

Gain on
Derivative

Loss on
Hedged Item

Net Fair-Value
Hedge
Ineffectiveness

Effect of
Derivatives on
Net Interest
Income ⁽¹⁾
Hedged Item:

Advances $ 9,382
$ (8,881 ) $ 501
$ (2,878 )
Investments 5,007
(4,503 ) 504
(7,879 )
COs – bonds 2,018
(3,899 ) (1,881 ) 242
Total $ 16,407
$ (17,283 ) $ (876 ) $ (10,515 )

For the Three Months Ended September 30, 2016

Gain/(Loss) on
Derivative

Gain/(Loss) on
Hedged Item

Net Fair-Value
Hedge
Ineffectiveness

Effect of
Derivatives on
Net Interest
Income ⁽¹⁾
Hedged Item:

Advances $ 71,032
$ (70,859 ) $ 173
$ (22,547 )
Investments 10,255
(9,810 ) 445
(8,788 )
COs – bonds (16,705 ) 12,809
(3,896 ) 6,500
Total $ 64,582
$ (67,860 ) $ (3,278 ) $ (24,835 )



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

For the Nine Months Ended September 30, 2017

Gain on
Derivative

Loss on
Hedged Item

Net Fair-Value
Hedge
Ineffectiveness

Effect of
Derivatives on
Net Interest
Income ⁽¹⁾
Hedged Item:

Advances $ 19,150
$ (18,780 ) $ 370
$ (24,566 )
Investments 8,412
(7,047 ) 1,365
(24,319 )
COs – bonds 19,813
(23,835 ) (4,022 ) 6,965
Total $ 47,375
$ (49,662 ) $ (2,287 ) $ (41,920 )

For the Nine Months Ended September 30, 2016

Loss on
Derivative

Gain/(Loss) on
Hedged Item

Net Fair-Value
Hedge
Ineffectiveness

Effect of
Derivatives on
Net Interest
Income ⁽¹⁾
Hedged Item:

Advances $ (23,045 ) $ 22,029
$ (1,016 ) $ (78,799 )
Investments (66,030 ) 67,215
1,185
(26,682 )
COs – bonds (5,874 ) (2,824 ) (8,698 ) 21,730
Total $ (94,949 ) $ 86,420
$ (8,529 ) $ (83,751 )

~~______________~~


~~(1)~~	~~The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item.~~

The following table presents the losses recognized in accumulated other comprehensive loss, the losses reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net losses on derivatives and hedging activities in the statement of ~~income for our forward-start interest-rate swaps associated with hedged CO bonds in cash-flow hedge relationships (dollars in thousands).~~cash flows.

Derivatives and Hedged Items in Cash Flow Hedging Relationships
(Losses) Gains Recognized in Other Comprehensive Loss on Derivatives
(Effective Portion)

Location of Losses Reclassified
from Accumulated Other Comprehensive Loss into Net Income
(Effective Portion)

Losses Reclassified
from Accumulated Other Comprehensive Loss into Net Income
(Effective Portion)

(Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities
(Ineffective Portion)
Interest-rate swaps - CO bonds
For the Three Months Ended September 30, 2017 $ (856 ) Interest expense $ (2,158 ) $ (18 )
For the Three Months Ended September 30, 2016 1,082
Interest expense (5,337 ) (22 )

For the Nine Months Ended September 30, 2017 (5,937 ) Interest expense (9,865 ) 213
For the Nine Months Ended September 30, 2016 (25,688 ) Interest expense (19,434 ) (558 )

Changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair-value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. For designated cash-flow hedges, the entire change in the fair value of the hedging instrument (assuming it is included in the assessment of hedge effectiveness) is reported in other comprehensive income until the hedged transaction affects earnings. At that time, this amount is reclassified from other comprehensive income and recorded in net interest income in the same line as the earnings effect of the hedged item.

Tables 6.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements.

Table of Contents

Table 6.2 - Net Gains (Losses) on Fair Value Hedging Relationships

(dollars in thousands)


	For the Three Months Ended June 30, 2022
	Advances		Available-for-sale Securities		CO Bonds
Total interest income (expense) in the statements of operations	$	69,277	$	62,405	$	(78,242)

Gains (losses) on hedging relationships
Changes in fair value:
Derivatives	$	48,392	$	350,986	$	(238,288)
Hedged items	(47,489)		(334,705)		238,516
Net changes in fair value before price alignment interest	903		16,281		228
Price alignment interest(1)	(185)		(949)		31
Net interest settlements on derivatives(2)(3)	(5,205)		(21,256)		15,049
Net (losses) gains on qualifying hedging relationships	(4,487)		(5,924)		15,308
Amortization/accretion of discontinued hedging relationships	(273)		—		510
Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(4,760)	$	(5,924)	$	15,818


	For the Three Months Ended June 30, 2021
	Advances		Available-for-sale Securities		CO Bonds
Total income (expense) in the statements of operations	$	43,230	$	10,841	$	(53,684)

Gains (losses) on hedging relationships
Changes in fair value:
Derivatives	$	(964)	$	(128,985)	$	36,662
Hedged items	718		124,871		(36,596)
Net changes in fair value before price alignment interest	(246)		(4,114)		66
Price alignment interest(1)	1		16		—
Net interest settlements on derivatives(2)(3)	(16,042)		(29,847)		16,000
Net (losses) gains on qualifying hedging relationships	(16,287)		(33,945)		16,066
Amortization/accretion of discontinued hedging relationships	(705)		—		749
Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(16,992)	$	(33,945)	$	16,815

Table of Contents


	For the Six Months Ended June 30, 2022
	Advances		Available-for-sale Securities		CO Bonds
Total income (expense) in the statements of operations	$	103,270	$	107,138	$	(122,142)

Gains (losses) on hedging relationships
Changes in fair value:
Derivatives	$	144,241	$	987,668	$	(807,521)
Hedged items	(141,985)		(957,045)		808,226
Net changes in fair value before price alignment interest	2,256		30,623		705
Price alignment interest(1)	(207)		(1,000)		33
Net interest settlements on derivatives(2)(3)	(15,131)		(58,647)		41,840

Net (losses) gains on qualifying hedging relationships	(13,082)		(29,024)		42,578
Amortization/accretion of discontinued hedging relationships	(536)		—		1,012
Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(13,618)	$	(29,024)	$	43,590


	For the Six Months Ended June 30, 2021
	Advances		Available-for-sale Securities		CO Bonds
Total income (expense) in the statements of operations	$	92,782	$	33,836	$	(115,285)

Gains (losses) on hedging relationships
Changes in fair value:
Derivatives	$	40,897	$	127,518	$	(67,857)
Hedged items	(40,140)		(124,068)		68,159
Net changes in fair value before price alignment interest	757		3,450		302
Price alignment interest(1)	16		65		(3)
Net interest settlements on derivatives(2)(3)	(31,867)		(51,784)		23,470

Net (losses) gains on qualifying hedging relationships	(31,094)		(48,269)		23,769
Amortization/accretion of discontinued hedging relationships	(1,404)		—		1,661
Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(32,498)	$	(48,269)	$	25,430

_______________________

(1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts.

(2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.

(3) Excludes the interest income/expense of the respective hedged items recorded in net interest income.

Tables 6.3 presents the net gains (losses) on qualifying cash flow hedging relationships.

Table of Contents

Table 6.3 - Net Gains (Losses) on Cash Flow Hedging Relationships

(dollars in thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Forward-start interest rate swaps - CO Bonds
Losses reclassified from accumulated other comprehensive loss into interest expense	$	(1,455)	$	(1,506)	$	(2,893)	$	(3,063)
Gains recognized in other comprehensive income	22,182		(14,224)		44,240		(9,038)

For the ~~nine~~three months ended ~~September~~ June 30, ~~2017~~2022 and ~~2016~~,2021, there were no reclassifications from accumulated other comprehensive ~~loss~~(loss) income into earnings as a result of the discontinuance of cash-flow hedges because the original forecasted transactions were not expected to occur by the end of the originally specified time period or within a two-month period thereafter. As of ~~September~~June 30, ~~2017~~,2022, the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is ~~seven~~nine years.

As of ~~September~~June 30, ~~2017~~,2022, the amount of deferred net losses on derivatives accumulated in other comprehensive loss related to cash flow hedges expected to be reclassified to earnings during the next 12 months is $4.9 million.

~~$3.4 million~~.

Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges

(dollars in thousands)


	June 30, 2022
Line Item in Statement of Condition	Amortized Cost of Hedged Asset/ Liability(1)		Basis Adjustments for Active Hedging Relationships Included in Amortized Cost		Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost		Cumulative Amount of Fair Value Hedging Basis Adjustments
Advances	$	2,487,643	$	(135,508)	$	8,356	$	(127,152)
Available-for-sale securities	11,721,006		(746,699)		—		(746,699)
Consolidated obligation bonds	19,742,699		(983,854)		30,583		(953,271)

_______________________

(1) Includes only the amortized cost of hedged items in fair-value hedging relationships.

Table 6.5 - Net Gains and Losses on Derivatives and Hedging Activities

(dollars in thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps	$	525	$	193	$	4	$	7
CO Bond firm commitments	(521)		—		—		19
Mortgage-delivery commitments	(118)		253		(791)		(433)
Total net (losses) gains related to derivatives not designated as hedging instruments	(114)		446		(787)		(407)

Other(1)	—		1		—		6

Net (losses) gains on derivatives and hedging activities	$	(114)	$	447	$	(787)	$	(401)

______________________

(1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount.

Table of Contents

Impacts on Statement of Cash Flows. Cash paid or received for cleared derivatives variation margin is included on the statement of cash flows in either net change in derivatives and hedging activities as an operating activity or net payments on derivatives with a financing element, as a financing activity. The table below shows the impact of variation margin for cleared derivatives on the statement of cash flows:

Table 6.6 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows

(dollars in thousands)


	Increase on Cash Flow Statement
	For the Six Months Ended June 30,
	2022		2021
Operating activity - net change in derivatives and hedging activities	$	1,142,853	$	100,548
Financing activity - net payments on derivatives with a financing element	107,216		42,215
Total variation margin received on cleared derivatives	$	1,250,069	$	142,763

Managing Credit Risk on Derivatives.

We enter into derivatives that we clear (cleared derivatives) with a ~~DCO,~~derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under ~~master-~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

~~netting~~master-netting agreements. Currently derivatives that contain any optionality are not eligible for clearing. Accordingly, such derivatives, including the derivatives used to hedge issuance of callable CO bonds, are executed with our uncleared derivatives counterparties. Certain of our uncleared derivatives master-netting agreements contain provisions that require us to post additional collateral with our uncleared derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's ~~Investors Services (Moody's)~~ or ~~Standard & Poor's Rating Service (S&P)~~S&P to a certain level, we are required to deliver additional collateral on uncleared ~~derivatives in a net liability position.~~derivatives. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at ~~September~~June 30, ~~2017~~,2022, was ~~$328.0~~$941.5 million for which we had delivered collateral with a post-haircut value of ~~$304.5 million~~$1.0 billion in accordance with the terms of the master-netting agreements. Securities collateral is subject to valuation haircuts in accordance with the terms of the master-netting arrangements. ~~The following table~~Table 6.7 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver ~~in case of an~~based on incremental credit rating downgrades at ~~September~~June 30, ~~2017~~2022.

Table 6.7 - Post Haircut Value of Incremental Collateral to be Delivered as of June 30, 2022

(dollars in thousands)

Post Haircut Value of Incremental Collateral to be Delivered
as of September 30, 2017
(dollars in thousands)
Ratings Downgrade⁽¹⁾

From To Incremental Collateral
AA+ AA or AA- $ 8,662
AA or AA- A+, A or A- 8,344
A+, A or A- below A- 24,524

~~_______________________~~

Ratings Downgrade(1)

~~Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used.~~

From

Incremental Collateral

AA+

AA or AA-

—

AA-

A+, A or A-

—

A-

below A-

43,803

_______________________

(1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used.

For cleared derivatives, the DCO is our counterparty. The DCO notifies the clearing member of the required initial and variation margin and our agent (clearing member) in turn notifies us. We utilize one of two DCOs for ~~all~~each cleared derivative ~~transactions,~~transaction, CME Inc. ~~and~~or LCH Ltd. ~~Effective January 3, 2017, CME Inc. made certain amendments to its rulebook, changing the legal characterization of~~Based upon their rulebooks, we characterize variation margin payments ~~to be~~as daily settlement payments, rather than ~~collateral. We continue to characterize our variation margin related to LCH Ltd. contracts~~ as ~~cash~~ collateral. At both DCOs, posted initial margin is considered ~~cash~~ collateral. We post initial margin and exchange variation margin through a clearing member ~~who~~of the DCO which clears our trades, acts as our agent to the DCO and ~~who~~ guarantees our performance to the DCO, subject to the terms of relevant agreements. These arrangements expose us to credit risk in the event that one of our clearing members or one of the DCOs fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because the DCO, which is fully secured at all times through margin received from its clearing members, is substituted for the credit risk exposure of individual counterparties in uncleared derivatives, and collateral is posted at least once daily for changes in the fair value of cleared derivatives through a clearing member.

~~We have analyzed the rights, rules, and regulations governing our cleared derivatives and determined that those rights, rules, and regulations should result in a net claim through each~~

Table of our clearing members with the related DCO upon an event of default including a bankruptcy, insolvency or similar proceeding involving the DCO or one of our clearing members, or both. For this purpose, net claim generally means a single net amount reflecting the aggregation of all amounts indirectly owed by us to the relevant DCO and indirectly payable to us from the relevant DCO.Contents

For cleared derivatives, the DCO determines initial margin requirements. ~~We clear our trades via~~Our clearing members, ~~of the DCOs. The clearing members who act as our agent to the DCOs~~which are ~~U.S. Commodity Futures Trading Commission (the CFTC) registered~~CFTC-registered futures commission ~~merchants. Our clearing members~~merchants, may require us to post margin in excess of DCO requirements based on our credit or other considerations, including, but not limited to, credit rating downgrades. We were not required to post any such excess margin by our clearing members based on credit or any other considerations at ~~September~~June 30, ~~2017~~.2022.

Offsetting of Certain Derivatives. We present derivatives, any related cash collateral ~~including initial and certain variation margin,~~ received or pledged, and associated accrued interest, on a net basis by counterparty.



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

We have analyzed the rights, rules, and regulations governing our cleared and uncleared derivatives and determined that those rights, rules, and regulations should result in a net claim with each of our counterparties (which, in the context of cleared derivatives is through each of our clearing members with the related DCO) upon an event of default of our counterparty (solely in the case of uncleared derivatives) or the bankruptcy, insolvency or a similar proceeding involving our counterparty (and/or one of our clearing members, in the case of cleared derivatives). For this purpose, "net claim" generally means a single net amount reflecting the aggregation of all amounts owed by us to the relevant counterparty and payable to us from the relevant counterparty.

~~The following table~~

Table 6.8 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016~~2021, and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting ~~(dollars in thousands). Such netting includes~~include any related cash collateral received from or pledged to ~~counterparties~~counterparties.

Table 6.8 - Netting of Derivative Assets and ~~variation margin for daily settled contracts.~~Derivative Liabilities

(dollars in thousands)


	June 30, 2022
	Derivative Instruments Meeting Netting Requirements
	Gross Recognized Amount		Gross Amounts of Netting Adjustments (1)		Derivative Instruments Not Meeting Netting Requirements		Total Derivative Assets and Total Derivative Liabilities		Non-cash Collateral (Received) or Pledged Not Offset		Net Amount
Derivative Assets
Interest-rate swaps
Uncleared	$	1,810	$	59,771			$	61,581	$	—	$	61,581
Cleared	1,686		325,836				327,522		—		327,522
CO bond firm commitments					$	28	28				28
Mortgage delivery commitments					108		108				108
Total							$	389,239			$	389,239

Derivative Liabilities
Interest-rate swaps
Uncleared	$	(943,323)	$	943,323			$	—	$	—	$	—
Cleared	(103,542)		103,542				—		—		—


Total							$	—			$	—

Table of Contents

September 30, 2017 December 31, 2016
Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities
Derivatives meeting netting requirements
Gross recognized amount
Uncleared derivatives $ 8,964
$ (335,850 ) $ 12,594
$ (405,310 )
Cleared derivatives 34,157
(54,931 ) 42,414
(54,806 )
Total gross recognized amount 43,121
(390,781 ) 55,008
(460,116 )
Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts
Uncleared derivatives (8,277 ) 26,285
(12,028 ) 47,605
Cleared derivatives 13,243
54,931
18,548
54,806
Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts 4,966
81,216
6,520
102,411
Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts
Uncleared derivatives 687
(309,565 ) 566
(357,705 )
Cleared derivatives 47,400
—
60,962
—
Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 48,087
(309,565 ) 61,528
(357,705 )
Derivatives not meeting netting requirements
Mortgage delivery commitments 76
(110 ) 70
(171 )
Total derivative assets and total derivative liabilities
Uncleared derivatives 687
(309,565 ) 566
(357,705 )
Cleared derivatives 47,400
—
60,962
—
Mortgage delivery commitments 76
(110 ) 70
(171 )
Total derivative assets and total derivative liabilities presented in the statement of condition 48,163
(309,675 ) 61,598
(357,876 )

Non-cash collateral received or pledged not offset ⁽¹⁾

Can be sold or repledged
Uncleared derivatives —
8,715
—
30,306
Cannot be sold or repledged
Uncleared derivatives —
283,008
—
290,444
Total non-cash collateral received or pledged, not offset —
291,723
—
320,750
Net amount
Uncleared derivatives 687
(17,842 ) 566
(36,955 )
Cleared derivatives 47,400
—
60,962
—
Mortgage delivery commitments 76
(110 ) 70
(171 )
Total net amount $ 48,163
$ (17,952 ) $ 61,598
$ (37,126 )


	December 31, 2021
	Derivative Instruments Meeting Netting Requirements
	Gross Recognized Amount		Gross Amounts of Netting Adjustments (1)		Derivative Instruments Not Meeting Netting Requirements		Total Derivative Assets and Total Derivative Liabilities		Non-cash Collateral (Received) or Pledged Not Offset(2)		Net Amount
Derivative Assets
Interest-rate swaps
Uncleared	$	327	$	(103)			$	224	$	—	$	224
Cleared	3,523		374,663				378,186		—		378,186
CO bond firm commitments					$	54	54				54
Mortgage delivery commitment					68		68				68
Total							$	378,532			$	378,532

Derivative Liabilities
Interest-rate swaps
Uncleared	$	(171,374)	$	132,460			$	(38,914)	$	28,374	$	(10,540)
Cleared	(6,175)		6,175				—		—		—
CO bond firm commitments					$	(30)	(30)				(30)
Total							$	(38,944)			$	(10,570)

_______________________

(1) Includes gross amounts of netting adjustments and cash collateral.



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

(2) Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty.

~~(1)~~

~~Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At~~ ~~September 30, 2017, and December 31, 2016, we had additional net credit exposure of~~ ~~$32,000~~ ~~and~~ ~~$2.0 million, respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.~~

Note 127 — Deposits

We offer demand and overnight deposits for members and qualifying nonmembers. ~~In addition,~~Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans, which we ~~offer short-term interest-bearing deposit programs to members. We~~ classify ~~these items~~ as "other" in the following table.

~~The following table details interest- and noninterest-bearing deposits (dollars in thousands):~~

September 30, 2017 December 31, 2016
Interest-bearing

Demand and overnight $ 463,622
$ 440,731
Other 2,154
4,166
Noninterest-bearing

Other 26,855
37,266
Total deposits $ 492,631
$ 482,163

Table 7.1 - Deposits

(dollars in thousands)


	June 30, 2022		December 31, 2021
Interest-bearing
Demand and overnight	$	1,033,389	$	831,009
Other	1,846		1,998
Noninterest-bearing
Other	31,224		51,025
Total deposits	$	1,066,459	$	884,032

Note 138 — Consolidated Obligations

~~COs -~~CO Bonds. ~~The following table sets forth the outstanding~~ CO bonds for which we ~~were~~have received issuance proceeds and are primarily liable at ~~September 30, 2017, and December 31, 2016, by year of contractual maturity (dollars in thousands):~~were as follows:

September 30, 2017 December 31, 2016
Year of Contractual Maturity Amount
Weighted
Average
Rate ⁽¹⁾
Amount
Weighted
Average
Rate ⁽¹⁾

Due in one year or less $ 12,269,090
1.36 % $ 8,734,955
1.43 %
Due after one year through two years 6,396,080
1.44
7,752,420
1.19
Due after two years through three years 3,077,000
1.89
3,297,120
1.63
Due after three years through four years 1,776,055
1.72
1,637,335
1.87
Due after four years through five years 1,938,535
1.83
2,574,375
1.65
Thereafter 2,995,650
2.75
3,135,745
2.70
Total par value 28,452,410
1.62 % 27,131,950
1.58 %
Premiums 94,425

118,145

Discounts (14,320 )
(14,906 )
Hedging adjustments (39,920 )
(63,755 )
$ 28,492,595

$ 27,171,434

~~_______________________~~


~~(1)~~	~~The CO bonds' weighted-average rate excludes concession fees.~~

~~Our CO bonds outstanding at~~ ~~September 30, 2017, and December 31, 2016, included (dollars in thousands):~~

September 30, 2017 December 31, 2016
Par value of CO bonds

Noncallable and nonputable $ 24,469,410
$ 22,388,950
Callable 3,983,000
4,743,000
Total par value $ 28,452,410
$ 27,131,950

2926



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Table 8.1 - CO Bonds Outstanding by Contractual Maturity

(dollars in thousands)


	June 30, 2022				December 31, 2021
	Amount		Weighted Average Rate (1)		Amount		Weighted Average Rate (1)
Due in one year or less	$	11,992,260	1.72	%	$	6,919,220	0.79	%
Due after one year through two years	3,275,075		1.92		3,069,155		1.18
Due after two years through three years	4,962,995		1.28		3,514,735		1.09
Due after three years through four years	5,080,415		0.88		3,029,600		0.88
Due after four years through five years	4,135,320		1.32		5,735,605		0.91
Thereafter	4,206,865		2.00		4,456,865		1.91
Total par value	33,652,930		1.53	%	26,725,180		1.10	%
Premiums	30,368				40,251
Discounts	(8,422)				(9,011)
Hedging adjustments	(953,271)				(143,388)
Total	$	32,721,605			$	26,613,032

_______________________

(1)The ~~following is a summary~~CO bonds' weighted-average rate excludes concession fees.

Table 8.2 - CO Bonds Outstanding by Call Feature

(dollars in thousands)


	June 30, 2022		December 31, 2021
Noncallable and nonputable	$	12,961,180	$	13,924,180
Callable	20,691,750		12,801,000
Total par value	$	33,652,930	$	26,725,180

Table 8.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date

(dollars in thousands)


	June 30, 2022		December 31, 2021
Due in one year or less	$	27,530,010	$	19,150,220
Due after one year through two years	1,762,325		3,461,155
Due after two years through three years	1,221,995		1,044,735
Due after three years through four years	1,669,415		1,544,600
Due after four years through five years	499,320		539,605
Thereafter	969,865		984,865
Total par value	$	33,652,930	$	26,725,180

Table 8.4 - CO Bonds by Interest Rate-Payment Type

(dollars in thousands)


	June 30, 2022		December 31, 2021
Fixed-rate	$	22,652,180	$	17,707,180
Simple variable-rate	5,507,000		4,803,000
Step-up (1)	5,493,750		4,215,000
Total par value	$	33,652,930	$	26,725,180

_______________________

(1)Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO ~~bonds for which we were primarily liable~~bond and can be called at ~~September 30, 2017, and December 31, 2016, by year of contractual maturity or next call date for callable CO bonds (dollars in thousands):~~our option on the step-up dates.

Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016
Due in one year or less $ 15,274,090
$ 12,858,955
Due after one year through two years 6,376,080
7,013,420
Due after two years through three years 2,956,000
2,904,120
Due after three years through four years 1,039,055
1,289,335
Due after four years through five years 1,128,535
1,242,375
Thereafter 1,678,650
1,823,745
Total par value $ 28,452,410
$ 27,131,950

Table of Contents

~~The following table sets forth the~~ CO ~~bonds for which we were primarily liable by interest-rate-payment type at~~ ~~September 30, 2017, and December 31, 2016 (dollars in thousands):~~

September 30, 2017 December 31, 2016
Par value of CO bonds

Fixed-rate $ 20,483,410
$ 20,289,950
Simple variable-rate 6,492,000
5,300,000
Step-up 1,477,000
1,542,000
Total par value $ 28,452,410
$ 27,131,950

~~COs –~~ Discount Notes. Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as ~~follows (dollars~~follows:

Table 8.5 - CO Discount Notes Outstanding

(dollars in thousands):

Book Value Par Value
Weighted Average
Rate ⁽¹⁾
September 30, 2017 $ 28,047,762
$ 28,074,966
1.03 %
December 31, 2016 $ 30,053,964
$ 30,070,103
0.47 %


	Book Value		Par Value		Weighted Average Rate (1)
June 30, 2022	$	25,096,230	$	25,119,223	1.36	%
December 31, 2021	$	2,275,320	$	2,275,519	0.05	%

_______________________


~~(1)~~	~~The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees.~~

(1)CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees.

Note 149 — Affordable Housing Program

~~The following table presents a roll-forward of the AHP liability for the nine months ended~~ ~~September 30, 2017, and year ended December 31, 2016 (dollars in thousands):~~

September 30, 2017 December 31, 2016
Balance at beginning of period $ 81,627
$ 82,081
AHP expense for the period 13,720
19,397
AHP direct grant disbursements (16,217 ) (18,575 )
AHP subsidy for AHP advance disbursements (1,876 ) (1,378 )
Return of previously disbursed grants and subsidies 75
102
Balance at end of period $ 77,329
$ 81,627

Table 9.1 - AHP Liability

(dollars in thousands)


	For the Six Months Ended		For the Year Ended
	June 30, 2022		December 31, 2021
Balance at beginning of year	$	70,503	$	78,640
AHP expense for the period	7,667		7,739
AHP voluntary contribution	13,980		4,761
AHP direct grant disbursements	(6,708)		(17,980)
AHP subsidy for AHP advance disbursements	(1,291)		(5,806)
Return of previously disbursed grants and subsidies	935		3,149
Balance at end of period	$	85,086	$	70,503

Note 1510 — Capital

We are subject to capital requirements under our capital plan, the ~~Federal Home Loan Bank~~FHLBank Act, ~~of 1932, as amended (the FHLBank Act),~~ and FHFA ~~regulations:~~regulations and guidance:

1.Risk-based capital. We are required to maintain at all times permanent capital, which is our Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operational-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement.



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

2.Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least 4 percent. Total regulatory capital is the sum of permanent capital, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses.

~~Risk-based~~

3.Leverage capital.We are required to maintain at all times a leverage capital-to-assets ratio of at least 5 percent. Leverage capital is calculated by multiplying permanent capital by 1.5 and adding to this product all other components of total capital.

We are required to maintain at all times permanent capital, defined as Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operations-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement.

~~Total regulatory capital.~~ ~~We are required to maintain at all times a total capital-to-assets ratio of at least~~ ~~four percent~~. Total regulatory capital is the sum of permanent capital, the amount paid-in for Class A stock, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. We have never issued Class A stock.


3.	~~Leverage capital.~~ ~~We are required to maintain at all times a leverage capital-to-assets ratio of at least~~ ~~five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor.~~

The FHFA ~~may~~has authority to require us to maintain a greater amount of permanent capital than is required as defined by the risk-based capital requirements.

Table of Contents

Table 10.1 - Regulatory Capital Requirements

(dollars in thousands)


Risk-Based Capital Requirements	June 30, 2022		December 31, 2021

Permanent capital
Class B capital stock	$	1,557,243	$	953,638
Mandatorily redeemable capital stock	10,703		13,562
Retained earnings	1,607,178		1,548,406
Total permanent capital	$	3,175,124	$	2,515,606
Risk-based capital requirement
Credit-risk capital	$	111,551	$	84,301
Market-risk capital	224,681		213,467
Operations-risk capital	100,870		89,330
Total risk-based capital requirement	$	437,102	$	387,098
Permanent capital in excess of risk-based capital requirement	$	2,738,022	$	2,128,508


	June 30, 2022						December 31, 2021
	Required			Actual			Required			Actual
Capital Ratio
Risk-based capital	$	437,102		$	3,175,124		$	387,098		$	2,515,606
Total regulatory capital	2,482,560			3,175,124			1,301,812			2,515,606
Total capital-to-asset ratio	4.0		%	5.1		%	4.0		%	7.7		%

Leverage Ratio
Leverage capital	$	3,103,200		$	4,762,686		$	1,627,265		$	3,773,409
Leverage capital-to-assets ratio	5.0		%	7.7		%	5.0		%	11.6		%

We are a cooperative whose members own most of our capital stock. Former members, including certain nonmembers that own our capital stock as a result of merger or acquisition, relocation, or involuntary termination of membership, own the remaining capital stock to support business transactions still carried on our statement of condition or, for a small amount of capital stock held by former members, until the five-year redemption period applicable to their membership stock is complete. Shares of capital stock cannot be purchased or sold except between us and our members at $100 per share par value. For the periods presented in these financial statements, each member is required to purchase Class B stock equal to the sum of 0.20 percent of certain member assets eligible to secure advances under the FHLBank Act, provided that this amount is neither less than $10 thousand nor more than $10 million (the membership stock investment requirement), and 3.00 percent for overnight advances, 4.00 percent for all other advances, 0.25 percent for outstanding letters of credit, and 4.50 percent of the par value of certain mortgages we purchased through the MPF program (collectively, the activity-based stock-investment requirement). The ~~following tables demonstrate~~sum of the membership stock investment requirement and the activity-based stock investment requirement, rounded up to the nearest whole share, represents the total stock investment requirement.

Restricted Retained Earnings. At June 30, 2022, our ~~compliance~~total required balance to the restricted retained earnings account was $421.4 million compared with our ~~regulatory capital requirements at~~ ~~September~~total balance of $376.6 million. During the quarter ended June 30, ~~2017, and December 31, 2016 (dollars in thousands):~~2022, we contributed $8.2 million of our net income to restricted retained earnings. Restricted retained earnings are not available to pay dividends.

Risk-Based Capital Requirements September 30,
2017 December 31,
2016

Permanent capital

Class B capital stock $ 2,272,648
$ 2,411,306
Mandatorily redeemable capital stock 36,042
32,687
Retained earnings 1,265,282
1,216,986
Total permanent capital $ 3,573,972
$ 3,660,979
Risk-based capital requirement

Credit-risk capital $ 348,381
$ 355,182
Market-risk capital 166,807
118,765
Operations-risk capital 154,556
142,184
Total risk-based capital requirement $ 669,744
$ 616,131
Permanent capital in excess of risk-based capital requirement $ 2,904,228
$ 3,044,848

September 30, 2017 December 31, 2016
Required Actual Required Actual
Capital Ratio
Risk-based capital $ 669,744
$ 3,573,972
$ 616,131
$ 3,660,979
Total regulatory capital $ 2,439,018
$ 3,573,972
$ 2,461,823
$ 3,660,979
Total capital-to-asset ratio 4.0 % 5.9 % 4.0 % 5.9 %

Leverage Ratio
Leverage capital $ 3,048,773
$ 5,360,958
$ 3,077,279
$ 5,491,469
Leverage capital-to-assets ratio 5.0 % 8.8 % 5.0 % 8.9 %

Note 1611 — Accumulated Other Comprehensive ~~Loss~~

~~The following table presents a summary of changes in accumulated other comprehensive loss for the three and nine months ended~~ ~~September 30, 2017~~ ~~and~~ ~~2016~~ ~~(dollars in thousands):~~

Income (Loss)



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Table 11.1 - Accumulated Other Comprehensive Income (Loss)

(dollars in thousands)

Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss
Balance, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 )
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains (17,325 ) —
1,082
—
(16,243 )
Noncredit other-than-temporary impairment losses —
(486 ) —
—
(486 )
Accretion of noncredit loss —
8,586
—
—
8,586
Net actuarial loss —
—
—
(15 ) (15 )
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾
—
290
—
—
290
Amortization - hedging activities ⁽²⁾
—
—
5,341
—
5,341
Amortization - pension and postretirement benefits ⁽³⁾
—
—
—
225
225
Other comprehensive (loss) income (17,325 ) 8,390
6,423
210
(2,302 )
Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 )

Balance, June 30, 2017 $ (94,309 ) $ (175,068 ) $ (45,554 ) $ (5,530 ) $ (320,461 )
Other comprehensive income (loss) before reclassifications:
Net unrealized losses (61 ) —
(856 ) —
(917 )
Accretion of noncredit loss —
8,178
—
—
8,178
Net actuarial gain —
—
—
112
112
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾
—
420
—
—
420
Amortization - hedging activities⁽⁴⁾
—
—
2,161
—
2,161
Amortization - pension and postretirement benefits⁽³⁾
—
—
—
193
193
Other comprehensive (loss) income (61 ) 8,598
1,305
305
10,147
Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 )


	Net Unrealized Gain (Loss) on Available-for-sale Securities		Net Unrealized (Loss) Gain Relating to Hedging Activities		Pension and Postretirement Benefits		Total
Balance, March 31, 2021	$	46,649	$	(17,622)	$	(7,804)	$	21,223
Other comprehensive (loss) income before reclassifications:
Net unrealized gains (losses)	37,811		(14,224)		—		23,587
Net actuarial gain	—		—		1,292		1,292
Reclassifications from other comprehensive income to net income

Amortization - hedging activities (1)	—		1,506		—		1,506
Amortization - pension and postretirement benefits (2)	—		—		37		37
Other comprehensive income (loss)	37,811		(12,718)		1,329		26,422
Balance June 30, 2021	$	84,460	$	(30,340)	$	(6,475)	$	47,645

Balance, March 31, 2022	$	(83,273)	$	(2,795)	$	(2,732)	$	(88,800)
Other comprehensive (loss) income before reclassifications:
Net unrealized (losses) gains	(150,748)		22,182		—		(128,566)
Net actuarial loss	—		—		(685)		(685)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)	—		1,455		—		1,455
Amortization - pension and postretirement benefits (2)	—		—		187		187

Other comprehensive (loss) income	(150,748)		23,637		(498)		(127,609)
Balance, June 30, 2022	$	(234,021)	$	20,842	$	(3,230)	$	(216,409)


	Net Unrealized Gain (Loss) on Available-for-sale Securities		Net Unrealized (Loss) Gain Relating to Hedging Activities		Pension and Postretirement Benefits		Total
Balance, December 31, 2020	$	48,568	$	(24,365)	$	(8,064)	$	16,139
Other comprehensive income (loss) before reclassifications:
Net unrealized gains (losses)	35,892		(9,038)		—		26,854
Net actuarial gain	—		—		1,292		1,292
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)	—		3,063		—		3,063
Amortization - pension and postretirement benefits (2)	—		—		297		297
Other comprehensive income (loss)	35,892		(5,975)		1,589		31,506
Balance, June 30, 2021	$	84,460	$	(30,340)	$	(6,475)	$	47,645

Balance, December 31, 2021	$	58,013	$	(26,291)	$	(2,755)	$	28,967
Other comprehensive (loss) income before reclassifications:
Net unrealized (losses) gains	(292,036)		44,240		—		(247,796)
Net actuarial loss	—		—		(685)		(685)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)	—		2,893		—		2,893
Amortization - pension and postretirement benefits (2)	—		—		210		210
Reclassification of realized net loss included in net income (3)	2		—		—		2
Other comprehensive (loss) income	(292,034)		47,133		(475)		(245,376)
Balance, June 30, 2022	$	(234,021)	$	20,842	$	(3,230)	$	(216,409)

_______________________


~~(1)~~	~~Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations.~~


~~(2)~~	Amortization of hedging activities includes $5.3 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.


