UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

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

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

Commission File Number: 000-51404

FEDERAL HOME LOAN BANK OF INDIANAPOLIS

(Exact name of registrant as specified in its charter)


Federally Chartered Corporation						35-6001443
(State or other jurisdiction of incorporation)						(IRS employer identification number)

8250 Woodfield Crossing Blvd. Indianapolis, IN						46240
(Address of principal executive offices)						(Zip code)

(317) 465-0200

(Registrant's telephone number, including area code)

Not Applicable

(Former name or former address, if changed since last report.)

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


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	None	None

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 for the past 90 days.

x Yes o No

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).

x Yes o No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See 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

☐

Accelerated filer

☐

Emerging growth company

Non-accelerated Filer

☐

Smaller reporting 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. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

☐ Yes x No

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


			Shares outstanding as of ~~April 30,~~October 31, 2021
Class A Stock, par value $100			0—
Class B Stock, par value $100			~~24,630,689~~22,965,620


Table of Contents		Page
		Number

	Special Note Regarding Forward-Looking Statements	3
PART I.	FINANCIAL INFORMATION
Item 1.	FINANCIAL STATEMENTS (unaudited)

	Statements of Condition as of ~~March 31,~~September 30, 2021 and December 31, 2020	4

	Statements of Income for the Three and Nine Months Ended ~~March 31,~~September 30, 2021 and 2020	5

	Statements of Comprehensive Income for the Three and Nine Months Ended ~~March 31,~~September 30, 2021 and 2020	6

	Statements of Capital for the Three and Nine Months Ended ~~March 31,~~September 30, 2021 and 2020	7

	Statements of Cash Flows for the ~~Three~~Nine Months Ended ~~March 31,~~September 30, 2021 and 2020	89

	Notes to Financial Statements:
	Note 1 - Summary of Significant Accounting Policies	1011
	Note 2 - Recently Adopted and Issued Accounting Guidance	1011
	Note 3 - Investments	1011
	Note 4 - Advances	1415
	Note 5 - Mortgage Loans Held for Portfolio	1516
	Note 6 - Derivatives and Hedging Activities	1819
	Note 7 - Consolidated Obligations	2224
	Note 8 - Affordable Housing Program	2426
	Note 9 - Capital	2426
	Note 10 - Accumulated Other Comprehensive Income	2628
	Note 11 - Segment Information	2730
	Note 12 - Estimated Fair Values	2831
	Note 13 - Commitments and Contingencies	3235
	Note 14 - Related Party and Other Transactions	3336

	Defined Terms	3437

Item 2.	MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
	Presentation	3639
	Executive Summary	3639
	Selected Financial Data	3841
	Results of Operations and Changes in Financial Condition	3942
	Operating Segments	4449
	Analysis of Financial Condition	4550
	Liquidity and Capital Resources	5257
	Off-Balance Sheet Arrangements	5459
	Critical Accounting Policies and Estimates	5459
	Recent Accounting and Regulatory Developments	5460
	Risk Management	5561
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	5864
Item 4.	CONTROLS AND PROCEDURES	6167

PART II.	OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	6167
Item 1A.	RISK FACTORS	6268
Item 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	6369
Item 3.	DEFAULTS UPON SENIOR SECURITIES	6369
Item 4.	MINE SAFETY DISCLOSURES	6369
Item 5.	OTHER INFORMATION	6369
Item 6.	EXHIBITS	6470

As used in this Form 10-Q, unless the context otherwise requires, the terms "we," "us," "our," and "Bank" refer to the Federal Home Loan Bank of Indianapolis or its management. We use acronyms and terms throughout that are defined herein or in the Defined Terms in Part I Item 1.

Special Note Regarding Forward-Looking Statements

Statements in this Form 10-Q, including statements describing our objectives, projections, estimates or predictions, may be considered to be "forward-looking statements." These statements may use forward-looking terminology, such as "anticipates," "believes," "could," "estimates," "may," "should," "expects," "will," or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements involve risk or uncertainty and that actual results either 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. These forward-looking statements involve risks and uncertainties including, but not limited to, the following:

•economic and market conditions, including the timing and volume of market activity, inflation or deflation, changes in the value of global currencies, and changes in the financial condition of market participants;

•volatility of market prices, interest rates, and indices or the availability of suitable interest rate indices, or other factors, resulting from the effects of, and changes in, various monetary or fiscal policies and regulations, including those determined by the Federal Reserve and the FDIC, or a decline in liquidity in the financial markets, that could affect the value of investments or collateral we hold as security for the obligations of our members and counterparties;

•changes in demand for our advances and purchases of mortgage loans resulting from:

◦changes in our members' deposit flows and credit demands;

◦changes in products or services we are able to provide;

◦federal or state regulatory developments impacting suitability or eligibility of membership classes;

◦membership changes, including, but not limited to, mergers, acquisitions and consolidations of charters;

◦changes in the general level of housing activity in the United States and particularly our district states of Michigan and Indiana, the level of refinancing activity and consumer product preferences;

◦competitive forces, including, without limitation, other sources of funding available to our members; and

◦changes in the terms and conditions of ownership of our capital stock;

•changes in mortgage asset prepayment patterns, delinquency rates and housing values or improper or inadequate mortgage originations and mortgage servicing;

•ability to introduce and successfully manage new products and services, including new types of collateral securing advances;

•political events, including federal government shutdowns, administrative, legislative, regulatory, or other developments, ~~national or international health crises (such as the COVID-19 pandemic) and the responses of governments and financial markets to such crises,~~ changes in international political structures and alliances, and judicial rulings that affect us, our status as a secured creditor, our members (or certain classes of members), prospective members, counterparties, GSEs generally, one or more of the FHLBanks and/or investors in the consolidated obligations of the FHLBanks;

•national or international health crises, such as the COVID-19 pandemic, including any resurgence of the pandemic, new and evolving pandemic strains, and the effects of health crises on our and our counterparties' operations, member demand, market liquidity, and the global funding markets, and the governmental, regulatory, and fiscal interventions undertaken to stabilize local, national, and global economic conditions;

•ability to access the capital markets and raise capital market funding on acceptable terms;

•changes in our credit ratings or the credit ratings of the other FHLBanks and the FHLBank System;

•changes in the level of government guarantees provided to other United States and international financial institutions;

•dealer commitment to supporting the issuance of our consolidated obligations;

•ability of one or more of the FHLBanks to repay its portion of the consolidated obligations, or otherwise meet its financial obligations;

•ability to attract and retain skilled personnel;

•ability to develop, implement and support technology and information systems sufficient to manage our business effectively;

•nonperformance of counterparties to uncleared and cleared derivative transactions;

•changes in terms of derivative agreements and similar agreements;

•loss arising from natural disasters, acts of war, riots, insurrection or acts of terrorism;

•changes in or differing interpretations of accounting guidance; and

•other risk factors identified in our filings with the SEC.

Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, additional disclosures may be made through reports filed with the SEC in the future, including our Forms 10-K, 10-Q and 8-K.

Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. FINANCIAL STATEMENTS

Federal Home Loan Bank of Indianapolis

Statements of Condition

(Unaudited, $ amounts in thousands, except par value)

March 31, 2021 December 31, 2020
Assets:
Cash and due from banks $ 1,443,176 $ 1,811,544
Interest-bearing deposits (Note 3) 100,041 100,026
Securities purchased under agreements to resell (Note 3) 4,500,000 2,500,000
Federal funds sold (Note 3) 2,830,000 1,215,000
Trading securities (Note 3) 5,531,250 5,094,703
Available-for-sale securities, amortized cost of $9,264,901 and $10,007,978 (Note 3) 9,475,351 10,144,899
Held-to-maturity securities (estimated fair values of $4,496,446 and $4,723,796) (Note 3) 4,474,045 4,701,302
Advances (Note 4) 29,783,640 31,347,486
Mortgage loans held for portfolio, net (Note 5)
8,056,965 8,515,645
Accrued interest receivable 88,460 103,076
Premises, software, and equipment, net 33,274 33,993
Derivative assets, net (Note 6) 285,286 283,082
Other assets 78,197 74,000
Total assets $ 66,679,685 $ 65,924,756
Liabilities:

Deposits $ 1,848,361 $ 1,375,206
Consolidated obligations (Note 7):
Discount notes 17,573,424 16,617,079
Bonds 42,793,552 43,332,946
Total consolidated obligations, net 60,366,976 59,950,025
Accrued interest payable 60,030 63,581
Affordable Housing Program payable (Note 8) 35,690 34,402
Derivative liabilities, net (Note 6) 19,533 22,979
Mandatorily redeemable capital stock (Note 9) 232,695 250,768
Other liabilities 569,024 777,493
Total liabilities 63,132,309 62,474,454
Commitments and contingencies (Note 13) 0 0
Capital (Note 9):

Capital stock (putable at par value of $100 per share):
Class B issued and outstanding shares: 22,141,922 and 22,075,696, respectively 2,214,192 2,207,570
Retained earnings:
Unrestricted 878,854 868,904
Restricted 274,403 268,426
Total retained earnings 1,153,257 1,137,330
Total accumulated other comprehensive income (Note 10) 179,927 105,402
Total capital 3,547,376 3,450,302
Total liabilities and capital $ 66,679,685 $ 65,924,756


	September 30, 2021		December 31, 2020
Assets:
Cash and due from banks	$	1,953,744	$	1,811,544
Interest-bearing deposits (Note 3)	100,041		100,026
Securities purchased under agreements to resell (Note 3)	4,200,000		2,500,000
Federal funds sold (Note 3)	2,075,000		1,215,000
Trading securities (Note 3)	4,858,818		5,094,703
Available-for-sale securities, amortized cost of $9,141,491 and $10,007,978 (Note 3)	9,319,579		10,144,899
Held-to-maturity securities (estimated fair values of $4,510,359 and $4,723,796) (Note 3)	4,496,595		4,701,302
Advances (Note 4)	26,958,039		31,347,486
Mortgage loans held for portfolio, net (Note 5)	7,570,462		8,515,645
Accrued interest receivable	75,813		103,076
Premises, software, and equipment, net	31,541		33,993
Derivative assets, net (Note 6)	231,280		283,082
Other assets	89,482		74,000

Total assets	$	61,960,394	$	65,924,756

Liabilities:
Deposits	$	1,736,009	$	1,375,206
Consolidated obligations (Note 7):
Discount notes	12,713,890		16,617,079
Bonds	43,225,386		43,332,946
Total consolidated obligations, net	55,939,276		59,950,025
Accrued interest payable	64,042		63,581
Affordable Housing Program payable (Note 8)	30,466		34,402
Derivative liabilities, net (Note 6)	18,542		22,979
Mandatorily redeemable capital stock (Note 9)	50,442		250,768
Other liabilities	570,382		777,493

Total liabilities	58,409,159		62,474,454

Commitments and contingencies (Note 13)	0		0

Capital (Note 9):
Capital stock (putable at par value of $100 per share):
Class B issued and outstanding shares: 22,364,922 and 22,075,696, respectively	2,236,492		2,207,570
Retained earnings:
Unrestricted	881,456		868,904
Restricted	281,820		268,426
Total retained earnings	1,163,276		1,137,330
Total accumulated other comprehensive income (Note 10)	151,467		105,402

Total capital	3,551,235		3,450,302

Total liabilities and capital	$	61,960,394	$	65,924,756

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

4

Federal Home Loan Bank of Indianapolis

Statements of Income

(Unaudited, $ amounts in thousands)

Three Months Ended March 31,
2021 2020
Interest Income:
Advances $ 36,109 $ 169,625
Interest-bearing deposits 156 4,718
Securities purchased under agreements to resell 437 9,833
Federal funds sold 803 9,290
Trading securities 16,170 23,796
Available-for-sale securities 29,836 36,803
Held-to-maturity securities 9,864 29,133
Mortgage loans held for portfolio 40,282 82,021
Total interest income 133,657 365,219
Interest Expense:
Consolidated obligation discount notes 4,199 72,514
Consolidated obligation bonds 53,796 223,852
Deposits 37 2,735
Mandatorily redeemable capital stock 1,104 2,967
Total interest expense 59,136 302,068
Net interest income 74,521 63,151
Provision for (reversal of) credit losses 88 (3)
Net interest income after provision for credit losses 74,433 63,154
Other Income:
Net gains (losses) on trading securities (13,628) 49,833
Net losses on derivatives (838) (50,950)
Service fees 127 160
Standby letters of credit fees 171 156
Other, net 1,192 (3,578)
Total other income (loss) (12,976) (4,379)
Other Expenses:
Compensation and benefits 15,758 14,385
Other operating expenses 7,271 7,309
Federal Housing Finance Agency 1,473 1,168
Office of Finance 1,997 1,274
Other 1,631 1,480
Total other expenses 28,130 25,616
Income before assessments 33,327 33,159
Affordable Housing Program assessments 3,443 3,613
Net income $ 29,884 $ 29,546


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Interest Income:
Advances	$	20,432	$	45,084	$	84,716	$	291,030
Interest-bearing deposits	136		364		413		5,396
Securities purchased under agreements to resell	540		820		1,192		10,879
Federal funds sold	728		542		2,182		10,155
Trading securities	10,473		22,335		41,064		71,651
Available-for-sale securities	22,477		22,539		73,497		72,682
Held-to-maturity securities	7,694		11,201		25,367		60,147
Mortgage loans held for portfolio	44,111		48,268		124,512		189,496

Total interest income	106,591		151,153		352,943		711,436

Interest Expense:
Consolidated obligation discount notes	1,675		10,967		7,607		111,056
Consolidated obligation bonds	46,601		77,398		153,071		398,449
Deposits	42		32		122		2,821
Mandatorily redeemable capital stock	312		2,037		2,345		7,777

Total interest expense	48,630		90,434		163,145		520,103

Net interest income	57,961		60,719		189,798		191,333
Provision for (reversal of) credit losses	(16)		124		28		172

Net interest income after provision for credit losses	57,977		60,595		189,770		191,161

Other Income:




Net gains (losses) on trading securities	(8,207)		(19,331)		(35,566)		1,975
Net realized gains from sale of available-for-sale securities	—		504		—		504
Net gains (losses) on derivatives	(1,361)		(297)		(2,013)		(52,124)
Service fees	123		128		382		425
Standby letters of credit fees	189		188		614		506

Other, net	389		1,931		4,972		1,911
Total other income (loss)	(8,867)		(16,877)		(31,611)		(46,803)

Other Expenses:
Compensation and benefits	14,570		14,519		44,420		44,156
Other operating expenses	7,352		7,847		22,041		22,881
Federal Housing Finance Agency	1,473		1,181		4,420		3,516
Office of Finance	1,493		1,293		4,718		3,604
Other	2,030		2,053		7,887		5,244
Total other expenses	26,918		26,893		83,486		79,401

Income before assessments	22,192		16,825		74,673		64,957

Affordable Housing Program assessments	2,250		1,886		7,702		7,273

Net income	$	19,942	$	14,939	$	66,971	$	57,684

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

5

Federal Home Loan Bank of Indianapolis

Statements of Comprehensive Income

(Unaudited, $ amounts in thousands)

Three Months Ended March 31,
2021 2020
Net income $ 29,884 $ 29,546
Other Comprehensive Income:
Net change in unrealized gains (losses) on available-for-sale securities 73,529 (148,831)
Pension benefits, net 996 707
Total other comprehensive income (loss) 74,525 (148,124)
Total comprehensive income (loss) $ 104,409 $ (118,578)


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020

Net income	$	19,942	$	14,939	$	66,971	$	57,684

Other Comprehensive Income:

Net change in unrealized gains (losses) on available-for-sale securities	(36,864)		77,290		41,167		7,479



















Pension benefits, net	(5,093)		867		4,898		(807)

Total other comprehensive income (loss)	(41,957)		78,157		46,065		6,672

Total comprehensive income (loss)	$	(22,015)	$	93,096	$	113,036	$	64,356

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

6

Federal Home Loan Bank of Indianapolis

Statements of Capital

Three Months Ended ~~March 31,~~September 30, 2021 and 2020

(Unaudited, $ amounts and shares in thousands)



	Capital Stock			Retained Earnings						Accumulated Other Comprehensive Income		Total Capital
	Shares	Par Value		Unrestricted		Restricted		Total

Balance, June 30, 2021	22,339	$	2,233,916	$	878,581	$	277,832	$	1,156,413	$	193,424	$	3,583,753

Total comprehensive income (loss)				15,954		3,988		19,942		(41,957)		(22,015)

Proceeds from issuance of capital stock	183	18,302										18,302

Redemption/repurchase of capital stock	(113)	(11,277)										(11,277)

Shares reclassified to mandatorily redeemable capital stock, net	(44)	(4,449)										(4,449)





Cash dividends on capital stock (2.35% annualized)				(13,079)		—		(13,079)				(13,079)

Balance, September 30, 2021	22,365	$	2,236,492	$	881,456	$	281,820	$	1,163,276	$	151,467	$	3,551,235


Balance, June 30, 2020	21,943	$	2,194,319	$	868,328	$	259,403	$	1,127,731	$	(4,109)	$	3,317,941

Total comprehensive income				11,952		2,987		14,939		78,157		93,096

Proceeds from issuance of capital stock	305	30,432										30,432

Redemption/repurchase of capital stock	(6)	(585)										(585)

Shares reclassified to mandatorily redeemable capital stock, net	(5)	(496)										(496)





Cash dividends on capital stock (3.50% annualized)				(18,825)		—		(18,825)				(18,825)

Balance, September 30, 2020	22,237	$	2,223,670	$	861,455	$	262,390	$	1,123,845	$	74,048	$	3,421,563

Capital Stock Retained Earnings Accumulated
Other
Comprehensive
Income (Loss) Total
Capital
Shares Par Value Unrestricted Restricted Total
Balance, December 31, 2020 22,076 $ 2,207,570 $ 868,904 $ 268,426 $ 1,137,330 $ 105,402 $ 3,450,302
Total comprehensive income 23,907 5,977 29,884 74,525 104,409
Proceeds from issuance of capital stock 66 6,622 6,622
Cash dividends on capital stock
(2.50% annualized)
(13,957) — (13,957) (13,957)
Balance, March 31, 2021 22,142 $ 2,214,192 $ 878,854 $ 274,403 $ 1,153,257 $ 179,927 $ 3,547,376
Balance, December 31, 2019 19,741 $ 1,974,076 $ 864,454 $ 250,854 $ 1,115,308 $ 67,376 $ 3,156,760
Total comprehensive income (loss) 23,637 5,909 29,546 (148,124) (118,578)
Proceeds from issuance of capital stock 1,243 124,378 124,378
Shares reclassified to mandatorily redeemable capital stock, net (2) (232) (232)
Cash dividends on capital stock
(4.25% annualized)
(20,950) — (20,950) (20,950)
Balance, March 31, 2020 20,982 $ 2,098,222 $ 867,141 $ 256,763 $ 1,123,904 $ (80,748) $ 3,141,378

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

7

Federal Home Loan Bank of Indianapolis

Statements of Capital

Nine Months Ended September 30, 2021 and 2020

(Unaudited, $ amounts and shares in thousands)


	Capital Stock			Retained Earnings						Accumulated Other Comprehensive Income		Total Capital
	Shares	Par Value		Unrestricted		Restricted		Total


Balance, December 31, 2020	22,076	$	2,207,570	$	868,904	$	268,426	$	1,137,330	$	105,402	$	3,450,302

Total comprehensive income				53,577		13,394		66,971		46,065		113,036

Proceeds from issuance of capital stock	449	44,929										44,929

Redemption/repurchase of capital stock	(113)	(11,277)										(11,277)

Shares reclassified to mandatorily redeemable capital stock, net	(47)	(4,730)										(4,730)





Cash dividends on capital stock (2.48% annualized)				(41,025)		—		(41,025)				(41,025)

Balance, September 30, 2021	22,365	$	2,236,492	$	881,456	$	281,820	$	1,163,276	$	151,467	$	3,551,235

Balance, December 31, 2019	19,741	$	1,974,076	$	864,454	$	250,854	$	1,115,308	$	67,376	$	3,156,760

Total comprehensive income				46,148		11,536		57,684		6,672		64,356

Proceeds from issuance of capital stock	2,640	264,022										264,022

Redemption/repurchase of capital stock	(6)	(585)										(585)

Shares reclassified to mandatorily redeemable capital stock, net	(138)	(13,843)										(13,843)

Partial recovery of prior capital distribution to Financing Corporation				10,574		—		10,574				10,574

Cash dividends on capital stock (3.91% annualized)				(59,721)		—		(59,721)				(59,721)

Balance, September 30, 2020	22,237	$	2,223,670	$	861,455	$	262,390	$	1,123,845	$	74,048	$	3,421,563

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

8

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows

(Unaudited, $ amounts in thousands)


		Three Months Ended March 31,					Nine Months Ended September 30,
		2021		2020			2021		2020
Operating Activities:	Operating Activities:					Operating Activities:
Net income	Net income	$	29,884	$	29,546	Net income	$	66,971	$	57,684
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	Adjustments to reconcile net income to net cash provided by (used in) operating activities:					Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation	Amortization and depreciation	24,431		23,008		Amortization and depreciation	61,766		53,918

Changes in net derivative and hedging activities	Changes in net derivative and hedging activities	152,082		(516,375)		Changes in net derivative and hedging activities	87,188		(470,940)

Provision for (reversal of) credit losses		88		(3)
Provision for credit losses						Provision for credit losses	28		172
Net losses (gains) on trading securities	Net losses (gains) on trading securities	13,628		(49,833)		Net losses (gains) on trading securities	35,566		(1,975)

Net realized gains from sale of available-for-sale securities						Net realized gains from sale of available-for-sale securities	—		(504)

Changes in:	Changes in:					Changes in:
Accrued interest receivable	Accrued interest receivable	14,518		1,528		Accrued interest receivable	26,750		26,910
Other assets	Other assets	(5,470)		(3,188)		Other assets	(17,725)		(1,670)
Accrued interest payable	Accrued interest payable	(3,551)		(42,511)		Accrued interest payable	461		(114,660)
Other liabilities	Other liabilities	13,979		24,357		Other liabilities	19,697		44,253
Total adjustments, net	Total adjustments, net	209,705		(563,017)		Total adjustments, net	213,731		(464,496)

Net cash provided by (used in) operating activities	Net cash provided by (used in) operating activities	239,589		(533,471)		Net cash provided by (used in) operating activities	280,702		(406,812)

Investing Activities:	Investing Activities:					Investing Activities:
Net change in:	Net change in:					Net change in:
Interest-bearing deposits	Interest-bearing deposits	379,297		11,403		Interest-bearing deposits	492,551		(34,408)
Securities purchased under agreements to resell	Securities purchased under agreements to resell	(2,000,000)		(1,900,000)		Securities purchased under agreements to resell	(1,700,000)		(3,000,000)
Federal funds sold	Federal funds sold	(1,615,000)		2,550,000		Federal funds sold	(860,000)		1,598,000
Trading securities:	Trading securities:					Trading securities:
Proceeds from maturities	Proceeds from maturities	500,000		400,000		Proceeds from maturities	2,000,000		3,160,000
Proceeds from sales						Proceeds from sales	50,006		—
Purchases	Purchases	(950,175)		(1,164,607)		Purchases	(1,849,689)		(3,200,361)
Available-for-sale securities:	Available-for-sale securities:					Available-for-sale securities:
Proceeds from maturities	Proceeds from maturities	343,500		22,000		Proceeds from maturities	727,875		93,550

Proceeds from sales						Proceeds from sales	—		96,779
Purchases	Purchases	(60,290)		(1,032,839)		Purchases	(140,093)		(1,564,036)
Held-to-maturity securities:	Held-to-maturity securities:					Held-to-maturity securities:
Proceeds from maturities	Proceeds from maturities	290,207		420,864		Proceeds from maturities	770,773		1,128,834

Purchases	Purchases	(215,269)		0		Purchases	(742,571)		(125,019)
Advances:	Advances:					Advances:
Principal repayments	Principal repayments	67,477,320		68,421,317		Principal repayments	193,228,613		199,835,256
Disbursements to members	Disbursements to members	(66,175,807)		(74,178,468)		Disbursements to members	(189,160,818)		(198,028,162)
Mortgage loans held for portfolio:	Mortgage loans held for portfolio:					Mortgage loans held for portfolio:
Principal collections	Principal collections	1,034,979		573,013		Principal collections	2,348,187		3,175,183
Purchases from members	Purchases from members	(610,090)		(360,105)		Purchases from members	(1,577,038)		(1,509,048)
Purchases of premises, software, and equipment	Purchases of premises, software, and equipment	(1,171)		(822)		Purchases of premises, software, and equipment	(3,375)		(3,889)
Loans to other Federal Home Loan Banks:	Loans to other Federal Home Loan Banks:					Loans to other Federal Home Loan Banks:
Principal repayments	Principal repayments	10,000		0		Principal repayments	30,000		80,000
Disbursements	Disbursements	(10,000)		0		Disbursements	(30,000)		(80,000)

Net cash used in investing activities		(1,602,499)		(6,238,244)
Net cash provided by investing activities						Net cash provided by investing activities	3,584,421		1,622,679

(continued)

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

89

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows, continued

(Unaudited, $ amounts in thousands)


		Three Months Ended March 31,					Nine Months Ended September 30,
		2021		2020			2021		2020
Financing Activities:	Financing Activities:					Financing Activities:
Changes in deposits	Changes in deposits	475,555		1,860,821		Changes in deposits	360,803		338,552
Net payments on derivative contracts with financing elements	Net payments on derivative contracts with financing elements	(4,498)		2,368		Net payments on derivative contracts with financing elements	(11,629)		(2,307)
Net proceeds from issuance of consolidated obligations:	Net proceeds from issuance of consolidated obligations:					Net proceeds from issuance of consolidated obligations:
Discount notes	Discount notes	49,078,395		84,066,250		Discount notes	183,417,467		238,137,022
Bonds	Bonds	11,425,764		14,093,533		Bonds	33,114,188		37,468,384
Payments for matured and retired consolidated obligations:	Payments for matured and retired consolidated obligations:					Payments for matured and retired consolidated obligations:
Discount notes	Discount notes	(48,118,416)		(72,093,154)		Discount notes	(187,316,013)		(236,329,608)
Bonds	Bonds	(11,836,850)		(16,796,390)		Bonds	(33,075,310)		(41,057,605)

Proceeds from issuance of capital stock	Proceeds from issuance of capital stock	6,622		124,378		Proceeds from issuance of capital stock	44,929		264,022

Payments for redemption/repurchase of capital stock						Payments for redemption/repurchase of capital stock	(11,277)		(585)
Payments for redemption/repurchase of mandatorily redeemable capital stock	Payments for redemption/repurchase of mandatorily redeemable capital stock	(18,073)		(9)		Payments for redemption/repurchase of mandatorily redeemable capital stock	(205,056)		(74,294)

Partial recovery of prior capital distribution to Financing Corporation						Partial recovery of prior capital distribution to Financing Corporation	—		10,574
Dividend payments on capital stock	Dividend payments on capital stock	(13,957)		(20,950)		Dividend payments on capital stock	(41,025)		(59,721)

Net cash provided by financing activities		994,542		11,236,847
Net cash used in financing activities						Net cash used in financing activities	(3,722,923)		(1,305,566)

Net increase (decrease) in cash and due from banks	Net increase (decrease) in cash and due from banks	(368,368)		4,465,132		Net increase (decrease) in cash and due from banks	142,200		(89,699)

Cash and due from banks at beginning of period	Cash and due from banks at beginning of period	1,811,544		220,294		Cash and due from banks at beginning of period	1,811,544		220,294

Cash and due from banks at end of period	Cash and due from banks at end of period	$	1,443,176	$	4,685,426	Cash and due from banks at end of period	$	1,953,744	$	130,595

Supplemental Disclosures:	Supplemental Disclosures:					Supplemental Disclosures:
Cash activities:	Cash activities:					Cash activities:
Interest payments	Interest payments	$	84,094	$	335,473	Interest payments	$	220,573	$	716,017
Affordable Housing Program payments	Affordable Housing Program payments	2,155		2,274		Affordable Housing Program payments	11,638		10,776
Non-cash activities:	Non-cash activities:					Non-cash activities:
Purchases of investment securities, traded but not yet settled	Purchases of investment securities, traded but not yet settled	23,048		0		Purchases of investment securities, traded but not yet settled	122,924		65,000
Capitalized interest on certain held-to-maturity securities	Capitalized interest on certain held-to-maturity securities	78		506		Capitalized interest on certain held-to-maturity securities	841		1,349
Par value of shares reclassified to mandatorily redeemable capital stock, net	Par value of shares reclassified to mandatorily redeemable capital stock, net	0		232		Par value of shares reclassified to mandatorily redeemable capital stock, net	4,730		13,843

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

910

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 1 - Summary of Significant Accounting Policies

Unless the context otherwise requires, the terms "we," "us," "our," and "Bank" refer to the Federal Home Loan Bank of Indianapolis or its management. We use acronyms and terms throughout these Notes to Financial Statements that are defined in the Defined Terms.

Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2020 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2020 Form 10-K.

The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of our financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full calendar year or any other interim period.

Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to derivatives and hedging activities, and the fair value of financial instruments.

Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our 2020 Form 10-K in Note 1 - Summary of Significant Accounting Policies. There have been no significant changes to these policies through ~~March 31,~~September 30, 2021.

Note 2 - Recently Adopted and Issued Accounting Guidance

We did not adopt any new accounting guidance or elect to apply certain optional expedients prescribed by existing accounting guidance that are applicable and remain available in 2021. Further, the FASB has not issued any new and applicable accounting guidance since the filing of our 2020 Form 10-K. See Note 2 - Recently Adopted and Issued Accounting Guidance in our 2020 Form 10-K for additional detail.

Note 3 - Investments

Short-term Investments.

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 maintain a credit rating of triple-B or higher (investment grade) by an NRSRO. At ~~March 31,~~September 30, 2021 and December 31, 2020,~~, NaN~~ none of these investments were with counterparties rated below single-A and ~~NaN~~none were with unrated counterparties. ~~The~~The NRSRO ratings may differ from our internal ratings of the investments, if applicable.

1011

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Investment Securities.

Trading Securities.

Major Security Types. The following table presents our trading securities by type of security.


Security Type	Security Type	March 31, 2021		December 31, 2020		Security Type	September 30, 2021		December 31, 2020
Non-mortgage-backed securities:	Non-mortgage-backed securities:					Non-mortgage-backed securities:
U.S. Treasury obligations	U.S. Treasury obligations	$	5,531,250	$	5,094,703	U.S. Treasury obligations	$	4,858,818	$	5,094,703

Total trading securities at estimated fair value	Total trading securities at estimated fair value	$	5,531,250	$	5,094,703	Total trading securities at estimated fair value	$	4,858,818	$	5,094,703

Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
			2021		2020				2021		2020		2021		2020
Net unrealized gains (losses) on trading securities held at period end	Net unrealized gains (losses) on trading securities held at period end		$	(16,323)	$	48,463		Net unrealized gains (losses) on trading securities held at period end	$	6,400	$	(27,983)	$	(22,506)	$	(19,333)
Net realized gains on trading securities that matured/sold during the period			2,695		1,370
Net realized gains (losses) on trading securities that matured/sold during the period								Net realized gains (losses) on trading securities that matured/sold during the period	(14,607)		8,652		(13,060)		21,308
Net gains (losses) on trading securities	Net gains (losses) on trading securities		$	(13,628)	$	49,833		Net gains (losses) on trading securities	$	(8,207)	$	(19,331)	$	(35,566)	$	1,975

Available-for-Sale Securities.

Major Security Types. The following table presents our AFS securities by type of security.


				Gross		Gross							Gross		Gross
		Amortized		Unrealized		Unrealized		Estimated			Amortized		Unrealized		Unrealized		Estimated
March 31, 2021		Cost (1)		Gains		Losses		Fair Value
September 30, 2021										September 30, 2021	Cost (1)		Gains		Losses		Fair Value
GSE and TVA debentures	GSE and TVA debentures	$	3,061,510	$	48,236	$	0	$	3,109,746	GSE and TVA debentures	$	2,683,050	$	45,617	$	—	$	2,728,667
GSE MBS	GSE MBS	6,203,391		162,214		0		6,365,605		GSE MBS	6,458,441		133,300		(829)		6,590,912
Total AFS securities	Total AFS securities	$	9,264,901	$	210,450	$	0	$	9,475,351	Total AFS securities	$	9,141,491	$	178,917	$	(829)	$	9,319,579

December 31, 2020	December 31, 2020									December 31, 2020
GSE and TVA debentures	GSE and TVA debentures	$	3,462,885	$	40,252	$	0	$	3,503,137	GSE and TVA debentures	$	3,462,885	$	40,252	$	—	$	3,503,137
GSE MBS	GSE MBS	6,545,093		98,263		(1,594)		6,641,762		GSE MBS	6,545,093		98,263		(1,594)		6,641,762
Total AFS securities	Total AFS securities	$	10,007,978	$	138,515	$	(1,594)	$	10,144,899	Total AFS securities	$	10,007,978	$	138,515	$	(1,594)	$	10,144,899

(1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at ~~March 31,~~September 30, 2021 and December 31, 2020 ~~totaled $15,782~~totaled $15,352 and $16,300, respectively. The applicable fair value hedging basis adjustments at ~~March 31,~~September 30, 2021 and December 31, 2020 totaled ~~$228,559~~$287,859 and $627,619,, respectively. Excludes accrued interest receivable at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$28,118~~$26,112 and $34,616, respectively.

1112

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. ~~There were no AFS securities in an unrealized loss position at March 31, 2021.~~


		Less than 12 months				12 months or More				Total					Less than 12 months				12 months or More				Total
		Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized			Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
December 31, 2020		Fair Value		Losses		Fair Value		Losses		Fair Value		Losses

September 30, 2021														September 30, 2021	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses

GSE MBS	GSE MBS	$	132,054	$	(179)	$	179,387	$	(1,415)	$	311,441	$	(1,594)	GSE MBS	$	174,857	$	(829)	$	—	$	—	$	174,857	$	(829)
Total impaired AFS securities	Total impaired AFS securities	$	132,054	$	(179)	$	179,387	$	(1,415)	$	311,441	$	(1,594)	Total impaired AFS securities	$	174,857	$	(829)	$	—	$	—	$	174,857	$	(829)

December 31, 2020														December 31, 2020

GSE MBS														GSE MBS	$	132,054	$	(179)	$	179,387	$	(1,415)	$	311,441	$	(1,594)
Total impaired AFS securities														Total impaired AFS securities	$	132,054	$	(179)	$	179,387	$	(1,415)	$	311,441	$	(1,594)

Realized Gains and Losses. There were no sales of AFS securities during the three or nine months ended September 30, 2021. During the three and nine months ended September 30, 2020, for strategic, economic and operational reasons, we sold certain of our GSE MBS. Proceeds from the AFS sales totaled $96,779, resulting in net realized gains of $504, comprised of realized gains of $715 and realized losses of $211 determined by the specific identification method.

Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
		Amortized		Estimated		Amortized		Estimated			Amortized		Estimated		Amortized		Estimated
Year of Contractual Maturity	Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value		Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value
Due in 1 year or less	Due in 1 year or less	$	728,215	$	729,403	$	705,134	$	705,442	Due in 1 year or less	$	584,204	$	585,335	$	705,134	$	705,442
Due after 1 year through 5 years	Due after 1 year through 5 years	1,062,268		1,077,612		1,215,038		1,225,187		Due after 1 year through 5 years	1,411,287		1,437,066		1,215,038		1,225,187
Due after 5 years through 10 years	Due after 5 years through 10 years	1,271,027		1,302,731		1,542,713		1,572,508		Due after 5 years through 10 years	687,559		706,266		1,542,713		1,572,508

Total non-MBS	Total non-MBS	3,061,510		3,109,746		3,462,885		3,503,137		Total non-MBS	2,683,050		2,728,667		3,462,885		3,503,137
Total MBS	Total MBS	6,203,391		6,365,605		6,545,093		6,641,762		Total MBS	6,458,441		6,590,912		6,545,093		6,641,762
Total AFS securities	Total AFS securities	$	9,264,901	$	9,475,351	$	10,007,978	$	10,144,899	Total AFS securities	$	9,141,491	$	9,319,579	$	10,007,978	$	10,144,899

1213

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Held-to-Maturity Securities.

Major Security Types. The following table presents our HTM securities by type of security.


				Gross		Gross							Gross		Gross
				Unrecognized		Unrecognized							Unrecognized		Unrecognized
		Amortized		Holding		Holding		Estimated			Amortized		Holding		Holding		Estimated
March 31, 2021		Cost (1)		Gains (2)		Losses (2)		Fair Value
September 30, 2021										September 30, 2021	Cost (1)		Gains (2)		Losses (2)		Fair Value

MBS:	MBS:									MBS:
Other U.S. obligations - guaranteed MBS	Other U.S. obligations - guaranteed MBS	$	2,571,561	$	10,290	$	(3,114)	$	2,578,737	Other U.S. obligations - guaranteed MBS	$	2,737,308	$	8,716	$	(6,875)	$	2,739,149
GSE MBS	GSE MBS	1,902,484		20,992		(5,767)		1,917,709		GSE MBS	1,759,287		16,904		(4,981)		1,771,210
Total HTM securities	Total HTM securities	$	4,474,045	$	31,282	$	(8,881)	$	4,496,446	Total HTM securities	$	4,496,595	$	25,620	$	(11,856)	$	4,510,359

December 31, 2020	December 31, 2020									December 31, 2020

MBS:	MBS:									MBS:
Other U.S. obligations - guaranteed MBS	Other U.S. obligations - guaranteed MBS	$	2,622,677	$	6,920	$	(4,590)	$	2,625,007	Other U.S. obligations - guaranteed MBS	$	2,622,677	$	6,920	$	(4,590)	$	2,625,007
GSE MBS	GSE MBS	2,078,625		21,640		(1,476)		2,098,789		GSE MBS	2,078,625		21,640		(1,476)		2,098,789
Total HTM securities	Total HTM securities	$	4,701,302	$	28,560	$	(6,066)	$	4,723,796	Total HTM securities	$	4,701,302	$	28,560	$	(6,066)	$	4,723,796

(1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at ~~March 31,~~September 30, 2021 and December 31, 2020 to~~taled $9,576~~taled $28,418 and $7,101, respectively. Excludes accrued interest receivable at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$2,478~~$2,061 and $2,689, respectively.

(2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value.

Contractual Maturity. ~~MBS~~HTM securities are not presented by contractual maturity because ~~their~~they consisted entirely of MBS, whose actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.

Allowance for Credit Losses on Investment Securities. At ~~March 31,~~September 30, 2021 and December 31, 2020, 100% of our AFS and HTM securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from our internal ratings of the securities, if applicable.

AFS Securities. At ~~March 31,~~September 30, 2021 ~~NaN of our AFS securities were in an unrealized loss position. At~~and December 31, 2020, certain of our AFS securities were in an unrealized loss position; however, we did 0tnot record an allowance for credit losses because those losses were considered temporary and we expected to recover the entire amortized cost basis on these securities at maturity based upon the following factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis.

HTM Securities. At ~~March 31,~~September 30, 2021 and December 31, 2020, we did 0tnot record an allowance for credit losses on any of our HTM securities based on the following factors: (i) all securities were highly rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities.

1314

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 4 - Advances

The following table presents advances outstanding by redemption term.


		March 31, 2021			December 31, 2020				September 30, 2021			December 31, 2020
Redemption Term	Redemption Term	Amount		WAIR %	Amount		WAIR %	Redemption Term	Amount		WAIR %	Amount		WAIR %

Overdrawn demand and overnight deposit accounts								Overdrawn demand and overnight deposit accounts	$	29,977	2.43	$	—	—
Due in 1 year or less	Due in 1 year or less	$	9,240,561	0.43	$	10,115,576	0.51	Due in 1 year or less	6,865,431		0.60	10,115,576		0.51
Due after 1 year through 2 years	Due after 1 year through 2 years	2,547,282		1.59	2,149,839		1.57	Due after 1 year through 2 years	2,340,823		1.89	2,149,839		1.57
Due after 2 years through 3 years	Due after 2 years through 3 years	2,862,368		2.03	2,760,624		2.02	Due after 2 years through 3 years	3,770,555		1.50	2,760,624		2.02
Due after 3 years through 4 years	Due after 3 years through 4 years	3,340,787		1.26	3,725,103		1.36	Due after 3 years through 4 years	2,736,669		1.32	3,725,103		1.36
Due after 4 years through 5 years	Due after 4 years through 5 years	3,037,457		1.27	3,020,039		1.29	Due after 4 years through 5 years	1,848,753		1.33	3,020,039		1.29
Thereafter	Thereafter	8,360,890		1.01	8,919,678		1.05	Thereafter	9,030,857		0.89	8,919,678		1.05
Total advances, par value	Total advances, par value	29,389,345		1.03	30,690,859		1.06	Total advances, par value	26,623,065		1.07	30,690,859		1.06

Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	384,034			645,946			Fair-value hedging basis adjustments, net	325,320			645,946
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	10,261			10,681			Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	9,654			10,681
Total advances (1)	Total advances (1)	$	29,783,640		$	31,347,486		Total advances (1)	$	26,958,039		$	31,347,486

(1) Carrying value equals amortized cost, which ~~includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and net charge-offs, and~~ excludes accrued interest receivable at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$14,088~~$12,422 and $14,961, respectively.

The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date.


		Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date					Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date
		March 31, 2021		December 31, 2020		March 31, 2021		December 31, 2020			September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020

Overdrawn demand and overnight deposit accounts										Overdrawn demand and overnight deposit accounts	$	29,977	$	—	$	29,977	$	—
Due in 1 year or less	Due in 1 year or less	$	14,353,269	$	15,296,034	$	13,708,561	$	14,645,076	Due in 1 year or less	11,806,255		15,296,034		12,302,331		14,645,076
Due after 1 year through 2 years	Due after 1 year through 2 years	2,232,992		1,797,049		3,523,607		3,107,339		Due after 1 year through 2 years	2,004,432		1,797,049		2,876,028		3,107,339
Due after 2 years through 3 years	Due after 2 years through 3 years	2,450,268		2,440,024		2,837,648		3,160,729		Due after 2 years through 3 years	2,358,055		2,440,024		4,094,555		3,160,729
Due after 3 years through 4 years	Due after 3 years through 4 years	1,972,287		2,246,102		3,762,187		3,824,603		Due after 3 years through 4 years	1,985,969		2,246,102		2,788,069		3,824,603
Due after 4 years through 5 years	Due after 4 years through 5 years	2,044,307		2,076,839		2,426,957		2,585,439		Due after 4 years through 5 years	1,335,378		2,076,839		1,598,753		2,585,439
Thereafter	Thereafter	6,336,222		6,834,811		3,130,385		3,367,673		Thereafter	7,102,999		6,834,811		2,933,352		3,367,673
Total advances, par value	Total advances, par value	$	29,389,345	$	30,690,859	$	29,389,345	$	30,690,859	Total advances, par value	$	26,623,065	$	30,690,859	$	26,623,065	$	30,690,859

Advance Concentrations. At ~~March 31,~~September 30, 2021 and December 31, 2020, our top five borrowers held ~~46%~~40% and 44%, respectively, of total advances outstanding at par.

Allowance for Credit Losses on Advances. Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on advances, we have not recorded an allowance for credit losses on advances.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 5 - Mortgage Loans Held for Portfolio

The following tables present information on mortgage loans held for portfolio by term, type and product.


Term	Term	March 31, 2021		December 31, 2020		Term	September 30, 2021		December 31, 2020
Fixed-rate long-term mortgages	Fixed-rate long-term mortgages	$	6,764,434	$	7,257,237	Fixed-rate long-term mortgages	$	6,330,986	$	7,257,237
Fixed-rate medium-term (1) mortgages	Fixed-rate medium-term (1) mortgages	1,106,667		1,065,329		Fixed-rate medium-term (1) mortgages	1,059,771		1,065,329
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	7,871,101		8,322,566		Total mortgage loans held for portfolio, UPB	7,390,757		8,322,566
Unamortized premiums	Unamortized premiums	182,872		187,425		Unamortized premiums	177,749		187,425
Unamortized discounts	Unamortized discounts	(1,683)		(1,638)		Unamortized discounts	(2,441)		(1,638)

Hedging basis adjustments, net	Hedging basis adjustments, net	5,025		7,642		Hedging basis adjustments, net	4,722		7,642
Total mortgage loans held for portfolio	Total mortgage loans held for portfolio	8,057,315		8,515,995		Total mortgage loans held for portfolio	7,570,787		8,515,995
Allowance for credit losses	Allowance for credit losses	(350)		(350)		Allowance for credit losses	(325)		(350)
Total mortgage loans held for portfolio, net (2)	Total mortgage loans held for portfolio, net (2)	$	8,056,965	$	8,515,645	Total mortgage loans held for portfolio, net (2)	$	7,570,462	$	8,515,645

(1) Defined as a term of 15 years or less at origination.

(2) Excludes accrued interest receivable at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$31,525~~$27,990 and $34,151, respectively.


Type	Type	March 31, 2021		December 31, 2020		Type	September 30, 2021		December 31, 2020
Conventional	Conventional	$	7,641,110	$	8,069,274	Conventional	$	7,197,498	$	8,069,274
Government-guaranteed or -insured	Government-guaranteed or -insured	229,991		253,292		Government-guaranteed or -insured	193,259		253,292
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	$	7,871,101	$	8,322,566	Total mortgage loans held for portfolio, UPB	$	7,390,757	$	8,322,566


Product	Product	March 31, 2021		December 31, 2020		Product	September 30, 2021		December 31, 2020
MPP	MPP	$	7,732,209	$	8,163,902	MPP	$	7,275,562	$	8,163,902
MPF Program	MPF Program	138,892		158,664		MPF Program	115,195		158,664
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	$	7,871,101	$	8,322,566	Total mortgage loans held for portfolio, UPB	$	7,390,757	$	8,322,566

Conventional MPP. The following table presents the activity in the LRA, which is reported in other liabilities.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
LRA Activity	LRA Activity		2021		2020			LRA Activity	2021		2020		2021		2020
Liability, beginning of period	Liability, beginning of period		$	207,305	$	186,585		Liability, beginning of period	$	220,061	$	196,653	$	207,305	$	186,585
Additions	Additions		7,117		4,254			Additions	5,007		5,344		18,371		17,658
Claims paid	Claims paid		(34)		(45)			Claims paid	(29)		(52)		(94)		(293)
Distributions to PFIs	Distributions to PFIs		(124)		(514)			Distributions to PFIs	(117)		(891)		(660)		(2,896)
Liability, end of period	Liability, end of period		$	214,264	$	190,280		Liability, end of period	$	224,922	$	201,054	$	224,922	$	201,054

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. All qualifying COVID-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, are excluded from TDR classification and existing accounting policies and the loans ~~were~~are returned to current status upon modification. As of ~~March 31,~~September 30, 2021 and December 31, 2020, we had ~~$23,706,~~$29,567, or ~~0.3%~~0.4%, and $12,309, or 0.2%, respectively, of our total conventional loans outstanding with formal modifications.

We have continued to apply our existing accounting policies for past due, non-accrual, and charge-offs ~~for~~resulting from COVID-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on ~~the most recent~~ information ~~received~~ fromour mortgage servicers, as of ~~March 31,~~September 30, 2021 and December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement, including current loans, totaled ~~$83,506~~$37,558 and $111,516, respectively, or ~~1.1%~~0.5% and 1.4%, respectively, of our total conventional loans outstanding. As of ~~March 31,~~September 30, 2021, no informal COVID-19-related loan modifications were classified as TDRs.

Payment status is the key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable.


		Origination Year							Origination Year
Payment Status as of March 31, 2021		Prior to 2017		2017 to 2021		Total
Payment Status as of September 30, 2021								Payment Status as of September 30, 2021	Prior to 2017		2017 to 2021		Total
Past due:	Past due:							Past due:
30-59 days	30-59 days	$	15,867	$	24,254	$	40,121	30-59 days	$	16,664	$	10,675	$	27,339
60-89 days	60-89 days	3,839		9,328		13,167		60-89 days	3,041		1,740		4,781
90 days or more	90 days or more	38,577		38,757		77,334		90 days or more	23,574		16,127		39,701
Total past due	Total past due	58,283		72,339		130,622		Total past due	43,279		28,542		71,821
Total current	Total current	4,319,959		3,373,978		7,693,937		Total current	2,685,414		4,618,028		7,303,442
Total conventional mortgage loans, amortized cost	Total conventional mortgage loans, amortized cost	$	4,378,242	$	3,446,317	$	7,824,559	Total conventional mortgage loans, amortized cost	$	2,728,693	$	4,646,570	$	7,375,263

~~The payment status as~~As of ~~March 31,~~September 30, 2021, ~~includes~~the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of ~~$4,807,~~$3,753, 60-89 days past due of ~~$7,994,~~$3,036, and 90 days or more past due of ~~$63,233,~~$27,945, for total past due of ~~$76,034.~~$34,734.


	Origination Year
Payment Status as of December 31, 2020	Prior to 2016		2016 to 2020		Total
Past due:
30-59 days	$	19,893	$	22,130	$	42,023
60-89 days	6,980		12,078		19,058
90 days or more	27,467		67,075		94,542
Total past due	54,340		101,283		155,623
Total current	2,468,908		5,635,070		8,103,978
Total conventional mortgage loans, amortized cost	$	2,523,248	$	5,736,353	$	8,259,601

~~The payment status as~~As of December 31, 2020, ~~includes~~the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of $10,214, 60-89 days past due of $12,661, and 90 days or more past due of $79,011, for total past due of $101,886.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


Other Delinquency Statistics as of March 31, 2021		Conventional			Government			Total
Other Delinquency Statistics as of September 30, 2021											Other Delinquency Statistics as of September 30, 2021	Conventional			Government			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	1,565		$	0		$	1,565		In process of foreclosure (1)	$	2,121		$	—		$	2,121
Serious delinquency rate (2)	Serious delinquency rate (2)	0.99		%	1.55		%	1.00		%	Serious delinquency rate (2)	0.54		%	1.44		%	0.56		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	31,180		$	2,974		$	34,154		Past due 90 days or more still accruing interest (3)	$	18,979		$	2,094		$	21,073
On non-accrual status (4)	On non-accrual status (4)	$	72,706		$	0		$	72,706		On non-accrual status (4)	$	32,581		$	—		$	32,581

Other Delinquency Statistics as of December 31, 2020	Other Delinquency Statistics as of December 31, 2020										Other Delinquency Statistics as of December 31, 2020
In process of foreclosure (1)	In process of foreclosure (1)	$	2,689		$	0		$	2,689		In process of foreclosure (1)	$	2,689		$	—		$	2,689
Serious delinquency rate (2)	Serious delinquency rate (2)	1.14		%	3.36		%	1.21		%	Serious delinquency rate (2)	1.14		%	3.36		%	1.21		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	36,585		$	7,933		$	44,518		Past due 90 days or more still accruing interest (3)	$	36,585		$	7,933		$	44,518
On non-accrual status (4)	On non-accrual status (4)	$	87,763		$	0		$	87,763		On non-accrual status (4)	$	87,763		$	—		$	87,763

(1) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of ~~deed-in-lieu~~deed in lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status.

(2) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met.

(3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection.

(4) As of ~~March 31,~~September 30, 2021 and December 31, 2020, ~~$72,650~~$32,526 and $87,708, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and ~~$47,603~~$18,166 and $59,306, respectively, of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic.

Allowance for Credit Losses.

Components and Rollforward of Allowance for Credit Losses. The following table presents the components of the allowance for credit losses, including the credit enhancement waterfall for MPP.


