UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM10-Q

––––––––––––––––––––––––––––––––––––––––––––––––––––

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

For the quarterly period ended ~~September 30, 2021~~March 31, 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)

(I.R.S. employer identification number)

800 Boylston Street,

Boston

02199

(Address of principal executive offices)

(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 No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files). Yes x No o

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

Large accelerated filer o

Accelerated filer o

Non-accelerated filer

Smaller reporting company

☐

Emerging growth company

☐

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. ☐

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

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

Shares outstanding as of October 31, 2021
Class A Stock, par value $100 zero
Class B Stock, par value $100 10,269,108


		Shares outstanding as of April 30, 2022
Class B Stock, par value	$100	12,062,427

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	1514
	Note 5 — Mortgage Loans Held for Portfolio	17
	Note 6 — Derivatives and Hedging Activities	2019
	Note 7 — Deposits	2725
	Note 8 — Consolidated Obligations	2725
	Note 9 — Affordable Housing Program	2827
	Note 10 — Capital	2827
	Note 11 — Accumulated Other Comprehensive Loss	3028
	Note 12 — Fair Value	3229
	Note 13 — Commitments and Contingencies	3734
	Note 14 — Transactions with Shareholders	3935
	Note 15 — Subsequent Events	3936

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	3936
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	7061
Item 4.	Controls and Procedures	7465

PART II.	OTHER INFORMATION	7566

Item 1.	Legal Proceedings	7566
Item 1A.	Risk Factors	7566
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	7566
Item 3.	Defaults Upon Senior Securities	7566
Item 4.	Mine Safety Disclosures	7566
Item 5.	Other Information	7567
Item 6.	Exhibits	7667

~~Table of Contents~~

PART 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, 2021		December 31, 2020			March 31, 2022		December 31, 2021
ASSETS	ASSETS					ASSETS
Cash and due from banks	Cash and due from banks	$	205,284	$	2,050,028	Cash and due from banks	$	202,883	$	204,993
Interest-bearing deposits	Interest-bearing deposits	149		299,149		Interest-bearing deposits	45,160		85,153
Securities purchased under agreements to resell	Securities purchased under agreements to resell	500,000		750,000		Securities purchased under agreements to resell	1,400,000		800,000
Federal funds sold	Federal funds sold	1,848,000		2,260,000		Federal funds sold	2,166,000		1,944,000
Investment securities:	Investment securities:					Investment securities:
Trading securities	Trading securities	1,759,851		3,605,079		Trading securities	1,232		501,867
Available-for-sale securities	Available-for-sale securities	12,132,257		6,220,148		Available-for-sale securities	13,113,049		12,895,987
Held-to-maturity securities (a)	Held-to-maturity securities (a)	164,167		207,162		Held-to-maturity securities (a)	123,877		145,492
Total investment securities	Total investment securities	14,056,275		10,032,389		Total investment securities	13,238,158		13,543,346
Advances	Advances	14,056,991		18,817,002		Advances	11,816,428		12,340,020
Mortgage loans held for portfolio, net of allowance for credit losses of $2,055 and $3,100 at September 30, 2021 and December 31, 2020, respectively		3,283,925		3,930,252
Mortgage loans held for portfolio, net of allowance for credit losses of $1,600 and $1,700 at March 31, 2022, and December 31, 2021, respectively						Mortgage loans held for portfolio, net of allowance for credit losses of $1,600 and $1,700 at March 31, 2022, and December 31, 2021, respectively	2,998,682		3,120,159

Accrued interest receivable	Accrued interest receivable	74,470		87,582		Accrued interest receivable	61,383		68,360

Derivative assets, net	Derivative assets, net	356,261		161,238		Derivative assets, net	410,500		378,532
Other assets	Other assets	67,562		73,395		Other assets	56,468		60,729
Total Assets	Total Assets	$	34,448,917	$	38,461,035	Total Assets	$	32,395,662	$	32,545,292
LIABILITIES	LIABILITIES					LIABILITIES
Deposits	Deposits					Deposits
Interest-bearing	Interest-bearing	$	903,270	$	977,994	Interest-bearing	$	762,269	$	833,007
Non-interest-bearing	Non-interest-bearing	67,462		110,993		Non-interest-bearing	41,114		51,025
Total deposits	Total deposits	970,732		1,088,987		Total deposits	803,383		884,032
Consolidated obligations (COs):	Consolidated obligations (COs):					Consolidated obligations (COs):
Bonds	Bonds	25,097,469		21,471,590		Bonds	26,070,923		26,613,032
Discount notes	Discount notes	5,554,103		12,878,310		Discount notes	2,878,513		2,275,320
Total consolidated obligations	Total consolidated obligations	30,651,572		34,349,900		Total consolidated obligations	28,949,436		28,888,352
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	13,890		6,282		Mandatorily redeemable capital stock	13,418		13,562
Accrued interest payable	Accrued interest payable	59,159		61,918		Accrued interest payable	62,014		60,968
Affordable Housing Program (AHP) payable	Affordable Housing Program (AHP) payable	72,448		78,640		Affordable Housing Program (AHP) payable	78,531		70,503
Derivative liabilities, net	Derivative liabilities, net	21,401		24,062		Derivative liabilities, net	29,273		38,944
Other liabilities	Other liabilities	63,005		69,293		Other liabilities	47,820		57,920
Total liabilities	Total liabilities	31,852,207		35,679,082		Total liabilities	29,983,875		30,014,281
Commitments and contingencies (Note 13)		0		0
Commitments and contingencies (Note 13)						Commitments and contingencies (Note 13)	0		0
CAPITAL	CAPITAL					CAPITAL
Capital stock – Class B – putable ($100 par value), 10,282 shares and 12,672 shares issued and outstanding at September 30, 2021 and December 31, 2020, respectively		1,028,177		1,267,172
Capital stock – Class B – putable ($100 par value), 9,295 shares and 9,536 shares issued and outstanding at March 31, 2022, and December 31, 2021, respectively						Capital stock – Class B – putable ($100 par value), 9,295 shares and 9,536 shares issued and outstanding at March 31, 2022, and December 31, 2021, respectively	929,482		953,638
Retained earnings:	Retained earnings:					Retained earnings:
Unrestricted	Unrestricted	1,159,509		1,130,222		Unrestricted	1,202,685		1,179,986
Restricted	Restricted	368,420		368,420		Restricted	368,420		368,420
Total retained earnings	Total retained earnings	1,527,929		1,498,642		Total retained earnings	1,571,105		1,548,406
Accumulated other comprehensive income		40,604		16,139
Accumulated other comprehensive (loss) income						Accumulated other comprehensive (loss) income	(88,800)		28,967
Total capital	Total capital	2,596,710		2,781,953		Total capital	2,411,787		2,531,011
Total Liabilities and Capital	Total Liabilities and Capital	$	34,448,917	$	38,461,035	Total Liabilities and Capital	$	32,395,662	$	32,545,292

(a) Fair values of held-to-maturity securities were ~~$167,598~~$125,414 and ~~$211,837~~$148,068 at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~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)	FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF OPERATIONS (dollars in thousands) (unaudited)									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,					For the Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
INTEREST INCOME	INTEREST INCOME									INTEREST INCOME
Advances	Advances	$	40,864	$	71,218	$	133,646	$	340,695	Advances	$	33,993	$	49,552
Prepayment fees on advances, net	Prepayment fees on advances, net	5,310		5,646		17,275		10,648		Prepayment fees on advances, net	914		7,733
Interest-bearing deposits	Interest-bearing deposits	13		271		107		5,625		Interest-bearing deposits	160		84
Securities purchased under agreements to resell	Securities purchased under agreements to resell	68		239		360		14,813		Securities purchased under agreements to resell	171		124
Federal funds sold	Federal funds sold	672		275		1,768		17,416		Federal funds sold	814		614
Investment securities:	Investment securities:									Investment securities:
Trading securities	Trading securities	11,502		23,262		43,951		62,641		Trading securities	534		17,308
Available-for-sale securities	Available-for-sale securities	18,901		17,495		52,737		46,993		Available-for-sale securities	44,733		22,995
Held-to-maturity securities	Held-to-maturity securities	598		1,760		1,997		17,906		Held-to-maturity securities	596		767
Total investment securities	Total investment securities	31,001		42,517		98,685		127,540		Total investment securities	45,863		41,070
Mortgage loans held for portfolio	Mortgage loans held for portfolio	22,984		28,732		71,128		98,911		Mortgage loans held for portfolio	21,528		25,137
Other		—		—		—		47

Total interest income	Total interest income	100,912		148,898		322,969		615,695		Total interest income	103,443		124,314
INTEREST EXPENSE	INTEREST EXPENSE									INTEREST EXPENSE
Consolidated obligations:	Consolidated obligations:									Consolidated obligations:
Bonds	Bonds	48,861		82,962		164,146		300,765		Bonds	43,900		61,601
Discount notes	Discount notes	904		8,728		3,989		183,792		Discount notes	607		2,402
Total consolidated obligations	Total consolidated obligations	49,765		91,690		168,135		484,557		Total consolidated obligations	44,507		64,003
Deposits	Deposits	23		26		73		891		Deposits	22		25
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	55		58		104		196		Mandatorily redeemable capital stock	69		24
Other borrowings	Other borrowings	4		6		13		235		Other borrowings	3		4
Total interest expense	Total interest expense	49,847		91,780		168,325		485,879		Total interest expense	44,601		64,056
NET INTEREST INCOME	NET INTEREST INCOME	51,065		57,118		154,644		129,816		NET INTEREST INCOME	58,842		60,258
Reduction of provision for credit losses	Reduction of provision for credit losses	(80)		(5,143)		(1,107)		(2,924)		Reduction of provision for credit losses	(100)		(1,226)
NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES	NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES	51,145		62,261		155,751		132,740		NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES	58,942		61,484
OTHER INCOME (LOSS)	OTHER INCOME (LOSS)									OTHER INCOME (LOSS)

Loss on early extinguishment of debt	Loss on early extinguishment of debt	(1,688)		—		(6,636)		—		Loss on early extinguishment of debt	(432)		(3,425)
Service fees	Service fees	2,574		3,174		7,954		10,016		Service fees	2,552		2,696
Net unrealized (losses) gains on trading securities		(11,094)		(19,603)		(40,536)		7,767
Net (losses) gains on derivatives		(387)		1,624		(788)		(52,095)
Realized net gain from sale of available-for-sale securities		—		26,210		—		26,210
Realized net gain from sale of held-to-maturity securities		—		6,680		—		47,413
Net losses on trading securities										Net losses on trading securities	(635)		(14,843)
Net losses on derivatives										Net losses on derivatives	(673)		(848)

Other, net	Other, net	142		25		686		219		Other, net	254		657
Total other (loss) income		(10,453)		18,110		(39,320)		39,530
Total other income (loss)										Total other income (loss)	1,066		(15,763)
OTHER EXPENSE	OTHER EXPENSE									OTHER EXPENSE
Compensation and benefits	Compensation and benefits	10,374		9,970		31,073		31,596		Compensation and benefits	11,239		10,238
Other operating expenses	Other operating expenses	5,923		5,782		17,787		17,788		Other operating expenses	6,419		5,852
Federal Housing Finance Agency (the FHFA)	Federal Housing Finance Agency (the FHFA)	957		947		2,871		2,841		Federal Housing Finance Agency (the FHFA)	1,089		957
Office of Finance	Office of Finance	1,018		833		2,768		2,666		Office of Finance	503		1,089
AHP voluntary contribution	AHP voluntary contribution	1,234		—		6,023		—		AHP voluntary contribution	8,525		3,076
Other	Other	2,824		3,326		7,498		8,454		Other	1,298		1,301
Total other expense	Total other expense	22,330		20,858		68,020		63,345		Total other expense	29,073		22,513
INCOME BEFORE ASSESSMENTS	INCOME BEFORE ASSESSMENTS	18,362		59,513		48,411		108,925		INCOME BEFORE ASSESSMENTS	30,935		23,208
AHP assessments	AHP assessments	1,842		5,957		4,852		10,912		AHP assessments	3,100		2,323

NET INCOME	NET INCOME	$	16,520	$	53,556	$	43,559	$	98,013	NET INCOME	$	27,835	$	20,885

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

Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF COMPREHENSIVE INCOME (dollars in thousands) (unaudited)	FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF COMPREHENSIVE INCOME (dollars in thousands) (unaudited)									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,					For the Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Net income	Net income	$	16,520	$	53,556	$	43,559	$	98,013	Net income	$	27,835	$	20,885
Other comprehensive income:
Other comprehensive (loss) income:										Other comprehensive (loss) income:

Net unrealized (losses) gains on available-for-sale securities		(17,961)		52,286		17,931		82,208
Net unrealized losses on available-for-sale securities										Net unrealized losses on available-for-sale securities	(141,286)		(1,919)

Net noncredit portion of other-than-temporary impairment gains on held-to-maturity securities		—		50,407		—		76,036
Net unrealized gains relating to hedging activities	Net unrealized gains relating to hedging activities	10,125		1,803		4,150		4,054		Net unrealized gains relating to hedging activities	23,496		6,743
Pension and postretirement benefits	Pension and postretirement benefits	795		(92)		2,384		607		Pension and postretirement benefits	23		260
Total other comprehensive (loss) income	Total other comprehensive (loss) income	(7,041)		104,404		24,465		162,905		Total other comprehensive (loss) income	(117,767)		5,084
Comprehensive income		$	9,479	$	157,960	$	68,024	$	260,918
Comprehensive (loss) income										Comprehensive (loss) income	$	(89,932)	$	25,969

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 NINE MONTHS ENDED SEPTEMBER 30, 2021 and 2020
(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, JUNE 30, 2020 15,185 $ 1,518,515 $ 1,097,875 $ 357,709 $ 1,455,584 $ (128,471) $ 2,845,628
Comprehensive income 42,845 10,711 53,556 104,404 157,960
Proceeds from issuance of capital stock 4,566 456,556 456,556
Repurchase of capital stock (3,802) (380,212) (380,212)
Cash dividends on capital stock (18,845) (18,845) (18,845)
BALANCE, SEPTEMBER 30, 2020 15,949 $ 1,594,859 $ 1,121,875 $ 368,420 $ 1,490,295 $ (24,067) $ 3,061,087
BALANCE, JUNE 30, 2021 10,811 $ 1,081,057 $ 1,147,279 $ 368,420 $ 1,515,699 $ 47,645 $ 2,644,401
Comprehensive income 16,520 — 16,520 (7,041) 9,479
Proceeds from issuance of capital stock 490 49,047 49,047
Repurchase of capital stock (934) (93,369) (93,369)
Shares reclassified to mandatorily redeemable capital stock (85) (8,558) (8,558)
Cash dividends on capital stock (4,290) (4,290) (4,290)
BALANCE, SEPTEMBER 30, 2021 10,282 $ 1,028,177 $ 1,159,509 $ 368,420 $ 1,527,929 $ 40,604 $ 2,596,710
BALANCE, DECEMBER 31, 2019 18,691 $ 1,869,130 $ 1,114,337 $ 348,817 $ 1,463,154 $ (186,972) $ 3,145,312
Cumulative effect of change in accounting principle (7,530) — (7,530) — (7,530)
Comprehensive income 78,410 19,603 98,013 162,905 260,918
Proceeds from issuance of capital stock 20,325 2,032,462 2,032,462
Repurchase of capital stock (23,063) (2,306,298) (2,306,298)
Shares reclassified to mandatorily redeemable capital stock (4) (435) (435)
Partial recovery of prior capital distribution to Financing Corporation 3,726 3,726 3,726
Cash dividends on capital stock (67,068) (67,068) (67,068)
BALANCE, SEPTEMBER 30, 2020 15,949 $ 1,594,859 $ 1,121,875 $ 368,420 $ 1,490,295 $ (24,067) $ 3,061,087
BALANCE, DECEMBER 31, 2020 12,672 $ 1,267,172 $ 1,130,222 $ 368,420 $ 1,498,642 $ 16,139 $ 2,781,953
Comprehensive income 43,559 — 43,559 24,465 68,024
Proceeds from issuance of capital stock 1,472 147,231 147,231
Repurchase of capital stock (3,761) (376,086) (376,086)
Shares reclassified to mandatorily redeemable capital stock (101) (10,140) (10,140)
Cash dividends on capital stock (14,272) (14,272) (14,272)
BALANCE, SEPTEMBER 30, 2021 10,282 $ 1,028,177 $ 1,159,509 $ 368,420 $ 1,527,929 $ 40,604 $ 2,596,710


FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CAPITAL THREE MONTHS ENDED MARCH 31, 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, DECEMBER 31, 2020	12,672	$	1,267,172	$	1,130,222	$	368,420	$	1,498,642	$	16,139	$	2,781,953

Comprehensive income				20,885		—		20,885		5,084		25,969
Proceeds from issuance of capital stock	398	39,837										39,837
Repurchase of capital stock	(1,253)	(125,344)										(125,344)

Cash dividends on capital stock				(5,351)				(5,351)				(5,351)
BALANCE, MARCH 31, 2021	11,817	$	1,181,665	$	1,145,756	$	368,420	$	1,514,176	$	21,223	$	2,717,064

BALANCE, DECEMBER 31, 2021	9,536	$	953,638	$	1,179,986	$	368,420	$	1,548,406	$	28,967	$	2,531,011
Comprehensive income				27,835		—		27,835		(117,767)		(89,932)
Proceeds from issuance of capital stock	1,219	121,860										121,860
Repurchase of capital stock	(1,460)	(146,016)										(146,016)

Cash dividends on capital stock				(5,136)				(5,136)				(5,136)
BALANCE, MARCH 31, 2022	9,295	$	929,482	$	1,202,685	$	368,420	$	1,571,105	$	(88,800)	$	2,411,787

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

Table of Contents

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

For the Nine Months Ended September 30,
2021 2020
OPERATING ACTIVITIES
Net income $ 43,559 $ 98,013
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization (2,576) (18,302)
Reduction of provision for credit losses (1,107) (2,924)
Change in net fair-value adjustments on derivatives and hedging activities 169,079 (267,556)
Loss on early extinguishment of debt 6,636 —
Other adjustments, net 2,613 3,134
Realized net gain from sale of available-for-sale securities — (26,210)
Realized net gain from sale of held-to-maturity securities — (47,413)
Net change in:
Market value of trading securities 40,536 (7,767)
Accrued interest receivable 13,112 19,040
Other assets (3,547) 885
Accrued interest payable (2,758) (20,986)
Other liabilities (9,085) (9,925)
Total adjustments 212,903 (378,024)
Net cash provided by (used in) operating activities 256,462 (280,011)
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits 74,798 893,640
Securities purchased under agreements to resell 250,000 1,750,000
Federal funds sold 412,000 572,000
Trading securities:
Proceeds 1,804,692 1,426,057
Purchases — (3,293,082)
Available-for-sale securities:
Proceeds 779,323 1,454,914
Purchases (6,860,594) —
Held-to-maturity securities:
Proceeds 43,635 487,314
Advances to members:
Repaid 30,610,885 225,147,120
Originated (25,920,816) (217,384,347)
Mortgage loans held for portfolio:
Proceeds 997,159 894,829
Purchases (367,551) (572,966)
Other investing activities, net (477) (444)
Net cash provided by investing activities 1,823,054 11,375,035

~~Table of Contents~~

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

For the Nine Months Ended September 30,
2021 2020
FINANCING ACTIVITIES
Net change in deposits (118,255) 552,834
Net payments on derivatives with a financing element 31,411 (97,522)
Net proceeds from issuance of consolidated obligations:
Discount notes 218,841,791 82,218,174
Bonds 16,287,784 10,694,110
Payments for maturing and retiring consolidated obligations:
Discount notes (226,164,148) (93,348,677)
Bonds (12,383,048) (10,638,560)
Bonds transferred to other FHLBanks (173,984) —
Payment of financing lease (152) (114)
Partial recovery of prior capital distribution to Financing Corporation — 3,726
Proceeds from issuance of capital stock 147,231 2,032,462
Payments for repurchase of capital stock (376,086) (2,306,298)
Payments for redemption of mandatorily redeemable capital stock (2,532) (106)
Cash dividends paid (14,272) (67,068)
Net cash used in financing activities (3,924,260) (10,957,039)
Net (decrease) increase in cash and due from banks (1,844,744) 137,985
Cash and due from banks at beginning of the period 2,050,028 69,416
Cash and due from banks at end of the period $ 205,284 $ 207,401
Supplemental disclosures:
Interest paid $ 202,849 $ 573,334
AHP payments $ 14,690 $ 14,137
Noncash transfers of mortgage loans held for portfolio to other assets $ 368 $ 394
Noncash transfer of held-to-maturity securities to available-for-sale securities with the adoption of the reference rate reform guidance (amortized cost) $ — $ 254,217

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

~~Table of Contents~~


FEDERAL HOME LOAN BANK OF BOSTON ~~NOTES TO FINANCIAL~~ STATEMENTS OF CASH FLOWS (dollars in thousands) ~~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. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The 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, 2021. 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, 2020, filed with the Securities and Exchange Commission (the SEC) on March 19, 2021 (the 2020 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 — Recently Issued and Adopted Accounting Guidance~~ ~~Effective Beginning in 2020~~(unaudited) ~~Facilitation~~
	For the Three Months Ended March 31,
	2022		2021
OPERATING ACTIVITIES
Net income	$	27,835	$	20,885
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and (accretion)/amortization	(19,111)		2,473
Reduction of ~~the Effects of Reference Rate Reform~~provision for credit losses	(100)		(1,226)
Change in net fair-value adjustments on ~~Financial Reporting.~~ On March 12, 2020, the Financial Accounting Standards Board (FASB) released temporary optional guidance that provides transition relief for reference rate reform. The guidance contains optional expedients and exceptions for applying generally accepted accounting principles to contract modifications, hedging relationships, and other transactions that reference London inter-bank offered rate (LIBOR) or a reference rate that is 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~~derivatives and hedging ~~relationships, this update provides a one-time election to sell, transfer, or both sell and transfer~~activities	701,734		189,286
Loss on early extinguishment of debt	432		3,425
Other adjustments, net	768		585


Net change in:
Market value of trading securities ~~classified as held-to-maturity that reference a rate affected~~	635		14,843
Accrued interest receivable	6,977		5,166
Other assets	2,654		(2,884)
Accrued interest payable	1,046		(265)
Other liabilities	(2,266)		(8,584)
Total adjustments	692,769		202,819
Net cash provided by reference rate reform and that were classified as held-to-maturity before January 1, 2020. In the third quarter of 2020, we adopted the provision of this guidance which allows a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity. See operating activities	~~Note 3~~ — ~~Investments~~720,604		223,704

INVESTING ACTIVITIES	~~for additional information related to these sales and transfers.~~		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 have a material effect on our financial condition, results of operations, or cash flows.
Net change in: We are in the process of evaluating the remaining provisions of this guidance, and the anticipated effects on our financial condition, results of operations, and cash flows have not yet been determined.	~~Note 3 — Investments~~		~~Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold~~
Interest-bearing deposits 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 September 30, 2021, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below triple-B.	(574,908)		(134,261)
Securities purchased under agreements to resell ~~are short-term and structured such that they are evaluated daily~~	(600,000)		(750,000)
Federal funds sold	(222,000)		1,042,000

Trading securities:

Proceeds	500,000		450,300

Available-for-sale securities:

Proceeds	256,204		283,675
Purchases	(1,225,092)		(3,494,387)
Held-to-maturity securities:
Proceeds	22,021		15,398

Advances 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 ofmembers:
Repaid	13,981,077		12,349,062
Originated	(13,558,193)		(10,378,308)
Mortgage loans held for portfolio:
Proceeds	161,799		379,118
Purchases	(43,961)		(181,267)
Other investing activities, net	(91)		(163)
Net cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the 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 September 30,used in investing activities	(1,303,144)		(418,833)

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FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CASH FLOWS — (Continued) (dollars in thousands) (unaudited)
	For the Three Months Ended March 31,
	2022		2021
FINANCING ACTIVITIES
Net change in deposits	(80,649)		(800)
Net payments on derivatives with a financing element	53,923		54,222
Net proceeds from issuance of consolidated obligations:
Discount notes	36,250,813		92,132,220
Bonds	2,091,461		5,420,550

Payments for maturing and retiring consolidated obligations:
Discount notes	(35,647,840)		(95,082,922)
Bonds	(2,057,831)		(3,906,102)
Bonds transferred to other FHLBanks	—		(173,984)
Payment of financing lease	(11)		(11)

Proceeds from issuance of capital stock	121,860		39,837
Payments for repurchase of capital stock	(146,016)		(125,344)
Payments for redemption of mandatorily redeemable capital stock	(144)		(118)
Cash dividends paid	(5,136)		(5,348)
Net cash provided by (used in) financing activities	580,430		(1,647,800)
Net decrease in cash and due from banks	(2,110)		(1,842,929)
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	$	202,883	$	207,099
Supplemental disclosures:
Interest paid	$	51,546	$	70,972
AHP payments	$	3,243	$	4,753


Noncash transfers of mortgage loans held for portfolio to other assets	$	200	$	—

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

Table of Contents

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. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The 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, 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, 2021, filed with the Securities and Exchange Commission (the SEC) on March 18, 2022 (the 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 — Recently Issued and Adopted Accounting Guidance

Effective Beginning in 2020

Facilitation of the Effects of Reference Rate Reform on Financial Reporting. On March 12, 2020, the Financial Accounting Standards Board (FASB) released temporary optional guidance that provides transition relief for reference rate reform. The guidance contains optional expedients and exceptions for applying GAAP to contract modifications, hedging relationships, and other transactions that reference the London Interbank Offered Rate (LIBOR) or a reference rate that is 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 reference rate reform and that were classified as held-to-maturity before January 1, 2020. In the third quarter of 2020, we adopted the provision of this guidance which 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 have a material effect on our financial condition, results of operations, or cash flows.

We are in the process of evaluating the remaining provisions of this guidance, and the anticipated effects on our financial condition, results of operations, and cash flows 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 March 31, 2022, and December 31, 2021, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below single-A.

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 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 March 31, 2022, and December 31, 2021.

~~Table of Contents~~

Federal funds sold are unsecured loans to banks that are generally transacted on an overnight basis. FHFA regulations include a limit on the amount of unsecured credit we may extend to a counterparty. At September 30, 2021, and December 31, 2020, all investments in interest-bearing demand deposits and federal funds sold were repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2021.

The effects of the COVID-19 pandemic (and related fiscal stimulus and monetary policies) on the global economy and financial markets could put pressure on our bank counterparties’ profitability, asset quality, and in some cases, capitalization. We continually monitor the creditworthiness of our counterparties and may reduce or suspend individual credit lines as conditions warrant.

~~Debt Securities~~

We invest in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. We are prohibited by FHFA regulations from investing in certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities, but we are not required to divest instruments that experienced credit deterioration after their purchase.

~~Trading Securities~~

~~Table 3.1 - Trading Securities by Major Security Type~~

~~(dollars in thousands)~~

September 30, 2021 December 31, 2020
Corporate bonds $ 1,524 $ 5,422
U.S. Treasury obligations 1,756,149 3,596,718
1,757,673 3,602,140
Mortgage-backed securities (MBS)
U.S. government-guaranteed – single-family 2,133 2,884
Government-sponsored enterprises (GSE) – single-family 45 55
2,178 2,939
Total $ 1,759,851 $ 3,605,079

~~Table 3.2 - Unrealized and Realized Gains (Losses) on Trading Securities~~

~~(dollars in thousands)~~

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2021 2020 2021 2020
Net unrealized (losses) gains on trading securities held at period end $ (9,841) $ (18,318) $ (25,811) $ 9,385
Net unrealized and realized losses on trading securities sold or matured during the period (1,253) (1,285) (14,725) (1,618)
Net unrealized (losses) gains on trading securities $ (11,094) $ (19,603) $ (40,536) $ 7,767

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

~~Available-for-sale Securities~~

~~Table of Contents~~

~~Table 3.3 - Available-for-Sale Securities by Major Security Type~~

~~(dollars in thousands)~~

September 30, 2021
Amounts Recorded in Accumulated Other Comprehensive Income

Amortized
Cost (1)
Unrealized
Gains Unrealized
Losses Fair
Value
U.S. Treasury obligations $ 4,386,399 $ 2,017 $ (744) $ 4,387,672
State housing-finance-agency obligations (HFA securities) 74,765 2 (925) 73,842
Supranational institutions 417,730 87 (6,216) 411,601
U.S. government-owned corporations 325,580 — (21,074) 304,506
GSE 130,836 — (4,528) 126,308
5,335,310 2,106 (33,487) 5,303,929
MBS
U.S. government guaranteed – single-family 22,678 347 — 23,025
U.S. government guaranteed – multifamily 453,661 230 — 453,891
GSE – single-family 1,205,083 18,486 (65) 1,223,504
GSE – multifamily 5,049,026 101,326 (22,444) 5,127,908
6,730,448 120,389 (22,509) 6,828,328
Total $ 12,065,758 $ 122,495 $ (55,996) $ 12,132,257

December 31, 2020
Amounts Recorded in Accumulated Other Comprehensive Income

Amortized
Cost (1)
Unrealized
Gains Unrealized
Losses Fair
Value
HFA securities $ 126,930 $ — $ (4,381) $ 122,549
Supranational institutions 442,225 — (12,156) 430,069
U.S. government-owned corporations 350,052 — (27,991) 322,061
GSE 140,136 — (5,144) 134,992
1,059,343 — (49,672) 1,009,671
MBS
U.S. government guaranteed – single-family 29,148 260 — 29,408
U.S. government guaranteed – multifamily 46,829 351 — 47,180
GSE – single-family 1,442,282 26,790 (24) 1,469,048
GSE – multifamily 3,593,978 70,863 — 3,664,841
5,112,237 98,264 (24) 5,210,477
Total $ 6,171,580 $ 98,264 $ (49,696) $ 6,220,148

~~_______________________~~

~~(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. Amortized cost excludes accrued interest receivable of $24.2 million and $24.0 million at September 30, 2021, and December 31, 2020, respectively.