~~(3)~~	~~Recorded in other operating expenses in the statement of operations.~~


~~(4)~~	Amortization of hedging activities includes $2.2 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

(1) Recorded in CO bond interest expense.

(2) Recorded in other expenses in the statement of operations.

(3) Recorded in other income (loss) in the statement of operations.

Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss
Balance, December 31, 2015 $ (137,718 ) $ (229,785 ) $ (71,237 ) $ (3,857 ) $ (442,597 )
Other comprehensive income (loss) before reclassifications:
Net unrealized gains (losses) 62,446
—
(25,688 ) —
36,758
Noncredit other-than-temporary impairment losses —
(1,142 ) —
—
(1,142 )
Accretion of noncredit loss —
26,938
—
—
26,938
Net actuarial loss —
—
—
(2,931 ) (2,931 )
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾
—
2,210
—
—
2,210
Amortization - hedging activities ⁽²⁾
—
—
19,445
—
19,445
Amortization - pension and postretirement benefits ⁽³⁾
—
—
—
675
675
Other comprehensive income (loss) 62,446
28,006
(6,243 ) (2,256 ) 81,953
Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 )

Balance, December 31, 2016 $ (136,809 ) $ (192,379 ) $ (48,187 ) $ (6,139 ) $ (383,514 )
Other comprehensive income (loss) before reclassifications:
Net unrealized gains (losses) 42,439
—
(5,937 ) —
36,502
Accretion of noncredit loss —
24,593
—
—
24,593
Net actuarial gain —
—
—
336
336
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾
—
1,316
—
—
1,316
Amortization - hedging activities⁽⁴⁾
—
—
9,875
—
9,875
Amortization - pension and postretirement benefits⁽³⁾
—
—
—
578
578
Other comprehensive income 42,439
25,909
3,938
914
73,200
Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 )

~~_______________________~~


~~(1)~~	~~Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations.~~


~~(2)~~	Amortization of hedging activities includes $19.4 million recorded in CO bond interest expense and $11,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.


~~(3)~~	~~Recorded in other operating expenses in the statement of operations.~~


~~(4)~~	Amortization of hedging activities includes $9.9 million recorded in CO bond interest expense and $11,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.

Note 1712 — Fair Values

A fair-value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in Part II — Item 8 — Financial



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Statements and Supplementary Data — Note 1815 — Fair Values in the ~~2016~~2021 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the ~~nine~~six months ended ~~September~~ June 30, ~~2017.~~2022.

~~The~~Table 12.1 presents the carrying ~~values,~~value, fair ~~values,~~value, and ~~fair-value~~fair value hierarchy of our financial ~~instruments~~assets and liabilities at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016, were as follows (dollars~~2021. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans, and certain other assets at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 12.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

Table 12.1 - Fair Value Summary

(dollars in thousands). These fair values do not represent an estimate of our overall market value as a going concern, which would take into account, among other things, our future business opportunities and the net profitability of our assets and liabilities.


	June 30, 2022
	Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Financial instruments
Assets:
Cash and due from banks	$	65,965	$	65,965	$	65,965	$	—	$	—	$	—
Interest-bearing deposits	395,230		395,230		395,230		—		—		—
Securities purchased under agreements to resell	11,250,000		11,249,945		—		11,249,945		—		—
Federal funds sold	2,998,000		2,997,988		—		2,997,988		—		—
Trading securities(1)	980		980		—		980		—		—
Available-for-sale securities(1)	13,496,627		13,496,627		—		13,436,094		60,533		—
Held-to-maturity securities	113,697		114,516		—		114,516		—		—
Advances	30,318,486		30,213,245		—		30,213,245		—		—
Mortgage loans, net	2,897,373		2,734,981		—		2,711,151		23,830		—
Accrued interest receivable	85,367		85,367		—		85,367		—		—
Derivative assets(1)	389,239		389,239		—		3,632		—		385,607
Other assets (1)	30,065		30,065		13,308		16,757		—		—
Liabilities:
Deposits	(1,066,459)		(1,066,426)		—		(1,066,426)		—		—
COs:
Bonds	(32,721,605)		(32,435,784)		—		(32,435,784)		—		—
Discount notes	(25,096,230)		(25,093,489)		—		(25,093,489)		—		—
Mandatorily redeemable capital stock	(10,703)		(10,703)		(10,703)		—		—		—
Accrued interest payable	(86,722)		(86,722)		—		(86,722)		—		—
Derivative liabilities(1)	—		—		—		(1,046,865)		—		1,046,865
Other:
Commitments to extend credit for advances	—		(13,526)		—		(13,526)		—		—

Standby letters of credit	(1,366)		(1,366)		—		(1,366)		—		—

September 30, 2017

Carrying
Value
Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral
Financial instruments

Assets:

Cash and due from banks $ 31,774
$ 31,774
$ 31,774
$ —
$ —
$ —
Interest-bearing deposits 225,012
225,012
225,012
—
—
—
Securities purchased under agreements to resell 2,999,000
2,998,922
—
2,998,922
—
—
Federal funds sold 6,250,000
6,249,958
—
6,249,958
—
—
Trading securities⁽¹⁾
509,463
509,463
—
509,463
—
—
Available-for-sale securities⁽¹⁾
7,559,111
7,559,111
—
7,540,568
18,543
—
Held-to-maturity securities 1,798,011
2,076,570
—
947,744
1,128,826
—
Advances 37,467,404
37,615,598
—
37,615,598
—
—
Mortgage loans, net 3,942,776
4,001,298
—
3,976,898
24,400
—
Accrued interest receivable 84,886
84,886
—
84,886
—
—
Derivative assets⁽¹⁾
48,163
48,163
—
43,197
—
4,966
Other assets ⁽¹⁾
21,760
21,760
9,121
12,639
—
—
Liabilities:

Deposits (492,631 ) (492,621 ) —
(492,621 ) —
—
COs:

Bonds (28,492,595 ) (28,607,952 ) —
(28,607,952 ) —
—
Discount notes (28,047,762 ) (28,047,925 ) —
(28,047,925 ) —
—
Mandatorily redeemable capital stock (36,042 ) (36,042 ) (36,042 ) —
—
—
Accrued interest payable (100,148 ) (100,148 ) —
(100,148 ) —
—
Derivative liabilities⁽¹⁾
(309,675 ) (309,675 ) —
(390,891 ) —
81,216
Other:

Commitments to extend credit for advances —
(4,385 ) —
(4,385 ) —
—
Standby letters of credit (892 ) (892 ) —
(892 ) —
—

~~_______________________~~


~~(1)~~	~~Carried at fair value on a recurring basis.~~



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

December 31, 2016

Carrying
Value

Total Fair
Value
Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral
Financial instruments

Assets:

Cash and due from banks $ 520,031
$ 520,031
$ 520,031
$ —
$ —
$ —
Interest-bearing deposits 278
278
278
—
—
—
Securities purchased under agreements to resell 5,999,000
5,998,799
—
5,998,799
—
—
Federal funds sold 2,700,000
2,699,949
—
2,699,949
—
—
Trading securities⁽¹⁾
612,622
612,622
—
612,622
—
—
Available-for-sale securities⁽¹⁾
6,588,664
6,588,664
—
6,580,518
8,146
—
Held-to-maturity securities 2,130,767
2,372,290
—
1,176,269
1,196,021
—
Advances 39,099,339
39,273,044
—
39,273,044
—
—
Mortgage loans, net 3,693,894
3,736,548
—
3,708,123
28,425
—
Accrued interest receivable 84,653
84,653
—
84,653
—
—
Derivative assets⁽¹⁾
61,598
61,598
—
55,078
—
6,520
Other assets⁽¹⁾
17,779
17,779
8,394
9,385
—
—
Liabilities:

Deposits (482,163 ) (482,158 ) —
(482,158 ) —
—
COs:
Bonds (27,171,434 ) (27,298,499 ) —
(27,298,499 ) —
—
Discount notes (30,053,964 ) (30,054,085 ) —
(30,054,085 ) —
—
Mandatorily redeemable capital stock (32,687 ) (32,687 ) (32,687 ) —
—
—
Accrued interest payable (80,822 ) (80,822 ) —
(80,822 ) —
—
Derivative liabilities⁽¹⁾
(357,876 ) (357,876 ) —
(460,287 ) —
102,411
Other:
Commitments to extend credit for advances —
(4,412 ) —
(4,412 ) —
—
Standby letters of credit (1,064 ) (1,064 ) —
(1,064 ) —
—


	December 31, 2021
	Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Financial instruments
Assets:
Cash and due from banks	$	204,993	$	204,993	$	204,993	$	—	$	—	$	—
Interest-bearing deposits	85,153		85,153		85,153		—		—		—
Securities purchased under agreements to resell	800,000		799,998		—		799,998		—		—
Federal funds sold	1,944,000		1,943,998		—		1,943,998		—		—
Trading securities(1)	501,867		501,867		—		501,867		—		—
Available-for-sale securities(1)	12,895,987		12,895,987		—		12,833,722		62,265		—
Held-to-maturity securities	145,492		148,068		—		148,068		—		—
Advances	12,340,020		12,440,985		—		12,440,985		—		—
Mortgage loans, net	3,120,159		3,234,829		—		3,204,222		30,607		—

Accrued interest receivable	68,360		68,360		—		68,360		—		—
Derivative assets(1)	378,532		378,532		—		3,972		—		374,560
Other assets(1)	32,570		32,570		13,937		18,633		—		—
Liabilities:
Deposits	(884,032)		(884,029)		—		(884,029)		—		—
COs:
Bonds	(26,613,032)		(26,882,036)		—		(26,882,036)		—		—
Discount notes	(2,275,320)		(2,275,276)		—		(2,275,276)		—		—
Mandatorily redeemable capital stock	(13,562)		(13,562)		(13,562)		—		—		—
Accrued interest payable	(60,968)		(60,968)		—		(60,968)		—		—
Derivative liabilities(1)	(38,944)		(38,944)		—		(177,578)		—		138,634
Other:
Commitments to extend credit for advances	—		(6,196)		—		(6,196)		—		—

Standby letters of credit	(1,146)		(1,146)		—		(1,146)		—		—

_______________________


~~(1)~~	~~Carried at fair value on a recurring basis.~~

(1)Carried at fair value and measured on a recurring basis.

(2)These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

Fair Value Measured on a Recurring and Nonrecurring Basis.

~~The following tables present our assets and liabilities that are measured at fair value on the statement of condition, which are recorded on a recurring basis at~~ ~~September 30, 2017, and December 31, 2016, by fair-value hierarchy level (dollars in thousands):~~

3532



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

September 30, 2017
Level 1 Level 2 Level 3
Netting
Adjustment ⁽¹⁾
Total
Assets:

Trading securities:
U.S. Treasury obligations $ —
$ 309,498
$ —
$ —
$ 309,498
U.S. government-guaranteed – single-family MBS —
7,207
—
—
7,207
GSEs – single-family MBS —
440
—
—
440
GSEs – multifamily MBS —
192,318
—
—
192,318
Total trading securities —
509,463
—
—
509,463
Available-for-sale securities:

State or local HFA securities —
—
18,543
—
18,543
Supranational institutions —
421,492
—
—
421,492
U.S. government-owned corporations —
286,393
—
—
286,393
GSEs —
120,033
—
—
120,033
U.S. government guaranteed – single-family MBS —
102,699
—
—
102,699
U.S. government guaranteed – multifamily MBS —
467,970
—
—
467,970
GSEs – single-family MBS —
4,528,021
—
—
4,528,021
GSEs – multifamily MBS —
1,613,960
—
—
1,613,960
Total available-for-sale securities —
7,540,568
18,543
—
7,559,111
Derivative assets:

Interest-rate-exchange agreements —
43,121
—
4,966
48,087
Mortgage delivery commitments —
76
—
—
76
Total derivative assets —
43,197
—
4,966
48,163
Other assets 9,121
12,639
—
—
21,760
Total assets at fair value $ 9,121
$ 8,105,867
$ 18,543
$ 4,966
$ 8,138,497
Liabilities:

Derivative liabilities

Interest-rate-exchange agreements $ —
$ (390,781 ) $ —
$ 81,216
$ (309,565 )
Mortgage delivery commitments —
(110 ) —
—
(110 )
Total liabilities at fair value $ —
$ (390,891 ) $ —
$ 81,216
$ (309,675 )

~~_______________________~~


~~(1)~~	These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

December 31, 2016
Level 1 Level 2 Level 3
Netting
Adjustment ⁽¹⁾
Total
Assets:

Trading securities:
U.S. Treasury obligations $ —
$ 399,521
$ —
$ —
$ 399,521
U.S. government-guaranteed – single-family MBS —
8,494
—
—
8,494
GSEs – single-family MBS —
768
—
—
768
GSEs – multifamily MBS —
203,839
—
—
203,839
Total trading securities —
612,622
—
—
612,622
Available-for-sale securities:

State or local HFA securities —
—
8,146
—
8,146
Supranational institutions —
422,620
—
—
422,620
U.S. government-owned corporations —
271,957
—
—
271,957
GSEs —
117,468
—
—
117,468
U.S. government guaranteed – single-family MBS —
124,727
—
—
124,727
U.S. government guaranteed – multifamily MBS —
563,361
—
—
563,361
GSEs – single-family MBS —
4,403,855
—
—
4,403,855
GSEs – multifamily MBS —
676,530
—
—
676,530
Total available-for-sale securities —
6,580,518
8,146
—
6,588,664
Derivative assets:

Interest-rate-exchange agreements —
55,008
—
6,520
61,528
Mortgage delivery commitments —
70
—
—
70
Total derivative assets —
55,078
—
6,520
61,598
Other assets 8,394
9,385
—
—
17,779
Total assets at fair value $ 8,394
$ 7,257,603
$ 8,146
$ 6,520
$ 7,280,663
Liabilities:

Derivative liabilities

Interest-rate-exchange agreements $ —
$ (460,116 ) $ —
$ 102,411
$ (357,705 )
Mortgage delivery commitments —
(171 ) —
—
(171 )
Total liabilities at fair value $ —
$ (460,287 ) $ —
$ 102,411
$ (357,876 )

~~_______________________~~


~~(1)~~	These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

~~The following table presents a reconciliation~~Table 12.2 - Fair Value of ~~available-for-sale securities that are measured~~Assets and Liabilities Measured at ~~fair value on a recurring basis~~

using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2017. There were no Level 3 available-for-sale securities during the nine months ended September 30, 2016 (dollars in thousands).

For the Three Months Ended For the Nine Months Ended
September 30, 2017 September 30, 2017
Balance at beginning of period $ 15,414
$ 8,146
Purchases 3,520
11,120
Unrealized losses included in other comprehensive income (391 ) (723 )
Balance at end of period $ 18,543
$ 18,543



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Fair Value on a Recurring and Nonrecurring Basis

(dollars in thousands)


	June 30, 2022
	Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)		Total
Assets:
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds	$	—	$	980	$	—	$	—	$	980



Available-for-sale securities:
HFA securities	—		—		60,533		—		60,533
U.S. Treasury obligations	—		5,889,613		—		—		5,889,613
Supranational institutions	—		369,247		—		—		369,247

U.S. government-owned corporations	—		249,179		—		—		249,179
GSE	—		106,506		—		—		106,506
U.S. government guaranteed – single-family MBS	—		17,971		—		—		17,971
U.S. government guaranteed – multifamily MBS	—		518,612		—		—		518,612
GSE – single-family MBS	—		883,424		—		—		883,424
GSE – multifamily MBS	—		5,401,542		—		—		5,401,542
Total available-for-sale securities	—		13,436,094		60,533		—		13,496,627
Derivative assets:
Interest-rate-exchange agreements	—		3,496		—		385,607		389,103
CO Bond firm commitments	—		28		—		—		28
Mortgage delivery commitments	—		108		—		—		108
Total derivative assets	—		3,632		—		385,607		389,239
Other assets	13,308		16,757		—		—		30,065
Total assets carried at fair value on a recurring basis	$	13,308	$	13,457,463	$	60,533	$	385,607	$	13,916,911
Carried at fair value on a nonrecurring basis(2)
Mortgage loans held for portfolio	$	—	$	—	$	90	$	—	$	90

Total assets carried at fair value on a nonrecurring basis	$	—	$	—	$	90	$	—	$	90
Liabilities:
Carried at fair value on a recurring basis
Derivative liabilities
Interest-rate-exchange agreements	$	—	$	(1,046,865)	$	—	$	1,046,865	$	—

Total liabilities carried at fair value on a recurring basis	$	—	$	(1,046,865)	$	—	$	1,046,865	$	—

Table of Contents


	December 31, 2021
	Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)		Total
Assets:
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds	$	—	$	1,442	$	—	$	—	$	1,442
U.S. Treasury obligations	—		500,425		—		—		500,425



Total trading securities	—		501,867		—		—		501,867
Available-for-sale securities:
HFA securities	—		—		62,265		—		62,265
U.S. Treasury obligations	—		5,084,546		—		—		5,084,546
Supranational institutions	—		403,765		—		—		403,765
U.S. government-owned corporations	—		306,864		—		—		306,864
GSE	—		126,472		—		—		126,472
U.S. government guaranteed – single-family MBS	—		21,535		—		—		21,535
U.S. government guaranteed – multifamily MBS	—		541,405		—		—		541,405
GSE – single-family MBS	—		1,103,714		—		—		1,103,714
GSE – multifamily MBS	—		5,245,421		—		—		5,245,421
Total available-for-sale securities	—		12,833,722		62,265		—		12,895,987
Derivative assets:
Interest-rate-exchange agreements	—		3,850		—		374,560		378,410
CO Bond firm commitments	—		54		—		—		54
Mortgage delivery commitments	—		68		—		—		68
Total derivative assets	—		3,972		—		374,560		378,532
Other assets	13,937		18,633		—		—		32,570
Total assets carried at fair value on a recurring basis	$	13,937	$	13,358,194	$	62,265	$	374,560	$	13,808,956
Carried at fair value on a nonrecurring basis(2)


Mortgage loans held for portfolio	$	—	$	—	$	3,860	$	—	$	3,860
Real-estate owned property (REO)	—		—		59		—		59
Total assets carried at fair value on a nonrecurring basis	$	—	$	—	$	3,919	$	—	$	3,919
Liabilities:
Carried at fair value on a recurring basis
Derivative liabilities
Interest-rate-exchange agreements	$	—	$	(177,548)	$	—	$	138,634	$	(38,914)
CO Bond firm commitments	—		(30)		—		—		(30)

Total liabilities carried at fair value on a recurring basis	$	—	$	(177,578)	$	—	$	138,634	$	(38,944)

_______________________

(1) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

(2) We measure certain ~~held-to-maturity investment securities,~~ mortgage loans held for portfolio and ~~real-estate-owned property (REO)~~REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain ~~circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security).~~

~~The following tables present financial assets by level within the fair-value hierarchy which were recorded at fair value on a nonrecurring basis.~~circumstances. The fair values presented are as of the date the fair value adjustment was ~~recorded (dollars in thousands).~~recorded.

September 30, 2017
Level 1 Level 2 Level 3 Total
Held-to-maturity securities:
Private-label residential MBS $ —
$ —
$ 2,050
$ 2,050
Mortgage loans held for portfolio —
—
4,783
4,783
REO —
—
397
397

Total assets recorded at fair value on a nonrecurring basis $ —
$ —
$ 7,230
$ 7,230

December 31, 2016
Level 1 Level 2 Level 3 Total
Held-to-maturity securities:
Private-label residential MBS $ —
$ —
$ 8,498
$ 8,498
Mortgage loans held for portfolio —
—
5,618
5,618
REO —
—
786
786

Total assets recorded at fair value on a nonrecurring basis $ —
$ —
$ 14,902
$ 14,902

Table 12.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and six months ended June 30, 2022 and 2021.

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Table 12.3 - Roll Forward of Level 3 Available-for-Sale HFA Securities

(dollars in thousands)


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2022		2021		2022		2021
Balance at beginning of period	$	61,444	$	107,908	$	62,265	$	122,549





Total (losses) gains included in other comprehensive income
Net unrealized (losses) gains	(51)		1,129		(872)		3,333

Sales, maturities, and settlements

Maturities	—		(21,740)		—		(38,360)
Settlements	(860)		(1,220)		(860)		(1,445)
Balance at end of period	$	60,533	$	86,077	$	60,533	$	86,077

Total amount of unrealized (losses) gains for the period included in other comprehensive income relating to securities held at period end	$	(51)	$	(1,132)	$	(872)	$	217

Note 1813 — Commitments and Contingencies

Joint and Several Liability. COs are backed by the financial resources of the FHLBanks. The FHFA has authority to require any FHLBank to repay all or a portion of the principal and interest on COs for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any CO on behalf of another FHLBank. We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. Based on this evaluation, as of ~~September~~June 30, ~~2017~~,2022, and through the filing of this report, we do not believe ~~there~~it is ~~only a remote likelihood~~likely that we will be required to repay the principal or interest on any CO on behalf of another FHLBank.

We have considered applicable FASB guidance and determined it is not necessary to recognize a liability for the fair value of our joint and several liability for all of the COs. The joint and several obligation is mandated by the FHLBank Act, as implemented by FHFA regulations, and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the FHFA as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, the FHLBanks' joint and several obligation is excluded from the initial recognition and measurement provisions. Accordingly, we have not recognized a liability for our joint and several obligation related to other FHLBanks' COs at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016.~~2021. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $~~972.2~~$823.7 billion and ~~$932.1~~$623.9 billion at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, respectively. See Note 138 — Consolidated Obligations for additional information.

Off-Balance-Sheet Commitments



Table of Contents	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

Table 13.1 - Off-Balance Sheet Commitments (1)

(dollars in thousands)

~~Off-Balance-Sheet Commitments.~~


	June 30, 2022						December 31, 2021
	Expire within one year		Expire after one year		Total		Expire within one year		Expire after one year		Total
Standby letters of credit outstanding (2)	$	9,997,436	$	139,160	$	10,136,596	$	5,369,701	$	132,096	$	5,501,797

Commitments for unused lines of credit - advances (3)	1,114,335		—		1,114,335		1,095,844		—		1,095,844
Commitments to make additional advances	211,367		48,302		259,669		40,917		66,318		107,235
Commitments to invest in mortgage loans	6,864		—		6,864		3,164		—		3,164
Unsettled CO bonds, at par	445,000		—		445,000		260,000		—		260,000
Unsettled CO discount notes, at par	1,336,070		—		1,336,070		—		—		—

__________________________

(1) We have determined that it is unnecessary to record any liability for credit losses on these agreements.

(2) The ~~following table sets forth our off-balance-sheet~~amount of standby letters of credit outstanding excludes commitments asto issue standby letters of ~~September~~credit that expire within one year. At June 30, ~~2017~~,2022, and December 31, ~~2016 (dollars in thousands):~~2021, these amounts totaled $39.9 million and $16.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $125 thousand at December 31, 2021.

(3) Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements.

September 30, 2017 December 31, 2016
Expire within one year Expire after one year Total Expire within one year Expire after one year Total
Standby letters of credit outstanding ⁽¹⁾
$ 4,820,514
$ 204,938
$ 5,025,452
$ 4,050,447
$ 179,632
$ 4,230,079
Commitments for unused lines of credit - advances ⁽²⁾
1,268,507
—
1,268,507
1,255,140
—
1,255,140
Commitments to make additional advances 71,901
51,136
123,037
44,865
65,972
110,837
Commitments to invest in mortgage loans 62,221
—
62,221
22,524
—
22,524
Unsettled CO bonds, at par 197,000
—
197,000
—
—
—
Unsettled CO discount notes, at par 2,605
—
2,605
—
—
—

~~__________________________~~

~~(1)~~

~~The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At~~
~~September 30, 2017, and December 31, 2016, these amounts totaled $3.9 million~~ ~~and~~ ~~$2.7 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $100,000 and $285,000 at September 30, 2017 and December 31, 2016, respectively.~~


~~(2)~~	~~Commitments for unused line-of-credit advances are generally for periods of up to~~ ~~12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements.~~

Standby Letters of Credit. AFor a fee, we issue standby ~~letter~~letters of credit ~~is a financing arrangement pursuant~~on behalf of our members to ~~which we agree~~support certain obligations of the members to third-party beneficiaries. These standby letters of credit are generally subject to the same collateralization and borrowing limits that are applicable to advances. Standby letters of credit may be offered to assist members and nonmember housing associates in facilitating residential housing finance, community lending, and asset-liability management, and to provide liquidity. In particular, members often use standby letters of credit as collateral for ~~a fee to fund the associated obligation to a third-party beneficiary should the primary obligor fail to fund such obligation.~~deposits from state and local government agencies. If we are required to make payment for a beneficiary's draw, our strategy is to take prompt action to recover the funds paid to the third-party beneficiary, including converting the payment amount into a collateralized advance to the primary obligor, withdrawing the payment amount from the primary obligor's demand deposit account with us, or selling collateral pledged by the primary obligor in a commercially reasonable manner to offset the payment amount. ~~The original~~Historically, standby letters of credit usually expire without being drawn upon. At June 30, 2022, the terms of these standby letters of credit have original expiration periods of up to 20 years,~~, currently~~ expiring no later than ~~2026.~~2031. Currently, we offer new standby letters of credit with ~~expiration periods of~~terms typically up to 10 ~~years. Our unearned~~years, while terms greater than 10 years may be available on an exception basis. Unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled ~~$892,000~~$1.4 million and ~~$1.1~~$1.1 million at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, respectively.

Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 4560 business days. Such commitments are recorded as derivatives at their fair values on the statement of condition.

Pledged Collateral. We have pledged securities as collateral related to derivatives. See Note 116 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. We are subject to various legal proceedings arising in the normal course of business from time to time. We would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. Management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on our financial condition, results of operations, or cash flows.

Note 1914 — Transactions with Shareholders

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Shareholder Concentrations. We consider shareholder concentrations as ~~members or nonmembers whose~~holdings of capital stock ~~holdings~~ (including mandatorily redeemable capital stock) ~~are~~by individual members or nonmembers in excess of 10 percent ~~of total capital stock outstanding. The follo~~



~~Table of Contents~~	~~FEDERAL HOME LOAN BANK OF BOSTON~~
	~~NOTES TO FINANCIAL STATEMENTS~~
	~~(unaudited)~~

~~wing tables present transactions with shareholders whose holdings of capital stock exceed~~ ~~10 percent~~ ~~or more~~ of total capital stock outstanding at ~~September 30, 2017, and December 31, 2016 (dollars in thousands):~~each period end.

Capital Stock
Outstanding

Percent
of Total

Par
Value of
Advances

Percent of Total Par Value
of Advances

Total Accrued
Interest
Receivable

Percent of Total
Accrued Interest
Receivable on
Advances
As of September 30, 2017
Citizens Bank, N.A. $ 246,748
10.7 % $ 5,358,737
14.3 % $ 2,284
5.6 %

As of December 31, 2016
Citizens Bank, N.A. $ 357,508
14.6 % $ 7,260,446
18.6 % $ 2,625
7.3 %

Table 14.1 - Shareholder Concentrations, Balance Sheet

(dollars in thousands)


	Capital Stock Outstanding		Percent of Total Capital Stock		Par Value of Advances		Percent of Total Par Value of Advances		Total Accrued Interest Receivable		Percent of Total Accrued Interest Receivable on Advances
June 30, 2022
Citizens Bank, N.A.	$	504,748	32.2	%	$	12,019,143	39.4	%	$	7,275	22.6	%

We held sufficient collateral to support the advances to the above institution such that we do not expect to incur any credit losses on these advances.

~~We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and~~ ~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016, as follows (dollars in thousands):~~

For the Three Months Ended September 30, For the Nine Months Ended September 30,
Citizens Bank, N.A. 2017 2016 2017 2016
Interest income on advances $ 14,316
$ 7,837
$ 46,968
$ 24,123
Fees on letters of credit 1,002
756
2,448
2,375

Transactions with Directors' Institutions. We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with FHFA regulations, transactions with directors' institutions are conducted on the same terms as those with any other member.

The following table presents the outstanding balances of capital stock, advances, and accrued interest receivable with members whose officers or directors serve on our board of directors, and those balances as a percentage of our total balance as reported on our statement of condition (dollars in thousands):

Capital Stock
Outstanding

Percent
of Total

Par
Value of
Advances

Percent of Total Par Value
of Advances

Total Accrued
Interest
Receivable

Percent of Total
Accrued Interest
Receivable on
Advances
As of September 30, 2017 $ 112,241
4.9 % $ 2,117,289
5.6 % $ 2,190
5.3 %
As of December 31, 2016 91,374
3.7
1,554,753
4.0
1,631
4.5

Table 14.2 - Transactions with Directors' Institutions

(dollars in thousands)


	Capital Stock Outstanding		Percent of Total Capital Stock		Par Value of Advances		Percent of Total Par Value of Advances		Total Accrued Interest Receivable		Percent of Total Accrued Interest Receivable on Advances
June 30, 2022	$	517,080	33.0	%	$	12,191,403	40.0	%	$	7,376	22.9	%
December 31, 2021	48,104		5.0		416,542		3.4		466		2.8

Note 2015 — Subsequent Events

On ~~October 27, 2017,~~July 22, 2022, the board of directors declared a cash dividend at an annualized rate of ~~4.33~~3.72 percent based on daily average capital stock balances outstanding during the ~~third~~second quarter of ~~2017.~~2022. The dividend, including dividends classified as interest expense on mandatorily redeemable capital stock, amounted to ~~$25.2~~$11.5 million and was paid on ~~November~~August 2, ~~2017.~~2022.

~~Table of Contents~~

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Index to Management's Discussion and Analysis of Financial Condition and Results of Operations

~~Table of Contents~~

Forward-Looking Statements

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This report includes statements describing anticipated developments, projections, estimates, or ~~future~~ predictions of ours that are “forward-looking statements.” These statements may involve matters related to, but not limited to, projections of revenues, income, earnings, capital expenditures, dividends, capital structure, or other financial items; repurchases of excess stock, our minimum retained earnings target, or the interest-rate environment in which we do business; statements of management’s plans or objectives for future operations; expectations of effects or changes in fiscal and monetary policies and our future economic performance; projections or expectations regarding the COVID-19 pandemic or its effects; or statements of assumptions underlying certain of the foregoing types of statements. These statements may use forward-looking terminology such as, but not limited to, “anticipates,” “believes,” "continued" “expects,” “plans,” “intends,” “may,” “could,” “estimates,” “assumes,” “should,” “will,” “likely,” or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements are subject to a number of risks or uncertainties, including the risk factors set forth in Part I — Item 1A — Risk Factors in the ~~2016~~2021 Annual Report and Part II — Item 1A — Risk Factors of this ~~quarterly~~ report, ~~and~~along with the risks set forth below. ~~Accordingly, we caution that actual~~Actual results could differ materially from those expressed or implied in these forward-looking statements or could ~~impact~~affect the extent to which a particular objective, projection, estimate, or prediction is realized. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they are made, and we do not undertake to update any forward-looking statement herein or that may be made from time to time on our behalf.