Components of Allowance	Components of Allowance	March 31, 2021		December 31, 2020		Components of Allowance	September 30, 2021		December 31, 2020
MPP expected losses remaining after borrower's equity, before credit enhancements	MPP expected losses remaining after borrower's equity, before credit enhancements	$	4,766	$	10,305	MPP expected losses remaining after borrower's equity, before credit enhancements	$	5,028	$	10,305
Portion of expected losses recoverable from credit enhancements:	Portion of expected losses recoverable from credit enhancements:					Portion of expected losses recoverable from credit enhancements:
PMI	PMI	(1,454)		(2,277)		PMI	(837)		(2,277)
LRA (1)	LRA (1)	(2,385)		(6,847)		LRA (1)	(3,299)		(6,847)
SMI	SMI	(709)		(963)		SMI	(674)		(963)
Total portion recoverable from credit enhancements	Total portion recoverable from credit enhancements	(4,548)		(10,087)		Total portion recoverable from credit enhancements	(4,810)		(10,087)
Allowance for unrecoverable PMI/SMI	Allowance for unrecoverable PMI/SMI	32		32		Allowance for unrecoverable PMI/SMI	32		32
Allowance for MPP credit losses	Allowance for MPP credit losses	250		250		Allowance for MPP credit losses	250		250
Allowance for MPF Program credit losses	Allowance for MPF Program credit losses	100		100		Allowance for MPF Program credit losses	75		100
Allowance for credit losses	Allowance for credit losses	$	350	$	350	Allowance for credit losses	$	325	$	350

(1) Amounts recoverable are limited to (i) the expected losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet expected and to distribute any excess funds to the PFIs.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The table below presents a rollforward of our allowance for credit losses.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Rollforward of Allowance	Rollforward of Allowance		2021		2020			Rollforward of Allowance	2021		2020		2021		2020
Balance, beginning of period	Balance, beginning of period		$	350	$	300		Balance, beginning of period	$	325	$	325	$	350	$	300
Charge-offs	Charge-offs		(92)		(13)			Charge-offs	5		(50)		(87)		(93)
Recoveries	Recoveries		4		16			Recoveries	11		1		34		21
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		88		(3)			Provision for (reversal of) credit losses	(16)		124		28		172
Balance, end of period	Balance, end of period		$	350	$	300		Balance, end of period	$	325	$	400	$	325	$	400

Government-Guaranteed or -Insured Mortgage Loans. Based on the U.S. government guarantee or insurance on these loans, our assessment of our servicers, and the collateral backing the loans, we did 0tnot record an allowance for credit losses for government-guaranteed or -insured mortgage loans at ~~March 31,~~September 30, 2021 or December 31, 2020. Furthermore, ~~NaN~~none of these mortgage loans have been placed on non-accrual status due to the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

Note 6 - Derivatives and Hedging Activities

Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions.

Uncleared Derivatives. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate estimated fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at ~~March 31,~~September 30, 2021 was ~~$763,~~$412, for which we have posted collateral in cash, including accrued interest, of $894 in the normal course of business. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we would not have been required to deliver additional collateral to our uncleared derivative counterparties at ~~March 31,~~September 30, 2021.

Cleared Derivatives. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At ~~March 31,~~September 30, 2021, we were not required by our clearing agents to post any additional margin.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Financial Statement Effect and Additional Financial Information.

We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities.


				Estimated Fair Value							Estimated Fair Value
		Notional		Derivative		Derivative			Notional		Derivative		Derivative
March 31, 2021		Amount		Assets		Liabilities
September 30, 2021								September 30, 2021	Amount		Assets		Liabilities
Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:							Derivatives designated as hedging instruments:
Interest-rate swaps	Interest-rate swaps	$	42,814,912	$	114,543	$	479,055	Interest-rate swaps	$	42,839,114	$	78,296	$	380,416
Total derivatives designated as hedging instruments	Total derivatives designated as hedging instruments	42,814,912		114,543		479,055		Total derivatives designated as hedging instruments	42,839,114		78,296		380,416
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:							Derivatives not designated as hedging instruments:
Economic hedges:	Economic hedges:							Economic hedges:
Interest-rate swaps	Interest-rate swaps	9,477,000		7,226		2		Interest-rate swaps	9,327,000		4,321		161

Interest-rate caps/floors	Interest-rate caps/floors	625,500		1,245		0		Interest-rate caps/floors	625,500		644		—
Interest-rate forwards	Interest-rate forwards	231,800		2,230		0		Interest-rate forwards	141,100		336		47
MDCs	MDCs	231,325		23		1,255		MDCs	139,076		81		257
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	10,565,625		10,724		1,257		Total derivatives not designated as hedging instruments	10,232,676		5,382		465
Total derivatives before adjustments	Total derivatives before adjustments	$	53,380,537	125,267		480,312		Total derivatives before adjustments	$	53,071,790	83,678		380,881
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			160,019		(460,779)		Netting adjustments and cash collateral (1)			147,602		(362,339)
Total derivatives, net	Total derivatives, net			$	285,286	$	19,533	Total derivatives, net			$	231,280	$	18,542

December 31, 2020	December 31, 2020							December 31, 2020
Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:							Derivatives designated as hedging instruments:
Interest-rate swaps	Interest-rate swaps	$	40,227,966	$	13,018	$	761,330	Interest-rate swaps	$	40,227,966	$	13,018	$	761,330
Total derivatives designated as hedging instruments	Total derivatives designated as hedging instruments	40,227,966		13,018		761,330		Total derivatives designated as hedging instruments	40,227,966		13,018		761,330
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:							Derivatives not designated as hedging instruments:
Economic hedges;	Economic hedges;							Economic hedges;
Interest-rate swaps	Interest-rate swaps	9,177,000		5,404		181		Interest-rate swaps	9,177,000		5,404		181

Interest-rate caps/floors	Interest-rate caps/floors	625,500		1,113		0		Interest-rate caps/floors	625,500		1,113		—
Interest-rate forwards	Interest-rate forwards	180,900		0		1,486		Interest-rate forwards	180,900		—		1,486
MDCs	MDCs	180,152		1,022		0		MDCs	180,152		1,022		—
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	10,163,552		7,539		1,667		Total derivatives not designated as hedging instruments	10,163,552		7,539		1,667
Total derivatives before adjustments	Total derivatives before adjustments	$	50,391,518	20,557		762,997		Total derivatives before adjustments	$	50,391,518	20,557		762,997
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			262,525		(740,018)		Netting adjustments and cash collateral (1)			262,525		(740,018)
Total derivatives, net	Total derivatives, net			$	283,082	$	22,979	Total derivatives, net			$	283,082	$	22,979

(1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at ~~March 31,~~September 30, 2021 and December 31, 2020, including accrued interest, totaled ~~$624,092~~$510,835 and $1,003,437, respectively. Cash collateral received from counterparties and held at ~~March 31,~~both September 30, 2021 and December 31, 2020, including accrued interest, totaled ~~$3,294 and $894, respectively.~~$894. At ~~March 31,~~September 30, 2021 and December 31, 2020, 0no securities were pledged as collateral.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral.


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
		Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Derivative instruments meeting netting requirements:	Derivative instruments meeting netting requirements:									Derivative instruments meeting netting requirements:
Gross recognized amount	Gross recognized amount									Gross recognized amount
Uncleared	Uncleared	$	106,312	$	478,836	$	13,793	$	755,118	Uncleared	$	78,602	$	376,138	$	13,793	$	755,118
Cleared	Cleared	16,702		221		5,742		6,393		Cleared	4,659		4,439		5,742		6,393
Total gross recognized amount	Total gross recognized amount	123,014		479,057		19,535		761,511		Total gross recognized amount	83,261		380,577		19,535		761,511
Gross amounts of netting adjustments and cash collateral	Gross amounts of netting adjustments and cash collateral									Gross amounts of netting adjustments and cash collateral
Uncleared	Uncleared	(100,508)		(460,558)		(13,793)		(733,625)		Uncleared	(78,283)		(357,900)		(13,793)		(733,625)
Cleared	Cleared	260,527		(221)		276,318		(6,393)		Cleared	225,885		(4,439)		276,318		(6,393)
Total gross amounts of netting adjustments and cash collateral	Total gross amounts of netting adjustments and cash collateral	160,019		(460,779)		262,525		(740,018)		Total gross amounts of netting adjustments and cash collateral	147,602		(362,339)		262,525		(740,018)
Net amounts after netting adjustments and cash collateral	Net amounts after netting adjustments and cash collateral									Net amounts after netting adjustments and cash collateral
Uncleared	Uncleared	5,804		18,278		0		21,493		Uncleared	319		18,238		—		21,493
Cleared	Cleared	277,229		0		282,060		0		Cleared	230,544		—		282,060		—
Total net amounts after netting adjustments and cash collateral	Total net amounts after netting adjustments and cash collateral	283,033		18,278		282,060		21,493		Total net amounts after netting adjustments and cash collateral	230,863		18,238		282,060		21,493
Derivative instruments not meeting netting requirements (1)	Derivative instruments not meeting netting requirements (1)	2,253		1,255		1,022		1,486		Derivative instruments not meeting netting requirements (1)	417		304		1,022		1,486
Total derivatives, at estimated fair value	Total derivatives, at estimated fair value	$	285,286	$	19,533	$	283,082	$	22,979	Total derivatives, at estimated fair value	$	231,280	$	18,542	$	283,082	$	22,979

(1) Includes MDCs and certain interest-rate forwards.

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents, by type of hedged item, the net gains (losses) on derivatives and the related hedged items in qualifying fair-value hedging relationships and the impact on net interest income.



Three Months Ended September 30, 2021	Advances		Investments		CO Bonds		Total
Changes in estimated fair value:
Hedged items (attributable to risk being hedged)	$	(66,161)	$	(30,326)	$	37,891	$	(58,596)
Derivatives	58,792		32,609		(35,558)		55,843
Net changes in estimated fair value before price alignment interest	(7,369)		2,283		2,333		(2,753)
Price alignment interest (1)	22		10		(2)		30
Net interest settlements on derivatives (2)	(45,957)		(25,658)		27,351		(44,264)
Amortization/accretion of gains (losses) on active hedging relationships	—		1,114		44		1,158
Net gains (losses) on qualifying fair-value hedging relationships	(53,304)		(22,251)		29,726		(45,829)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	(58)		(11,472)		—		(11,530)
Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	(53,362)	$	(33,723)	$	29,726	$	(57,359)



Three Months Ended September 30, 2020
Changes in estimated fair value:
Hedged items (attributable to risk being hedged)	$	(104,009)	$	(50,989)	$	13,439	$	(141,559)
Derivatives	99,757		53,325		(13,934)		139,148
Net changes in estimated fair value before price alignment interest	(4,252)		2,336		(495)		(2,411)
Price alignment interest (1)	92		73		(10)		155
Net interest settlements on derivatives (2)	(54,836)		(39,134)		15,069		(78,901)
Amortization/accretion of gains (losses) on active hedging relationships	1		1,263		751		2,015
Net gains (losses) on qualifying fair-value hedging relationships	(58,995)		(35,462)		15,315		(79,142)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	—		—		—		—
Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	(58,995)	$	(35,462)	$	15,315	$	(79,142)

2022

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


Nine Months Ended September 30, 2021	Advances		Investments		CO Bonds		Total
Changes in estimated fair value:
Hedged items (attributable to risk being hedged)	$	(299,081)	$	(256,325)	$	121,951	$	(433,455)
Derivatives	293,540		266,802		(116,664)		443,678
Net changes in estimated fair value before price alignment interest	(5,541)		10,477		5,287		10,223
Price alignment interest (1)	58		27		(6)		79
Net interest settlements on derivatives (2)	(137,849)		(86,438)		61,588		(162,699)
Amortization/accretion of gains (losses) on active hedging relationships	—		5,274		206		5,480
Net gains (losses) on qualifying fair-value hedging relationships	(143,332)		(70,660)		67,075		(146,917)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	(170)		(24,264)		—		(24,434)
Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	(143,502)	$	(94,924)	$	67,075	$	(171,351)

Three Months Ended March 31, 2021 Advances Investments CO Bonds Total
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ (243,469) $ (311,803) $ 123,272 $ (432,000)
Derivatives 246,853 321,926 (118,190) 450,589
Net changes in estimated fair value before price alignment interest 3,384 10,123 5,082 18,589
Price alignment interest (1)
29 15 (3) 41
Net interest settlements on derivatives (2)
(45,719) (32,453) 12,226 (65,946)
Amortization/accretion of gains (losses) on active hedging relationships 0 678 143 821
Net gains (losses) on qualifying fair-value hedging relationships (42,306) (21,637) 17,448 (46,495)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (56) (5,389) 0 (5,445)
Net gains (losses) on derivatives and hedging activities in net interest income (3)
$ (42,362) $ (27,026) $ 17,448 $ (51,940)


Three Months Ended March 31, 2020
Nine Months Ended September 30, 2020										Nine Months Ended September 30, 2020
Changes in estimated fair value:	Changes in estimated fair value:									Changes in estimated fair value:
Hedged items (attributable to risk being hedged)	Hedged items (attributable to risk being hedged)	$	628,294	$	599,478	$	(64,789)	$	1,162,983	Hedged items (attributable to risk being hedged)	$	530,727	$	589,234	$	(26,013)	$	1,093,948
Derivatives	Derivatives	(609,739)		(610,488)		53,647		(1,166,580)		Derivatives	(533,327)		(614,242)		28,821		(1,118,748)
Net changes in estimated fair value before price alignment interest	Net changes in estimated fair value before price alignment interest	18,555		(11,010)		(11,142)		(3,597)		Net changes in estimated fair value before price alignment interest	(2,600)		(25,008)		2,808		(24,800)
Price alignment interest (1)	Price alignment interest (1)	584		357		(144)		797		Price alignment interest (1)	732		474		(159)		1,047
Net interest settlements on derivatives (2)	Net interest settlements on derivatives (2)	(30)		(5,684)		9,997		4,283		Net interest settlements on derivatives (2)	(83,275)		(72,815)		43,844		(112,246)
Amortization/accretion of gains (losses) on active hedging relationships	Amortization/accretion of gains (losses) on active hedging relationships	(7)		302		550		845		Amortization/accretion of gains (losses) on active hedging relationships	(13)		1,902		2,084		3,973
Net gains (losses) on qualifying fair-value hedging relationships	Net gains (losses) on qualifying fair-value hedging relationships	19,102		(16,035)		(739)		2,328		Net gains (losses) on qualifying fair-value hedging relationships	(85,156)		(95,447)		48,577		(132,026)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	0		0		(36)		(36)		Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	—		—		(36)		(36)
Net gains (losses) on derivatives and hedging activities in net interest income (3)	Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	19,102	$	(16,035)	$	(775)	$	2,292	Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	(85,156)	$	(95,447)	$	48,541	$	(132,062)

(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.

2123

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents the components of net gains (losses) on derivatives reported in other income.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Type of Hedge	Type of Hedge		2021		2020			Type of Hedge	2021		2020		2021		2020
Net gain (loss) on derivatives not designated as hedging instruments:
Net gains (losses) on derivatives not designated as hedging instruments:								Net gains (losses) on derivatives not designated as hedging instruments:
Economic hedges:	Economic hedges:							Economic hedges:
Interest-rate swaps	Interest-rate swaps		$	4,111	$	(40,419)		Interest-rate swaps	$	175	$	11,994	$	8,369	$	(8,287)
Swaptions	Swaptions		0		(307)			Swaptions	—		—		—		(323)
Interest-rate caps/floors	Interest-rate caps/floors		132		492			Interest-rate caps/floors	(72)		(228)		(468)		236
Interest-rate forwards	Interest-rate forwards		4,156		(7,379)			Interest-rate forwards	(459)		(917)		2,353		(11,840)
Net interest settlements	Net interest settlements		(4,953)		(8,385)			Net interest settlements	(1,333)		(11,579)		(9,571)		(40,491)
MDCs	MDCs		(4,284)		5,048			MDCs	328		433		(2,696)		8,581
Net gains (losses) on derivatives in other income	Net gains (losses) on derivatives in other income		$	(838)	$	(50,950)		Net gains (losses) on derivatives in other income	$	(1,361)	$	(297)	$	(2,013)	$	(52,124)

The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships.


March 31, 2021		Advances		Investments		CO Bonds
September 30, 2021								September 30, 2021	Advances		Investments		CO Bonds
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	16,606,246	$	9,264,901	$	20,338,173	Amortized cost of hedged items (1)	$	16,446,754	$	9,141,491	$	19,794,934

Cumulative basis adjustments included in amortized cost:	Cumulative basis adjustments included in amortized cost:							Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	For active fair-value hedging relationships (2)	$	383,290	$	(8,253)	$	(101,668)	For active fair-value hedging relationships (2)	$	324,690	$	(71,459)	$	(100,409)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	744		236,812		0		For discontinued fair-value hedging relationships	630		359,318		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	384,034	$	228,559	$	(101,668)	Total cumulative fair-value hedging basis adjustments on hedged items	$	325,320	$	287,859	$	(100,409)


December 31, 2020	December 31, 2020							December 31, 2020
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	17,219,312	$	9,882,225	$	17,406,679	Amortized cost of hedged items (1)	$	17,219,312	$	9,882,225	$	17,406,679

Cumulative basis adjustments included in amortized cost:	Cumulative basis adjustments included in amortized cost:							Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	For active fair-value hedging relationships (2)	$	645,146	$	501,865	$	21,605	For active fair-value hedging relationships (2)	$	645,146	$	501,865	$	21,605
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	799		125,754		0		For discontinued fair-value hedging relationships	799		125,754		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	645,945	$	627,619	$	21,605	Total cumulative fair-value hedging basis adjustments on hedged items	$	645,945	$	627,619	$	21,605

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

(2) Excludes any offsetting effect of the net estimated fair value of the associated derivatives.

Note 7 - Consolidated Obligations

In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at ~~March 31,~~September 30, 2021 and December 31, 2020 totaled ~~$696.4~~$641.4 billion and $746.8 billion, respectively. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks.

2224

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance.


Discount Notes	Discount Notes	March 31, 2021			December 31, 2020			Discount Notes	September 30, 2021			December 31, 2020
Book value	Book value	$	17,573,424		$	16,617,079		Book value	$	12,713,890		$	16,617,079
Par value	Par value	$	17,575,089		$	16,620,486		Par value	12,715,399			16,620,486

Weighted average effective interest rate	Weighted average effective interest rate	0.05		%	0.12		%	Weighted average effective interest rate	0.05		%	0.12		%

CO Bonds. The following table presents our CO bonds outstanding by contractual maturity.


		March 31, 2021			December 31, 2020				September 30, 2021			December 31, 2020
Year of Contractual Maturity	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%
Due in 1 year or less	Due in 1 year or less	$	24,709,760	0.25	$	31,126,310	0.29	Due in 1 year or less	$	19,458,850	0.27	$	31,126,310	0.29
Due after 1 year through 2 years	Due after 1 year through 2 years	5,287,285		0.80	4,109,700		0.70	Due after 1 year through 2 years	4,130,410		0.96	4,109,700		0.70
Due after 2 years through 3 years	Due after 2 years through 3 years	1,067,625		1.43	1,753,010		1.34	Due after 2 years through 3 years	3,001,900		0.68	1,753,010		1.34
Due after 3 years through 4 years	Due after 3 years through 4 years	1,228,750		1.16	767,250		1.93	Due after 3 years through 4 years	3,730,900		0.73	767,250		1.93
Due after 4 years through 5 years	Due after 4 years through 5 years	3,599,800		0.83	837,300		1.13	Due after 4 years through 5 years	5,420,250		1.06	837,300		1.13
Thereafter	Thereafter	6,916,000		2.33	4,652,000		2.91	Thereafter	7,514,000		2.13	4,652,000		2.91
Total CO bonds, par value	Total CO bonds, par value	42,809,220		0.76	43,245,570		0.70	Total CO bonds, par value	43,256,310		0.83	43,245,570		0.70
Unamortized premiums	Unamortized premiums	105,489			87,133			Unamortized premiums	87,809			87,133
Unamortized discounts	Unamortized discounts	(12,258)			(12,703)			Unamortized discounts	(11,725)			(12,703)
Unamortized concessions	Unamortized concessions	(7,231)			(8,659)			Unamortized concessions	(6,599)			(8,659)
Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	(101,668)			21,605			Fair-value hedging basis adjustments, net	(100,409)			21,605
Total CO bonds	Total CO bonds	$	42,793,552		$	43,332,946		Total CO bonds	$	43,225,386		$	43,332,946

The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date.


Redemption Feature	Redemption Feature	March 31, 2021		December 31, 2020		Redemption Feature	September 30, 2021		December 31, 2020
Non-callable / non-putable	Non-callable / non-putable	$	30,730,720	$	36,809,070	Non-callable / non-putable	$	26,902,810	$	36,809,070
Callable	Callable	12,078,500		6,436,500		Callable	16,353,500		6,436,500
Total CO bonds, par value	Total CO bonds, par value	$	42,809,220	$	43,245,570	Total CO bonds, par value	$	43,256,310	$	43,245,570

Year of Contractual Maturity or Next Call Date March 31, 2021 December 31, 2020
Due in 1 year or less $ 33,158,260 $ 34,272,810
Due after 1 year through 2 years 5,472,285 4,159,700
Due after 2 years through 3 years 1,037,625 1,608,010
Due after 3 years through 4 years 430,250 443,750
Due after 4 years through 5 years 559,800 563,300
Thereafter 2,151,000 2,198,000
Total CO bonds, par value $ 42,809,220 $ 43,245,570


Year of Contractual Maturity or Next Call Date	September 30, 2021		December 31, 2020
Due in 1 year or less	$	35,255,350	$	34,272,810
Due after 1 year through 2 years	4,482,410		4,159,700
Due after 2 years through 3 years	652,900		1,608,010
Due after 3 years through 4 years	608,900		443,750
Due after 4 years through 5 years	437,750		563,300
Thereafter	1,819,000		2,198,000
Total CO bonds, par value	$	43,256,310	$	43,245,570

2325

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents the par value of our CO bonds outstanding by interest-rate payment type.


Interest-Rate Payment Type	Interest-Rate Payment Type	March 31, 2021		December 31, 2020		Interest-Rate Payment Type	September 30, 2021		December 31, 2020
Fixed-rate	Fixed-rate	$	27,957,220	$	24,750,570	Fixed-rate	$	33,086,810	$	24,750,570
Step-up	Step-up	15,000		15,000		Step-up	628,500		15,000
Simple variable-rate	Simple variable-rate	14,837,000		18,480,000		Simple variable-rate	9,541,000		18,480,000

Total CO bonds, par value	Total CO bonds, par value	$	42,809,220	$	43,245,570	Total CO bonds, par value	$	43,256,310	$	43,245,570

Note 8 - Affordable Housing Program

The following table summarizes the activity in our AHP funding obligation.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
AHP Activity	AHP Activity		2021		2020			AHP Activity	2021		2020		2021		2020
Liability at beginning of period	Liability at beginning of period		$	34,402	$	38,084		Liability at beginning of period	$	30,765	$	36,661	$	34,402	$	38,084
Assessment (expense)	Assessment (expense)		3,443		3,613			Assessment (expense)	2,250		1,886		7,702		7,273
Subsidy usage, net (1)	Subsidy usage, net (1)		(2,155)		(2,274)			Subsidy usage, net (1)	(2,549)		(3,966)		(11,638)		(10,776)
Liability at end of period	Liability at end of period		$	35,690	$	39,423		Liability at end of period	$	30,466	$	34,581	$	30,466	$	34,581

(1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies.

Note 9 - Capital

Classes of Capital Stock. The following table presents the capital stock outstanding by sub-series.


Capital stock outstanding	Capital stock outstanding	March 31, 2021		December 31, 2020		Capital stock outstanding	September 30, 2021		December 31, 2020
Class B-1	Class B-1	$	851,090	$	797,196	Class B-1	$	968,869	$	797,196
Class B-2	Class B-2	1,363,102		1,410,374		Class B-2	1,267,623		1,410,374

Total Class B	Total Class B	$	2,214,192	$	2,207,570	Total Class B	$	2,236,492	$	2,207,570

Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
MRCS Activity	MRCS Activity		2021		2020			MRCS Activity	2021		2020		2021		2020
Liability at beginning of period	Liability at beginning of period		$	250,768	$	322,902		Liability at beginning of period	$	232,893	$	299,704	$	250,768	$	322,902
Reclassification from capital stock	Reclassification from capital stock		0		232			Reclassification from capital stock	4,449		496		4,730		13,843

Redemptions/repurchases	Redemptions/repurchases		(18,073)		(9)			Redemptions/repurchases	(186,900)		(37,750)		(205,056)		(74,331)

Accrued distributions								Accrued distributions	—		4		—		40
Liability at end of period	Liability at end of period		$	232,695	$	323,125		Liability at end of period	$	50,442	$	262,454	$	50,442	$	262,454

2426

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement.


MRCS Contractual Year of Redemption	MRCS Contractual Year of Redemption	March 31, 2021		December 31, 2020		MRCS Contractual Year of Redemption	September 30, 2021		December 31, 2020
Year 1 (1)(2)	Year 1 (1)(2)	$	22,223	$	9,274	Year 1 (1)(2)	$	12,431	$	9,274
Year 2	Year 2	0		0		Year 2	471		—
Year 3	Year 3	28,833		26,723		Year 3	9,873		26,723
Year 4	Year 4	149,080		150,957		Year 4	4,270		150,957
Year 5	Year 5	32,559		32,791		Year 5	23,397		32,791
Thereafter (3)	Thereafter (3)	0		31,023		Thereafter (3)	—		31,023
Total MRCS	Total MRCS	$	232,695	$	250,768	Total MRCS	$	50,442	$	250,768

(1) Balances at ~~March 31,~~September 30, 2021 and December 31, 2020 include ~~$614~~$597 and $624, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding.

(2) Balance at ~~March 31~~September 30, 2021~~, 2021~~ includes ~~$12,960~~$11,835 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding. Such amount was properly classified as "thereafter" as of December 31, 2020.

(3) Represents the five-year redemption period of Class B stock held by certain captive insurance companies ~~at December 31, 2020.~~which began immediately upon their respective terminations of membership on February 19, 2021. Upon their respective terminations, ~~on February 19, 2021,~~ we repurchased their excess stock oftotaling $18,063.

The following table presents the distributions related to MRCS.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
MRCS Distributions	MRCS Distributions		2021		2020			MRCS Distributions	2021		2020		2021		2020
Recorded as interest expense	Recorded as interest expense		$	1,104	$	2,967		Recorded as interest expense	$	312	$	2,037	$	2,345	$	7,777
Recorded as distributions from retained earnings	Recorded as distributions from retained earnings		83		0			Recorded as distributions from retained earnings	13		4		97		40
Total	Total		$	1,187	$	2,967		Total	$	325	$	2,041	$	2,442	$	7,817

Capital Requirements. We are subject to 3 capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 12 - Capital in our 2020 Form 10-K. As presented in the following table, we were in compliance with these requirements at ~~March 31,~~September 30, 2021 and December 31, 2020.