~~Table of Contents~~

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

~~(dollars in thousands)~~

September 30, 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 $ 1,959,169 $ (744) $ — $ — $ 1,959,169 $ (744)
HFA securities — — 60,795 (925) 60,795 (925)
Supranational institutions — — 396,677 (6,216) 396,677 (6,216)
U.S. government-owned corporations — — 304,506 (21,074) 304,506 (21,074)
GSE — — 126,308 (4,528) 126,308 (4,528)
1,959,169 (744) 888,286 (32,743) 2,847,455 (33,487)
MBS
GSE – single-family 87,064 (65) — — 87,064 (65)
GSE – multifamily 982,060 (22,444) — — 982,060 (22,444)
1,069,124 (22,509) — — 1,069,124 (22,509)
Total $ 3,028,293 $ (23,253) $ 888,286 $ (32,743) $ 3,916,579 $ (55,996)

December 31, 2020
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
HFA securities $ — $ — $ 109,780 $ (4,381) $ 109,780 $ (4,381)
Supranational institutions — — 430,069 (12,156) 430,069 (12,156)
U.S. government-owned corporations — — 322,061 (27,991) 322,061 (27,991)
GSE — — 134,992 (5,144) 134,992 (5,144)
— — 996,902 (49,672) 996,902 (49,672)
MBS
GSE – single-family — — 10,271 (24) 10,271 (24)
Total $ — $ — $ 1,007,173 $ (49,696) $ 1,007,173 $ (49,696)

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

~~(dollars in thousands)~~

September 30, 2021 December 31, 2020
Year of Maturity Amortized
Cost Fair
Value Amortized
Cost Fair
Value
Due in one year or less $ 10,600 $ 10,591 $ 10,600 $ 10,524
Due after one year through five years 1,201,851 1,199,354 169,570 166,813
Due after five years through 10 years 3,713,611 3,710,246 400,477 389,753
Due after 10 years 409,248 383,738 478,696 442,581
5,335,310 5,303,929 1,059,343 1,009,671
MBS (1)
6,730,448 6,828,328 5,112,237 5,210,477
Total $ 12,065,758 $ 12,132,257 $ 6,171,580 $ 6,220,148

~~_______________________~~

(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.

Table of Contents

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 unsecured credit we may extend to a counterparty. All investments in interest-bearing deposits and federal funds sold outstanding as of March 31, 2022, and December 31, 2021, have been repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2022, and December 31, 2021.

Debt Securities

Trading Securities

Table 3.1 - Trading Securities by Major Security Type

(dollars in thousands)


	March 31, 2022		December 31, 2021
Corporate bonds	$	1,232	$	1,442
U.S. Treasury obligations	—		500,425
Total	$	1,232	$	501,867

Table 3.2 - Net Losses on Trading Securities

(dollars in thousands)


	For the Three Months Ended March 31,
	2022		2021
Net losses on trading securities held at period end	$	(210)	$	(13,382)
Net losses on trading securities sold or matured during the period	(425)		(1,461)
Net losses on trading securities	$	(635)	$	(14,843)

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

Available-for-sale Securities

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Table 3.3 - Available-for-Sale Securities by Major Security Type

(dollars in thousands)


	March 31, 2022
			Amounts Recorded in Accumulated Other Comprehensive Income
	Amortized Cost (1)		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury obligations	$	5,531,093	$	110	$	(19,407)	$	5,511,796
State housing-finance-agency obligations (HFA securities)	63,330		—		(1,886)		61,444
Supranational institutions	386,593		19		(6,330)		380,282

U.S. government-owned corporations	298,720		—		(23,246)		275,474
Government-sponsored enterprises (GSE)	120,324		—		(6,207)		114,117
	6,400,060		129		(57,076)		6,343,113
Mortgage-backed securities (MBS)
U.S. government guaranteed – single-family	20,753		6		(732)		20,027
U.S. government guaranteed – multifamily	538,813		—		(1,920)		536,893
GSE – single-family	998,750		1,396		(15,272)		984,874
GSE – multifamily	5,237,946		46,688		(56,492)		5,228,142
	6,796,262		48,090		(74,416)		6,769,936
Total	$	13,196,322	$	48,219	$	(131,492)	$	13,113,049


	December 31, 2021
			Amounts Recorded in Accumulated Other Comprehensive Income
	Amortized Cost (1)		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury obligations	$	5,081,536	$	3,380	$	(370)	$	5,084,546
HFA securities	63,330		2		(1,067)		62,265
Supranational institutions	409,337		96		(5,668)		403,765
U.S. government-owned corporations	325,567		—		(18,703)		306,864
GSE	130,143		—		(3,671)		126,472
	6,009,913		3,478		(29,479)		5,983,912
MBS
U.S. government guaranteed – single-family	21,435		100		—		21,535
U.S. government guaranteed – multifamily	541,238		219		(52)		541,405
GSE – single-family	1,093,890		9,945		(121)		1,103,714
GSE – multifamily	5,171,498		99,119		(25,196)		5,245,421
	6,828,061		109,383		(25,369)		6,912,075
Total	$	12,837,974	$	112,861	$	(54,848)	$	12,895,987

_______________________

(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. Amortized cost excludes accrued interest receivable of $26.3 million and $31.6 million at March 31, 2022, and December 31, 2021, respectively.

Table of Contents

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

(dollars in thousands)


	March 31, 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	$	4,816,846	$	(17,102)	$	451,289	$	(2,305)	$	5,268,135	$	(19,407)
HFA securities	12,167		(43)		49,277		(1,843)		61,444		(1,886)
Supranational institutions	—		—		366,493		(6,330)		366,493		(6,330)
U.S. government-owned corporations	—		—		275,474		(23,246)		275,474		(23,246)
GSE	—		—		114,117		(6,207)		114,117		(6,207)
	4,829,013		(17,145)		1,256,650		(39,931)		6,085,663		(57,076)

MBS
U.S. government guaranteed – single-family	19,226		(732)		—		—		19,226		(732)
U.S. government guaranteed – multifamily	536,893		(1,920)		—		—		536,893		(1,920)
GSE – single-family	856,508		(15,272)		—		—		856,508		(15,272)
GSE – multifamily	3,142,634		(56,492)		—		—		3,142,634		(56,492)
	4,555,261		(74,416)		—		—		4,555,261		(74,416)
Total	$	9,384,274	$	(91,561)	$	1,256,650	$	(39,931)	$	10,640,924	$	(131,492)


	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)

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

(dollars in thousands)


	March 31, 2022				December 31, 2021
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	27,000	$	26,680	$	27,000	$	26,780
Due after one year through five years	2,290,850		2,282,513		1,898,894		1,898,308
Due after five years through 10 years	3,706,802		3,687,743		3,674,762		3,671,798
Due after 10 years	375,408		346,177		409,257		387,026
	6,400,060		6,343,113		6,009,913		5,983,912
MBS (1)	6,796,262		6,769,936		6,828,061		6,912,075
Total	$	13,196,322	$	13,113,049	$	12,837,974	$	12,895,987

_______________________

Held-to-Maturity Securities

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

(dollars in thousands)


		September 30, 2021									March 31, 2022
		Amortized Cost(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value			Amortized Cost(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value

MBS	MBS									MBS
U.S. government guaranteed – single-family	U.S. government guaranteed – single-family	$	4,567	$	87	$	—	$	4,654	U.S. government guaranteed – single-family	$	4,073	$	74	$	—	$	4,147

GSE – single-family	GSE – single-family	159,600		3,440		(96)		162,944		GSE – single-family	119,804		1,709		(246)		121,267

Total	Total	$	164,167	$	3,527	$	(96)	$	167,598	Total	$	123,877	$	1,783	$	(246)	$	125,414

December 31, 2020

Amortized Cost(1)
Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
MBS
U.S. government guaranteed – single-family $ 5,388 $ 103 $ — $ 5,491
GSE – single-family 201,774 4,681 (109) 206,346
Total $ 207,162 $ 4,784 $ (109) $ 211,837


	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 ~~$233~~$182 thousand and ~~$368~~$200 thousand at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively.

~~Transfers and Sales of Available-for-Sale Securities and Held-to-Maturity Securities~~

During the first and third quarters of 2020, we sold held-to-maturity private-label MBS that had less than 15 percent of the acquired principal outstanding at the time of the 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.

~~Additionally, during the third quarter of 2020 we adopted a provision of the Accounting Standards Update titled~~ ~~Facilitation of the Effects of Reference Rate Reform on Financial Reporting~~ which 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 reference rate reform and that were classified as held-to-maturity before January 1, 2020.

~~Table 3.7 - Transfer of Held-to-Maturity Securities to Available-for-Sale Securities in Third Quarter 2020~~

~~(dollars in thousands)~~

Amortized Cost Allowance for Credit Losses Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
HFA securities $ 77,470 $ — $ — $ 77,470 $ — $ (6,230) $ 71,240
MBS GSE – single-family 17,802 — — 17,802 89 — 17,891
MBS - Private-label 158,945 (634) (31,502) 126,809 53,953 (248) 180,514
Total $ 254,217 $ (634) $ (31,502) $ 222,081 $ 54,042 $ (6,478) $ 269,645

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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 nine~~ months ended ~~September 30, 2021~~March 31, 2022 and ~~2020.~~2021.

Table ~~3.8~~3.7 - Proceeds and Gains (Losses) from Sales of Investment Securities

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(dollars in thousands)


		For the Three Months Ended September 30,				For the Nine Months Ended September 30,					For the Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Available-for-Sale Securities	Available-for-Sale Securities									Available-for-Sale Securities
Proceeds from sale	Proceeds from sale	$	—	$	165,439	$	—	$	165,439	Proceeds from sale	$	142,733	$	—
Amortized cost, net of allowance for credit losses		—		139,229		—		139,229
Amortized cost										Amortized cost	142,735		—

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

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

Gross realized gains from sale	Gross realized gains from sale	$	—	$	26,438	$	—	$	26,438	Gross realized gains from sale	$	22	$	—
Gross realized losses from sale	Gross realized losses from sale	—		(228)		—		(228)		Gross realized losses from sale	(2)		—
Realized net gain from sale	Realized net gain from sale	$	—	$	26,210	$	—	$	26,210	Realized net gain from sale	$	20	$	—

Held-to-Maturity Securities(1)
Proceeds from sale		$	—	$	101,107	$	—	$	262,850
Less: Carrying value		—		75,522		—		176,293
Less: Noncredit losses recorded in accumulated other comprehensive income		—		18,905		—		39,144
Realized net gain from sale		$	—	$	6,680	$	—	$	47,413

_______________________

(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 Held-to-Maturity Securities

We 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),~~Ginnie Mae, Freddie Mac, and ~~Federal National Mortgage Association (Fannie Mae)~~Fannie Mae that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At ~~September 30,~~March 31, 2022, and December 31, 2021, all available-for-sale securities and held-to-maturity securities ~~based on amortized cost,~~ were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security.

We evaluate ~~our~~ 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 ~~September 30, 2021,~~March 31, 2022, certain available-for-sale securities were in an unrealized loss position. These losses are 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 these securities nor do we consider 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. Further, we have not experienced any material payment defaults on the instruments. ~~In addition, substantially all~~Based on our assessment of ~~these securities carry an implicit~~the creditworthiness of the issuers or ~~explicit government guarantee. As a result,~~guarantors, no allowance for credit losses was recorded on available-for-sale securities at ~~September 30,~~March 31, 2022, and December 31, 2021. ~~See Table 3.9 below for the allowance for credit losses on available-for-sale securities at September 30, 2020.~~

We evaluate ~~our~~ held-to-maturity securities for impairment on a collective or pooled basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. AsWe have not experienced and do not anticipate any material payment defaults on these securities. Based on our assessment of ~~September 30, 2021, we had not established an~~the creditworthiness of the issuers or guarantors, no allowance for credit losses on any of our held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor do we expect to experience, any payment default on the instruments, and (3) in the case of U.S. or GSE obligations, carry an implicit or explicit government guarantee such that we consider the risk of nonpayment to be zero. See Table 3.9 below for the allowance for credit losseswas recorded on held-to-maturity securities at ~~September 30, 2020.~~

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~~Table 3.9 - Allowance for Credit Losses on Debt Securities~~

~~(dollars in thousands)~~

For the Three Months Ended September 30, 2020 For the Nine Months Ended September 30, 2020
Available-for-Sale Held-to-Maturity Available-for-Sale Held-to-Maturity
Balance at beginning of period $ — $ 5,566 $ — $ —
Adjustments for cumulative effect of change in accounting principle(1)
— — — 5,308
Transfers 634 (634) 634 (634)
Reduction of provision for credit losses due to sales of securities (68) (2,423) (68) (3,205)
Reduction of provision for credit losses (143) (2,509) (143) (1,469)
Charge-offs (299) — (299) —
Balance at end of period $ 124 $ — $ 124 $ —

~~_________________________~~

~~(1) We adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. See Item 8 — Financial Statements~~March 31, 2022, and Supplementary Data — Notes to Financial Statements — Note 3 — Recently Issued and Adopted Accounting Guidance in the 2020 Annual Report for information on the adoption of Financial Instruments - Credit Losses. Upon adoption of this new accounting guidance, we recorded through a cumulative effect adjustment to retained earnings an increase in the allowance for credit losses associated with held-to-maturity private-label MBS totaling $5.3 million.December 31, 2021.

Note 4 — Advances

General Terms. At ~~both September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, we had advances outstanding with interest rates ranging from 0.00 percent to 6.23 percent and 0.00 percent to 7.72 ~~percent.~~percent, respectively.

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Table 4.1 - Advances Outstanding by Year of Contractual Maturity

(dollars in thousands)

September 30, 2021 December 31, 2020
Amount Weighted
Average
Rate Amount Weighted
Average
Rate
Overdrawn demand-deposit accounts $ 97 0.59 % $ 135 0.62 %
Due in one year or less 5,443,617 1.02 9,090,900 1.00
Due after one year through two years 2,106,482 2.17 2,281,047 1.78
Due after two years through three years 1,630,633 1.85 2,014,880 2.37
Due after three years through four years 2,372,177 1.29 1,685,056 1.79
Due after four years through five years 1,262,211 1.42 2,687,456 1.34
Thereafter 1,200,358 2.08 945,038 2.38
Total par value 14,015,575 1.46 % 18,704,512 1.43 %
Premiums 888 2,248
Discounts (36,332) (37,592)
Fair value of bifurcated derivatives (1)
29,155 44,534
Hedging adjustments 47,705 103,300
Total (2)
$ 14,056,991 $ 18,817,002


	March 31, 2022				December 31, 2021
	Amount		Weighted Average Rate		Amount		Weighted Average Rate
Overdrawn demand-deposit accounts	$	—	—	%	$	64	0.60	%
Due in one year or less	4,568,712		0.95		5,064,776		0.76
Due after one year through two years	1,373,263		2.08		1,354,297		2.26
Due after two years through three years	1,816,649		1.65		1,541,076		1.64
Due after three years through four years	1,624,702		1.44		2,173,238		1.43
Due after four years through five years	1,053,462		1.26		1,310,971		1.07
Due after five years through fifteen years	1,456,648		2.14		871,692		2.11
Thereafter	31,404		1.31		31,591		1.33
Total par value	11,924,840		1.43	%	12,347,705		1.28	%

Discounts	(33,966)				(34,926)
Fair value of bifurcated derivatives (1)	4,982				11,890
Hedging adjustments	(79,428)				15,351
Total (2)	$	11,816,428			$	12,340,020

_________________________

(1) At ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, we had 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 ~~$21.5~~$19.3 million and ~~$25.8~~$16.3 million at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively.

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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. Other advances may only be prepaid by paying a fee (prepayment fee) that makes us financially indifferent to the prepayment of the advance.

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

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Overdrawn demand-deposit accounts	Overdrawn demand-deposit accounts	$	97	$	135	Overdrawn demand-deposit accounts	$	—	$	64
Due in one year or less	Due in one year or less	6,505,792		10,149,975		Due in one year or less	5,630,287		6,116,251
Due after one year through two years	Due after one year through two years	1,920,782		2,095,247		Due after one year through two years	1,163,263		1,354,297
Due after two years through three years	Due after two years through three years	1,388,558		1,809,880		Due after two years through three years	1,683,974		1,249,001
Due after three years through four years	Due after three years through four years	2,255,177		1,392,981		Due after three years through four years	1,511,302		2,106,238
Due after four years through five years	Due after four years through five years	758,511		2,335,956		Due after four years through five years	466,262		632,271
Due after five years through fifteen years						Due after five years through fifteen years	1,438,348		857,992
Thereafter	Thereafter	1,186,658		920,338		Thereafter	31,404		31,591
Total par value	Total par value	$	14,015,575	$	18,704,512	Total par value	$	11,924,840	$	12,347,705

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.

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

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Overdrawn demand-deposit accounts	Overdrawn demand-deposit accounts	$	97	$	135	Overdrawn demand-deposit accounts	$	—	$	64
Due in one year or less	Due in one year or less	7,036,042		10,755,575		Due in one year or less	5,349,162		6,088,201
Due after one year through two years	Due after one year through two years	1,320,482		2,201,797		Due after one year through two years	1,078,063		908,797
Due after two years through three years	Due after two years through three years	1,524,633		1,224,380		Due after two years through three years	1,453,899		1,497,076
Due after three years through four years	Due after three years through four years	1,785,252		1,593,056		Due after three years through four years	1,545,202		1,709,313
Due after four years through five years	Due after four years through five years	1,195,211		2,059,531		Due after four years through five years	1,044,962		1,277,471
Due after five years through fifteen years						Due after five years through fifteen years	1,422,148		835,192
Thereafter	Thereafter	1,153,858		870,038		Thereafter	31,404		31,591
Total par value	Total par value	$	14,015,575	$	18,704,512	Total par value	$	11,924,840	$	12,347,705

Table 4.4 - Advances by Current Interest Rate Terms

(dollars in thousands)


							March 31, 2022		December 31, 2021

		September 30, 2021		December 31, 2020
Fixed-rate	Fixed-rate	$	11,977,103	$	16,742,602	Fixed-rate	$	10,197,965	$	9,998,766
Variable-rate	Variable-rate	2,038,472		1,961,910		Variable-rate	1,726,875		2,348,939
Total par value	Total par value	$	14,015,575	$	18,704,512	Total par value	$	11,924,840	$	12,347,705

Credit Risk Exposure and Security Terms. Our advances are primarily made to member financial institutions, including commercial banks, insurance companies, savings institutions, and credit 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. 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 ~~2020~~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 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~

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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 ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, none of our advances were past due, on nonaccrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances during the ~~nine months~~years ended ~~September 30, 2021~~March 31, 2022, and ~~2020.~~December 31, 2021.

Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on advances, we have not recorded any allowance for credit losses on our advances at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~2021.

Prepayment Fees.

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Table 4.5 - Advances Prepayment Fees

(dollars in thousands)


		For the Three Months Ended September 30,				For the Nine Months Ended September 30,					For the Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Prepayment fees received from borrowers	Prepayment fees received from borrowers	$	6,370	$	5,834	$	20,515	$	13,737	Prepayment fees received from borrowers	$	923	$	9,417
Hedging fair-value adjustments on prepaid advances	Hedging fair-value adjustments on prepaid advances	(1,172)		(64)		(2,108)		(2,961)		Hedging fair-value adjustments on prepaid advances	9		(457)
Net discount (premiums) associated with prepaid advances		112		(124)		(1,132)		(128)
Net premiums associated with prepaid advances										Net premiums associated with prepaid advances	(18)		(1,227)

Advance prepayment fees recognized in income, net	Advance prepayment fees recognized in income, net	$	5,310	$	5,646	$	17,275	$	10,648	Advance prepayment fees recognized in income, net	$	914	$	7,733

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)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Real estate	Real estate					Real estate
Fixed-rate 15-year single-family mortgages	Fixed-rate 15-year single-family mortgages	$	297,104	$	322,713	Fixed-rate 15-year single-family mortgages	$	262,606	$	278,393
Fixed-rate 20- and 30-year single-family mortgages	Fixed-rate 20- and 30-year single-family mortgages	2,936,183		3,547,994		Fixed-rate 20- and 30-year single-family mortgages	2,692,561		2,793,682
Premiums	Premiums	50,990		60,050		Premiums	45,284		48,043
Discounts	Discounts	(761)		(1,094)		Discounts	(1,748)		(671)
Deferred derivative gains, net	Deferred derivative gains, net	2,464		3,689		Deferred derivative gains, net	1,579		2,412
Total mortgage loans held for portfolio(1)	Total mortgage loans held for portfolio(1)	3,285,980		3,933,352		Total mortgage loans held for portfolio(1)	3,000,282		3,121,859
Less: allowance for credit losses	Less: allowance for credit losses	(2,055)		(3,100)		Less: allowance for credit losses	(1,600)		(1,700)
Total mortgage loans, net of allowance for credit losses	Total mortgage loans, net of allowance for credit losses	$	3,283,925	$	3,930,252	Total mortgage loans, net of allowance for credit losses	$	2,998,682	$	3,120,159

________________________

(1) Excludes accrued interest receivable of ~~$16.0~~$15.2 million and ~~$19.3~~$15.7 million at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively.

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

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Conventional mortgage loans	Conventional mortgage loans	$	3,030,709	$	3,624,557	Conventional mortgage loans	$	2,773,688	$	2,880,354
Government mortgage loans	Government mortgage loans	202,578		246,150		Government mortgage loans	181,479		191,721
Total par value	Total par value	$	3,233,287	$	3,870,707	Total par value	$	2,955,167	$	3,072,075

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 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 credit enhancements see Part II — Item 8 — Financial Statements and Supplementary Data — Note 7 — Mortgage Loans Held for Portfolio — Credit-Enhancements in the ~~2020~~2021 Annual Report.

~~Relief to Borrowers During the COVID-19 Pandemic.~~ We have elected to apply Section 4013 of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) to our loan modifications that qualify under the CARES Act. As a result, we have elected to suspend troubled debt restructuring accounting for eligible modifications under Section 4013 of the CARES Act. As of September 30, 2021, we had $24.5 million of these modifications outstanding. See Part II — Item 8 — Financial Statements and Supplementary Data — Note 2 — Summary of Significant Accounting Policies in the 2020 Annual Report for additional information.

Servicers of our mortgage loans may grant a forbearance period to borrowers who have requested forbearance based on COVID-19 related difficulties so long as the loan is current or no more than 31 days delinquent at the time of the request. We continue to apply our accounting policy for past due loans and charge-offs to loans during the forbearance period unless there is a legal modification made to update the terms of the mortgage loan contract. The accrual status for loans under forbearance will be driven by the past due status of the loan based on its contractual terms.

As of September 30, 2021, we held approximately $21.1 million in par value of conventional mortgage loans that were in a forbearance plan as a result of COVID-19. Of these loans, $3.0 million had a current payment status, $2.2 million were 30 to 59 days past due, $2.3 million were 60 to 89 days past due, and $13.6 million were greater than 90 days past due and in nonaccrual status. The $21.1 million of conventional mortgage loans in forbearance represents 0.6 percent of our mortgage loans held for portfolio at September 30, 2021. In addition, we had approximately $4.3 million in par value of government mortgage loans in a forbearance plan as a result of COVID-19.

Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor ~~the migration of~~borrower performance. A past due ~~loans. Past due loans are those~~loan is one where the borrower has failed to make ~~timely payments~~a full payment of principal ~~and/or~~and interest ~~in accordance with the terms~~within 30 days of ~~the loan.~~its due date. Other delinquency statistics include nonaccrual loans and loans in process of

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foreclosure. Tables 5.3 and 5.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~2021.

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Table 5.3 - Credit Quality Indicator for Conventional Mortgage Loans

(dollars in thousands)


		September 30, 2021							March 31, 2022
		Year of Origination							Year of Origination
Payment Status at Amortized Cost(1)	Payment Status at Amortized Cost(1)	Prior to 2017		2017 to 2021		Total		Payment Status at Amortized Cost(1)	Prior to 2018		2018 to 2022		Total
Past due 30-59 days delinquent	Past due 30-59 days delinquent	$	8,528	$	10,052	$	18,580	Past due 30-59 days delinquent	$	9,463	$	6,734	$	16,197
Past due 60-89 days delinquent	Past due 60-89 days delinquent	3,109		947		4,056		Past due 60-89 days delinquent	3,049		2,644		5,693
Past due 90 days or more delinquent	Past due 90 days or more delinquent	12,284		11,802		24,086		Past due 90 days or more delinquent	11,169		5,703		16,872
Total past due	Total past due	23,921		22,801		46,722		Total past due	23,681		15,081		38,762
Total current loans	Total current loans	1,246,591		1,786,178		3,032,769		Total current loans	1,310,779		1,465,766		2,776,545
Total mortgage loans		$	1,270,512	$	1,808,979	$	3,079,491
Total conventional mortgage loans								Total conventional mortgage loans	$	1,334,460	$	1,480,847	$	2,815,307


	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

_________________________

December 31, 2020
Year of Origination
Payment Status at Amortized Cost Prior to 2016 2016 to 2020 Total
Past due 30-59 days delinquent $ 11,743 $ 25,058 $ 36,801
Past due 60-89 days delinquent 5,263 11,178 16,441
Past due 90 days or more delinquent 20,894 43,529 64,423
Total past due 37,900 79,765 117,665
Total current loans 1,246,691 2,317,975 3,564,666
Total mortgage loans $ 1,284,591 $ 2,397,740 $ 3,682,331
(1) Amortized cost excludes accrued interest receivable.

Table 5.4 - Other Delinquency Statistics of Mortgage Loans

(dollars in thousands)


		September 30, 2021										March 31, 2022
		Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total				Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	367		$	1,008		$	1,375		In process of foreclosure (1)	$	1,200		$	808		$	2,008
Serious delinquency rate (2)	Serious delinquency rate (2)	0.80		%	3.11		%	0.94		%	Serious delinquency rate (2)	0.61		%	1.80		%	0.68		%
Past due 90 days or more still accruing interest	Past due 90 days or more still accruing interest	$	—		$	5,410		$	5,410		Past due 90 days or more still accruing interest	$	—		$	3,331		$	3,331
Loans on nonaccrual status (3)	Loans on nonaccrual status (3)	$	24,540		$	1,090		$	25,630		Loans on nonaccrual status (3)	$	17,148		$	—		$	17,148


		December 31, 2020										December 31, 2021
		Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total				Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	1,762		$	1,041		$	2,803		In process of foreclosure (1)	$	786		$	935		$	1,721
Serious delinquency rate (2)	Serious delinquency rate (2)	1.75		%	6.04		%	2.02		%	Serious delinquency rate (2)	0.74		%	2.24		%	0.83		%
Past due 90 days or more still accruing interest	Past due 90 days or more still accruing interest	$	—		$	5,592		$	5,592		Past due 90 days or more still accruing interest	$	—		$	4,383		$	4,383
Loans on nonaccrual status ~~(4)~~(3)	Loans on nonaccrual status ~~(4)~~(3)	$	65,039		$	10,101		$	75,140		Loans on nonaccrual status ~~(4)~~(3)	$	21,529		$	—		$	21,529

_______________________

(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) As of ~~September 30,~~March 31, 2022, and December 31, 2021, ~~the~~$7.9 million and $11.8 million, respectively, of conventional ~~and government~~ mortgage loans on nonaccrual status ~~that~~ did not have an associated allowance for credit losses ~~amounted to $13.6 million and $1.1 million, respectively.~~

~~(4) As of December 31, 2020, the conventional and government mortgage~~because these loans ~~on nonaccrual status that did not have an associated allowance for credit losses amounted to $31.8 million and $10.1 million, respectively.~~

were either charged

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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. ~~Using Financial Instruments - Credit Losses accounting guidance, conventional~~Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other ~~pools~~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 ifwhen the borrower is experiencing financial difficulty and repayment is expected to be ~~provided by~~substantially through the sale of the underlying ~~property, that is, if it is considered likely that the borrower will default.~~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 nine~~ months ended ~~September 30, 2021~~March 31, 2022, and ~~2020.~~2021.

Table 5.5 - Allowance for Credit Losses on Conventional Mortgage Loans

(dollars in thousands)

For the Three Months Ended September 30, For the Nine Months Ended September 30,
Allowance for credit losses(1)
2021 2020 2021 2020
Balance, beginning of period $ 2,125 $ 4,602 $ 3,100 $ 500
Adjustment for cumulative effect of change in accounting principle — — — 2,221
Recoveries (charge-offs) 10 (3) 62 (83)
(Reduction of) provision for credit losses (80) 1 (1,107) 1,962
Balance, end of period $ 2,055 $ 4,600 $ 2,055 $ 4,600


	For the Three Months Ended March 31,
	2022		2021
Allowance for credit losses (1)
Balance, beginning of year	$	1,700	$	3,100

Recoveries	—		26

Reduction of provision for credit losses	(100)		(1,226)
Balance, end of period	$	1,600	$	1,900

_________________________

(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. 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).

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 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.~~guarantees, but in such instances we would 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 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~2021. Additionally, government mortgage loans ~~other than government mortgage loans that have been granted temporary forbearance,~~ 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.