~~Forward-looking~~Some of the risks and uncertainties that could affect our forward-looking statements ~~in this report may~~ include ~~among others,~~the following:

•the effects of economic, financial, credit, and market conditions on our ~~expectations for:~~

~~income, retained earnings,~~financial and ~~dividend payouts;~~

~~repurchases~~regulatory condition and results of ~~stock in excess of a shareholder’s total stock investment requirement (excess stock);~~

~~credit losses on advances and investments in mortgage loans and ABS, particularly private-label MBS;~~

~~balance-sheet changes and components thereof, such as~~operations, including changes in ~~advances balances~~economic growth, general liquidity conditions, inflation, employment rates, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, asset delinquencies, members’ deposit flows, liquidity needs, and ~~the size of our portfolio of investments~~loan demand; changes in ~~mortgage loans;~~

~~our minimum retained earnings target; and~~

~~the interest-rate environment in which we do business.~~

~~Actual results may differ from forward-looking statements for many reasons,~~benchmark interest rates, including but not limited ~~to:~~

to the cessation of the LIBOR benchmark rate, the development of alternative rates, including the secured overnight financing rate (SOFR), and the adverse consequences these could have for market participants, including the Bank and its members; changes in ~~interest rates, the rate of inflation (or deflation), housing prices, employment rates, and~~ the general economy, including changes resulting from U.S. fiscal and monetary policy, actions of the Federal Open Market Committee (FOMC), or changes in ~~U.S. fiscal policy or~~credit ratings of the U.S. federal government; the condition of the mortgage and housing markets on our mortgage-related assets; and the condition of the capital markets on our COs;

~~changes in demand for our advances and other products;~~

~~the willingness of our members to do business with us;~~

~~changes in the financial health of our members;~~

~~changes in borrower defaults on mortgage loans;~~

~~changes in the credit performance and loss severities of our investments;~~

~~changes in prepayment rates on advances and investments;~~


•	~~the value of collateral we hold as security for obligations of our members and counterparties;~~

issues and events across the FHLBank System and in the political arena that may lead to executive branch, legislative, regulatory, judicial, or other developments impacting the scope of our business, investor demand for COs, our financial obligations with respect to COs, our ability to access the capital markets, our members, our counterparties, the manner in which we operate, or the organization and structure of the FHLBank System;

•the impact of pandemics, such as the COVID-19 pandemic, epidemics, or health emergencies and responses to such events, including, among other things, the effect on the Bank resulting from illness or quarantines of employees or business partners on which we rely or from remote work arrangements; negative effects on our members’ businesses and their demands for our products, including demand for advances; and effects on the economy and financial markets from Federal Reserve monetary policy, fiscal stimulus programs (or changes to or cessation of such programs), state and local government restrictions on business activities including, among other things, federal and state vaccine mandates and reactions thereto, or generally;

•our ability to declare and pay dividends consistent with past practices as well as any plans to repurchase excess capital stock, and any amendments to our capital plan;

•competitive forces including, without limitation, other sources of funding available to our members and other entities borrowing funds in the capital ~~markets,~~markets;

•changes in the value and liquidity of collateral we hold as security for obligations of our ~~ability~~members and counterparties;

•the impact of new accounting standards and the application of accounting rules, including the impact of regulatory guidance on our application of such standards and rules;

•changes in the fair value and economic value of, impairments of, and risks, including risks related to ~~attract~~changes in or cessation of benchmark interest rates such as LIBOR, overnight index swap (OIS), and ~~retain skilled employees;~~SOFR, associated with the Bank’s investments in mortgage loans and MBS or other assets and the related credit-enhancement protections;

•membership conditions and changes, including changes resulting from member failures, mergers or changing financial health, changes due to member eligibility, changes in the principal place of business of members, or the addition of new members;

•external events, such as general economic and financial instabilities, political instability, wars, including hostilities and sanctions related to the war between Russia and Ukraine, and natural disasters, including disasters caused by significant climate change, which, among other things, could damage our facilities or the facilities of our members, damage or destroy collateral that members have pledged to secure advances or mortgages that we hold for our portfolio, and which could

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cause us to experience losses or be exposed to a greater risk that pledged collateral would be inadequate in the event of a default;

•the pace of technological change and our ability to develop and support ~~technology and~~internal controls, information systems, ~~sufficient to~~and other operating technologies that effectively manage the risks ~~of our business effectively;~~

~~the addition of new members;~~


•	~~the loss of members due to, among other ways, member withdrawals, mergers and acquisitions;~~


•	~~changes in investor demand for COs;~~

~~changes in the terms or availability of derivatives and other agreements~~ we ~~enter into in support of our business operations;~~

~~the timing and volume of market activity;~~

~~the volatility of reported results due to changes in the fair value of certain assets and liabilities,~~face, including but not limited to, ~~private-label MBS;~~failures, interruptions, or security breaches and other cyber-attacks, which could increase as a result of the COVID-19 pandemic related changes in our operating environment; and

•our ability to ~~introduce~~attract and retain skilled employees, including our key personnel.

These risk factors are not exhaustive. New risk factors emerge from time to time. We cannot predict such new ~~(or adequately adapt current) products and services and successfully manage~~risk factors nor can we assess the ~~risks associated with~~impact, if any, of such new risk factors on our ~~products and services, including new types~~business or the extent to which any factor, or combination of ~~collateral used~~factors, may cause actual results to ~~secure advances;~~differ materially from those implied by any forward-looking statements.

~~losses arising from litigation filed against us or one or more of the other FHLBanks;~~

~~Table of Contents~~

~~gains resulting from legal claims we have;~~

~~losses arising from our joint and several liability on COs;~~

~~significant business disruptions resulting from vendor or third-party failure, natural or other disasters, cyberincidents, acts of war, or terrorism; and~~


•	~~new accounting standards.~~

The Management's Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our interim financial statements and notes, which begin on page three, and the ~~2016~~2021 Annual Report.

EXECUTIVE SUMMARY

~~For the three months ended September 30, 2017, net~~Net income ~~increased to $45.6 million, from $36.6 million~~ for the three months ended ~~September~~June 30, ~~2016.~~2022, was $41.0 million, compared with net income of $6.2 million for the same period in 2021. The increase in net income was ~~primarily due to~~driven by an increase of ~~$6.2~~$26.3 million in net interest income after provision for credit losses, a ~~$1.9~~decrease of $14.3 million ~~reduction~~in net losses on trading securities and a decline of $1.5 million in losses on ~~derivatives and hedging activities and~~early extinguishment of debt. These increases to net income were partially offset by a ~~$1.3~~$7.6 million ~~reduction~~increase in ~~net unrealized losses on trading securities.~~

~~Net interest income after provision for credit losses for~~contributions to the ~~three months ended September 30, 2017, was $71.1 million,~~Affordable Housing Program, compared ~~with $64.9 million for~~to the same period in ~~2016.~~ 2021.

The ~~$6.2~~$26.3 million increase in net interest income after provision for credit losses during the second quarter of 2022 was ~~primarily attributable~~due to ~~higher~~a $9.9 billion increase in average total earning assets and a significant increase in interest rates ~~a two basis point~~due to aggressive monetary policy tightening by the Federal Reserve. The increase ~~in our net interest spread and an increase of $133.0 million~~ in average earning assets ~~which increased~~was driven primarily by a $5.7 billion increase in average advances balances, as demand for advances returned among depository members to near pre-pandemic levels. Additionally, the increase in net interest income after provision for credit losses was in part attributable to the correction of an error related to changes in fair value of certain available-for-sale securities that are in fair-value hedge relationships. As a result of this error, cumulatively from ~~$57.9 billion~~the second quarter of 2019 through the first quarter of 2022, net interest income after provision for credit losses was understated by $6.2 million. We determined the error did not have a material effect on our financial condition, results of operations, or cash flows for the impacted periods, and a correcting adjustment was recorded in interest income from available-for-sale securities in the second quarter of 2022.

In support of our housing and community investment mission, the Bank made a voluntary contribution of $5.5 million to the Affordable Housing Program in the three months ended ~~September~~June 30, ~~2016, to $58.1 billion~~2022. The increase in net income for the ~~three months~~quarter ended ~~September~~June 30, ~~2017.~~2022, correspondingly increased the Bank’s statutory contributions to the Affordable Housing Program to a more meaningful level in the opinion of management compared to originally expected amounts. If this trend continues, the Bank expects that additional voluntary contributions to the Affordable Housing Program may be reduced or eliminated for the remainder of the year, but total contributions to AHP are expected to be significantly increased from the amount contributed in 2021. Additional information on this and other targeted affordable housing and community investment programs is provided in the 2021 Annual Report.

Our ~~return on average equity was 5.64 percent for the three months ended September~~retained earnings grew to $1.6 billion at June 30, ~~2017, compared with 4.55 percent for the three months ended September 30, 2016,~~2022, an increase of ~~109 basis points.~~$58.8 million from December 31, 2021, and equals 2.6 percent of total assets at June 30, 2022. We continue to satisfy all regulatory capital requirements as of June 30, 2022.


•	~~Our financial condition continued to strengthen with retained earnings of $1.3 billion at~~ ~~September 30, 2017, a surplus of $565.3 million over our minimum retained earnings target, as we continued to satisfy all regulatory capital requirements as of~~ ~~September 30, 2017~~.

On ~~October 27, 2017,~~July 22, 2022, our board of directors declared a cash dividend that was equivalent to an annual yield of ~~4.33~~3.72 percent, increasing 163 basis points from the prior quarter's dividend. The annual yield of this dividend equals the approximate daily average ~~three-month London Interbank Offered Rate (LIBOR) yield~~of SOFR for the ~~third~~second quarter of ~~2017~~2022 plus 300 basis ~~points.~~points, which is increased by 100 basis points from the prior quarter's dividend.

~~Net Interest Margin~~Our overall results of operations are influenced by the economy and financial markets, and, in particular, by members’ demand for advances and our ability to maintain sufficient access to funding at relatively favorable costs. While the effects of high inflation and the Federal Reserve’s aggressive monetary policy response, combined with weakening economic growth as measured by gross domestic product, present uncertainties about the future of the economy, the quarter ending June 30, 2022 saw a sharp increase in demand for advances. During the first two quarters of 2022, advances balances increased to $30.3 billion at June 30, 2022, an increase of 145.7 percent from $12.3 billion at December 31, 2021. This increase in advances was due to member depository institutions beginning to experience slowing growth or declines of deposit balances, an increase in

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~~For~~lending by members to their customers, and rising interest rates and reduced market liquidity. These developments impacted our financial condition as of June 30, 2022, and results of operations for the three months ended ~~September~~June 30, ~~2017, net interest margin was 0.49 percent, an increase~~2022.

Generally, investor demand for high credit quality, fixed-income investments, including COs, continued to be strong relative to other investments. Significant growth in outstanding COs to fund advances growth throughout the FHLBank System has not diminished relative demand for COs. Our flexibility in utilizing various funding tools, in combination with a diverse investor base and our status as a government-sponsored enterprise, have helped provide reliable market access and demand for consolidated obligations throughout fluctuating market environments and regulatory changes affecting dealers of ~~four basis points from~~and investors in COs. The Bank has continued to meet all funding needs during the three months ended ~~September~~June 30, ~~2016. Net interest margin benefited from improvement in net interest spread and an increase in interest rates.~~2022.

~~Core Mission Asset~~Advances Balances

We continue to deliver on our primary mission, supplying liquidity ~~and funding~~ to our ~~members, with advances~~members. Advances balances ~~of $37.5~~totaled $30.3 billion at ~~September~~June 30, ~~2017, down from $39.1~~2022, compared to $12.3 billion at December 31, ~~2016.~~2021. The ~~decrease~~significant increase in advances was ~~primarily~~concentrated in variable-rate ~~indexed~~ advances and short-term fixed-rate ~~putable advances. Mortgage loans held~~advances, reflecting rising demand for ~~portfolio increased to $3.9 billion~~wholesale funding at ~~September 30, 2017, up from $3.7 billion at December 31, 2016. We cannot predict whether these trends will continue.~~member institutions.

~~Accretable yields from investments in private-label MBS~~Net Interest Income, Margin, and Spread

For the three months ended ~~September~~June 30, ~~2017 and 2016, we recognized $8.4 million and $9.6 million, respectively, in~~2022, net interest ~~income resulting~~margin was 0.60 percent, an increase of 12 basis points from the ~~increased accretable yields of certain private-label MBS for which we had previously recognized credit losses. For a discussion of this accounting treatment, see Item 8 — Financial Statements~~same period in 2021, and Supplementary Data — Notes to the Financial Statements — Note 1 — Summary of Significant Accounting Policies — Investment Securities — Other-than-Temporary Impairment — Interest Income Recognition in the 2016 Annual Report.

The amortized cost of our total investments in private-label MBS and ABS backed by home-equity loans has declined to $881.1 million at September 30, 2017. Other-than-temporary impairment credit losses were $432,000net interest spread was 0.52 percent for the three months ended ~~September~~June 30, ~~2017.~~

~~Repurchases~~2022, an increase of ~~Excess Stock~~

~~Table~~8 basis points from the same period in 2021. The increases in net interest spread and net interest margin mainly reflect the impacts of ~~Contents~~

Onincreases in advances and investments and a rising rate environment. For the quarter ended June ~~1, 2017, we initiated daily repurchases~~30, 2022, average balances of ~~excess stock. For additional information see below under Liquidity~~advances and ~~Capital Resources~~investments increased $5.7 billion and $4.8 billion, respectively, compared to the same period in 2021. Additionally, the rising interest rate environment in 2022 has decreased refinancing incentives on residential mortgage loans, resulting in decreases of mortgage prepayment activity that resulted in reduced net premium amortization of our agency residential MBS as well as our whole mortgage loans. Other improvements in net interest income after provision for credit losses are described in Results of Operations — ~~Internal Capital Practices and Policies. Excess stock repurchases~~Net Interest Income. Average total earning assets increased $9.9 billion to $46.1 billion for the three months ended ~~September~~June 30, ~~2017 amounted to $343.6 million. At September 30, 2017, shareholders held $106.8 million of excess stock as compared to $78.3 million at December 31, 2016.~~2022, from $36.3 billion for the same period in 2021.

Legislative and Regulatory Developments

~~The~~Legislation has been proposed and the FHFA ~~has issued or proposed regulations~~and others with authority over the economy, our industry, and our business activities have taken action during 2022 as described in — Legislative and Regulatory ~~Developments.~~Developments. Such developments could affect the way we conduct business ~~and~~or could impact ~~the way~~how we satisfy our mission as well as the value of our membership.

LIBOR Transition Preparations

For details regarding the Bank's transition from LIBOR to SOFR, the alternative reference rate to U.S. dollar LIBOR recommended by Alternative Reference Rates Committee (ARRC), see the following Risk Factors in our 2021 Annual Report: Part I — Item 1A — Risk Factors — Market and Liquidity Risks — Changes to and replacement of the LIBOR benchmark interest rate could adversely affect our business, financial condition, and results of operations; and — We use derivatives to manage interest-rate risk, however, we could be unable to enter into effective derivative instruments on acceptable terms. Additional information is provided in the 2021 Annual Report Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Executive ~~branch efforts at regulatory reform may affect the development or implementation of new regulations affecting us.~~Summary — LIBOR Transition Preparations, Financial Condition - Transition from LIBOR to Alternative Reference Rates and in — Legislative and Regulatory Developments - LIBOR Transition.

ECONOMIC CONDITIONS

Economic Environment

InReal gross domestic product (GDP) decreased at an annual rate of 0.9 percent in the ~~third~~second quarter of ~~2017,~~2022, following a 1.6 percent decrease in the ~~U.S.~~first quarter. The contraction in the second quarter was driven mainly by decreases in private inventory investment, residential fixed investment, and federal government spending. Personal consumption expenditures increased at an annual rate of 1.0 percent, driven by an increase in spending on services, partially offset by a drop in spending on goods.

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The labor market continued to ~~strengthen,~~improve, with job growth averaging 375,000 per month in the second quarter of 2022. In July 2022, employment increased by 528,000 and ~~economic activity continued to expand at a moderate pace. Nonfarm payroll employment decreased by 33,000 in September 2017, due likely to the impact of Hurricanes Harvey and Irma. However,~~ the unemployment rate ~~also decreased~~was 3.5 percent. The unemployment rate for the New England region in June 2022 was 3.5 percent, ranging from 2.0 percent in New Hampshire to ~~4.2~~4.0 percent in Connecticut.

In July 2022, the ~~lowest level~~Consumer Price Index was unchanged from the preceding month after rising 1.0 percent and 1.3 percent in May and June 2022, respectively. A decline in gasoline prices offset increases in food and shelter prices in July, resulting in a zero net change. Compared to a year earlier, the July 2022 CPI was higher by 8.5 percent, driven by prices of gasoline, shelter and food.

The FHFA reported that house prices rose 18.3 percent across the ~~year. The Federal Open Market Committee~~U.S. from May 2021 to May 2022. Over the same period, home prices in New England rose 17.1 percent. At the end of ~~the Federal Reserve System (FOMC) stated that the storms are unlikely to materially alter the course of the national economy over the medium term. Household spending has been expanding at~~June 2022, rates for 30-year fixed-rate mortgage were above 5.7 percent, approximately 2.7 percentage points higher than a ~~moderate rate, and housing prices continued to increase~~ year ~~over year. Inflation continued to be muted, running slightly below 2 percent during the period reported.~~earlier.

Interest-Rate Environment

On ~~November 1, 2017,~~July 27, 2022, the FOMC ~~announced that it would maintain~~raised the target range for the federal funds rate ~~at 1 percent~~ to ~~1.25 percent.~~between 225 and 250 basis points and stated that ongoing increases in the target range will likely be appropriate given elevated rates of inflation. The FOMC also ~~initiated~~stated that it would continue reducing its holdings of Treasury securities, agency debt, and agency mortgage-backed securities by reinvesting principal payments from its securities holdings only if they exceed monthly caps.

The Federal Reserve’s policy pivot from an easing to a ~~balance sheet normalization program~~tightening stance led to a rise in ~~October, allowing its bond portfolio to gradually decrease over time. Long-term~~ interest rates. Short-term rates ~~trended downward for~~rose commensurate with the ~~first two months~~magnitude of the ~~quarter and upward~~increase in the ~~final month~~federal funds rate. The spread between short-term and longer-term rates fluctuated during the second quarter reflecting expectations of ~~the quarter.~~further rate hikes, tempered by concern about rising risks of an economic downturn and possible reversal of monetary policy back to an easing stance.

~~The following chart illustrates the interest-rate environment.~~Table 1 - Key Interest Rates(1)


	Three Month Daily Average		Six Month Daily Average		Ending Rate
	June 30, 2022	June 30, 2021	June 30, 2022	June 30, 2021	June 30, 2022	December 31, 2021
SOFR	0.71%	0.02%	0.40%	0.03%	1.50%	0.05%
Federal funds effective rate	0.76%	0.07%	0.44%	0.07%	1.58%	0.07%
3-month LIBOR	1.53%	0.16%	1.02%	0.18%	2.29%	0.21%
3-month U.S. Treasury yield	1.05%	0.01%	0.67%	0.03%	1.63%	0.03%
2-year U.S. Treasury yield	2.71%	0.17%	2.09%	0.15%	2.95%	0.73%
5-year U.S. Treasury yield	2.95%	0.83%	2.39%	0.72%	3.04%	1.26%
10-year U.S. Treasury yield	2.92%	1.58%	2.44%	1.45%	3.01%	1.51%

________________

Three Month Average Nine Month Average Ending rate
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016 September 30, 2017 December 31, 2016
Federal funds effective rate 1.15% 0.40% 0.94% 0.38% 1.06% 0.55%
3-month LIBOR 1.31% 0.79% 1.20% 0.69% 1.33% 1.00%
3-month U.S. Treasury yield 1.04% 0.28% 0.84% 0.27% 1.04% 0.50%
2-year U.S. Treasury yield 1.36% 0.72% 1.29% 0.77% 1.48% 1.19%
5-year U.S. Treasury yield 1.81% 1.12% 1.85% 1.24% 1.94% 1.93%
10-year U.S. Treasury yield 2.24% 1.56% 2.31% 1.73% 2.33% 2.44%

~~________________~~

(1) Source: Bloomberg

SELECTED FINANCIAL DATA

The following financial highlights for the statement of condition and statement of operations for December 31, ~~2016,~~2021, have been derived from our audited financial statements. Financial highlights for the quarter-ends have been derived from our unaudited financial statements.

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Table 2 - Selected Financial Data

(dollars in thousands)


SELECTED FINANCIAL DATA
STATEMENT OF CONDITION
(dollars in thousands)
																	As of and for the Three Months Ended
	September 30, 2017			June 30, 2017			March 31, 2017			December 31, 2016			September 30, 2016				June 30, 2022			March 31, 2022			December 31, 2021			September 30, 2021			June 30, 2021
Statement of Condition																Statement of Condition
Total assets	$	60,975,455		$	60,754,247		$	56,568,802		$	61,545,586		$	60,543,301		Total assets	$	62,063,994		$	32,395,662		$	32,545,292		$	34,448,917		$	35,683,602
Investments⁽¹⁾	19,340,597			18,142,252			17,215,779			18,031,331			19,264,484			Investments(1)	28,254,534			16,849,318			16,372,499			16,404,424			16,053,111
Advances	37,467,404			38,427,616			35,479,424			39,099,339			37,195,148			Advances	30,318,486			11,816,428			12,340,020			14,056,991			15,176,625
Mortgage loans held for portfolio, net⁽²⁾	3,942,776			3,804,581			3,675,598			3,693,894			3,714,283			Mortgage loans held for portfolio, net(2)	2,897,373			2,998,682			3,120,159			3,283,925			3,470,505
Deposits and other borrowings	492,631			469,173			490,268			482,163			610,783
Deposits																Deposits	1,066,459			803,383			884,032			970,732			970,282
Consolidated obligations:																Consolidated obligations:
Bonds	28,492,595			28,518,424			27,978,423			27,171,434			27,345,898			Bonds	32,721,605			26,070,923			26,613,032			25,097,469			23,475,165
Discount notes	28,047,762			27,865,529			24,179,050			30,053,964			28,725,374			Discount notes	25,096,230			2,878,513			2,275,320			5,554,103			8,365,460
Total consolidated obligations	56,540,357			56,383,953			52,157.473			57,225,398			56,071,272			Total consolidated obligations	57,817,835			28,949,436			28,888,352			30,651,572			31,840,625
Mandatorily redeemable capital stock	36,042			37,380			32,677			32,687			33,812			Mandatorily redeemable capital stock	10,703			13,418			13,562			13,890			7,432
Class B capital stock outstanding-putable⁽³⁾	2,272,648			2,408,647			2,458,667			2,411,306			2,333,262			Class B capital stock outstanding-putable(3)	1,557,243			929,482			953,638			1,028,177			1,081,057
Unrestricted retained earnings	1,011,532			1,000,694			994,011			987,711			962,798			Unrestricted retained earnings	1,230,558			1,202,685			1,179,986			1,159,509			1,147,279
Restricted retained earnings	253,750			244,631			236,755			229,275			217,343			Restricted retained earnings	376,620			368,420			368,420			368,420			368,420
Total retained earnings	1,265,282			1,245,325			1,230,766			1,216,986			1,180,141			Total retained earnings	1,607,178			1,571,105			1,548,406			1,527,929			1,515,699
Accumulated other comprehensive loss	(310,314		)	(320,461		)	(343,572		)	(383,514		)	(360,644		)
Accumulated other comprehensive (loss) income																Accumulated other comprehensive (loss) income	(216,409)			(88,800)			28,967			40,604			47,645
Total capital	3,227,616			3,333,511			3,345,861			3,244,778			3,152,759			Total capital	2,948,012			2,411,787			2,531,011			2,596,710			2,644,401
Results of Operations																Results of Operations
Net interest income after provision for credit losses																Net interest income after provision for credit losses	$	69,416		$	58,942		$	56,412		$	51,145		$	43,122
Other income (loss), net																Other income (loss), net	3,818			1,066			(7,562)			(10,453)			(13,104)
Other expense																Other expense	27,667			29,073			20,061			22,330			23,177
AHP assessments																AHP assessments	4,567			3,100			2,887			1,842			687
Net income																Net income	$	41,000		$	27,835		$	25,902		$	16,520		$	6,154
Other Information																Other Information
Total regulatory capital ratio⁽⁴⁾	5.86		%	6.08		%	6.58		%	5.95		%	5.86		%
Dividends declared																Dividends declared	$	4,927		$	5,136		$	5,425		$	4,290		$	4,631
Dividend payout ratio																Dividend payout ratio	12.02		%	18.45		%	20.94		%	25.97		%	75.25		%
Weighted-average dividend rate(4)																Weighted-average dividend rate(4)	2.09			2.05			2.05			1.52			1.54
Return on average equity(5)																Return on average equity(5)	6.13			4.50			4.00			2.50			0.92
Return on average assets																Return on average assets	0.35			0.35			0.31			0.18			0.07
Net interest margin(6)																Net interest margin(6)	0.60			0.74			0.66			0.58			0.48
Average equity to average assets																Average equity to average assets	5.78			7.69			7.65			7.36			7.29
Total regulatory capital ratio(7)																Total regulatory capital ratio(7)	5.12			7.76			7.73			7.46			7.30

_______________________


~~(1)~~	~~Investments include available-for-sale securities, held-to-maturity securities, trading securities, interest-bearing deposits, securities purchased under agreements to resell and federal funds sold.~~


~~(2)~~	The allowance for credit losses amounted to $500,000, $500,000, $625,000, $650,000, and $800,000, for the quarters ended September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016, and September 30, 2016, respectively.


~~(3)~~	Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions. We also initiated daily repurchases of excess stock from members on June 1, 2017. See below under Liquidity and Capital Resources — Internal Capital Practices and Policies.


~~(4)~~	Total regulatory capital ratio is capital stock (including mandatorily redeemable capital stock) plus total retained earnings as a percentage of total assets. See Item 1 — Notes to Financial Statements — Note 15 — Capital.

(1)Investments include available-for-sale securities, held-to-maturity securities, trading securities, interest-bearing deposits, securities purchased under agreements to resell and federal funds sold.

(2)The allowance for credit losses for mortgage loans amounted to $1.5 million as of June 30, 2022, $1.6 million as of March 31, 2022, $1.7 million as of December 31, 2021, $2.1 million as of September 30, 2021, and $2.1 million as of June 30, 2021, respectively.

(3)Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions. We also conduct daily repurchases of certain excess stock from shareholders.

(4)Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends.

(5)Return on average equity is net income divided by the total of the average daily balance of outstanding Class B capital stock, accumulated other comprehensive income and total retained earnings.

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(6)Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets.

(7)Total regulatory capital ratio is capital stock (including mandatorily redeemable capital stock) plus total retained earnings as a percentage of total assets. See Item 8 — Financial Statements and Supplementary Data — Notes to the Financial Statements — Note 12 — Capital.

SELECTED FINANCIAL DATA
RESULTS OF OPERATIONS AND OTHER INFORMATION
(dollars in thousands)

Results of Operations for the Three Months Ended
September 30, 2017 June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016
Net interest income $ 71,109
$ 63,820
$ 62,504
$ 76,287
$ 64,779
Provision (reduction of provision) for credit losses 28
(125 ) (51 ) (83 ) (94 )
Net impairment losses on held-to-maturity securities recognized in earnings (432 ) (568 ) (418 ) (589 ) (371 )
Litigation settlements —
—
—
19,627
—
Other income (loss) 1,028
1,020
427
1,272
(3,072 )
Other expense 20,972
20,597
20,974
30,351
20,773
AHP assessments 5,110
4,418
4,192
6,666
4,099
Net income $ 45,595
$ 39,382
$ 37,398
$ 59,663
$ 36,558
Other Information
Dividends declared $ 25,637
$ 24,822
$ 23,619
$ 22,818
$ 21,574
Dividend payout ratio 56.23 % 63.03 % 63.16 % 38.24 % 59.01 %
Weighted-average dividend rate⁽¹⁾
4.22
4.08
3.94
3.80
3.65
Return on average equity⁽²⁾
5.64
4.74
4.56
7.38
4.55
Return on average assets 0.31
0.26
0.25
0.40
0.25
Net interest margin⁽³⁾
0.49
0.43
0.43
0.51
0.45
Average equity to average assets 5.50
5.56
5.55
5.39
5.48

~~_______________________~~


~~(1)~~	~~Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends during the preceding quarter.~~


~~(2)~~	~~Return on average equity is net income divided by the total of the average daily balance of outstanding Class B capital stock, accumulated other comprehensive loss, and total retained earnings.~~


~~(3)~~	~~Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets.~~

RESULTS OF OPERATIONS

~~Net Income~~

~~Third~~Second Quarter of ~~2017~~2022 Compared with ~~Third~~Second Quarter of ~~2016~~2021

Net income increased to ~~$45.6~~$41.0 million for the three months ended ~~September~~June 30, ~~2017,~~2022, from ~~$36.6~~$6.2 million for the ~~three months ended September 30, 2016.~~same period in 2021. The reasons for the increase are discussed ~~above within~~under — Executive ~~Summary.~~Summary.

~~Nine Months Ended September 30, 2017, Compared with Nine Months Ended September 30, 2016~~

Net income increased to $122.4 million for the nine months ended September 30, 2017, from $113.5 million for the nine months ended September 30, 2016, primarily due to an increase of $21.9 million in net interest income after provision for credit losses, and a $10.7 million reduction in losses on derivatives and hedging activities, partially offset by a decrease in litigation settlement income of $19.6 million.

~~Net Interest Income~~

~~Third Quarter of 2017 Compared with Third Quarter of 2016~~

Net interest income after provision for credit losses for the three months ended ~~September~~June 30, ~~2017~~2022, was ~~$71.1~~$69.4 million, compared with ~~$64.9~~$43.1 million for the same period in ~~2016.~~2021. The ~~$6.2 million increase in net interest income after provision for~~

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credit losses was primarily attributable to a four basis point increase in net interest margin and a $133.0 million increase in average earning assets, from $57.9 billion for the three months ended September 30, 2016, to $58.1 billion for the three months ended September 30, 2017. The increase in average earning assets was driven by a $212.4 million increase in average mortgage loans and a $106.8 million increase in average investments balances partially offset by an $186.3 million decrease in average advances balances. For additional information see — Executive Summary as well as Rate and Volume Analysis.

Net interest spread was 0.41 percent for the three months ended September 30, 2017, a two basis point increase from the same period in 2016, and net interest margin was 0.49 percent, a four basis point increase from the same period in 2016. The increase in net interest spread reflects a 49 basis point increase in the average yield on earning assets and a 47 basis point increase in the average yield on interest-bearing liabilities. The increase in net interest margin benefited from net interest spread expansion and higher interest rates.

~~Nine Months Ended September 30, 2017, Compared with Nine Months Ended September 30, 2016~~

~~Net interest income after provision for credit losses for the nine months ended September 30, 2017 was $197.6 million, compared with $175.7 million for the same period in 2016. The $21.9~~$26.3 million increase in net interest income after provision for credit losses was ~~primarily attributable~~driven by a $5.7 billion increase in the average balance of advances, a $2.4 billion increase in the average balance of securities purchased under agreements to resell, a ~~five~~$1.6 billion increase in the average balance of mortgage-backed securities, an increase of fair value hedge ineffectiveness net gains of $20.6 million, an increase of net accretion of discounts and premiums on mortgage-backed securities and mortgage loans of $13.7 million resulting from significant increases in mortgage rates during the second quarter of 2022, and higher returns from investing the Bank’s capital in a higher interest-rate environment. These positive factors were partially offset by a $635.7 million decrease in the average balance of mortgage loans and a $1.9 million decrease in net prepayment fee income. Additionally, certain US Treasury securities, which were acquired prior to the significant interest rate reductions in early 2020, matured during the latter half of 2021, resulting in a reduction of interest income of $6.2 million as these securities were replaced with investments having lower yields. As a result, net interest spread was 0.52 percent for the quarter ended June 30, 2022, an increase of 8 basis ~~point~~points from the same period in 2021, and net interest margin was 0.60 percent, an increase of 12 basis points from the same period in 2021.

Six Months Ended June 30, 2022, Compared with Six Months Ended June 30, 2021

Net income increased to $68.8 million for the six months ended June 30, 2022, from $27.0 million for the same period in 2021. The increase in net interest margin and a $697.6 million increase in average earning assets, from $58.4 billion for the nine months ended September 30, 2016, to $59.1 billion for the nine months ended September 30, 2017. The increase in average earning assetsincome was driven by a ~~$1.5 billion~~decrease of $28.6 million in net losses on trading securities, an increase of $23.8 million in ~~average advances balances~~net interest income after provision for credit losses, and a decline of $4.5 million in losses on early extinguishment of debt. These increases to net income were partially offset by a ~~$1.0 billion decrease~~$9.2 million increase in ~~average investments balances. For additional information see — Rate and Volume Analysis. Partially offsetting~~our voluntary contribution to the Affordable Housing Program, compared to the same period in 2021.