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Regulatory Capital Requirements	Regulatory Capital Requirements	Required		Actual		Required		Actual		Regulatory Capital Requirements	Required		Actual		Required		Actual
Risk-based capital	Risk-based capital	$	802,640	$	3,600,144	$	630,661	$	3,595,668	Risk-based capital	$	973,066	$	3,450,210	$	630,661	$	3,595,668

Total regulatory capital	Total regulatory capital	$	2,667,187	$	3,600,144	$	2,636,990	$	3,595,668	Total regulatory capital	$	2,478,416	$	3,450,210	$	2,636,990	$	3,595,668
Total regulatory capital-to-assets ratio	Total regulatory capital-to-assets ratio	4.00%		5.40%		4.00%		5.45%		Total regulatory capital-to-assets ratio	4.00%		5.57%		4.00%		5.45%

Leverage capital	Leverage capital	$	3,333,984	$	5,400,216	$	3,296,238	$	5,393,502	Leverage capital	$	3,098,020	$	5,175,315	$	3,296,238	$	5,393,502
Leverage ratio	Leverage ratio	5.00%		8.10%		5.00%		8.18%		Leverage ratio	5.00%		8.36%		5.00%		8.18%

2527

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 10 - Accumulated Other Comprehensive Income

The following table presents a summary of the changes in the components of AOCI.

AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI
Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402
OCI before reclassifications:
Net change in unrealized gains (losses) 73,529 0 73,529
Reclassifications from OCI to net income:
Pension benefits, net 0 996 996
Total other comprehensive income (loss) 73,529 996 74,525
Balance, March 31, 2021 $ 210,450 $ (30,523) $ 179,927
Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376
OCI before reclassifications:
Net change in unrealized gains (losses) (148,831) 0 (148,831)
Reclassifications from OCI to net income:
Pension benefits, net 0 707 707
Total other comprehensive income (loss) (148,831) 707 (148,124)
Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748)



AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI
Balance, June 30, 2021	$	214,952	$	(21,528)	$	193,424

OCI before reclassifications:
Net change in unrealized gains (losses)	(36,864)		—		(36,864)


Reclassifications from OCI to net income:


Pension benefits, net	—		(5,093)		(5,093)
Total other comprehensive income (loss)	(36,864)		(5,093)		(41,957)

Balance, September 30, 2021	$	178,088	$	(26,621)	$	151,467


Balance, June 30, 2020	$	20,002	$	(24,111)	$	(4,109)

OCI before reclassifications:
Net change in unrealized gains (losses)	77,290		—		77,290


Reclassifications from OCI to net income:


Pension benefits, net	—		867		867
Total other comprehensive income	77,290		867		78,157

Balance, September 30, 2020	$	97,292	$	(23,244)	$	74,048


AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI
Balance, December 31, 2020	$	136,921	$	(31,519)	$	105,402

OCI before reclassifications:
Net change in unrealized gains (losses)	41,167		—		41,167

Reclassifications from OCI to net income:

Pension benefits, net	—		4,898		4,898
Total other comprehensive income	41,167		4,898		46,065

Balance, September 30, 2021	$	178,088	$	(26,621)	$	151,467


Balance, December 31, 2019	$	89,813	$	(22,437)	$	67,376

OCI before reclassifications:
Net change in unrealized gains (losses)	7,479		—		7,479


Reclassifications from OCI to net income:

Pension benefits, net	—		(807)		(807)
Total other comprehensive income (loss)	7,479		(807)		6,672

Balance, September 30, 2020	$	97,292	$	(23,244)	$	74,048

2628

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 11 - Segment Information

The following table presents our financial performance by operating segment.


		Three Months Ended March 31, 2021						Three Months Ended March 31, 2020							Three Months Ended September 30, 2021						Three Months Ended September 30, 2020
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total			Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income	Net interest income	$	74,185	$	336	$	74,521	$	50,075	$	13,076	$	63,151	Net interest income	$	49,655	$	8,306	$	57,961	$	65,392	$	(4,673)	$	60,719
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	0		88		88		0		(3)		(3)		Provision for (reversal of) credit losses	—		(16)		(16)		—		124		124
Other income (loss)	Other income (loss)	(12,877)		(99)		(12,976)		(2,111)		(2,268)		(4,379)		Other income (loss)	(8,779)		(88)		(8,867)		(16,480)		(397)		(16,877)
Other expenses	Other expenses	24,118		4,012		28,130		21,764		3,852		25,616		Other expenses	23,016		3,902		26,918		22,992		3,901		26,893
Income (loss) before assessments	Income (loss) before assessments	37,190		(3,863)		33,327		26,200		6,959		33,159		Income (loss) before assessments	17,860		4,332		22,192		25,920		(9,095)		16,825
Affordable Housing Program assessments (credits)	Affordable Housing Program assessments (credits)	3,829		(386)		3,443		2,917		696		3,613		Affordable Housing Program assessments (credits)	1,816		434		2,250		2,796		(910)		1,886
Net income (loss)	Net income (loss)	$	33,361	$	(3,477)	$	29,884	$	23,283	$	6,263	$	29,546	Net income (loss)	$	16,044	$	3,898	$	19,942	$	23,124	$	(8,185)	$	14,939

															Nine Months Ended September 30, 2021						Nine Months Ended September 30, 2020
															Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income														Net interest income	$	177,792	$	12,006	$	189,798	$	177,645	$	13,688	$	191,333
Provision for (reversal of) credit losses														Provision for (reversal of) credit losses	—		28		28		—		172		172
Other income (loss)														Other income (loss)	(31,388)		(223)		(31,611)		(43,771)		(3,032)		(46,803)
Other expenses														Other expenses	71,356		12,130		83,486		67,601		11,800		79,401
Income (loss) before assessments														Income (loss) before assessments	75,048		(375)		74,673		66,273		(1,316)		64,957
Affordable Housing Program assessments (credits)														Affordable Housing Program assessments (credits)	7,739		(37)		7,702		7,405		(132)		7,273
Net income (loss)														Net income (loss)	$	67,309	$	(338)	$	66,971	$	58,868	$	(1,184)	$	57,684

The following table presents our asset balances by operating segment.


By Date	By Date	Traditional		Mortgage Loans		Total		By Date	Traditional		Mortgage Loans		Total
March 31, 2021		$	58,622,720	$	8,056,965	$	66,679,685
September 30, 2021								September 30, 2021	$	54,389,932	$	7,570,462	$	61,960,394
December 31, 2020	December 31, 2020	57,409,111		8,515,645		65,924,756		December 31, 2020	57,409,111		8,515,645		65,924,756

2729

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 12 - Estimated Fair Values

The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities.

March 31, 2021
Estimated Fair Value
Carrying Netting
Financial Instruments Value Total Level 1 Level 2 Level 3
Adjustments (1)
Assets:
Cash and due from banks $ 1,443,176 $ 1,443,176 $ 1,443,176 $ 0 $ 0 $ —
Interest-bearing deposits 100,041 100,041 100,000 41 0 —
Securities purchased under agreements to resell 4,500,000 4,500,000 0 4,500,000 0 —
Federal funds sold 2,830,000 2,830,000 0 2,830,000 0 —
Trading securities 5,531,250 5,531,250 0 5,531,250 0 —
AFS securities 9,475,351 9,475,351 0 9,475,351 0 —
HTM securities 4,474,045 4,496,446 0 4,496,446 0 —
Advances 29,783,640 29,757,639 0 29,757,639 0 —
Mortgage loans held for portfolio, net 8,056,965 8,339,938 0 8,288,499 51,439 —
Accrued interest receivable 88,460 88,460 0 88,460 0 —
Derivative assets, net 285,286 285,286 0 125,267 0 160,019
Grantor trust assets (2)
57,245 57,245 57,245 0 0 —
Liabilities:
Deposits 1,848,361 1,848,361 0 1,848,361 0 —
Consolidated obligations:
Discount notes 17,573,424 17,574,194 0 17,574,194 0 —
Bonds 42,793,552 43,149,682 0 43,149,682 0 —
Accrued interest payable 60,030 60,030 0 60,030 0 —
Derivative liabilities, net 19,533 19,533 0 480,312 0 (460,779)
MRCS 232,695 232,695 232,695 0 0 —


	September 30, 2021
			Estimated Fair Value
	Carrying										Netting
Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:
Cash and due from banks	$	1,953,744	$	1,953,744	$	1,953,744	$	—	$	—	$	—
Interest-bearing deposits	100,041		100,041		100,000		41		—		—
Securities purchased under agreements to resell	4,200,000		4,200,000		—		4,200,000		—		—
Federal funds sold	2,075,000		2,075,000		—		2,075,000		—		—
Trading securities	4,858,818		4,858,818		—		4,858,818		—		—
AFS securities	9,319,579		9,319,579		—		9,319,579		—		—
HTM securities	4,496,595		4,510,359		—		4,510,359		—		—
Advances	26,958,039		26,929,765		—		26,929,765		—		—
Mortgage loans held for portfolio, net	7,570,462		7,839,709		—		7,809,902		29,807		—
Accrued interest receivable	75,813		75,813		—		75,813		—		—
Derivative assets, net	231,280		231,280		—		83,678		—		147,602
Grantor trust assets (2)	60,129		60,129		60,129		—		—		—

Liabilities:
Deposits	1,736,009		1,736,009		—		1,736,009		—		—
Consolidated obligations:
Discount notes	12,713,890		12,713,966		—		12,713,966		—		—
Bonds	43,225,386		43,615,928		—		43,615,928		—		—
Accrued interest payable	64,042		64,042		—		64,042		—		—
Derivative liabilities, net	18,542		18,542		—		380,881		—		(362,339)
MRCS	50,442		50,442		50,442		—		—		—

2830

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


		December 31, 2020													December 31, 2020
				Estimated Fair Value													Estimated Fair Value
		Carrying										Netting			Carrying										Netting
Financial Instruments	Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)		Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	1,811,544	$	1,811,544	$	1,811,544	$	0	$	0	$	—	Cash and due from banks	$	1,811,544	$	1,811,544	$	1,811,544	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,026		100,026		100,000		26		0		—		Interest-bearing deposits	100,026		100,026		100,000		26		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	2,500,000		2,500,000		0		2,500,000		0		—		Securities purchased under agreements to resell	2,500,000		2,500,000		—		2,500,000		—		—
Federal funds sold	Federal funds sold	1,215,000		1,215,000		0		1,215,000		0		—		Federal funds sold	1,215,000		1,215,000		—		1,215,000		—		—
Trading securities	Trading securities	5,094,703		5,094,703		0		5,094,703		0		—		Trading securities	5,094,703		5,094,703		—		5,094,703		—		—
AFS securities	AFS securities	10,144,899		10,144,899		0		10,144,899		0		—		AFS securities	10,144,899		10,144,899		—		10,144,899		—		—
HTM securities	HTM securities	4,701,302		4,723,796		0		4,723,796		0		—		HTM securities	4,701,302		4,723,796		—		4,723,796		—		—
Advances	Advances	31,347,486		31,290,664		0		31,290,664		0		—		Advances	31,347,486		31,290,664		—		31,290,664		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,515,645		8,922,185		0		8,860,853		61,332		—		Mortgage loans held for portfolio, net	8,515,645		8,922,185		—		8,860,853		61,332		—
Accrued interest receivable	Accrued interest receivable	103,076		103,076		0		103,076		0		—		Accrued interest receivable	103,076		103,076		—		103,076		—		—
Derivative assets, net	Derivative assets, net	283,082		283,082		0		20,557		0		262,525		Derivative assets, net	283,082		283,082		—		20,557		—		262,525
Grantor trust assets (2)	Grantor trust assets (2)	51,032		51,032		51,032		0		0		—		Grantor trust assets (2)	51,032		51,032		51,032		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,375,206		1,375,206		0		1,375,206		0		—		Deposits	1,375,206		1,375,206		—		1,375,206		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	16,617,079		16,617,976		0		16,617,976		0		—		Discount notes	16,617,079		16,617,976		—		16,617,976		—		—
Bonds	Bonds	43,332,946		43,952,206		0		43,952,206		0		—		Bonds	43,332,946		43,952,206		—		43,952,206		—		—
Accrued interest payable	Accrued interest payable	63,581		63,581		0		63,581		0		—		Accrued interest payable	63,581		63,581		—		63,581		—		—
Derivative liabilities, net	Derivative liabilities, net	22,979		22,979		0		762,997		0		(740,018)		Derivative liabilities, net	22,979		22,979		—		762,997		—		(740,018)
MRCS	MRCS	250,768		250,768		250,768		0		0		—		MRCS	250,768		250,768		250,768		—		—		—

(2) Included in other assets on the statement of condition.

Summary of Valuation Techniques and Significant Inputs. A description of the valuation techniques, significant inputs, and levels of fair value hierarchy is disclosed in Note 16 - Estimated Fair Values in our 2020 Form 10-K. No significant changes have been made in the current year.

2931

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Estimated Fair Value Measurements. The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition.

Netting
March 31, 2021 Total Level 1 Level 2 Level 3
Adjustments (1)
Trading securities:
U.S. Treasury securities $ 5,531,250 $ 0 $ 5,531,250 $ 0 $ —
Total trading securities 5,531,250 0 5,531,250 0 —
AFS securities:
GSE and TVA debentures 3,109,746 0 3,109,746 0 —
GSE MBS 6,365,605 0 6,365,605 0 —
Total AFS securities 9,475,351 0 9,475,351 0 —
Derivative assets:
Interest-rate related 285,263 0 125,244 0 160,019
MDCs 23 0 23 0 0
Total derivative assets, net 285,286 0 125,267 0 160,019
Other assets:
Grantor trust assets 57,245 57,245 0 0 —
Total assets at recurring estimated fair value $ 15,349,132 $ 57,245 $ 15,131,868 $ 0 $ 160,019
Derivative liabilities:
Interest-rate related $ 18,278 $ 0 $ 479,057 $ 0 $ (460,779)
MDCs 1,255 0 1,255 0 0
Total derivative liabilities, net 19,533 0 480,312 0 (460,779)
Total liabilities at recurring estimated fair value $ 19,533 $ 0 $ 480,312 $ 0 $ (460,779)
Mortgage loans held for portfolio (2)
$ 1,330 $ 0 $ 0 $ 1,330 $ —
Total assets at non-recurring estimated fair value $ 1,330 $ 0 $ 0 $ 1,330 $ —


									Netting
September 30, 2021	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:
U.S. Treasury securities	$	4,858,818	$	—	$	4,858,818	$	—	$	—
Total trading securities	4,858,818		—		4,858,818		—		—
AFS securities:
GSE and TVA debentures	2,728,667		—		2,728,667		—		—
GSE MBS	6,590,912		—		6,590,912		—		—

Total AFS securities	9,319,579		—		9,319,579		—		—
Derivative assets:
Interest-rate related	231,199		—		83,597		—		147,602
MDCs	81		—		81		—		—
Total derivative assets, net	231,280		—		83,678		—		147,602
Other assets:
Grantor trust assets	60,129		60,129		—		—		—
Total assets at recurring estimated fair value	$	14,469,806	$	60,129	$	14,262,075	$	—	$	147,602

Derivative liabilities:
Interest-rate related	$	18,285	$	—	$	380,624	$	—	$	(362,339)
MDCs	257		—		257		—		—
Total derivative liabilities, net	18,542		—		380,881		—		(362,339)
Total liabilities at recurring estimated fair value	$	18,542	$	—	$	380,881	$	—	$	(362,339)

Mortgage loans held for portfolio (2)	$	1,141	$	—	$	—	$	1,141	$	—
Total assets at non-recurring estimated fair value	$	1,141	$	—	$	—	$	1,141	$	—

3032

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


										Netting											Netting
December 31, 2020	December 31, 2020	Total		Level 1		Level 2		Level 3		Adjustments (1)		December 31, 2020	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities	U.S. Treasury securities	$	5,094,703	$	0	$	5,094,703	$	0	$	—	U.S. Treasury securities	$	5,094,703	$	—	$	5,094,703	$	—	$	—
Total trading securities	Total trading securities	5,094,703		0		5,094,703		0		—		Total trading securities	5,094,703		—		5,094,703		—		—
AFS securities:	AFS securities:											AFS securities:
GSE and TVA debentures	GSE and TVA debentures	3,503,137		0		3,503,137		0		—		GSE and TVA debentures	3,503,137		—		3,503,137		—		—
GSE MBS	GSE MBS	6,641,762		0		6,641,762		0		—		GSE MBS	6,641,762		—		6,641,762		—		—
Total AFS securities	Total AFS securities	10,144,899		0		10,144,899		0		—		Total AFS securities	10,144,899		—		10,144,899		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	282,060		0		19,535		0		262,525		Interest-rate related	282,060		—		19,535		—		262,525
MDCs	MDCs	1,022		0		1,022		0		—		MDCs	1,022		—		1,022		—		—
Total derivative assets, net	Total derivative assets, net	283,082		0		20,557		0		262,525		Total derivative assets, net	283,082		—		20,557		—		262,525
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	51,032		51,032		0		0		—		Grantor trust assets	51,032		51,032		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	15,573,716	$	51,032	$	15,260,159	$	0	$	262,525	Total assets at recurring estimated fair value	$	15,573,716	$	51,032	$	15,260,159	$	—	$	262,525

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	22,979	$	0	$	762,997	$	0	$	(740,018)	Interest-rate related	$	22,979	$	—	$	762,997	$	—	$	(740,018)
MDCs	MDCs	0		0		0		0		0		MDCs	—		—		—		—		—
Total derivative liabilities, net	Total derivative liabilities, net	22,979		0		762,997		0		(740,018)		Total derivative liabilities, net	22,979		—		762,997		—		(740,018)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	22,979	$	0	$	762,997	$	0	$	(740,018)	Total liabilities at recurring estimated fair value	$	22,979	$	—	$	762,997	$	—	$	(740,018)

Mortgage loans held for portfolio (3)	Mortgage loans held for portfolio (3)	$	1,460	$	0	$	0	$	1,460	$	—	Mortgage loans held for portfolio (3)	$	1,460	$	—	$	—	$	1,460	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,460	$	0	$	0	$	1,460	$	—	Total assets at non-recurring estimated fair value	$	1,460	$	—	$	—	$	1,460	$	—

(2) Amounts are as of the date the fair-value adjustment was recorded during the ~~three~~nine months ended ~~March 31,~~September 30, 2021.

(3) Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2020.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 13 - Commitments and Contingencies

The following table presents our off-balance-sheet commitments at their notional amounts.


		March 31, 2021							September 30, 2021
Type of Commitment	Type of Commitment	Expire within one year		Expire after one year		Total		Type of Commitment	Expire within one year		Expire after one year		Total
Standby letters of credit outstanding	Standby letters of credit outstanding	$	173,761	$	202,553	$	376,314	Standby letters of credit outstanding	$	70,984	$	303,170	$	374,154
Unused lines of credit (1)	Unused lines of credit (1)	917,602		0		917,602		Unused lines of credit (1)	923,200		—		923,200
Commitments to fund additional advances (2)	Commitments to fund additional advances (2)	37,000		0		37,000		Commitments to fund additional advances (2)	33,000		—		33,000
Commitments to fund or purchase mortgage loans, net (3)	Commitments to fund or purchase mortgage loans, net (3)	231,325		0		231,325		Commitments to fund or purchase mortgage loans, net (3)	139,076		—		139,076
Unsettled CO bonds, at par	Unsettled CO bonds, at par	369,000		0		369,000		Unsettled CO bonds, at par	640,000		—		640,000

(1) Maximum line of credit amount per member is $100,000.

(2) Generally for periods up to six months.

(3) Generally for periods up to 91 days.

Liability for Credit Losses. We monitor the creditworthiness of our members that have standby letters of credit and lines of credit. As standby letters of credit and lines of credit are subject to the same collateralization and borrowing limits that apply to advances and are fully collateralized at the time of issuance, we have not recorded a liability for credit losses on these credit products.

Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. We record an accrual for a loss contingency when it is probable that a loss for which we could be liable has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these proceedings could have a material effect on our financial condition, results of operations or cash flows.

Additional discussion of other commitments and contingencies is provided in Note 4 - Advances; Note 5 - Mortgage Loans Held for Portfolio; Note 6 - Derivatives and Hedging Activities; Note 7 - Consolidated Obligations; Note 9 - Capital; and Note 12 - Estimated Fair Values.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 14 - Related Party and Other Transactions

Transactions with Related Parties. The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition.


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Balances with Directors' Financial Institutions	Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total		Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total
Capital stock	Capital stock	$	433,736	18	%	$	426,003	17	%	Capital stock	$	433,736	19	%	$	426,003	17	%
Advances	Advances	4,386,317		15	%	5,397,433		18	%	Advances	3,239,201		12	%	5,397,433		18	%

The par values at ~~March 31,~~September 30, 2021 reflect changes in the composition of directors' financial institutions effective January 1, 2021, due to changes in board membership resulting from the 2020 director election.

The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions.


Transactions with Directors' Financial Institutions	Transactions with Directors' Financial Institutions	Three Months Ended March 31,			Transactions with Directors' Financial Institutions			Three Months Ended September 30,				Nine Months Ended September 30,
			2021			2020			Transactions with Directors' Financial Institutions	2021		2020		2021		2020
Net capital stock issuances (redemptions and repurchases)	Net capital stock issuances (redemptions and repurchases)		$	0		$	5,846			$	—	$	450	$	—	$	78,071
Net advances (repayments)	Net advances (repayments)		(1,049,277)			2,037,731			Net advances (repayments)	(146,031)		(784,706)		(2,189,295)		(1,504,938)
Mortgage loan purchases	Mortgage loan purchases		12,877			12,352			Mortgage loan purchases	18,293		7,390		47,915		34,254

Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. The following table presents the loans to/borrowings from other FHLBanks.


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Loans to other FHLBanks	Loans to other FHLBanks		2021		2020			Loans to other FHLBanks	2021		2020		2021		2020
Principal repayments	Principal repayments		$	10,000	$	0		Principal repayments	$	10,000	$	60,000	$	30,000	$	80,000
Disbursements	Disbursements		(10,000)		0			Disbursements	(10,000)		(60,000)		(30,000)		(80,000)

There ~~wer~~ewere 0 loans to or bo~~rrowings~~borrowings from other FHLBanks outstanding at ~~March 31,~~September 30, 2021 or December 31, 2020.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

DEFINED TERMS

2005 SERP: Federal Home Loan Bank of Indianapolis 2005 Supplemental Executive Retirement Plan, as amended

ABS: Asset-Backed Securities

Advance: Secured loan to members, former members or Housing Associates

AFS: Available-for-Sale

Agency: GSE and Ginnie Mae

AHP: Affordable Housing Program

AMA: Acquired Member Assets

AOCI: Accumulated Other Comprehensive Income (Loss)

Bank Act: Federal Home Loan Bank Act of 1932, as amended

bps: basis points

CARES Act: Coronavirus Aid, Relief and Economic Security Act

CDFI: Community Development Financial Institution

CE: Credit Enhancement

CFI: Community Financial Institution, an FDIC-insured depository institution with average total assets below an annually- adjusted limit established by the Finance Agency Director based on the Consumer Price Index

CFPB: Bureau of Consumer Financial Protection

CFTC: United States Commodity Futures Trading Commission

Clearinghouse: A United States Commodity Futures Trading Commission-registered derivatives clearing organization

CME: CME Clearing

CMO: Collateralized Mortgage Obligation

CO bond: Consolidated Obligation bond

COVID-19: Coronavirus Disease 2019

DB Plan: Pentegra Defined Benefit Pension Plan for Financial Institutions, as amended

DC Plan: Collectively, the Pentegra Defined Contribution Retirement Savings Plan for Financial Institutions, as amended, in effect through October 1, 2020 and the Federal Home Loan Bank of Indianapolis Retirement Savings Plan, commencing October 2, 2020

DDCP: Directors' Deferred Compensation Plan

Dodd-Frank Act: Dodd-Frank Wall Street Reform and Consumer Protection Act, as amended

EFFR: Effective Federal Funds Rate

Exchange Act: Securities Exchange Act of 1934, as amended

Fannie Mae: Federal National Mortgage Association

FASB: Financial Accounting Standards Board

FCA: United Kingdom Financial Conduct Authority

FDIC: Federal Deposit Insurance Corporation

FHA: Federal Housing Administration

FHLBank: A Federal Home Loan Bank

FHLBanks: The 11 Federal Home Loan Banks or a subset thereof

FHLBank System: The 11 Federal Home Loan Banks and the Office of Finance

FICO®: Fair Isaac Corporation, the creators of the FICO credit score

Final Membership Rule: Final Rule on FHLBank Membership issued by the Finance Agency effective February 19, 2016

Finance Agency: Federal Housing Finance Agency, successor to Finance Board

Finance Board: Federal Housing Finance Board, predecessor to Finance Agency

FLA: First Loss Account

FOMC: Federal Open Market Committee

Form 8-K: Current Report on Form 8-K as filed with the SEC under the Exchange Act

Form 10-K: Annual Report on Form 10-K as filed with the SEC under the Exchange Act

Form 10-Q: Quarterly Report on Form 10-Q as filed with the SEC under the Exchange Act

Freddie Mac: Federal Home Loan Mortgage Corporation

Frozen SERP: Federal Home Loan Bank of Indianapolis Supplemental Executive Retirement Plan, frozen effective December 31, 2004

GAAP: Generally Accepted Accounting Principles in the United States of America

Ginnie Mae: Government National Mortgage Association

GLB Act: Gramm-Leach-Bliley Act of 1999, as amended

GSE: United States Government-Sponsored Enterprise

HERA: Housing and Economic Recovery Act of 2008, as amended

Housing Associate: Approved lender under Title II of the National Housing Act of 1934 that is either a government agency or is chartered under federal or state law with rights and powers similar to those of a corporation

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HTM: Held-to-Maturity

HUD: United States Department of Housing and Urban Development

JCE Agreement: Joint Capital Enhancement Agreement, as amended, among the 11 FHLBanks

KESP: Key Employee Severance Policy

LCH: LCH.Clearnet LLC

LIBOR: London Interbank Offered Rate

LRA: Lender Risk Account

LTV: Loan-to-Value

MAP-21: Moving Ahead for Progress in the 21st Century Act, enacted on July 6, 2012

MBS: Mortgage-Backed Securities

MCC: Master Commitment Contract

MDC: Mandatory Delivery Commitment

Moody's: Moody's Investor Services

MPF: Mortgage Partnership Finance®

MPP: Mortgage Purchase Program, including Original and Advantage unless indicated otherwise

MRCS: Mandatorily Redeemable Capital Stock

MVE: Market Value of Equity

NRSRO: Nationally Recognized Statistical Rating Organization

OCC: Office of the Comptroller of the Currency

OCI: Other Comprehensive Income (Loss)

OIS: Overnight-Indexed Swap

ORERC: Other Real Estate-Related Collateral

OTTI: Other-Than-Temporary Impairment or -Temporarily Impaired (as the context indicates)

PFI: Participating Financial Institution

PMI: Primary Mortgage Insurance

REMIC: Real Estate Mortgage Investment Conduit

REO: Real Estate Owned

RMBS: Residential Mortgage-Backed Securities

S&P: Standard & Poor's Rating Service

Safety and Soundness Act: Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended

SBA: Small Business Administration

SEC: Securities and Exchange Commission

Securities Act: Securities Act of 1933, as amended

SERP: Collectively, the 2005 SERP and the Frozen SERP

SETP: Federal Home Loan Bank of Indianapolis 2016 Supplemental Executive Thrift Plan, as amended and restated

SMI: Supplemental Mortgage Insurance

SOFR: Secured Overnight Financing Rate

TBA: To Be Announced, a forward contract for the purchase or sale of MBS at a future agreed-upon date for an established price

TDR: Troubled Debt Restructuring

TVA: Tennessee Valley Authority

UPB: Unpaid Principal Balance

VaR: Value at Risk

WAIR: Weighted-Average Interest Rate

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

Presentation

This discussion and analysis by management of the Bank's financial condition and results of operations should be read in conjunction with our 2020 Form 10-K and the interim Financial Statements and related Notes to Financial Statements contained in Item 1. Financial Statements.