Note 6 — Derivatives and Hedging Activities

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Table 6.1 - Fair Value of Derivative Instruments

(dollars in thousands)


		September 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments	Derivatives designated as hedging instruments													Derivatives designated as hedging instruments
Interest-rate swaps	Interest-rate swaps	$	25,284,371	$	6,008	$	(82,585)	$	9,960,475	$	6,044	$	(41,000)	Interest-rate swaps	$	30,538,149	$	1,467	$	(740,352)	$	26,589,956	$	362	$	(163,457)
Forward-start interest-rate swaps	Forward-start interest-rate swaps	1,391,000		—		(376)		17,000		—		(14)		Forward-start interest-rate swaps	1,391,000		—		(1,701)		1,391,000		48		(428)
Total derivatives designated as hedging instruments	Total derivatives designated as hedging instruments	26,675,371		6,008		(82,961)		9,977,475		6,044		(41,014)		Total derivatives designated as hedging instruments	31,929,149		1,467		(742,053)		27,980,956		410		(163,885)

Derivatives not designated as hedging instruments	Derivatives not designated as hedging instruments													Derivatives not designated as hedging instruments
Interest-rate swaps	Interest-rate swaps	2,394,800		3,410		(31,890)		5,536,822		3,918		(47,756)		Interest-rate swaps	329,800		—		(6,576)		900,425		3,440		(13,663)
CO bond firm commitments														CO bond firm commitments	35,000		133		—		55,000		54		(30)

CO bond firm commitments		75,000		296		—		—		—		—
Mortgage-delivery commitments (1)	Mortgage-delivery commitments (1)	8,019		47		(16)		28,386		220		—		Mortgage-delivery commitments (1)	9,889		86		(13)		3,164		68		—
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	2,477,819		3,753		(31,906)		5,565,208		4,138		(47,756)		Total derivatives not designated as hedging instruments	374,689		219		(6,589)		958,589		3,562		(13,693)
Total notional amount of derivatives	Total notional amount of derivatives	$	29,153,190					$	15,542,683					Total notional amount of derivatives	$	32,303,838					$	28,939,545
Total derivatives before netting and collateral adjustments	Total derivatives before netting and collateral adjustments			9,761		(114,867)				10,182		(88,770)		Total derivatives before netting and collateral adjustments			1,686		(748,642)				3,972		(177,578)
Netting adjustments and cash collateral, including related accrued interest (2)	Netting adjustments and cash collateral, including related accrued interest (2)			346,500		93,466				151,056		64,708		Netting adjustments and cash collateral, including related accrued interest (2)			408,814		719,369				374,560		138,634
Derivative assets and derivative liabilities	Derivative assets and derivative liabilities			$	356,261	$	(21,401)			$	161,238	$	(24,062)	Derivative assets and derivative liabilities			$	410,500	$	(29,273)			$	378,532	$	(38,944)

_______________________

(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 posted, including accrued interest, ~~posted~~ was ~~$440.0 million~~$1.1 billion and ~~$215.8~~$513.2 million at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. ~~There was no cash collateral and related accrued interest received at September 30, 2021, and December 31, 2020.~~

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.

~~Table~~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.

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

(dollars in thousands)


		For the Three Months Ended September 30, 2021							For the Three Months Ended March 31, 2022
		Advances		Available-for-sale Securities		CO Bonds			Advances		Available-for-sale Securities		CO Bonds
Total interest income (expense) in the statements of operations	Total interest income (expense) in the statements of operations	$	40,864	$	18,901	$	(48,861)	Total interest income (expense) in the statements of operations	$	33,993	$	44,733	$	(43,900)

Gains (losses) on hedging relationships	Gains (losses) on hedging relationships							Gains (losses) on hedging relationships
Changes in fair value:	Changes in fair value:							Changes in fair value:
Derivatives	Derivatives	$	13,855	$	68,669	$	(24,570)	Derivatives	$	95,849	$	636,682	$	(569,233)
Hedged items	Hedged items	(13,691)		(65,848)		24,739		Hedged items	(94,496)		(622,340)		569,710
Net changes in fair value before price alignment interest	Net changes in fair value before price alignment interest	164		2,821		169		Net changes in fair value before price alignment interest	1,353		14,342		477
Price alignment interest(1)	Price alignment interest(1)	3		11		(1)		Price alignment interest(1)	(22)		(51)		2
Net interest settlements on derivatives(2)(3)	Net interest settlements on derivatives(2)(3)	(15,531)		(32,980)		20,442		Net interest settlements on derivatives(2)(3)	(9,926)		(37,391)		26,791
Net (losses) gains on qualifying hedging relationships	Net (losses) gains on qualifying hedging relationships	(15,364)		(30,148)		20,610		Net (losses) gains on qualifying hedging relationships	(8,595)		(23,100)		27,270
Amortization/accretion of discontinued hedging relationships	Amortization/accretion of discontinued hedging relationships	(363)		—		(847)		Amortization/accretion of discontinued hedging relationships	(263)		—		502
Net (losses) gains on derivatives and hedging activities recorded in net interest income	Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(15,727)	$	(30,148)	$	19,763	Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(8,858)	$	(23,100)	$	27,772

For the Three Months Ended September 30, 2020
Advances Available-for-sale Securities CO Bonds
Total interest income (expense) in the statements of operations $ 71,218 $ 17,495 $ (82,962)
Gains (losses) on hedging relationships
Changes in fair value:
Derivatives $ 23,278 $ 46,086 $ (15,306)
Hedged items (22,865) (44,264) 15,032
Net changes in fair value before price alignment interest 413 1,822 (274)
Price alignment interest(1)
38 139 (11)
Net interest settlements on derivatives(2)(3)
(18,663) (20,361) 7,625
Net gains (losses) on qualifying hedging relationships (18,212) (18,400) 7,340
Amortization/accretion of discontinued hedging relationships (383) — (984)
Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (18,595) $ (18,400) $ 6,356

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For the Nine Months Ended September 30, 2021
Advances Available-for-sale Securities CO Bonds
Total interest income (expense) in the statements of operations $ 133,646 $ 52,737 $ (164,146)
Gains (losses) on hedging relationships
Changes in fair value:
Derivatives $ 54,752 $ 196,187 $ (92,427)
Hedged items (53,831) (189,916) 92,898
Net changes in fair value before price alignment interest 921 6,271 471
Price alignment interest(1)
19 76 (4)
Net interest settlements on derivatives(2)(3)
(47,398) (84,764) 43,912
Net (losses) gains on qualifying hedging relationships (46,458) (78,417) 44,379
Amortization/accretion of discontinued hedging relationships (1,767) — (2,249)
Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (48,225) $ (78,417) $ 42,130


		For the Nine Months Ended September 30, 2020							For the Three Months Ended March 31, 2021
		Advances		Available-for-sale Securities		CO Bonds			Advances		Available-for-sale Securities		CO Bonds
Total interest income (expense) in the statements of operations		$	340,695	$	46,993	$	(300,765)
Total income (expense) in the statements of operations								Total income (expense) in the statements of operations	$	49,552	$	22,995	$	(61,601)

Gains (losses) on hedging relationships	Gains (losses) on hedging relationships							Gains (losses) on hedging relationships
Changes in fair value:	Changes in fair value:							Changes in fair value:
Derivatives	Derivatives	$	(106,522)	$	(341,805)	$	42,327	Derivatives	$	41,861	$	256,503	$	(104,519)
Hedged items	Hedged items	105,204		333,919		(43,793)		Hedged items	(40,858)		(248,939)		104,755
Net changes in fair value before price alignment interest	Net changes in fair value before price alignment interest	(1,318)		(7,886)		(1,466)		Net changes in fair value before price alignment interest	1,003		7,564		236
Price alignment interest(1)	Price alignment interest(1)	452		1,259		(196)		Price alignment interest(1)	15		49		(3)
Net interest settlements on derivatives(2)(3)	Net interest settlements on derivatives(2)(3)	(35,971)		(49,918)		17,621		Net interest settlements on derivatives(2)(3)	(15,825)		(21,937)		7,470
Net (losses) gains on qualifying hedging relationships	Net (losses) gains on qualifying hedging relationships	(36,837)		(56,545)		15,959		Net (losses) gains on qualifying hedging relationships	(14,807)		(14,324)		7,703
Amortization/accretion of discontinued hedging relationships	Amortization/accretion of discontinued hedging relationships	(1,213)		—		(2,819)		Amortization/accretion of discontinued hedging relationships	(699)		—		912
Net (losses) gains on derivatives and hedging activities recorded in net interest income	Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(38,050)	$	(56,545)	$	13,140	Net (losses) gains on derivatives and hedging activities recorded in net interest income	$	(15,506)	$	(14,324)	$	8,615

_______________________

(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.

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

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

(dollars in thousands)

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2021 2020 2021 2020
Forward-start interest rate swaps - CO Bonds
Losses reclassified from accumulated other comprehensive income into interest expense $ (1,453) $ (1,788) $ (4,516) $ (5,318)
Gains (losses) recognized in other comprehensive income 8,672 15 (366) (1,264)


	For the Three Months Ended March 31,
	2022		2021
Forward-start interest rate swaps - CO Bonds
Losses reclassified from accumulated other comprehensive loss into interest expense	$	(1,438)	$	(1,557)
Gains recognized in other comprehensive income	22,058		5,186

For the ~~nine~~three months ended ~~September 30,~~March 31, 2022 and 2021, ~~and 2020,~~ there were no reclassifications from accumulated other comprehensive (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 30, 2021,~~March 31, 2022, the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is ~~ten~~nine years.

As of ~~September 30, 2021,~~March 31, 2022, the amount of deferred net losses on derivatives accumulated in other comprehensive ~~income~~loss related to cash flow hedges expected to be reclassified to earnings during the next 12 months is ~~$5.7~~$5.2 million.

Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges

(dollars in thousands)


		September 30, 2021									March 31, 2022
Line Item in Statement of Condition	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		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	Advances	$	3,707,970	$	66,188	$	10,672	$	76,860	Advances	$	3,104,342	$	(88,020)	$	8,592	$	(79,428)
Available-for-sale securities	Available-for-sale securities	10,115,287		306,503		—		306,503		Available-for-sale securities	11,555,994		(406,401)		—		(406,401)
Consolidated obligation bonds	Consolidated obligation bonds	11,688,992		(70,193)		36,965		(33,228)		Consolidated obligation bonds	14,527,974		(745,339)		31,093		(714,246)

_______________________

(1) Includes only the ~~portion of~~ amortized cost ~~representing the~~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 September 30, For the Nine Months Ended September 30,
2021 2020 2021 2020
Derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps $ (785) $ 1,201 $ (778) $ (53,171)
CO bond firm commitments 302 — 321 —
Mortgage-delivery commitments 94 409 (339) 979
Total net (losses) gains related to derivatives not designated as hedging instruments (389) 1,610 (796) (52,192)
Other(1)
2 14 8 97
Net (losses) gains on derivatives $ (387) $ 1,624 $ (788) $ (52,095)


	For the Three Months Ended March 31,
	2022		2021
Derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps	$	(521)	$	(186)
CO Bond firm commitments	521		19
Mortgage-delivery commitments	(673)		(686)
Total net losses related to derivatives not designated as hedging instruments	(673)		(853)

Other(1)	—		5

Net losses on derivatives and hedging activities	$	(673)	$	(848)

______________________

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

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

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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 (decrease) on Cash Flow Statement
	For the Three Months Ended March 31,
	2022		2021
Operating activity - net change in derivatives and hedging activities	$	700,104	$	188,472
Financing activity - net payments on derivatives with a financing element	65,795		65,545
Total variation margin received on cleared derivatives	$	765,899	$	254,017

Managing Credit Risk on Derivatives.

We enter into derivatives that we clear (cleared derivatives) with a derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under 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 or S&P to a certain level, we are required to deliver additional collateral on uncleared 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 30, 2021,~~March 31, 2022, was ~~$101.4~~$711.5 million for which we had delivered collateral with a post-haircut value of ~~$99.2~~$733.9 million 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. Table ~~6.6~~6.7 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at ~~September 30, 2021.~~March 31, 2022.

Table ~~6.6~~6.7 - Post Haircut Value of Incremental Collateral to be Delivered as of ~~September 30, 2021~~March 31, 2022

(dollars in thousands)

Ratings Downgrade (1)

From

Incremental Collateral

AA+

AA or AA-

—

AA-

A+, A or A-

—

A-

below A-

~~27,758~~25,115

_______________________

(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 each cleared derivative transaction, ~~Chicago Mercantile Exchange~~CME Inc. ~~(CME Inc.)~~ or LCH ~~Limited (LCH~~ Ltd.). Based upon their rulebooks, we characterize variation margin payments as daily settlement payments, rather than as collateral. At both DCOs, posted initial margin is considered collateral. We post initial margin and exchange variation margin through a clearing member of the DCO which clears our trades, acts as our agent to the DCO and 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.

For cleared derivatives, the DCO determines initial margin requirements. Our clearing members, which are CFTC-registered futures commission merchants, may require us to post margin in excess of DCO requirements based on our credit or other

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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 30, 2021.~~March 31, 2022.

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

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.

Table ~~of Contents~~

~~Table 6.7~~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 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties.

Table ~~6.7~~6.8 - Netting of Derivative Assets and Derivative Liabilities

(dollars in thousands)


		September 30, 2021											March 31, 2022
		Derivative Instruments Meeting Netting Requirements				Derivative Instruments Not Meeting Netting Requirements		Total Derivative Assets and Total Derivative Liabilities			Non-cash Collateral (Received) or Pledged Not Offset(2)							Derivative Instruments Meeting Netting Requirements
		Gross Recognized Amount		Gross Amounts of Netting Adjustments (1)						Net Amount			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	Derivative Assets																				Derivative Assets
Interest-rate swaps	Interest-rate swaps																Interest-rate swaps
Uncleared	Uncleared	$	5,785	$	(4,496)			$	1,289		$	—		$	1,289		Uncleared	$	1,184	$	19,223			$	20,407		$	—	$	20,407
Cleared	Cleared	3,633		350,996				354,629			—			354,629			Cleared	283		389,591				389,874			—		389,874
CO bond firm commitment						$	296	296						296
Mortgage delivery commitment						47		47						47
CO bond firm commitments																	CO bond firm commitments					$	133	133					133
Mortgage delivery commitments																	Mortgage delivery commitments					86		86					86
Total	Total							$	356,261					$	356,261		Total							$	410,500				$	410,500

Derivative Liabilities	Derivative Liabilities																Derivative Liabilities
Interest-rate swaps	Interest-rate swaps																Interest-rate swaps
Uncleared	Uncleared	$	(107,219)	$	85,834			$	(21,385)		$	17,220		$	(4,165)		Uncleared	$	(712,701)	$	683,441			$	(29,260)		$	29,260	$	—
Cleared	Cleared	(7,632)		7,632				—			—			—			Cleared	(35,928)		35,928				—			—		—

Mortgage delivery commitment						$	(16)	(16)						(16)
Mortgage delivery commitments																	Mortgage delivery commitments					$	(13)	(13)					(13)
Total	Total							$	(21,401)					$	(4,181)		Total							$	(29,273)				$	(13)

December 31, 2020
Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities
Non-cash Collateral (Received) or Pledged Not Offset(2)
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
Net Amount
Derivative Assets
Interest-rate swaps
    Uncleared $ 5,215 $ (4,899) $ 316 $ — $ 316
    Cleared 4,747 155,955 160,702 — 160,702
Mortgage delivery commitment $ 220 220 220
Total $ 161,238 $ 161,238
Derivative Liabilities
Interest-rate swaps
    Uncleared $ (82,625) $ 58,563 $ (24,062) $ 23,087 $ (975)
    Cleared (6,145) 6,145 — — —
Total $ (24,062) $ (975)

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	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.

(2) Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty. Additionally, any overcollateralization with a counterparty is not included in the determination of the net amount. At ~~September 30, 2021,~~

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~~and December~~March 31, ~~2020,~~2022, we had additional net credit exposure of ~~$1.3~~$3.3 million ~~and $925 thousand~~ due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. There was no overcollateralization at December 31, 2021.

Note 7 — Deposits

We offer demand and overnight deposits for members and qualifying ~~nonmembers and, prior to February 19, 2021, we offered term deposits to our members.~~nonmembers. 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 classify as "other" in the following table.

Table 7.1 - Deposits

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Interest-bearing	Interest-bearing					Interest-bearing
Demand and overnight	Demand and overnight	$	901,388	$	975,469	Demand and overnight	$	760,934	$	831,009

Other	Other	1,882		2,525		Other	1,335		1,998
Noninterest-bearing	Noninterest-bearing					Noninterest-bearing
Other	Other	67,462		110,993		Other	41,114		51,025
Total deposits	Total deposits	$	970,732	$	1,088,987	Total deposits	$	803,383	$	884,032

Note 8 — Consolidated Obligations

CO Bonds. CO bonds for which we have received issuance proceeds and are primarily liable were as follows:

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Table 8.1 - CO Bonds Outstanding by Contractual Maturity

(dollars in thousands)


		September 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
		Amount		Weighted Average Rate (1)		Amount		Weighted Average Rate (1)			Amount		Weighted Average Rate (1)		Amount		Weighted Average Rate (1)
Due in one year or less	Due in one year or less	$	6,855,555	0.79	%	$	10,608,465	0.81	%	Due in one year or less	$	6,734,985	0.91	%	$	6,919,220	0.79	%
Due after one year through two years	Due after one year through two years	3,197,000		1.25		3,956,120		1.35		Due after one year through two years	1,700,010		1.79		3,069,155		1.18
Due after two years through three years	Due after two years through three years	2,475,105		1.45		1,569,315		2.20		Due after two years through three years	4,773,500		1.19		3,514,735		1.09
Due after three years through four years	Due after three years through four years	2,941,270		0.95		1,141,430		2.43		Due after three years through four years	4,161,090		0.85		3,029,600		0.88
Due after four years through five years	Due after four years through five years	5,398,465		0.87		1,776,100		1.12		Due after four years through five years	5,090,200		1.04		5,735,605		0.91
Thereafter	Thereafter	4,225,785		2.06		2,312,155		3.58		Thereafter	4,298,865		1.94		4,456,865		1.91
Total par value	Total par value	25,093,180		1.16	%	21,363,585		1.42	%	Total par value	26,758,650		1.19	%	26,725,180		1.10	%
Premiums	Premiums	47,269				58,537				Premiums	35,071				40,251
Discounts	Discounts	(9,752)				(12,278)				Discounts	(8,552)				(9,011)
Hedging adjustments	Hedging adjustments	(33,228)				61,746				Hedging adjustments	(714,246)				(143,388)
Total	Total	$	25,097,469			$	21,471,590			Total	$	26,070,923			$	26,613,032

_______________________

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

Table 8.2 - CO Bonds Outstanding by Call Feature

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Noncallable and nonputable	Noncallable and nonputable	$	14,401,180	$	19,668,585	Noncallable and nonputable	$	12,177,650	$	13,924,180
Callable	Callable	10,692,000		1,695,000		Callable	14,581,000		12,801,000
Total par value	Total par value	$	25,093,180	$	21,363,585	Total par value	$	26,758,650	$	26,725,180

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

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Due in one year or less	Due in one year or less	$	17,007,555	$	11,728,465	Due in one year or less	$	20,748,985	$	19,150,220
Due after one year through two years	Due after one year through two years	3,599,000		4,046,120		Due after one year through two years	1,834,010		3,461,155
Due after two years through three years	Due after two years through three years	1,255,105		1,629,315		Due after two years through three years	1,237,500		1,044,735
Due after three years through four years	Due after three years through four years	1,551,270		1,011,430		Due after three years through four years	1,516,090		1,544,600
Due after four years through five years	Due after four years through five years	599,465		1,501,100		Due after four years through five years	455,200		539,605
Thereafter	Thereafter	1,080,785		1,447,155		Thereafter	966,865		984,865
Total par value	Total par value	$	25,093,180	$	21,363,585	Total par value	$	26,758,650	$	26,725,180

Table 8.4 - CO Bonds by Interest Rate-Payment Type

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Fixed-rate	Fixed-rate	$	16,612,180	$	12,524,585	Fixed-rate	$	17,853,650	$	17,707,180
Step-up (1)						Step-up (1)	5,002,000		4,215,000
Simple variable-rate	Simple variable-rate	4,903,000		8,549,000		Simple variable-rate	3,903,000		4,803,000
Step-up (1)		3,578,000		290,000
Total par value	Total par value	$	25,093,180	$	21,363,585	Total par value	$	26,758,650	$	26,725,180

_______________________

(1) Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates.

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

Table 8.5 - CO Discount Notes Outstanding

(dollars in thousands)

Book Value Par Value
Weighted Average
Rate (1)
September 30, 2021 $ 5,554,103 $ 5,554,519 0.04 %
December 31, 2020 $ 12,878,310 $ 12,879,765 0.10 %


	Book Value		Par Value		Weighted Average Rate (1)
March 31, 2022	$	2,878,513	$	2,879,121	0.18	%
December 31, 2021	$	2,275,320	$	2,275,519	0.05	%

_______________________

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

Note 9 — Affordable Housing Program

Table 9.1 - AHP Liability

(dollars in thousands)


		For the Nine Months Ended September 30, 2021		For the Year Ended December 31, 2020			March 31, 2022		December 31, 2021
Balance at beginning of year	Balance at beginning of year	$	78,640	$	86,131	Balance at beginning of year	$	70,503	$	78,640
AHP expense for the period	AHP expense for the period	4,852		13,386		AHP expense for the period	3,100		7,739
AHP voluntary contribution	AHP voluntary contribution	6,023		1,614		AHP voluntary contribution	8,525		4,761
AHP direct grant disbursements	AHP direct grant disbursements	(14,690)		(21,374)		AHP direct grant disbursements	(3,243)		(17,980)
AHP subsidy for AHP advance disbursements	AHP subsidy for AHP advance disbursements	(5,512)		(1,216)		AHP subsidy for AHP advance disbursements	(471)		(5,806)
Return of previously disbursed grants and subsidies	Return of previously disbursed grants and subsidies	3,135		99		Return of previously disbursed grants and subsidies	117		3,149
Balance at end of period	Balance at end of period	$	72,448	$	78,640	Balance at end of period	$	78,531	$	70,503

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Note 10 — Capital

We are subject to capital requirements under our capital plan, the FHLBank Act, and FHFA regulations and guidance:

1. Risk-based 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~~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.

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 ~~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 5 percent. Leverage capital is calculated by multiplying permanent capital by 1.5 and adding to this product all other components of total capital.

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

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Table 10.1 - Regulatory Capital Requirements

(dollars in thousands)


Risk-Based Capital Requirements	Risk-Based Capital Requirements	September 30, 2021		December 31, 2020		Risk-Based Capital Requirements	March 31, 2022		December 31, 2021

Permanent capital	Permanent capital					Permanent capital
Class B capital stock	Class B capital stock	$	1,028,177	$	1,267,172	Class B capital stock	$	929,482	$	953,638
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	13,890		6,282		Mandatorily redeemable capital stock	13,418		13,562
Retained earnings	Retained earnings	1,527,929		1,498,642		Retained earnings	1,571,105		1,548,406
Total permanent capital	Total permanent capital	$	2,569,996	$	2,772,096	Total permanent capital	$	2,514,005	$	2,515,606
Risk-based capital requirement	Risk-based capital requirement					Risk-based capital requirement
Credit-risk capital	Credit-risk capital	$	85,086	$	96,143	Credit-risk capital	$	89,592	$	84,301
Market-risk capital	Market-risk capital	222,735		204,028		Market-risk capital	205,256		213,467
Operations-risk capital	Operations-risk capital	92,346		90,052		Operations-risk capital	88,455		89,330
Total risk-based capital requirement	Total risk-based capital requirement	$	400,167	$	390,223	Total risk-based capital requirement	$	383,303	$	387,098
Permanent capital in excess of risk-based capital requirement	Permanent capital in excess of risk-based capital requirement	$	2,169,829	$	2,381,873	Permanent capital in excess of risk-based capital requirement	$	2,130,702	$	2,128,508


		September 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
		Required			Actual			Required			Actual				Required			Actual			Required			Actual
Capital Ratio	Capital Ratio													Capital Ratio
Risk-based capital	Risk-based capital	$	400,167		$	2,569,996		$	390,223		$	2,772,096		Risk-based capital	$	383,303		$	2,514,005		$	387,098		$	2,515,606
Total regulatory capital	Total regulatory capital	1,377,957			2,569,996			1,538,441			2,772,096			Total regulatory capital	1,295,826			2,514,005			1,301,812			2,515,606
Total capital-to-asset ratio	Total capital-to-asset ratio	4.0		%	7.5		%	4.0		%	7.2		%	Total capital-to-asset ratio	4.0		%	7.8		%	4.0		%	7.7		%

Leverage Ratio	Leverage Ratio													Leverage Ratio
Leverage capital	Leverage capital	$	1,722,446		$	3,854,994		$	1,923,052		$	4,158,144		Leverage capital	$	1,619,783		$	3,771,008		$	1,627,265		$	3,773,409
Leverage capital-to-assets ratio	Leverage capital-to-assets ratio	5.0		%	11.2		%	5.0		%	10.8		%	Leverage capital-to-assets ratio	5.0		%	11.6		%	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

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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. ~~We have only issued Class B stock and~~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 unpaid principal balance of certain mortgages we purchased through the MPF program (collectively, the activity-based stock-investment requirement). The 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 ~~September 30, 2021,~~March 31, 2022, our restricted retained earnings totaled $368.4 million and exceeded the contribution requirement of ~~$319.8~~$291.0 million. Restricted retained earnings are not available to pay dividends.

Note 11 — Accumulated Other Comprehensive Income (Loss)

3028

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Table 11.1 - Accumulated Other Comprehensive Income (Loss)

(dollars in thousands)

Net Unrealized Gain (Loss) on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized (Loss) Gain Relating to Hedging Activities Pension and Postretirement Benefits Total
Balance, June 30, 2020 $ (44,000) $ (50,407) $ (27,956) $ (6,108) $ (128,471)
Other comprehensive income (loss) before reclassifications:
Adjustment for transfer of securities from held-to-maturity to available-for-sale 16,062 31,502 — — 47,564
Net unrealized gains 62,434 — 15 — 62,449
Noncredit losses included in basis of securities sold — 18,905 — — 18,905
Net actuarial loss — — — (382) (382)
Reclassifications from other comprehensive income to net income
Reclassification of realized net gains included in net income (26,210) — — — (26,210)
Amortization - hedging activities (1)
— — 1,788 — 1,788
Amortization - pension and postretirement benefits (2)
— — — 290 290
Other comprehensive income (loss) 52,286 50,407 1,803 (92) 104,404
Balance, September 30, 2020 $ 8,286 $ — $ (26,153) $ (6,200) $ (24,067)
Balance, June 30, 2021 $ 84,460 $ — $ (30,340) $ (6,475) $ 47,645
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains (17,961) — 8,672 — (9,289)
Net actuarial gain — — — 646 646
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— — 1,453 — 1,453
Amortization - pension and postretirement benefits (2)
— — — 149 149
Other comprehensive (loss) income (17,961) — 10,125 795 (7,041)
Balance, September 30, 2021 $ 66,499 $ — $ (20,215) $ (5,680) $ 40,604





	Net Unrealized Gain (Loss) on Available-for-sale Securities		Net Unrealized Loss Relating to Hedging Activities		Pension and Postretirement Benefits		Total














Balance, December 31, 2020	$	48,568	$	(24,365)	$	(8,064)	$	16,139

Other comprehensive (loss) income before reclassifications:
Net unrealized (losses) gains	(1,919)		5,186		—		3,267


Reclassifications from other comprehensive income to net income


Amortization - hedging activities (1)	—		1,557		—		1,557
Amortization - pension and postretirement benefits (2)	—		—		260		260
Other comprehensive (loss) income	(1,919)		6,743		260		5,084
Balance March 31, 2021	$	46,649	$	(17,622)	$	(7,804)	$	21,223

Balance, December 31, 2021	$	58,013	$	(26,291)	$	(2,755)	$	28,967
Other comprehensive (loss) income before reclassifications:
Net unrealized (losses) gains	(141,288)		22,058		—		(119,230)

Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)	—		1,438		—		1,438
Amortization - pension and postretirement benefits (2)	—		—		23		23
Reclassification of realized net loss included in net income (3)	2		—		—		2
Other comprehensive (loss) income	(141,286)		23,496		23		(117,767)
Balance, March 31, 2022	$	(83,273)	$	(2,795)	$	(2,732)	$	(88,800)

~~Table of Contents~~

Net Unrealized Gain (Loss) on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized (Loss) Gain Relating to Hedging Activities Pension and Postretirement Benefits Total
Balance, December 31, 2019 $ (73,922) $ (76,036) $ (30,207) $ (6,807) $ (186,972)
Other comprehensive income (loss) before reclassifications:
Adjustment for transfer of securities from held-to-maturity to available-for-sale 16,062 31,502 — — 47,564
Net unrealized gains (losses) 92,356 — (1,264) — 91,092
Noncredit losses included in basis of securities sold — 39,144 — — 39,144
Accretion of noncredit loss — 5,390 — — 5,390
Net actuarial loss — — — (270) (270)
Reclassifications from other comprehensive income to net income
Reclassification of realized net gains included in net income (26,210) — — — (26,210)
Amortization - hedging activities (1)
— — 5,318 — 5,318
Amortization - pension and postretirement benefits (2)
— — — 877 877
Other comprehensive income 82,208 76,036 4,054 607 162,905
Balance, September 30, 2020 $ 8,286 $ — $ (26,153) $ (6,200) $ (24,067)
Balance, December 31, 2020 $ 48,568 $ — $ (24,365) $ (8,064) $ 16,139
Other comprehensive income (loss) before reclassifications:
Net unrealized gains (losses) 17,931 — (366) — 17,565
Net actuarial gain — — — 1,938 1,938
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— — 4,516 — 4,516
Amortization - pension and postretirement benefits (2)
— — — 446 446
Other comprehensive income 17,931 — 4,150 2,384 24,465
Balance, September 30, 2021 $ 66,499 $ — $ (20,215) $ (5,680) $ 40,604
_______________________

(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.