Net interest income after provision for credit losses for the six months ended June 30, 2022, was $128.4 million, compared with $104.6 million for the same period in 2021. The $23.8 million increase toin net interest income after provision for credit losses was driven by a ~~$2.7~~$1.7 billion increase in the average balance of mortgage-backed securities, an increase of fair value hedge ineffectiveness net gains of $27.8 million, an increase of net accretion of discounts and premiums on mortgage-backed securities and mortgage loans of $30.3 million resulting from significant increases in mortgage rates during the first half of 2022, and higher returns from investing the Bank’s capital in a higher interest-rate environment. These positive factors were partially offset by a $710.2 million decrease in the average balance of mortgage loans and a $8.7 million decrease in net prepayment ~~fees from advances and investments from $3.3 million in the nine months ended September 30, 2016, to $619,000 in the nine months ended September 30, 2017.~~

~~Net~~fee income. As a result, net interest spread was ~~0.38~~0.59 percent for the ~~nine~~six months ended ~~September~~June 30, ~~2017, a three~~2022, an increase of 6 basis ~~point increase~~points from the same period in ~~2016,~~2021, and net interest margin was ~~0.45~~0.66 percent, ~~a five~~an increase of 8 basis ~~point increase~~points from the same period in 2016. The increase in net interest spread reflects a 35 basis point increase in the average yield on earning assets and a 32 basis point increase in the average yield on interest-bearing liabilities. The increase in net interest margin benefited from net interest spread expansion and higher interest rates.2021.

~~The following table~~Table 3 presents major categories of average balances, related interest income/expense, and average ~~yields~~yields/rates for interest-earning assets and interest-bearing liabilities. Our primary source of earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments less interest paid on COs, deposits, and other sources of funds.

Table 3 - Net Interest Spread and Margin

(dollars in thousands)


	For the Three Months Ended June 30,
	2022						2021
	Average Balance		Interest Income / Expense		Average Yield/Rate(1)		Average Balance		Interest Income / Expense		Average Yield/Rate(1)
Assets
Advances	$	21,603,313	$	71,641	1.33	%	$	15,880,582	$	47,462	1.20	%

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Net Interest Spread and Margin (dollars in thousands)

	For the Three Months Ended September 30,
	2017						2016
	Average Balance		Interest Income / Expense		Average Yield⁽¹⁾		Average Balance		Interest Income / Expense		Average Yield⁽¹⁾
Assets
Advances	$	35,810,374	$	136,462	1.51	%	$	35,996,668	$	84,795	0.94	%
Interest-bearing deposits													Interest-bearing deposits	1,100,763		2,369		0.86		653,971		10		0.01
Securities purchased under agreements to resell	3,028,348		8,074		1.06		3,109,326		2,697		0.35		Securities purchased under agreements to resell	3,313,187		9,109		1.10		925,846		168		0.07
Federal funds sold	5,645,848		16,622		1.17		5,155,967		5,200		0.40		Federal funds sold	3,219,637		6,758		0.84		2,813,088		482		0.07
Investment securities⁽²⁾	9,402,709		53,188		2.24		9,781,842		52,142		2.12		Investment securities(2)	13,964,590		63,105		1.81		12,396,086		26,614		0.86
Mortgage loans	3,879,748		31,656		3.24		3,667,314		29,874		3.24
Other earning assets	287,032		822		1.14		209,976		171		0.32
Mortgage loans (2)(3)													Mortgage loans (2)(3)	2,946,838		21,419		2.92		3,582,506		23,007		2.58

Total interest-earning assets	58,054,059		246,824		1.69		57,921,093		174,879		1.20		Total interest-earning assets	46,148,328		174,401		1.52		36,252,079		97,743		1.08
Other non-interest-earning assets	278,801						346,965						Other non-interest-earning assets	1,045,205						174,445
Fair-value adjustments on investment securities	4,384						87,557						Fair-value adjustments on investment securities	(739,856)						365,244
Total assets	$	58,337,244	$	246,824	1.68	%	$	58,355,615	$	174,879	1.19	%	Total assets	$	46,453,677	$	174,401	1.51	%	$	36,791,768	$	97,743	1.07	%
Liabilities and capital													Liabilities and capital
Consolidated obligations													Consolidated obligations
Discount notes	$	24,962,389	$	65,120	1.03	%	$	25,981,154	$	23,011	0.35	%	Discount notes	$	12,500,939	$	26,109	0.84	%	$	10,490,710	$	683	0.03	%
Bonds	28,964,110		109,052		1.49		27,769,228		86,574		1.24		Bonds	28,809,891		78,242		1.09		22,470,044		53,684		0.96
Deposits	501,179		1,144		0.91		502,769		180		0.14
Mandatorily redeemable capital stock	36,601		399		4.32		34,952		334		3.80
Other borrowings	—		—		—		701		1		0.57
Other interest-bearing liabilities													Other interest-bearing liabilities	883,627		733		0.33		989,592		55		0.02
Total interest-bearing liabilities	54,464,279		175,715		1.28		54,288,804		110,100		0.81		Total interest-bearing liabilities	42,194,457		105,084		1.00		33,950,346		54,422		0.64
Other non-interest-bearing liabilities	666,221						868,420						Other non-interest-bearing liabilities	1,574,763						160,798
Total capital	3,206,744						3,198,391						Total capital	2,684,457						2,680,624
Total liabilities and capital	$	58,337,244	$	175,715	1.20	%	$	58,355,615	$	110,100	0.75	%	Total liabilities and capital	$	46,453,677	$	105,084	0.91	%	$	36,791,768	$	54,422	0.59	%
Net interest income			$	71,109					$	64,779			Net interest income			$	69,317					$	43,321
Net interest spread					0.41	%					0.39	%	Net interest spread					0.52	%					0.44	%
Net interest margin					0.49	%					0.45	%	Net interest margin					0.60	%					0.48	%

														For the Six Months Ended June 30,
														2022						2021
														Average Balance		Interest Income / Expense		Average Yield(1)		Average Balance		Interest Income / Expense		Average Yield(1)
Assets													Assets
Advances													Advances	$	17,029,474	$	106,548	1.26	%	$	16,755,115	$	104,747	1.26	%
Interest-bearing deposits													Interest-bearing deposits	760,103		2,529		0.67		612,285		94		0.03
Securities purchased under agreements to resell													Securities purchased under agreements to resell	1,937,580		9,280		0.97		819,072		292		0.07
Federal funds sold													Federal funds sold	2,677,276		7,572		0.57		2,993,519		1,096		0.07
Investment securities(2)													Investment securities(2)	13,730,852		108,968		1.60		11,229,805		67,684		1.22
Mortgage loans													Mortgage loans	2,997,353		42,947		2.89		3,707,510		48,144		2.62

Total interest-earning assets													Total interest-earning assets	39,132,638		277,844		1.43		36,117,306		222,057		1.24
Other non-interest-earning assets													Other non-interest-earning assets	759,297						246,026
Fair-value adjustments on investment securities													Fair-value adjustments on investment securities	(333,424)						420,492
Total assets													Total assets	$	39,558,511	$	277,844	1.42	%	$	36,783,824	$	222,057	1.22	%
Liabilities and capital													Liabilities and capital
Consolidated obligations													Consolidated obligations
Discount notes													Discount notes	$	7,430,874	$	26,716	0.73	%	$	10,892,499	$	3,085	0.06	%
Bonds													Bonds	27,673,026		122,142		0.89		21,936,539		115,285		1.06
Other interest-bearing liabilities													Other interest-bearing liabilities	844,392		827		0.20		1,001,800		108		0.02
Total interest-bearing liabilities													Total interest-bearing liabilities	35,948,292		149,685		0.84		33,830,838		118,478		0.71
Other non-interest-bearing liabilities													Other non-interest-bearing liabilities	1,014,557						240,431
Total capital													Total capital	2,595,662						2,712,555
Total liabilities and capital													Total liabilities and capital	$	39,558,511	$	149,685	0.76	%	$	36,783,824	$	118,478	0.65	%
Net interest income													Net interest income			$	128,159					$	103,579
Net interest spread													Net interest spread					0.59	%					0.53	%
Net interest margin													Net interest margin					0.66	%					0.58	%

_________________________


~~(1)~~	~~Yields are annualized~~


~~(2)~~	The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss.

(1) Yields are annualized.

(2) Average balances are reflected at amortized cost.

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(3) Nonaccrual loans are included in the average balances used to determine average yield.

Net Interest Spread and Margin
(dollars in thousands)

For the Nine Months Ended September 30,
2017 2016

Average
Balance

Interest
Income /
Expense

Average
Yield⁽¹⁾

Average
Balance

Interest
Income /
Expense

Average
Yield⁽¹⁾
Assets
Advances $ 37,333,691
$ 371,075
1.33 % $ 35,785,458
$ 246,957
0.92 %
Securities purchased under agreements to resell 3,024,824
18,822
0.83
3,499,307
8,603
0.33
Federal funds sold 5,618,242
39,614
0.94
5,666,230
15,992
0.38
Investment securities⁽²⁾
9,131,332
146,490
2.14
9,641,011
149,617
2.07
Mortgage loans 3,762,675
92,592
3.29
3,611,442
90,856
3.36
Other earning assets 216,100
1,549
0.96
185,846
414
0.30
Total interest-earning assets 59,086,864
670,142
1.52
58,389,294
512,439
1.17
Other non-interest-earning assets 329,834
322,433

Fair-value adjustments on investment securities (23,843 ) 29,087

Total assets $ 59,392,855
$ 670,142
1.51 % $ 58,740,814
$ 512,439
1.17 %
Liabilities and capital
Consolidated obligations
Discount notes $ 26,468,987
$ 157,767
0.80 % $ 26,747,661
$ 68,287
0.34 %
Bonds 28,454,655
311,395
1.46
27,503,032
267,214
1.30
Deposits 468,524
2,434
0.69
490,595
441
0.12
Mandatorily redeemable capital stock 35,058
1,105
4.21
37,359
1,032
3.69
Other borrowings 1,099
8
0.97
874
3
0.46
Total interest-bearing liabilities 55,428,323
472,709
1.14
54,779,521
336,977
0.82
Other non-interest-bearing liabilities 676,974
830,264

Total capital 3,287,558
3,131,029

Total liabilities and capital $ 59,392,855
$ 472,709
1.06 % $ 58,740,814
$ 336,977
0.77 %
Net interest income
$ 197,433

$ 175,462

Net interest spread

0.38 %

0.35 %
Net interest margin

0.45 %

0.40 %

~~_________________________~~


~~(1)~~	~~Yields are annualized~~


~~(2)~~	The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss.

Rate and Volume Analysis

Changes in both average balances (volume) and interest rates influence changes in net interest income and net interest margin. ~~The following table~~Table 4 summarizes changes in interest income and interest expense for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2022 and ~~2016~~.2021. Changes in interest income and interest expense that are not identifiable as either volume-related or rate-related, but are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

Table 4 - Rate and Volume Analysis

(dollars in thousands)

~~Table of Contents~~


	For the Three Months Ended June 30, 2022 vs. 2021						For the Six Months Ended June 30, 2022 vs. 2021
	Increase (Decrease) due to						Increase (Decrease) due to
	Volume		Rate		Total		Volume		Rate		Total
Interest income
Advances	$	18,541	$	5,638	$	24,179	$	1,718	$	83	$	1,801
Interest-bearing deposits	11		2,348		2,359		28		2,407		2,435
Securities purchased under agreements to resell	1,378		7,563		8,941		889		8,099		8,988
Federal funds sold	80		6,196		6,276		(128)		6,604		6,476
Investment securities	3,750		32,741		36,491		17,045		24,239		41,284
Mortgage loans	(4,391)		2,803		(1,588)		(9,841)		4,644		(5,197)

Total interest income	19,369		57,289		76,658		9,711		46,076		55,787
Interest expense
Consolidated obligations
Discount notes	156		25,270		25,426		(1,283)		24,914		23,631
Bonds	16,542		8,016		24,558		27,153		(20,296)		6,857


Other interest-bearing liabilities	(7)		685		678		(20)		739		719
Total interest expense	16,691		33,971		50,662		25,850		5,357		31,207
Change in net interest income	$	2,678	$	23,318	$	25,996	$	(16,139)	$	40,719	$	24,580

Rate and Volume Analysis
(dollars in thousands)

For the Three Months Ended
September 30, 2017 vs. 2016

For the Nine Months Ended
September 30, 2017 vs. 2016
Increase (Decrease) due to Increase (Decrease) due to
Volume Rate Total Volume Rate Total
Interest income

Advances $ (427 ) $ 52,094
$ 51,667
$ 11,106
$ 113,012
$ 124,118
Securities purchased under agreements to resell (71 ) 5,448
5,377
(1,312 ) 11,531
10,219
Federal funds sold 547
10,875
11,422
(137 ) 23,759
23,622
Investment securities (1,812 ) 2,858
1,046
(8,073 ) 4,946
(3,127 )
Mortgage loans 2,013
(231 ) 1,782
3,750
(2,014 ) 1,736
Other earning assets 84
567
651
78
1,057
1,135
Total interest income 334
71,611
71,945
5,412
152,291
157,703
Interest expense

Consolidated obligations

Discount notes (922 ) 43,031
42,109
(719 ) 90,199
89,480
Bonds 4,072
18,406
22,478
9,497
34,684
44,181
Deposits (1 ) 965
964
(21 ) 2,014
1,993
Mandatorily redeemable capital stock 17
48
65
(66 ) 139
73
Other borrowings (1 ) —
(1 ) 1
4
5
Total interest expense 3,165
62,450
65,615
8,692
127,040
135,732
Change in net interest income $ (2,831 ) $ 9,161
$ 6,330
$ (3,280 ) $ 25,251
$ 21,971

Average Balance of Advances Outstanding

The average balance of total advances increased ~~$1.5 billion,~~$274.4 million, or ~~4.3~~1.6 percent, for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~,2022 compared with the same period in ~~2016. However, advances balances declined by $1.6 billion over the nine month period ended September 30, 2017.~~2021. We cannot predict ~~whether this trend will continue. The following table summarizes average balances of advances outstanding during~~future member demand for advances.

For the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2022 and ~~2016, by product type.~~

~~Table of Contents~~

Average Balance of Advances Outstanding by Product Type
(dollars in thousands)
For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Fixed-rate advances—par value
Long-term $ 13,833,016
$ 13,379,046
$ 13,535,505
$ 13,519,952
Short-term 12,297,210
11,348,160
12,037,843
11,304,599
Putable 1,995,574
2,477,805
2,343,896
2,161,985
Overnight 1,188,930
750,195
1,366,174
816,945
Amortizing 925,847
861,330
895,765
864,734
All other fixed-rate advances 40,000
57,457
45,018
78,482
30,280,577
28,873,993
30,224,201
28,746,697

Variable-rate indexed advances—par value
Simple variable ⁽¹⁾
4,866,698
6,254,069
6,476,560
6,361,059
Putable 645,006
663,391
614,478
477,595
All other variable-rate indexed advances 39,967
38,967
41,954
39,726
5,551,671
6,956,427
7,132,992
6,878,380
Total average par value 35,832,248
35,830,420
37,357,193
35,625,077
Net (discounts) premiums (11,293 ) 3,497
(8,152 ) 4,468
Market value of bifurcated derivatives 2,224
7,135
889
4,467
Hedging adjustments (12,805 ) 155,616
(16,239 ) 151,446
Total average balance of advances $ 35,810,374
$ 35,996,668
$ 37,333,691
$ 35,785,458

~~_____________________~~


~~(1)~~	~~Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.~~

~~In addition, the average balance of fixed-rate advances that were hedged with interest-rate swaps to yield an effective floating rate totaled $8.9 billion for the nine months ended~~ ~~September 30, 2017~~. Therefore, a significant portion of our advances, including overnight advances, short-term fixed-rate advances, fixed-rate putable advances, certain fixed-rate bullet advances, and variable-rate advances, either earn a short-term interest rate or are swapped to a short-term index, resulting in yields that closely follow short-term market interest-rate trends. The average balance of all such advances totaled ~~$29.4 billion~~ ~~for the nine months ended~~ ~~September 30, 2017, representing~~ ~~78.8 percent~~ ~~of the total average balance of advances outstanding during the nine months ended~~ ~~September 30, 2017. The average balance of all such advances totaled~~ ~~$28.0 billion~~ ~~for the nine months ended~~ ~~September 30, 2016, representing~~ ~~78.1 percent~~ ~~of the total average balance of advances outstanding during the nine months ended~~ ~~September 30, 2016~~.

~~For the nine months ended September 30, 2017 and~~ ~~2016~~,2021, net prepayment fees on advances were $3.3 million and ~~investments were $619,000 and $3.3~~$12.0 million, respectively. Prepayment-fee income is unpredictable and inconsistent from period to period, occurring only when advances and investments are prepaid prior to the scheduled maturity or repricing dates, and generally when prevailing reinvestment yields are lower than those of the prepaid advances. For additional information see Item 8 — Financial Statements and Supplementary Data — Notes to the Financial Statements — Note 2 — Summary of Significant Accounting Policies — Advances in the 2021 Annual Report.

Average Balance of Investments

Average short-term money-market investments, consisting of interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold, ~~decreased $492.2~~increased $950.1 million, or ~~5.3~~21.5 percent, for the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, compared with the same period in ~~2016~~.2021, as liquidity needs were greater in 2022 compared to 2021 due to increased advances borrowing activity. The yield earned on short-term money-market investments is highly correlated to short-term market interest rates. As a result of the FOMC’s ~~increases of~~increase in the target range for the federal funds rate, ~~in late 2016 and the first half of 2017,~~ average yields on overnight federal funds sold increased from ~~0.38~~0.07 percent during the ~~nine~~six months ended ~~September~~June 30, ~~2016~~2021, to ~~0.94~~0.57 percent during the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, while average yields on securities purchased under agreements to resell increased from ~~0.33~~0.07 percent for the ~~nine~~six months ended ~~September~~June 30, ~~2016~~2021, to ~~0.83~~0.97 percent for the ~~nine~~six months ended ~~September~~June 30, ~~2017.~~2022. These investments are used for liquidity ~~management and to~~

management.

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manage our leverage ratio in response to fluctuations in other asset balances. For the nine months ended September 30, 2017, average balances of securities purchased under agreements to resell decreased $474.5 million and average balances of federal funds sold decreased $48.0 million in comparison to the nine months ended September 30, 2016.

Average investment-securities balances ~~decreased $509.7 million,~~increased $2.5 billion, or ~~5.29~~22.3 percent for the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, compared with the same period in ~~2016, a decrease~~2021, an increase consisting primarily of ~~a $854.8 million decrease~~$1.7 billion in MBS and ~~a $342.7~~$833.6 million ~~increase~~ in U.S. Treasury obligations.

Average Balance of COs

Average CO balances increased ~~$672.9 million,~~$2.3 billion, or ~~1.2~~6.9 percent, for the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, compared with the same period in ~~2016~~,2021, resulting from our increased funding needs principally due to the increase in our average advances balances. This overall increase consisted of ana $5.7 billion increase ~~of $951.6 million~~ in CO bonds ~~and~~offset by a ~~decrease~~decline of ~~$278.7 million~~$3.5 billion in CO discount notes.

The average balance of CO discount notes represented approximately ~~48.2~~21.2 percent of total average COs during the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, compared with ~~49.3~~33.2 percent of total average COs during the ~~nine~~six months ended ~~September~~June 30, ~~2016~~.2021. The average balance of CO bonds represented ~~51.8~~78.8 percent and ~~50.7~~66.8 percent of total average COs outstanding during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2022 and ~~2016~~,2021, respectively.

Impact of Derivatives and Hedging Activities

Net interest income includes interest accrued on interest-rate-exchange agreements that are associated with advances, investments, ~~deposits,~~ and debt instruments that qualify for hedge accounting. The fair value gains and losses of derivatives and hedged items designated in fair-value hedge relationships are also recognized as interest income or interest expense. We enter into derivatives to manage the interest-rate-risk exposures inherent in otherwise unhedged assets and liabilities and to achieve our risk-management objectives. We generally use derivative instruments that qualify for hedge accounting as interest-rate risk-management tools. These derivatives serve to stabilize net ~~interest~~ income ~~and net interest margin~~ when interest rates fluctuate. Accordingly, the impact of derivatives on net interest income and net interest margin, as well as other income, should be viewed in the overall context of our risk-management strategy. ~~The following tables show~~

Table 5 below provides a summary of the ~~net effect~~impact of derivatives and hedging activities on ~~net interest income, net gains (losses) on derivatives~~our earnings.

Table 5 - Effect of Derivative and ~~hedging activities, and net unrealized gains (losses) on trading securities for the three and~~ ~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016~~ ~~(dollars~~Hedging Activities

(dollars in thousands).


	For the Three Months Ended June 30, 2022
Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Total
Net interest income
Amortization / accretion of hedging activities (1)	$	(273)	$	—	$	(144)	$	(945)	$	(1,362)
Gains on designated fair-value hedges	718		15,332		—		259		16,309
Net interest settlements on derivatives(2)	(5,205)		(21,256)		—		15,049		(11,412)
Total net interest income	(4,760)		(5,924)		(144)		14,363		3,535

Net gains (losses) on derivatives and hedging activities
Gains on derivatives not receiving hedge accounting	4		—		—		1		5
CO bond firm commitments	—		—		—		(1)		(1)
Mortgage delivery commitments	—		—		(118)		—		(118)

Net gains (losses) on derivatives and hedging activities	4		—		(118)		—		(114)

Net losses on trading securities	—		—		—		—		—
Total net effect of derivatives and hedging activities	$	(4,756)	$	(5,924)	$	(262)	$	14,363	$	3,421

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	For the Three Months Ended June 30, 2021
Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Other		Total
Net interest income
Amortization / accretion of hedging activities in net interest income (1)	$	(705)	$	—	$	(347)	$	(757)	$	—	$	(1,809)
(Losses) gains on designated fair-value hedges	(245)		(4,098)		—		66		—		(4,277)
Net interest settlements included in net interest income (2)	(16,042)		(29,847)		—		16,000		—		(29,889)
Total net interest income	(16,992)		(33,945)		(347)		15,309		—		(35,975)

Net gains on derivatives and hedging activities


Gains on derivatives not receiving hedge accounting	30		163		—		—		—		193
CO bond firm commitments	—		—		—		—		—		—
Mortgage delivery commitments	—		—		253		—		—		253
Price alignment amount (3)	—		—		—		—		1		1
Net gains on derivatives and hedging activities	30		163		253		—		1		447

Net losses on trading securities	—		(14,616)		—		—		—		(14,616)
Total net effect of derivatives and hedging activities	$	(16,962)	$	(48,398)	$	(94)	$	15,309	$	1	$	(50,144)


	For the Six Months Ended June 30, 2022
Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Total
Net interest income
Amortization / accretion of hedging activities (1)	$	(536)	$	—	$	(300)	$	(1,881)	$	(2,717)
Gains on designated fair-value hedges	2,049		29,623		—		738		32,410
Net interest settlements on derivatives(2)	(15,131)		(58,647)		—		41,840		(31,938)
Total net interest income	(13,618)		(29,024)		(300)		40,697		(2,245)

Net gains (losses) on derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting	5		(1)		—		(520)		(516)
CO bond firm commitments	—		—		—		520		520
Mortgage delivery commitments	—		—		(791)		—		(791)

Net gains (losses) on derivatives and hedging activities	5		(1)		(791)		—		(787)

Net losses on trading securities	—		(425)		—		—		(425)
Total net effect of derivatives and hedging activities	$	(13,613)	$	(29,450)	$	(1,091)	$	40,697	$	(3,457)

For the Three Months Ended September 30, 2017
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Other Total
Net interest income
Amortization / accretion of hedging activities in net interest income ⁽¹⁾
$ (507 ) $ —
$ (60 ) $ 786
$ —
$ 219

Net interest settlements included in net interest income ⁽²⁾
(2,878 ) (7,879 ) —
242
—
(10,515 )
Total net interest income (3,385 ) (7,879 ) (60 ) 1,028
—
(10,296 )

Net gains (losses) on derivatives and hedging activities
Gains (losses) on fair-value hedges 501
504
—
(1,881 ) —
(876 )
Losses on cash-flow hedges —
—
—
(18 ) —
(18 )
(Losses) gains on derivatives not receiving hedge accounting (5 ) 75
—
—
—
70

Mortgage delivery commitments —
—
692
—
—
692

Other ⁽³⁾
—
—
—
—
126
126

Net gains (losses) on derivatives and hedging activities 496
579
692
(1,899 ) 126
(6 )

Subtotal (2,889 ) (7,300 ) 632
(871 ) 126
(10,302 )

Net losses on trading securities —
(1,591 ) —
—
—
(1,591 )
Total net effect of derivatives and hedging activities $ (2,889 ) $ (8,891 ) $ 632
$ (871 ) $ 126
$ (11,893 )

~~_____________________~~


~~(1)~~	~~Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss.~~


~~(2)~~	~~Represents interest income/expense on derivatives included in net interest income.~~


~~(3)~~	~~Amount in Other includes the price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount, as further described in Item 1 —Notes to the Financial Statements — Note 11 — Derivatives and Hedging Activities.~~

Table of Contents


	For the Six Months Ended June 30, 2021
Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Other		Total
Net interest income
Amortization / accretion of hedging activities (1)	$	(1,404)	$	—	$	(828)	$	(1,402)	$	—	$	(3,634)
Gains on designated fair-value hedges	773		3,515		—		299		—		4,587
Net interest settlements on derivatives(2)	(31,867)		(51,784)		—		23,470		—		(60,181)
Total net interest income	(32,498)		(48,269)		(828)		22,367		—		(59,228)

Net gains (losses) on derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting	36		138		—		(19)		(148)		7
CO bond firm commitments	—		—		—		19		—		19
Mortgage delivery commitments	—		—		(433)		—		—		(433)
Price alignment amount (3)	—		—		—		—		6		6
Net gains (losses) on derivatives and hedging activities	36		138		(433)		—		(142)		(401)

Net losses on trading securities	—		(29,477)		—		—		—		(29,477)
Total net effect of derivatives and hedging activities	$	(32,462)	$	(77,608)	$	(1,261)	$	22,367	$	(142)	$	(89,106)

________________________

For the Three Months Ended September 30, 2016
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Total
Net interest income
Amortization / accretion of hedging activities in net interest income ⁽¹⁾
$ (679 ) $ —
$ (155 ) $ (947 ) $ (1,781 )
Net interest settlements included in net interest income ⁽²⁾
(22,547 ) (8,788 ) —
6,500
(24,835 )
Total net interest income (23,226 ) (8,788 ) (155 ) 5,553
(26,616 )

Net (losses) gains on derivatives and hedging activities
Gains (losses) on fair-value hedges 173
445
—
(3,896 ) (3,278 )
Losses on cash-flow hedges —
—
—
(22 ) (22 )
Gains on derivatives not receiving hedge accounting 20
1,105
—
61
1,186

Mortgage delivery commitments —
—
251
(59 ) 192

Net gains (losses) on derivatives and hedging activities 193
1,550
251
(3,916 ) (1,922 )

Subtotal (23,033 ) (7,238 ) 96
1,637
(28,538 )

Net losses on trading securities —
(2,849 ) —
—
(2,849 )
Total net effect of derivatives and hedging activities $ (23,033 ) $ (10,087 ) $ 96
$ 1,637
$ (31,387 )
(1) Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive income.

~~_____________________~~


~~(1)~~	~~Represents the amortization/accretion of hedging fair-value adjustments.~~


~~(2)~~	(2) Represents interest income/expense ~~on derivatives included in net interest income.~~

For the Nine Months Ended September 30, 2017
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Other Total
Net interest income
Amortization / accretion of hedging activities in net interest income ⁽¹⁾
$ (1,676 ) $ —
$ (223 ) $ 1,033
$ —
$ (866 )
Net interest settlements included in net interest income ⁽²⁾
(24,566 ) (24,319 ) —
6,965
—
(41,920 )
Total net interest income (26,242 ) (24,319 ) (223 ) 7,998
—
(42,786 )

Net gains (losses) on derivatives and hedging activities
Gains (losses) on fair-value hedges 370
1,365
—
(4,022 ) —
(2,287 )
Gains on cash-flow hedges —
—
—
213
—
213
(Losses) gains on derivatives not receiving hedge accounting (16 ) (140 ) —
4
—
(152 )
Mortgage delivery commitments —
—
1,556
—
—
1,556
Other ⁽³⁾
—
—
—
—
282
282
Net gains (losses) on derivatives and hedging activities 354
1,225
1,556
(3,805 ) 282
(388 )

Subtotal (25,888 ) (23,094 ) 1,333
4,193
282
(43,174 )

Net losses on trading securities —
(3,857 ) —
—
—
(3,857 )
Total net effect of derivatives and hedging activities $ (25,888 ) $ (26,951 ) $ 1,333
$ 4,193
$ 282
$ (47,031 )

~~Table of Contents~~

~~_____________________~~


~~(1)~~	~~Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss.~~


~~(2)~~	~~Represents interest income/expense on derivatives included in net interest income.~~


~~(3)~~	~~Amount in Other includes the price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount, as further described in Item 1 —Notes to the Financial Statements — Note 11 — Derivatives and Hedging Activities.~~

For the Nine Months Ended September 30, 2016
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Total
Net interest income
Amortization / accretion of hedging activities in net interest income ⁽¹⁾
$ (2,028 ) $ —
$ (437 ) $ (5,580 ) $ (8,045 )
Net interest settlements included in net interest income ⁽²⁾
(78,799 ) (26,682 ) —
21,730
(83,751 )
Total net interest income (80,827 ) (26,682 ) (437 ) 16,150
(91,796 )

Net (losses) gains on derivatives and hedging activities
(Losses) gains on fair-value hedges (1,016 ) 1,185
—
(8,698 ) (8,529 )
Losses on cash-flow hedges —
—
—
(558 ) (558 )
(Losses) gains on derivatives not receiving hedge accounting (86 ) (3,547 ) —
102
(3,531 )
Mortgage delivery commitments —
—
1,557
(59 ) 1,498
Net (losses) gains on derivatives and hedging activities (1,102 ) (2,362 ) 1,557
(9,213 ) (11,120 )

Subtotal (81,929 ) (29,044 ) 1,120
6,937
(102,916 )

Net losses on trading securities —
(892 ) —
—
(892 )
Total net effect of derivatives and hedging activities $ (81,929 ) $ (29,936 ) $ 1,120
$ 6,937
$ (103,808 )

~~_____________________~~


~~(1)~~	~~Represents the amortization/accretion of hedging fair-value adjustments.~~


~~(2)~~	~~Represents interest income/expense on derivatives included in net interest income.~~

~~Interest paid and received on interest-rate-exchange agreements that are economic hedges is classified as net losses~~ on derivatives ~~and hedging activities~~included in ~~other~~net interest income. ~~As shown under — Other Income (Loss) below, interest accruals on~~

(3) Represents the amount for derivatives ~~classified as economic hedges totaled a net expense of $3.6 million and $4.5 million~~for which variation margin, or payments made for the changes in the market value of the transaction, is characterized as a daily settlement amount.

~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016, respectively.~~

~~Other Income (Loss)~~

~~The following table presents a summary of other income (loss) for the three and~~ ~~nine months endedSeptember 30, 2017~~ ~~and~~ ~~2016~~. Additionally, detail on the components of net gains (losses) on derivatives and hedging activities is provided, indicating the source of these gains and losses by type of hedging relationship and hedge accounting treatment.

~~Table of Contents~~

Other Income (Loss)
(dollars in thousands)

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2017 2016 2017 2016
Gains (losses) on derivatives and hedging activities:
Net losses related to fair-value hedge ineffectiveness $ (875 ) $ (3,276 ) $ (2,286 ) $ (8,527 )
Net (losses) gains related to cash-flow hedge ineffectiveness (18 ) (22 ) 213
(558 )
Net unrealized (losses) gains related to derivatives not receiving hedge accounting associated with:
Advances (6 ) 21
(16 ) (86 )
Trading securities 1,187
2,542
3,459
950
CO Bonds —
1
29
11
Mortgage delivery commitments 692
251
1,556
1,557
Net interest-accruals related to derivatives not receiving hedge accounting (1,112 ) (1,439 ) (3,625 ) (4,467 )
Other⁽¹⁾
126
—
282
—
Net losses on derivatives and hedging activities (6 ) (1,922 ) (388 ) (11,120 )
Net other-than-temporary impairment credit losses on held-to-maturity securities recognized in income (432 ) (371 ) (1,418 ) (2,721 )
Litigation settlements —
—
—
19,584
Loss on early extinguishment of debt —
(184 ) —
(1,484 )
Service-fee income 2,228
1,948
6,362
5,850
Net unrealized losses on trading securities (1,591 ) (2,849 ) (3,857 ) (892 )
Other 397
(65 ) 358
(203 )
Total other income (loss) $ 596
$ (3,443 ) $ 1,057
$ 9,014

~~______________~~


~~(1)~~	~~Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount as further described in Item 1 —Notes to the Financial Statements — Note 11 — Derivatives and Hedging Activities.~~

FINANCIAL CONDITION

Advances

At ~~September~~June 30, ~~2017~~,2022, the advances portfolio totaled ~~$37.5~~$30.3 billion,~~, a~~ ~~decrease~~ an increase of $~~1.6~~$18.0 billion ~~compared with $39.1~~ from $12.3 billion at December 31, ~~2016~~2021. The significant increase in advances was concentrated in variable-rate advances and short-term fixed-rate advances, reflecting rising demand for wholesale funding at member institutions.