Unless otherwise stated, amounts disclosed in this Item are rounded to the nearest million; therefore, dollar amounts of less than one million may not be reflected or, due to rounding, may not appear to agree to the amounts presented in thousands in the Financial Statements and related Notes to Financial Statements. Amounts used to calculate dollar and percentage changes are based on numbers in the thousands. Accordingly, calculations based upon the disclosed amounts (millions) may not produce the same results.

Executive Summary

Overview. As an FHLBank, we are a regional wholesale bank that serves as a financial intermediary between the capital markets and our members. The Bank is structured as a financial cooperative. Therefore, it is generally designed to expand and contract in asset size as the needs of our members and their communities change. We primarily make secured loans in the form of advances to our members and purchase whole mortgage loans from our members. Additionally, we purchase other investments and provide other financial services to our members.

Our principal source of funding is the proceeds from the sale to the public of FHLBank debt instruments, called consolidated obligations, which are the joint and several obligation of all FHLBanks. We obtain additional funds from deposits, other borrowings, and by issuing capital stock to our members.

Our primary source of revenue is interest earned on advances, mortgage loans, and investments, including MBS.

Our net interest income is primarily determined by the spread between the interest rate earned on our assets and the interest rate paid on our share of the consolidated obligations. A substantial portion of net interest income is also derived from deploying our interest-free capital. We use funding and hedging strategies to manage the related interest-rate risk.

Due to our cooperative structure and wholesale nature, we typically earn a narrow interest spread. Accordingly, our net income is relatively low compared to our total assets and capital.

We group our products and services within two operating segments: traditional and mortgage loans.

Business Environment. The Bank’s financial performance is influenced by several key regional and national economic and market factors, including fiscal and monetary policies, the strength of the housing markets and the level and volatility of market interest rates.

Economy and Financial Markets. The federal government has enacted several financial relief programs to help offset declines in business and family ~~incomes caused by the COVID-19 pandemic.~~incomes. The American Rescue Plan Act of 2021, athe third major COVID-19 relief bill, was passed by the U.S. Congress in March ~~2021, which provides~~2021. This legislation provided significant financial relief to businesses and individuals affected by the COVID-19 pandemic, including extending ~~the Paycheck Protection Program and~~ unemployment assistance programs to September 6, 2021.

Another major relief bill is currently under consideration by Congress.

In ~~April~~October 2021, the Bureau of Labor Statistics reported that the U.S. unemployment rate ~~was 6.0%~~had declined to 4.8% in ~~March~~September 2021, compared to 5.9% in June 2021 and 6.7% in December 2020. ~~Due to the effects of the COVID-19 pandemic on the economy, the unemployment rate is expected to remain elevated in the coming months. However, if~~If COVID-19 vaccines ~~are~~continue to be successfully administered and the ~~pandemic~~virus, along with its variants, is effectively contained, ~~in the U.S. and globally,~~ business conditions ~~may~~are expected to continue to improve and the unemployment rate could continue to ~~decline.~~decline in the United States.

U.S. real gross domestic product ("GDP") increased at an annual rate of ~~6.4%~~2.0% (advance estimate) in the third quarter of 2021 after increasing at annual rates of 6.3% (revised) and 6.7% (revised) in the second and first ~~quarter~~quarters of 2021, according to the ~~most recent advance estimate reported by the~~ Bureau of Economic ~~Analysis, compared to the revised annual rate of 4.3% in the fourth quarter of 2020.~~Analysis. Recent changes in unemployment rates and GDP ~~were attributed largely to~~reflect the continued economic recovery, reopening of ~~the U.S. economy from the COVID-19 pandemic, including the~~establishments, and continued government response ~~and~~related to the ~~efforts to reopen businesses and resume activities that were postponed or restricted.~~COVID-19 pandemic.

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Conditions in U.S. Housing Markets. The seasonally adjusted annual rate of U.S. home sales ~~increased~~declined by 4% in ~~the first quarter~~September of 2021, compared to ~~the first quarter~~September of 2020, ~~driven by low mortgage interest rates. However,~~attributed to low housing inventory levels and higher home prices in the ~~first~~third quarter of 2021.

Business closures and the resulting spike in unemployment during 2020 caused many homeowners to seek relief from their mortgage payments, resulting in higher rates of mortgage loan delinquency. Mortgage loan delinquency rates have declined in 2021 ~~continued~~due to ~~constrain sales growth.~~businesses reopening and reduced unemployment.

Interest Rate Levels and Volatility. The level and volatility of interest rates and credit spreads were affected by several factors during the three and nine months ended ~~March 31,~~September 30, 2021, principally the continued economic recovery from the COVID-19 pandemic and efforts in response by the Federal Reserve to maintain low short-term interest rates and facilitate liquidity. Overall economic conditions and financial regulation also continue to be influencing factors.

~~In its April 2021 press release,~~On March 15, 2020, the Federal Reserve stated that indicators of economic activity and employment have strengthened, with inflation largely reflecting transitory factors. It also stated that the path of the U.S. economy will depend significantly on the course of the COVID-19 pandemic, including progress on vaccinations, and that it is committed to using its full range of tools to support the U.S. economy in this challenging time. As a result, it voted to maintain the target range ofFOMC lowered the federal funds rate atto a target range of 0.0% to 0.25%~~. The~~, noting that the COVID-19 pandemic had harmed communities and disrupted economic activity in many countries, including the United States. At its meeting in November 2021, the FOMC maintained the federal funds target range, and signaled that it would begin the process of gradually tapering its purchases of Treasury securities and Agency MBS, as the economic recovery remains broadly on track. While still characterizing inflation as transitory, Federal Reserve ~~indicated~~officials acknowledged that ~~it will be appropriate to maintain this target range until labor market conditions~~the supply chain disruptions have ~~reached levels consistent with their assessments~~created sizeable price increases in some parts of ~~maximum employment and inflation of at least two percent for some time.~~the economy that could last longer than previously assumed.

The following table presents certain key interest rates.

Three-Month Average Period End
March 31, 2021 March 31, 2020 March 31, 2021 December 31, 2020
Federal Funds Effective 0.08 % 1.23 % 0.06 % 0.09 %
SOFR 0.04 % 1.23 % 0.01 % 0.07 %
Overnight LIBOR 0.08 % 1.23 % 0.08 % 0.08 %
1-week OIS 0.07 % 1.20 % 0.06 % 0.09 %
3-month LIBOR 0.20 % 1.53 % 0.19 % 0.24 %
3-month U.S. Treasury yield 0.04 % 1.09 % 0.02 % 0.07 %
2-year U.S Treasury yield 0.13 % 1.09 % 0.16 % 0.12 %
10-year U.S. Treasury yield 1.32 % 1.37 % 1.74 % 0.92 %



	Three-Month Average				Nine-Month Average				Period End
	September 30,				September 30,				September 30,		December 31,
	2021		2020		2021		2020		2021		2020
Federal Funds Effective	0.09	%	0.09	%	0.08	%	0.45	%	0.06	%	0.09	%
SOFR	0.05	%	0.09	%	0.04	%	0.45	%	0.05	%	0.07	%
Overnight LIBOR	0.08	%	0.08	%	0.08	%	0.46	%	0.08	%	0.08	%
1-week OIS	0.09	%	0.09	%	0.08	%	0.45	%	0.08	%	0.09	%
3-month LIBOR	0.13	%	0.25	%	0.16	%	0.79	%	0.13	%	0.24	%
3-month U.S. Treasury yield	0.04	%	0.11	%	0.04	%	0.44	%	0.04	%	0.07	%
2-year U.S Treasury yield	0.22	%	0.14	%	0.18	%	0.47	%	0.28	%	0.12	%
10-year U.S. Treasury yield	1.32	%	0.65	%	1.41	%	0.90	%	1.49	%	0.92	%

The ~~three-month~~ averages of short-term interest rates remained low and generally were ~~significantly~~even lower ~~during~~or little changed in the three and nine months ended September 30, 2021, compared to the same periods in 2020, impacting the ~~Bank’s~~Bank's results of operations, primarily by decreasing both interest income and interest expense. ~~In addition,~~However, longer-term interest rates, while still relatively low, have increased in the ~~changes~~three and nine months ended September 30, 2021 compared to the corresponding periods in ~~both~~2020. Changes in the short- and long-term interest rates ~~affected~~also impacted the fair values of certain assets and liabilities. The prevailing expectation of prolonged low interest rates will likely continue to be a significant factor driving the ~~Bank’s~~Bank's results of operations and changes in its financial condition.

Impact on Operating Results. Market interest rates and trends affect yields and margins on earning assets, including advances, purchased mortgage loans, and our investment portfolio, which contribute to our overall profitability. Additionally, market interest rates drive mortgage origination and prepayment activity, which can lead to net interest margin volatility in our MPP and MBS portfolios. A flat or inverted yield curve, in which the difference between short-term interest rates and long-term interest rates is low, or negative, respectively, can have an unfavorable impact on our net interest margins. A steep yield curve, in which the difference between short-term and long-term interest rates is high, can have a favorable impact on our net interest margins. The level of interest rates also directly affects our earnings on assets funded by our interest-free capital.

Lending and investing activity by our member institutions is a key driver for our balance sheet and income growth. Such activity is a function of both prevailing interest rates and economic activity, including local economic factors, particularly relating to the housing and mortgage markets. Positive economic trends could drive interest rates higher, which could impair growth of the mortgage market. A less active mortgage market could affect demand for advances and activity levels in our Advantage MPP. However, borrowing patterns between our insurance company and depository members can differ during various economic and market conditions, thereby easing the potential magnitude of core business fluctuations during business cycles. Member demand for liquidity during stressed market conditions can lead to advances growth.

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Selected Financial Data

The following table presents a summary of selected financial information ($ amounts in millions).


		As of and for the Three Months Ended																As of and for the Three Months Ended
		March 31, 2021			December 31, 2020			September 30, 2020			June 30, 2020			March 31, 2020				September 30, 2021			June 30, 2021			March 31, 2021			December 31, 2020			September 30, 2020
Statement of Condition:	Statement of Condition:																Statement of Condition:
Advances	Advances	$	29,784		$	31,347		$	31,264		$	34,848		$	38,927		Advances	$	26,958		$	27,633		$	29,784		$	31,347		$	31,264
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,057			8,516			9,237			10,083			10,649			Mortgage loans held for portfolio, net	7,570			7,737			8,057			8,516			9,237
Cash and short-term investments	Cash and short-term investments	8,873			5,627			5,639			5,791			8,085			Cash and short-term investments	8,329			7,268			8,873			5,627			5,639
Investment securities	Investment securities	19,480			19,941			19,695			19,817			20,487			Investment securities	18,675			19,689			19,480			19,941			19,695
Total assets	Total assets	66,680			65,925			66,342			71,070			78,666			Total assets	61,960			62,771			66,680			65,925			66,342

Discount notes	Discount notes	17,573			16,617			19,462			28,234			29,653			Discount notes	12,714			14,445			17,573			16,617			19,462
CO bonds	CO bonds	42,794			43,333			41,148			36,973			42,079			CO bonds	43,225			42,363			42,794			43,333			41,148
Total consolidated obligations	Total consolidated obligations	60,367			59,950			60,610			65,207			71,732			Total consolidated obligations	55,939			56,808			60,367			59,950			60,610

MRCS	MRCS	233			251			262			300			323			MRCS	50			233			233			251			262

Capital stock	Capital stock	2,214			2,208			2,224			2,194			2,098			Capital stock	2,237			2,234			2,214			2,208			2,224
Retained earnings	Retained earnings	1,153			1,137			1,124			1,128			1,124			Retained earnings	1,163			1,157			1,153			1,137			1,124
AOCI	AOCI	180			105			74			(4)			(81)			AOCI	151			193			180			105			74
Total capital	Total capital	3,547			3,450			3,422			3,318			3,141			Total capital	3,551			3,584			3,547			3,450			3,422

Statement of Income:	Statement of Income:																Statement of Income:
Net interest income	Net interest income	$	74		$	72		$	61		$	67		$	63		Net interest income	$	58		$	57		$	75		$	72		$	61
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—			—			—			—			—			Provision for (reversal of) credit losses	—			—			—			—			—
Other income (loss)	Other income (loss)	(13)			(9)			(17)			(25)			(4)			Other income (loss)	(9)			(10)			(13)			(9)			(17)
Other expenses	Other expenses	28			30			27			26			26			Other expenses	27			28			28			30			27
AHP assessments	AHP assessments	3			4			2			2			3			AHP assessments	2			2			4			4			2
Net income	Net income	$	30		$	29		$	15		$	14		$	30		Net income	$	20		$	17		$	30		$	29		$	15

Selected Financial Ratios:	Selected Financial Ratios:																Selected Financial Ratios:
Net interest margin (1)	Net interest margin (1)	0.44		%	0.43		%	0.35		%	0.37		%	0.36		%	Net interest margin (1)	0.37		%	0.36		%	0.44		%	0.43		%	0.35		%
Return on average equity (2)	Return on average equity (2)	3.40		%	3.49		%	1.70		%	1.64		%	3.81		%	Return on average equity (2)	2.22		%	1.94		%	3.40		%	3.49		%	1.70		%
Return on average assets (2)	Return on average assets (2)	0.18		%	0.18		%	0.08		%	0.07		%	0.17		%	Return on average assets (2)	0.13		%	0.11		%	0.18		%	0.18		%	0.08		%

Weighted average dividend rate (3)	Weighted average dividend rate (3)	2.50		%	3.00		%	3.50		%	4.00		%	4.25		%	Weighted average dividend rate (3)	2.35		%	2.57		%	2.50		%	3.00		%	3.50		%
Dividend payout ratio (4)	Dividend payout ratio (4)	46.70		%	55.32		%	126.01		%	150.84		%	70.91		%	Dividend payout ratio (4)	65.59		%	81.59		%	46.70		%	55.32		%	126.01		%

Average equity to average assets	Average equity to average assets	5.24		%	5.19		%	4.86		%	4.39		%	4.43		%	Average equity to average assets	5.67		%	5.47		%	5.24		%	5.19		%	4.86		%
Total capital ratio (5)	Total capital ratio (5)	5.32		%	5.23		%	5.16		%	4.67		%	3.99		%	Total capital ratio (5)	5.73		%	5.71		%	5.32		%	5.23		%	5.16		%
Total regulatory capital ratio (6)	Total regulatory capital ratio (6)	5.40		%	5.45		%	5.44		%	5.10		%	4.51		%	Total regulatory capital ratio (6)	5.57		%	5.77		%	5.40		%	5.45		%	5.44		%

(1) Annualized net interest income expressed as a percentage of average interest-earning assets.

(2) Annualized, as appropriate.

(3) Dividends paid in cash during the period divided by the average amount of Class B capital stock eligible for dividends under our capital plan, excluding MRCS.

(4) Dividends paid in cash during the period divided by net income for the period. By dividing dividends paid in cash during the period by the net income for the prior period, the dividend payout ratios for each of the three months ended September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 and September 30, ~~2020, June 30, 2020 and March 31,~~ 2020 would bebe 76%, 47%, 46%, 112%~~, 143%, 67%~~ and ~~44%~~143%, respectively.

(5) Capital stock plus retained earnings and AOCI expressed as a percentage of total assets.

(6) Capital stock plus retained earnings and MRCS expressed as a percentage of total assets.

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Results of Operations and Changes in Financial Condition

Results of Operations for the Three and Nine Months Ended ~~March 31,~~September 30, 2021 and 2020. The following table presents the comparative highlights of our results of operations ($ amounts in millions).


		Three Months Ended March 31,					Three Months Ended September 30,								Nine Months Ended September 30,

Condensed Statements of Comprehensive Income	Condensed Statements of Comprehensive Income		2021		2020			$ Change		% Change		Condensed Statements of Comprehensive Income	2021		2020		$ Change		% Change		2021		2020		$ Change		% Change
Net interest income	Net interest income		$	74	$	63		$	11	18	%	Net interest income	$	58	$	61	$	(3)	(5)	%	$	190	$	191	$	(1)	(1)	%
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			—				Provision for (reversal of) credit losses	—		—		—				—		—		—
Net interest income after provision for credit losses	Net interest income after provision for credit losses		74		63			11		18	%	Net interest income after provision for credit losses	58		61		(3)		(4)	%	190		191		(1)		(1)	%
Other income (loss)	Other income (loss)		(13)		(4)			(9)				Other income (loss)	(9)		(17)		8				(32)		(47)		15
Other expenses	Other expenses		28		26			2				Other expenses	27		27		—				83		79		4
Income before assessments	Income before assessments		33		33			—		1	%	Income before assessments	22		17		5		32	%	75		65		10		15	%
AHP assessments	AHP assessments		3		3			—				AHP assessments	2		2		—				8		7		1
Net income	Net income		30		30			—		1	%	Net income	20		15		5		33	%	67		58		9		16	%
Total other comprehensive income (loss)	Total other comprehensive income (loss)		74		(148)			222				Total other comprehensive income (loss)	(42)		78		(120)				46		6		40

Total comprehensive income (loss)	Total comprehensive income (loss)		$	104	$	(118)		$	222	188	%	Total comprehensive income (loss)	$	(22)	$	93	$	(115)	(124)	%	$	113	$	64	$	49	76	%

~~The increase in net~~Net income for the three months ended ~~March 31,~~September 30, 2021 was $19.9 million, an increase of $5.0 million compared to the corresponding period in the prior ~~year~~ year. The increase was primarily due to lower but still accelerated amortization of purchase premium resulting from lower but still elevated prepayments on mortgage loans, partially offset by lower net interest income resulting from the decline in average asset balances.

Net income for the nine months ended September 30, 2021 was $67.0 million, an increase of $9.3 million compared to the corresponding period in the prior year. The increase was primarily due to net hedging gains on qualifying fair-value hedging relationships and lower but still accelerated amortization of purchase premium, substantially offset by lower earnings on the portion of the Bank's assets funded by its capital and ~~accelerated amortization of purchase premium~~lower net interest income resulting from ~~higher prepayments on mortgage loans, each driven by~~narrower interest spreads and the decline in ~~market interest rates.~~average asset balances.

~~The increase in total~~Total other comprehensive ~~income~~loss for the three months ended ~~March 31,~~September 30, 2021 was $42.0 million, a decrease of $120.1 million compared to the corresponding period in the prior ~~year~~year. The decrease was due to net unrealized losses on AFS securities in the current period compared to net unrealized gains in the corresponding period in the prior year.

Total other comprehensive income for the nine months ended September 30, 2021 was $46.1 million, an increase of $39.4 million compared to the corresponding period in the prior year. The increase was due to higher net unrealized gains on AFS ~~securities.~~

securities in the current period.

Adjusted Net Income, a Non-GAAP Financial Measure

The Bank reports its results of operations in accordance with GAAP. Management believes that a non-GAAP financial measure may also be useful to shareholders and other stakeholders as a key measure of its operating performance. Such measure can also provide additional insights into period-to-period comparisons of the Bank's operating results beyond its GAAP results, which are impacted by temporary changes in fair value and other factors driven by market volatility that hinder consistent performance measurement. ~~The~~As a result, the Bank is reporting adjusted net income as ~~that~~a non-GAAP financial measure.

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Adjusted net income represents GAAP net income adjusted to exclude: (i) the mark-to-market adjustments and other transitory effects from derivatives and trading/hedging activities, (ii) interest expense on MRCS, (iii) realized gains and losses on sales of investment securities, and (iv) at the discretion of management, other eligible non-routine transactions. These adjustments reflect (i) the temporary nature of fair-value and certain other hedging gains (losses) due to the Bank's practice of holding its financial instruments to maturity, (ii) the reclassification of interest on MRCS as dividends, ~~and~~ (iii) the ~~non-routine~~ sale of investment securities, primarily for liquidity purposes or to reduce exposure to LIBOR-indexed instruments, the gains (losses) on which arise from accelerating the recognition of future income (expense)., and (iv) any other eligible non-routine transactions that management determines can provide additional insights into period-to-period comparisons of the Bank’s operating results beyond its GAAP results.

Non-GAAP financial measures are not audited. In addition, non-GAAP financial measures have no standardized measurement prescribed by GAAP and may not be comparable to similar non-GAAP financial measures used by other companies. While the Bank believes that adjusted net income is helpful in understanding the Bank's performance, this measure has limitations as an analytical tool and should not be considered in isolation or as a substitute for analyses of earnings reported in accordance with GAAP.

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The following table presents a reconciliation of the Bank's GAAP net income to adjusted net income ($ amounts in millions):


		Three Months Ended March 31,				Three Months Ended September 30,		Nine Months Ended September 30,

Reconciliation of Net Income	Reconciliation of Net Income	2021		2020			Reconciliation of Net Income	2021		2020		2021		2020
GAAP net income	GAAP net income	$	29.9	$	29.5		GAAP net income	$	19.9	$	14.9	$	67.0	$	57.7
Adjustments to exclude:	Adjustments to exclude:						Adjustments to exclude:
Fair-value hedging (gains) losses (1)	Fair-value hedging (gains) losses (1)	(18.6)		3.6			Fair-value hedging (gains) losses (1)	2.8		2.4		(10.2)		24.6
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	5.4		(0.5)			Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	11.5		(0.6)		24.4		(1.8)
Trading (gains) losses, net of economic hedging gains (losses)(3)	Trading (gains) losses, net of economic hedging gains (losses)(3)	9.0		(9.7)			Trading (gains) losses, net of economic hedging gains (losses)(3)	7.7		5.6		26.9		4.9
Net unrealized (gains) losses on other economic hedges	Net unrealized (gains) losses on other economic hedges	0.4		(0.1)			Net unrealized (gains) losses on other economic hedges	0.4		1.9		0.8		1.2

Net realized (gains) on sales of investment securities							Net realized (gains) on sales of investment securities	—		(0.5)		—		(0.5)
Interest expense on MRCS	Interest expense on MRCS	1.1		3.0			Interest expense on MRCS	0.3		2.0		2.3		7.8
Total adjustments	Total adjustments	(2.7)		(3.7)			Total adjustments	22.7		10.8		44.2		36.2

AHP assessments on adjustments	AHP assessments on adjustments	0.4		0.7			AHP assessments on adjustments	(2.2)		(0.9)		(4.2)		(2.8)

Adjusted net income (non-GAAP measure)	Adjusted net income (non-GAAP measure)	$	27.6	$	26.5		Adjusted net income (non-GAAP measure)	$	40.4	$	24.8	$	107.0	$	91.1

(1) Changes in fair value on hedged items (attributable to the risk being hedged) and associated derivatives in qualifying hedging relationships.

(2) Gains (losses) resulting from cumulative basis adjustments on hedged items.

(3) Includes both (i) unrealized (gains) losses on trading securities and (ii) realized (gains) losses on maturities of trading securities.

Adjusted net income for the ~~first quarter of~~three months ended September 30, 2021 was ~~$27.6~~$40.4 million, an increase of ~~$1.1~~$15.6 million compared to the corresponding ~~quarter~~period in the prior year. The increase was primarily due to lower accelerated amortization of purchase premium resulting from lower prepayments on mortgage loans, partially offset by lower net interest income resulting from the decline in average asset balances.

Adjusted net income for the nine months ended September 30, 2021 was $107.0 million, an increase of $15.9 million compared to the corresponding period in the prior year. The increase was primarily due to higher earnings (excluding net ~~earnings~~gains and losses) on trading securities and lower accelerated amortization of purchase premium, substantially offset by lower earnings on the portion of the Bank's assets funded by its capital and ~~accelerated amortization of purchase premium~~lower net interest income resulting from ~~higher prepayments on mortgage loans, each driven by~~narrower interest spreads and the decline in ~~market interest rates.~~

average asset balances.

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Changes in Financial Condition for the ~~Three~~Nine Months Ended ~~March 31,~~September 30, 2021. The following table presents the comparative

highlights of our changes in financial condition ($ amounts in millions).