Note 12 — 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 Statements and Supplementary Data — Note 1915 — Fair Values in the ~~2020~~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 three months ended ~~September 30, 2021.~~March 31, 2022.

Table 12.1 presents the carrying value, fair value, and ~~fair-value~~fair value hierarchy of our financial assets and liabilities at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~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.

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Table 12.1 - Fair Value Summary

(dollars in thousands)


		September 30, 2021													March 31, 2022
		Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)			Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Financial instruments	Financial instruments													Financial instruments
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	205,284	$	205,284	$	205,284	$	—	$	—	$	—	Cash and due from banks	$	202,883	$	202,883	$	202,883	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	149		149		149		—		—		—		Interest-bearing deposits	45,160		45,160		45,160		—		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	500,000		500,000		—		500,000		—		—		Securities purchased under agreements to resell	1,400,000		1,399,995		—		1,399,995		—		—
Federal funds sold	Federal funds sold	1,848,000		1,848,000		—		1,848,000		—		—		Federal funds sold	2,166,000		2,165,962		—		2,165,962		—		—
Trading securities(1)	Trading securities(1)	1,759,851		1,759,851		—		1,759,851		—		—		Trading securities(1)	1,232		1,232		—		1,232		—		—
Available-for-sale securities(1)	Available-for-sale securities(1)	12,132,257		12,132,257		—		12,058,415		73,842		—		Available-for-sale securities(1)	13,113,049		13,113,049		—		13,051,605		61,444		—
Held-to-maturity securities	Held-to-maturity securities	164,167		167,598		—		167,598		—		—		Held-to-maturity securities	123,877		125,414		—		125,414		—		—
Advances	Advances	14,056,991		14,223,804		—		14,223,804		—		—		Advances	11,816,428		11,737,750		—		11,737,750		—		—
Mortgage loans, net	Mortgage loans, net	3,283,925		3,424,954		—		3,392,839		32,115		—		Mortgage loans, net	2,998,682		2,945,937		—		2,921,427		24,510		—
Accrued interest receivable	Accrued interest receivable	74,470		74,470		—		74,470		—		—		Accrued interest receivable	61,383		61,383		—		61,383		—		—
Derivative assets(1)	Derivative assets(1)	356,261		356,261		—		9,761		—		346,500		Derivative assets(1)	410,500		410,500		—		1,686		—		408,814
Other assets (1)	Other assets (1)	39,728		39,728		16,616		23,112		—		—		Other assets (1)	31,956		31,956		14,777		17,179		—		—
Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	(970,732)		(970,731)		—		(970,731)		—		—		Deposits	(803,383)		(803,379)		—		(803,379)		—		—
COs:	COs:													COs:
Bonds	Bonds	(25,097,469)		(25,466,219)		—		(25,466,219)		—		—		Bonds	(26,070,923)		(25,968,768)		—		(25,968,768)		—		—
Discount notes	Discount notes	(5,554,103)		(5,554,255)		—		(5,554,255)		—		—		Discount notes	(2,878,513)		(2,878,241)		—		(2,878,241)		—		—
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	(13,890)		(13,890)		(13,890)		—		—		—		Mandatorily redeemable capital stock	(13,418)		(13,418)		(13,418)		—		—		—
Accrued interest payable	Accrued interest payable	(59,159)		(59,159)		—		(59,159)		—		—		Accrued interest payable	(62,014)		(62,014)		—		(62,014)		—		—
Derivative liabilities(1)	Derivative liabilities(1)	(21,401)		(21,401)		—		(114,867)		—		93,466		Derivative liabilities(1)	(29,273)		(29,273)		—		(748,642)		—		719,369
Other:	Other:													Other:
Commitments to extend credit for advances	Commitments to extend credit for advances	—		(6,407)		—		(6,407)		—		—		Commitments to extend credit for advances	—		(11,882)		—		(11,882)		—		—

Standby letters of credit	Standby letters of credit	(972)		(972)		—		(972)		—		—		Standby letters of credit	(1,074)		(1,074)		—		(1,074)		—		—

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		December 31, 2020													December 31, 2021
		Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)			Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(2)
Financial instruments	Financial instruments													Financial instruments
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	2,050,028	$	2,050,028	$	2,050,028	$	—	$	—	$	—	Cash and due from banks	$	204,993	$	204,993	$	204,993	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	299,149		299,149		299,149		—		—		—		Interest-bearing deposits	85,153		85,153		85,153		—		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	750,000		749,995		—		749,995		—		—		Securities purchased under agreements to resell	800,000		799,998		—		799,998		—		—
Federal funds sold	Federal funds sold	2,260,000		2,259,988		—		2,259,988		—		—		Federal funds sold	1,944,000		1,943,998		—		1,943,998		—		—
Trading securities(1)	Trading securities(1)	3,605,079		3,605,079		—		3,605,079		—		—		Trading securities(1)	501,867		501,867		—		501,867		—		—
Available-for-sale securities(1)	Available-for-sale securities(1)	6,220,148		6,220,148		—		6,097,599		122,549		—		Available-for-sale securities(1)	12,895,987		12,895,987		—		12,833,722		62,265		—
Held-to-maturity securities	Held-to-maturity securities	207,162		211,837		—		211,837		—		—		Held-to-maturity securities	145,492		148,068		—		148,068		—		—
Advances	Advances	18,817,002		19,119,220		—		19,119,220		—		—		Advances	12,340,020		12,440,985		—		12,440,985		—		—
Mortgage loans, net	Mortgage loans, net	3,930,252		4,136,004		—		4,086,757		49,247		—		Mortgage loans, net	3,120,159		3,234,829		—		3,204,222		30,607		—

Accrued interest receivable	Accrued interest receivable	87,582		87,582		—		87,582		—		—		Accrued interest receivable	68,360		68,360		—		68,360		—		—
Derivative assets(1)	Derivative assets(1)	161,238		161,238		—		10,182		—		151,056		Derivative assets(1)	378,532		378,532		—		3,972		—		374,560
Other assets(1)	Other assets(1)	34,360		34,360		14,296		20,064		—		—		Other assets(1)	32,570		32,570		13,937		18,633		—		—
Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	(1,088,987)		(1,088,981)		—		(1,088,981)		—		—		Deposits	(884,032)		(884,029)		—		(884,029)		—		—
COs:	COs:													COs:
Bonds	Bonds	(21,471,590)		(22,062,476)		—		(22,062,476)		—		—		Bonds	(26,613,032)		(26,882,036)		—		(26,882,036)		—		—
Discount notes	Discount notes	(12,878,310)		(12,878,918)		—		(12,878,918)		—		—		Discount notes	(2,275,320)		(2,275,276)		—		(2,275,276)		—		—
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	(6,282)		(6,282)		(6,282)		—		—		—		Mandatorily redeemable capital stock	(13,562)		(13,562)		(13,562)		—		—		—
Accrued interest payable	Accrued interest payable	(61,918)		(61,918)		—		(61,918)		—		—		Accrued interest payable	(60,968)		(60,968)		—		(60,968)		—		—
Derivative liabilities(1)	Derivative liabilities(1)	(24,062)		(24,062)		—		(88,770)		—		64,708		Derivative liabilities(1)	(38,944)		(38,944)		—		(177,578)		—		138,634
Other:	Other:													Other:
Commitments to extend credit for advances	Commitments to extend credit for advances	—		(5,306)		—		(5,306)		—		—		Commitments to extend credit for advances	—		(6,196)		—		(6,196)		—		—

Standby letters of credit	Standby letters of credit	(1,303)		(1,303)		—		(1,303)		—		—		Standby letters of credit	(1,146)		(1,146)		—		(1,146)		—		—

_______________________

(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.

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Table 12.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis

(dollars in thousands)


		September 30, 2021											March 31, 2022
		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)		Total			Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)		Total
Assets:	Assets:											Assets:
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis											Carried at fair value on a recurring basis
Trading securities:	Trading securities:											Trading securities:
Corporate bonds	Corporate bonds	$	—	$	1,524	$	—	$	—	$	1,524	Corporate bonds	$	—	$	1,232	$	—	$	—	$	1,232
U.S. Treasury obligations		—		1,756,149		—		—		1,756,149
U.S. government-guaranteed – single-family MBS		—		2,133		—		—		2,133
GSE – single-family MBS		—		45		—		—		45

Total trading securities		—		1,759,851		—		—		1,759,851

Available-for-sale securities:	Available-for-sale securities:											Available-for-sale securities:
HFA securities	HFA securities	—		—		73,842		—		73,842		HFA securities	—		—		61,444		—		61,444
U.S. Treasury obligations												U.S. Treasury obligations	—		5,511,796		—		—		5,511,796
Supranational institutions	Supranational institutions	—		411,601		—		—		411,601		Supranational institutions	—		380,282		—		—		380,282
U.S. Treasury obligations		—		4,387,672		—		—		4,387,672

U.S. government-owned corporations	U.S. government-owned corporations	—		304,506		—		—		304,506		U.S. government-owned corporations	—		275,474		—		—		275,474
GSE	GSE	—		126,308		—		—		126,308		GSE	—		114,117		—		—		114,117
U.S. government guaranteed – single-family MBS	U.S. government guaranteed – single-family MBS	—		23,025		—		—		23,025		U.S. government guaranteed – single-family MBS	—		20,027		—		—		20,027
U.S. government guaranteed – multifamily MBS	U.S. government guaranteed – multifamily MBS	—		453,891		—		—		453,891		U.S. government guaranteed – multifamily MBS	—		536,893		—		—		536,893
GSE – single-family MBS	GSE – single-family MBS	—		1,223,504		—		—		1,223,504		GSE – single-family MBS	—		984,874		—		—		984,874
GSE – multifamily MBS	GSE – multifamily MBS	—		5,127,908		—		—		5,127,908		GSE – multifamily MBS	—		5,228,142		—		—		5,228,142
Total available-for-sale securities	Total available-for-sale securities	—		12,058,415		73,842		—		12,132,257		Total available-for-sale securities	—		13,051,605		61,444		—		13,113,049
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate-exchange agreements	Interest-rate-exchange agreements	—		9,418		—		346,500		355,918		Interest-rate-exchange agreements	—		1,467		—		408,814		410,281
CO bond firm commitments		—		296		—		—		296
CO Bond firm commitments												CO Bond firm commitments	—		133		—		—		133
Mortgage delivery commitments	Mortgage delivery commitments	—		47		—		—		47		Mortgage delivery commitments	—		86		—		—		86
Total derivative assets	Total derivative assets	—		9,761		—		346,500		356,261		Total derivative assets	—		1,686		—		408,814		410,500
Other assets	Other assets	16,616		23,112		—		—		39,728		Other assets	14,777		17,179		—		—		31,956
Total assets carried at fair value on a recurring basis	Total assets carried at fair value on a recurring basis	$	16,616	$	13,851,139	$	73,842	$	346,500	$	14,288,097	Total assets carried at fair value on a recurring basis	$	14,777	$	13,071,702	$	61,444	$	408,814	$	13,556,737
Carried at fair value on a nonrecurring basis(2)
Mortgage loans held for portfolio		$	—	$	—	$	3,736	$	—	$	3,736
REO		—		—		59		—		59
Total assets carried at fair value on a nonrecurring basis		$	—	$	—	$	3,795	$	—	$	3,795

Liabilities:	Liabilities:											Liabilities:
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis											Carried at fair value on a recurring basis
Derivative liabilities	Derivative liabilities											Derivative liabilities
Interest-rate-exchange agreements	Interest-rate-exchange agreements	$	—	$	(114,851)	$	—	$	93,466	$	(21,385)	Interest-rate-exchange agreements	$	—	$	(748,629)	$	—	$	719,369	$	(29,260)

Mortgage delivery commitments	Mortgage delivery commitments	—		(16)		—		—		(16)		Mortgage delivery commitments	—		(13)		—		—		(13)
Total liabilities carried at fair value on a recurring basis	Total liabilities carried at fair value on a recurring basis	$	—	$	(114,867)	$	—	$	93,466	$	(21,401)	Total liabilities carried at fair value on a recurring basis	$	—	$	(748,642)	$	—	$	719,369	$	(29,273)

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		December 31, 2020											December 31, 2021
		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)		Total			Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral(1)		Total
Assets:	Assets:											Assets:
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis											Carried at fair value on a recurring basis
Trading securities:	Trading securities:											Trading securities:
Corporate bonds	Corporate bonds	$	—	$	5,422	$	—	$	—	$	5,422	Corporate bonds	$	—	$	1,442	$	—	$	—	$	1,442
U.S. Treasury obligations	U.S. Treasury obligations	—		3,596,718		—		—		3,596,718		U.S. Treasury obligations	—		500,425		—		—		500,425
U.S. government-guaranteed – single-family MBS		—		2,884		—		—		2,884
GSE – single-family MBS		—		55		—		—		55

Total trading securities	Total trading securities	—		3,605,079		—		—		3,605,079		Total trading securities	—		501,867		—		—		501,867
Available-for-sale securities:	Available-for-sale securities:											Available-for-sale securities:
HFA securities	HFA securities	—		—		122,549		—		122,549		HFA securities	—		—		62,265		—		62,265
U.S. Treasury obligations												U.S. Treasury obligations	—		5,084,546		—		—		5,084,546
Supranational institutions	Supranational institutions	—		430,069		—		—		430,069		Supranational institutions	—		403,765		—		—		403,765
U.S. government-owned corporations	U.S. government-owned corporations	—		322,061		—		—		322,061		U.S. government-owned corporations	—		306,864		—		—		306,864
GSE	GSE	—		134,992		—		—		134,992		GSE	—		126,472		—		—		126,472
U.S. government guaranteed – single-family MBS	U.S. government guaranteed – single-family MBS	—		29,408		—		—		29,408		U.S. government guaranteed – single-family MBS	—		21,535		—		—		21,535
U.S. government guaranteed – multifamily MBS	U.S. government guaranteed – multifamily MBS	—		47,180		—		—		47,180		U.S. government guaranteed – multifamily MBS	—		541,405		—		—		541,405
GSE – single-family MBS	GSE – single-family MBS	—		1,469,048		—		—		1,469,048		GSE – single-family MBS	—		1,103,714		—		—		1,103,714
GSE – multifamily MBS	GSE – multifamily MBS	—		3,664,841		—		—		3,664,841		GSE – multifamily MBS	—		5,245,421		—		—		5,245,421
Total available-for-sale securities	Total available-for-sale securities	—		6,097,599		122,549		—		6,220,148		Total available-for-sale securities	—		12,833,722		62,265		—		12,895,987
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate-exchange agreements	Interest-rate-exchange agreements	—		9,962		—		151,056		161,018		Interest-rate-exchange agreements	—		3,850		—		374,560		378,410
CO Bond firm commitments												CO Bond firm commitments	—		54		—		—		54
Mortgage delivery commitments	Mortgage delivery commitments	—		220		—		—		220		Mortgage delivery commitments	—		68		—		—		68
Total derivative assets	Total derivative assets	—		10,182		—		151,056		161,238		Total derivative assets	—		3,972		—		374,560		378,532
Other assets	Other assets	14,296		20,064		—		—		34,360		Other assets	13,937		18,633		—		—		32,570
Total assets carried at fair value on a recurring basis	Total assets carried at fair value on a recurring basis	$	14,296	$	9,732,924	$	122,549	$	151,056	$	10,020,825	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)	Carried at fair value on a nonrecurring basis(2)											Carried at fair value on a nonrecurring basis(2)

Mortgage loans held for portfolio	Mortgage loans held for portfolio	$	—	$	—	$	10,782	$	—	$	10,782	Mortgage loans held for portfolio	$	—	$	—	$	3,860	$	—	$	3,860
REO	REO	—		—		245		—		245		REO	—		—		59		—		59
Total assets carried at fair value on a nonrecurring basis	Total assets carried at fair value on a nonrecurring basis	$	—	$	—	$	11,027	$	—	$	11,027	Total assets carried at fair value on a nonrecurring basis	$	—	$	—	$	3,919	$	—	$	3,919
Liabilities:	Liabilities:											Liabilities:
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis											Carried at fair value on a recurring basis
Derivative liabilities	Derivative liabilities											Derivative liabilities
Interest-rate-exchange agreements	Interest-rate-exchange agreements	$	—	$	(88,770)	$	—	$	64,708	$	(24,062)	Interest-rate-exchange agreements	$	—	$	(177,548)	$	—	$	138,634	$	(38,914)
CO Bond firm commitments												CO Bond firm commitments	—		(30)		—		—		(30)

Total liabilities carried at fair value on a recurring basis	Total liabilities carried at fair value on a recurring basis	$	—	$	(88,770)	$	—	$	64,708	$	(24,062)	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 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. The fair values presented are as of the date the fair value adjustment was recorded.

Table 12.3 presents a reconciliation of available-for-sale ~~HFA~~ securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three ~~and nine~~ months ended ~~September 30, 2021~~March 31, 2022 and ~~2020.~~2021.

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

(dollars in thousands)

HFA Securities For the Three Months Ended September 30, For the Nine Months Ended September 30,
2021 2020 2021 2020
Balance at beginning of period $ 86,077 $ 59,463 $ 122,549 $ 64,652
Transfer of securities from held-to-maturity to available-for-sale — 71,240 — 71,240
Total net unrealized gains included in other comprehensive income 125 3,040 3,458 5,451
Maturities and settlements
Maturities (12,360) (7,995) (50,720) (15,595)
Settlements — — (1,445) —
Balance at end of period $ 73,842 $ 125,748 $ 73,842 $ 125,748
Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 125 $ 2,384 $ 342 $ 4,758

Private-label MBS For the Three Months Ended September 30, 2020 For the Nine Months Ended September 30, 2020
Balance at beginning of period $ — $ —
Transfer of securities from held-to-maturity to available-for-sale 180,514 180,514
Total gains included in earnings
Net gains on sale 26,210 26,210
Reduction of provision for credit losses 211 211
Accretion 272 272
Total gains included in other comprehensive income
Total net unrealized gains included in other comprehensive income (17,098) (17,098)
Maturities and settlements
Sales (165,439) (165,439)
Maturities — —
Settlements (1,892) (1,892)
Balance at end of period $ 22,778 $ 22,778
Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 617 $ 617
Total amount of gains for the period included in earnings attributable to the provision for credit losses and accretion of discounts relating to securities held at period end $ 415 $ 415


	For the Three Months Ended March 31,
	2022		2021
	HFA Securities		HFA Securities
Balance at beginning of period	$	62,265	$	122,549





Total (losses) gains included in other comprehensive income
Net unrealized (losses) gains	(821)		2,204

Sales, maturities, and settlements

Maturities	—		(16,620)
Settlements	—		(225)
Balance at end of period	$	61,444	$	107,908

Total amount of unrealized (losses) gains for the period included in other comprehensive income relating to securities held at period end	$	(821)	$	1,349

Note 13 — 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 30, 2021,~~March 31, 2022, and through the filing of this report, we do not believe it is 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

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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 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~2021. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled ~~$610.8~~$669.9 billion and ~~$712.5~~$623.9 billion at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively. See Note 8 — Consolidated Obligations for additional information.

Off-Balance-Sheet Commitments

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Table 13.1 - Off-Balance Sheet Commitments (1)

(dollars in thousands)


		September 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
		Expire within one year		Expire after one year		Total		Expire within one year		Expire after one year		Total			Expire within one year		Expire after one year		Total		Expire within one year		Expire after one year		Total
Standby letters of credit outstanding (2)	Standby letters of credit outstanding (2)	$	5,112,384	$	200,788	$	5,313,172	$	6,190,479	$	233,771	$	6,424,250	Standby letters of credit outstanding (2)	$	5,946,969	$	137,083	$	6,084,052	$	5,369,701	$	132,096	$	5,501,797

Commitments for unused lines of credit - advances (3)	Commitments for unused lines of credit - advances (3)	1,120,311		—		1,120,311		1,127,432		—		1,127,432		Commitments for unused lines of credit - advances (3)	1,095,908		—		1,095,908		1,095,844		—		1,095,844
Commitments to make additional advances	Commitments to make additional advances	50,940		72,646		123,586		69,684		93,465		163,149		Commitments to make additional advances	238,467		52,647		291,114		40,917		66,318		107,235
Commitments to invest in mortgage loans	Commitments to invest in mortgage loans	8,019		—		8,019		28,386		—		28,386		Commitments to invest in mortgage loans	9,889		—		9,889		3,164		—		3,164
Unsettled CO bonds, at par	Unsettled CO bonds, at par	597,000		—		597,000		—		—		—		Unsettled CO bonds, at par	345,000		—		345,000		260,000		—		260,000
Unsettled CO discount notes, at par	Unsettled CO discount notes, at par	—		—		—		250,000		—		250,000		Unsettled CO discount notes, at par	145,000		—		145,000		—		—		—

__________________________

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

(2) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, these amounts totaled ~~$81.5~~$57.8 million and ~~$37.1~~$16.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling ~~$25~~$125 thousand at December 31, ~~2020.~~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.

Standby Letters of Credit. WeFor a fee, we issue standby letters of credit on behalf of our members to 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 deposits from state and local government agencies. ~~Standby letters of credit are executed for members for a fee.~~ 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. Historically, standby letters of credit usually expire without being drawn upon. At ~~September 30, 2021,~~March 31, 2022, the terms of these standby letters of credit have original expiration periods of up to 20 years, expiring no later than 2031. Currently, we offer new standby letters of credit with terms typically up to 10 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 ~~$972 thousand and $1.3~~$1.1 million at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020, respectively.~~2021.

Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 60 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 6 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features.

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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 14 — Transactions with Shareholders

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Shareholder Concentrations. We consider shareholder concentrations as members or nonmembers whose capital stock holdings (including mandatorily redeemable capital stock) are in excess of 10 percent of total capital stock outstanding at ~~September 30, 2021, and December 31, 2020. At both September 30, 2021, and December 31, 2020, no shareholder had more than 10 percent of total capital stock outstanding.~~each period end.

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
March 31, 2022
Massachusetts Mutual Life Insurance Company	$	96,820	10.3	%	$	2,100,000	17.6	%	$	8,061	41.9	%

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.

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.

Table ~~14.1~~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
September 30, 2021 $ 50,334 4.8 % $ 480,328 3.4 % $ 493 2.3 %
December 31, 2020 60,624 4.8 582,765 3.1 651 2.5


	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
March 31, 2022	$	31,985	3.4	%	$	128,016	1.1	%	$	91	0.5	%
December 31, 2021	48,104		5.0		416,542		3.4		466		2.8

Note 15 — Subsequent Events

On ~~October~~April 22, ~~2021,~~2022, the board of directors declared a cash dividend at an annualized rate of ~~2.05~~2.09 percent based on daily average capital stock balances outstanding during the ~~third~~first quarter of ~~2021.~~2022. The dividend, including dividends classified as interest expense on mandatorily redeemable capital stock, amounted to ~~$5.5~~$5.0 million and was paid on ~~November 2, 2021.~~May 3, 2022.

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

Forward-Looking Statements

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This report includes statements describing anticipated developments, projections, estimates, or 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

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underlying certain of the foregoing types of statements. These statements may use forward-looking terminology such as, but not limited to, “anticipates,” “believes,” ~~“continued,”~~"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 ~~2020~~2021 Annual Report and in Part II — Item 1A — Risk Factors of this report, along with the risks set forth below. Actual results could differ materially from those expressed or implied in these forward-looking statements or could 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.

Some of the risks and uncertainties that could affect our forward-looking statements include the following:

•the effects of economic, financial, credit, and market conditions on our financial and regulatory condition and results of operations, including changes in economic growth, general liquidity conditions, inflation and deflation, employment rates, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, asset delinquencies, members’ deposit flows, liquidity needs, and loan demand; changes in benchmark interest rates, including but not limited to the ~~anticipated~~ cessation of the LIBOR benchmark rate, the development of alternative rates, including the ~~Secured Overnight Financing Rate~~secured overnight financing rate (SOFR), and the adverse consequences these could have for market participants, including the Bank and its members; changes in the general economy, including changes resulting from U.S. fiscal and monetary policy, actions of the Federal Open Market Committee (FOMC), or changes in 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;

•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 ~~or other pandemics,~~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;

•changes in the value and liquidity of collateral we hold as security for obligations of our 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 changes in or cessation of benchmark interest rates such as LIBOR, overnight index swap (OIS), and 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 internal controls, information systems, and other operating technologies that effectively manage the risks we face, including but not limited to, failures, interruptions, or security breaches (cyber-attacks), which could increase as a result of the COVID-19 pandemic related changes in our operating environment; and

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

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These risk factors are not exhaustive. New risk factors emerge from time to time. We cannot predict such new risk factors nor can we assess the impact, if any, of such new risk factors on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those implied by any forward-looking statements.

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 ~~2020~~2021 Annual Report.

EXECUTIVE SUMMARY

~~For~~Net income for the three months ended ~~September 30, 2021, net income~~March 31, 2022, was ~~$16.5~~$27.8 million, compared with net income of ~~$53.6~~$20.9 million for the same period in ~~2020.~~2021. The ~~decrease~~increase in net income ~~for the quarter~~ was ~~primarily due to the absence of gains on sale of investment securities versus $32.9 million recorded in the third quarter of 2020, and~~driven by a decrease of ~~$11.1~~$14.2 million in net unrealized losses on trading securities and a decline of $3.0 million in losses on early extinguishment of debt. These increases to net income were partially offset by a $5.4 million increase in our voluntary contribution to the Affordable Housing Program, a decrease of $2.5 million in net interest income after provision for credit losses, ~~offset by~~and a ~~reduction~~$1.6 million increase in ~~net unrealized losses on trading securities of $8.5 million.~~operating expenses, compared to the same period in 2021.

~~Net interest income after provision for credit losses for~~In support of our housing and community investment mission, the Bank made a voluntary contribution of $8.5 million to the Affordable Housing Program in the three months ended ~~September~~March 31, 2022. For 2022, we expect to make voluntary contributions to the Affordable Housing Program such that the combined total of our required and voluntary contributions to the Affordable Housing Program, plus the subsidy expenses for three additional targeted housing and community investment voluntary programs that we have established, Jobs for New England, Helping to House New England, and Housing our Workforce, equals 30 percent of net income before deducting these amounts. Additional information on these targeted housing and community investment programs is provided in the 2021 was $51.1 million, compared with $62.3 million for the same period in 2020. Although average total earning assets declined $7.4 billion to $34.6 billion for the three months ended September 30, 2021, from $42.0 billion for the same period in 2020, the impact on net interest income after provision for credit losses was partially offset as our net interest margin increased 0.04 percentage points to 0.58 percent for the three months ended September 30, 2021, from 0.54 percent for the same period in 2020.Annual Report.

Our retained earnings grew to ~~$1.5~~$1.6 billion at ~~September 30, 2021,~~March 31, 2022, an increase of ~~$29.3~~$22.7 million from December 31, ~~2020~~2021, and equals ~~4.44~~4.85 percent of total assets at ~~September 30, 2021.~~March 31, 2022. We continue to satisfy all regulatory capital requirements as of ~~September 30, 2021.~~March 31, 2022. On ~~October~~April 22, ~~2021,~~2022, our board of directors declared a cash dividend that was equivalent to an annual yield of ~~2.05~~2.09 percent, the approximate daily average of SOFR for the ~~third~~first quarter of ~~2021~~2022 plus 200 basis ~~points, which represented an increase of 50 basis points in the spread over SOFR compared to our dividend rate calculation in the prior quarter.~~points.

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. The continued COVID-19 pandemic, which began to affect businesses and the economy in March 2020, and the response of the U.S. government and the Federal Reserve through changes in monetary policy and implementation of unprecedented fiscal stimulus programs, led to historically low interest rates ~~that remain historically low~~ and substantially elevated deposits reported by member depository institutions. The elevated level of deposits at member depository institutions has been the primary cause of the significant and continued decline in advances balances which began in the second quarter of 2020. In addition, Agency mortgage-backed security purchases by the Federal Reserve aimed at supporting the housing market through the pandemic have tightened yield spreads we earn on new mortgage acquisitions and have provided an incentive to some of our members to sell loans to Fannie Mae and Freddie Mac rather than to us. This activity has reduced our outstanding balances of mortgage loans. These developments impacted our financial condition as of ~~September 30, 2021,~~March 31, 2022, and results of operations for the three months ended ~~September 30, 2021.~~March 31, 2022.

Generally, investor demand for high credit quality, fixed-income investments, including COs, continued to be strong relative to other investments. Moreover, a ~~declining~~historically low supply of COs, primarily as a result of lower advances balances throughout the FHLBank System has ~~further increased the~~resulted in elevated relative demand for COs and improved our relative cost of borrowing. 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 and investors in COs. The Bank has continued to meet all funding needs during the three months ended ~~September 30, 2021.~~March 31, 2022.

Advances Balances

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We continue to deliver on our primary mission, supplying liquidity to our members. Advances balances totaled ~~$14.1~~$11.8 billion at ~~September 30, 2021,~~March 31, 2022, compared to ~~$18.8~~$12.3 billion at December 31, ~~2020.~~2021. The decrease in advances was in ~~both short- and long-term fixed-rate~~variable-rate advances and ~~was~~is primarily due to excess liquidity at member institutions.