~~The following table summarizes advances outstanding by product type at~~ ~~September 30, 2017, and December 31, 2016.~~

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Table 6 - Advances Outstanding by Product Type

(dollars in thousands)


	June 30, 2022				December 31, 2021
	Par Value		Percent of Total		Par Value		Percent of Total
Fixed-rate advances
Short-term	$	7,344,326	24.1	%	$	1,531,550	12.4	%
Long-term	6,498,333		21.3		6,511,706		52.7
Overnight	1,945,147		6.4		225,922		1.8
Putable	587,500		1.9		1,178,425		9.6
Amortizing	550,031		1.8		551,163		4.5

	16,925,337		55.5		9,998,766		81.0

Variable-rate advances
Simple variable (1)	13,552,395		44.5		2,348,875		19.0

All other variable-rate indexed advances	126		—		64		—
	13,552,521		44.5		2,348,939		19.0
Total par value	$	30,477,858	100.0	%	$	12,347,705	100.0	%

Advances Outstanding by Product Type
(dollars in thousands)

September 30, 2017 December 31, 2016
Par Value Percent of Total Par Value Percent of Total
Fixed-rate advances

Long-term $ 14,024,963
37.4 % $ 13,051,558
33.4 %
Short-term 12,860,167
34.3
12,260,502
31.3
Putable 1,528,750
4.1
2,735,050
7.0
Overnight 1,329,389
3.5
1,577,162
4.0
Amortizing 938,529
2.5
861,920
2.2
All other fixed-rate advances 40,000
0.1
40,000
0.1
30,721,798
81.9
30,526,192
78.0

Variable-rate advances

Simple variable ⁽¹⁾
6,003,175
16.0
7,895,783
20.2
Putable 707,400
1.9
616,000
1.6
All other variable-rate indexed advances 76,277
0.2
76,880
0.2
6,786,852
18.1
8,588,663
22.0
Total par value $ 37,508,650
100.0 % $ 39,114,855
100.0 %
________________________

~~_____________________~~


~~(1)~~	(1) Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

See Item 1 — Financial Statements — Notes to the Financial Statements — Note 84 — Advances for disclosures relating to redemption terms of the advances portfolio.

~~At September 30, 2017, we had advances outstanding to 316, or 71.3 percent, of our 443 members. At December 31, 2016, we had advances outstanding to 315, or 70.5 percent, of our 447 members.~~

Advances Credit Risk

We endeavor to minimize credit risk on advances by monitoring the financial condition of our borrowers and by holding sufficient collateral to protect the Bank from credit losses. All pledged collateral is subject to collateral discounts, or haircuts, ~~assigned~~to the market value or par value, as applicable, based on our opinion of the risk that such collateral presents. We are prohibited by Section 10(a) of the FHLBank Act from making advances without sufficient ~~collateral to secure the advance.~~collateral. We have never experienced a credit loss on an advance.

We assign each non-insurance company borrower to one of the following three credit status categories based ~~primarily~~ on our assessment of the borrower's overall financial condition and other factors:

Category-1: ~~members~~Members that are generally in satisfactory financial condition;

Category-2: ~~members~~Members that show financial weakness or weakening financial trends in key financial indices and/or regulatory findings; and

Category-3: ~~members~~Members with financial weaknesses that present an elevated level of concern. ~~We also place housing associates and non-member borrowers in Category-3.~~

We monitor the financial condition of our insurance company members quarterly. We lend to them based on our assessment of their financial condition and their pledge of sufficient amounts of eligible collateral.

~~The following table provides information regarding advances outstanding with our borrowers in Category-1, Category-2, Category-3, and insurance company members, at~~ ~~September 30, 2017, along with their corresponding collateral balances.~~

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Table 7 - Advances Outstanding by Borrower Credit Status Category

(dollars in thousands)

Advances Outstanding by Borrower Credit Status Category As of September 30, 2017 (dollars in thousands)

									As of June 30, 2022
	Number of Borrowers	Par Value of Advances Outstanding		Discounted Collateral		Ratio of Discounted Collateral to Advances			Number of Borrowers	Par Value of Advances Outstanding		Discounted Collateral		Ratio of Discounted Collateral to Advances
Category-1	272	$	34,203,696	$	86,335,039	252.4	%	Category-1	204	$	25,558,562	$	96,672,411	378.2	%
Category-2	14	475,926		907,830		190.8		Category-2	13	233,856		756,117		323.3
Category-3	20	504,151		696,404		138.1		Category-3	15	217,420		412,166		189.6
Insurance companies	19	2,324,877		3,106,494		133.6		Insurance companies	25	4,468,020		6,066,732		135.8
Total	325	$	37,508,650	$	91,045,767	242.7	%	Total	257	$	30,477,858	$	103,907,426	340.9	%

The method by which a borrower pledges collateral ~~is dependent~~depends upon the type of borrower (depository vs. non-depository), the category to which itthe borrower is assigned, and on the type of collateral that the borrower pledges. Moreover, borrowers in Category-1 are ~~permitted~~eligible to specifically list and identify single-family owner-occupied residential mortgage loans at a lower discount than is allowed if the collateral is not specifically listed and identified.

~~Based on the financial reviews and other conditions of the members, the~~

The Bank may adjust the credit status category of a member from time to ~~time. Due to their weaker profile,~~time based on the Bank requires Category-3 members to deliver collateral to the Bank or its custodian. Based upon the method by which borrowers pledge collateral to us, the following table shows the total potential lending valuefinancial reviews and other circumstances of the ~~collateral that borrowers have pledged to us, net of our collateral valuation discounts as of~~ ~~September 30, 2017~~.

Collateral by Pledge Type
(dollars in thousands)
Discounted Collateral
Collateral not specifically listed and identified $ 28,591,280
Collateral specifically listed and identified 56,632,840
Collateral delivered to us 11,561,620

member.

~~We accept nontraditional and subprime loans that are underwritten in accordance with applicable regulatory guidance as eligible collateral for our advances as discussed under Item 7~~
— ~~Management's Discussion and Analysis of Financial Condition and Results of Operations~~ — ~~Financial Condition~~ — ~~Advances Credit Risk in the 2016 Annual Report. At~~ ~~September 30, 2017, and December 31, 2016, the amount of pledged nontraditional and subprime loan collateral was 10 percent and nine percent, respectively, of total member discounted collateral.~~

We have not recorded any allowance for credit losses on advances at ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016,~~2021, for the reasons discussed in Item 1 — Financial Statements — Notes to the Financial Statements — Note 10 4 — ~~Allowance for Credit Losses.~~ Advances.

Table 8 - Top Five Advance-Borrowing Institutions

(dollars in thousands)


	June 30, 2022
Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)
Citizens Bank, N.A	$	12,019,143	39.4	%	1.60	%
Webster Bank, N.A.	2,510,810		8.2		1.60
Massachusetts Mutual Life Insurance Company	2,100,000		6.9		1.78
Hingham Institution for Savings	1,140,000		3.8		1.18
Voya Retirement Insurance and Annuity Company	925,000		3.0		1.74
Total of top five advance-borrowing institutions	$	18,694,953	61.3	%


	December 31, 2021
Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)
Massachusetts Mutual Life Insurance Company	$	1,500,000	12.1	%	1.62	%
Voya Retirement Insurance and Annuity Company	925,000		7.5		0.48
Hingham Institution for Savings	665,000		5.4		0.28
Salem Five Cents Savings Bank	580,392		4.7		0.27
Peoples United Bank	562,750		4.6		0.39
Total of top five advance-borrowing institutions	$	4,233,142	34.3	%

_______________________

(1) Weighted-average rates are based on the contract rate of each advance without taking into consideration the effects of interest-rate-exchange agreements that we may use as hedging instruments.

~~The following table presents the top five advance-borrowing institutions at~~ ~~September 30, 2017, and the interest earned on outstanding advances to such institutions for the three and nine months ended~~ ~~September 30, 2017~~.

Investments

Table of Contents

Top Five Advance-Borrowing Institutions
(dollars in thousands)
September 30, 2017
Name Par Value of Advances Percent of Total Par Value of Advances
Weighted-Average Rate ⁽¹⁾

Advances Interest Income for the
Three Months Ended
September 30, 2017
Advances Interest Income for the
Nine Months Ended
September 30, 2017
Citizens Bank, N.A. $ 5,358,737
14.3 % 1.35 % $ 14,316
$ 46,968
People's United Bank, N.A. 2,804,872
7.5
1.27
8,240
18,900
Webster Bank, N.A. 1,507,679
4.0
1.49
5,240
17,413
Berkshire Bank 1,354,433
3.6
1.33
4,391
10,543
Massachusetts Mutual Life Insurance Co. 1,100,000
2.9
2.14
6,076
17,975
Total of top five advance-borrowing institutions $ 12,125,721
32.3 % $ 38,263
$ 111,799

~~_______________________~~


~~(1)~~	~~Weighted-average rates are based on the contract rate of each advance without taking into consideration the effects of interest-rate-exchange agreements that we may use as hedging instruments.~~

~~Investments~~

At ~~September~~June 30, ~~2017~~,2022, investment securities and short-term money-market instruments totaled $~~19.3~~$28.3 billion,, an increase of ~~$1.3~~$11.9 billion from $16.4 billion at December 31, ~~2016~~2021.

Short-term money-market investments increased ~~$774.7 million~~$11.8 billion to $~~9.5~~$14.6 billion at ~~September~~June 30, ~~2017~~,2022, compared with December 31, ~~2016.~~2021. The increase was attributable to ~~a $3.6~~increases of $10.5 billion ~~increase in federal funds sold and a $224.7 million increase in interest-bearing deposits offset by a $3.0 billion decrease~~ in securities purchased under agreements to ~~resell.~~resell, $1.1 billion in federal funds sold and $310.1 million in interest bearing deposits.

Investment securities increased ~~$534.5~~$68.0 million to ~~$9.9~~$13.6 billion at ~~September~~June 30, ~~2017,~~2022, compared with $13.5 billion at December 31, ~~2016. The increase was attributable to a $604.1 million increase in MBS partially offset by a $90.0 million decrease in U.S. Treasury obligations.~~

2021.

~~Our MBS investment portfolio consists of the following categories of securities as of~~
~~September 30, 2017, and December 31, 2016. The percentages in the table below are based on carrying value.~~

Mortgage-Backed Securities
September 30, 2017 December 31, 2016
Single-family MBS - U.S. government-guaranteed and GSE 61.6 % 67.5 %
Multifamily MBS - U.S. government-guaranteed and GSE 30.0
22.2
Private-label residential MBS 8.3
10.1
ABS backed by home-equity loans 0.1
0.2
Total MBS 100.0 % 100.0 %

Investments Credit Risk

We are subject to credit risk on unsecured investments consisting primarily of short-term (meaning ~~under~~ one year and under to ~~maturity and currently consisting only of overnight)~~maturity) money-market instruments issued by high-quality financial institutions and long-term (original maturity in excess of one year) debentures issued or guaranteed by U.S. agencies, U.S government-owned corporations, GSEs, and supranational institutions.

We place short-term funds with large, high-quality financial institutions ~~with long-term~~that must be rated in at least the third-highest internal rating category on a rating scale of FHFA1 through FHFA7, reflecting progressively lower credit ~~ratings no lower than single-A (or equivalent) on an unsecured basis. All~~quality. The internal rating categories of FHFA1 through FHFA4 are considered to be investment quality. As of June 30, 2022, all of these placements ~~currently expire~~either expired within one ~~day.~~day or were payable upon demand. See Part 1 — Item 1 — Business — Business Lines — Investments in the 2021 Annual Report for additional information.

In addition to these unsecured ~~short-term~~ investments, we also make secured investments in the form of securities purchased under agreements to resell secured by U.S. Treasury, ~~and~~U.S. government guaranteed, or agency obligations, ~~whose~~with current terms to maturity ~~are~~ up to ~~35 days. We~~

~~Table of Contents~~

~~have also invested~~95 days and in ~~and are subject to secured credit risk related to~~ MBS ~~ABS,~~ and HFA securities that are directly or indirectly supported by underlying mortgage loans.

We actively monitor our ~~investments'~~investment credit exposures and the credit quality of our counterparties, including assessments of each counterparty's financial performance, capital adequacy, ~~and~~ sovereign support, and collateral quality and performance, as well as related market ~~signals.~~signals such as securities prices and credit default swap spreads. We ~~endeavor to~~may reduce or suspend credit limits and/or seek to reduce existing exposures, as appropriate, as a result of these monitoring activities.

Table of Contents

Table 9 - Credit Ratings of Investments at Carrying Value

(dollars in thousands)


	As of June 30, 2022
	Long-Term Credit Rating
Investment Category	Triple-A		Double-A		Single-A		Unrated
Money-market instruments: (1)
Interest-bearing deposits	$	—	$	150	$	395,080	$	—
Securities purchased under agreements to resell	—		10,750,000		500,000		—
Federal funds sold	—		295,000		2,703,000		—

Total money-market instruments	—		11,045,150		3,598,080		—

Investment securities:(2)

Non-MBS:
U.S. Treasury obligations	—		5,889,613		—		—
Corporate bonds	—		—		—		980
U.S. government-owned corporations	—		249,179		—		—
GSE	—		106,506		—		—
Supranational institutions	369,247		—		—		—
HFA securities	33,089		27,444		—		—
Total non-MBS	402,336		6,272,742		—		980

MBS:
U.S. government guaranteed - single-family	—		21,885		—		—
U.S. government guaranteed - multifamily	—		518,612		—		—
GSE – single-family	—		993,207		—		—
GSE – multifamily	—		5,401,542		—		—

Total MBS	—		6,935,246		—		—

Total investment securities	402,336		13,207,988		—		980

Total investments	$	402,336	$	24,253,138	$	3,598,080	$	980

_______________________

(1)The counterparty NRSRO rating is used for money-market instruments. Counterparty ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and are each as of June 30, 2022. If there is a split rating, the lowest rating is used. In certain instances where a counterparty is unrated, the Bank may assign a deemed rating to the counterparty and that deemed rating is used.

(2) The issue rating is used for investment securities. Issue ratings are obtained from Moody’s, Fitch, and S&P. If there is a split rating, the lowest rating is used.

FHFA regulations include limits on the amount of unsecured credit we may extend to a counterparty or to a group of affiliated counterparties based on a percentage of regulatory capital and an internal credit rating determined by each FHLBank. See Part 1 — Item 1 — Business — Business Lines — Investments in the 2021 Annual Report for additional information. Under these regulations, the level of regulatory capital is determined as the lesser of our ~~investments are provided in~~total regulatory capital or the ~~following table.~~

Credit Ratings of Investments at Carrying Value
As of September 30, 2017
(dollars in thousands)

Long-Term Credit Rating ⁽¹⁾
Investment Category Triple-A Double-A Single-A Triple-B
Below
Triple-B
Unrated
Money-market instruments ⁽²⁾:

Interest-bearing deposits $ —
$ 262
$ 224,750
$ —
$ —
$ —
Securities purchased under agreements to resell —
—
1,000,000
1,999,000
—
—
Federal funds sold —
1,650,000
4,600,000
—
—
—
Total money-market instruments —
1,650,262
5,824,750
1,999,000
—
—

Investment securities:

Non-MBS:

U.S. agency obligations —
1,391
—
—
—
—
U.S. Treasury obligations —
309,498
—
—
—
—
U.S. government-owned corporations —
286,393
—
—
—
—
GSEs —
120,033
—
—
—
—
Supranational institutions 421,492
—
—
—
—
—
HFA securities 27,284
45,739
102,999
—
—
—
Total non-MBS 448,776
763,054
102,999
—
—
—

MBS:
U.S. government guaranteed - single-family ⁽²⁾
—
120,611
—
—
—
—
U.S. government guaranteed - multifamily ⁽²⁾
—
468,343
—
—
—
—
GSE – single-family ⁽²⁾
—
5,147,903
—
—
—
—
GSE – multifamily ⁽²⁾
—
2,100,317
—
—
—
—
Private-label – residential —
3,913
11,111
61,738
611,474
16,570
ABS backed by home-equity loans 598
1,136
4,786
1,569
1,687
—
Total MBS 598
7,842,223
15,897
63,307
613,161
16,570

Total investment securities 449,374
8,605,277
118,896
63,307
613,161
16,570

Total investments $ 449,374
$ 10,255,539
$ 5,943,646
$ 2,062,307
$ 613,161
$ 16,570

~~_______________________~~


~~(1)~~	~~Ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and are each as~~regulatory capital of the counterparty. The applicable regulatory capital is then multiplied by a specified percentage for each counterparty, which product is the maximum amount of~~September 30, 2017. If there is a split rating, the lowest rating is used.~~

~~Table of Contents~~


~~(2)~~	~~The issuer rating is used for these investments, and if a rating is on negative credit watch, the rating in the next lower rating category is used and then the lowest rating is determined.~~

At ~~September 30, 2017, our~~ unsecured credit exposure ~~related~~we may extend to ~~money-market instruments and debentures, including accrued interest, was~~ ~~$7.6 billion~~ to 22 ~~counterparties and issuers,~~that counterparty. The percentage that we may offer for extensions of ~~which~~ ~~$6.3 billion~~ ~~was for~~unsecured credit other than overnight sales of federal funds ~~sold,~~ ~~$1.1 billion~~ ~~was~~ranges from one to 15 percent based on the counterparty's credit rating. From time to time, we may establish internal credit limits lower than those permitted by regulation for ~~debentures issued by the U.S. Treasury, GSEs, and supranational institutions, and $225.0 million was for interest-bearing deposits.~~individual counterparties.

~~Private-Label MBS~~

~~Of our~~ ~~$8.9 billion~~ ~~in par value of MBS and ABS investments at~~ ~~September 30, 2017, $1.1 billion~~ ~~in par value are private-label MBS and ABS backed by home equity loans, as set forth in the table below:~~

Unpaid Principal Balance of Private-Label MBS and ABS Backed by Home Equity Loans
by Fixed Rate or Variable Rate
(dollars in thousands)

September 30, 2017 December 31, 2016
Private-label MBS ⁽¹⁾
Fixed
Rate ⁽²⁾

Variable
Rate ⁽²⁾
Total
Fixed
Rate ⁽²⁾

Variable
Rate ⁽²⁾
Total
Private-label residential MBS

Prime $ 7,892
$ 84,639
$ 92,531
$ 8,780
$ 102,747
$ 111,527
Alt-A 16,205
1,021,549
1,037,754
18,808
1,161,415
1,180,223
Total private-label residential MBS 24,097
1,106,188
1,130,285
27,588
1,264,162
1,291,750
ABS backed by home equity loans

Subprime —
10,134
10,134
—
13,848
13,848
Total par value of private-label MBS $ 24,097
$ 1,116,322
$ 1,140,419
$ 27,588
$ 1,278,010
$ 1,305,598

~~_______________________~~

~~(1)~~


~~(2)~~	~~The determination of fixed or variable rate is based upon the contractual coupon type of the security.~~

The following table provides additional information related to our investments in MBS issued by private trusts and ABS backed by home equity loans. The table sets forth the credit ratings and summary credit enhancements associated with our private-label MBS and ABS. Average current credit enhancements as of ~~September 30, 2017~~ ~~reflect the percentage of subordinated class outstanding balances as of~~ ~~September 30, 2017, to our senior class outstanding balances as of~~ ~~September 30, 2017, weighted by the par value of our respective senior class securities. Average current credit enhancements as of~~ ~~September 30, 2017, are indicative of the ability of subordinated classes to absorb loan collateral lost principal and interest shortfall before senior classes are impacted.~~

Table of Contents

Table 10 - Unsecured Credit Related to Money-Market Instruments and Debentures by Carrying Value

(dollars in thousands)

Private-Label MBS and ABS Backed by Home Equity
As of September 30, 2017
(dollars in thousands)

Total
Par value by credit rating
Triple-A $ 598
Double-A 5,049
Single-A 15,897
Triple-B 63,307
Below Investment Grade
Double-B 26,283
Single-B 46,180
Triple-C 486,551
Double-C 269,474
Single-C 16,555
Single-D 189,159
Unrated 21,366
Total par value $ 1,140,419

Amortized cost $ 881,051
Gross unrealized gains 115,913
Gross unrealized losses (8,115 )
Fair value $ 988,849

Weighted average percentage of fair value to par value 86.71 %
Original weighted average credit support 27.36
Weighted average credit support 8.20
Weighted average collateral delinquency ⁽¹⁾
19.42


	Carrying Value
	June 30, 2022		December 31, 2021
Interest bearing deposits	$	395,230	$	85,153
Federal funds sold	2,998,000		1,944,000
Supranational institutions	369,247		403,765
U.S. government-owned corporations	249,179		306,864
GSEs	106,506		126,472
Corporate bonds	980		1,442

~~_______________________~~


~~(1)~~	~~Represents loans that are 60 days or more delinquent.~~

Mortgage Loans

We invest in mortgages through the MPF program. The MPF program is further described under — Mortgage Loans Credit Risk and in Part I — Item 1 — Business — Business Lines — Mortgage Loan Finance in the ~~2016~~2021 Annual Report.

As of ~~September~~June 30, ~~2017~~,2022, our mortgage loan investment portfolio totaled $~~3.9~~$2.9 billion,~~, an~~ ~~increase~~ a decrease of $~~248.9~~$222.8 million from December 31, ~~2016~~.2021. We ~~expect~~have experienced continued competition from Fannie Mae and Freddie Mac, as well as from private mortgage loan acquirers, for loan investment opportunities. In addition, prepayment activity in the six months ended June 30, 2022, has been elevated and has outpaced our purchases of mortgage loans.

Mortgage Loans Credit Risk

We are subject to credit risk from the mortgage loans in which we invest due to our exposure to the credit risk of the underlying borrowers and the credit risk of the participating financial institutions when the participating financial institutions retain credit-enhancement and/or servicing obligations. For additional information on the credit risks arising from our participation in the MPF program, see Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Financial Condition — Mortgage Loans — Mortgage Loans Credit Risk in the ~~2016~~2021 Annual Report. For information on the credit performance of our mortgage loan portfolio as of June 30, 2022, see Item I — Financial Statements — Note 5 — Mortgage Loans Held for Portfolio in this report.

Although our mortgage loan portfolio includes loans throughout the U.S., concentrations of ~~five~~5 percent or greater of the ~~outstanding principal balance~~par value of our conventional mortgage loan portfolio are shown in ~~the following table:~~

Table ~~of Contents~~

State Concentrations by Outstanding Principal Balance
Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans
September 30, 2017 December 31, 2016

Massachusetts 55 % 51 %
Maine 12
13
Wisconsin 7
9
Connecticut 8
7
New Hampshire 6
6
All others 12
14
Total 100 % 100 %

11.

~~Allowance for Credit Losses on Mortgage Loans. The allowance for credit losses on mortgage loans was~~ ~~$500,000~~ at ~~September 30, 2017, compared with $650,000 at~~ ~~December 31, 2016~~.

Table 11 - State Concentrations by Par Value


	Percentage of Total Par Value of Conventional Mortgage Loans
	June 30, 2022		December 31, 2021
Massachusetts	62	%	63	%
Maine	10		10
Connecticut	9		8
Vermont	5		5

All others	14		14
Total	100	%	100	%

~~For information on the determination of the allowance at~~
~~September 30, 2017~~, see Item 1 — Notes to the Financial Statements — Note 10 — Allowance for Credit Losses, and for information on our methodology for estimating the allowance, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Estimates — Allowance for Loan Losses in the 2016 Annual Report.

We place conventional mortgage loans on nonaccrual status when the collection of interest or principal is doubtful or contractual principal or interest is 90 days or more past due. Accrued interest on nonaccrual loans is ~~reversed against~~excluded from interest income. We monitor the delinquency levels of the mortgage loan portfolio on a monthly basis. ~~Our investments~~

Table of Contents

Table 12 - Mortgage Loans - Risk Elements and Credit Losses

(dollars in ~~conventional mortgage loans that are delinquent are shown in the following table:~~thousands)


	For the Six Months Ended June 30,
	2022			2021
Average par value of mortgage loans outstanding during the period ending	$	2,951,330		$	3,647,949
Net (charge-offs) recoveries	(1)			52
Net charge-offs to average loans outstanding during the period ending	—		%	—		%

	As of June 30, 2022			As of December 31, 2021
Mortgage loans held for portfolio, par value	$	2,856,026		$	3,072,075
Nonaccrual loans, par value	16,696			21,384
Allowance for credit losses on mortgage loans	1,500			1,700
Allowance for credit losses to mortgage loans held for portfolio	0.05		%	0.06		%
Nonaccrual loans to mortgage loans held for portfolio	0.58			0.70
Allowance for credit losses to nonaccrual loans	8.98			7.95

Delinquent Mortgage Loans
(dollars in thousands)
September 30, 2017 December 31, 2016
Total par value of government loans past due 90 days or more and still accruing interest $ 4,925
$ 5,527
Nonaccrual loans, par value 15,895
16,918
Troubled debt restructurings (not included above) 6,403
6,846

Mortgage Insurance Companies. We are exposed to credit risk from ~~supplemental mortgage insurance (SMI) companies that provide credit enhancement in place of the participating financial institution and from~~ primary mortgage insurance coverage (PMI) on individual loans. As of ~~September~~June 30, ~~2017,~~2022, we were the beneficiary of PMI coverage of ~~$95.1~~$65.1 million on ~~$371.2~~$248.1 million of conventional mortgage loans. These amounts relate to loans originated with PMI and ~~SMI coverage~~for which current loan-to-value ratios exceed 78 percent (determined by recalculating the original loan-to-value ratio using the current par value divided by the appraised home value at the time of ~~$15.4 million on mortgage pools with a total unpaid principal balance of $108.4 million.~~loan origination).

We have analyzed our potential loss exposure to all of the mortgage insurance companies and do not expect incremental losses based on these exposures at this time.

~~Impact of Hurricanes Harvey and Irma.~~ As a result of the devastation caused by Hurricanes Harvey and Irma in the southern United States during the third quarter of 2017, the Federal Emergency Management Agency declared portions of several states and territories as areas covered by either a major disaster declaration or an emergency declaration. The Bank has exposure to these areas primarily though whole-loan purchases under the MPF program and investments in private-label mortgage backed securities. Based on our assessment, management does not expect these losses will have a material effect on our financial condition or results of operations.

Consolidated Obligations

See — Liquidity and Capital Resources for information regarding our COs.

Derivative Instruments

~~Table of Contents~~

All derivatives are recorded on the statement of condition at fair value and classified as either derivative assets or derivative liabilities. Bilateral and cleared derivatives outstanding are classified as assets or liabilities according to the net fair value of derivatives aggregated by each counterparty. Derivative assets' net fair value, net of cash collateral and accrued interest, totaled ~~$48.2~~$389.2 million and ~~$61.6~~$378.5 million as of ~~September~~June 30, ~~2017,~~2022, and December 31, ~~2016,~~2021, respectively. Derivative liabilities' net fair value, net of cash collateral and accrued interest, totaled ~~$309.7~~$0.0 million and ~~$357.9~~$38.9 million as of ~~September~~June 30, ~~2017,~~2022, and December 31, ~~2016,~~2021, respectively.

The following table presents a summary of the notional amounts and estimated fair values of our outstanding derivatives, excluding accrued interest, and related hedged item by product and type of accounting treatment as of ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016.~~2021. The notional amount represents the hypothetical principal basis used to determine periodic interest payments received and paid. However, the notional amount does not represent an actual amount exchanged or our overall exposure to credit and market risk.

Table of Contents

Table 13 - Hedged Item and Hedge-Accounting Treatment

(dollars in thousands)



			June 30, 2022				December 31, 2021
Hedged Item	Derivative	Designation(2)	Notional Amount		Fair Value		Notional Amount		Fair Value
Advances (1)	Swaps	Fair value	$	2,614,770	$	(6,781)	$	2,693,195	$	1,800
	Swaps	Economic	329,800		(1,582)		345,425		(11,761)
Total associated with advances			2,944,570		(8,363)		3,038,620		(9,961)
Available-for-sale securities	Swaps	Fair value	12,577,160		(15,791)		10,795,541		56,831
Trading securities	Swaps	Economic	—		—		500,000		3,087
COs	Swaps	Fair value	20,715,970		(963,971)		13,101,220		(173,243)
	Swaps	Economic	—		—		55,000		(24)
	Forward starting swaps	Cash Flow	1,391,000		(3,923)		1,391,000		(380)
Total associated with COs			22,106,970		(967,894)		14,547,220		(173,647)

Total			37,628,700		(992,048)		28,881,381		(123,690)
CO bond firm commitments			20,000		28		55,000		24
Mortgage delivery commitments			6,864		108		3,164		68
Total derivatives			$	37,655,564	(991,912)		$	28,939,545	(123,598)
Accrued interest					(51,321)				(50,008)
Cash collateral, including related accrued interest					1,432,472				513,194
Net derivatives					$	389,239			$	339,588

Derivative asset					$	389,239			$	378,532
Derivative liability					—				(38,944)
Net derivatives					$	389,239			$	339,588

_______________________

(1) As of June 30, 2022 and December 31, 2021, embedded derivatives separated from certain advance contracts with notional amounts of $329.8 million and $345.4 million, respectively, and fair values of $1.6 million and $11.9 million, respectively, are not included in the table.

(2) The hedge designation “fair value” represents the hedge classification for transactions that qualify for hedge-accounting treatment and hedge changes in fair value attributable to changes in the designated benchmark interest ~~rate, which is LIBOR.~~rate. The hedge designation "cash flow" represents the hedge classification for transactions that qualify for hedge-accounting treatment and hedge the exposure to variability in expected future cash flows. The hedge designation “economic” represents derivatives hedging specific or nonspecific assets, liabilities, or firm commitments that do not qualify or ~~was~~were not ~~designated for~~documented as fair-value or cash-flow ~~hedge accounting,~~hedges but are ~~acceptable~~documented as serving a non-speculative use and are hedging strategies under our risk-management policy.

Hedged Item and Hedge-Accounting Treatment
(dollars in thousands)

September 30, 2017 December 31, 2016
Hedged Item Derivative Designation
Notional
Amount

Fair
Value

Notional
Amount

Fair
Value
Advances ⁽¹⁾
Swaps Fair value $ 7,822,664
$ 30,737
$ 9,976,494
$ 11,504
Swaps Economic 964,400
(845 ) 857,000
136
Total associated with advances 8,787,064
29,892
10,833,494
11,640
Available-for-sale securities Swaps Fair value 611,915
(283,098 ) 611,915
(290,312 )
Trading securities Swaps Economic 192,000
(5,820 ) 192,000
(9,279 )
COs Swaps Fair value 5,950,990
(40,304 ) 7,627,400
(60,904 )
Firm commitments Fair value 50,000
56
—
—
Swaps Economic 50,000
(55 ) 150,000
(30 )
Forward starting swaps Cash Flow 527,800
(41,974 ) 527,800
(36,250 )
Total associated with COs 6,578,790
(82,277 ) 8,305,200
(97,184 )
Total 16,169,769
(341,303 ) 19,942,609
(385,135 )
Mortgage delivery commitments 62,221
(34 ) 22,524
(101 )
Total derivatives $ 16,231,990
(341,337 ) $ 19,965,133
(385,236 )
Accrued interest
(6,357 )
(19,973 )
Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest 86,182
108,931
Net derivatives
$ (261,512 )
$ (296,278 )
Derivative asset
$ 48,163

$ 61,598
Derivative liability
(309,675 )
(357,876 )
Net derivatives
$ (261,512 )
$ (296,278 )

~~_______________________~~


~~(1)~~	~~As of~~ ~~September 30, 2017, and December 31, 2016, embedded derivatives separated from the advance contract with notional amounts of $964.4 million and $857.0 million, respectively, and fair values of~~ ~~$812,000~~ ~~and $(153,000), respectively, are not included in the table.~~

~~Table of Contents~~

The following tables provide a summary of our hedging relationships for fair-value hedges of advances and COs that qualify for hedge accounting by year of contractual maturity. Interest accruals on interest-rate-exchange agreements in qualifying hedge relationships are recorded as interest income on advances and interest expense on COs in the statement of operations. The notional amount of derivatives in qualifying fair-value hedge relationships of advances and COs totals $
~~13.8 billion, representing~~ ~~84.9 percent~~ ~~of all derivatives outstanding as of~~ ~~September 30, 2017. Economic hedges and cash-flow hedges are not included within the two tables below.~~

Fair-Value Hedge Relationships of Advances
By Year of Contractual Maturity
As of September 30, 2017
(dollars in thousands)

Weighted-Average Yield ⁽⁴⁾
Derivatives
Advances⁽²⁾
Derivatives
Maturity Notional
Fair Value ⁽¹⁾

Hedged
Amount

Fair-Value
Adjustment⁽³⁾
Advances
Receive
Floating
Rate

Pay
Fixed
Rate

Net Receive
Result
Due in one year or less $ 2,155,085
$ (2,771 ) $ 2,155,085
$ 2,762
2.01 % 1.31 % 1.85 % 1.47 %
Due after one year through two years 1,331,261
6,492
1,331,261
(6,581 ) 1.61
1.32
1.33
1.60
Due after two years through three years 1,485,840
10,152
1,485,840
(10,121 ) 1.73
1.31
1.48
1.56
Due after three years through four years 939,613
7,246
939,613
(7,341 ) 1.93
1.31
1.51
1.73
Due after four years through five years 1,002,365
2,122
1,002,365
(2,265 ) 2.13
1.32
1.77
1.68
Thereafter 908,500
7,496
908,500
(7,383 ) 1.28
1.31
0.85
1.74
Total $ 7,822,664
$ 30,737
$ 7,822,664
$ (30,929 ) 1.81 % 1.31 % 1.52 % 1.60 %

~~_______________________~~


~~(1)~~	~~Not included in the fair value is $3.0 million of variation margin received for daily settled contracts.~~


~~(2)~~	~~Included in the advances hedged amount are $1.4 billion of putable advances, which would accelerate the termination date of the derivative and the hedged item if the put option is exercised.~~


~~(3)~~	~~The fair-value adjustment of hedged advances represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR.~~


~~(4)~~	~~The yield for floating-rate instruments and~~ ~~the floating-rate leg of interest-rate swaps is the coupon rate in effect as of~~ ~~September 30, 2017~~.