Condensed Statements of Condition	Condensed Statements of Condition	March 31, 2021		December 31, 2020		$ Change		% Change		Condensed Statements of Condition	September 30, 2021		December 31, 2020		$ Change		% Change
Advances	Advances	$	29,784	$	31,347	$	(1,563)	(5)	%	Advances	$	26,958	$	31,347	$	(4,389)	(14)	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,057		8,516		(459)		(5)	%	Mortgage loans held for portfolio, net	7,570		8,516		(946)		(11)	%
Cash and short-term investments (1)	Cash and short-term investments (1)	8,873		5,627		3,246		58	%	Cash and short-term investments (1)	8,329		5,627		2,702		48	%
Investment securities and other assets (2)	Investment securities and other assets (2)	19,966		20,435		(469)		(2)	%	Investment securities and other assets (2)	19,103		20,435		(1,332)		(7)	%
Total assets	Total assets	$	66,680	$	65,925	$	755	1	%	Total assets	$	61,960	$	65,925	$	(3,965)	(6)	%

Consolidated obligations	Consolidated obligations	$	60,367	$	59,950	$	417	1	%	Consolidated obligations	$	55,939	$	59,950	$	(4,011)	(7)	%
MRCS	MRCS	233		251		(18)		(7)	%	MRCS	50		251		(201)		(80)	%
Other liabilities	Other liabilities	2,533		2,274		259		11	%	Other liabilities	2,420		2,274		146		6	%
Total liabilities	Total liabilities	63,133		62,475		658		1	%	Total liabilities	58,409		62,475		(4,066)		(7)	%

Capital stock	Capital stock	2,214		2,208		6		—	%	Capital stock	2,237		2,208		29		1	%
Retained earnings (3)	Retained earnings (3)	1,153		1,137		16		1	%	Retained earnings (3)	1,163		1,137		26		2	%
AOCI	AOCI	180		105		75		71	%	AOCI	151		105		46		44	%
Total capital	Total capital	3,547		3,450		97		3	%	Total capital	3,551		3,450		101		3	%

Total liabilities and capital	Total liabilities and capital	$	66,680	$	65,925	$	755	1	%	Total liabilities and capital	$	61,960	$	65,925	$	(3,965)	(6)	%

Total regulatory capital (4)	Total regulatory capital (4)	$	3,600	$	3,596	$	4	—	%	Total regulatory capital (4)	$	3,450	$	3,596	$	(146)	(4)	%

(1) Includes cash, interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold.

(2) Includes trading, AFS and HTM securities.

(3) Includes restricted retained earnings at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$274~~$282 million and $268 million, respectively.

(4) Total capital less AOCI plus MRCS.

Total assets at ~~March 31,~~September 30, 2021 were ~~$66.7~~$62.0 billion, a net ~~increase~~decrease of ~~$755 million,~~$4.0 billion, or 1%6%, from December 31, 2020, driven primarily by a net decrease in advances, partially offset by a net increase in ~~short-term investments.~~the liquidity portfolio.

Advances outstanding at ~~March 31,~~September 30, 2021, at carrying value, totaled ~~$29.8~~$27.0 billion, a net decrease of ~~$1.6~~$4.4 billion, or 5%14%, from December 31, 2020. The par value of advances to depository institutions - comprising commercial banks, savings institutions and credit unions - and insurance companies decreased by 19% and 6%, respectively.

Mortgage loans held for portfolio at ~~March 31,~~September 30, 2021 totaled ~~$8.1~~$7.6 billion, a net decrease of ~~$459~~$946 million, or 5%11%, from December 31, 2020, as principal repayments by borrowers significantly outpaced the Bank's purchases from its members during the period.

The liquidity portfolio at ~~March 31,~~September 30, 2021 totaled ~~$14.4~~$13.2 billion, a net increase of ~~$3.7~~$2.5 billion, or ~~34%~~23%, from December 31, 2020. Cash and short-term investments increased by $~~3.2~~2.7 billion, or ~~58%~~48%, to $~~8.9~~8.3 billion. U.S. Treasury securities, classified as trading securities, ~~increased~~decreased by ~~$436~~$236 million, or 9%5%, to ~~$5.5~~$4.9 billion. As a result, cash and short-term investments ~~represented 62%~~represented 63% of the liquidity portfolio at ~~March 31,~~September 30, 2021, while U.S. Treasury securities represented ~~38%~~37%.

FHLBank Indianapolis' consolidated obligations outstanding at ~~March 31,~~September 30, 2021 totaled ~~$60.4~~$55.9 billion, a net ~~increase~~decrease of ~~$417 million,~~$4.0 billion, or 1%7%, from December 31, 2020, which reflected the net ~~increase~~decrease in the Bank's total assets.

Total capital at ~~March 31,~~September 30, 2021 was ~~$3.5~~$3.6 billion, a net increase of ~~$97~~$101 million, or 3%, from December 31, 2020. ~~Such increase was substantially due to an increase in unrealized gains on our AFS securities.~~

The Bank's regulatory capital-to-assets ratio at ~~March 31,~~September 30, 2021 was ~~5.40%~~5.57%, which exceeds all applicable regulatory capital requirements.

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Analysis of Results of Operations for the Three and Nine Months Ended ~~March 31,~~September 30, 2021 and 2020.

Net Interest Income. The following table presents average daily balances, interest income/expense, and average yields/cost of funds of our major categories of interest-earning assets and their funding sources ($ amounts in millions).

Three Months Ended March 31,
2021 2020

Average
Balance
Interest
Income/
Expense (1)
Average
Yield/ Cost of Funds (1) (2)
Average
Balance
Interest
Income/
Expense (1)
Average
Yield/Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell $ 8,301 $ 1 0.06 % $ 5,792 $ 19 1.33 %
Investment securities (3)
20,029 56 1.13 % 19,632 90 1.84 %
Advances (4)
29,627 36 0.49 % 32,739 169 2.08 %
Mortgage loans held for portfolio (4) (5)
8,282 40 1.97 % 10,742 82 3.07 %
Other assets (interest-earning) (6)
903 — 0.07 % 1,607 5 1.18 %
Total interest-earning assets 67,142 133 0.81 % 70,512 365 2.08 %
Other assets (7)
916 (14)
Total assets $ 68,058 $ 70,498
Liabilities and Capital:
Interest-bearing deposits $ 1,511 — 0.01 % $ 1,353 3 0.81 %
Discount notes 18,773 4 0.09 % 20,083 72 1.45 %
CO bonds (4)
43,225 54 0.50 % 44,422 224 2.03 %
MRCS 243 1 1.85 % 323 3 3.69 %
Total interest-bearing liabilities 63,752 59 0.38 % 66,181 302 1.84 %
Other liabilities 738 1,194
Total capital 3,568 3,123
Total liabilities and capital $ 68,058 $ 70,498
Net interest income $ 74 $ 63
Net spread on interest-earning assets less interest-bearing liabilities (2)
0.43 % 0.24 %
Net interest margin (8)
0.44 % 0.36 %
Average interest-earning assets to interest-bearing liabilities 1.05 1.07



	Three Months Ended September 30,
	2021						2020
	Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell	$	6,344	$	2	0.08	%	$	5,945	$	2	0.09	%
Investment securities (3)	19,218		41		0.84	%	19,860		56		1.12	%
Advances (4)	28,378		20		0.29	%	32,990		45		0.54	%
Mortgage loans held for portfolio (4) (5)	7,660		44		2.28	%	9,673		48		1.99	%
Other assets (interest-earning) (6)	671		—		0.08	%	1,528		—		0.09	%
Total interest-earning assets	62,271		107		0.68	%	69,996		151		0.86	%
Other assets (7)	476						(639)
Total assets	$	62,747					$	69,357

Liabilities and Capital:
Interest-bearing deposits	$	1,677	—		0.01	%	$	1,264	—		0.01	%
Discount notes	13,350		2		0.05	%	24,479		11		0.18	%
CO bonds (4)	43,282		47		0.43	%	38,965		77		0.79	%
MRCS	174		—		0.71	%	280		2		2.90	%

Total interest-bearing liabilities	58,483		49		0.33	%	64,988		90		0.55	%
Other liabilities	707						999
Total capital	3,557						3,370
Total liabilities and capital	$	62,747					$	69,357

Net interest income			$	58					$	61

Net spread on interest-earning assets less interest-bearing liabilities (1) (2)					0.35	%					0.31	%

Net interest margin (1) (8)					0.37	%					0.35	%

Average interest-earning assets to interest-bearing liabilities	1.06						1.08

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	Nine Months Ended September 30,
	2021						2020
	Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell	$	7,281	$	3	0.06	%	$	5,450	$	21	0.52	%
Investment securities (3)	19,615		140		0.95	%	19,913		205		1.37	%
Advances (4)	29,000		85		0.39	%	33,977		291		1.14	%
Mortgage loans held for portfolio (4) (5)	7,937		125		2.10	%	10,277		189		2.46	%
Other assets (interest-earning) (6)	767		—		0.07	%	1,563		5		0.46	%
Total interest-earning assets	64,600		353		0.73	%	71,180		711		1.34	%
Other assets (7)	653						55
Total assets	$	65,253					$	71,235

Liabilities and Capital:
Interest-bearing deposits	$	1,628	—		0.01	%	$	1,392	3		0.27	%
Discount notes	16,187		8		0.06	%	24,772		111		0.60	%
CO bonds (4)	42,943		153		0.48	%	40,503		398		1.31	%
MRCS	216		2		1.45	%	302		8		3.44	%

Total interest-bearing liabilities	60,974		163		0.36	%	66,969		520		1.04	%
Other liabilities	720						1,020
Total capital	3,559						3,246
Total liabilities and capital	$	65,253					$	71,235

Net interest income			$	190					$	191

Net spread on interest-earning assets less interest-bearing liabilities (1) (2)					0.37	%					0.30	%

Net interest margin (1) (8)					0.39	%					0.36	%

Average interest-earning assets to interest-bearing liabilities	1.06						1.06

(1) ~~Hedging~~Includes hedging gains (losses) on qualifying fair-value hedging ~~relationships are reported in~~relationships. Excludes impact of purchase discount (premium) recorded through mark-to-market gains (losses) on trading securities and net interest ~~income.~~settlements on derivatives hedging trading securities.

(2) Annualized.

(3) Consists of trading, AFS and HTM securities. The average balances of AFS securities are based on amortized cost; therefore, the resulting yields do not reflect changes in the estimated fair value that are a component of OCI. Interest income/expense and average yield/cost of funds includes all other components of interest, including the impact of net interest payments or receipts on derivatives in qualifying hedging relationships and amortization of hedge accounting basis adjustment. ~~Excluded are~~Excludes net interest payment or receipts on derivatives in economic hedging relationships.

(4) Interest income/expense and average yield/cost of funds include all other components of interest, including the impact of net interest payments or receipts on derivatives in qualifying hedge relationships, amortization of hedge accounting basis adjustments, and prepayment fees on advances. ~~Excluded are~~Excludes net interest payments or receipts on derivatives in economic hedging relationships.

(5) Includes non-accrual loans.

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(6) Consists of interest-bearing deposits and loans to other FHLBanks (if applicable). Includes the rights or obligations to cash collateral, except for variation margin payments characterized as daily settled contracts.

(7) Includes changes in the estimated fair value of AFS securities and grantor trust assets.

(8) Annualized net interest income expressed as a percentage of the average balance of interest-earning assets.

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The ~~increase~~decrease in net interest income for the three months ended ~~March 31,~~September 30, 2021 compared to the corresponding period in 2020 was primarily due to ~~hedging gains on qualifying fair-value hedging relationships and an increase~~the decline in ~~net interest income on trading securities. Such increases were~~average asset balances, partially offset by lower ~~net earnings on the portion of the Bank's assets funded by its capital and~~but still accelerated amortization of purchase premium resulting from ~~higher~~lower prepayments on mortgage loans. Net interest income for the three months ended ~~March 31,~~September 30, 2021 included net hedging ~~gains~~losses of ~~$19~~$3 million, compared to net hedging losses for the ~~three~~corresponding period in 2020 of $2 million.

The decrease in net interest income for the nine months ended ~~March 31,~~September 30, 2021 compared to the corresponding period in 2020 was primarily due to lower interest income on the portion of the Bank's assets funded by its capital, narrower interest spreads, and the decline in average asset balances, substantially offset by net hedging gains on qualifying fair-value hedging relationships and lower but still accelerated amortization of purchase premium. Net interest income for the nine months ended September 30, 2021 included net hedging gains of $10 million, compared to net hedging losses for the corresponding period in 2020 of $4$25 million.

Yields/Cost of Funds. The average yield on total interest-earning assets, including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the three months ended ~~March 31,~~September 30, 2021 was 0.68%, a decrease of 18 bps compared to the corresponding period in 2020, resulting primarily from decreases in market interest rates that led to lower yields on substantially all of our interest-earning assets. The yield on mortgage loans held for portfolio increased due to lower but still accelerated amortization of purchase premium resulting from lower but still elevated prepayments on mortgage loans. The average cost of funds of total interest-bearing liabilities, including the impact of ~~net~~ hedging gains orand losses but excluding certain impacts of trading securities, for the three months ended September 30, 2021 was ~~0.81%~~0.33%, a decrease of ~~127~~22 bps due to lower funding costs on our consolidated obligations. The net effect was an increase in the overall net interest spread under GAAP of 4 bps to 0.35% from 0.31% for the corresponding period in 2020.

The average yield on total interest-earning assets, including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the nine months ended September 30, 2021 was 0.73%, a decrease of 61 bps compared to the corresponding period in 2020, resulting primarily from decreases in market interest rates that led to lower yields on all of our interest-earning assets. The average cost of funds of total interest-bearing liabilities, ~~for the three months ended March 31, 2021,~~ including the impact of ~~net~~ hedging gains orand losses but excluding certain impacts of trading securities, for the nine months ended September 30, 2021 was ~~0.38%~~0.36%, a decrease of ~~146~~68 bps due to lower funding costs on ~~all of~~ our ~~interest-bearing liabilities.~~consolidated obligations. The net effect was an increase in the overall net interest spread under GAAP of 197 bps to ~~0.43%~~0.37% from ~~0.24%~~0.30% for the corresponding period in 2020.

Average Balances. The average balances outstanding of interest-earning assets for the three months ended ~~March 31,~~September 30, 2021 decreased by 5%11% compared to the corresponding period in 2020. The average balances of advances and mortgage loans decreased by ~~10%~~14% and 21%, respectively, reflecting paydowns by our borrowers. The decrease in average interest-bearing liabilities reflected the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, decreased by 24%.

The average balances outstanding of interest-earning assets for the nine months ended September 30, 2021 decreased by 9% compared to the corresponding period in 2020. The average balances of advances and mortgage loans decreased by 15% and 23%, respectively, reflecting paydowns by our borrowers. The decrease in average interest-bearing liabilities reflected the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, decreased by ~~22%~~14%.

Provision for Credit Losses. The change in the provisions for (reversal of) credit losses for the three and nine months ended ~~March 31,~~September 30, 2021 compared to the corresponding ~~period~~periods in 2020 was insignificant.

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Other Income. The following table presents a comparison of the components of other income ($ amounts in millions).


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Components	Components		2021		2020			Components	2021		2020		2021		2020

Net unrealized gains (losses) on trading securities (1)								Net unrealized gains (losses) on trading securities (1)	$	6	$	(28)	$	(23)	$	(19)
Net realized gains (losses) on trading securities (1)	Net realized gains (losses) on trading securities (1)		$	3	$	1		Net realized gains (losses) on trading securities (1)	(14)		9		(13)		21
Net unrealized gains (losses) on trading securities (1)			(16)		49
Net gains (losses) on derivatives hedging trading securities	Net gains (losses) on derivatives hedging trading securities		5		(40)			Net gains (losses) on derivatives hedging trading securities	1		14		9		(7)
Net gains (losses) on trading securities, net of associated derivatives	Net gains (losses) on trading securities, net of associated derivatives		(8)		10			Net gains (losses) on trading securities, net of associated derivatives	(7)		(5)		(27)		(5)
Net interest settlements on derivatives	Net interest settlements on derivatives		(5)		(8)			Net interest settlements on derivatives	(2)		(12)		(10)		(40)
Net gains (losses) on other derivatives not designated as hedging instruments	Net gains (losses) on other derivatives not designated as hedging instruments		(1)		(3)			Net gains (losses) on other derivatives not designated as hedging instruments	—		(2)		(1)		(5)

Net realized gains from sale of available-for-sale securities								Net realized gains from sale of available-for-sale securities	—		1		—		1
Change in fair value of investments indirectly funding our SERP	Change in fair value of investments indirectly funding our SERP		1		(3)			Change in fair value of investments indirectly funding our SERP	—		1		3		—

Other, net								Other, net	—		—		3		2

Total other income (loss)	Total other income (loss)		$	(13)	$	(4)		Total other income (loss)	$	(9)	$	(17)	$	(32)	$	(47)

(1) Before impact of associated derivatives.

The ~~decrease~~decreases in total other ~~income~~loss for the three and nine months ended ~~March 31,~~September 30, 2021 compared to the corresponding ~~period~~periods in 2020 ~~was~~were primarily due to lower net ~~unrealized~~interest settlements on derivatives, partially offset by higher net losses on trading ~~securities, net of associated derivatives, compared to net unrealized gains on trading securities in the corresponding period in 2020.~~

securities.

~~Table of Contents~~

Other Expenses. The following table presents a comparison of the components of other expenses ($ amounts in millions).


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Components	Components		2021		2020			Components	2021		2020		2021		2020
Compensation and benefits	Compensation and benefits		$	16	$	14		Compensation and benefits	$	14	$	15	$	44	$	44
Other operating expenses	Other operating expenses		7		7			Other operating expenses	7		8		22		23
Finance Agency and Office of Finance	Finance Agency and Office of Finance		3		3			Finance Agency and Office of Finance	4		2		9		7
Other	Other		2		2			Other	2		2		8		5

Total other expenses	Total other expenses		$	28	$	26		Total other expenses	$	27	$	27	$	83	$	79

The in~~crease~~net increase in ~~compensation and benefits~~total other expenses for the ~~three~~nine months ended ~~March 31,~~September 30, 2021 compared to the corresponding period in 2020 was primarily due ~~primarily~~ to ~~an increase in post-retirement benefits resulting from changes in market conditions. However, such impact is offset by corresponding changes in fair value recorded in other income.~~higher non-service costs associated with our SERP.

Total Other Comprehensive Income (Loss). Total OCI for the three months ended ~~March 31,~~September 30, 2021 consisted primarily of net unrealized losses on AFS securities, compared to net unrealized gains on AFS securities for the corresponding period in 2020.

Total OCI for the nine months ended September 30, 2021 and 2020 consisted substantially of net unrealized gains on AFS ~~securities, compared to net unrealized losses on AFS securities for the three months ended March 31, 2020.~~securities. These amounts were primarily impacted by changes in interest rates, credit spreads and volatility, which were magnified by the disruptions in the financial markets during 2020.

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Operating Segments

Our products and services are grouped within two operating segments: traditional and mortgage loans.

Traditional. The following table presents the financial performance of our traditional segment ($ amounts in millions).


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Traditional	Traditional		2021		2020			Traditional	2021		2020		2021		2020
Net interest income	Net interest income		$	74	$	50		Net interest income	$	50	$	65	$	178	$	177
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)		(13)		(2)			Other income (loss)	(9)		(17)		(31)		(44)
Other expenses	Other expenses		24		22			Other expenses	23		23		72		68
Income before assessments	Income before assessments		37		26			Income before assessments	18		25		75		65
AHP assessments	AHP assessments		3		3			AHP assessments	2		2		8		7

Net income	Net income		$	34	$	23		Net income	$	16	$	23	$	67	$	58

The ~~increase~~decrease in net income for the traditional segment for the three months ended ~~March 31,~~September 30, 2021 compared to the corresponding period in 2020 was primarily due to lower net interest income resulting from the decline in average asset balances.

The increase in net income for the traditional segment for the nine months ended September 30, 2021 compared to the corresponding period in 2020 was primarily due to net hedging gains on qualifying fair-value hedging relationships, ~~partially~~substantially offset by lower ~~net~~ earnings on the portion of the Bank's assets funded by its capital. and lower net interest income resulting from narrower interest spreads and the decline in average asset balances.

~~Table of Contents~~

Mortgage Loans. The following table presents the financial performance of our mortgage loans segment ($ amounts in millions).


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
Mortgage Loans	Mortgage Loans		2021		2020			Mortgage Loans	2021		2020		2021		2020
Net interest income	Net interest income		$	—	$	13		Net interest income	$	8	$	(4)	$	12	$	14
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)		—		(2)			Other income (loss)	—		—		—		(3)
Other expenses	Other expenses		4		4			Other expenses	4		4		12		12
Income (loss) before assessments	Income (loss) before assessments		(4)		7			Income (loss) before assessments	4		(8)		—		(1)
AHP assessments (credits)	AHP assessments (credits)		—		—			AHP assessments (credits)	—		—		—		—

Net income (loss)	Net income (loss)		$	(4)	$	7		Net income (loss)	$	4	$	(8)	$	—	$	(1)

The ~~decrease~~increase in net income for the mortgage loans segment for the three months ended ~~March 31,~~September 30, 2021 compared to the corresponding period in 2020 was primarily due ~~substantially~~ to lower but still accelerated amortization of purchase premium resulting from ~~higher~~lower but still elevated MPP loan prepayments.

The increase in net income for the mortgage loans segment for the nine months ended September 30, 2021 compared to the corresponding period in 2020 was primarily due to lower but still accelerated amortization of purchase premium, resulting from lower but still elevated MPP loan prepayments, and hedging losses in 2020, substantially offset by lower net interest income resulting from the decline in average MPP loan balances.

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Analysis of Financial Condition

Total Assets. The table below presents the comparative highlights of our major asset categories ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Major Asset Categories	Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total		Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total
Advances	Advances	$	29,784	45	%	$	31,347	48	%	Advances	$	26,958	44	%	$	31,347	48	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,057		12	%	8,516		13	%	Mortgage loans held for portfolio, net	7,570		12	%	8,516		13	%
Cash and short-term investments	Cash and short-term investments	8,873		13	%	5,627		9	%	Cash and short-term investments	8,329		13	%	5,627		9	%
Trading securities	Trading securities	5,531		8	%	5,095		8	%	Trading securities	4,859		8	%	5,095		8	%
Other investment securities	Other investment securities	13,949		21	%	14,846		22	%	Other investment securities	13,816		22	%	14,846		22	%
Other assets (1)	Other assets (1)	486		1	%	494		—	%	Other assets (1)	428		1	%	494		—	%

Total assets	Total assets	$	66,680	100	%	$	65,925	100	%	Total assets	$	61,960	100	%	$	65,925	100	%

(1) Includes accrued interest receivable, premises, software and equipment, derivative assets and other miscellaneous assets.

The mix of our assets at ~~March 31,~~September 30, 2021 changed compared to December 31, 2020 in that advances as a percent of total assets declined from 48% to ~~45%~~44% while cash ~~and~~and short-term investments increased from 9% to 13%, reflecting primarily the paydowns of short-term advances.

Advances. In general, advances fluctuate in accordance with our members' funding needs, primarily determined by their deposit levels, mortgage pipelines, loan growth, investment opportunities, available collateral, other balance sheet strategies, and the cost of alternative funding options.

Advances at ~~March 31,~~September 30, 2021 at carrying value totaled ~~$29.8~~$27.0 billion, a net decrease of ~~$1.6~~$4.4 billion, or 5%14%, compared to December 31, 2020. The high levels of liquidity injected by the Federal Reserve and held by our members as deposits, ~~accompanied by their low loan demand,~~ alternative sources of wholesale funds available to our members, continued consolidation in the financial services industry involving our members, and governmental relief efforts continue to pressure overall advance levels.

~~The par value of advances to depository institutions - comprising commercial banks, savings institutions and credit unions - and insurance companies decreased by 13% and increased by 8%, respectively.~~ Advances to depository institutions, as a percent of total advances outstanding at par value, were ~~52%~~54% at ~~March 31,~~September 30, 2021, while advances to insurance companies were ~~48%~~46%.

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The table below presents advances outstanding by type of financial institution ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Borrower Type	Borrower Type	Par Value		% of Total		Par Value		% of Total		Borrower Type	Par Value		% of Total		Par Value		% of Total
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions (1)	Commercial banks and savings institutions (1)	$	12,636	43	%	$	14,749	48	%	Commercial banks and savings institutions (1)	$	11,766	44	%	$	14,749	48	%
Credit unions	Credit unions	2,389		8	%	2,548		8	%	Credit unions	2,268		9	%	2,548		8	%
Former members - depositories	Former members - depositories	228		1	%	268		1	%	Former members - depositories	254		1	%	268		1	%
Total depository institutions	Total depository institutions	15,253		52	%	17,565		57	%	Total depository institutions	14,288		54	%	17,565		57	%

Insurance companies:	Insurance companies:									Insurance companies:

Insurance companies		13,843		47	%	12,832		42	%
Former members - insurance		293		1	%	294		1	%
Captive insurance companies (2)										Captive insurance companies (2)	263		1	%	288		1	%
Other insurance companies										Other insurance companies	12,067		45	%	12,832		42	%
Former members - insurance companies										Former members - insurance companies	5		—	%	6		—	%
Total insurance companies	Total insurance companies	14,136		48	%	13,126		43	%	Total insurance companies	12,335		46	%	13,126		43	%

CDFIs	CDFIs	—		—	%	—		—	%	CDFIs	—		—	%	—		—	%

Total advances outstanding	Total advances outstanding	$	29,389	100	%	$	30,691	100	%	Total advances outstanding	$	26,623	100	%	$	30,691	100	%

(1) Includes advances outstanding at ~~March 31,~~September 30, 2021 and December 31, 2020 of ~~$3.6~~$2.5 billion, or ~~12%~~9%, ~~and~~and $4.6 billion, or 15%, of total advances outstanding, respectively, to Flagstar Bank, FSB ("Flagstar"). The parent company of Flagstar announced a merger pursuant to which Flagstar would merge with a non-member depository. On the effective date of Flagstar's merger, any outstanding advances will be required to be repaid at their respective maturity dates. For more information, see Item 1A. Risk Factors.

(2)

Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and did not meet the definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership under the Final Membership Rule, had their memberships terminated on February 19, 2021. The outstanding advances to one captive insurer ~~at March 31, 2021 totaling $288 million~~ are not required to be repaid prior to their various maturity dates through 2024.