Net Interest Income, Margin, and Spread

For the three months ended ~~September 30, 2021,~~March 31, 2022, net interest margin was ~~0.58~~0.74 percent, an increase of ~~0.04 percentage~~6 basis points from ~~the three months ended September 30, 2020,~~2021, and net interest spread was ~~0.56~~0.70 percent for the ~~quarter~~three months ended ~~September 30, 2021, a 0.07 percentage point~~March 31, 2022, an increase of 7 basis points from the same period in ~~2020.~~2021. The increase in both net interest spread and net interest margin ~~results primarily from~~mainly reflects an improvement in funding costs in 2022 relative to 2021, and a reduction in net premium amortization on ~~mortgage-~~

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~~related~~mortgage-related assets relative to the same period in ~~2020.~~2021. The ~~sharply-reduced~~rising interest rate environment in ~~2020 triggered~~2022 has decreased refinancing incentives on residential mortgage loans, resulting in ~~increases~~decreases of mortgage prepayment activity that resulted in ~~accelerated~~reduced net premium amortization of our ~~Agency~~agency residential MBS as well as our whole mortgage loans. ~~Refinancing activity~~Other improvements in net interest income after provision for credit losses are described in Results of ~~mortgage loans remains high but has moderated during the first nine months of 2021.~~

~~Other Income and Expense~~

Operations — Net ~~gains and losses on derivatives and hedging activities~~Interest Income. Average total earning assets declined $3.9 billion to $32.0 billion for the three months ended ~~September 30, 2021, totaled a net loss of $387 thousand, compared with a net gain of $1.6 million~~March 31, 2022, from $36.0 billion for the same period in 2020. The $387 thousand net loss for the current quarter consisted of an unrealized gain of $3.3 million from changes in fair value on economic hedges offset by $3.7 million of interest expense on economic hedges. Additionally, unrealized losses on trading securities totaled $11.1 million for the three months ended September 30, 2021. Together, these realized and unrealized gains and losses provided an economic offset primarily to interest income from trading securities, which totaled $11.5 million for the three months ended September 30, 2021. See below under — ~~Results of Operations — Economically Hedged Trading Securities~~ ~~for additional information.~~

Legislative and Regulatory Developments

Legislation has been proposed or enacted and the FHFA and others with authority over the economy, our industry, and our business activities have taken action during ~~2021~~2022 as described in — Legislative and Regulatory Developments. Such developments affect the way we conduct business and could impact how we satisfy our mission as well as the value of our membership.

LIBOR Transition Preparations

~~In July 2017, the United Kingdom’s Financial Conduct Authority (FCA)~~The Alternative Reference Rates Committee (ARRC), which ~~regulates~~was established in 2014 by the Federal Reserve and the Federal Reserve Bank of New York to help ensure a successful transition in the U.S. from LIBOR, ~~announced its intention~~recommended SOFR as the alternative reference rate to ~~stop persuading or compelling~~U.S. dollar LIBOR.

For details regarding the ~~major banks that sustain~~Bank's transition from LIBOR to ~~submit~~SOFR, the alternative reference rate ~~quotations after 2021. On March 5, 2021, the FCA further announced that LIBOR will either cease~~ to ~~be provided by any administrator or no longer be representative immediately after December 31, 2021, in the case of 1-week and 2-month~~ U.S. dollar LIBOR and immediately after June 30, 2023, in the case of the remaining U.S. dollar LIBOR settings. Although the FCA does not expect LIBOR to become non-representative before the applicable cessation dates and intends to consult on requiring the administrator of LIBOR to continue publishing LIBOR of certain currencies and tenors on a non-representative, synthetic basis for a period after the applicable cessation date, there is no assurance that LIBOR, of any particular currency or tenor, will continue to be published or be representative through any particular date. There is no assurance that LIBOR will continue to be accepted or used in the markets generally, orrecommended by any issuers, investors, or counterparties at any time, even if LIBOR continues to be available. We recognize that the discontinuance of LIBOR as an interest rate benchmark and the transition to alternative reference rates, including SOFR, present significant risks and challenges that could affect our business. Certain of our advances, investment securities and derivatives are indexed to LIBOR, and we continue to assess legacy contracts across products and monitor risks to determine the effect of LIBOR discontinuance. Under a steering committee comprised of members of senior management and a working group of representatives from departments across the Bank, we developed and continue to implement a multi-year plan and initiative to transition from LIBOR. We worked with the other FHLBanks and the Office of Finance to transition our floating-rate note issuance from LIBOR. In addition, we offer a SOFR-based advance. We are updating our operational processes and models to support new alternative reference rate activity. For further detailsARRC, see the following Risk Factors in our ~~2020~~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 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

~~The economy continued to rebound in the third quarter from the recessionary effects of the pandemic, though at a slower rate than in the first two quarters of 2021.~~ Real gross domestic product (GDP) ~~grew~~decreased at an ~~annualized~~annual rate of ~~2.0~~1.4 percent in the ~~third~~first quarter of 2022. The decrease was driven mainly by decreases in inventories which largely reflected supply chain disruptions in the motor vehicles industry and in exports and federal government spending. Personal consumption expenditures and private domestic investment continued to grow in the first quarter of 2022, prompting some commentators to view the GDP contraction in the quarter to be the result of temporary volatility and not the onset of a recession.

The labor market has continued to improve, with job growth averaging 562,000 per month in the first quarter of 2022. In April 2022, employment increased by 428,000 and the unemployment rate was 3.6 percent. In March 2022, the unemployment rate for the New England region was 4.0 percent, ranging from 2.5 percent in New Hampshire to 4.6 percent in Connecticut.

The Consumer Price Index increased 8.3 percent in April 2022 from a year earlier, driven by ~~consumer expenditures, business investment,~~prices of shelter, food, airline fares, and ~~state and local government spending.~~ new vehicles.

The ~~level of GDP now exceeds~~FHFA reported that house prices rose 19.4 percent across the ~~pre-pandemic level at~~U.S. from February 2021 to February 2022. Over the same period, home prices in New England rose 17.6 percent. At the end of ~~2019.~~April 2022, rates for 30-year fixed-rate mortgage were above 5.0 percent, more than 2.0 percentage points higher than a year earlier. Whether, and how much, this sharp increase in mortgage rates cools down the housing market remains to be seen.

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The U.S. labor market recorded average monthly gains of 550,000 jobs in the third quarter. Notable job gains occurred in leisure and hospitality, professional and business services, and transportation and warehousing industries. The unemployment rate for the U.S. stood at 4.8 percent in September 2021. The unemployment rate for the New England region was 5.3 percent in August 2021, with the highest unemployment rate in the region at 7.2 percent in Connecticut and the lowest unemployment rate at 3.0 percent in New Hampshire and Vermont.

The continuing expansion of the economy, combined with supply chain challenges, led to an increase in the inflation rate in the third quarter. The personal consumption expenditures (PCE) price index increased year-over-year by 5.3 percent in the third quarter, driven by prices for energy and durable goods, particularly new and used cars. Excluding food and energy, the PCE price index increased by 4.5 percent in the third quarter.

~~The housing market remained strong driven by strong demand and low levels of available inventory. The FHFA reported thathomepricesrose18.5percentnation-widefromAugust2020~~to~~August2021 and by 19.2 percent nation-wide from July 2020 to July 2021.Therate~~of~~increasefortheNewEnglandregionfrom July 2020 to July 2021 was20.8 percent.~~

Interest-Rate Environment

On ~~November 3, 2021,~~May 4, 2022, the FOMC ~~maintained~~raised the target range for the federal funds rate ~~at between 0~~to 75 to 100 basis points and ~~25 basis points.~~stated that ongoing increases in the target range will likely be appropriate given elevated rates of inflation. The FOMC also stated that it expects to maintain this range until the labor market has reached levels consistent with maximum employment and inflation has risen to 2.0 percent and is on track to moderately exceed 2.0 percent for some time. The Federal Reserve continues to increasebegin reducing its holdings of Treasury securities, agency debt, and ~~Agency~~agency mortgage-backed ~~securities. The FOMC further stated that it~~securities on June 1, 2022. Once balance sheet reduction begins, the Federal Reserve will ~~begin to reduce the pace of~~reinvest principal payments from its ~~bond purchase program beginning in November 2021, and is prepared to adjust the pace of purchases each month~~securities holdings only if ~~warranted by changes in the economic outlook.~~they exceed monthly caps.

~~After rising sharply~~The Federal Reserve’s announcement of a policy pivot from an easing to a tightening stance, confirmed by the increase in the ~~first quarter and declining~~federal funds rate to a range of 25 to 50 basis points in March 2022, led to a rise in interest rates. Short-term rates rose commensurate with the magnitude of the increase in the ~~second quarter, long-term interest rates were relatively stable in the third quarter. 10-year Treasury~~federal funds rate. Longer-term rates rose ~~slightly over the three months ending September 30, 2021, consistent with concerns about rising COVID-19 cases due to more transmissible variants~~by a larger magnitude reflecting expectations of further rate hikes and commencement of the ~~virus and increased slightly in September 2021, consistent with elevated levels of inflation potentially persisting longer than expected.~~balance sheet reduction program by the Federal Reserve.

Table 1 - Key Interest Rates(1)


		Three Month Average		Nine Month Average		Ending Rate			Three Month Average		Ending Rate
		September 30, 2021	September 30, 2020	September 30, 2021	September 30, 2020	September 30, 2021	December 31, 2020		March 31, 2022	March 31, 2021	March 31, 2022	December 31, 2021
SOFR	SOFR	0.05%	0.09%	0.04%	0.45%	0.05%	0.07%	SOFR	0.09%	0.04%	0.29%	0.05%
Federal funds effective rate	Federal funds effective rate	0.09%	0.09%	0.08%	0.45%	0.06%	0.09%	Federal funds effective rate	0.12%	0.08%	0.33%	0.07%
3-month LIBOR	3-month LIBOR	0.13%	0.25%	0.16%	0.79%	0.13%	0.24%	3-month LIBOR	0.52%	0.20%	0.96%	0.21%
3-month U.S. Treasury yield	3-month U.S. Treasury yield	0.04%	0.10%	0.03%	0.43%	0.03%	0.06%	3-month U.S. Treasury yield	0.28%	0.04%	0.51%	0.03%
2-year U.S. Treasury yield	2-year U.S. Treasury yield	0.22%	0.14%	0.17%	0.47%	0.28%	0.12%	2-year U.S. Treasury yield	1.45%	0.13%	2.34%	0.73%
5-year U.S. Treasury yield	5-year U.S. Treasury yield	0.80%	0.27%	0.75%	0.59%	0.96%	0.36%	5-year U.S. Treasury yield	1.83%	0.61%	2.46%	1.26%
10-year U.S. Treasury yield	10-year U.S. Treasury yield	1.32%	0.65%	1.41%	0.90%	1.49%	0.91%	10-year U.S. Treasury yield	1.95%	1.32%	2.34%	1.51%

________________

(1) Source: Bloomberg

SELECTED FINANCIAL DATA

The following financial highlights for the statement of condition and statement of operations for December 31, ~~2020,~~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)

As of and for the Three Months Ended
September 30, 2021 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020
Statement of Condition
Total assets $ 34,448,917 $ 35,683,602 $ 36,676,723 $ 38,461,035 $ 45,025,341
Investments, net(1)
16,404,424 16,053,111 15,474,566 13,341,538 13,345,453
Advances 14,056,991 15,176,625 16,798,082 18,817,002 26,961,561
Mortgage loans held for portfolio, net(2)
3,283,925 3,470,505 3,726,343 3,930,252 4,160,091
Deposits and other borrowings 970,732 970,282 1,088,187 1,088,987 1,227,702
Consolidated obligations:
Bonds 25,097,469 23,475,165 22,704,460 21,471,590 23,970,889
Discount notes 5,554,103 8,365,460 9,927,167 12,878,310 16,511,187
Total consolidated obligations 30,651,572 31,840,625 32,631,627 34,349,900 40,482,076
Mandatorily redeemable capital stock 13,890 7,432 6,164 6,282 6,135
Class B capital stock outstanding-putable(3)
1,028,177 1,081,057 1,181,665 1,267,172 1,594,859
Unrestricted retained earnings 1,159,509 1,147,279 1,145,756 1,130,222 1,121,875
Restricted retained earnings 368,420 368,420 368,420 368,420 368,420
Total retained earnings 1,527,929 1,515,699 1,514,176 1,498,642 1,490,295
Accumulated other comprehensive income (loss) 40,604 47,645 21,223 16,139 (24,067)
Total capital 2,596,710 2,644,401 2,717,064 2,781,953 3,061,087
Results of Operations (for the period ended)
Net interest income after provision for credit losses $ 51,145 $ 43,122 $ 61,484 $ 61,826 $ 62,261
Litigation settlements — — — 25,998 —
Other (loss) income, net (10,453) (13,104) (15,763) (24,601) 18,110
Other expense 22,330 23,177 22,513 38,512 20,858
AHP assessments 1,842 687 2,323 2,474 5,957
Net income $ 16,520 $ 6,154 $ 20,885 $ 22,237 $ 53,556
Other Information
Dividends declared $ 4,290 $ 4,631 $ 5,351 $ 13,890 $ 18,845
Dividend payout ratio 25.97 % 75.25 % 25.62 % 62.46 % 35.19 %
Weighted-average dividend rate(4)
1.52 1.54 1.59 3.76 4.12
Return on average equity(5)
2.50 0.92 3.09 3.14 7.39
Return on average assets 0.18 0.07 0.23 0.22 0.50
Net interest margin(6)
0.58 0.48 0.68 0.60 0.54
Average equity to average assets 7.36 7.29 7.46 7.09 6.72
Total regulatory capital ratio(7)
7.46 7.30 7.37 7.21 6.87


	As of and for the Three Months Ended
	March 21, 2022			December 31, 2021			September 30, 2021			June 30, 2021			March 31, 2021
Statement of Condition
Total assets	$	32,395,662		$	32,545,292		$	34,448,917		$	35,683,602		$	36,676,723
Investments(1)	16,849,318			16,372,499			16,404,424			16,053,111			15,474,566
Advances	11,816,428			12,340,020			14,056,991			15,176,625			16,798,082
Mortgage loans held for portfolio, net(2)	2,998,682			3,120,159			3,283,925			3,470,505			3,726,343
Deposits	803,383			884,032			970,732			970,282			1,088,187
Consolidated obligations:
Bonds	26,070,923			26,613,032			25,097,469			23,475,165			22,704,460
Discount notes	2,878,513			2,275,320			5,554,103			8,365,460			9,927,167
Total consolidated obligations	28,949,436			28,888,352			30,651,572			31,840,625			32,631,627
Mandatorily redeemable capital stock	13,418			13,562			13,890			7,432			6,164
Class B capital stock outstanding-putable(3)	929,482			953,638			1,028,177			1,081,057			1,181,665
Unrestricted retained earnings	1,202,685			1,179,986			1,159,509			1,147,279			1,145,756
Restricted retained earnings	368,420			368,420			368,420			368,420			368,420
Total retained earnings	1,571,105			1,548,406			1,527,929			1,515,699			1,514,176
Accumulated other comprehensive (loss) income	(88,800)			28,967			40,604			47,645			21,223
Total capital	2,411,787			2,531,011			2,596,710			2,644,401			2,717,064
Results of Operations
Net interest income after provision for credit losses	$	58,942		$	56,412		$	51,145		$	43,122		$	61,484
Other income (loss), net	1,066			(7,562)			(10,453)			(13,104)			(15,763)
Other expense	29,073			20,061			22,330			23,177			22,513
AHP assessments	3,100			2,887			1,842			687			2,323
Net income	$	27,835		$	25,902		$	16,520		$	6,154		$	20,885
Other Information
Dividends declared	$	5,137		$	5,425		$	4,290		$	4,631		$	5,351
Dividend payout ratio	18.46		%	20.94		%	25.97		%	75.25		%	25.62		%
Weighted-average dividend rate(4)	2.05			2.05			1.52			1.54			1.59
Return on average equity(5)	4.50			4.00			2.50			0.92			3.09
Return on average assets	0.35			0.31			0.18			0.07			0.23
Net interest margin(6)	0.74			0.66			0.58			0.48			0.68
Average equity to average assets	7.69			7.65			7.36			7.29			7.46
Total regulatory capital ratio(7)	7.76			7.73			7.46			7.30			7.37

_______________________

(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. ~~The allowance for credit losses relating to private label MBS amounted to $124 thousand as of September 30, 2020. All private-label MBS were sold subsequent to September 30, 2020.~~

(2)The allowance for credit losses for mortgage loans amounted to $1.6 million as of March 31, 2022, $1.7 million as of December 31, 2021, $2.1 million as of September 30, 2021, $2.1 million as of June 30, 2021, and $1.9 million as of March 31, 2021, ~~$3.1 million as of December 31, 2020, and $4.6 million as of September 30, 2020,~~ respectively.

(3)Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions.

~~Table~~ We also initiated daily repurchases of ~~Contents~~excess stock from members on June 1, 2017.

(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 ~~loss~~income and total retained earnings.

Table of Contents

(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 18 — Financial Statements and Supplementary Data — Notes to the Financial Statements — Note 1012 — Capital.

RESULTS OF OPERATIONS

~~Third Quarter of 2021 Compared with Third Quarter of 2020~~

Net income ~~was $16.5~~increased to $27.8 million for the three months ended ~~September 30, 2021, compared to $53.6~~March 31, 2022, from $20.9 million for the ~~three months ended September 30, 2020.~~same period in 2021. The reasons for the ~~decrease~~increase are discussed under — Executive Summary.

Net interest income after provision for credit losses for the three months ended September 30, 2021, was $51.1 million, compared with $62.3 million for the same period in 2020. The $11.1 million decrease in net interest income after provision for credit losses is attributable to several factors. In the third quarter of 2020, the Bank sold a majority of its private-label mortgage-backed securities resulting in a reduction of the provision for credit losses of $5.1 million, whereas in the third quarter of 2021 the provision for credit losses, which is now solely attributable to mortgage loans, decreased by $80 thousand. Additionally, in the third quarter of 2021 compared to the third quarter of 2020, the Bank experienced an $8.9 billion decrease in the average balance of advances and an $899.2 million decrease in the average balance of mortgage loans. The Bank also experienced a decline of $419.8 million in the average balance of outstanding capital stock in the third quarter of 2021 compared to the third quarter of 2020, thereby negatively affecting net interest income from investing the Bank’s capital. These negative factors were partially offset by increases to net interest income resulting from an increase in net interest margin and net interest spread as further discussed in the ~~Executive Summary~~ ~~above, and a $1.5 billion increase in the average balance of U.S. Treasury obligations.~~

~~For additional information see — Rate and Volume Analysis.~~

~~Nine Months Ended September 30, 2021, Compared with Nine Months Ended September 30, 2020~~

Net income was $43.6 million for the nine months ended September 30, 2021, compared to $98.0 million for the nine months ended September 30, 2020. The $54.5 million decrease in net income was primarily due to an increase of $48.3 million in net unrealized losses on trading securities, and a $73.6 million decrease in realized net gains from sale of investment securities, partially offset by a decrease of $51.3 million in net losses on derivatives and hedging activities as well as a $23.0 million increase in net interest income after provision for credit losses.Interest Income

Net interest income after provision for credit losses for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, was ~~$155.8~~$58.9 million, compared with ~~$132.7~~$61.5 million for the same period ~~for 2020.~~in 2021. The ~~increase of $23.0~~$2.5 million decrease in net interest income after provision for credit losses is attributable to several favorable factors, including: the absence of margin compression on liquidity investments that we experienced during the second quarter of 2020 following the sudden interest-rate cutswas driven by ~~the FOMC in March 2020;~~ a ~~$24.6~~$6.8 million decrease in net ~~amortization~~prepayment fee income, a $5.2 billion decrease in the average balance of ~~premium~~advances and a $785.5 million decrease in the average balance of mortgage loans. These negative factors were partially offset by an increase of net accretion of discounts and premiums on mortgage-backed securities (MBS) and mortgage ~~loans;~~loans of $16.5 million, resulting from significant increases in mortgage rates during the first quarter of 2022, an increase of fair value hedge ineffectiveness net gains of $7.2 million, a ~~$16.9 million~~$1.9 billion increase in ~~net unrealized gains from fair value hedges;~~the average balance of mortgage backed securities, a ~~$1.3~~$1.6 billion increase in the average balance of U.S. Treasury ~~obligations held as investment securities;~~securities, and ~~a general~~an improvement in funding costs. These factors were partially offset by reductions to net interest income resulting from average balance decreases of $14.2 billion for advances, $837.1 million for mortgage loans, and $626.1 million for mortgage-backed securities, as well as an $8.9 million decrease in accretion of significant improvement in projected cash flows resulting from sales of previously impaired private-label MBS as all private-label MBS were sold in 2020. In addition, net interest income was negatively affected by lower income from investing our capital, resulting from the near zero, and substantially lower, average short-term interest rates in the nine months ended September 30, 2021, comparedcosts relative to the same period ~~a year prior and the $607.3 million decline~~ in ~~the average balance of outstanding capital stock in the nine months ended September 30, 2021 compared to the same period a year prior.~~2021.

~~For the nine months ended September 30, 2021, net interest margin was 0.58 percent, an increase of 0.25 percentage points from the nine months ended September 30, 2020, and~~As a result, net interest spread was ~~0.54~~0.70 percent for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, an increase of ~~0.28 percentage~~7 basis points from the same period in ~~2020. The increase in both net interest spread~~2021, and net interest margin ~~mainly reflect significant improvement in funding costs in 2021 relative to~~was 0.74 percent, an increase of 6 basis points from the same period in ~~2020, as well as the improvements in net interest income after provision for credit losses described above.~~

~~Table of Contents~~

2021.

Table 3 presents major categories of average balances, related interest income/expense, and average 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.

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Table 3 - Net Interest Spread and Margin

(dollars in thousands)

For the Three Months Ended September 30,
2021 2020
Average
Balance Interest
Income /
Expense
Average
Yield/Rate(1)
Average
Balance Interest
Income /
Expense
Average
Yield/Rate(1)
Assets
Advances $ 14,609,839 $ 46,174 1.25 % $ 23,558,516 $ 76,864 1.30 %
Interest-bearing deposits 55,953 13 0.09 903,625 271 0.12
Securities purchased under agreements to resell 298,913 68 0.09 1,092,391 239 0.09
Federal funds sold 3,024,544 672 0.09 1,166,043 275 0.09
Investment securities(2)
13,271,856 31,001 0.93 11,011,662 42,517 1.54
Mortgage loans (2)(3)
3,380,302 22,984 2.70 4,279,474 28,732 2.67
Total interest-earning assets 34,641,407 100,912 1.16 42,011,711 148,898 1.41
Other non-interest-earning assets 465,337 322,180
Fair-value adjustments on investment securities 514,343 568,842
Total assets $ 35,621,087 $ 100,912 1.12 % $ 42,902,733 $ 148,898 1.38 %
Liabilities and capital
Consolidated obligations
Discount notes $ 8,390,753 $ 904 0.04 % $ 14,079,541 $ 8,728 0.25 %
Bonds 23,606,437 48,861 0.82 24,565,107 82,962 1.34
Other interest-bearing liabilities 933,293 82 0.03 1,029,191 90 0.03
Total interest-bearing liabilities 32,930,483 49,847 0.60 39,673,839 91,780 0.92
Other non-interest-bearing liabilities 69,751 346,854
Total capital 2,620,853 2,882,040
Total liabilities and capital $ 35,621,087 $ 49,847 0.56 % $ 42,902,733 $ 91,780 0.85 %
Net interest income $ 51,065 $ 57,118
Net interest spread 0.56 % 0.49 %
Net interest margin 0.58 % 0.54 %

~~Table of Contents~~


		For the Nine Months Ended September 30,													For the Three Months Ended March 31,
		2021						2020							2022						2021
		Average Balance		Interest Income / Expense		Average Yield(1)		Average Balance		Interest Income / Expense		Average Yield(1)			Average Balance		Interest Income / Expense		Average Yield/Rate(1)		Average Balance		Interest Income / Expense		Average Yield/Rate(1)
Assets	Assets													Assets
Advances	Advances	$	16,032,165	$	150,921	1.26	%	$	30,269,846	$	351,343	1.55	%	Advances	$	12,404,813	$	34,907	1.14	%	$	17,639,366	$	57,285	1.32	%
Interest-bearing deposits	Interest-bearing deposits	424,804		107		0.03		1,230,896		5,625		0.61		Interest-bearing deposits	415,657		160		0.16		570,137		84		0.06
Securities purchased under agreements to resell	Securities purchased under agreements to resell	643,780		360		0.07		2,293,985		14,813		0.86		Securities purchased under agreements to resell	546,689		171		0.13		711,111		124		0.07
Federal funds sold	Federal funds sold	3,003,974		1,768		0.08		3,068,960		17,416		0.76		Federal funds sold	2,128,889		814		0.16		3,175,955		614		0.08
Investment securities(2)	Investment securities(2)	11,917,968		98,685		1.11		11,267,700		127,540		1.51		Investment securities(2)	13,494,518		45,863		1.38		10,050,564		41,070		1.66
Mortgage loans (2)(3)	Mortgage loans (2)(3)	3,597,242		71,128		2.64		4,434,353		98,911		2.98		Mortgage loans (2)(3)	3,048,429		21,528		2.86		3,833,903		25,137		2.66
Other earning assets		—		—		—		5,475		47		1.15

Total interest-earning assets	Total interest-earning assets	35,619,933		322,969		1.21		52,571,215		615,695		1.56		Total interest-earning assets	32,038,995		103,443		1.31		35,981,036		124,314		1.40
Other non-interest-earning assets	Other non-interest-earning assets	319,933						307,851						Other non-interest-earning assets	470,213						318,402
Fair-value adjustments on investment securities	Fair-value adjustments on investment securities	452,120						414,967						Fair-value adjustments on investment securities	77,524						476,354
Total assets	Total assets	$	36,391,986	$	322,969	1.19	%	$	53,294,033	$	615,695	1.54	%	Total assets	$	32,586,732	$	103,443	1.29	%	$	36,775,792	$	124,314	1.37	%
Liabilities and capital	Liabilities and capital													Liabilities and capital
Consolidated obligations	Consolidated obligations													Consolidated obligations
Discount notes	Discount notes	$	10,049,420	$	3,989	0.05	%	$	24,134,196	$	183,792	1.02	%	Discount notes	$	2,304,476	$	607	0.11	%	$	11,298,752	$	2,402	0.09	%
Bonds	Bonds	22,499,288		164,146		0.98		24,863,963		300,765		1.62		Bonds	26,523,530		43,900		0.67		21,397,106		61,601		1.17
Other interest-bearing liabilities	Other interest-bearing liabilities	978,714		190		0.03		908,048		1,322		0.19		Other interest-bearing liabilities	804,721		94		0.05		1,014,144		53		0.02
Total interest-bearing liabilities	Total interest-bearing liabilities	33,527,422		168,325		0.67		49,906,207		485,879		1.30		Total interest-bearing liabilities	29,632,727		44,601		0.61		33,710,002		64,056		0.77
Other non-interest-bearing liabilities	Other non-interest-bearing liabilities	182,912						313,189						Other non-interest-bearing liabilities	448,126						320,949
Total capital	Total capital	2,681,652						3,074,637						Total capital	2,505,879						2,744,841
Total liabilities and capital	Total liabilities and capital	$	36,391,986	$	168,325	0.62	%	$	53,294,033	$	485,879	1.22	%	Total liabilities and capital	$	32,586,732	$	44,601	0.56	%	$	36,775,792	$	64,056	0.71	%
Net interest income	Net interest income			$	154,644					$	129,816			Net interest income			$	58,842					$	60,258
Net interest spread	Net interest spread					0.54	%					0.26	%	Net interest spread					0.70	%					0.63	%
Net interest margin	Net interest margin					0.58	%					0.33	%	Net interest margin					0.74	%					0.68	%

_________________________

(1) Yields are annualized.

(2) ~~The average~~Average balances are reflected at amortized cost.

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

Rate and Volume Analysis

Changes in both average balances (volume) and interest rates influence changes in net interest income and net interest margin. Table 4 summarizes changes in interest income and interest expense for the three ~~and nine~~ months ended ~~September 30, 2021~~March 31, 2022 and ~~2020.~~2021. Changes in interest income and interest expense that are not identifiable as either ~~volume-~~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.

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Table 4 - Rate and Volume Analysis

(dollars in thousands)


		For the Three Months Ended September 30, 2021 vs. 2020						For the Nine Months Ended September 30, 2021 vs. 2020							For the Three Months Ended March 31, 2022 vs. 2021
		Increase (Decrease) due to						Increase (Decrease) due to							Increase (Decrease) due to
		Volume		Rate		Total		Volume		Rate		Total			Volume		Rate		Total
Interest income	Interest income													Interest income
Advances	Advances	$	(28,352)	$	(2,338)	$	(30,690)	$	(142,979)	$	(57,442)	$	(200,421)	Advances	$	(15,435)	$	(6,943)	$	(22,378)
Interest-bearing deposits	Interest-bearing deposits	(208)		(50)		(258)		(2,259)		(3,259)		(5,518)		Interest-bearing deposits	(28)		104		76
Securities purchased under agreements to resell	Securities purchased under agreements to resell	(180)		9		(171)		(6,368)		(8,085)		(14,453)		Securities purchased under agreements to resell	(34)		81		47
Federal funds sold	Federal funds sold	414		(17)		397		(361)		(15,287)		(15,648)		Federal funds sold	(252)		452		200
Investment securities	Investment securities	7,548		(19,064)		(11,516)		7,011		(35,866)		(28,855)		Investment securities	12,485		(7,692)		4,793
Mortgage loans	Mortgage loans	(6,109)		361		(5,748)		(17,348)		(10,435)		(27,783)		Mortgage loans	(5,438)		1,829		(3,609)
Other earning assets		—		—		—		(24)		(24)		(48)

Total interest income	Total interest income	(26,887)		(21,099)		(47,986)		(162,328)		(130,398)		(292,726)		Total interest income	(8,702)		(12,169)		(20,871)
Interest expense	Interest expense													Interest expense
Consolidated obligations	Consolidated obligations													Consolidated obligations
Discount notes	Discount notes	(2,570)		(5,254)		(7,824)		(68,518)		(111,285)		(179,803)		Discount notes	(2,263)		468		(1,795)
Bonds	Bonds	(3,123)		(30,978)		(34,101)		(26,410)		(110,209)		(136,619)		Bonds	12,497		(30,198)		(17,701)

Other interest-bearing liabilities	Other interest-bearing liabilities	(8)		—		(8)		96		(1,228)		(1,132)		Other interest-bearing liabilities	(13)		54		41
Total interest expense	Total interest expense	(5,701)		(36,232)		(41,933)		(94,832)		(222,722)		(317,554)		Total interest expense	10,221		(29,676)		(19,455)
Change in net interest income	Change in net interest income	$	(21,186)	$	15,133	$	(6,053)	$	(67,496)	$	92,324	$	24,828	Change in net interest income	$	(18,923)	$	17,507	$	(1,416)

Average Balance of Advances Outstanding

The average balance of total advances decreased ~~$14.2~~$5.2 billion, or ~~47.0~~29.7 percent, for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022 compared with the same period in ~~2020~~2021, as members ~~pay~~paid off advances, in many cases prior to maturity. We ~~believe it is likely that advances balances will remain~~cannot predict future member demand for some time at a level that is significantly lower than that of the past several years, and could decline further, due to high levels of deposits relative to loans among our members as well as acquisitions of borrowing members by institutions ineligible for membership with the Bank.advances.