Fair-Value Hedge Relationships of Consolidated Obligations
By Year of Contractual Maturity
As of September 30, 2017
(dollars in thousands)

Weighted-Average Yield ⁽⁴⁾
Derivatives
CO Bonds ⁽²⁾
Derivatives
Year of Maturity Notional
Fair Value ⁽¹⁾
Hedged Amount
Fair-Value
Adjustment⁽³⁾
CO Bonds
Receive
Fixed Rate

Pay
Floating
Rate

Net Pay
Result
Due in one year or less $ 2,269,335
$ (5,290 ) $ 2,269,335
$ 5,045
1.10 % 1.07 % 1.27 % 1.30 %
Due after one year through two years 1,321,220
(8,872 ) 1,321,220
8,457
1.07
1.08
1.24
1.23
Due after two years through three years 235,990
(1,646 ) 235,990
1,492
1.47
1.47
1.21
1.21
Due after three years through four years 744,445
(5,536 ) 744,445
5,243
1.21
1.21
1.20
1.20
Due after four years through five years 735,000
(6,516 ) 735,000
6,463
1.55
1.55
1.15
1.15
Thereafter 645,000
(12,444 ) 645,000
12,144
1.75
1.75
1.18
1.18
Total $ 5,950,990
$ (40,304 ) $ 5,950,990
$ 38,844
1.25 % 1.24 % 1.22 % 1.23 %

~~_______________________~~


~~(1)~~	~~Not included in the fair value is $6.7 million of variation margin paid for daily settled contracts.~~


~~(2)~~	~~Included in the CO bonds hedged amount are $3.1 billion of callable CO bonds, which would accelerate the termination date of the derivative and the hedged item if the call option is exercised.~~


~~(3)~~	The fair-value adjustment of hedged CO bonds represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR, plus remaining unamortized premiums or discounts on hedged CO bonds where applicable.

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~~(4)~~	~~The yield for floating-rate instruments and the floating-rate leg of interest-rate swaps is the coupon rate in effect as of~~ ~~September 30, 2017~~.

We may engage in derivatives directly with affiliates of certain of our members that act as derivatives dealers to us. These derivatives are entered into for our own risk-management purposes and are not related to requests from our members to enter into such contracts.

Derivative Instruments Credit Risk. We are subject to credit risk on ~~derivatives, arising~~derivatives. This risk arises from the ~~possibility~~risk of counterparty default on the derivative contract. The amount of unsecured credit exposure to derivative counterparty default is the amount by which the replacement cost of the defaulted derivative contract exceeds the value of any collateral held by us (if the counterparty is the net obligor on the derivative contract) or is exceeded by the value of collateral pledged by us to counterparties (if we are the net obligor on the derivative contract). We accept cash and securities collateral in accordance with the terms of the applicable master netting agreement for uncleared derivatives (principal-to-principal derivatives that are not centrally cleared) from counterparties with whom we are in a current positive fair-value position (i.e., we are in the money) by an amount that exceeds an exposure threshold (if any) defined in our master netting agreement with the counterparty. The resulting net exposure at fair value is reflected in the derivatives table below.position. We pledge cash and securities collateral in accordance with the terms of the applicable master netting agreement for uncleared derivatives to counterparties with whom we are in a current negative fair-value ~~position (i.e., we are out-of-the-money) by an amount that exceeds an exposure threshold (if any) defined in our master netting agreement with the counterparty.~~ position.

From time to time, due to timing differences or derivatives valuation differences between our calculated derivatives values and those of our counterparties, and to the contractual haircuts applied to securities, we pledge to counterparties cash or securities collateral whose fair value is greater than the current net negative fair-value of derivative positions outstanding with ~~them adjusted for any applicable exposure threshold.~~ them.

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Similarly, from time to time, due to timing differences or derivatives valuation differences, we receive from counterparties cash or securities collateral whose fair value is less than the current net positive fair-value of derivatives positions outstanding with ~~them adjusted for any applicable exposure threshold.~~them. We currently pledge only cash collateral, including initial and variation margin, for cleared derivatives, but may also pledge securities for initial margin as allowed by the applicable DCO and clearing member. ~~The table below details our counterparty credit exposure as of September 30, 2017.~~

Table 14 - Credit Exposure to Derivatives Counterparties

(dollars in thousands)

~~Table of Contents~~

Derivatives Counterparty Current Credit Exposure As of September 30, 2017 (dollars in thousands)

													As of June 30, 2022
Credit Rating ⁽¹⁾	Notional Amount		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged to Counterparty and Variation Margin for Daily Settled Contracts		Non-cash Collateral Pledged to Counterparty		Net Credit Exposure to Counterparties		Credit Rating (1)	Notional Amount		Net Derivatives Fair Value Before Collateral		Cash Collateral Pledged to Counterparty		Non-cash Collateral Pledged to Counterparty		Net Credit Exposure to Counterparties
Asset positions with credit exposure:
Uncleared derivatives
Double-A	$	1,436,900	$	(3,346	)	$	3,635	$	—	$	289
Single-A	1,881,250		(3,003		)	3,345		—		342
Unrated Asset	50,000		56			—		—		56


Liability positions with credit exposure:												Liability positions with credit exposure:
Uncleared derivatives												Uncleared derivatives
Single-A	123,250		(585		)	—		617		32		Single-A	$	21,041,250	$	(941,514)	$	1,003,094	$	—	$	61,580

Cleared derivatives	7,946,814		(20,774		)	68,174		—		47,400		Cleared derivatives	16,587,450		(101,856)		429,378		—		327,522
Total derivative positions with nonmember counterparties to which we had credit exposure	11,438,214		(27,652		)	75,154		617		48,119
Total interest-rate swap positions with nonmember counterparties to which we had credit exposure												Total interest-rate swap positions with nonmember counterparties to which we had credit exposure	37,628,700		(1,043,370)		1,432,472		—		389,102

CO Bond firm commitments												CO Bond firm commitments	20,000		28		—		—		28
Mortgage delivery commitments ⁽²⁾	62,221		76			—		—		76		Mortgage delivery commitments (2)	6,864		108		—		—		108
Total	$	11,500,435	$	(27,576	)	$	75,154	$	617	$	48,195	Total	$	37,655,564	$	(1,043,234)	$	1,432,472	$	—	$	389,238

Derivative positions without credit exposure: ⁽³⁾
Single-A	2,475,000
Triple-B	2,256,555
Total derivative positions without credit exposure	$	4,731,555

_______________________


~~(1)~~	Uncleared derivatives counterparty ratings are obtained from Moody's, Fitch, and S&P. Each rating classification includes all rating levels within that category. If there is a split rating, the lowest rating is used. In the case where the obligations are unconditionally and irrevocably guaranteed, the rating of the guarantor is used.

~~(2)~~

Total fair-value exposures related to commitments to invest in mortgage loans are offset by certain pair-off fees. Commitments to invest in mortgage loans are reflected as derivatives. We do not collateralize these commitments. However, should the participating financial institution fail to deliver the mortgage loans as agreed, the participating financial institution is charged a fee to compensate us for the nonperformance.

~~(3)~~

These represent derivatives positions with counterparties for which we are in a net liability position and for which we have delivered collateral to the counterparty in an amount equal to or less than the net derivative liability, or derivative positions with counterparties for which we are in a net asset position and for which the counterparty has delivered collateral to us in an amount that exceeds our net derivative asset.

(1) Uncleared derivatives counterparty ratings are obtained from Moody's, Fitch, and S&P. Each rating classification includes all rating levels within that category. If there is a split rating, the lowest rating is used. In the case where the obligations are unconditionally and irrevocably guaranteed, the rating of the guarantor or the counterparty is used.

(2) Total fair-value exposures related to commitments to invest in mortgage loans are offset by certain pair-off fees. Commitments to invest in mortgage loans are reflected as derivatives. We do not collateralize these commitments. However, should the participating financial institution fail to deliver the mortgage loans as agreed, the participating financial institution is charged a fee to compensate us for the nonperformance.

For information on our approach to the credit risks arising from our use of derivatives, see Part II — Item 7 — Management’s Discussion

and Analysis and Results of Operations — Financial Condition — Derivative Instruments — Derivative Instruments Credit

Risk in the ~~2016~~2021 Annual Report.

Transition from LIBOR to Alternative Reference Rates

We have exposures to investment securities and derivatives with interest rates indexed to U.S. dollar LIBOR. All of our LIBOR-indexed financial instruments utilize a LIBOR tenor that will either cease to be published or will no longer be representative after June 30, 2023. Table 15 presents our exposure to LIBOR-indexed investment securities and LIBOR-indexed derivatives, at June 30, 2022.

For further details see the following Risk Factors in our 2021 Annual Report: Part I — Item 1A — Risk Factors — Market and Liquidity Risks — Changes to and replacement of the LIBOR benchmark interest rate could adversely affect our business, financial condition, and results of operations; and — We use derivatives to manage interest-rate risk, however, we could be unable to enter into effective derivative instruments on acceptable terms.

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Table 15 - Financial Instruments with LIBOR Exposure at June 30, 2022

(dollars in thousands)


	Terminates in 2022		Due/Terminates in 2023, through June 30		Due/Terminates after June 30, 2023		Total
Assets with LIBOR exposure

Investment securities, par amount by contractual maturity
Non-MBS	$	—	$	—	$	11,350	$	11,350
MBS(1)	—		—		430,851		430,851
Total investment securities	$	—	$	—	$	442,201	$	442,201

LIBOR-indexed interest-rate swaps, notional amount
Receive leg
Cleared	$	5,500	$	12,000	$	25,750	$	43,250
Uncleared(1)	62,500		231,600		241,900		536,000
Total interest-rate swaps, receive leg	$	68,000	$	243,600	$	267,650	$	579,250

Pay leg
Cleared	$	137,220	$	—	$	—	$	137,220

_______________________

(1)Balances are presented according to contractual maturity date and do not reflect scheduled or unscheduled principal repayments of underlying mortgage loans for MBS and do not reflect potential early termination option exercises for uncleared interest-rate swaps.

Table 16 - Variable Rate Financial Instruments by Interest-Rate Index

(dollars in thousands)


	Par Value of Advances		Par Value of Non-MBS Investments		Par Value of MBS		Par Value of CO Bonds
LIBOR	$	—	$	11,350	$	430,851	$	—
SOFR	3,906,500		—		1,380,509		5,507,000
FHLBank discount note auction rate	9,646,021		—		—		—
Constant Maturity Treasury	—		—		30,400		—

Total	$	13,552,521	$	11,350	$	1,841,760	$	5,507,000

LIQUIDITY AND CAPITAL RESOURCES

Our financial structure is designed to enable us to expand and contract our assets, liabilities, and capital in response to changes in membership composition and member credit needs. Our primary source of liquidity is our access to the capital markets through CO issuance, which is described in Part I — Item 1 — Business — Consolidated Obligations of the 2021 Annual Report. Outstanding COs and the condition of the market for COs are discussed below under — Debt Financing — Consolidated Obligations. Our equity capital resources are governed by our capital plan, certain portions of which are described under — Capital below as well as by applicable legal and regulatory requirements.

Liquidity

~~Table of Contents~~

We are required to maintain liquidity in accordance with the FHLBank Act, FHFA regulations and guidance, and policies established by our management and board of directors. We seek to be in a position to meet the credit and liquidity needs of our members and to meet all current and future financial commitments by managing liquidity positions to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand, and the maturity profile of our assets and liabilities.

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We may not be able to predict future trends in member credit needs because they are driven by complex interactions among a number of factors, including members' asset growth or reductions, deposit growth or reductions, and the attractiveness of advances compared to other wholesale borrowing alternatives. We regularly monitor current trends, ~~and~~ anticipate future debt issuance needs and maintain a portfolio of highly liquid assets in an effort to be prepared to fund our members' credit needs and our investment opportunities. ~~Our ability~~We are generally able to expand our ~~balance sheet and corresponding liquidity requirements~~CO debt issuance in response to our members' increased credit needs ~~is correlated to our members' requirements~~ for advances and to increase our acquisitions of mortgage loans. Alternatively, in response to reduced member credit needs, we may allow our COs to mature without replacement, transfer debt to another FHLBank, or repurchase and retire outstanding ~~consolidated obligations,~~COs, or redeem callable COs on eligible redemption dates, allowing our balance sheet to shrink.

As an FHLBank, through our ability to issue COs, we have comparatively stable access to funding through a diverse investor base at relatively favorable spreads to U.S. Treasury rates. For instance, during the financial crisis of 2008, when credit markets experienced their most severe constrictions in 70 years, the FHLBanks’ access to short-term funding was readily available.

Sources and Uses of Liquidity. Our primary sources of liquidity are proceeds from the issuance of COs and advance repayments, and maturing short-term investments, as well as cash and investment holdings that are primarily high-quality, short-, and intermediate-term financial instruments. COs are not obligations of the United States and are not guaranteed by either the United States or any government agency, but have historically received the same credit rating as the government bond credit rating of the United States. As of October 31, 2017, our COs were rated AA+/Aaa (with outlook stable) by S&P and Moody's.

During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2022, we maintained continual access to funding and adapted our debt issuance to meet the needs of our members. ~~During~~

Our primary uses of liquidity are advance originations and consolidated obligation payments. Other uses of liquidity are mortgage loan and investment purchases, dividend payments, general operating expenses, and other contractual payments. We also maintain liquidity to redeem or repurchase excess capital stock, through our daily excess stock repurchases, upon the ~~nine months ended September 30, 2017,~~request of a member or as required under our short-term funding was generally driven by member demand and was achieved through the issuance of discount notes and short-term CO bonds. Access to short-term debt markets has been reliable because investors, driven by increased liquidity preferences and risk aversion, including the effects of money market fund reform, have sought our short-term debt as an asset of choice, which has led to advantageous funding opportunities and increased utilization of debt maturing in one year or less.capital plan.

We may use a portion of the short-term COs issued to fund both short- and long-term floating-rate assets. Funding longer-term floating-rate assets with shorter-term liabilities generally does not expose us to significant interest rate risk because the rates on both the floating-rate assets and liabilities reset similarly (either through rate resets or re-issuance of the obligations). However, deviations in the cost of our short-term liabilities relative to resetting assets can cause fluctuations in our net interest margin. Accordingly, we measure and monitor interest rate risk with commonly used methods and metrics, which include the calculations of market value of equity, duration of equity, duration gap, and earnings at risk. See Item 3 — Quantitative and Qualitative Disclosures About Market Risk for additional information. We have also established funding gap limits designed to limit our exposure to refinancing risk. See Item 2 — Management’s Discussion and Analysis — Liquidity and Capital Resources — Balance Sheet Funding Gap Policy for additional information.

Secondary sources of liquidity include payments collected on mortgage loans, proceeds from the issuance of capital stock, and deposits from members. In addition, ~~by law,~~under the ~~Secretary of~~FHLBank Act, the U.S. Treasury may ~~acquire~~purchase up to $4 billion of ~~COs of~~FHLBank COs. The terms, conditions, and interest rates in such a purchase would be determined by the ~~FHLBanks.~~U.S. Treasury. This authority may be exercised at the discretion of the U.S. Treasury with the agreement of the FHFA only if alternative means cannot be effectively employed to permit members of the FHLBanks to continue to supply reasonable amounts of funds to the mortgage market, and the ability to supply such funds is substantially impaired because of monetary stringency and a high level of interest rates. ~~Any funds borrowed under this process shall be repaid~~There were no such purchases by the ~~FHLBanks at~~U.S. Treasury during the ~~earliest practicable date.~~six months ended June 30, 2022.

~~Our primary uses~~For information and discussion of ~~liquidity are advance originations and consolidated obligation payments. Other uses of liquidity are mortgage loan and investment purchases, dividend payments,~~our guarantees and other ~~contractual payments. We also maintain liquidity to redeem or repurchase excess capital stock, at our discretion, upon~~commitments we may have, see below — Off-Balance-Sheet Arrangements and Aggregate Contractual Obligations. For further information and discussion of the ~~request of a member or under our capital plan.~~joint and several liability for FHLBank COs, see below — Debt Financing— Consolidated Obligations.

Internal Liquidity Sources / Liquidity Management

We have developed a methodology and policies by which we measure and manage the Bank’s short-term liquidity needs based on projected net cash flow and contingent obligations.

~~Table of Contents~~

Projected Net Cash Flow. We define projected net cash flow as projected sources of funds less projected uses of funds based on contractual maturities or expected option exercise periods, and settlement of committed assets and liabilities, as applicable. For mortgage-related cash flows and callable debt, we incorporate projected prepayments and call exercise.

~~Structural Liquidity.~~Liquidity Management Action Trigger. We ~~define structural~~maintain a liquidity asmanagement action trigger pertaining to projected net cash flow: if projected net cash flow ~~(defined above) less assumed secondary uses of funds, for which we assume the following:~~

~~all maturing advances are renewed;~~

~~member overnight deposits are withdrawn at a rate of 50 percent per day;~~

~~outstanding standby letters of credit are drawn down at a rate of 50 percent spread equally over 86 days;~~

~~uncommitted lines of credit are drawn upon at a rate of 10 percent of the previous day's balance; and~~

~~MPF master commitments are funded at a rate of 10 percent of the previous days' total amount on the first day and at a rate of one percent on each day thereafter.~~

The above assumptions for secondary uses of funds are in excess of our ordinary experience, and therefore represent a more stressful scenario than we expect to experience. We review these assumptions periodically.

This methodology for measuring projected net cash flow and structural liquidity has been established by management to monitor our liquidity position on a daily basis, and to help ensure that we meet all of our obligations as they come due and to meet our members' potential demand for liquidity from us in all cases. We may adjust the amount of liquidity maintained as market conditions change from time to time using projected net cash flow and structural liquidity measurements.

~~Liquidity Management Action Triggers.~~ ~~We maintain two liquidity management action triggers:~~

~~if structural liquidity is less than negative $1.0 billion~~falls below zero on or before the ~~fifth business~~21st day following the measurement ~~date; and~~


•	~~if projected net cash flow falls below zero on or before the 21~~^st ~~day following the measurement date.~~

~~We did not exceed either of these thresholds at any time during the nine months ended September 30, 2017. If either of these thresholds is exceeded,~~date, then management of the Bank is notified and determines whether any corrective action is necessary. We did not exceed this threshold at any time during the six months ended June 30, 2022.

~~The following table presents our projected net cash flow and structural liquidity as of September 30, 2017.~~

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Table 17 - Projected Net Cash Flow

(dollars in thousands)

Projected Net Cash Flow and Structural Liquidity
As of September 30, 2017
(dollars in thousands)

5 Business Days 21 Days
Uses of funds
Interest payable $ 11,535
$ 33,804
Maturing liabilities 3,753,100
10,556,879
Committed asset settlements 60,000
60,000
Capital outflow 106,801
106,801
MPF delivery commitments 62,221
62,221
Gross uses of funds 3,993,657
10,819,705

Sources of funds
Interest receivable 42,326
75,273
Maturing or projected amortization of assets 11,495,388
17,135,829
Committed liability settlements 129,793
129,793
Cash and due from banks and interest bearing deposits 256,443
256,443
Other 2,188
2,188
Gross sources of funds 11,926,138
17,599,526

Projected net cash flow 7,932,481
$ 6,779,821

Less: Secondary uses of funds
Deposit runoff 434,124

Drawdown of standby letters of credit and lines of credit 665,557

Rollover of all maturing advances 3,227,244

Projected funding of MPF master commitments 181,558

Total secondary uses of funds 4,508,483

Structural liquidity $ 3,423,998


	As of June 30, 2022
	21 Days
Uses of funds
Interest payable	$	19,592
Maturing liabilities	17,314,643
Committed asset settlements	174,000
Capital outflow	26,921
MPF delivery commitments	6,864
Other	104,284
Gross uses of funds	17,646,304

Sources of funds
Interest receivable	55,062
Maturing or projected amortization of assets	20,493,169
Committed liability settlements	1,762,905
Cash and due from banks and interest bearing deposits	460,803

Gross sources of funds	22,771,939

Projected net cash flow	$	5,125,635

~~Contingency Liquidity.~~

Base Case Liquidity Requirement. The Bank is subject to FHFA ~~regulations require that we hold contingency~~guidance on liquidity, ~~in an amount~~Advisory Bulletin 2018-07 (Liquidity Guidance AB), which communicates the FHFA’s expectations with respect to the maintenance of sufficient liquidity to enable us to ~~cover our operational requirements~~provide advances and letters of credit for members for a ~~minimum of five business days~~specified time without access to the ~~CO debt markets.~~ capital markets or other unsecured funding sources.

The ~~FHFA defines contingency~~Liquidity Guidance AB provides guidance on the level of on-balance sheet liquid assets related to base case liquidity. As part of the base case liquidity ~~as projected sources of funds less uses of funds, excluding reliance on access to~~measure, the ~~CO debt markets and including funding~~guidance also includes a ~~portion of outstanding~~separate provision covering off-balance sheet commitments from standby letters of credit. For this purpose, outstanding standby letters of credit are assumed to be drawn down at a rate of 50 percent spread equally over 86 days following the measurement date. As defined by FHFA regulations, additional contingent sources of liquidity include the following:

~~marketable securities with a maturity greater than one week and less than one year that can be sold;~~

~~self-liquidating assets with a maturity of seven days or less;~~

~~assets that are generally accepted as collateral in the repurchase agreement market, for which we include 50 percent of unencumbered marketable securities with a maturity greater than one year; and~~

~~irrevocable lines of credit from financial institutions rated not lower than the second highest rating category by an NRSRO.~~

~~We complied with this regulatory requirement at all times during the nine months ended~~ ~~September 30, 2017. As of~~ ~~September 30, 2017~~ and December 31, 2016, we held a surplus of $13.5 billion and $13.4 billion, respectively, of contingency liquidity for the following five business days, exclusive of access to the proceeds of CO debt issuance.

~~The following table presents our contingency liquidity as of September 30, 2017.~~

~~Table of Contents~~

Contingency Liquidity
As of September 30, 2017
(dollars in thousands)

5 Business Days
Cumulative uses of funds
Interest payable $ 11,535
Maturing liabilities 3,753,100
Committed asset settlements 60,000
Drawdown of standby letters of credit 146,088
Gross uses of funds 3,970,723

Cumulative sources of funds
Interest receivable 42,326
Maturing or amortizing advances 3,227,245
Committed liability settlements 129,793
Other 2,188
Gross sources of funds 3,401,552

Plus: sources of contingency liquidity
Marketable securities 1,310,109
Self-liquidating assets 8,249,000
Cash and due from banks and interest bearing deposits 256,443
Marketable securities available for repo 4,264,475
Total sources of contingency liquidity 14,080,027

Net contingency liquidity $ 13,510,856

~~Additional Liquidity Requirements.~~ The FHFA requires us to have available at all times an amount greater than or equal to the current deposits received from our members invested in advances with maturities not to exceed five years, deposits in banks or trust companies, and obligations of the U.S. Treasury. The FHFA also requires us to maintain, in the aggregate, qualifying assets free from any lien or pledge in an amount at least equal to the amount of our participation in total COs outstanding.

In addition, ~~certain FHFA~~the Liquidity Guidance AB provides guidance ~~requires us~~related to ~~maintain sufficient liquidity through short-term investments in an amount at least equal~~asset/liability maturity funding gap limits.

Under the Liquidity Guidance AB, FHLBanks are required to ~~our anticipated~~hold positive cash ~~outflows under two different scenarios.~~

~~The first scenario assumes that we cannot borrow funds from the~~flow while rolling over maturing advances to all members and assuming no access to capital markets for a period of time between 10 ~~to 20~~and 30 calendar days, with a specific measurement period set forth in a supervisory letter. The Liquidity Guidance AB also sets forth the initial cash flow assumptions and formula to calculate base case liquidity. With respect to standby letters of credit, the guidance ~~set at 15 business days, and~~states that ~~during that time we do not renew any maturing, prepaid, and put or called advances.~~

~~The second scenario assumes that we cannot raise funds in the capital markets for~~FHLBanks should maintain a ~~period~~liquidity reserve of between ~~three to seven days,~~one percent and 20 percent of its outstanding standby letters of credit commitments, as specified in a supervisory letter.

During the six months ended June 30, 2022, we were out of compliance with ~~initial guidance set at five business days,~~the Base Case Liquidity Requirement for one day and ~~that during that period we will renew maturing and called advances for all members except very large, highly rated members.~~

~~We were~~ in compliance ~~with these liquidity requirements at all times during the nine months ended September 30, 2017.~~each other day.

We are focused on maintaining a liquidity and funding balance between our financial assets and financial liabilities. The FHLBanks work collectively to manage the System-wide liquidity and funding management and the FHLBanks jointly monitor the System’s collective risk arising out of an inability to fully access the capital markets to fund our obligations. In managing and monitoring the amounts of assets that require refunding, we consider contractual maturities of our financial assets, as well as certain assumptions regarding expected cash flows (i.e. estimated prepayments and scheduled amortizations) and other factors in our discretion.

~~Table of Contents~~

Balance Sheet Funding Gap Policy. ~~The~~We may use a portion of the short-term COs issued to fund assets with longer terms, including longer-term floating-rate assets. Funding longer-term floating-rate assets with shorter-term liabilities generally does not expose us to significant interest-rate risk because the interest rates on both the floating-rate assets and liabilities typically reset similarly (either through rate resets or re-issuance of the obligations). However, deviations in the cost of our short-term liabilities relative to resetting assets can cause fluctuations in our net interest margin.

Additionally, the Bank is exposed to refinancing risk ~~due to the fact that~~since, over certain time horizons, it has more liabilities than assets maturing. ~~To adequately fund assets the maturing liabilities must be replaced by new liabilities at potentially higher cost, putting spread margin at risk.~~ In order to manage the Bank’s refinancing risk, we ~~maintain an appropriate funding balance between financial assets and financial liabilities and~~ maintain a policy that limits the potential difference between the amount of financial assets and the amount of financial liabilities expected to mature within three-month and one-year time horizons inclusive of projected mortgage-related prepayment ~~and call~~ activity. We measure this difference, or gap, as a percentage of total assets under two ~~alternative formats. One funding gap format effectively assumes that all floating rate advances indexed to~~different measurement horizons - three months and one year. In conformity with the discount note auction rate that both mature beyond the three-month or one-year time horizon and are prepayable without fees on coupon reset dates mature within the three-month or one-year time horizon; this assumption results in an adjustment that reduces the funding gap measurement. (Such advances are not subject to margin compression because the costprovisions of the ~~refinanced debt defines~~

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Liquidity Guidance AB, the ~~reset rate on the advance coupon.) The other funding gap format includes no such adjustment. The~~ Bank has instituted a limit and management action trigger framework around these metrics as follows:

Table 18 - Funding Gap Metric


Funding Gap Metric (1)	Limit	Management Action Trigger	Three-Month Average June 30, 2022		Three-Month Average December 31, 2021
3-month Funding Gap	15%	13%	3.4	%	(8.2)	%
1-year Funding Gap	30%	25%	9.4	%	(0.5)	%

_______________________

Funding Gap Metric ⁽¹⁾
Limit Management Action Trigger Actual as of September 30, 2017
3-month Funding Gap
No Adjustment for Floating Rate Advances Indexed to Discount Note Auction 35% 25% 9.1 %
Floating Rate Advances Indexed to Discount Note Auction assumed to have less than three-month maturity 20% 10% (0.3 )%

1-year Funding Gap
No Adjustment for Floating Rate Advances Indexed to Discount Note Auction 35% 25% 14.2 %
Floating Rate Advances Indexed to Discount Note Auction assumed to have less than one-year maturity 20% 10% 5.0 %

~~_______________________~~


~~(1)~~	~~The funding gap metric is a positive value when maturing liabilities exceed maturing assets, as defined, within the given time period.~~

(1) The funding gap metric is a positive value when maturing liabilities exceed maturing assets, as defined, within the given time period. Compliance with Limits and Management Action Triggers are evaluated against the rolling three-month average of the month-end funding gaps.

~~Funding Concentration Policy~~. To limit the liquidity risk potentially associated with a high volume of short-term debt refinancing, we have adopted a funding concentration policy that limits the volume of discount notes outstanding as a proportion of total assets, effective March 24, 2017. The policy establishes a management action trigger when discount notes (excluding the amount of discount notes matched to short-term advances) exceed 40 percent of total assets. In addition, we have adopted a separate management action trigger that is triggered when total discount notes exceed 50 percent of assets. Finally, discount notes are limited to no more than 65 percent of total assets.

External Sources of Liquidity

Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement. We have a source of emergency external liquidity through the Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement as discussed in Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — External Sources of Liquidity in the 2016 Annual Report.Agreement. Under the terms of that agreement, in the event we do not fund ~~our~~ principal and interest payments ~~under a~~due with respect to any CO byfor which issuance proceeds were allocated to us within deadlines established in the agreement, the other FHLBanks will be obligated to fund any shortfall to the extent that any of the other FHLBanks has a net positive settlement balance (that is, the amount by which end-of-day proceeds received by such FHLBank from the sale of COs on that day exceeds payments by such FHLBank on COs on the same day) in its account with the Office of Finance on the day the shortfall occurs. We would then be required to repay the funding to the other FHLBanks. We have never drawn funding under this agreement, nor have we ever been required to provide funding to another FHLBank under this agreement.

Debt Financing — Consolidated Obligations

At ~~September~~June 30, ~~2017,~~2022, and December 31, ~~2016,~~2021, outstanding COs for which we are primarily liable, including both CO bonds and CO discount notes, totaled ~~$56.5~~$57.8 billion and ~~$57.2~~$28.9 billion, respectively.

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CO bonds outstanding for which we are primarily liable at June 30, 2022, and December 31, 2021, include issued callable bonds totaling ~~$4.0~~$20.7 billion and ~~$4.7~~$12.8 billion, ~~at September 30, 2017, and December 31, 2016,~~ respectively.

CO discount notes comprised ~~49.6~~43.4 percent and ~~52.5~~7.9 percent of the outstanding COs for which we are primarily liable at ~~September~~June 30, ~~2017,~~2022, and December 31, ~~2016,~~2021, respectively, but accounted for ~~94.1~~92.1 percent and ~~88.1~~93.9 percent of the proceeds from the issuance of such COs during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2022 and ~~2016~~,2021, respectively.

~~Financial Conditions for Consolidated Obligations~~

Overall, we ~~have experienced relatively low CO issuance costs during the period covered by this report, reflecting~~ continued ~~high~~to experience strong demand for ~~all tenors of~~ COs ~~with the strongest demand for short-term COs.~~among investors. We have been able to issue debt in the amounts and structures required to meet our funding and risk-management needs. ~~We note that capacity among our CO underwriters has been occasionally somewhat constrained as a result~~For most of the ~~imposition of higher capital requirements on many of our underwriters. So far,~~period covered by this ~~development has not impeded our ability to meet our funding needs. Throughout the third quarter of 2017,~~report, COs were issued at yields that were ~~generally~~historically competitive versus those of comparable-term U.S. Treasury securities. COs continue to be issued at yields that are at or ~~below equivalent-maturity LIBOR swap yields~~lower than SOFR for ~~debt maturing in less than five years, while longer-term issues bore funding costs that were typically higher than equivalent maturity LIBOR swap yields. During~~comparable short-term maturities. However, periodic threats of Congressional failure to raise the ~~period covered by this report, CO yields generally moved with U.S. dollar interest rate swaps and comparable~~ U.S. Treasury ~~yields, though minor spread fluctuations occurred between these series. We believe that~~debt ceiling raise the ~~market’s reaction to recent~~potential for defaults on U.S. Treasury debt, which could have impacts on demand for and ~~expected changes in FOMC monetary policies, including the decision to reduce the~~pricing of CO debt.

The Federal Reserve’s ~~holdings~~recent signaling of inflation concerns and potential changes to its repurchase agreement offerings, purchases of U.S. Treasury ~~obligations~~securities and U.S. Agency mortgage-backed securities, isas well as the previous establishment of liquidity facilities, are potentially an important ~~factor~~factors that could continue to shape investor demand for debt, including ~~COs, for~~COs. Moreover, increases in U.S. Treasury security issuance in response to higher fiscal deficits following fiscal stimulus programs underlying the ~~remainder~~CARES Act, American Rescue Plan Act, and any similar future legislation or any change or roll back of ~~2017.~~regulations governing money market investors may also have an impact on our funding costs.

Capital

Total capital at ~~September~~June 30, ~~2017, and~~2022, was $2.9 billion compared with $2.5 billion at ~~year end 2016 was $3.2~~year-end 2021.

Capital stock increased by $603.6 million during the six months ended June 30, 2022, resulting from the issuance of $2.1 billion of capital stock offset by capital stock repurchases of $1.4 billion.

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The FHLBank Act and FHFA regulations specify that each FHLBank is required to satisfy certain minimum regulatory capital requirements. We were in compliance with these requirements at ~~September~~June 30, ~~2017,~~2022, as discussed inPart 1— Item 1 — Notes to the Financial Statements — Note 1510 — Capital.