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The following table presents the par value of advances outstanding by product type and redemption term, some of which contain call or put options ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Product Type and Redemption Term	Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total		Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total
Fixed-rate:	Fixed-rate:									Fixed-rate:
Fixed-rate (1)	Fixed-rate (1)									Fixed-rate (1)
Due in 1 year or less	Due in 1 year or less	$	9,181	32	%	$	10,023	33	%	Due in 1 year or less	$	6,797	26	%	$	10,023	33	%
Due after 1 year	Due after 1 year	7,702		26	%	7,998		26	%	Due after 1 year	6,562		25	%	7,998		26	%
Total	Total	16,883		58	%	18,021		59	%	Total	13,359		51	%	18,021		59	%

Putable	Putable									Putable
Due in 1 year or less	Due in 1 year or less	—		—	%	—		—	%	Due in 1 year or less	—		—	%	—		—	%
Due after 1 year	Due after 1 year	7,194		25	%	7,252		24	%	Due after 1 year	8,097		30	%	7,252		24	%
Total	Total	7,194		25	%	7,252		24	%	Total	8,097		30	%	7,252		24	%

Other (2)	Other (2)									Other (2)
Due in 1 year or less	Due in 1 year or less	32		—	%	32		—	%	Due in 1 year or less	23		—	%	32		—	%
Due after 1 year	Due after 1 year	141		—	%	147		—	%	Due after 1 year	129		—	%	147		—	%
Total	Total	173		—	%	179		—	%	Total	152		—	%	179		—	%

Total fixed-rate	Total fixed-rate	24,250		83	%	25,452		83	%	Total fixed-rate	21,608		81	%	25,452		83	%

Variable-rate:	Variable-rate:									Variable-rate:
Variable-rate (1)	Variable-rate (1)									Variable-rate (1)
Due in 1 year or less	Due in 1 year or less	17		—	%	24		—	%	Due in 1 year or less	10		—	%	24		—	%
Due after 1 year	Due after 1 year	—		—	%	—		—	%	Due after 1 year	—		—	%	—		—	%
Total	Total	17		—	%	24		—	%	Total	10		—	%	24		—	%

Callable or prepayable	Callable or prepayable									Callable or prepayable
Due in 1 year or less	Due in 1 year or less	11		—	%	36		—	%	Due in 1 year or less	36		—	%	36		—	%
Due after 1 year	Due after 1 year	5,111		17	%	5,179		17	%	Due after 1 year	4,939		19	%	5,179		17	%
Total	Total	5,122		17	%	5,215		17	%	Total	4,975		19	%	5,215		17	%

Total variable-rate	Total variable-rate	5,139		17	%	5,239		17	%	Total variable-rate	4,985		19	%	5,239		17	%

Overdrawn demand and overnight deposit accounts										Overdrawn demand and overnight deposit accounts	30		—	%	—		—	%

Total advances	Total advances	$	29,389	100	%	$	30,691	100	%	Total advances	$	26,623	100	%	$	30,691	100	%

(1) Includes advances without call or put options.

(2) Includes callable or prepayable advances and hybrid, fixed-rate amortizing/mortgage matched advances.

During the ~~three~~nine months ended ~~March 31,~~September 30, 2021, ~~the~~the par value of advances due in one year or less decreased by 9%32%, while advances due after one year decreased by 2%4%. As a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled ~~32%~~26% at ~~March 31,~~September 30, 2021, a decrease from 33% at December 31, 2020. For additional information, see Notes to Financial Statements - Note 4 - Advances.

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Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio at ~~March 31,~~September 30, 2021, at carrying value, totaled ~~$8.1~~$7.6 billion, a net decrease of $~~459~~946 million, or 5%11%, from December 31, 2020, as principal repayments by borrowers significantly outpaced the Bank's ~~purchases.~~purchases. For the ~~three~~nine months ended ~~March 31,~~September 30, 2021, purchases of mortgage loans from the Bank's members under Advantage MPP totaled ~~$610 million,~~$1.6 billion, while MPP and MPF program repayments totaled~~$1.0 billion~~ $2.3 billion. . In addition to low interest rates, ~~ongoing~~ Federal Reserve purchases of Fannie Mae and Freddie Mac MBS ~~encourage continuing~~encouraged refinancing activity by borrowers.

A breakdown of the UPB of mortgage loans held for portfolio by primary product type is presented below ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
Product Type	Product Type	UPB		% of Total		UPB		% of Total		Product Type	UPB		% of Total		UPB		% of Total
MPP:	MPP:									MPP:
Conventional Advantage	Conventional Advantage	$	7,149	91	%	$	7,529	90	%	Conventional Advantage	$	6,786	92	%	$	7,529	90	%
Conventional Original	Conventional Original	385		5	%	417		5	%	Conventional Original	324		4	%	417		5	%
FHA	FHA	198		3	%	218		3	%	FHA	166		2	%	218		3	%
Total MPP	Total MPP	7,732		99	%	8,164		98	%	Total MPP	7,276		98	%	8,164		98	%

MPF Program:	MPF Program:									MPF Program:
Conventional	Conventional	107		1	%	123		2	%	Conventional	87		2	%	123		2	%
Government	Government	32		—	%	36		—	%	Government	28		—	%	36		—	%
Total MPF Program	Total MPF Program	139		1	%	159		2	%	Total MPF Program	115		2	%	159		2	%

Total mortgage loans held for portfolio	Total mortgage loans held for portfolio	$	7,871	100	%	$	8,323	100	%	Total mortgage loans held for portfolio	$	7,391	100	%	$	8,323	100	%

We maintain an allowance for credit losses based on our best estimate of expected losses over the remaining life of each loan. Our estimate of MPP losses remaining after borrower's equity, but before credit enhancements, was $5 million and $10 million at ~~March 31,~~September 30, 2021 and December 31, 2020, respectively. After consideration of the portion recoverable under the associated credit enhancements, the resulting allowance was less than $1 million at ~~March 31,~~September 30, 2021 and December 31, 2020. For more information, see Notes to Financial Statements - Note 5 - Mortgage Loans Held for Portfolio.

Consistent with other lenders in the mortgage loan industry, we developed a loan forbearance program for our MPP in response to the COVID-19 pandemic. Under the forbearance program, our servicers can agree to reduce or suspend the borrower's monthly payments for a specified period. The forbearance may be granted up to 90 days from the date of the first reduced or suspended payment. Initially, written approval from us was required for longer periods. However, effective May 11, 2020, weWe issued additional guidelines to provide delegated authority to our servicers so they may extend forbearance periods and establish qualified forbearance resolution plans within our established parameters. ~~In addition, we have~~We also authorized the suspension of foreclosure sales ~~and evictions~~ (with certain exceptions) through ~~June~~July 31, 2021, suspension of evictions through September 30, 2021 and, for borrowers under loss mitigation agreements related to the COVID-19 pandemic, the suspension of any negative credit reporting and the waiver of late fees.

The UPB of our conventional mortgage loans in COVID-19-related informal forbearance programs declined by $74 million from $112 million at December 31, 2020 ~~by approximately 25%~~ to ~~$84~~$38 million at ~~March 31, 2021.~~September 30, 2021 as a result of borrowers becoming current, repaying their loans in full, or moving to a COVID-19-related formal forbearance program. The UPB of loans in COVID-19-related formal forbearance programs ~~at March 31, 2021 totaled $24 million, an increase of $11~~increased by $18 million from $12 million at December 31, ~~2020.~~2020 to $30 million at September 30, 2021.

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Cash and Investments. The following table presents a comparison of the components of our cash and investments at carrying value ($ amounts in millions).


Components	Components	March 31, 2021		December 31, 2020		Change		Components	September 30, 2021		December 31, 2020		Change
Cash and short-term investments:	Cash and short-term investments:							Cash and short-term investments:
Cash and due from banks	Cash and due from banks	$	1,443	$	1,812	$	(369)	Cash and due from banks	$	1,954	$	1,812	$	142
Interest-bearing deposits	Interest-bearing deposits	100		100		—		Interest-bearing deposits	100		100		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	4,500		2,500		2,000		Securities purchased under agreements to resell	4,200		2,500		1,700
Federal funds sold	Federal funds sold	2,830		1,215		1,615		Federal funds sold	2,075		1,215		860
Total cash and short-term investments	Total cash and short-term investments	8,873		5,627		3,246		Total cash and short-term investments	8,329		5,627		2,702

Trading securities:	Trading securities:							Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	5,531		5,095		436		U.S. Treasury obligations	4,859		5,095		(236)
Total trading securities	Total trading securities	5,531		5,095		436		Total trading securities	4,859		5,095		(236)

Other investment securities:	Other investment securities:							Other investment securities:
AFS securities:	AFS securities:							AFS securities:
GSE and TVA debentures	GSE and TVA debentures	3,109		3,503		(394)		GSE and TVA debentures	2,729		3,503		(774)
GSE MBS	GSE MBS	6,366		6,642		(276)		GSE MBS	6,590		6,642		(52)
Total AFS securities	Total AFS securities	9,475		10,145		(670)		Total AFS securities	9,319		10,145		(826)

HTM securities:	HTM securities:							HTM securities:

Other U.S. obligations - guaranteed MBS	Other U.S. obligations - guaranteed MBS	2,572		2,623		(51)		Other U.S. obligations - guaranteed MBS	2,738		2,623		115
GSE MBS	GSE MBS	1,902		2,078		(176)		GSE MBS	1,759		2,078		(319)
Total HTM securities	Total HTM securities	4,474		4,701		(227)		Total HTM securities	4,497		4,701		(204)

Total investment securities	Total investment securities	19,480		19,941		(461)		Total investment securities	18,675		19,941		(1,266)

Total cash and investments, carrying value	Total cash and investments, carrying value	$	28,353	$	25,568	$	2,785	Total cash and investments, carrying value	$	27,004	$	25,568	$	1,436

Cash and Short-Term Investments. Cash and short-term investments at ~~March 31,~~September 30, 2021 totaled ~~$8.9~~$8.3 billion, an increase of ~~$3.2~~$2.7 billion, or ~~58%~~48%, from December 31, 2020. The total outstanding balance and composition of our short-term investments are influenced by our liquidity needs, regulatory requirements, actual and anticipated member advance activity, market conditions and the availability of short-term investments at attractive interest rates, relative to our cost of funds.

Trading Securities. The Bank purchases U.S. Treasury securities as trading securities to enhance its liquidity. Such securities outstanding at ~~March 31,~~September 30, 2021 totaled ~~$5.5~~$4.9 billion, ~~an increase~~a decrease of ~~$436~~$236 million, or 9%5%, from December 31, 2020.

Other Investment Securities. AFS securities at ~~March 31,~~September 30, 2021 totaled ~~$9.5~~$9.3 billion, a net decrease of ~~$670~~$826 million, or 7%8%, from December 31, 2020. The decrease resulted from changes in the fair-value hedging basis adjustments associated with these securities and principal payments on GSE and TVA debentures.

Net unrealized gains on AFS securities at ~~March 31,~~September 30, 2021 totaled ~~$210~~$178 million, a net increase of ~~$74~~$41 million compared to December 31, 2020, primarily due to changes in interest rates, credit spreads and volatility.

HTM securities at ~~March 31,~~September 30, 2021 totaled $4.5 billion, a net decrease of ~~$227~~$204 million, or 5%4%, from December 31, 2020. The decrease resulted from principal payments on these securities.

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Interest-Rate Payment Terms. Our investment securities are presented below by interest-rate payment terms ($ amounts in millions).

March 31, 2021 December 31, 2020
Interest-Rate Payment Terms Estimated Fair Value % of Total Estimated Fair Value % of Total
Trading Securities:
U.S. Treasury obligations fixed-rate $ 5,531 100 % $ 5,095 100 %
Total trading securities $ 5,531 100 % $ 5,095 100 %
Amortized Cost % of Total Amortized Cost % of Total
AFS Securities:
Total non-MBS fixed-rate $ 3,062 33 % $ 3,463 35 %
Total MBS fixed-rate 6,203 67 % 6,545 65 %
Total AFS securities $ 9,265 100 % $ 10,008 100 %
HTM Securities:
MBS:
Fixed-rate $ 253 6 % $ 283 6 %
Variable-rate 4,221 94 % 4,418 94 %
Total MBS 4,474 100 % 4,701 100 %
Total HTM securities $ 4,474 100 % $ 4,701 100 %
Total AFS and HTM securities:
Total fixed-rate $ 9,518 69 % $ 10,291 70 %
Total variable-rate 4,221 31 % 4,418 30 %
Total AFS and HTM securities $ 13,739 100 % $ 14,709 100 %


	September 30, 2021				December 31, 2020
Interest-Rate Payment Terms	Estimated Fair Value		% of Total		Estimated Fair Value		% of Total
Trading Securities:
U.S. Treasury obligations fixed-rate	$	4,859	100	%	$	5,095	100	%

Total trading securities	$	4,859	100	%	$	5,095	100	%

	Amortized Cost		% of Total		Amortized Cost		% of Total
AFS Securities:
Total non-MBS fixed-rate	$	2,683	29	%	$	3,463	35	%
Total MBS fixed-rate	6,458		71	%	6,545		65	%

Total AFS securities	$	9,141	100	%	$	10,008	100	%

HTM Securities:
MBS:
Fixed-rate	$	227	5	%	$	283	6	%
Variable-rate	4,270		95	%	4,418		94	%
Total MBS	4,497		100	%	4,701		100	%

Total HTM securities	$	4,497	100	%	$	4,701	100	%

Total AFS and HTM securities:
Total fixed-rate	$	9,368	69	%	$	10,291	70	%
Total variable-rate	4,270		31	%	4,418		30	%

Total AFS and HTM securities	$	13,638	100	%	$	14,709	100	%

The mix of fixed- vs. variable-rate AFS and HTM ~~securities~~securities at ~~March 31,~~September 30, 2021 changed slightly from December 31, 2020, primarily due to principal payments on fixed-rate MBS. However, all of the fixed-rate AFS securities are swapped to effectively create variable-rate exposures, consistent with our balance sheet strategies to manage interest-rate risk.

Total Liabilities.

Deposits (Liabilities). Total deposits at ~~March 31,~~September 30, 2021 were ~~$1.8~~$1.7 billion, a net increase of ~~$473~~$361 million, or ~~34%~~26%, from December 31, 2020. These deposits represent a relatively small portion of our funding. The balances of these accounts can fluctuate from period to period and vary depending upon such factors as the attractiveness of our deposit pricing relative to the rates available on alternative money market instruments, members' preferences with respect to the maturity of their investments, and members' liquidity.

Consolidated Obligations. The carrying value of consolidated obligations outstanding at ~~March 31,~~September 30, 2021 totaled ~~$60.4~~$55.9 billion, a net ~~increase~~decrease of ~~$417 million,~~$4.0 billion, or 1%7%, from December 31, 2020. Such ~~increase~~decrease reflected the ~~increase~~net decrease in the Bank's total assets.

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The following table presents a breakdown by term of our consolidated obligations outstanding ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
By Term	By Term	Par Value		% of Total		Par Value		% of Total		By Term	Par Value		% of Total		Par Value		% of Total
Consolidated obligations due in 1 year or less:	Consolidated obligations due in 1 year or less:									Consolidated obligations due in 1 year or less:
Discount notes	Discount notes	$	17,575	29	%	$	16,620	28	%	Discount notes	$	12,715	22	%	$	16,620	28	%
CO bonds	CO bonds	24,710		41	%	31,127		52	%	CO bonds	19,459		35	%	31,127		52	%
Total due in 1 year or less	Total due in 1 year or less	42,285		70	%	47,747		80	%	Total due in 1 year or less	32,174		57	%	47,747		80	%
Long-term CO bonds	Long-term CO bonds	18,099		30	%	12,119		20	%	Long-term CO bonds	23,798		43	%	12,119		20	%

Total consolidated obligations	Total consolidated obligations	$	60,384	100	%	$	59,866	100	%	Total consolidated obligations	$	55,972	100	%	$	59,866	100	%

The mix of our funding has changed significantly. The percentage of consolidated obligations due in 1 year or less decreased from 80% at December 31, 2020 to ~~70%~~57% at ~~March 31,~~September 30, 2021 as the Bank took advantage of market opportunities to replace maturing short-term debt with long-term callable debt at favorable terms. As a result, long-term CO bonds increased from 20% of ~~seeking~~total consolidated obligations at December 31, 2020 to 43% at September 30, 2021. We continue to seek to maintain a sufficient liquidity and funding balance between our financial assets and financial liabilities.

Derivatives. The volume of derivative hedges is often expressed in terms of notional amounts, which is the amount upon which interest payments are calculated. The following table presents the notional amounts by type of hedged item regardless of whether ~~or not~~ it is in a qualifying hedge relationship ($ amounts in millions).


Hedged Item	Hedged Item	March 31, 2021		December 31, 2020		Hedged Item	September 30, 2021		December 31, 2020
Advances	Advances	$	16,222	$	16,573	Advances	$	17,355	$	16,573
Investments	Investments	15,141		15,035		Investments	14,307		15,035
Mortgage loans	Mortgage loans	463		361		Mortgage loans	280		361
CO bonds	CO bonds	20,555		17,473		CO bonds	20,530		17,473
Discount notes	Discount notes	1,000		950		Discount notes	600		950

Total notional	Total notional	$	53,381	$	50,392	Total notional	$	53,072	$	50,392

The increase in the total notional amount during the ~~three~~nine months ended ~~March 31,~~September 30, 2021 of ~~$3.0~~$2.7 billion, or 6%5%, was ~~primarily~~substantially due to an increase in derivatives hedging CO bonds, driven primarily by the increase in long-term CO bonds outstanding.

The following table presents the cumulative impact of fair-value hedging basis adjustments on our statement of condition ($ amounts in millions).


March 31, 2021		Advances		Investments		CO Bonds		Total
September 30, 2021										September 30, 2021	Advances		Investments		CO Bonds		Total
Cumulative fair-value hedging basis adjustments on hedged items	Cumulative fair-value hedging basis adjustments on hedged items	$	384	$	229	$	102	$	715	Cumulative fair-value hedging basis adjustments on hedged items	$	325	$	288	$	100	$	713
Estimated fair value of associated derivatives, net	Estimated fair value of associated derivatives, net	(376)		(21)		(95)		(492)		Estimated fair value of associated derivatives, net	(327)		(1)		(93)		(421)

Net cumulative fair-value hedging basis adjustments	Net cumulative fair-value hedging basis adjustments	$	8	$	208	$	7	$	223	Net cumulative fair-value hedging basis adjustments	$	(2)	$	287	$	7	$	292

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Total Capital. The following table presents a percentage breakdown of the components of GAAP capital.


Components	Components	March 31, 2021		December 31, 2020		Components	September 30, 2021		December 31, 2020
Capital stock	Capital stock	62	%	64	%	Capital stock	63	%	64	%
Retained earnings	Retained earnings	33	%	33	%	Retained earnings	33	%	33	%
AOCI	AOCI	5	%	3	%	AOCI	4	%	3	%
Total GAAP capital	Total GAAP capital	100	%	100	%	Total GAAP capital	100	%	100	%

The changes in the components of GAAP capital at ~~March 31,~~September 30, 2021 compared to December 31, 2020 were ~~substantially~~primarily due to an increase in unrealized gains on AFS securities.

The following table presents a reconciliation of GAAP capital to regulatory capital ($ amounts in millions).


Reconciliation	Reconciliation	March 31, 2021		December 31, 2020		Reconciliation	September 30, 2021		December 31, 2020

Total GAAP capital	Total GAAP capital	$	3,547	$	3,450	Total GAAP capital	$	3,551	$	3,450
Exclude: AOCI	Exclude: AOCI	(180)		(105)		Exclude: AOCI	(151)		(105)
Add: MRCS	Add: MRCS	233		251		Add: MRCS	50		251
Total regulatory capital	Total regulatory capital	$	3,600	$	3,596	Total regulatory capital	$	3,450	$	3,596

Liquidity and Capital Resources

Liquidity. Our primary sources of liquidity are holdings of liquid assets, comprised of cash, short-term investments, and trading securities, as well as the issuance of consolidated obligations.

Our cash and short-term investments at ~~March 31,~~September 30, 2021 totaled ~~$8.9~~$8.3 billion. Our short-term investments generally consist of high-quality financial instruments, many of which mature overnight. Our trading securities at ~~March 31,~~September 30, 2021 totaled ~~$5.5~~$4.9 billion and consisted solely of U.S. Treasury securities. As a result, our liquidity portfolio at ~~March 31,~~September 30, 2021 totaled ~~$14.4~~$13.2 billion, or 21% of total assets. The level of our liquidity fluctuates and is influenced by regulatory requirements, actual and anticipated member advance activity and market conditions.

During the ~~three~~nine months ended ~~March 31,~~September 30, 2021, we maintained sufficient access to funding; our net proceeds from the issuance of consolidated obligations totaled ~~$60.5~~$216.5 billion.

Changes in Cash Flow. Net cash provided by operating activities for the ~~three~~nine months ended ~~March 31,~~September 30, 2021 was ~~$240~~$281 million, compared to net cash used in operating activities for the ~~three~~nine months ended ~~March 31,~~September 30, 2020 of ~~$533~~$407 million. The net ~~increase~~change in cash provided by operating activities of ~~$773~~$688 million was substantially due to the fluctuation in variation margin payments on cleared derivatives. Such payments are treated by the clearinghouses as daily settled contracts.

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Capital Resources.

Total Regulatory Capital. The following table provides a breakdown of our outstanding capital stock and MRCS ($ amounts in millions).


		March 31, 2021				December 31, 2020					September 30, 2021				December 31, 2020
By Type of Member Institution	By Type of Member Institution	Amount		% of Total		Amount		% of Total		By Type of Member Institution	Amount		% of Total		Amount		% of Total
Capital Stock:	Capital Stock:									Capital Stock:
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions	Commercial banks and savings institutions	$	1,114	46	%	$	1,108	45	%	Commercial banks and savings institutions	$	1,130	50	%	$	1,108	45	%
Credit unions	Credit unions	298		12	%	298		12	%	Credit unions	303		13	%	298		12	%
Total depository institutions	Total depository institutions	1,412		58	%	1,406		57	%	Total depository institutions	1,433		63	%	1,406		57	%
Insurance companies	Insurance companies	802		33	%	802		33	%	Insurance companies	804		35	%	802		33	%
CDFIs	CDFIs	—		—	%	—		—	%	CDFIs	—		—	%	—		—	%
Total capital stock, putable at par value	Total capital stock, putable at par value	2,214		91	%	2,208		90	%	Total capital stock, putable at par value	2,237		98	%	2,208		90	%

MRCS:	MRCS:									MRCS:
Captive insurance companies (1)	Captive insurance companies (1)	13		1	%	31		1	%	Captive insurance companies (1)	12		1	%	31		1	%
Former members	Former members	220		8	%	220		9	%	Former members	38		1	%	220		9	%

Total MRCS	Total MRCS	233		9	%	251		10	%	Total MRCS	50		2	%	251		10	%

Total regulatory capital stock	Total regulatory capital stock	$	2,447	100	%	$	2,459	100	%	Total regulatory capital stock	$	2,287	100	%	$	2,459	100	%

(1) Represents captive insurance companies whose membership was terminated on February 19, 2021. On that date, we repurchased their excess stock of $18.1 million. The remaining balance will not be redeemed until the associated credit products and other obligations are no longer outstanding.

Excess Capital Stock. The following table presents the composition of our excess capital stock ($ amounts in millions).


Components	Components	March 31, 2021			December 31, 2020			Components	September 30, 2021			December 31, 2020
Member capital stock not subject to outstanding redemption requests	Member capital stock not subject to outstanding redemption requests	$	655		$	605		Member capital stock not subject to outstanding redemption requests	$	842		$	605

Member capital stock subject to outstanding redemption requests								Member capital stock subject to outstanding redemption requests	11			—
MRCS	MRCS	209			225			MRCS	28			225

Total excess capital stock	Total excess capital stock	$	864		$	830		Total excess capital stock	$	881		$	830

Excess stock as a percentage of regulatory capital stock	Excess stock as a percentage of regulatory capital stock	35		%	34		%	Excess stock as a percentage of regulatory capital stock	39		%	34		%

The increase in excess stock during the ~~three~~nine months ended ~~March 31,~~September 30, 2021 resulted substantially from ~~advance activity.~~the reduction in advances outstanding.

On July 29, 2021, our board of directors authorized the repurchase of $181 million par value of excess MRCS held by former members or their successors-in-interest. The repurchase occurred on September 2, 2021.

In addition, we repurchased $11.3 million par value of excess stock subject to outstanding redemption requests on September 2, 2021.

Finance Agency rules limit the ability of an FHLBank to pay dividends in the form of additional shares of capital stock or otherwise issue excess stock under certain circumstances, including when its total excess stock exceeds 1% of total assets or if the issuance of excess stock would cause total excess stock to exceed 1% of total assets. Our excess stock at ~~March 31,~~September 30, 2021 was ~~1.30%~~1.42% of our total assets. Therefore, as a result of these regulatory limitations, we are currently not permitted to distribute stock dividends or issue excess stock to our members, should we choose to do so.

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Capital Distributions. On ~~April 29,~~October 28, 2021, our board of directors declared a cash dividend on Class B-2 activity-based stock at an ~~annualized~~annualized rate of 3.25% and on Class B-1 non-activity-based stock at an annualized rate of ~~1.50%~~1.00%, resulting in a spread between the rates of 2.25 percentage points. The overall weighted-average annualized rate declared was 2.25%. The dividends were paid in cash on ~~April 30, 2021~~.October 29, 2021.

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Adequacy of Capital. We must maintain sufficient permanent capital to meet the combined credit risk, market risk and operations risk components of the risk-based capital requirement. As presented in the following table, we were in compliance with the risk-based capital requirement at ~~March 31,~~September 30, 2021 and December 31, 2020 ($ amounts in millions).


Risk-Based Capital Components	Risk-Based Capital Components	March 31, 2021		December 31, 2020		Risk-Based Capital Components	September 30, 2021		December 31, 2020
Credit risk	Credit risk	$	176	$	158	Credit risk	$	155	$	158
Market risk	Market risk	442		327		Market risk	594		327
Operations risk	Operations risk	185		146		Operations risk	224		146

Total risk-based capital requirement	Total risk-based capital requirement	$	803	$	631	Total risk-based capital requirement	$	973	$	631

Permanent capital	Permanent capital	$	3,600	$	3,596	Permanent capital	$	3,450	$	3,596

The increase in our total risk-based capital requirement was primarily caused by an increase in the market risk component due to changes in the market environment, including changes in interest rates and option adjusted spreads and changes in the composition of our balance ~~sheet composition.~~ sheet. Our permanent capital at ~~March 31,~~September 30, 2021 remained well in excess of our total risk-based capital requirement.

Off-Balance Sheet Arrangements

At ~~March 31,~~September 30, 2021, principal previously paid in full by our MPP servicers totaling less than $1 million remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. An estimate of the losses is included in the MPP allowance for loan losses. For more information, see Notes to Financial Statements - Note 6 - Mortgage Loans Held for Portfolio in our 2020 Form 10-K.

Critical Accounting Policies and Estimates

A full discussion of our critical accounting policies and estimates is included in Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies and Estimates in our 2020 Form 10-K.

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Recent Accounting and Regulatory Developments

Accounting Developments. For a description of how recent accounting developments may impact our financial condition, results of operations or cash flows, see Notes to Financial Statements - Note 2 - Recently Adopted and Issued Accounting Guidance.