For the ~~nine~~three months ended ~~September 30,~~March 31, 2022 and 2021, ~~and 2020,~~ net prepayment fees on advances were ~~$17.3 million~~$914 thousand and ~~$10.6~~$7.7 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 ~~2020~~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 ~~$2.5~~$1.4 billion, or ~~38.2~~30.6 percent, for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, compared with the same period in ~~2020,~~2021, as liquidity needs were sharply lower in ~~the first nine months of 2021 as~~2022 compared to ~~the first nine months of 2020~~2021 amid ~~much~~ lower 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 ~~sharp decrease~~FOMC’s increase in the ~~FOMC’s~~ target range for the federal funds rate, average yields on overnight federal funds sold ~~decreased~~increased from ~~0.76 percent during the nine months ended September 30, 2020, to~~ 0.08 percent during the ~~nine~~three months ended ~~September 30,~~March 31, 2021, to 0.16 percent during the three months ended March 31, 2022, while average yields on securities purchased under agreements to resell ~~decreased~~increased from ~~0.86 percent for the nine months ended September 30, 2020, to~~ 0.07 percent for the ~~nine~~three months ended ~~September 30, 2021.~~March 31, 2021, to 0.13 percent for the three months ended March 31, 2022. These investments are used for liquidity management.

Average investment-securities balances increased ~~$650.3 million,~~$3.4 billion, or ~~5.8~~34.3 percent for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, compared with the same period in ~~2020.~~2021, an increase consisting primarily of $1.9 billion in MBS and $1.6 billion in U.S. Treasury obligations.

~~Table of Contents~~

Average Balance of COs

Average CO balances decreased ~~$16.4~~$3.9 billion, or ~~33.6~~11.8 percent, for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, compared with the same period in ~~2020,~~2021, resulting from our decreased funding needs principally due to the decrease in our average advances balances. This overall decrease consisted of ~~declines~~a decline of ~~$14.1~~$9.0 billion in CO discount notes ~~and $2.4~~offset by a $5.1 billion increase in CO bonds.

Table of Contents

The average balance of CO discount notes represented approximately ~~30.9~~8.0 percent of total average COs during the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, compared with ~~49.3~~34.6 percent of total average COs during the ~~nine~~three months ended ~~September 30, 2020.~~March 31, 2021. The average balance of CO bonds represented ~~69.1~~92.0 percent and ~~50.7~~65.4 percent of total average COs outstanding during the ~~nine~~three months ended ~~September 30,~~March 31, 2022 and 2021, ~~and 2020,~~ respectively.

Impact of Derivatives and Hedging Activities

Net interest income includes interest accrued on interest-rate-exchange agreements that are associated with advances, investments, 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 income 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.

Table 5 below provides a summary of the impact of derivatives and hedging activities on our earnings, excluding derivatives that are economically hedging trading securities and not designated in qualifying fair-value hedge relationships. Table 6 below provides a summary of the impact on our earnings from economically hedged trading securities and the associated derivatives.earnings.

Table 5 - Effect of Derivative and Hedging Activities

(dollars in thousands)


		For the Three Months Ended September 30, 2021												For the Three Months Ended March 31, 2022
Net Effect of Derivatives and Hedging Activities	Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Other		Total			Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Other		Total
Net interest income	Net interest income														Net interest income
Amortization / accretion of hedging activities (1)	Amortization / accretion of hedging activities (1)	$	(363)	$	—	$	(248)	$	(847)	$	—	$	(1,458)		Amortization / accretion of hedging activities (1)	$	(263)	$	—	$	(156)	$	(936)	$	—	$	(1,355)
Gains on designated fair-value hedges	Gains on designated fair-value hedges	167		2,832		—		168		—		3,167			Gains on designated fair-value hedges	1,331		14,291		—		479		—		16,101
Net interest settlements on derivatives(2)	Net interest settlements on derivatives(2)	(15,531)		(32,980)		—		20,442		—		(28,069)			Net interest settlements on derivatives(2)	(9,926)		(37,391)		—		26,791		—		(20,526)
Total net interest income	Total net interest income	(15,727)		(30,148)		(248)		19,763		—		(26,360)			Total net interest income	(8,858)		(23,100)		(156)		26,334		—		(5,780)

Net (losses) gains on derivatives and hedging activities
Losses on derivatives not receiving hedge accounting		(420)		—		—		(310)		—		(730)
CO Bond firm commitment		—		—		—		302		—		302
Net gains (losses) on derivatives and hedging activities															Net gains (losses) on derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting															Gains (losses) on derivatives not receiving hedge accounting	1		(1)		—		(521)		—		(521)
CO bond firm commitments															CO bond firm commitments	—		—		—		521		—		521
Mortgage delivery commitments	Mortgage delivery commitments	—		—		94		—		—		94			Mortgage delivery commitments	—		—		(673)		—		—		(673)
Net (losses) gains on derivatives and hedging activities		(420)		—		94		(8)		—		(334)

Net gains (losses) on derivatives and hedging activities															Net gains (losses) on derivatives and hedging activities	1		(1)		(673)		—		—		(673)

Net losses on trading securities															Net losses on trading securities	—		(425)		—		—		—		(425)
Total net effect of derivatives and hedging activities	Total net effect of derivatives and hedging activities	$	(16,147)	$	(30,148)	$	(154)	$	19,755	$	—	$	(26,694)		Total net effect of derivatives and hedging activities	$	(8,857)	$	(23,526)	$	(829)	$	26,334	$	—	$	(6,878)

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		For the Three Months Ended September 30, 2020								For the Three Months Ended March 31, 2021
Net Effect of Derivatives and Hedging Activities	Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds			Total		Net Effect of Derivatives and Hedging Activities	Advances		Investments		Mortgage Loans		CO Bonds		Other		Total
Net interest income	Net interest income												Net interest income
Amortization / accretion of hedging activities in net interest income (1)	Amortization / accretion of hedging activities in net interest income (1)	$	(383)	$	—	$	(521)	$	(984)		$	(1,888)	Amortization / accretion of hedging activities in net interest income (1)	$	(699)	$	—	$	(481)	$	(645)	$	—	$	(1,825)
Gains (losses) on designated fair-value hedges		451		1,961		—		(285)			2,127
Net interest settlements on derivatives		(18,663)		(20,361)		—		7,625			(31,399)
Gains on designated fair-value hedges													Gains on designated fair-value hedges	1,018		7,613		—		233		—		8,864
Net interest settlements included in net interest income (2)													Net interest settlements included in net interest income (2)	(15,825)		(21,937)		—		7,470		—		(30,292)
Total net interest income	Total net interest income	(18,595)		(18,400)		(521)		6,356			(31,160)		Total net interest income	(15,506)		(14,324)		(481)		7,058		—		(23,253)

Net (losses) gains on derivatives and hedging activities
Net gains (losses) on derivatives and hedging activities													Net gains (losses) on derivatives and hedging activities

Losses on derivatives not receiving hedge accounting		(723)		—		—		—			(723)
Gains (losses) on derivatives not receiving hedge accounting													Gains (losses) on derivatives not receiving hedge accounting	6		(25)		—		(19)		(148)		(186)
CO bond firm commitments													CO bond firm commitments	—		—		—		19		—		19
Mortgage delivery commitments	Mortgage delivery commitments	—		—		409		—			409		Mortgage delivery commitments	—		—		(686)		—		—		(686)
Net (losses) gains on derivatives and hedging activities		(723)		—		409		—			(314)
Price alignment amount (3)													Price alignment amount (3)	—		—		—		—		5		5
Net gains (losses) on derivatives and hedging activities													Net gains (losses) on derivatives and hedging activities	6		(25)		(686)		—		(143)		(848)

Net losses on trading securities													Net losses on trading securities	—		(14,861)		—		—		—		(14,861)
Total net effect of derivatives and hedging activities	Total net effect of derivatives and hedging activities	$	(19,318)	$	(18,400)	$	(112)	$	6,356		$	(31,474)	Total net effect of derivatives and hedging activities	$	(15,500)	$	(29,210)	$	(1,167)	$	7,058	$	(143)	$	(38,962)

For the Nine Months Ended September 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)
$ (1,767) $ — $ (1,076) $ (2,249) $ — $ (5,092)
Gains on designated fair-value hedges 940 6,347 — 467 — 7,754
Net interest settlements on derivatives (47,398) (84,764) — 43,912 — (88,250)
Total net interest income (48,225) (78,417) (1,076) 42,130 — (85,588)
Net losses on derivatives and hedging activities
Losses on derivatives not receiving hedge accounting (384) — — (329) (148) (861)
CO Bond firm commitment — — — 321 — 321
Mortgage delivery commitments — — (339) — — (339)
Net losses on derivatives and hedging activities (384) — (339) (8) (148) (879)
Total net effect of derivatives and hedging activities $ (48,609) $ (78,417) $ (1,415) $ 42,122 $ (148) $ (86,467)

For the Nine Months Ended September 30, 2020
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Total
Net interest income
Amortization / accretion of hedging activities (1)
$ (1,213) $ — $ (1,301) $ (2,819) $ (5,333)
Losses on designated fair-value hedges (866) (6,627) — (1,662) (9,155)
Net interest settlements on derivatives (35,971) (49,918) — 17,621 (68,268)
Total net interest income (38,050) (56,545) (1,301) 13,140 (82,756)
Net (losses) gains on derivatives and hedging activities
Losses on derivatives not receiving hedge accounting (787) — — — (787)
Mortgage delivery commitments — — 979 — 979
Net (losses) gains on derivatives and hedging activities (787) — 979 — 192
Total net effect of derivatives and hedging activities $ (38,837) $ (56,545) $ (322) $ 13,140 $ (82,564)

~~_____________________~~

~~Table of Contents~~

________________________

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

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

~~Economically Hedged Trading Securities~~

We maintain a portfolio of economically hedged trading securities consisting of U.S Treasury obligations, which totaled $1.8 billion at September 30, 2021. Because these securities are not designated in qualifying fair-value hedge relationships, the income statement impacts of the economic hedge relationships appear within multiple line items of our income statement. Table 6 presents the net impact to our earnings arising from these economically hedged trading securities.

~~Table 6 - Economically Hedged Trading Securities(1)~~

~~(dollars in thousands)~~

For the Three Months Ended September 30, For the Nine Months Ended September 30,
2021 2020 2021 2020
Interest income
Net interest settlements on trading securities $ 11,471 $ 23,161 $ 43,739 $ 62,165
Net unrealized (losses) gains on trading securities (11,091) (19,657) (40,568) 7,955
Net gains (losses) on derivatives and hedging activities
Net interest settlements on derivatives (3,654) (11,038) (16,432) (25,280)
Change in fair value of derivatives 3,599 12,962 16,515 (27,104)
Price alignment interest (2)
2 14 8 97
Total net impact of economically hedged trading securities $ 327 $ 5,442 $ 3,262 $ 17,833

~~_____________________~~

~~(1) Includes only trading securities that are economically hedged with an associated derivative.~~

~~(2)~~(3) Represents the amount for derivatives for which variation margin, or payments made for the changes in the market value of the transaction, is characterized as a daily settlement amount.

FINANCIAL CONDITION

Advances

At ~~September 30, 2021,~~March 31, 2022, the advances portfolio totaled ~~$14.1~~$11.8 billion, a decrease of ~~$4.8 billion compared with $18.8~~$523.6 million from $12.3 billion at December 31, ~~2020.~~2021. The demand for advances experienced further reduction during the quarter, as member deposit levels continued to be elevated.

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Table 76 - Advances Outstanding by Product Type

(dollars in thousands)


		September 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
		Par Value		Percent of Total		Par Value		Percent of Total			Par Value		Percent of Total		Par Value		Percent of Total
Fixed-rate advances	Fixed-rate advances									Fixed-rate advances
Long-term	Long-term	$	7,887,675	56.3	%	$	9,839,714	52.6	%	Long-term	$	6,849,626	57.4	%	$	6,511,706	52.7	%
Short-term										Short-term	1,532,799		12.8		1,531,550		12.4
Putable	Putable	1,741,425		12.4		1,874,925		10.0		Putable	1,091,750		9.2		1,178,425		9.6
Short-term		1,656,196		11.8		4,180,412		22.3
Amortizing	Amortizing	602,712		4.3		667,506		3.6		Amortizing	520,810		4.4		551,163		4.5
Overnight	Overnight	79,095		0.6		170,045		0.9		Overnight	202,980		1.7		225,922		1.8
All other fixed-rate advances		10,000		0.1		10,000		0.1

		11,977,103		85.5		16,742,602		89.5			10,197,965		85.5		9,998,766		81.0

Variable-rate advances	Variable-rate advances									Variable-rate advances
Simple variable (1)	Simple variable (1)	2,028,875		14.4		1,906,575		10.2		Simple variable (1)	1,726,875		14.5		2,348,875		19.0

All other variable-rate indexed advances	All other variable-rate indexed advances	9,597		0.1		55,335		0.3		All other variable-rate indexed advances	—		—		64		—
		2,038,472		14.5		1,961,910		10.5			1,726,875		14.5		2,348,939		19.0
Total par value	Total par value	$	14,015,575	100.0	%	$	18,704,512	100.0	%	Total par value	$	11,924,840	100.0	%	$	12,347,705	100.0	%

~~_____________________~~________________________

(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 4 — Advances for disclosures relating to redemption terms of the advances portfolio.

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, to the market value or unpaid principal balance, 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. 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 on our assessment of the borrower's overall financial condition and other factors:

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

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

Category-3: Members with financial weaknesses that present an elevated level of concern.

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.

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Table 87 - Advances Outstanding by Borrower Credit Status Category

(dollars in thousands)


		As of September 30, 2021								As of March 31, 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	Category-1	206	$	9,061,776	$	93,030,588	1,026.6	%	Category-1	195	$	6,891,373	$	86,371,160	1,253.3	%
Category-2	Category-2	13	355,592		919,799		258.7		Category-2	14	303,057		887,027		292.7
Category-3	Category-3	13	235,812		419,976		178.1		Category-3	12	228,372		381,503		167.1
Insurance companies	Insurance companies	24	4,362,395		6,042,518		138.5		Insurance companies	25	4,502,038		6,010,913		133.5
Total	Total	256	$	14,015,575	$	100,412,881	716.4	%	Total	246	$	11,924,840	$	93,650,603	785.3	%

The method by which a borrower pledges collateral depends upon the type of borrower (depository vs. non-depository), the category to which the borrower is assigned, and the type of collateral that the borrower pledges. Moreover, borrowers in Category-1 are 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.

The Bank may adjust the credit status category of a member from time to time based on the financial reviews and other circumstances of the member.

We have not recorded any allowance for credit losses on advances at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, for the reasons discussed in Item 1 — Financial Statements — Notes to the Financial Statements — Note 4 — ~~Advances~~Advances..

Table 98 - Top Five Advance-Borrowing Institutions

(dollars in thousands)


		September 30, 2021							March 31, 2022
Name	Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)		Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)
Massachusetts Mutual Life Insurance Company	Massachusetts Mutual Life Insurance Company	$	2,100,000	15.0	%	1.81	%	Massachusetts Mutual Life Insurance Company	$	2,100,000	17.6	%	1.78	%
Voya Retirement Insurance and Annuity Company	Voya Retirement Insurance and Annuity Company	825,000		5.9		0.47		Voya Retirement Insurance and Annuity Company	925,000		7.8		0.83
Salem Five Cents Savings Bank		580,401		4.1		0.27
People's United Bank, National Association		569,812		4.1		0.37
East Boston Savings Bank		560,625		4.0		2.44
Hingham Institution for Savings								Hingham Institution for Savings	865,000		7.2		0.36
Workers Federal Credit Union								Workers Federal Credit Union	474,000		4.0		2.05
Institution for Savings in Newburyport and its Vicinity								Institution for Savings in Newburyport and its Vicinity	400,837		3.4		1.75
Total of top five advance-borrowing institutions	Total of top five advance-borrowing institutions	$	4,635,838	33.1	%			Total of top five advance-borrowing institutions	$	4,764,837	40.0	%


		December 31, 2020							December 31, 2021
Name	Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)		Name	Par Value of Advances		Percent of Total Par Value of Advances		Weighted-Average Rate (1)
Massachusetts Mutual Life Insurance Company	Massachusetts Mutual Life Insurance Company	$	1,680,000	9.0	%	1.90	%	Massachusetts Mutual Life Insurance Company	$	1,500,000	12.1	%	1.62	%
Voya Retirement Insurance and Annuity Company	Voya Retirement Insurance and Annuity Company	795,000		4.3		0.53		Voya Retirement Insurance and Annuity Company	925,000		7.5		0.48
Metropolitan Property & Casualty Insurance Company		700,000		3.7		0.38
Hingham Institution for Savings								Hingham Institution for Savings	665,000		5.4		0.28
Salem Five Cents Savings Bank	Salem Five Cents Savings Bank	620,316		3.3		0.30		Salem Five Cents Savings Bank	580,392		4.7		0.27
East Boston Savings Bank		610,625		3.3		2.33
Peoples United Bank								Peoples United Bank	562,750		4.6		0.39
Total of top five advance-borrowing institutions	Total of top five advance-borrowing institutions	$	4,405,941	23.6	%			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.

Investments

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~~Investments~~

At ~~September 30, 2021,~~March 31, 2022, investment securities and short-term money-market instruments totaled ~~$16.4~~$16.8 billion, an increase of $476.8 million from ~~$13.3~~$16.4 billion at December 31, ~~2020.~~2021.

Short-term money-market investments ~~decreased $961.0~~increased $782.0 million to ~~$2.3~~$3.6 billion at ~~September 30, 2021,~~March 31, 2022, compared with December 31, ~~2020.~~2021. The decrease was attributable to a $412.0 million decrease in federal funds sold, a $299.0 million decrease in interest bearing deposits, and a $250.0 million decrease in securities purchased under agreement to resell.

~~Investment securities increased $4.0 billion to $14.1 billion at September 30, 2021, compared with December 31, 2020. This~~increase was attributable to increases of ~~$2.5~~$600.0 million in securities purchased under agreements to resell and $222.0 million in federal funds sold offset by a decrease of $40.0 million in interest bearing deposits.

Investment securities declined $305.2 million to $13.2 billion at March 31, 2022, compared with $13.5 billion at December 31, 2021. This was attributable to decreases of $163.8 million in MBS and $73.2 million in U.S. Treasury ~~obligations and $1.6 billion in MBS.~~obligations.

Investments Credit Risk

We are subject to credit risk on unsecured investments consisting primarily of short-term (meaning one year and under to ~~maturity and currently only consisting of overnight risk)~~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 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 quality. The internal rating categories of FHFA1 through FHFA4 are considered to be investment quality. ~~All~~As of March 31, 2022, all of these placements ~~currently~~ either ~~expire~~expired within ~~one day~~60 days or ~~are~~were payable upon demand. See Part 1 — Item 1 — Business — Business Lines — Investments in the ~~2020~~2021 Annual Report for additional information.

In addition to these unsecured 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, with current terms to maturity up to 3595 days and in MBS and HFA securities that are directly or indirectly supported by underlying mortgage loans.

We actively monitor our investment credit exposures and the credit quality of our counterparties, including assessments of each counterparty's financial performance, capital adequacy, sovereign support, and collateral quality and performance, as well as related market signals such as securities prices and credit default swap spreads. We may reduce or suspend credit limits and/or seek to reduce existing exposures, as appropriate, as a result of these monitoring activities.

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Table 109 - Credit Ratings of Investments at Carrying Value

(dollars in thousands)


		As of September 30, 2021						As of March 31, 2022
		Long-Term Credit Rating						Long-Term Credit Rating
Investment Category	Investment Category	Triple-A		Double-A		Single-A			Unrated		Investment Category	Triple-A		Double-A		Single-A		Unrated
Money-market instruments: (1)	Money-market instruments: (1)										Money-market instruments: (1)
Interest-bearing deposits	Interest-bearing deposits	$	—	$	149	$	—		$	—	Interest-bearing deposits	$	—	$	150	$	45,010	$	—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	—		—		500,000			—		Securities purchased under agreements to resell	—		900,000		500,000		—
Federal funds sold	Federal funds sold	—		340,000		1,508,000			—		Federal funds sold	—		176,000		1,990,000		—

Total money-market instruments	Total money-market instruments	—		340,149		2,008,000			—		Total money-market instruments	—		1,076,150		2,535,010		—

Investment securities:(2)	Investment securities:(2)										Investment securities:(2)

Non-MBS:	Non-MBS:										Non-MBS:
U.S. Treasury obligations	U.S. Treasury obligations	—		6,143,821		—			—		U.S. Treasury obligations	—		5,511,796		—		—
Corporate bonds	Corporate bonds	—		—		—			1,524		Corporate bonds	—		—		—		1,232
U.S. government-owned corporations	U.S. government-owned corporations	—		304,506		—			—		U.S. government-owned corporations	—		275,474		—		—
GSE	GSE	—		126,308		—			—		GSE	—		114,117		—		—
Supranational institutions	Supranational institutions	411,601		—		—			—		Supranational institutions	380,282		—		—		—
HFA securities	HFA securities	44,765		29,077		—			—		HFA securities	33,984		27,460		—		—
Total non-MBS	Total non-MBS	456,366		6,603,712		—			1,524		Total non-MBS	414,266		5,928,847		—		1,232

MBS:	MBS:										MBS:
U.S. government guaranteed - single-family	U.S. government guaranteed - single-family	—		29,725		—			—		U.S. government guaranteed - single-family	—		24,100		—		—
U.S. government guaranteed - multifamily	U.S. government guaranteed - multifamily	—		453,891		—			—		U.S. government guaranteed - multifamily	—		536,893		—		—
GSE – single-family	GSE – single-family	—		1,383,149		—			—		GSE – single-family	—		1,104,678		—		—
GSE – multifamily	GSE – multifamily	—		5,127,908		—			—		GSE – multifamily	—		5,228,142		—		—

Total MBS	Total MBS	—		6,994,673		—			—		Total MBS	—		6,893,813		—		—

Total investment securities	Total investment securities	456,366		13,598,385		—			1,524		Total investment securities	414,266		12,822,660		—		1,232

Total investments	Total investments	$	456,366	$	13,938,534	$	2,008,000		$	1,524	Total investments	$	414,266	$	13,898,810	$	2,535,010	$	1,232

_______________________

(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 ~~September 30, 2021.~~March 31, 2022. If there is a split rating, the lowest rating is used. In certain instances where a counterparty is unrated, wethe 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 ~~2020~~2021 Annual Report for additional information. Under these regulations, the level of regulatory capital is determined as the lesser of our total regulatory capital or the 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 unsecured credit exposure we may extend to that counterparty. The percentage that we may offer for extensions of unsecured credit other than overnight sales of federal funds 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 individual counterparties.

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Table 1110 - Unsecured Credit Related to Money-Market Instruments and Debentures by Carrying Value

(dollars in thousands)


		Carrying Value					Carrying Value
		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Interest bearing deposits	Interest bearing deposits	$	149	$	299,149	Interest bearing deposits	$	45,160	$	85,153
Federal funds sold	Federal funds sold	1,848,000		2,260,000		Federal funds sold	2,166,000		1,944,000
Supranational institutions	Supranational institutions	411,601		430,069		Supranational institutions	380,282		403,765
U.S. government-owned corporations	U.S. government-owned corporations	304,506		322,061		U.S. government-owned corporations	275,474		306,864
GSEs	GSEs	126,308		134,992		GSEs	114,117		126,472

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 ~~2020~~2021 Annual Report.

As of ~~September 30, 2021,~~March 31, 2022, our mortgage loan investment portfolio totaled ~~$3.3~~$3.0 billion, a decrease of ~~$646.3~~$121.5 million from December 31, ~~2020.~~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 three months ended ~~September 30, 2021,~~March 31, 2022, has been elevated and has outpaced our purchases of mortgage ~~loans, a trend we expect to continue through 2021. For additional information on our investments in mortgage loans, see~~ ~~Legislative and Regulatory Developments~~.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 ~~2020~~2021 Annual Report. For information on the credit performance of our mortgage loan portfolio as of ~~September 30, 2021,~~March 31, 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 5 percent or greater of the outstanding principal balance of our conventional mortgage loan portfolio are shown in Table 12.

Table 1211 - State Concentrations by Outstanding Principal Balance


		Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans					Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans
		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Massachusetts	Massachusetts	63	%	62	%	Massachusetts	62	%	63	%
Maine	Maine	10		10		Maine	10		10
Connecticut	Connecticut	8		8		Connecticut	9		8

Vermont						Vermont	5		5

All others	All others	19		20		All others	14		14
Total	Total	100	%	100	%	Total	100	%	100	%

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 excluded from interest income. We monitor the delinquency levels of the mortgage loan portfolio on a monthly basis.

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Table 1312 - ~~Delinquent~~ Mortgage Loans - Risk Elements and Credit Losses

(dollars in thousands)

September 30, 2021 December 31, 2020
Total par value of government loans past due 90 days or more and still accruing interest $ 5,342 $ 5,472
Nonaccrual loans, par value 25,467 74,348
Troubled debt restructurings (not included above) 5,567 6,095


	For the Three Months Ended March 31,
	2022			2021
Average par value of mortgage loans outstanding during the period ending	$	3,000,274		$	3,772,228
Net recoveries (charge-offs)	—			26
Net charge-offs to average loans outstanding during the year ending	—		%	—		%

	As of March 31, 2022			As of December 31, 2021
Mortgage loans held for portfolio, par value	$	2,955,167		$	3,072,075
Nonaccrual loans, par value	17,004			21,384
Allowance for credit losses on mortgage loans	1,600			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	9.41			7.95

Mortgage Insurance Companies. We are exposed to credit risk from primary mortgage insurance coverage (PMI) on individual loans. As of ~~September 30, 2021,~~March 31, 2022, we were the beneficiary of PMI coverage of ~~$114.9~~$65.8 million on ~~$299.1~~$251.6 million of conventional mortgage loans. These amounts relate to loans originated with PMI and for which current loan-to-value ratios exceed 78 percent (determined by recalculating the original loan-to-value ratio using the current unpaid principal balance divided by the appraised home value at the time of 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.

Consolidated Obligations

See — Liquidity and Capital Resources for information regarding our COs.

Derivative Instruments

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 ~~$356.3~~$410.5 million and ~~$161.2~~$378.5 million as of ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively. Derivative liabilities' net fair value, net of cash collateral and accrued interest, totaled ~~$21.4~~$29.3 million and ~~$24.1~~$38.9 million as of ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~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 30, 2021,~~March 31, 2022, and December 31, ~~2020.~~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.