~~Subject to applicable law, following the expiry~~Table 19 - Mandatorily Redeemable Capital Stock by Expiry of the stock redemption period (which is five years for Class B stock), we redeem capital stock for any member that requests redemption of its excess stock, gives notice of intent to withdraw from membership, or becomes a nonmember due to merger, acquisition, charter termination, or involuntary termination of membership. Capital stock subject to a stock redemption period is reclassified toRedemption Notice Period

(dollars in thousands)


	June 30, 2022		December 31, 2021
Past redemption date (1)	$	3,086	$	3,138
Due in one year or less	—		92
Due after one year through two years	59		30
Due after two years through three years	435		—
Due after three years through four years	689		581
Due after four years through five years	6,434		9,721

Total	$	10,703	$	13,562

_______________________

(1) Amount represents mandatorily redeemable capital stock inthat has reached the ~~liability section~~end of the statement of condition. Mandatorily redeemable capital stock totaled $36.0 million and $32.7 million at September 30, 2017, and December 31, 2016, respectively. For additional information on the redemption of our capital stock, see Item 1 — Business — Capital Resources — Redemption of Excess Stock and Item 8 — Financial Statements and Supplementary Data —Notes to the Financial Statements — Note 1 — Summary of Significant Accounting Policies — Mandatorily Redeemable Capital Stock in the 2016 Annual Report.

~~The following table sets forth the amount of mandatorily redeemable capital stock by year of expiry of the~~five-year redemption-notice period ~~at September 30, 2017, and December 31, 2016 (dollars in thousands).~~but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding.

Expiry of Redemption-Notice Period September 30, 2017 December 31, 2016
Past redemption date ⁽¹⁾
$ 420
$ 528
Due in one year or less 4,138
—
Due after one year through two years 128
4,687
Due after two years through three years 27,304
27,378
Due after three years through four years —
54
Due after four years through five years 4,022
—
Thereafter ⁽²⁾
30
40
Total $ 36,042
$ 32,687

~~_______________________~~


~~(1)~~	Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding.

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~~(2)~~

Amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, will have their memberships terminated no later than February 19, 2021. Captive insurance company members that were admitted as members on or after September 12, 2014, had their memberships terminated prior to February 19, 2017.

Capital Rule

The ~~FHFA's~~FHFA’s regulation on FHLBank capital classification and critical capital levels (the Capital Rule), among other things, establishes criteria for four capital classifications and corrective action requirements for FHLBanks that are classified in any classification other than adequately capitalized. The Capital Rule requires the Director of the FHFA to determine on no less than a quarterly basis the capital classification of each FHLBank. By letter dated ~~September 18, 2017,~~March 29, 2022, the Director of the FHFA notified us that, based on ~~June 30, 2017~~December 31, 2021 financial information, we met the definition of adequately capitalized under the Capital Rule.

For additional information on the Capital Rule, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — Capital — Capital Rule in the 2016 Annual Report.

Internal Capital Practices and Policies

We also take steps as we believe prudent beyond legal or regulatory requirements in an effort to ~~protect our~~ensure capital adequacy, reflected in our ~~targeted capital ratio operating range,~~ internal minimum capital requirement, ~~in excess of~~which exceeds regulatory requirements, our minimum retained earnings target, and limitations on ~~dividends. For information on~~ our minimum retained earnings target, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — Internal Capital Practices and Policies — Retained Earnings and the Minimum Retained Earnings Target in the 2016 Annual Report and, for information on limitations on dividends, see Item 5 — Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities in the 2016 Annual Report.

~~Targeted Capital Ratio Operating Range~~

dividends.

~~We target an operating capital ratio range as required by FHFA regulations. Currently, this range is set at 4.0 percent to 7.5 percent. Our capital ratio was~~
~~5.9 percent~~ at ~~September 30, 2017~~.

Internal Minimum Capital Requirement in Excess of Regulatory Requirements

To provide ~~further~~ protection for our capital base, we maintain an internal minimum capital requirement whereby the amount of paid-in capital stock and retained earnings (together, our actual regulatory capital) must be at least equal to the sum of ~~four~~4 percent of our total assets plus an amount we measure as our risk exposure with 99 percent confidence using our economic capital model (together, our internal minimum capital requirement). As of ~~September~~June 30, ~~2017,~~2022, this internal minimum capital requirement equaled $3.0 billion, which was satisfied by our actual regulatory capital of ~~$3.6~~$3.2 billion.

~~Reduction~~Minimum Retained Earnings Target

At June 30, 2022, we had total retained earnings of ~~Activity-Based Stock Investment Requirement~~$1.6 billion compared with our minimum retained earnings target of $700.0 million. We generally view our minimum retained earnings target as a floor for retained earnings rather than as a retained earnings limit and expect to continue to grow our retained earnings modestly even though we exceed the target.

~~On April 18, 2017,~~For information on limitations on dividends, including limitations when we ~~announced that we would reduce~~are under our minimum retained earnings target, see Part II — Item 5 — Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities in the activity-based stock investment requirement (ABSIR) for advances with original maturities of more than three months from 4.5 percent to 4.0 percent. On May 1, 2017, we provided written notice to shareholders of the effective date of this change, which is the close of business on May 31, 2017. We reduced our ABSIR in an effort to gain efficiency in our capital structure, as we currently exceed internal and regulatory minimum capital requirements.2021 Annual Report.

Repurchases of Excess Stock

We have the authority, but are not ~~obligated,~~obliged, to repurchase excess stock, as discussed under Part I — Item 1 — Business — Capital Resources — Repurchase of Excess Stock in the ~~2016~~2021 Annual ~~Report~~Report.

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Table 20 - Capital Stock Requirements and Excess Capital Stock

(dollars in thousands)


	Membership Stock Investment Requirement(1)		Activity-Based Stock Investment Requirement		Total Stock Investment Requirement (2)		Outstanding Class B Capital Stock (3)		Excess Class B Capital Stock
June 30, 2022	$	316,280	$	1,224,724	$	1,541,026	$	1,567,947	$	26,921
December 31, 2021	429,353		505,264		934,638		967,200		32,562

_______________________

(1)Pursuant to our Capital Plan of the Federal Home Loan Bank of Boston Amended and Restated as ~~further discussed below under Liquidity and Capital Resources — Internal Capital Practices and Policies — Repurchase~~ of ~~Excess Stock. At September 30, 2017, and~~ December 31, ~~2016, excess~~2021, the membership stock investment requirement changed from 0.20 percent of the Membership Stock Investment Base to 0.05 percent of total assets. The change was intended to reduce the aggregate membership stock investment requirement.

(2)Total stock investment requirement is rounded up to the nearest $100 on an individual member basis.

(3)Class B capital stock ~~totaled $106.8 million~~outstanding includes mandatorily redeemable capital stock.

To facilitate our ability to maintain a prudent level of capitalization and ~~$78.3 million, respectively, as set forth in the following table (dollars in thousands):~~

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Membership Stock
Investment
Requirement

Activity-Based
Stock Investment
Requirement

Total Stock
Investment
Requirement ⁽¹⁾

Outstanding Class B
Capital Stock ⁽²⁾

Excess Class B
Capital Stock
September 30, 2017 $ 700,811
$ 1,501,056
$ 2,201,889
$ 2,308,690
$ 106,801
December 31, 2016 670,301
1,695,397
2,365,720
2,443,993
78,273

~~_______________________~~


~~(1)~~	~~Total stock Investment Requirement is rounded up to the nearest $100 on an individual member basis.~~


~~(2)~~	~~Class B capital stock outstanding includes mandatorily redeemable capital stock.~~

~~On April 3, 2017, we conducted a partial repurchase~~an efficient capital structure, while providing for an equitable allocation of excess ~~capital~~ stock ~~under the Excess Stock Management Program. This excess stock repurchase transaction was initiated in response to the decline in advances that~~ownership among members, we ~~experienced during the quarter ending March 31, 2017.~~

On May 1, 2017, we provided a notice to our shareholders that we would replace our existing system of making periodic repurchases of excess capital stock when aggregate excess stock balances exceeded $200 million. We announced that on June 1, 2017, we would beginconduct daily repurchases of excess stock ~~held by~~from any shareholder whose excess stock exceeds the lesser of ~~$10.0~~$3 million or 25 percent of the shareholder's total stock investment requirement, subject to a minimum repurchase of $100,000. On July 27, 2017, we announced that effective on August 11, 2017, we would change the calculation that determines whether a shareholder’s excess stock balances will be subject to a daily repurchase of excess stock. We announced that beginning on August 11, 2017, we would repurchase excess stock held by any shareholder whose excess stock exceeds the lesser of $10.0 million or 103 percent of the shareholder’s total stock investment requirement, subject to athe minimum repurchase of $100,000. We plan to continue with this practice, subject to regulatory requirements and our anticipated liquidity or capital management needs, although continued repurchases remain at our sole discretion, and we retain authority to make adjustments to our excess stock repurchase practices subject to notice requirements defined in our Capital Plan, or to suspend repurchases of excess stock from any shareholder or all shareholders without prior notice.

~~Excess stock repurchases for~~Restricted Retained Earnings

At June 30, 2022, our total required contribution to the ~~three months~~restricted retained earnings account was $421.4 million compared with our total contribution of $376.6 million. Due to the increase in the average balance of consolidated obligations during the quarter ended ~~September~~June 30, ~~2017 amounted~~2022, we contributed $8.2 million of second quarter 2022 net income to ~~$343.6 million, and for~~restricted retained earnings. No allocation of net income was made to restricted retained earnings in the ~~nine months ended September 30, 2017 amounted to $861.4 million.~~first quarter of 2022.

Off-Balance-Sheet Arrangements ~~and Aggregate Contractual Obligations~~

Our significant off-balance-sheet arrangements consist of the following:

•commitments that obligate us for additional advances;


•	~~standby letters of credit;~~


•	~~commitments for unused lines-of-credit advances; and~~


•	~~unsettled COs.~~

• standby letters of credit;

• commitments for unused lines-of-credit advances; and

• unsettled COs.

Off-balance-sheet arrangements are more fully discussed in Item 81 — Financial Statements ~~and Supplementary Data~~ — Notes to the Financial Statements — Note 1913 — Commitments and Contingencies ~~in the 2016 Annual Report.~~.

CRITICAL ACCOUNTING ESTIMATES

The preparation of financial statements in accordance with GAAP requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities (if applicable), and the reported amounts of income and expenses during the reported periods. Although management believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.

We have identified ~~five~~three accounting estimates that we believe are critical because they require us to make subjective or complex judgments about matters that are inherently uncertain, and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These estimates include accounting for derivatives, the use of fair-value estimates, and accounting for deferred premiums and discounts on prepayable ~~assets, the allowance for loan losses, and other-than-temporary-impairment of investment securities.~~assets. The Audit Committee of our board of directors has reviewed these estimates. The assumptions involved in applying these policies are discussed in

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Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Estimates in the ~~2016~~2021 Annual Report.

As of ~~September~~June 30, ~~2017,~~2022, we have not made any significant changes to the estimates and assumptions used in applying our critical accounting policies and estimates from those used to prepare our audited financial statements.

RECENT ACCOUNTING DEVELOPMENTS

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See Item 1 ~~—Notes~~— Financial Statements — Notes to the Financial Statements — Note 32 — Recently Issued and Adopted Accounting Guidance for a discussion of recent accounting developments impacting or that could impact us.

LEGISLATIVE AND REGULATORY DEVELOPMENTS

~~Recent~~We summarize certain significant legislative and regulatory actions and related developments ~~are summarized~~for the period covered by this

report below.

~~Information Security Management Advisory Bulletin.~~FHFA Director’s Testimony to House Committee on Financial Services. On ~~September 28, 2017,~~July 20, 2022, FHFA Director Sandra Thompson gave testimony to the House Financial Services Committee indicating that the FHFA ~~issued an Advisory Bulletin~~intends to review the FHLBank System. Director Thompson’s testimony indicated that supersedes previous guidance on an FHLBank’s information security program. The Advisory Bulletin describes three main components of an information security program and provides the expectation that each FHLBank will use a risk-based approach to implement its information security program. The Advisory Bulletin contains expectations related to (i) governance, including guidance related to roles and responsibilities, risk assessments, industry standards, and cyber-insurance; (ii) engineering and architecture, including guidance on network security, software security, and security of endpoints; and (iii) operations, including guidance on continuous monitoring, vulnerability management, baseline configuration, asset life cycle, awareness and training, incident response and recovery, user access management, data classification and protection, oversight of third parties, and threat intelligence sharing.

~~We do not expect this advisory bulletin to materially affect our financial condition or results of operations.~~

~~Minority and Women Inclusion.On July 25, 2017,~~ the FHFA ~~published~~plans to engage a ~~final rule, effective August 24, 2017, amending its Minority and Women Inclusion regulations~~variety of stakeholders in addition to ~~clarify~~holding public listening sessions throughout the ~~scope~~country as part of the ~~FHLBanks’ obligation to promote diversity and ensure inclusion.~~review. The final rule updates the existing FHFA regulations aimed at promoting diversity and the inclusion and use of minorities, women, and individuals with disabilities, and the businesses they own (MWDOB) in all FHLBank business and activities, including management, employment, and contracting. The final rule:

requires the FHLBanks to develop standalone diversity and inclusion strategic plans or incorporate diversity and inclusion into their existing strategic planning processes and adopt strategies for promoting diversity and ensuring inclusion;

~~encourages the FHLBanks to expand contracting opportunities for minorities, women, and individuals with disabilities through subcontracting arrangements;~~

~~requires the FHLBanks to develop policies that address reasonable accommodations for employees to observe their religious beliefs;~~

~~requires the FHLBanks to amend their policies on equal opportunity in employment by adding sexual orientation, gender identity, and status as a parent to the list of protected classifications;~~

requires the FHLBanks to provide information in their annual reports to the FHFA about their efforts to advance diversity and inclusion through financial transactions, identification of ways in which FHLBanks might be able to improve MWDOB business with the FHLBank by enhancing customer access by MWDOB businesses, including through its affordable housing and community investment programs and strategies for promoting the diversity of supervisors and managers; and

~~requires the FHLBanks to classify and provide additional data in their annual reports about the number of and amounts paid under its contracts with MWDOB.~~

We do not expect this final rule to materially affect our financial condition or results of operations, but anticipate that it may result in increased compliance costs and substantially increase the amount of tracking, monitoring, and reporting that would be required of us.

~~FHLBank Capital Requirements.~~ On July 3, 2017, the FHFA published a proposed rule to adopt, with amendments, the regulations of the Federal Housing Finance Board (predecessor to the FHFA) pertaining to the capital requirements for the FHLBanks. The proposed rule would carry over most of the existing regulations without material change but would substantively revise the credit risk component of the risk-based capital requirement, as well as the limitations on extensions of unsecured credit. The main revisions would remove requirementsDirector’s testimony also indicated that the ~~FHLBanks calculate credit risk capital charges~~review would examine matters ranging from the System’s membership base, operational efficiency, and ~~unsecured credit limits based on ratings issued by a NRSRO,~~effectiveness to more foundational questions about its mission, purpose, and instead, require that the FHLBanks establish and use their own internal rating methodology. With respect to derivatives, the proposed rule would impose a capital charge for cleared derivatives, to align with the Dodd-Frank Act’s clearing mandate. The proposed rule also would revise the percentages used in the regulation’s tables to calculate credit risk capital charges for advances and for non-mortgage assets. The FHFA proposes to retain, for now, the percentages used in the tables to calculate capital charges for mortgage-related assets, and to address the methodology for residential mortgage assets at a later date. While a March 2009 regulatory directive pertaining to certain

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liquidity matters will remain in place, the FHFA also proposes to rescind certain minimum regulatory liquidity requirements for the FHLBanks and address these liquidity requirements in a separate rulemaking.

We submitted a joint comment letter with the other FHLBanks on August 31, 2017. We are continuing to evaluate the proposed rule but do not expect this rule, if adopted in final form, to materially affect our financial condition or results of operations.

~~Other Significant Developments~~

~~Mandatory Contractual Stay Requirements for Qualified Financial Contracts (QFCs).~~ On September 12, 2017, the Federal Reserve Board (FRB) published a final rule, effective November 13, 2017, requiring certain global systemically important banking institutions (GSIBs) regulated by the FRB to amend their covered qualified financial contracts (QFCs) to limit a counterparty’s immediate termination or exercise of default rights under the QFCs in the event of bankruptcy or receivership of the GSIB or an affiliate of the GSIB. Covered QFCs include derivatives, repurchase agreements (known as repos) and reverse repos, and securities lending and borrowing agreements. On September 27, 2017, the Federal Deposit Insurance Corporation (FDIC) adopted a substantively identical final rule, effective January 1, 2018, with respect to QFCs entered into with certain FDIC-supervised institutions.

Although we are not a covered entity under these rules, as a counterparty to covered entities under QFCs, we may be required to amend QFCs entered into with FRB-regulated GSIBs or applicable FDIC-supervised institutions. These rules may impact our ability to terminate business relationships with covered entities and could adversely impact the amount we recover in the event of the bankruptcy or receivership of a covered entity. We do not expect these final rules to materially affect our financial condition or results of operations.

~~LIBOR.~~ On July 27, 2017, the United Kingdom’s Financial Conduct Authority (FCA), which regulates LIBOR, announced its intention to stop persuading or compelling the group of major banks that sustains LIBOR to submit rate quotations after 2021. Previously, the FRB had convened the Alternative Reference Rates Committee (ARRC) to identify a set of alternative reference interest rates for possible use as market benchmarks. In June 2017, the ARRC recommended an alternative reference rate, and in August 2017, the FRB requested public comment on a proposal to begin publishing that rate and two other alternative rates beginning in 2018. Other financial services regulators and industry groups are evaluating the possible phase-out of LIBOR and the development of alternative interest rate indices or reference rates. As noted throughout this report, many of our assets and liabilities are indexed to LIBOR.organization. At this time, it is not possible to ~~predict~~determine when these events will occur, whether ~~LIBOR~~any actions will ~~cease~~result from them, and how they will ultimately impact us or the FHLBank System as a whole.

Amendments to FINRA Rule 4210: Margining of Covered Agency Transactions. On July 29, 2022, the Financial Industries Regulatory Authority (FINRA) filed a proposed rule with the SEC that would extend the implementation date of its amendments to FINRA Rule 4210 delaying the effectiveness of margining requirements for covered agency transactions from October 26, 2022 until at least April 24, 2023. Once the margining requirements are effective, we may be required to collateralize our transactions that are covered agency transactions, which include to be ~~available after 2021 or what~~announced transactions (TBAs). These collateralization requirements could have the ~~anticipated impact~~effect of ~~these developments will be~~reducing the overall profitability of engaging in covered agency transactions, including TBAs. We do not expect this rule to have a material effect on our ~~business,~~financial condition or results of ~~operations~~operations.

LIBOR Transition

Proposed Rule Implementing the Adjustable Interest Rate (LIBOR) Act. On July 28, 2022, the Board of Governors of the Federal Reserve System (the Board) published a proposed rule with a comment deadline of August 29, 2022, that would implement the Adjustable Interest Rate (LIBOR) Act (the Act). The proposed rule would provide default rules for certain contracts (covered contracts) that: reference LIBOR, are governed by U.S. law, do not mature on or before the LIBOR replacement date of June 30, 2023, and lack adequate provisions to identify a replacement rate for LIBOR. The proposed rule identifies separate Board-selected replacement rates for derivatives transactions, covered GSE contracts, and all other covered contracts. The proposed rule defines covered GSE contracts to include FHLBank advances. Accordingly, we continue to take steps to mitigate the risks that arise from the phase out of LIBOR, which includes reviewing the proposed rule, but are not yet able to predict the extent to which the proposed rule would impact our financial ~~condition.~~condition or results of operations.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Sources and Types of Market and Interest-Rate Risk

Our balance sheet is comprised of different portfolios that require different types of market- and interest-rate-risk management strategies. The majority of our balance sheet is comprised of assets that can be funded individually or collectively without imposing significant residual interest-rate risk on ourselves. Sources and types of market and interest-rate risk are described in Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Sources and Types of Market and Interest-Rate Risk in the ~~2016~~2021 Annual Report.

Strategies to Manage Market and Interest-Rate Risk

General

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We use various strategies and techniques in an effort to manage our market and interest-rate risk including the following and combinations of the following:

•the issuance of COs that can be used to match interest-rate-risk exposures of our assets (at ~~September~~June 30, ~~2017,~~2022, fixed-rate noncallable debt, not hedged by interest-rate swaps, amounted to ~~$15.1~~$6.9 billion, compared with ~~$13.5~~$8.4 billion at December 31, ~~2016)~~2021);

•the ~~use~~issuance of ~~derivatives and/or~~ COs with embedded call options to ~~hedge the~~mitigate interest-rate ~~risk~~and prepayment risks of our ~~debt~~mortgage loans and certain MBS (at ~~September~~June 30, ~~2017,~~2022, and December 31, 2021, fixed-rate callable debt not hedged by interest-rate swaps amounted to ~~$897.0~~$595.0 million ~~compared with $667.0~~and $520.0 million, ~~at December 31, 2016)~~respectively);

•the issuance of CO bonds together with interest-rate swaps (either cleared if no optionality or uncleared if containing optionality) that receive a coupon rate that offsets the bond coupon rate and any optionality embedded in the bond, thereby effectively creating a floating-rate liability (total CO bond debt used in

~~Table of Contents~~

conjunction with interest-rate-exchange agreements was ~~$5.9~~$20.6 billion, or ~~20.8~~61.2 percent of our total outstanding CO bonds at ~~September~~June 30, ~~2017,~~2022, compared with ~~$7.6~~$13.0 billion, or ~~28.1~~48.6 percent of total outstanding CO bonds, at December 31, ~~2016)~~2021);

•the issuance of advances together with interest-rate swaps that pay a coupon rate that offsets the advance coupon rate and any optionality embedded in the advance, thereby effectively creating a floating-rate asset (total advances used in conjunction with interest-rate-exchange agreements, including both fair-value hedge relationships and economic hedge relationships, was $2.9 billion, or 9.7 percent of our total outstanding advances at June 30, 2022, compared with $3.0 billion, or 24.6 percent of total outstanding advances, at December 31, 2021);

•the purchase of available-for-sale securities together with interest-rate swaps that pay a coupon rate that offsets the security’s coupon rate, thereby effectively creating a floating-rate asset (total available-for-sale securities used in conjunction with interest-rate-exchange agreements was $12.6 billion, or 86.4 percent of our total outstanding available-for-sale securities at June 30, 2022, compared with $10.8 billion, or 85.2 percent of total outstanding available-for-sale securities, at December 31, 2021);

•contractual provisions for certain advances that require borrowers to pay us prepayment fees, to make us financially indifferent if the borrower prepays such advances prior to maturity; and

•the use of ~~callable debt for a portion of our investments in mortgage loans~~derivatives to ~~manage~~hedge the interest-rate risk of anticipated future CO debt issuance (at both June 30, 2022 and ~~prepayment risks from these investments.~~December 31, 2021, forward starting interest-rate swaps hedging the anticipated future issuance of CO debt was $1.4 billion).

~~Each of the foregoing~~Our strategies and techniques isare more fully discussed under Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Strategies to Manage Market and Interest-Rate Risk in the ~~2016~~2021 Annual Report.

Measurement of Market and Interest-Rate Risk and Related Policy Constraints

We measure our exposure to market and interest-rate risk using several techniques applied to the balance sheet and to certain portfolios within the balance sheet. Principal among these measurements as applied to the balance sheet is the potential ~~future~~ change in market value of equity (MVE) and interest income due to potential changes in interest rates, interest-rate volatility, spreads, and market prices. We also measure ~~Value at Risk (VaR),~~VaR, duration of equity, ~~convexity,~~MVE sensitivity, and the other metrics discussed below.

MVE is the net economic value of total assets and liabilities, including any ~~off-balance-sheet items.~~derivative transactions. In contrast to the GAAP-based shareholder's equity account, MVE represents the shareholder's equity account in present-value terms. Specifically, MVE equals the difference between the estimated market value of our assets and the estimated market value of our ~~liabilities.~~liabilities, net of derivative transactions.

MVE, and in particular, the ratio of MVE to the book value of equity (BVE), is a measure of the current value of shareholder investment based on market rates, spreads, prices, and volatility at the reporting date. However, these valuations may not be fully representative of future realized prices. Valuations are based on market ~~curves~~yields and prices of individual assets, liabilities, and derivatives, and therefore embed elements of option, credit, and liquidity risk which may not be representative of future net income to be earned from the spread between asset yields and funding costs. Further, MVE does not consider future new business activities, or income or expense derived from sources other than financial assets or liabilities. For purposes of measuring this ratio, the BVE is equal to the par value of capital stock including mandatorily redeemable capital stock, retained earnings, and accumulated other comprehensive income.

We measure our exposure to market and interest-rate risk using several metrics, including:

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•the ratio of MVE to BVE;

•the ratio of MVE to the par value of our Class B Stock (Par Stock), which we refer to as the MVE to Par Stock ratio;

•the ratio of MVE to the market value of assets, which we refer to as the economic capital ratio;

•VaR, which measures the potential change in our MVE, ~~to a 99th percent confidence interval,~~ based on a set of stress scenarios (VaR Stress Scenarios) using ~~historical~~historically based interest-rate, volatility and ~~volatility~~Option Adjusted Spread (OAS) movements ~~that have been observed over six-month intervals~~ starting at the most recent month-end and going back monthly to ~~1992;~~1998. For risk-based capital purposes and compliance with our internal management action trigger, VaR is reported as the average of the 5 worst case scenarios.

•duration of equity, which is calculated as the estimated percentage change to MVE for a 100 basis point parallel shift in rates;

•MVE sensitivity, which is the estimated percent change in MVE in various shocked interest rate scenarios ~~vs.~~versus base case MVE;

•the duration gap of our assets and liabilities, which is the difference between the estimated durations (percentage change in market value for a 100 basis point shift in rates) of assets and liabilities (including the effect of related hedges) and reflects the extent to which estimated sensitivities to market changes, including, but not limited to, maturity and repricing cash flows for assets and liabilities are matched; and

~~targeted metrics for our investments in mortgage loans; and~~

•the use of an income-simulation model that projects net interest income over a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and ~~nonlinear changes to our funding curve and LIBOR.~~basis changes.

We maintain limits and management action triggers in connection with ~~each~~some of the foregoing metrics. Those limits, management action triggers, and the foregoing market and interest-rate risk metrics are more fully discussed under Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Measurement of Market and Interest-Rate Risk and Related Policy Constraints in the ~~2016~~2021 Annual Report.

Table ~~of Contents~~

~~The following table sets forth each of the foregoing metrics together with any targets, associated limits and management actions triggers at September 30, 2017, and December 31, 2016.~~

Interest/Market-Rate Risk Metric September 30, 2017 December 31, 2016 Target, Limit or Management Action Trigger
MVE $3.6 billion $3.6 billion None
MVE/BVE 100% 98% None
MVE/Par Stock 155% 148% Maintain above 102% (management action trigger) and 100% or higher (limit)
Economic Capital Ratio 5.8% 5.8% Maintain above 4.5% (management action trigger) and 4.0% (limit)
VaR $166.8 million $118.8 million Maintain below $225.0 million (management action trigger) and $275.0 million (limit)
Duration of Equity -0.04 years +1.67 years Maintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit)
MVE Sensitivity in a +/- 200 basis point parallel rate shock (5.6)% (6.3)% Maintain above -10% (management action trigger) and -15% (limit)
Duration Gap -0.03 months +1.17 months None
MPF Portfolio VaR $84.9 million $76.9 million Maintain below 25% of the VaR limit ($275 million) (management action trigger)
Income Simulation based on an instantaneous rise in interest rates of 300 basis points Return on regulatory capital is 160 basis points above the average yield on three-month LIBOR Return on regulatory capital is 207 basis points above the average yield on three-month LIBOR Maintain projected return on regulatory capital above three-month LIBOR over the following 12 month horizon (management action trigger)

21 - Interest-Rate / Market-Rate Risk Metrics

~~MPF Portfolio Management Action Trigger of 25 Percent of Our VaR Limit.~~

June 30, 2022

December 31, 2021

Target, Limit or Management Action Trigger

MVE

$3.0 billion

$2.5 billion

None

MVE/BVE

100%

96%

None

MVE/Par Stock

189%

253%

Maintain above 130% (management action trigger) and 125% (limit)

Economic Capital Ratio

4.7%

7.4%

Maintain above 4.5% (management action trigger) and 4.0% (limit)

VaR

7.6% of MVE

8.7% of MVE

Maintain below 12 percent of MVE (management action trigger)

Duration of Equity (1)(2)

+1.90 years

+0.37 years

Maintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit)

MVE Sensitivity: (1)(3)

Down 200 basis point parallel rate shock

1.8%

(0.9)%

Maintain above -10% (management action trigger) and -15% (limit)

Up 200 basis point parallel rate shock

(4.9)%

(4.2)%

Duration Gap (1)(4)

+1.07 months

+0.33 months

None

~~We have established a~~_______________________

(1) Metrics for measuring against the management action ~~trigger for VaR exposure~~triggers and limits are calculated using a methodology which does not constrain interest rates to a minimum of zero percent. Additional metrics are calculated in accordance with guidance from ~~our investments in mortgage loans through~~ the ~~MPF program such~~FHFA, which requires that we constrain projected future interest rates and discounting yields to a minimum of zero percent.

(2) Using the ~~VaR from these investments shall not exceed 25~~methodology which constrains interest rates to a minimum of zero percent, duration of ~~our overall VaR limit. While we seek to limit interest-rate risk through matching asset maturity~~equity is +1.90 years as of June 30, 2022, and optionality with its corresponding funding, mortgage loans cannot be perfectly match funded due to factors including, but not limited to, borrower prepayment behavior and basis risk between the swap and our funding curves. This management action trigger was $68.8 million at September 30, 2017 and December 31, 2016, based on our overall VaR limit of $275.0 million. Our actual MPF portfolio VaR exposure at September 30, 2017, was $84.9 million, compared with $76.9 million+1.09 years as of December 31, ~~2016.~~2021.

~~We exceeded~~(3) Using the ~~MPF Portfolio VaR management action trigger at both~~methodology which constrains interest rates to a minimum of zero percent, MVE sensitivity in a down 200 basis point parallel rate shock is 2.3 percent as of June 30, 2022, and +10.4 percent as of December 31, ~~2016~~2021, and ~~September~~MVE sensitivity in an up 200 basis point parallel rate shock is (4.9) percent as of June 30, ~~2017. This was largely~~2022, and (4.2) percent as of December 31, 2021.

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(4) Using the ~~result of the recent increase in~~methodology which constrains interest rates to a minimum of zero percent, duration gap is +1.07 months as of June 30, 2022, and ~~projected extension~~+0.98 months as of the MPF portfolio beyond that experienced by the CO debt used to fund this portfolio. Management reviewed the risk exposure in the MPF portfolio and the risk exposure of the entire balance sheet as required by the trigger. The risk of the overall balance sheet as measured by VaR remained well below both its management action trigger and limit, and management decided that no reduction to the MPF risk profile was required. Should we continue to exceed our MPF VaR management action trigger, and should our VaR increase closer to its trigger and limit, we expect that management could reduce our risk exposure by making changes to the balance sheet including but not limited to altering the debt profile, which could have an adverse impact on income.December 31, 2021.

Value at Risk. VaR, which measures the potential change in our MVE, is based on a set of stress scenarios (VaR Stress Scenarios) using historically based interest-rate, volatility and option-adjusted spread (OAS) movements starting at the most recent month-end and going back monthly to 1998. For risk-based capital purposes and compliance with our internal management action trigger, VaR is reported as the average of the five worst scenarios.

FHFA Advisory Bulletin 2018-01, which was effective as of January 1, 2020, provides guidance for our determination of market risk scenarios that are incorporated into our internal market risk models. Our VaR model results utilizes interest rate, volatility and OAS shocks provided by the FHFA.

The table below presents the ~~historical simulation~~ VaR estimate as of ~~September~~June 30, ~~2017~~,2022, and December 31, ~~2016~~,2021, and represents the estimates of potential reduction to our MVE from potential future changes in ~~interest rates and other~~ market ~~factors.~~factors, as described above. Estimated potential market value loss exposures are expressed as a percentage of the current ~~MVE~~MVE. The table is intended to represent a statistically based range of VaR exposures.

Table 22 - Value-at-Risk

(dollars in millions)


	Value-at-Risk (Gain) Loss Exposure
	June 30, 2022				December 31, 2021
Confidence Level	% of MVE (1)		Amount		% of MVE (1)		Amount
50%	1.51	%	$	44.7	4.11	%	$	100.7
75%	3.16		93.5		5.52		135.3
95%	5.19		153.6		7.67		188.1
99%	6.75		199.5		8.14		199.5

Average of five worst scenarios, as of period end	7.60		224.7		8.71		213.5

_____________________________

(1)Loss exposure is expressed as a percentage of base MVE.

Income Simulation and ~~are~~Repricing Gaps. To provide an additional perspective on market and interest-rate risks, we have an income-simulation model that projects adjusted net income over the ensuing 12-month period using a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and changes in basis risk. The income simulation metric is based on ~~the historical relative behavior~~projections of adjusted net income divided by capital stock (including mandatorily redeemable capital stock). Projections of adjusted net income exclude a) projected prepayment of advances and prepayment penalties; b) loss on early extinguishment of debt; c) changes in fair values from hedging activities and d) changes in fair values of trading securities. The simulations are solely based on simulated movements in interest rates and ~~other market factors~~do not reflect potential impacts of credit events, including, but not limited to, potential provision for credit losses.