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Table 1413 - Hedged Item and Hedge-Accounting Treatment

(dollars in thousands)


				September 30, 2021				December 31, 2020							March 31, 2022				December 31, 2021
Hedged Item	Hedged Item	Derivative	Designation(2)	Notional Amount		Fair Value		Notional Amount		Fair Value		Hedged Item	Derivative	Designation(2)	Notional Amount		Fair Value		Notional Amount		Fair Value
Advances (1)	Advances (1)	Swaps	Fair value	$	3,631,110	$	(5,665)	$	4,532,123	$	(21,870)	Advances (1)	Swaps	Fair value	$	3,183,770	$	4,992	$	2,693,195	$	1,800
		Swaps	Economic	644,800		(29,171)		670,300		(44,466)			Swaps	Economic	329,800		(4,989)		345,425		(11,761)
Total associated with advances	Total associated with advances			4,275,910		(34,836)		5,202,423		(66,336)		Total associated with advances			3,513,570		3		3,038,620		(9,961)
Available-for-sale securities	Available-for-sale securities	Swaps	Fair value	9,856,041		48,102		3,735,362		33,751		Available-for-sale securities	Swaps	Fair value	12,077,159		38,913		10,795,541		56,831
Trading securities	Trading securities	Swaps	Economic	1,750,000		11,834		3,550,000		19,669		Trading securities	Swaps	Economic	—		—		500,000		3,087
COs	COs	Swaps	Fair value	11,722,220		(68,936)		1,692,990		(3,443)		COs	Swaps	Fair value	15,277,220		(730,625)		13,101,220		(173,243)
		Swaps	Economic	75,000		(296)		—		—			Swaps	Economic	—		—		55,000		(24)
		Forward starting swaps	Cash Flow	1,391,000		(376)		17,000		(14)			Forward starting swaps	Cash Flow	1,391,000		(1,701)		1,391,000		(380)
Total associated with COs	Total associated with COs			13,188,220		(69,608)		1,709,990		(3,457)		Total associated with COs			16,668,220		(732,326)		14,547,220		(173,647)
Balance Sheet		Swaps	Economic	—		—		1,316,522		29

Total	Total			29,070,171		(44,508)		15,514,297		(16,344)		Total			32,258,949		(693,410)		28,881,381		(123,690)
CO bond firm commitments	CO bond firm commitments			75,000		296		—		—		CO bond firm commitments			35,000		133		55,000		24
Mortgage delivery commitments	Mortgage delivery commitments			8,019		31		28,386		220		Mortgage delivery commitments			9,889		72		3,164		68
Total derivatives	Total derivatives			$	29,153,190	(44,181)		$	15,542,683	(16,124)		Total derivatives			$	32,303,838	(693,205)		$	28,939,545	(123,598)
Accrued interest	Accrued interest					(60,925)				(62,464)		Accrued interest					(53,751)				(50,008)
Cash collateral, including related accrued interest	Cash collateral, including related accrued interest					439,966				215,764		Cash collateral, including related accrued interest					1,128,183				513,194
Net derivatives	Net derivatives					$	334,860			$	137,176	Net derivatives					$	381,227			$	339,588

Derivative asset	Derivative asset					$	356,261			$	161,238	Derivative asset					$	410,500			$	378,532
Derivative liability	Derivative liability					(21,401)				(24,062)		Derivative liability					(29,273)				(38,944)
Net derivatives	Net derivatives					$	334,860			$	137,176	Net derivatives					$	381,227			$	339,588

_______________________

(1)As of ~~September 30, 2021,~~March 31, 2022 and December 31, ~~2020,~~2021, embedded derivatives separated from certain advance contracts with notional amounts of ~~$644.8~~$329.8 million and ~~$670.3~~$345.4 million, respectively, and fair values of ~~$29.2~~$5.0 million and ~~$44.5~~$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. 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 were not documented as fair-value or cash-flow hedges but ~~that~~ are documented as serving a non-speculative use and are hedging strategies under our risk-management policy.

Tables 15 and 16 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 $15.4 billion, representing 52.7 percent of all derivatives outstanding as of September 30, 2021. Economic hedges and cash-flow hedges are not included within the two tables below.

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~~Table 15 - Fair-Value Hedge Relationships of Advances By Year of Contractual Maturity~~

~~(dollars in thousands)~~

As of September 30, 2021

Weighted-Average Yield (4)
Derivatives
Advances(2)
Derivatives
Maturity Notional
Fair Value(1)
Hedged Amount
Benchmark Fair-Value Adjustment(3)
Advances Receive Floating Rate Pay Fixed Rate Net Receive Result
Due in one year or less $ 1,041,275 $ (6,307) $ 1,041,275 $ 6,266 2.04 % 0.10 % 1.59 % 0.55 %
Due after one year through two years 409,300 (9,219) 409,300 9,175 2.15 0.11 1.74 0.52
Due after two years through three years 317,500 (9,380) 317,500 9,264 2.09 0.06 1.52 0.63
Due after three years through four years 958,425 (8,360) 958,425 8,338 1.38 0.06 0.65 0.79
Due after four years through five years 181,360 370 181,360 (366) 1.18 0.09 0.63 0.64
Thereafter 723,250 (4,330) 723,250 4,266 1.68 0.06 1.07 0.67
Total $ 3,631,110 $ (37,226) $ 3,631,110 $ 36,943 1.77 % 0.08 % 1.20 % 0.65 %

~~_______________________~~

(1) Not included in the fair value is $31.6 million of variation margin, or payments made for changes in the market value of the derivatives position, paid or received for daily settled contracts.

(2) Included in the advances hedged amount are $1.1 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 benchmark 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.~~

~~(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, 2021.~~

~~Table 16 - Fair-Value Hedge Relationships of Consolidated Obligations By Year of Contractual Maturity~~

~~(dollars in thousands)~~

As of September 30, 2021

Weighted-Average Yield (4)
Derivatives
CO Bonds (2)
Derivatives
Year of Maturity Notional
Fair Value(1)
Hedged Amount
Benchmark Fair-Value Adjustment(3)
CO Bonds Receive Fixed Rate Pay Floating Rate Net Pay Result
Due in one year or less $ 442,220 $ 2,443 $ 442,220 $ (2,444) 2.00 % 2.02 % 0.02 % 0.00 %
Due after one year through two years 325,000 1,003 325,000 (1,011) 0.47 0.43 0.06 0.10
Due after two years through three years 1,310,000 (2,400) 1,310,000 2,398 0.46 0.46 (0.01) (0.01)
Due after three years through four years 1,789,000 (6,289) 1,789,000 6,268 0.60 0.58 0.01 0.03
Due after four years through five years 4,834,000 (21,502) 4,834,000 21,486 0.71 0.71 0.00 0.00
Thereafter 3,022,000 (44,064) 3,022,000 43,496 1.17 1.02 0.01 0.16
Total $ 11,722,220 $ (70,809) $ 11,722,220 $ 70,193 0.82 % 0.78 % 0.01 % 0.05 %

~~_______________________~~

(1) Not included in the fair value is $1.9 million of variation margin, or payments made for changes in the market value of the derivatives position, paid or received for daily settled contracts.

(2) Included in the CO bonds hedged amount are $10.7 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 benchmark 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, plus remaining unamortized premiums or discounts on hedged CO bonds where applicable.

~~(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, 2021.~~

Derivative Instruments Credit Risk. We are subject to credit risk on derivatives. This risk arises from the 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

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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 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 Table 17 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 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.

Table 1714 - Credit Exposure to Derivatives Counterparties

(dollars in thousands)


		As of September 30, 2021											As of March 31, 2022
Credit Rating (1)	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		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

Liability positions with credit exposure:	Liability positions with credit exposure:											Liability positions with credit exposure:
Interest-rate swaps
Uncleared derivatives - Single-A		$	7,564,425	$	(51,893)	$	35,962	$	18,565	$	2,634
Uncleared derivatives												Uncleared derivatives
Single-A												Single-A	$	15,734,250	$	(711,517)	$	702,664	$	32,588	$	23,735

Cleared derivatives	Cleared derivatives	16,377,746		(3,998)		358,627		—		354,629		Cleared derivatives	16,524,699		(35,645)		425,519		—		389,874
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	23,942,171		(55,891)		394,589		18,565		357,263		Total interest-rate swap positions with nonmember counterparties to which we had credit exposure	32,258,949		(747,162)		1,128,183		32,588		413,609

CO bond firm commitments		75,000		296		—		—		296
CO Bond firm commitments												CO Bond firm commitments	35,000		133		—		—		133
Mortgage delivery commitments (2)	Mortgage delivery commitments (2)	8,019		47		—		—		47		Mortgage delivery commitments (2)	9,889		86		—		—		86
Total	Total	$	24,025,190	$	(55,548)	$	394,589	$	18,565	$	357,606	Total	$	32,303,838	$	(746,943)	$	1,128,183	$	32,588	$	413,828

Derivative positions without credit exposure: (3)

Single-A		$	5,118,000
Triple-B		10,000
Total derivative positions without credit exposure		$	5,128,000

_______________________

(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.

(3) Represents 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.

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 ~~2020~~2021 Annual Report.

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Transition from LIBOR to Alternative Reference Rates

In July 2017, the United Kingdom's FCA, the regulator for LIBOR, announced that after 2021 it will no longer persuade or compel the major banks that sustain LIBOR to submit rates for the calculation of LIBOR. The Alternative Reference Rates Committee (ARRC), which was established in 2014 by the Federal Reserve and the Federal Reserve Bank of New York to help ensure a successful transition in the U.S. from LIBOR, recommended SOFR as the alternative reference rate to U.S. dollar LIBOR.

We recognize that the discontinuance of LIBOR as an interest rate benchmark and the transition to alternative reference rates, including SOFR, present significant risks and challenges that could affect our business. Certain of our investment securities and derivatives, and certain collateral pledged to us, are indexed to LIBOR with exposure extending beyond December 31, 2021. Under a steering committee comprised of members of senior management and a working group of representatives from departments across the Bank, we have developed and continue to implement a multi-year plan and initiative to transition from LIBOR. We are planning for the eventual replacement of the LIBOR benchmark interest rate, with SOFR as the dominant replacement benchmark. As a result, we have developed a LIBOR transition plan, which addresses considerations such as LIBOR exposure, contract “fallback” language (which provides for contractual alternatives to the use of LIBOR when LIBOR cannot be determined based on the method provided in the agreement), operational preparedness, and balance sheet management, as well as contingencies for the potential unavailability of the index prior to December 31, 2021.

In assessing our current exposure to LIBOR, we have developed an inventory of financial instruments impacted and identified contracts that may require adding or adjusting the fallback language, the provisions in the financial instrument or contract that specify how LIBOR is to be replaced with an alternative reference rate and related provisions, which may identify the replacement rate. We have added or adjusted fallback language to our advances agreements with members, and the FHLBank System has added fallback language to consolidated obligations. We monitor market-wide efforts to address fallbacks related to LIBOR-based derivatives and investment securities as well as fallback language for other financial instruments. We continue to assess our operational readiness, including updating processes and information technology systems to support the transition from LIBOR to an alternative reference rate.

We worked with the other FHLBanks and the Office of Finance to transition our floating-rate note issuance from LIBOR. The Bank has participated in the FHLBank System’s issuances of SOFR-indexed COs as our funding needs require since the FHLBank System began issuing such COs in November 2018. Market activity in SOFR-indexed financial instruments continues to increase. During the nine months ended September 30, 2021, we issued $3.2 billion in SOFR-indexed COs. In October 2019, the Bank began to offer a SOFR-based advance. During the nine months ended September 30, 2021, we issued $5.3 billion in SOFR-indexed advances.

In March 2019, the Bank began to implement OIS based on the federal funds effective rate as an alternative interest rate hedging strategy for certain financial instruments, rather than using LIBOR when entering into new derivative transactions. In addition, a SOFR-based derivative market has begun to emerge.

On September 27, 2019, the FHFA issued a Supervisory Letter that limits certain activities of the FHLBanks with respect to new LIBOR referenced financial assets, liabilities, and derivatives with maturities beyond December 31, 2021. Early in 2019, before the issuance of the Supervisory Letter, we limited the maturities of certain advances that are linked to LIBOR to December 31, 2021. In addition, prior to the issuance of the Supervisory Letter, we had ceased purchasing investments that reference LIBOR and mature after December 31, 2021, and we had suspended entering into LIBOR-indexed derivatives that terminate after December 31, 2021.

On October 16, 2020, the clearing houses CME and LCH transitioned the rate for discounting all U.S. Dollar interest rate cleared swaps from the Effective Fed Funds Rate to SOFR. On October 21, 2020, we adhered to the ISDA 2020 IBOR Fallbacks Protocol, a multilateral mechanism that, effective January 25, 2021, through a Supplement to the ISDA 2006 Definitions (the Supplement), amended our legacy bilateral, over-the-counter LIBOR-based interest rate swaps to substitute SOFR for LIBOR as the benchmark rate following the cessation of LIBOR or if LIBOR is declared by the FCA to be no longer representative of the underlying market and economic reality that it is intended to measure.

On November 30, 2020, the Federal Reserve, the Office of the Comptroller of the Currency (OCC), and the Federal Deposit Insurance Corporation (FDIC) issued a joint statement encouraging banks to cease entering into new contracts that use U.S. dollar LIBOR as a reference rate as soon as practicable and no later than December 31, 2021. On March 5, 2021, the United Kingdom's FCA ~~announced~~confirmed that the publication of the principal tenors of U.S. dollar LIBOR (i.e., overnight, one-month, three-month, six-month and 12-month LIBOR) will ~~either~~ cease immediately following a final publication on June 30, 2023. As of January 1, 2022, the one-week and two-month U.S. dollar LIBOR settings and all non-U.S. dollar LIBOR settings ceased to be provided by any ~~administrator or no longer be representative immediately after December 31, 2021, in~~administrator. Although the ~~case of 1-week and 2-month U.S. dollar LIBOR, and immediately after June 30, 2023, in the case of~~

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FCA has indicated that it does not expect the remaining U.S. dollar LIBOR ~~settings. Although the FCA does not expect LIBOR~~settings to become unrepresentative before the applicable cessation dates and intends to consult on requiring the administrator of LIBOR to continue publishing LIBOR of certain currencies and tenors on a non-representative, synthetic basis for a period after the applicable cessation date, there is no assurance that ~~LIBOR,~~any of ~~any particular currency or tenor,~~them will continue to be published or be representative through any particular date. The Financial Conduct Authority’s announcement on March 5, 2021, constitutes an index cessation event under the ISDA 2020 IBOR Fallbacks Protocol and the Supplement, and as a result, the fallbacks spread adjustment for each tenor is fixed as of the date of the announcement. See Legislative and Regulatory Developments for information on the 2021 ISDA Interest Rate Derivatives Definitions published by ISDA on June 11, 2021.

~~On July 1, 2021, the FHFA issued~~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 Supervisory Letter regarding its expectations for an FHLBank’s use of alternative rates other than SOFR. The Supervisory Letter provides guidance on considerations, such as volume of underlying transactions, credit sensitivity, modeling riskLIBOR 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 ~~others, that an FHLBank should take into account prior to employing an alternative reference rate.~~LIBOR-indexed derivatives, at March 31, 2022.

For further details see the following Risk Factors in our ~~2020~~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.

We have exposures to advances, 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 18 presents our exposure to LIBOR-indexed advances, investment securities, and LIBOR-indexed derivatives, at September 30, 2021.

~~Table 18 - Financial Instruments with LIBOR Exposure at September 30, 2021~~

~~(dollars in thousands)~~

LIBOR Tenors That Cease or Will no Longer be Representative Immediately After September 30, 2023
Due/Terminates in 2021 Due/Terminates in 2022 Due/Terminates in 2023, through June 30 Due/Terminates after June 30, 2023 Total
Assets with LIBOR exposure
Advances, par amount by redemption term(1)
$ 9,500 $ — $ — $ — $ 9,500
Investment securities, par amount by contractual maturity
Non-MBS — — — 13,045 13,045
MBS(2)
— 6 — 760,646 760,652
Total investment securities — 6 — 773,691 773,697
Total financial instruments $ 9,500 $ 6 $ — $ 773,691 $ 783,197
LIBOR-indexed interest-rate swaps, notional amount
Receive leg
Cleared $ 446,790 $ 59,625 $ 15,000 $ 25,750 $ 547,165
Uncleared 31,500 221,000 526,600 435,900 1,215,000
Total interest-rate swaps, receive leg $ 478,290 $ 280,625 $ 541,600 $ 461,650 $ 1,762,165
Pay leg
Cleared $ 145,000 $ 137,220 $ — $ — $ 282,220
Uncleared 160,000 — — — 160,000
Total interest-rate swaps, pay leg $ 305,000 $ 137,220 $ — $ — $ 442,220

~~_______________________~~

~~(1)~~For advances that have a conversion from a floating rate indexed to LIBOR to a fixed rate, the LIBOR exposure is considered to be due by the date which the financial instrument converts to a fixed rate.

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~~(2)Contractual maturity will likely differ from the expected maturity because borrowers of the underlying loans or securities are subject to a call right or prepayment right,~~Table 15 - Financial Instruments with ~~or without call or prepayment fees.~~LIBOR Exposure at March 31, 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	$	—	$	—	$	12,210	$	12,210
MBS(1)	—		—		468,058		468,058
Total investment securities	$	—	$	—	$	480,268	$	480,268

LIBOR-indexed interest-rate swaps, notional amount
Receive leg
Cleared	$	33,000	$	12,000	$	25,750	$	70,750
Uncleared	155,000		231,600		350,900		737,500
Total interest-rate swaps, receive leg	$	188,000	$	243,600	$	376,650	$	808,250

Pay leg
Cleared	$	137,220	$	—	$	—	$	137,220

_______________________

(1)

~~The following table presents our variable rate advances, investment securities,~~Balances are presented according to contractual maturity date and ~~CO bonds by interest-rate index at September 30, 2021.~~do not reflect scheduled or unscheduled principal repayments of underlying mortgage loans.

Table 1916 - Variable Rate Financial Instruments by Interest-Rate Index

(dollars in thousands)


		Par Value of Advances		Par Value of Non-MBS		Par Value of MBS		Par Value of CO Bonds			Par Value of Advances		Par Value of Non-MBS		Par Value of MBS		Par Value of CO Bonds
LIBOR	LIBOR	$	9,500	$	13,045	$	760,652	$	—	LIBOR	$	—	$	12,210	$	468,058	$	—
SOFR	SOFR	795,000		—		869,899		4,903,000		SOFR	312,500		—		948,563		3,903,000
FHLBank discount note auction rate	FHLBank discount note auction rate	1,233,972		—		—		—		FHLBank discount note auction rate	1,414,375		—		—		—
Constant Maturity Treasury	Constant Maturity Treasury	—		—		47,008		—		Constant Maturity Treasury	—		—		34,399		—
Other		—		—		101		—

Total	Total	$	2,038,472	$	13,045	$	1,677,660	$	4,903,000	Total	$	1,726,875	$	12,210	$	1,451,020	$	3,903,000

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 ~~2020~~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

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. We are generally able to expand our CO debt issuance in response to our members' increased credit needs 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 COs, or redeem callable COs on eligible redemption dates, allowing our balance sheet to shrink.

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.

During the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, we maintained continual access to funding and adapted our debt issuance to meet the needs of our members. As we entered March 2020, markets were disrupted by uncertainty surrounding the COVID-19 pandemic, spurring two FOMC actions to reduce the federal funds target rate by a total of 150 basis points. At that time, our short-term funding was generally driven by increased member demand for advances and was achieved primarily through the issuance of discount notes and short-term CO bonds. We maintained liquidity through short-term investments and U.S. Treasury securities in compliance with guidance from the FHFA. Maintaining liquidity on our balance sheet, however, can expose us to additional interest-rate risk, which could reduce net interest income when interest rates decline, as was the case during the second and third quarters of 2020, during which a substantial amount of short-term debt issued prior to the FOMC’s

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~~combined 150 basis point rate cuts in March 2020 remained outstanding through May 2020, resulting in sharp, temporary margin compression.~~

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 request of a member or as required under our capital plan.

Secondary sources of liquidity include payments collected on mortgage loans, proceeds from the issuance of capital stock, and deposits from members. In addition, under the FHLBank Act, the U.S. Treasury may purchase up to $4 billion of ~~COs of the FHLBanks.~~FHLBank COs. The terms, conditions, and interest rates in such a purchase would be determined by the 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. There were no such purchases by the U.S. Treasury during the ~~nine months~~quarter ended ~~September 30, 2021.~~March 31, 2022.

For information and discussion of our guarantees and other commitments we may have, see below — Off-Balance-Sheet Arrangements and Aggregate Contractual ~~Obligations, and for~~Obligations. For further information and discussion of the 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.

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.

Liquidity Management Action Trigger. We maintain a liquidity management action trigger pertaining to projected net cash flow: if projected net cash flow falls below zero on or before the 21st day following the measurement 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 ~~nine~~three months ended ~~September 30, 2021.~~March 31, 2022.

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Table 2017 - Projected Net Cash Flow

(dollars in thousands)


	As of ~~September 30, 2021~~March 31, 2022
	21 Days
Uses of funds
Interest payable	$	~~27,973~~10,738
Maturing ~~or projected calls of~~ liabilities	~~2,346,000~~2,038,000
Committed asset settlements	~~22,565~~204,800
Capital outflow	~~33,031~~177,739
MPF delivery commitments	~~8,019~~9,889
Other	~~3,054~~31,676
Gross uses of funds	~~2,440,642~~2,472,842

Sources of funds
Interest receivable	~~37,413~~30,261
Maturing or projected amortization of assets	~~3,823,720~~4,383,585
Committed liability settlements	~~452,000~~384,912
Cash and due from banks and interest bearing deposits	~~205,211~~247,855

Gross sources of funds	~~4,518,344~~5,046,613

Projected net cash flow	$	~~2,077,702~~2,573,771

Base Case Liquidity Requirement. The Bank is subject to FHFA guidance on liquidity, 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 provide advances and letters of credit for members for a specified time without access to the capital markets or other unsecured funding sources.

The 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 measure, the guidance also includes a separate provision covering off-balance sheet commitments from standby letters of credit. In addition, the Liquidity Guidance AB provides guidance related to asset/liability maturity funding gap limits.

Under the Liquidity Guidance AB, FHLBanks are required to hold positive cash flow while rolling over maturing advances to all members and assuming no access to capital markets for a period of time between 10 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 states that FHLBanks should maintain a liquidity reserve of between 1one percent and 20 percent of its outstanding standby letters of credit commitments, as specified in a supervisory letter.

We were in compliance with ~~these additional~~the base case liquidity ~~requirements~~requirement at all times during the ~~nine~~three months ended ~~September 30, 2021.~~March 31, 2022.

Balance Sheet Funding Gap Policy. 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 since, over certain time horizons, it has more liabilities than assets maturing. In order to manage the Bank’s refinancing risk, we 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 activity. We measure this difference, or gap, as a percentage of

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total assets under two different measurement horizons - three months and one year. In conformity with the provisions of the

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Liquidity Guidance AB, the Bank has instituted a limit and management action trigger framework around these metrics as follows:

Table 2118 - Funding Gap Metric


Funding Gap Metric (1)	Funding Gap Metric (1)	Limit	Management Action Trigger	Three-Month Average September 30, 2021		Three-Month Average December 31, 2020		Funding Gap Metric (1)	Limit	Management Action Trigger	Three-Month Average March 31, 2022		Three-Month Average December 31, 2021
3-month Funding Gap	3-month Funding Gap	15%	13%	0.5	%	(0.9)	%	3-month Funding Gap	15%	13%	(7.4)	%	(8.2)	%
1-year Funding Gap	1-year Funding Gap	30%	25%	5.7	%	9.8	%	1-year Funding Gap	30%	25%	(0.3)	%	(0.5)	%

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(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.

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. Under the terms of that agreement, in the event we do not fund principal and interest payments due with respect to any CO for 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 30, 2021,~~both March 31, 2022, and December 31, ~~2020,~~2021, outstanding COs for which we are primarily liable, including both CO bonds and CO discount notes, totaled ~~$30.7 billion and $34.3 billion, respectively.~~$28.9 billion. CO bonds outstanding for which we are primarily liable at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, include issued callable bonds totaling ~~$10.7~~$14.6 billion and ~~$1.7~~$12.8 billion, respectively.

CO discount notes comprised ~~18.1~~9.9 percent and ~~37.5~~7.9 percent of the outstanding COs for which we are primarily liable at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, respectively, but accounted for ~~93.1~~94.5 percent and ~~88.5~~94.4 percent of the proceeds from the issuance of such COs during the ~~nine~~three months ended ~~September 30,~~March 31, 2022 and 2021, ~~and 2020,~~ respectively.

Overall, we continued to experience strong demand for COs among investors. We have been able to issue debt in the amounts and structures required to meet our funding and risk-management needs. For most of the period covered by this report, COs were issued at yields that were historically competitive versus those of comparable-term U.S. Treasury securities. COs continue to be issued at yields that are at or lower than ~~LIBOR and~~ SOFR for comparable short-term ~~maturities, although the relevance of LIBOR in relation to COs is waning.~~maturities. However, periodic threats of Congressional failure to raise the U.S. Treasury debt ceiling raise the potential for defaults on U.S. Treasury debt, which could have impacts on demand for and pricing of CO debt.

The Federal Reserve’s recent signaling ~~that low interest rates would last for an extended period~~of inflation concerns and potential changes to its ~~continued~~ repurchase agreement offerings, purchases of U.S. Treasury securities and U.S. Agency mortgage-backed securities, as well as the previous establishment of liquidity facilities, are potentially important factors that could continue to shape investor demand for debt, including COs. Moreover, ~~expected~~ increases in U.S. Treasury security issuance in response to higher fiscal deficits following fiscal stimulus programs underlying the CARES Act, American Rescue Plan Act, and any similar future legislation or any change or roll back of regulations governing money market investors may also have an impact on our funding costs.

Capital

Total capital at ~~September 30, 2021,~~March 31, 2022, was ~~$2.6~~$2.4 billion compared with ~~$2.8~~$2.5 billion at year-end ~~2020.~~2021.

Capital stock decreased by ~~$239.0~~$24.2 million during the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, resulting from capital stock repurchases of ~~$376.1~~$146.0 million offset by the issuance of ~~$147.2~~$121.9 million of capital stock.

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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 30, 2021,~~March 31, 2022, as discussed in Part 1— Item 1 — Notes to the Financial Statements — Note 10 — Capital.

Subject to applicable law, following the 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, provided that in so doing, we remain in compliance with all regulatory minimum capital requirements and the member remains in compliance with all applicable minimum stock investment requirements. Capital stock subject to a stock redemption period is reclassified to mandatorily redeemable capital stock in the liability section of the statement of condition. For additional information on the redemption of our capital stock, see Part 1— Item 1 — Business — Capital Resources — Redemption of Excess Stock and Item 8 — Financial Statements and Supplementary Data —Notes to the Financial Statements — Note 2 — Summary of Significant Accounting Policies — Mandatorily Redeemable Capital Stock in the 2020 Annual Report.

Table 2219 - Mandatorily Redeemable Capital Stock by Expiry of Redemption Notice Period

(dollars in thousands)


		September 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Past redemption date (1)	Past redemption date (1)	$	3,138	$	5,558	Past redemption date (1)	$	2,994	$	3,138
Due in one year or less	Due in one year or less	92		—		Due in one year or less	112		92
Due after one year through two years	Due after one year through two years	20		93		Due after one year through two years	10		30
Due after two years through three years	Due after two years through three years	10		40		Due after two years through three years	435		—
Due after three years through four years	Due after three years through four years	435		—		Due after three years through four years	836		581
Due after four years through five years	Due after four years through five years	10,195		581		Due after four years through five years	9,031		9,721
Thereafter (2)		—		10

Total	Total	$	13,890	$	6,282	Total	$	13,418	$	13,562

_______________________

(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.

(2) The December 31, 2020 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, had their memberships terminated on February 19, 2021.

Capital Rule

The 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 28, 2021,~~March 29, 2022, the Director of the FHFA notified us that, based on December 31, 2021 financial information, ~~as of June 30, 2021,~~ we met the definition of adequately capitalized under the Capital Rule.

Internal Capital Practices and Policies

We also take steps as we believe prudent beyond legal or regulatory requirements in an effort to ensure capital adequacy, reflected in our internal minimum capital requirement, which exceeds regulatory requirements, our minimum retained earnings target, and limitations on our dividends.

Internal Minimum Capital Requirement in Excess of Regulatory Requirements

To provide 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 4 percent of our total assets plus an amount we measure as our risk exposure with 99 percent confidence using our economic capital model

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~~(together,~~ (together, our internal minimum capital requirement). As of ~~September 30, 2021,~~March 31, 2022, this internal minimum capital requirement equaled $1.8 billion, which was satisfied by our actual regulatory capital of ~~$2.6~~$2.5 billion.

Minimum Retained Earnings Target

At ~~September 30, 2021,~~March 31, 2022, we had total retained earnings of ~~$1.5~~$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.

For information on limitations on dividends, including limitations when we 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 ~~2020~~2021 Annual Report.

Repurchases of Excess Stock

We have the authority, but are not obliged, to repurchase excess stock, as discussed under Part I — Item 1 — Business — Capital Resources — Repurchase of Excess Stock in the ~~2020~~2021 Annual Report.

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Table 2320 - Capital Stock Requirements and Excess Capital Stock

(dollars in thousands)

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, 2021 $ 436,160 $ 572,855 $ 1,009,036 $ 1,042,067 $ 33,031
December 31, 2020 420,238 762,379 1,182,638 1,273,454 90,816


	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
March 31, 2022	$	316,072	$	449,068	$	765,162	$	942,901	$	177,739
December 31, 2021	429,353		505,264		934,638		967,200		32,562

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(1)Pursuant to our Capital Plan of the Federal Home Loan Bank of Boston Amended and Restated as of December 31, 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.

~~(2)~~(3) Class B capital stock outstanding includes mandatorily redeemable capital stock.

~~We initiated daily repurchases of excess capital stock in 2017, in order to~~To facilitate our ability to maintain a prudent level of capitalization and an efficient capital structure, while providing for an equitable allocation of excess stock ownership among ~~members. As discussed under Part I — Item 1 — Business — Capital Resources — Repurchase of Excess Stock in the 2020 Annual Report, until May 18, 2021,~~members, we conducted daily repurchases of excess stock held by any shareholder whose excess stock exceeds the lesser of $10.0 million or 10 percent of the shareholder’s total stock investment requirement, subject to a minimum repurchase of $100,000. Beginning with daily excess stock repurchases on May 18, 2021, the calculation of daily stock repurchases changed such that we currently conduct daily repurchases of excess stock from any shareholder whose excess stock exceeds the lesser of $3 million or 3 percent of the shareholder’s total stock investment requirement, subject to the 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.

Restricted Retained Earnings

At ~~September 30, 2021,~~March 31, 2022, our restricted retained earnings amount was $368.4 million, which exceeds the required contribution to the restricted retained earnings account of ~~$319.8~~$291.0 million. ~~Accordingly, no~~No allocation of net income was made to restricted retained earnings in ~~the third quarter of~~ 2021 and no further allocations of net income into restricted retained earnings are required until such time as the contribution requirement exceeds the balance of restricted retained earnings.

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.

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Off-balance-sheet arrangements are more fully discussed in Item 81 — Financial Statements ~~and Supplementary Data~~ — Notes to the Financial Statements — Note 1613 — Commitments and Contingencies ~~in the 2020 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 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 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 ~~2020~~2021 Annual Report.

As of ~~September 30, 2021,~~March 31, 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

See Item 1 — Financial Statements — Notes to the Financial Statements — Note 2 — Recently Issued and Adopted Accounting Guidance for a discussion of recent accounting developments impacting or that could impact us.

LEGISLATIVE AND REGULATORY DEVELOPMENTS

We summarize certain significant legislative and regulatory actions and related developments for the period covered by this report below.

~~FHLBank Membership~~SEC Proposed Rule on Climate-related Disclosures.. On ~~September 9, 2021,~~March 21, 2022, the ~~FHFA published~~SEC issued a ~~Supervisory Letter~~proposed rule on ~~FHLBank Membership Issues covering five issues, including (1) Requirements for De Novo Community Development Financial Institutions, (2) Automatic Transfer~~climate-related disclosures that would require the Bank to disclose its: (i) direct and certain indirect greenhouse gas emissions; (ii) if applicable, climate transition plan, climate-related targets and progress toward such plan or targets; (iii) climate-related risks over various time horizons and their impacts on the Bank’s business; (iv) climate-related risks in qualitative and quantitative terms in the notes to the Bank’s financial statements; and (v) corporate governance of ~~Membership, (3) Large Non-Member Institution Merging with a Small Member, (4) Applicant’s Compliance with “Financial Condition” Requirement,~~climate-related risks and ~~(5) Definition of Insurance Company. The Bank continues to evaluate the Supervisory Letter and its effect on Bank membership.~~risk management processes.

~~Regulatory Interpretation on Eligibility of Mortgage Participations as Collateral for FHLBank Advances.~~ ~~On October 4, 2021,~~If the ~~FHFA published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for Federal Home Loan~~proposed rule is finalized without change, the Bank Advances. The Regulatory Interpretation addresses whether an FHLBank can accept as collateral to secure advances mortgage loan participations that cannot be readily liquidated in the form in which they are to be pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet the requirements of FHFA regulation 12 CFR 1266.7(a)(4), including the requirement that the collateral can be “liquidated in due course” in order to be eligible to secure FHLBank advances. It further concludes that participations for which there would be ~~a known impediment~~subject to ~~liquidation do not meet such requirement~~certain disclosure requirements for its annual report for fiscal year 2024 and ~~therefore are not eligible collateral~~additional disclosure requirements for advances or letters of credit. Finally, the Regulatory Interpretation rescinds prior guidance from FHLBank System regulators that provide mortgage loan participations may be eligible as collateral under regulatory provisions other than 12 CFR 1266.7(a)(4). The Regulatory Interpretation becomes effective December 13, 2021.its annual report for fiscal year 2025.

~~Although~~We continue to review the proposed rule, but we expect that it would result in increased costs and complexity associated with our SEC reporting. While we are unable to quantify the anticipated costs at this time, we expect that compliance would require operational enhancements impacting many aspects of our business. The Bank is unable to predict at this time whether the SEC will finalize the proposed rule, or the extent to which any final rule will deviate from the proposed rule.

Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions. On February 25, 2022, the Financial Industries Regulatory Authority (FINRA) extended the implementation date of its amendments to FINRA Rule 4210 delaying the effectiveness of margining requirements for covered agency transactions until October 26, 2022. On April 14, 2022, the SEC granted a petition for review of the amendments thereby staying the effectiveness of the amendments until the petition is resolved. Once the margining requirements are effective, the Bank may be required to collateralize its transactions that are covered agency transactions, which include to be announced transactions (TBAs). These collateralization requirements could have the effect of reducing the overall profitability of engaging in covered agency transactions, including TBAs. Further, any collateralization requirements would expose us to credit risk from our counterparties to such transactions. We do not ~~currently~~ expect ~~the Regulatory Interpretation~~this amended rule to have a material ~~impact~~effect on our financial condition or results of ~~operations, this restriction on collateral may negatively impact future borrowing by certain members.~~operations.

~~Fair Housing~~LIBOR Transition. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act was signed into law. This law provides a statutory fallback mechanism and ~~Fair Lending Enforcement.~~ ~~On July 9, 2021, the FHFA published~~safe harbor that apply on a ~~Policy Statement on Fair Lending~~nationwide basis to communicate the FHFA’s general position on monitoring and information gathering, supervisory examinations, and administrative enforcement related to the Equal Credit Opportunity Act, the Fair Housing Act, andreplace LIBOR with a benchmark rate selected by the Federal ~~Housing Enterprises Financial Safety~~Reserve Board based on SOFR for certain contracts that reference LIBOR and ~~Soundness Act. The Policy Statement became effective~~contain no or insufficient fallback provisions, including fallback rates that are in any way based on ~~the date of publication.~~

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On August 12, 2021, the FHFA and the U.S. Department of Housing and Urban Development announced they had entered into a Memorandum of Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agenciesLIBOR. This law will ~~focus on enhancing their enforcement~~also pre-empt state LIBOR statutes, such as Article 18-C of the ~~Fair Housing Act, and their oversight of Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.~~

~~The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.~~

~~U.S. Treasury and Fannie Mae Preferred Stock Purchase Agreement.~~ On January 14, 2021, the U.S. Treasury and Fannie Mae entered into a letter agreement amending the terms of their Preferred Stock Purchase Agreement, which could impact participating member financial institutions (PFIs) that participate in the MPF Program’s MPF Xtra product (where MPF loans acquired are concurrently sold to Fannie Mae). Under the Preferred Stock Purchase Agreement, the U.S. Treasury provides liquidity to Fannie Mae in exchange for senior preferred stock. Under the Preferred Stock Purchase Agreement amendment, which was to take effect January 1, 2022, the FHFA (acting as conservator for Fannie Mae) and the U.S. Treasury agreed to limit the dollar volume of loans Fannie Mae could purchase from a single seller through Fannie Mae’s cash window to $1.5 billion per year. As administrator of the MPF Program, the FHLBank of Chicago purchases MPF Xtra loans from PFIs and sells them to Fannie Mae via the cash window process. Based on recent volumes for the MPF Xtra product program, the Preferred Stock Purchase Agreement amendment would significantly curtail MPF Xtra cash window sales. On September 14, 2021, the FHFA and the U.S. Treasury suspended certain provisions of the Preferred Stock Purchase Agreement, including limits on Fannie Mae’s cash window purchases until at least September 14, 2022.

~~Although we~~New York General Obligations Law. We do not ~~currently~~ expect ~~the cash window limits~~this rule to have a material ~~impact~~effect on our financial condition or results of ~~operations, when effective, these limits may negatively impact the volume of loans that PFIs are able to sell through the MPF Program.~~

~~Legislative and Regulatory Developments Related to COVID-19 Pandemic~~

~~Additional COVID-19 Presidential, Legislative and Regulatory Developments.~~ In light of the COVID-19 pandemic, the executive branch, through executive orders, governmental agencies, including the SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the FHFA, as well as state governments and agencies, have taken, and may continue to take, actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, and the U.S. Congress has enacted and may continue to enact pandemic relief legislation, some of which may have a direct or indirect impact on us or our members. Many of these actions are temporary in nature. We continue to monitor these actions and guidance as they evolve and to evaluate their potential impact on us.

~~Other Legislative Matters~~

~~Affordable Housing and Community Investment.~~ As previously disclosed, Congress continues to consider a legislative proposal, recently as part of the reconciliation process, that, if enacted, would require the FHLBanks to increase the percentage of their annual net earnings devoted to their affordable housing programs over the amount that is currently required by law. The Bank continues to monitor the proposal.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 ~~2020~~2021 Annual Report.

Strategies to Manage Market and Interest-Rate Risk

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General

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:

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•the issuance of COs that can be used to match interest-rate-risk exposures of our assets (at ~~September 30, 2021,~~March 31, 2022, fixed-rate noncallable debt, not hedged by interest-rate swaps, amounted to ~~$8.4~~$7.3 billion, compared with ~~$10.0~~$8.4 billion at December 31, ~~2020)~~2021);

•the issuance of COs with embedded call options to mitigate interest-rate and prepayment risks of our mortgage loans and certain MBS (at ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, fixed-rate callable debt not hedged by interest-rate swaps amounted to ~~$555.0~~$595.0 million and ~~$1.2 billion,~~$520.0 million, 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 conjunction with interest-rate-exchange agreements was ~~$11.2~~$14.9 billion, or ~~44.6~~55.8 percent of our total outstanding CO bonds at ~~September 30, 2021,~~March 31, 2022, compared with ~~$1.7~~$13.0 billion, or ~~7.9~~48.6 percent of total outstanding CO bonds, at December 31, ~~2020)~~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 ~~$4.3~~$3.5 billion, or ~~30.5~~29.5 percent of our total outstanding advances at ~~September 30, 2021,~~March 31, 2022, compared with ~~$5.2~~$3.0 billion, or ~~27.8~~24.6 percent of total outstanding advances, at December 31, ~~2020)~~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 ~~$9.9~~$12.1 billion, or ~~83.5~~88.2 percent of our total outstanding available-for-sale securities at ~~September 30, 2021,~~March 31, 2022, compared with ~~$3.7~~$10.8 billion, or ~~66.9~~85.2 percent of total outstanding available-for-sale securities, at December 31, ~~2020)~~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 derivatives to hedge the interest-rate risk of anticipated future CO debt issuance (at ~~September 30,~~both March 31, 2022 and December 31, 2021, forward starting interest-rate swaps hedging the anticipated future issuance of CO debt was $1.4 ~~billion compared to $17.0 million at December 31, 2020)~~billion).

Our strategies and techniques are 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 ~~2020~~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 VaR, duration of equity, 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;

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•VaR, which measures the potential change in our MVE, 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 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 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

•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 basis changes.

We maintain limits and management action triggers in connection with 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 ~~2020~~2021 Annual Report.

Table 2421 - Interest-Rate / Market-Rate Risk Metrics

September 30, 2021

December 31, 2020

Target, Limit or Management Action Trigger

March 31, 2022

December 31, 2021

Target, Limit or Management Action Trigger

MVE

$2.5 billion

$2.7 billion

None

MVE

$2.4 billion

$2.5 billion

None

MVE/BVE

96%

None

MVE/BVE

98%

96%

None

MVE/Par Stock

240%

210%

Maintain above 130% (management action trigger) with a floor of 125%

MVE/Par Stock

251%

253%

Maintain above 130% (management action trigger) and 125% (limit)

Economic Capital Ratio

7.2%

6.8%

Maintain above 4.5% (management action trigger) and 4.0% (limit)

Economic Capital Ratio

7.1%

7.4%

Maintain above 4.5% (management action trigger) and 4.0% (limit)

VaR~~(1)~~

N/A

$204.0 million

Maintain below $350.0 million (management action trigger)

VaR~~(1)~~

8.7% of MVE

Maintain below 12 percent of MVE (management action trigger)

8.9% of MVE

N/A

Maintain below 12 percent of MVE (management action trigger)

Duration of Equity (2)(3)

+2.30

+1.61

Maintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit)

MVE Sensitivity: (2)(4)

Duration of Equity (1)(2)

+2.07 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

2.4%

1.8%

Maintain above -10% (management action trigger) and -15% (limit)

Down 200 basis point parallel rate shock

0.8%

(0.9)%

Maintain above -10% (management action trigger) and -15% (limit)

Up 200 basis point parallel rate shock

(7.3)%

(6.0)%

Up 200 basis point parallel rate shock

(6.3)%

(4.2)%

Duration Gap (2)(5)

+1.98 months

+1.32 months

None

Duration Gap (1)(4)

+1.77 months

+0.33 months

None

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(1) In the second quarter of 2021, in order to make the management action trigger for VaR consistent with other management action triggers and align it with our capital levels, the board of directors approved a change in the management action trigger for VaR, at which time we eliminated the prior management action trigger of maintaining VaR below $350 million and replaced it with a new management action trigger of maintaining VaR below 12 percent of MVE.

~~(2)~~ Metrics for measuring against the management action 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 the FHFA, which requires that we constrain projected future interest rates and discounting yields to a minimum of zero percent.

~~(3)~~(2) Using the methodology which constrains interest rates to a minimum of zero percent, duration of equity is ~~+3.93~~+2.25 years as of ~~September 30, 2021,~~March 31, 2022, and ~~+5.47~~+1.09 years as of December 31, ~~2020.~~2021.

~~(4)~~(3) Using the methodology which constrains interest rates to a minimum of zero percent, MVE sensitivity in a down 200 basis point parallel rate shock is ~~+12.2~~+2.2 percent as of ~~September 30, 2021,~~March 31, 2022, and ~~+7.8~~+10.4 percent as of December 31, ~~2020,~~2021, and MVE

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sensitivity in an up 200 basis point parallel rate shock is ~~(7.3)~~(6.3) percent as of ~~September 30, 2021,~~March 31, 2022, and ~~(6.1)~~(4.2) percent as of December 31, ~~2020.~~2021.

~~(5)~~

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(4) Using the methodology which constrains interest rates to a minimum of zero percent, duration gap is ~~+3.38~~+1.92 months as of ~~September 30, 2021,~~March 31, 2022, and ~~+4.49~~+0.98 months as of December 31, ~~2020.~~2021.

Value at Risk. ~~On February 7, 2018,~~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 ~~issued guidance,~~ Advisory Bulletin 2018-01, which ~~discontinued the use of proportional shocks in VaR modeling in the calculation of market-risk capital requirements. AB 2018-01~~ was effective as of January 1, 2020, ~~with the implementation of the final rule on~~ ~~FHLBank Capital Requirements~~ ~~published February 20, 2019. AB 2018-01~~ provides guidance for our determination of market risk scenarios that are incorporated into our internal market risk models.

Under the guidance, the interest-rate and market price scenarios that we incorporate into our internal market risk model are satisfactory if they meet the following criteria: (1) the scenarios are based on historical absolute interest rate changes, as applied to current interest rates; (2) the historical shocks represent changes in interest rates and market conditions observed over 120 business-day periods, and the methodology to apply those shocks to current interest rates incorporates the constraints described in the guidance; (3) the scenarios encompass shocks to interest-rate volatility that reflect the historical relationship between interest rates and volatility; and (4) for assets backed by residential mortgage loans, the scenarios include shocks to OAS. Our VaR model results ~~reported as of September 30, 2021, satisfy all of these requirements by utilizing~~utilizes interest rate, volatility and OAS shocks provided by the FHFA.

The table below presents the VaR estimate as of ~~September 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, and represents the estimates of potential reduction to our MVE from potential future changes in ~~interest rates and other~~ market factors, as described above. Estimated potential market value loss exposures are expressed as a percentage of the current MVE. The table is intended to represent a statistically based range of VaR exposures.

Table 2522 - Value-at-Risk

(dollars in millions)


		Value-at-Risk (Gain) Loss Exposure									Value-at-Risk (Gain) Loss Exposure
		September 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Confidence Level	Confidence Level	% of MVE (1)		Amount		% of MVE (1)		Amount		Confidence Level	% of MVE (1)		Amount		% of MVE (1)		Amount
50%	50%	3.43	%	$	85.8	1.52	%	$	40.5	50%	1.85	%	$	43.7	4.11	%	$	100.7
75%	75%	5.45		136.2		3.17		84.7		75%	3.72		88.1		5.52		135.3
95%	95%	7.87		196.6		5.31		141.6		95%	6.20		146.7		7.67		188.1
99%	99%	8.62		215.3		6.94		185.4		99%	8.59		203.4		8.14		199.5

Average of five worst scenarios - as of period end		8.91		222.7		7.64		204.0
Average of five worst scenarios, as of period end										Average of five worst scenarios, as of period end	8.67		205.3		8.71		213.5

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(1) Loss exposure is expressed as a percentage of base MVE.

Income Simulation and 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 toin basis risk. The income simulation metric is based on 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; ~~and~~ c) changes in fair values from hedging ~~activities. The~~activities and d) changes in fair values of trading ~~securities are included in the projections of adjusted net income.~~securities. The simulations are solely based on simulated movements in interest rates and 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 twelve-month horizon in a variety of interest-rate shock scenarios limited to +/ –- 200 basis points. The results of this analysis for ~~September 30, 2021,~~March 31, 2022, showed that in the base case our ROCS was ~~366~~477 basis points over SOFR, and in the worst case modeled, the ~~down~~

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up 200 basis points scenario, our ROCS fell 9666 basis points to ~~270~~411 basis points over SOFR. Our ROCS spread to SOFR remained above the management action trigger minimum during ~~the second quarter of~~ 2021.

Prior to the second quarter of 2021 the management action trigger was the projected return on regulatory capital (RORC) measured against the average yield on SOFR over a twelve-month horizon in a variety of interest-rate shock scenarios. Prior to the first quarter of 2021, the management action trigger for RORC was measured against the average yield on three-month LIBOR over a twelve-month horizon in a variety of interest-rate shock scenarios. For December 31, ~~2020,~~2021, the results of this analysis showed in the base case our ~~RORC~~ROCS was ~~122~~396 basis points over ~~three-month LIBOR,~~SOFR, and in the worst case modeled, the ~~up 300~~down 200 basis point scenario, our ~~RORC~~ROCS fell ~~201~~163 basis points to 79233 basis points ~~below three-month LIBOR.~~over SOFR.

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.

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Table 23 - Market and Interest-Rate Risk Metrics

(dollars in millions)


		September 30, 2021								March 31, 2022
		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	MVE	$2,810	$2,803	$2,619	$2,499	$2,423	$2,316	$2,199	MVE	$2,596	$2,418	$2,403	$2,367	$2,303	$2,219	$2,126
Percent change in MVE from base	Percent change in MVE from base	12.4%	12.2%	4.8%	—%	(3.0)%	(7.3)%	(12.0)%	Percent change in MVE from base	9.7%	2.2%	1.5%	—%	(2.7)%	(6.3)%	(10.2)%
MVE/BVE	MVE/BVE	108%	107%	100%	96%	93%	89%	84%	MVE/BVE	107%	100%	99%	98%	95%	91%	88%
MVE/Par Stock	MVE/Par Stock	270%	269%	251%	240%	233%	222%	211%	MVE/Par Stock	275%	256%	255%	251%	244%	235%	225%
Duration of Equity	Duration of Equity	0.00 years	+4.15 years	+4.93 years	+ 3.93 years	+3.94 years	+4.84 years	+5.39 years	Duration of Equity	+4.98 years	+5.08 years	+0.62 years	+2.25 years	+3.31 years	+3.98 years	+4.39 years
Return on Capital Stock less SOFR	Return on Capital Stock less SOFR	2.70%	2.70%	2.86%	3.66%	3.62%	3.12%	2.65%	Return on Capital Stock less SOFR	3.77%	4.11%	4.65%	4.77%	4.54%	4.11%	3.42%
Net income percent change from base	Net income percent change from base	(27.46)%	(27.38)%	(23.32)%	—%	25.59%	38.88%	53.22%	Net income percent change from base	(43.17)%	(34.51)%	(16.13)%	—%	11.51%	19.75%	24.11%


		December 31, 2020								December 31, 2021
		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	MVE	$2,868	$2,878	$2,860	$2,669	$2,603	$2,507	$2,387	MVE	$2,704	$2,706	$2,488	$2,452	$2,421	$2,349	$2,252
Percent change in MVE from base	Percent change in MVE from base	7.5%	7.8%	7.2%	—%	(2.5)%	(6.1)%	(10.6)%	Percent change in MVE from base	10.3%	10.4%	1.5%	—%	(1.3)%	(4.2)%	(8.2)%
MVE/BVE	MVE/BVE	103%	103%	103%	96%	93%	90%	86%	MVE/BVE	106%	106%	98%	96%	95%	92%	89%
MVE/Par Stock	MVE/Par Stock	225%	226%	225%	210%	204%	197%	187%	MVE/Par Stock	280%	280%	257%	253%	250%	243%	233%
Duration of Equity	Duration of Equity	-0.22 years	-0.49 years	+3.68 years	+5.47 years	+3.07 years	+4.32 years	+4.86 years	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 Regulatory Capital less 3-month LIBOR		1.22%	1.22%	1.23%	1.22%	0.58%	(0.09)%	(0.79)%
Return on Capital Stock less SOFR									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	Net income percent change from base	(13.15)%	(13.04)%	(12.03)%	—%	24.29%	46.71%	67.07%	Net income percent change from base	(46.68)%	(46.70)%	(39.37)%	—%	24.45%	44.81%	60.66%

____________________________

(1) In an environment of low interest rates, downward rate shocks are ~~constrained to a minimum of zero~~floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.

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

~~Table of Contents~~

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.

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 ~~September 30, 2021.~~March 31, 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 ~~September 30, 2021.~~March 31, 2022.

Changes in Internal Control over Financial Reporting

During the quarter ended ~~September 30, 2021,~~March 31, 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.

Table of Contents

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

As noted in Part I – Item 3 – Legal Proceedings in the ~~2020~~2021 Annual Report, in November 2020, we resolved our claims against the remaining defendants in our private-label MBS litigation that were pending in Massachusetts District Court. We continue to pursue related litigation against Moody’s Investors Service, Inc. and Moody’s Corporation in the New York Supreme Court.

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 ~~2020~~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

None.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

Table of Contents

ITEM 5. OTHER INFORMATION

None

~~Table of Contents~~

ITEM 6. EXHIBITS

Number

Exhibit Description

Reference

10.1

Employment Agreement between Timothy J. Barrett and the Federal Home Loan Bank of Boston dated October 21, 2021 *2022 Executive Incentive Plan*

Exhibit 10.1 to our Form 8-K/A filed with the ~~8-K filed October 25, 2021~~

~~10.2~~

Consulting Agreement between Edward A. Hjerpe III and the Federal Home Loan Bank of Boston dated October 21, 2021 *

~~Filed within this Form 10-Q~~SEC on April 27, 2022

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 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

* Management contract or compensatory plan. Portions of this exhibit have been omitted.

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.

Date

FEDERAL HOME LOAN BANK OF BOSTON (Registrant)

~~November 10, 2021~~May 12, 2022

By:

/s/

~~Edward A. Hjerpe III~~Timothy J. Barrett

President and Chief Executive Officer

~~November 10, 2021~~May 12, 2022

By:

/s/

Frank Nitkiewicz

Executive Vice President, Chief Operating Officer

and Chief Financial Officer

7667


		Shares outstanding as of October 31, 2021
Class A Stock, par value	$100	zero
Class B Stock, par value	$100	10,269,108


	Amortized Cost		Allowance for Credit Losses		Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
HFA securities	$	77,470	$	—	$	—	$	77,470	$	—	$	(6,230)	$	71,240
MBS GSE – single-family	17,802		—		—		17,802		89		—		17,891
MBS - Private-label	158,945		(634)		(31,502)		126,809		53,953		(248)		180,514
Total	$	254,217	$	(634)	$	(31,502)	$	222,081	$	54,042	$	(6,478)	$	269,645


	For the Three Months Ended September 30, 2020				For the Nine Months Ended September 30, 2020
	Available-for-Sale		Held-to-Maturity		Available-for-Sale		Held-to-Maturity
Balance at beginning of period	$	—	$	5,566	$	—	$	—
Adjustments for cumulative effect of change in accounting principle(1)	—		—		—		5,308
Transfers	634		(634)		634		(634)
Reduction of provision for credit losses due to sales of securities	(68)		(2,423)		(68)		(3,205)
Reduction of provision for credit losses	(143)		(2,509)		(143)		(1,469)
Charge-offs	(299)		—		(299)		—
Balance at end of period	$	124	$	—	$	124	$	—


	December 31, 2020
	Year of Origination
Payment Status at Amortized Cost	Prior to 2016		2016 to 2020		Total
Past due 30-59 days delinquent	$	11,743	$	25,058	$	36,801
Past due 60-89 days delinquent	5,263		11,178		16,441
Past due 90 days or more delinquent	20,894		43,529		64,423
Total past due	37,900		79,765		117,665
Total current loans	1,246,691		2,317,975		3,564,666
Total mortgage loans	$	1,284,591	$	2,397,740	$	3,682,331


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
Allowance for credit losses(1)	2021		2020		2021		2020
Balance, beginning of period	$	2,125	$	4,602	$	3,100	$	500
Adjustment for cumulative effect of change in accounting principle	—		—		—		2,221
Recoveries (charge-offs)	10		(3)		62		(83)

(Reduction of) provision for credit losses	(80)		1		(1,107)		1,962
Balance, end of period	$	2,055	$	4,600	$	2,055	$	4,600


	Net Unrealized Gain (Loss) on Available-for-sale Securities		Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities		Net Unrealized (Loss) Gain Relating to Hedging Activities		Pension and Postretirement Benefits		Total
Balance, June 30, 2020	$	(44,000)	$	(50,407)	$	(27,956)	$	(6,108)	$	(128,471)
Other comprehensive income (loss) before reclassifications:
Adjustment for transfer of securities from held-to-maturity to available-for-sale	16,062		31,502		—		—		47,564
Net unrealized gains	62,434		—		15		—		62,449
Noncredit losses included in basis of securities sold	—		18,905		—		—		18,905

Net actuarial loss	—		—		—		(382)		(382)
Reclassifications from other comprehensive income to net income
Reclassification of realized net gains included in net income	(26,210)		—		—		—		(26,210)
Amortization - hedging activities (1)	—		—		1,788		—		1,788
Amortization - pension and postretirement benefits (2)	—		—		—		290		290
Other comprehensive income (loss)	52,286		50,407		1,803		(92)		104,404
Balance, September 30, 2020	$	8,286	$	—	$	(26,153)	$	(6,200)	$	(24,067)

Balance, June 30, 2021	$	84,460	$	—	$	(30,340)	$	(6,475)	$	47,645
Other comprehensive income (loss) before reclassifications:

Net unrealized (losses) gains	(17,961)		—		8,672		—		(9,289)
Net actuarial gain	—		—		—		646		646
Reclassifications from other comprehensive income to net income

Amortization - hedging activities (1)	—		—		1,453		—		1,453
Amortization - pension and postretirement benefits (2)	—		—		—		149		149
Other comprehensive (loss) income	(17,961)		—		10,125		795		(7,041)
Balance, September 30, 2021	$	66,499	$	—	$	(20,215)	$	(5,680)	$	40,604


Private-label MBS	For the Three Months Ended September 30, 2020		For the Nine Months Ended September 30, 2020
Balance at beginning of period	$	—	$	—
Transfer of securities from held-to-maturity to available-for-sale	180,514		180,514
Total gains included in earnings
Net gains on sale	26,210		26,210
Reduction of provision for credit losses	211		211
Accretion	272		272
Total gains included in other comprehensive income
Total net unrealized gains included in other comprehensive income	(17,098)		(17,098)

Maturities and settlements
Sales	(165,439)		(165,439)
Maturities	—		—
Settlements	(1,892)		(1,892)
Balance at end of period	$	22,778	$	22,778

Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end	$	617	$	617
Total amount of gains for the period included in earnings attributable to the provision for credit losses and accretion of discounts relating to securities held at period end	$	415	$	415


	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
September 30, 2021	$	50,334	4.8	%	$	480,328	3.4	%	$	493	2.3	%
December 31, 2020	60,624		4.8		582,765		3.1		651		2.5


	September 30, 2021		December 31, 2020
Total par value of government loans past due 90 days or more and still accruing interest	$	5,342	$	5,472
Nonaccrual loans, par value	25,467		74,348
Troubled debt restructurings (not included above)	5,567		6,095


	As of September 30, 2021
									Weighted-Average Yield (4)
	Derivatives				Advances(2)						Derivatives
Maturity	Notional		Fair Value(1)		Hedged Amount		Benchmark Fair-Value Adjustment(3)		Advances		Receive Floating Rate		Pay Fixed Rate		Net Receive Result
Due in one year or less	$	1,041,275	$	(6,307)	$	1,041,275	$	6,266	2.04	%	0.10	%	1.59	%	0.55	%
Due after one year through two years	409,300		(9,219)		409,300		9,175		2.15		0.11		1.74		0.52
Due after two years through three years	317,500		(9,380)		317,500		9,264		2.09		0.06		1.52		0.63
Due after three years through four years	958,425		(8,360)		958,425		8,338		1.38		0.06		0.65		0.79
Due after four years through five years	181,360		370		181,360		(366)		1.18		0.09		0.63		0.64
Thereafter	723,250		(4,330)		723,250		4,266		1.68		0.06		1.07		0.67
Total	$	3,631,110	$	(37,226)	$	3,631,110	$	36,943	1.77	%	0.08	%	1.20	%	0.65	%


	LIBOR Tenors That Cease or Will no Longer be Representative Immediately After September 30, 2023
	Due/Terminates in 2021		Due/Terminates in 2022		Due/Terminates in 2023, through June 30		Due/Terminates after June 30, 2023		Total
Assets with LIBOR exposure
Advances, par amount by redemption term(1)	$	9,500	$	—	$	—	$	—	$	9,500
Investment securities, par amount by contractual maturity
Non-MBS	—		—		—		13,045		13,045
MBS(2)	—		6		—		760,646		760,652
Total investment securities	—		6		—		773,691		773,697
Total financial instruments	$	9,500	$	6	$	—	$	773,691	$	783,197

LIBOR-indexed interest-rate swaps, notional amount
Receive leg
Cleared	$	446,790	$	59,625	$	15,000	$	25,750	$	547,165
Uncleared	31,500		221,000		526,600		435,900		1,215,000
Total interest-rate swaps, receive leg	$	478,290	$	280,625	$	541,600	$	461,650	$	1,762,165

Pay leg
Cleared	$	145,000	$	137,220	$	—	$	—	$	282,220
Uncleared	160,000		—		—		—		160,000
Total interest-rate swaps, pay leg	$	305,000	$	137,220	$	—	$	—	$	442,220


	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, 2021	$	436,160	$	572,855	$	1,009,036	$	1,042,067	$	33,031
December 31, 2020	420,238		762,379		1,182,638		1,273,454		90,816