Management has put in place management action triggers whereby senior management is explicitly informed of instances where our projected return on capital stock (ROCS) falls below the average yield on SOFR plus our dividend spread over a ~~120-business-day time horizon.~~

~~Table~~twelve-month horizon in a variety of ~~Contents~~

interest-rate shock scenarios limited to +/- 200 basis points. The results of this analysis for June 30, 2022, showed that in the base case our ROCS was 548 basis points over SOFR, and in the worst case modeled, the down 200 basis points scenario, our ROCS fell 57 basis points to 491 basis points over SOFR. Our ROCS spread to SOFR has remained above the management action trigger minimum during 2022. For December 31, 2021, the results of this analysis showed in the base case our ROCS was 396 basis points over SOFR, and in the worst case modeled, the down 200 basis point scenario, our ROCS fell 163 basis points to 233 basis points over SOFR.

Value-at-Risk
(Gain) Loss Exposure ⁽¹⁾
September 30, 2017 December 31, 2016
Confidence Level
% of
MVE ⁽²⁾
$ million
% of
MVE ⁽²⁾
$ million
50% 0.15 % $ 5.3
(0.01 )% $ (0.4 )
75% 1.08
38.7
0.51
18.5
95% 3.14
112.3
1.87
67.4
99% 4.67
166.8
3.29
118.8

~~_______________________~~


~~(1)~~	To be consistent with FHFA guidance, we have excluded VaR stress scenarios prior to 1992 because market-risk stress conditions are effectively captured in those scenarios beginning in 1992 and therefore properly present our current VaR exposure.


~~(2)~~	~~Loss exposure is expressed as a percentage of base MVE.~~

Certain Market and Interest-Rate Risk Metrics under Potential Interest-Rate Scenarios

We also monitor the sensitivities of MVE and the duration of equity to potential interest-rate scenarios. The following table presents certain market and interest-rate risk metrics under different interest-rate ~~scenarios (dollars in millions).~~scenarios.

September 30, 2017

Down 300⁽¹⁾

Down 200⁽¹⁾

Down 100⁽¹⁾
Base Up 100 Up 200 Up 300
MVE $3,297 $3,373 $3,498 $3,575 $3,516 $3,401 $3,264
Percent change in MVE from base (7.8)% (5.6)% (2.2)% —% (1.6)% (4.9)% (8.7)%
MVE/BVE 92% 94% 98% 100% 98% 95% 91%
MVE/Par Stock 143% 146% 151% 155% 152% 147% 141%
Duration of Equity -1.26 years -2.98 years -3.53 years -0.04 years +2.71 years +3.70 years +4.40 years
Return on Regulatory Capital less 3-month LIBOR ⁽²⁾
2.0% 2.1% 2.7% 2.7% 2.4% 2.0% 1.6%
Net income percent change from base (55.1)% (52.1)% (24.6)% —% 16.2% 31.3% 44.9%

~~____________________________~~


~~(1)~~	~~In an environment of low interest rates, downward rate shocks are floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.~~

~~(2)~~

The income simulation metric for September 30, 2017 is based on projections of adjusted net income over a range of potential interest-rate scenarios over the following 12-month horizon divided by regulatory capital. Regulatory capital is capital stock (including mandatorily redeemable capital stock) plus total retained earnings, and projections of adjusted net income exclude a) interest expense on mandatorily redeemable capital stock; b) projected prepayment penalties; c) loss on early extinguishment of debt; and d) changes in fair values from trading securities and hedging activities.

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Table 23 - Market and Interest-Rate Risk Metrics

(dollars in millions)


									June 30, 2022
	December 31, 2016								Down 300(1)	Down 200(1)	Down 100(1)	Base	Up 100	Up 200	Up 300
	Down 300⁽¹⁾	Down 200⁽¹⁾	Down 100⁽¹⁾	Base	Up 100	Up 200	Up 300
MVE⁽²⁾	$3,385	$3,485	$3,618	$3,606	$3,506	$3,379	$3,240
MVE								MVE	$3,157	$3,024	$3,000	$2,957	$2,891	$2,813	$2,730
Percent change in MVE from base	(6.1)%	(3.3)%	0.3%	—%	(2.8)%	(6.3)%	(10.1)%	Percent change in MVE from base	6.8%	2.3%	1.5%	—%	(2.2)%	(4.9)%	(7.7)%
MVE/BVE	92%	95%	99%	98%	96%	92%	89%	MVE/BVE	107%	102%	101%	100%	98%	95%	92%
MVE/Par Stock	138%	143%	148%	148%	143%	138%	133%	MVE/Par Stock	201%	193%	191%	189%	184%	179%	174%
Duration of Equity	-1.64 years	-3.35 years	-1.11 years	+1.67 years	+3.39 years	+3.93 years	+4.42 years	Duration of Equity	+4.35 years	+0.53 years	+0.90 years	+1.90 years	+2.53 years	+2.87 years	+3.02 years
Return on Regulatory Capital less 3-month LIBOR ⁽²⁾	2.4%	2.6%	2.9%	2.9%	2.6%	2.4%	2.1%
Return on Capital Stock less SOFR								Return on Capital Stock less SOFR	4.59%	4.91%	5.18%	5.48%	5.51%	5.39%	5.24%
Net income percent change from base	(41.6)%	(37.3)%	(22.7)%	—%	18.2%	37.1%	55.2%	Net income percent change from base	(43.54)%	(29.95)%	(15.13)%	—%	11.91%	22.08%	31.70%


	December 31, 2021
	Down 300(1)	Down 200(1)	Down 100(1)	Base	Up 100	Up 200	Up 300
MVE	$2,704	$2,706	$2,488	$2,452	$2,421	$2,349	$2,252
Percent change in MVE from base	10.3%	10.4%	1.5%	—%	(1.3)%	(4.2)%	(8.2)%
MVE/BVE	106%	106%	98%	96%	95%	92%	89%
MVE/Par Stock	280%	280%	257%	253%	250%	243%	233%
Duration of Equity	-0.07 years	+5.37 years	+ 3.78 years	+1.09 years	+2.21 years	+3.58 years	+4.49 years
Return on Capital Stock less SOFR	2.33%	2.33%	2.65%	3.96%	4.05%	3.97%	3.68%
Net income percent change from base	(46.68)%	(46.70)%	(39.37)%	—%	24.45%	44.81%	60.66%

____________________________


~~(1)~~	(1) In an environment of low interest rates, downward rate shocks are floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.

~~(2)~~

The income simulation metric for December 31, 2016 is based on projections of adjusted net income over a range of potential interest-rate scenarios over the following 12-month horizon divided by regulatory capital. Regulatory capital is capital stock (including mandatorily redeemable capital stock) plus total retained earnings, and projections of adjusted net income exclude a) interest expense on mandatorily redeemable capital stock; b) projected prepayment penalties; c) loss on early extinguishment of debt; and d) changes in fair values from trading securities and hedging activities.

~~ITEM~~

Item 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

Our senior management is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure that information required to be disclosed by us in the reports filed or submitted under the Securities Exchange Act of 1934 is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the SEC. Our disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in the reports that we file or submit under the Securities Exchange Act of 1934 is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and our management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.

~~We have~~Our management has evaluated the effectiveness of the design and operation of our disclosure controls and procedures, with the participation of the president and chief executive officer and chief financial officer, as of ~~the end of the period covered by this report.~~June 30, 2022. Based on that evaluation, our president and chief executive officer and chief financial officer have concluded that our disclosure controls and procedures were effective at a reasonable assurance level as of ~~the end of the fiscal quarter covered by this report.~~June 30, 2022.

Changes in Internal Control over Financial Reporting

During the quarter ended ~~September~~June 30, ~~2017,~~2022, there were no changes in our internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

~~We describe~~As noted in Part I – Item 3 – Legal Proceedings in the 2021 Annual Report, in November 2020, we resolved our claims against the remaining defendants in our private-label MBS litigation that were pending in ~~Item 3 — Legal Proceedings~~Massachusetts District Court. We continue to pursue related litigation against Moody’s Investors Service, Inc. and Moody’s Corporation in the ~~2016 Annual Report.~~New York Supreme Court.

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From time to time, we are subject to various pending legal proceedings arising in the normal course of business. After consultation with legal counsel, we do not anticipate that the ultimate liability, if any, arising out of these matters will have a material adverse effect on our financial condition or results of operations.

ITEM 1A. RISK FACTORS

In addition to the information presented in this report, readers should carefully consider the risk factors set forth in the ~~2016~~2021 Annual Report, which could materially impact our business, financial condition, or future results. These risks are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem immaterial may also materially impact us.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

~~Not applicable.~~None.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

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ITEM 5. OTHER INFORMATION

None

ITEM 6. EXHIBITS

Number

Exhibit Description

Reference

~~Number~~

~~Exhibit Description~~

3.2

By-laws of the Federal Home Loan Bank of Boston, as amended and rested on June 24, 2022

Filed within this Form 10-Q

10.1

2022 Director Compensation Policy, as amended and restated June 24, 2022

Filed within this Form 10-Q

31.1

Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

Filed within this Form 10-Q

31.2

Certification of the chief financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

Filed within this Form 10-Q

32.1

Certification of the president and chief executive officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

Filed within this Form 10-Q

32.2

Certification of the chief financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

Filed within this Form 10-Q

101.INS

XBRL Instance Document ~~- the~~

The instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

101.SCH

Inline XBRL Taxonomy Extension Schema Document

Filed within this Form 10-Q

101.CAL

Inline XBRL Taxonomy Extension Calculation Linkbase Document

Filed within this Form 10-Q

101.LAB

Inline XBRL Taxonomy Extension Label Linkbase Document

Filed within this Form 10-Q

101.PRE

Inline XBRL Taxonomy Extension Presentation Linkbase Document

Filed within this Form 10-Q

101.DEF

Inline XBRL Taxonomy Extension Definition Linkbase Document

Filed within this Form 10-Q

104

The cover page of the Bank’s Quarterly report on Form 10-Q, formatted in Inline XBRL

Included within the Exhibit 101 attachments

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

~~Table of Contents~~

Date

FEDERAL HOME LOAN BANK OF BOSTON (Registrant)

~~November 8, 2017~~August 11, 2022

By:

/s/

~~Edward A. Hjerpe III~~Timothy J. Barrett

President and Chief Executive Officer

~~November 8, 2017~~August 11, 2022

By:

/s/

Frank Nitkiewicz

Executive Vice President, Chief Operating Officer

and Chief Financial Officer

8369



		Shares outstanding as of October 31, 2017
Class A Stock, par value	$100	zero
Class B Stock, par value	$100	22,785,171



FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF OPERATIONS (dollars in thousands) (unaudited)
	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
	2017			2016			2017			2016
INTEREST INCOME
Advances	$	136,260		$	84,830		$	370,579		$	244,060
Prepayment fees on advances, net	202			(35		)	496			2,897
Securities purchased under agreements to resell	8,074			2,697			18,822			8,603
Federal funds sold	16,622			5,200			39,614			15,992
Investment securities:
Trading securities	2,767			2,182			8,077			6,623
Available-for-sale securities	30,625			28,452			78,161			76,767
Held-to-maturity securities	19,754			21,423			60,129			65,811
Prepayment fees on investments	42			85			123			416
Total investment securities	53,188			52,142			146,490			149,617
Mortgage loans held for portfolio	31,656			29,874			92,592			90,856
Other	822			171			1,549			414
Total interest income	246,824			174,879			670,142			512,439
INTEREST EXPENSE
Consolidated obligations:
Bonds	109,052			86,574			311,395			267,214
Discount notes	65,120			23,011			157,767			68,287
Total consolidated obligations	174,172			109,585			469,162			335,501
Deposits	1,144			180			2,434			441
Mandatorily redeemable capital stock	399			334			1,105			1,032
Other borrowings	—			1			8			3
Total interest expense	175,715			110,100			472,709			336,977
NET INTEREST INCOME	71,109			64,779			197,433			175,462
Provision (reduction of provision) for credit losses	28			(94		)	(148		)	(194		)
NET INTEREST INCOME AFTER PROVISION (REDUCTION OF PROVISION) FOR CREDIT LOSSES	71,081			64,873			197,581			175,656
OTHER INCOME (LOSS)
Total other-than-temporary impairment losses on investment securities	(12		)	(568		)	(102		)	(1,653		)
Net amount of impairment losses reclassified (from) to accumulated other comprehensive loss	(420		)	197			(1,316		)	(1,068		)
Net other-than-temporary impairment losses on investment securities, credit portion	(432		)	(371		)	(1,418		)	(2,721		)
Litigation settlements	—			—			—			19,584
Loss on early extinguishment of debt	—			(184		)	—			(1,484		)
Service fees	2,228			1,948			6,362			5,850
Net unrealized losses on trading securities	(1,591		)	(2,849		)	(3,857		)	(892		)
Net losses on derivatives and hedging activities	(6		)	(1,922		)	(388		)	(11,120		)
Other	397			(65		)	358			(203		)
Total other income (loss)	596			(3,443		)	1,057			9,014
OTHER EXPENSE
Compensation and benefits	11,463			10,396			32,120			30,746
Other operating expenses	5,749			5,792			17,704			16,939
Federal Housing Finance Agency (the FHFA)	934			819			2,870			2,640
Office of Finance	734			732			2,321			2,274
Other	2,092			3,034			7,528			5,796
Total other expense	20,972			20,773			62,543			58,395
INCOME BEFORE ASSESSMENTS	50,705			40,657			136,095			126,275
AHP	5,110			4,099			13,720			12,731
NET INCOME	$	45,595		$	36,558		$	122,375		$	113,544



Discount notes	125,580,345			114,582,795
Bonds	7,821,400			15,435,348
Payments for maturing and retiring consolidated obligations:
Discount notes	(127,600,947		)	(114,339,603		)
Bonds	(6,491,880		)	(13,483,496		)
Proceeds from issuance of capital stock	731,366			314,274
Payments for redemption of mandatorily redeemable capital stock	(5,315		)	(8,217		)
Payments for repurchase of capital stock	(861,354		)	(317,634		)
Cash dividends paid	(74,076		)	(62,251		)
Net cash (used in) provided by financing activities	(894,213		)	2,238,155
Net decrease in cash and due from banks	(488,257		)	(81,737		)
Cash and due from banks at beginning of the period	520,031			254,218
Cash and due from banks at end of the period	$	31,774		$	172,481
Supplemental disclosures:
Interest paid	$	471,076		$	363,979
AHP payments	$	16,217		$	12,739
Noncash transfers of mortgage loans held for portfolio to other assets	$	1,588		$	2,657



	Less than 12 Months					12 Months or More					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
HFA securities	$	18,543	$	(1,927	)	$	—	$	—		$	18,543	$	(1,927	)
Supranational institutions	—		—			421,492		(24,394		)	421,492		(24,394		)
U.S. government-owned corporations	—		—			286,393		(30,812		)	286,393		(30,812		)
GSEs	—		—			120,033		(10,236		)	120,033		(10,236		)
	18,543		(1,927		)	827,918		(65,442		)	846,461		(67,369		)

MBS
U.S. government guaranteed – single-family	75,908		(2,253		)	—		—			75,908		(2,253		)
U.S. government guaranteed – multifamily	293,802		(1,418		)	174,168		(1,478		)	467,970		(2,896		)
GSEs – single-family	2,437,249		(16,871		)	779,735		(12,499		)	3,216,984		(29,370		)
GSEs – multifamily	962,206		(934		)	—		—			962,206		(934		)
	3,769,165		(21,476		)	953,903		(13,977		)	4,723,068		(35,453		)
Total temporarily impaired	$	3,787,708	$	(23,403	)	$	1,781,821	$	(79,419	)	$	5,569,529	$	(102,822	)



	Amortized Cost		Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss			Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Fair Value
U.S. agency obligations	$	1,391	$	—		$	1,391	$	28	$	—		$	1,419
HFA securities	157,479		—			157,479		23		(17,525		)	139,977
	158,870		—			158,870		51		(17,525		)	141,396
MBS
U.S. government guaranteed – single-family	10,705		—			10,705		233		—			10,938
U.S. government guaranteed – multifamily	373		—			373		—		—			373
GSEs – single-family	619,442		—			619,442		12,841		(147		)	632,136
GSEs – multifamily	294,039		—			294,039		8,839		—			302,878
Private-label – residential	871,152		(166,346		)	704,806		278,651		(4,195		)	979,262
Asset-backed securities (ABS) backed by home equity loans	9,899		(123		)	9,776		280		(469		)	9,587
	1,805,610		(166,469		)	1,639,141		300,844		(4,811		)	1,935,174
Total	$	1,964,480	$	(166,469	)	$	1,798,011	$	300,895	$	(22,336	)	$	2,076,570



			Weighted Average of Significant Inputs						Weighted Average Current Credit Enhancement
Private-label MBS by Classification	Par Value		Projected Prepayment Rates		Projected Default Rates		Projected Loss Severities		Weighted Average Current Credit Enhancement
Alt-A - Private-label residential MBS ⁽¹⁾	$	58,723	8.7	%	32.2	%	36.5	%	11.8	%



	September 30, 2017
Other-Than-Temporarily Impaired Investment ⁽¹⁾	Par Value		Amortized Cost		Carrying Value		Fair Value
Private-label residential MBS – Prime	$	32,645	$	27,934	$	21,911	$	30,054
Private-label residential MBS – Alt-A	976,435		722,033		561,711		832,077
ABS backed by home equity loans – Subprime	1,230		995		872		1,153
Total other-than-temporarily impaired securities	$	1,010,310	$	750,962	$	584,494	$	863,284



	September 30, 2017					December 31, 2016
Year of Contractual Maturity	Amount			Weighted Average Rate		Amount			Weighted Average Rate
Overdrawn demand-deposit accounts	$	7,177		1.46	%	$	3,780		0.92	%
Due in one year or less	19,459,542			1.40		18,783,802			1.05
Due after one year through two years	9,114,490			1.47		10,966,780			1.15
Due after two years through three years	3,213,137			1.76		2,508,459			1.67
Due after three years through four years	1,564,384			1.81		2,177,432			1.64
Due after four years through five years	2,264,058			1.77		2,041,269			1.80
Thereafter	1,885,862			2.16		2,633,333			1.70
Total par value	37,508,650			1.52	%	39,114,855			1.23	%
Premiums	19,382					22,633
Discounts	(30,511		)			(25,847		)
Fair value of bifurcated derivatives ⁽¹⁾	812					(153		)
Hedging adjustments	(30,929		)			(12,149		)
Total	$	37,467,404				$	39,099,339



	September 30, 2017
	Recorded Investment in Conventional Mortgage Loans			Recorded Investment in Government Mortgage Loans			Total
Past due 30-59 days delinquent	$	24,577		$	12,131		$	36,708
Past due 60-89 days delinquent	5,741			3,190			8,931
Past due 90 days or more delinquent	15,492			5,121			20,613
Total past due	45,810			20,442			66,252
Total current loans	3,535,765			360,928			3,896,693
Total mortgage loans	$	3,581,575		$	381,370		$	3,962,945
Other delinquency statistics
In process of foreclosure, included above ⁽¹⁾	$	7,201		$	1,888		$	9,089
Serious delinquency rate ⁽²⁾	0.45		%	1.34		%	0.54		%
Past due 90 days or more still accruing interest	$	—		$	5,121		$	5,121
Loans on nonaccrual status ⁽³⁾	$	16,020		$	—		$	16,020



	As of September 30, 2017				As of December 31, 2016
	Recorded Investment		Par Value		Recorded Investment		Par Value
Individually evaluated impaired mortgage loans with no related allowance	$	18,786	$	18,751	$	22,945	$	22,905



	For the Three Months Ended September 30, 2017
	Gain on Derivative		Loss on Hedged Item			Net Fair-Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income ⁽¹⁾
Hedged Item:
Advances	$	9,382	$	(8,881	)	$	501		$	(2,878	)
Investments	5,007		(4,503		)	504			(7,879		)
COs – bonds	2,018		(3,899		)	(1,881		)	242
Total	$	16,407	$	(17,283	)	$	(876	)	$	(10,515	)



	For the Three Months Ended September 30, 2016
	Gain/(Loss) on Derivative			Gain/(Loss) on Hedged Item			Net Fair-Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income ⁽¹⁾
Hedged Item:
Advances	$	71,032		$	(70,859	)	$	173		$	(22,547	)
Investments	10,255			(9,810		)	445			(8,788		)
COs – bonds	(16,705		)	12,809			(3,896		)	6,500
Total	$	64,582		$	(67,860	)	$	(3,278	)	$	(24,835	)



	For the Nine Months Ended September 30, 2016
	Loss on Derivative			Gain/(Loss) on Hedged Item			Net Fair-Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income ⁽¹⁾
Hedged Item:
Advances	$	(23,045	)	$	22,029		$	(1,016	)	$	(78,799	)
Investments	(66,030		)	67,215			1,185			(26,682		)
COs – bonds	(5,874		)	(2,824		)	(8,698		)	21,730
Total	$	(94,949	)	$	86,420		$	(8,529	)	$	(83,751	)



Derivatives and Hedged Items in Cash Flow Hedging Relationships	(Losses) Gains Recognized in Other Comprehensive Loss on Derivatives (Effective Portion)			Location of Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion)	Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion)			(Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion)
Interest-rate swaps - CO bonds
For the Three Months Ended September 30, 2017	$	(856	)	Interest expense	$	(2,158	)	$	(18	)
For the Three Months Ended September 30, 2016	1,082			Interest expense	(5,337		)	(22		)

For the Nine Months Ended September 30, 2017	(5,937		)	Interest expense	(9,865		)	213
For the Nine Months Ended September 30, 2016	(25,688		)	Interest expense	(19,434		)	(558		)

Post Haircut Value of Incremental Collateral to be Delivered as of September 30, 2017 (dollars in thousands)

Ratings Downgrade⁽¹⁾
From	To	Incremental Collateral
AA+	AA or AA-	$	8,662
AA or AA-	A+, A or A-	8,344
A+, A or A-	below A-	24,524



	September 30, 2017		December 31, 2016
Par value of CO bonds
Noncallable and nonputable	$	24,469,410	$	22,388,950
Callable	3,983,000		4,743,000
Total par value	$	28,452,410	$	27,131,950



	Book Value		Par Value		Weighted Average Rate ⁽¹⁾
September 30, 2017	$	28,047,762	$	28,074,966	1.03	%
December 31, 2016	$	30,053,964	$	30,070,103	0.47	%



Risk-Based Capital Requirements	September 30, 2017		December 31, 2016

Permanent capital
Class B capital stock	$	2,272,648	$	2,411,306
Mandatorily redeemable capital stock	36,042		32,687
Retained earnings	1,265,282		1,216,986
Total permanent capital	$	3,573,972	$	3,660,979
Risk-based capital requirement
Credit-risk capital	$	348,381	$	355,182
Market-risk capital	166,807		118,765
Operations-risk capital	154,556		142,184
Total risk-based capital requirement	$	669,744	$	616,131
Permanent capital in excess of risk-based capital requirement	$	2,904,228	$	3,044,848



	Net Unrealized Loss on Available-for-sale Securities			Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities			Net Unrealized Loss Relating to Hedging Activities			Pension and Postretirement Benefits			Total Accumulated Other Comprehensive Loss
Balance, June 30, 2016	$	(57,947	)	$	(210,169	)	$	(83,903	)	$	(6,323	)	$	(358,342	)
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains	(17,325		)	—			1,082			—			(16,243		)
Noncredit other-than-temporary impairment losses	—			(486		)	—			—			(486		)
Accretion of noncredit loss	—			8,586			—			—			8,586
Net actuarial loss	—			—			—			(15		)	(15		)
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾	—			290			—			—			290
Amortization - hedging activities ⁽²⁾	—			—			5,341			—			5,341
Amortization - pension and postretirement benefits ⁽³⁾	—			—			—			225			225
Other comprehensive (loss) income	(17,325		)	8,390			6,423			210			(2,302		)
Balance, September 30, 2016	$	(75,272	)	$	(201,779	)	$	(77,480	)	$	(6,113	)	$	(360,644	)

Balance, June 30, 2017	$	(94,309	)	$	(175,068	)	$	(45,554	)	$	(5,530	)	$	(320,461	)
Other comprehensive income (loss) before reclassifications:
Net unrealized losses	(61		)	—			(856		)	—			(917		)
Accretion of noncredit loss	—			8,178			—			—			8,178
Net actuarial gain	—			—			—			112			112
Reclassifications from other comprehensive income to net income
Noncredit other-than-temporary impairment losses reclassified to credit loss ⁽¹⁾	—			420			—			—			420
Amortization - hedging activities⁽⁴⁾	—			—			2,161			—			2,161
Amortization - pension and postretirement benefits⁽³⁾	—			—			—			193			193
Other comprehensive (loss) income	(61		)	8,598			1,305			305			10,147
Balance, September 30, 2017	$	(94,370	)	$	(166,470	)	$	(44,249	)	$	(5,225	)	$	(310,314	)



	For the Three Months Ended			For the Nine Months Ended
	September 30, 2017			September 30, 2017
Balance at beginning of period	$	15,414		$	8,146
Purchases	3,520			11,120
Unrealized losses included in other comprehensive income	(391		)	(723		)
Balance at end of period	$	18,543		$	18,543



	Capital Stock Outstanding		Percent of Total		Par Value of Advances		Percent of Total Par Value of Advances		Total Accrued Interest Receivable		Percent of Total Accrued Interest Receivable on Advances
As of September 30, 2017
Citizens Bank, N.A.	$	246,748	10.7	%	$	5,358,737	14.3	%	$	2,284	5.6	%

As of December 31, 2016
Citizens Bank, N.A.	$	357,508	14.6	%	$	7,260,446	18.6	%	$	2,625	7.3	%



Forward-Looking Statements			4237
Executive Summary			4339
Economic Conditions			4440
Selected Financial Data			4441
Results of Operations			4643
Financial Condition			5648
Liquidity and Capital Resources			6757
Critical Accounting Estimates			7562
Recent Accounting Developments			7563
Legislative and Regulatory Developments			7663



	Three Month Average		Nine Month Average		Ending rate
	September 30, 2017	September 30, 2016	September 30, 2017	September 30, 2016	September 30, 2017	December 31, 2016
Federal funds effective rate	1.15%	0.40%	0.94%	0.38%	1.06%	0.55%
3-month LIBOR	1.31%	0.79%	1.20%	0.69%	1.33%	1.00%
3-month U.S. Treasury yield	1.04%	0.28%	0.84%	0.27%	1.04%	0.50%
2-year U.S. Treasury yield	1.36%	0.72%	1.29%	0.77%	1.48%	1.19%
5-year U.S. Treasury yield	1.81%	1.12%	1.85%	1.24%	1.94%	1.93%
10-year U.S. Treasury yield	2.24%	1.56%	2.31%	1.73%	2.33%	2.44%



SELECTED FINANCIAL DATA
RESULTS OF OPERATIONS AND OTHER INFORMATION
(dollars in thousands)

	Results of Operations for the Three Months Ended
	September 30, 2017			June 30, 2017			March 31, 2017			December 31, 2016			September 30, 2016
Net interest income	$	71,109		$	63,820		$	62,504		$	76,287		$	64,779
Provision (reduction of provision) for credit losses	28			(125		)	(51		)	(83		)	(94		)
Net impairment losses on held-to-maturity securities recognized in earnings	(432		)	(568		)	(418		)	(589		)	(371		)
Litigation settlements	—			—			—			19,627			—
Other income (loss)	1,028			1,020			427			1,272			(3,072		)
Other expense	20,972			20,597			20,974			30,351			20,773
AHP assessments	5,110			4,418			4,192			6,666			4,099
Net income	$	45,595		$	39,382		$	37,398		$	59,663		$	36,558
Other Information
Dividends declared	$	25,637		$	24,822		$	23,619		$	22,818		$	21,574
Dividend payout ratio	56.23		%	63.03		%	63.16		%	38.24		%	59.01		%
Weighted-average dividend rate⁽¹⁾	4.22			4.08			3.94			3.80			3.65
Return on average equity⁽²⁾	5.64			4.74			4.56			7.38			4.55
Return on average assets	0.31			0.26			0.25			0.40			0.25
Net interest margin⁽³⁾	0.49			0.43			0.43			0.51			0.45
Average equity to average assets	5.50			5.56			5.55			5.39			5.48

Rate and Volume Analysis (dollars in thousands)


	For the Three Months Ended September 30, 2017 vs. 2016									For the Nine Months Ended September 30, 2017 vs. 2016
	Increase (Decrease) due to									Increase (Decrease) due to
	Volume			Rate			Total			Volume			Rate			Total
Interest income
Advances	$	(427	)	$	52,094		$	51,667		$	11,106		$	113,012		$	124,118
Securities purchased under agreements to resell	(71		)	5,448			5,377			(1,312		)	11,531			10,219
Federal funds sold	547			10,875			11,422			(137		)	23,759			23,622
Investment securities	(1,812		)	2,858			1,046			(8,073		)	4,946			(3,127		)
Mortgage loans	2,013			(231		)	1,782			3,750			(2,014		)	1,736
Other earning assets	84			567			651			78			1,057			1,135
Total interest income	334			71,611			71,945			5,412			152,291			157,703
Interest expense
Consolidated obligations
Discount notes	(922		)	43,031			42,109			(719		)	90,199			89,480
Bonds	4,072			18,406			22,478			9,497			34,684			44,181
Deposits	(1		)	965			964			(21		)	2,014			1,993
Mandatorily redeemable capital stock	17			48			65			(66		)	139			73
Other borrowings	(1		)	—			(1		)	1			4			5
Total interest expense	3,165			62,450			65,615			8,692			127,040			135,732
Change in net interest income	$	(2,831	)	$	9,161		$	6,330		$	(3,280	)	$	25,251		$	21,971

Collateral by Pledge Type (dollars in thousands)

	Discounted Collateral
Collateral not specifically listed and identified	$	28,591,280
Collateral specifically listed and identified	56,632,840
Collateral delivered to us	11,561,620

Mortgage-Backed Securities

	September 30, 2017		December 31, 2016
Single-family MBS - U.S. government-guaranteed and GSE	61.6	%	67.5	%
Multifamily MBS - U.S. government-guaranteed and GSE	30.0		22.2
Private-label residential MBS	8.3		10.1
ABS backed by home-equity loans	0.1		0.2
Total MBS	100.0	%	100.0	%

Credit Ratings of Investments at Carrying Value As of September 30, 2017 (dollars in thousands)

	Long-Term Credit Rating ⁽¹⁾
Investment Category	Triple-A		Double-A		Single-A		Triple-B		Below Triple-B		Unrated
Money-market instruments ⁽²⁾:
Interest-bearing deposits	$	—	$	262	$	224,750	$	—	$	—	$	—
Securities purchased under agreements to resell	—		—		1,000,000		1,999,000		—		—
Federal funds sold	—		1,650,000		4,600,000		—		—		—
Total money-market instruments	—		1,650,262		5,824,750		1,999,000		—		—

Investment securities:

Non-MBS:
U.S. agency obligations	—		1,391		—		—		—		—
U.S. Treasury obligations	—		309,498		—		—		—		—
U.S. government-owned corporations	—		286,393		—		—		—		—
GSEs	—		120,033		—		—		—		—
Supranational institutions	421,492		—		—		—		—		—
HFA securities	27,284		45,739		102,999		—		—		—
Total non-MBS	448,776		763,054		102,999		—		—		—

MBS:
U.S. government guaranteed - single-family ⁽²⁾	—		120,611		—		—		—		—
U.S. government guaranteed - multifamily ⁽²⁾	—		468,343		—		—		—		—
GSE – single-family ⁽²⁾	—		5,147,903		—		—		—		—
GSE – multifamily ⁽²⁾	—		2,100,317		—		—		—		—
Private-label – residential	—		3,913		11,111		61,738		611,474		16,570
ABS backed by home-equity loans	598		1,136		4,786		1,569		1,687		—
Total MBS	598		7,842,223		15,897		63,307		613,161		16,570

Total investment securities	449,374		8,605,277		118,896		63,307		613,161		16,570

Total investments	$	449,374	$	10,255,539	$	5,943,646	$	2,062,307	$	613,161	$	16,570

Private-Label MBS and ABS Backed by Home Equity As of September 30, 2017 (dollars in thousands)


	Total
Par value by credit rating
Triple-A	$	598
Double-A	5,049
Single-A	15,897
Triple-B	63,307
Below Investment Grade
Double-B	26,283
Single-B	46,180
Triple-C	486,551
Double-C	269,474
Single-C	16,555
Single-D	189,159
Unrated	21,366
Total par value	$	1,140,419

Amortized cost	$	881,051
Gross unrealized gains	115,913
Gross unrealized losses	(8,115		)
Fair value	$	988,849

Weighted average percentage of fair value to par value	86.71		%
Original weighted average credit support	27.36
Weighted average credit support	8.20
Weighted average collateral delinquency ⁽¹⁾	19.42



State Concentrations by Outstanding Principal Balance
	Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans
	September 30, 2017		December 31, 2016

Massachusetts	55	%	51	%
Maine	12		13
Wisconsin	7		9
Connecticut	8		7
New Hampshire	6		6
All others	12		14
Total	100	%	100	%