Legislative and Regulatory Developments.

~~LIBOR Transition~~Finance Agency..

~~Financial Conduct Authority Announcement~~FHLBank Membership Supervisory Letter. ~~In July 2017,~~On September 9, 2021, the ~~FCA,~~Finance Agency published a Supervisory Letter on FHLBank Membership Issues covering five issues, including (1) Requirements for De Novo CDFI, (2) Automatic Transfer of Membership, (3) Large Non-Member Institution Merging with a Small Member, (4) Applicant’s Compliance with "Financial Condition" Requirement, and (5) Definition of Insurance Company. The Supervisory Letter is intended to provide uniform guidance to the FHLBanks in the event they encounter similar circumstances. The Bank continues to evaluate the Supervisory Letter and its effect on Bank membership.

Regulatory Interpretation on Eligibility of Mortgage Participations as Collateral for FHLBank Advances. On October 4, 2021, the Finance Agency published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for FHLBank 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 ~~regulates LIBOR, announced that after 2021 it will no longer persuade or compel banks to submit rates for the calculation of LIBOR. On March 5, 2021, FCA further announced that LIBOR will either cease~~they are to be ~~provided by any administrator or no longer~~pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet the requirements of Finance Agency regulation 12 CFR 1266.7(a)(4), including the requirement that the collateral can be ~~representative immediately after~~"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 to liquidation do not meet such requirement and therefore are not eligible collateral for advances. 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 on December ~~31, 2021 (or, in the case of some more frequently used U.S. dollar LIBOR settings, immediately after June 30, 2023).~~13, 2021.

Although ~~the FCA does~~we do not expect LIBOR to become unrepresentative before the applicable cessation date 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. The International Swaps and Derivatives Association, Inc. ("ISDA") has stated that the FCA’s announcement in March 2021 constitutes an index cessation event under the ISDA 2020 Interbank Offered Rate Fallbacks Protocol and Supplement, and as a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of that announcement for all LIBOR settings.

~~The Bank does not~~currently expect the ~~FCA's announcement in March 2021~~Regulatory Interpretation to have a material ~~effect~~impact on ~~the Bank's~~our financial condition or results of ~~operations. For~~operations, this restriction on collateral may negatively impact future borrowing by certain members.

Fair Housing and Fair Lending Enforcement. On July 9, 2021, the Finance Agency published a ~~discussion~~Policy Statement on Fair Lending to communicate the Finance Agency’s general position on monitoring and information gathering, supervisory examinations, and administrative enforcement related to the Equal Credit Opportunity Act, the Fair Housing Act, and the Federal Housing Enterprises Financial Safety and Soundness Act. The Policy Statement became effective on the date of ~~the potential impact of the LIBOR transition, see see~~ ~~Item 1A. Risk Factors~~ ~~in our 2020 Form 10-K.~~publication.

~~Table~~On August 12, 2021, the Finance Agency and HUD announced they had entered into a Memorandum of ~~Contents~~Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agencies will focus on enhancing their enforcement of the Fair Housing Act, and their oversight of Fannie Mae, Freddie Mac, and the FHLBanks.

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

COVID-19 Developments.

~~American Rescue Plan Act of 2021.~~ ~~On March 11, 2021, President Biden signed into law the American Rescue Plan Act of 2021, which provided an additional $1.9 trillion dollars for~~Additional COVID-19 pandemic relief. Among other appropriations, the legislation allocated $7.25 billion in additional funds to support the Paycheck Protection Program ("PPP"). Also, as part of the legislation, eligibility for PPP was expanded to include certain nonprofits and digital news services. Since the legislation did not expand the PPP application deadline beyond March 31, 2021, the PPP Extension Act of 2021 was signed into law on March 30, 2021, which extended the application deadline to May 31, 2021.

~~Federal Reserve Board Extends Paycheck Protection Program Liquidity Facility.~~ On March 8, 2021, the Federal Reserve Board issued a press release announcing it would extend the Paycheck Protection Program Liquidity Facility ("PPPLF"), which was set to expire on March 31, 2021 to June 30, 2021. The Commercial Paper Funding Facility, Money Market Mutual Fund Liquidity Facility, and the Primary Dealer Credit Facility expired on March 31, 2021 since such facilities had not received significant usage. The PPPLF provides collateralized PPP loan liquidity to eligible Federal Reserve member financial institutions in order to facilitate PPP loan originations at such financial institutions.

~~Additional COVD-19~~ Presidential, Legislative and Regulatory Developments. In light of the COVID-19 pandemic, the President of the United States, through ~~presidential~~ executive orders, governmental agencies, including the SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the Finance Agency, 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 Congress has enacted and may continue to enact pandemic relief legislation, some of which may have a direct or indirect impact on usthe Bank or ~~our~~its members. ~~Various federal and state relief measures, including the CARES Act, have been enacted. Additional phases of such COVID-19 pandemic relief legislation may be enacted by Congress or the states.~~

We continue to evaluate the potential impact of such legislation, regulatory action, and guidance on us and our business, including their continued impact to the U.S. economy; impacts to mortgages held or serviced by our members and that we accept as collateral; and the impacts on our MPP. Many of these actions are temporary in nature. The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.

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Legislative Developments.

Affordable Housing. Congress continues to consider a legislative proposal, recently as part of the Congressional budget reconciliation process, that, if enacted in its proposed form, would require the FHLBanks to increase the contribution to their affordable housing programs, in each year from 2022 to 2027, to 15% of their net income for the preceding year, an increase from the current level of 10% (with the aggregate annual contributions from the FHLBanks unchanged at no less than $100,000,000). The FHLBanks continue to actively monitor the proposal.

Risk Management

We have exposure to a number of risks in pursuing our business objectives. These risks may be broadly classified as market, credit, liquidity, operational, and business. Market risk is discussed in Item 3. Quantitative and Qualitative Disclosures about Market Risk. For more information, see Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations - Risk Management in our 2020 Form 10-K.

Credit Risk Management. We face credit risk on advances and other credit products, investments, mortgage loans, derivative financial instruments, and AHP grants.

Advances and Other Credit Products.

Concentration. Our credit risk is magnified due to the concentration of advances in a few borrowers. As of ~~March 31,~~September 30, 2021, our top borrower held ~~14%~~12% of total advances outstanding, at par, and our top five borrowers held ~~46%~~40% of total advances outstanding, at par. As a result of this concentration, we perform frequent credit and collateral reviews on our largest borrowers.

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Investments. We are also exposed to credit risk through our investment portfolio. Our policies restrict the acquisition of investments to high-quality, short-term money market instruments and high-quality long-term securities.

The following table presents the unsecured investment credit exposure to private counterparties, categorized by the domicile of the counterparty's ultimate parent, based on the lowest of the counterparty's NRSRO long-term credit ratings, stated in terms of the S&P equivalent. The table does not reflect the foreign sovereign government's credit rating ($ amounts in millions).


March 31, 2021		AA		A		Total
September 30, 2021								September 30, 2021	AA		A		Total
Domestic	Domestic	$	—	$	100	$	100	Domestic	$	—	$	100	$	100
Australia	Australia	1,000		—		1,000		Australia	960		—		960
Canada	Canada	—		610		610		Canada	—		500		500

Netherlands	Netherlands	—		610		610		Netherlands	—		615		615

Sweden		—		610		610

Total unsecured credit exposure	Total unsecured credit exposure	$	1,000	$	1,930	$	2,930	Total unsecured credit exposure	$	960	$	1,215	$	2,175

A Finance Agency regulation provides that the total amount of our investments in MBS and ABS, calculated using amortized historical cost, must not exceed 300% of our total regulatory capital, as of the day we purchase the securities, based on the capital amount most recently reported to the Finance Agency. If our outstanding investments in MBS and ABS exceed the limitation at any time, but were in compliance at the time we purchased the investments, we would not be considered out of compliance with the regulation, but we would not be permitted to purchase additional investments in MBS or ABS until these outstanding investments were within the capital limitation. At ~~March 31,~~September 30, 2021, these investments totaled ~~293%~~312% of total regulatory ~~capital.~~capital due to the reduction in total regulatory capital resulting from the repurchases of excess stock on September 2, 2021 totaling $192.3 million. Generally, our goal is to maintain these investments near the 300% limit in order to enhance earnings and capital for our members and diversify our revenue stream. However, we do not expect our ratio to fall below 300% until some time in 2022. As a result, the opportunity to further enhance our earnings will not be available until we are again permitted to purchase these investments.

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The following table presents the carrying values of our investments, excluding accrued interest, grouped by credit rating and investment category. Applicable rating levels are determined using the lowest relevant long-term rating from S&P and Moody's, each stated in terms of the S&P equivalent. Rating modifiers are ignored when determining the applicable rating level for a given counterparty or investment. Amounts reported do not reflect any subsequent changes in ratings, outlook, or watch status ($ amounts in millions).


													Below
													Investment
September 30, 2021	AAA			AA			A			BBB			Grade			Total
Short-term investments:
Interest-bearing deposits	$	—		$	—		$	100		$	—		$	—		$	100
Securities purchased under agreements to resell	—			4,200			—			—			—			4,200
Federal funds sold	—			960			1,115			—			—			2,075
Total short-term investments	—			5,160			1,215			—			—			6,375

Trading securities:
U.S. Treasury obligations	—			4,859			—			—			—			4,859
Total trading securities	—			4,859			—			—			—			4,859

Other investment securities:
GSE and TVA debentures	—			2,729			—			—			—			2,729
GSE MBS	—			8,350			—			—			—			8,350
Other U.S. obligations - guaranteed RMBS	—			2,737			—			—			—			2,737
Total other investment securities	—			13,816			—			—			—			13,816

Total investments, carrying value	$	—		$	23,835		$	1,215		$	—		$	—		$	25,050

Percentage of total	—		%	95		%	5		%	—		%	—		%	100		%

Below
Investment
March 31, 2021 AAA AA A BBB Grade
Total
Short-term investments:
Interest-bearing deposits $ — $ — $ 100 $ — $ — $ 100
Securities purchased under agreements to resell — 4,500 — — — 4,500
Federal funds sold — 1,000 1,830 — — 2,830
Total short-term investments — 5,500 1,930 — — 7,430
Trading securities:
U.S. Treasury obligations — 5,531 — — — 5,531
Total trading securities — 5,531 — — — 5,531
Other investment securities:
GSE and TVA debentures — 3,109 — — — 3,109
GSE MBS — 8,268 — — — 8,268
Other U.S. obligations - guaranteed RMBS — 2,572 — — — 2,572
Total other investment securities — 13,949 — — — 13,949
Total investments, carrying value $ — $ 24,980 $ 1,930 $ — $ — $ 26,910
Percentage of total — % 93 % 7 % — % — % 100 %


													Below
													Investment
December 31, 2020	AAA			AA			A			BBB			Grade			Total






















Short-term investments:
Interest-bearing deposits	$	—		$	—		$	100		$	—		$	—		$	100
Securities purchased under agreements to resell	—			2,500			—			—			—			2,500
Federal funds sold	—			100			1,115			—			—			1,215
Total short-term investments	—			2,600			1,215			—			—			3,815

Trading securities:
U.S. Treasury obligations	—			5,095			—			—			—			5,095
Total trading securities	—			5,095			—			—			—			5,095

Other investment securities:
GSE and TVA debentures	—			3,503			—			—			—			3,503
GSE MBS	—			8,720			—			—			—			8,720
Other U.S. obligations - guaranteed RMBS	—			2,623			—			—			—			2,623
Total other investment securities	—			14,846			—			—			—			14,846

Total investments, carrying value	$	—		$	22,541		$	1,215		$	—		$	—		$	23,756

Percentage of total	—		%	95		%	5		%	—		%	—		%	100		%

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Below
Investment
December 31, 2020 AAA AA A BBB Grade
Total
Short-term investments:
Interest-bearing deposits $ — $ — $ 100 $ — $ — $ 100
Securities purchased under agreements to resell — 2,500 — — — 2,500
Federal funds sold — 100 1,115 — — 1,215
Total short-term investments — 2,600 1,215 — — 3,815
Trading securities:
U.S. Treasury obligations — 5,095 — — — 5,095
Total trading securities — 5,095 — — — 5,095
Other investment securities:
GSE and TVA debentures — 3,503 — — — 3,503
GSE MBS — 8,720 — — — 8,720
Other U.S. obligations - guaranteed RMBS — 2,623 — — — 2,623
Total other investment securities — 14,846 — — — 14,846
Total investments, carrying value $ — $ 22,541 $ 1,215 $ — $ — $ 23,756
Percentage of total — % 95 % 5 % — % — % 100 %

Mortgage Loans Held for Portfolio. The following table presents the changes in the LRA for original MPP and Advantage MPP ($ amounts in millions).



	Three Months Ended September 30, 2021
LRA Activity	Original		Advantage		Total
Liability, beginning of period	$	4	$	216	$	220
Additions	—		5		5
Claims paid	—		—		—
Distributions to PFIs	—		—		—
Liability, end of period	$	4	$	221	$	225


		Three Months Ended March 31, 2021						Nine Months Ended September 30, 2021
LRA Activity	LRA Activity	Original		Advantage		Total			LRA Activity	Original		Advantage		Total
Liability, beginning of period	Liability, beginning of period	$	4	$	203	$	207		Liability, beginning of period	$	4	$	203	$	207
Additions	Additions	—		7		7			Additions	—		18		18
Claims paid	Claims paid	—		—		—			Claims paid	—		—		—
Distributions to PFIs	Distributions to PFIs	—		—		—			Distributions to PFIs	—		—		—
Liability, end of period	Liability, end of period	$	4	$	210	$	214		Liability, end of period	$	4	$	221	$	225

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Derivatives. The following table presents key information on derivative positions with counterparties on a settlement date basis using the lower credit rating from S&P and Moody's, stated in terms of the S&P equivalent ($ amounts in millions).


March 31, 2021		Notional Amount		Net Estimated Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure
September 30, 2021										September 30, 2021	Notional Amount		Net Estimated Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure
Non-member counterparties:	Non-member counterparties:									Non-member counterparties:
Asset positions with credit exposure	Asset positions with credit exposure									Asset positions with credit exposure

Uncleared derivatives - A	Uncleared derivatives - A	$	232	$	2	$	—	$	2	Uncleared derivatives - A	$	63	$	—	$	—	$	—

Cleared derivatives (1)	Cleared derivatives (1)	30,817		16		261		277		Cleared derivatives (1)	9,900		3		77		80
Liability positions with credit exposure	Liability positions with credit exposure									Liability positions with credit exposure
Uncleared derivatives - AA		201		(12)		13		1

Uncleared derivatives - A	Uncleared derivatives - A	9,350		(140)		145		5		Uncleared derivatives - A	199		(5)		5		—

Cleared derivatives (1)	Cleared derivatives (1)	—		—		—		—		Cleared derivatives (1)	14,956		(3)		154		151
Total derivative positions with credit exposure to non-member counterparties	Total derivative positions with credit exposure to non-member counterparties	40,600		(134)		419		285		Total derivative positions with credit exposure to non-member counterparties	25,118		(5)		236		231
Total derivative positions with credit exposure to member institutions (2)	Total derivative positions with credit exposure to member institutions (2)	30		—		—		—		Total derivative positions with credit exposure to member institutions (2)	42		—		—		—
Subtotal - derivative positions with credit exposure	Subtotal - derivative positions with credit exposure	40,630		$	(134)	$	419	$	285	Subtotal - derivative positions with credit exposure	25,160		$	(5)	$	236	$	231
Derivative positions without credit exposure	Derivative positions without credit exposure	12,751								Derivative positions without credit exposure	27,912

Total derivative positions	Total derivative positions	$	53,381							Total derivative positions	$	53,072

(1) Represents derivative transactions cleared by two clearinghouses (one rated AA- and the other unrated).

(2) Includes MDCs from member institutions under our MPP.

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Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Measuring Market Risks

To evaluate market risk, we utilize multiple risk measurements, including duration of equity, duration gap, convexity, VaR, earnings at risk, and changes in MVE. Periodically, we conduct stress tests to measure and analyze the effects that extreme movements in the level of interest rates and the shape of the yield curve would have on our risk position.

As part of our overall interest-rate risk management process, we continue to evaluate strategies to manage interest-rate risk. Certain strategies, if implemented, could have an adverse impact on future earnings.

Market Value of Equity. MVE represents the difference between the estimated market value of total assets and the estimated market value of total liabilities, including any off-balance sheet positions. It measures, in present value terms, the long-term economic value of current capital and the long-term level and volatility of net interest income.

We also monitor the sensitivities of MVE to potential interest-rate scenarios. We measure potential changes in the market value to book value of equity based on the current month-end level of rates versus various large parallel and non-parallel shifts in rates. Our board of directors determines acceptable ranges for the change in MVE for ~~100~~200 bps parallel upward or downward shift in the interest-rate ~~curves.~~curves as well as certain flattening and steepening scenarios.

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Key Metrics. The following table presents certain market and interest-rate metrics under different interest-rate scenarios ($ amounts in millions).

March 31, 2021
Down 200 (1)
Down 100 (1)
Base Up 100 Up 200
MVE $ 3,841 $ 3,816 $ 3,802 $ 3,812 $ 3,782
Percent change in MVE from base 1.0 % 0.4 % — % 0.3 % (0.5) %
MVE/book value of equity 101.6 % 101.0 % 100.6 % 100.9 % 100.0 %
Duration of equity 1.6 0.5 (0.2) 0.2 1.3


September 30, 2021	Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
MVE	$	3,691		$	3,578		$	3,544		$	3,534		$	3,493
Percent change in MVE from base	4.1		%	1.0		%	—		%	(0.3)		%	(1.5)		%
MVE/book value of equity	102.5		%	99.4		%	98.4		%	98.1		%	97.0		%
Duration of equity	1.9			1.8			0.4			0.7			1.6


December 31, 2020
MVE	$	3,621		$	3,605		$	3,559		$	3,579		$	3,590
Percent change in MVE from base	1.8		%	1.3		%	0		%	0.6		%	0.9		%
MVE/book value of equity	97.8		%	97.4		%	96.2		%	96.7		%	97.0		%
Duration of equity	—			0.8			0.7			(0.7)			0.4

(1) Given the low interest rates in the short-to-medium term points of the yield curves, downward rate shocks are constrained to prevent rates from becoming negative. During periods of extremely low interest rates, the Finance Agency requires that FHLBanks employ a constrained down-shock analysis to limit the evolution of forward interest rates to positive non-zero values. Since our market risk model imposes a positive non-zero boundary on post-shock interest rates, no additional calculations are necessary in order to meet this Finance Agency requirement when applicable.

The changes in those key metrics from December 31, 2020 resulted primarily from the change in market value of the Bank's assets and liabilities in response to changes in the market environment, changes in portfolio composition, and our hedging strategies.

Duration Gap. The base case duration gap was ~~(0.05)~~(0.02)% and 0.01% at ~~March 31,~~September 30, 2021 and December 31, 2020, respectively.

For information about our use of derivative hedges, see Item 7A. Quantitative and Qualitative Disclosures About Market Risk - Use of Derivative Hedges in our 2020 Form 10-K.

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Replacement of the LIBOR Benchmark Interest Rate

In March 2021, the FCA announced that LIBOR will either cease to be provided by any administrator or no longer be representative immediately after December 31, 2021, or, in the case of some more frequently used U.S. dollar LIBOR settings, immediately after June 30, 2023.

~~Most~~Many of our advances, investments, CO bonds, derivative assets, derivative liabilities, and related collateral are directly or indirectly indexed to LIBOR. Some of these assets and liabilities and related collateral have maturity dates that extend beyond the date in which the applicable LIBOR setting ceases to be provided or to be representative.

We continue to implement our transition plan that has reduced our exposure to the transition and has the flexibility to evolve with market developments and standards, member needs, and guidance provided by the issuers of Agency securities. As a result, we do not expect the initial transition on December 31, 2021 to have a material adverse impact on the Bank's business, financial condition or results of operations.

For more information, see Item 1A. Risk Factors - Changes to or Replacement of the LIBOR Benchmark Interest Rate Could Adversely Affect Our Business, Financial Condition and Results of Operations and Item 7A. Quantitative and Qualitative Disclosures About Market Risk in our 2020 Form 10-K.

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The following table presents our LIBOR-rate indexed financial instruments outstanding at ~~March 31,~~September 30, 2021 and December 31, 2020 by year of maturity ($ amounts in millions).


LIBOR-Indexed Financial Instruments	LIBOR-Indexed Financial Instruments	Year of Maturity										LIBOR-Indexed Financial Instruments	Year of Maturity
March 31, 2021		2021		2022		Through June 30, 2023		Thereafter		Total
September 30, 2021												September 30, 2021	2021		2022		Through June 30, 2023		Thereafter		Total
Assets:	Assets:											Assets:
Advances, par value (1)	Advances, par value (1)	$	10	$	303	$	143	$	2,404	$	2,860	Advances, par value (1)	$	—	$	198	$	78	$	2,324	$	2,600
Mortgage-backed securities, par value (2)	Mortgage-backed securities, par value (2)	—		—		—		3,328		3,328		Mortgage-backed securities, par value (2)	—		—		—		2,879		2,879
Total	Total	$	10	$	303	$	143	$	5,732	$	6,188	Total	$	—	$	198	$	78	$	5,203	$	5,479

Interest-rate swaps - receive leg, notional (2):	Interest-rate swaps - receive leg, notional (2):											Interest-rate swaps - receive leg, notional (2):
Cleared	Cleared	$	1,466	$	1,459	$	785	$	4,217	$	7,927	Cleared	$	147	$	1,421	$	770	$	3,768	$	6,106
Uncleared	Uncleared	95		320		316		8,706		9,437		Uncleared	22		320		316		6,498		7,156
Total	Total	$	1,561	$	1,779	$	1,101	$	12,923	$	17,364	Total	$	169	$	1,741	$	1,086	$	10,266	$	13,262

Liabilities:	Liabilities:											Liabilities:
CO bonds, par value (2)	CO bonds, par value (2)	$	5,360	$	—	$	—	$	—	$	5,360	CO bonds, par value (2)	$	825	$	—	$	—	$	—	$	825

Interest-rate swaps - pay leg, notional (2):	Interest-rate swaps - pay leg, notional (2):											Interest-rate swaps - pay leg, notional (2):
Cleared	Cleared	$	10,202	$	234	$	200	$	—	$	10,636	Cleared	$	4,815	$	1,434	$	200	$	—	$	6,449
Uncleared	Uncleared	3,150		—		—		84		3,234		Uncleared	—		—		—		15		15
Total	Total	$	13,352	$	234	$	200	$	84	$	13,870	Total	$	4,815	$	1,434	$	200	$	15	$	6,464

Other derivatives, notional:	Other derivatives, notional:											Other derivatives, notional:
Interest-rate caps held (2)	Interest-rate caps held (2)	$	—	$	15	$	—	$	611	$	626	Interest-rate caps held (2)	$	—	$	15	$	—	$	611	$	626


December 31, 2020
Assets:
Advances, par value (1)	$	40	$	353	$	187	$	2,913	$	3,493
Mortgage-backed securities, par value (2)	—		32		—		3,555		3,587
Total	$	40	$	385	$	187	$	6,468	$	7,080

Interest-rate swaps - receive leg, notional (2):
Cleared	$	2,037	$	1,464	$	786	$	4,218	$	8,505
Uncleared	105		320		316		9,914		10,655
Total	$	2,142	$	1,784	$	1,102	$	14,132	$	19,160

Liabilities:
CO bonds, par value (2)	$	6,675	$	—	$	—	$	—	$	6,675

Interest-rate swaps - pay leg, notional (2):
Cleared	$	12,711	$	234	$	200	$	—	$	13,145
Uncleared	2,950		—		—		204		3,154
Total	$	15,661	$	234	$	200	$	204	$	16,299

Other derivatives, notional:
Interest-rate caps held (2)	$	—	$	15	$	—	$	611	$	626

(1) Year of maturity on our advances is based on redemption term.

(2) Year of maturity on our MBS, interest-rate swaps, CO bonds and interest-rate caps is based on contractual maturity. The actual maturities on MBS will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.

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Item 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

We are responsible for establishing and maintaining disclosure controls and procedures that are designed to ensure that information required to be disclosed by us in our reports filed under the Exchange Act is: (a) recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms; and (b) accumulated and communicated to our management, including our principal executive officer, principal financial officer, and principal accounting officer, to allow timely decisions regarding required disclosures.

As of ~~March 31,~~September 30, 2021, we conducted an evaluation, under the supervision and with the participation of our management, including our Chief Executive Officer (the principal executive officer), Chief Financial Officer (the principal financial officer) and Chief Accounting Officer (the principal accounting officer), of the effectiveness of the design and operation of our disclosure controls and procedures pursuant to Rule 13a-15 of the Exchange Act. In making this evaluation, we used the criteria established in Internal Control — Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on that evaluation, our Chief Executive Officer, Chief Financial Officer and Chief Accounting Officer concluded that our disclosure controls and procedures were effective as of ~~March 31,~~September 30, 2021.

Internal Control Over Financial Reporting

Changes in Internal Control Over Financial Reporting. There were no changes in our internal control over financial reporting, as defined in rules 13a-15(f) and 15(d)-15(f) of the Exchange Act, that occurred during our most recently completed fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

Limitations on the Effectiveness of Controls. We do not expect that our disclosure controls and procedures and other internal controls will prevent all error and fraud. A control system, no matter how well conceived and operated, can provide only reasonable, not absolute, assurance that the objectives of the control system are met. Further, the design of a control system must reflect the fact that there are resource constraints, and the benefits of controls must be considered relative to their costs. Because of the inherent limitations in all control systems, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. These inherent limitations include the realities that judgments in decision making can be faulty and that breakdowns can occur because of simple error or mistake. Additionally, controls can be circumvented by the individual acts of some persons, by collusion of two or more people, or by management override of the controls. The design of any system of controls is also based in part upon certain assumptions about the likelihood of future events, and there can only be reasonable assurance that any design will succeed in achieving its stated goals under all potential future conditions. Additionally, over time, controls may become inadequate because of changes in conditions, or the degree of compliance with the policies or procedures may deteriorate. Because of the inherent limitations in a cost-effective control system, misstatements due to error or fraud may occur and not be detected.

Part II. OTHER INFORMATION

Item 1. LEGAL PROCEEDINGS

In the ordinary course of business, we may from time to time become a party to lawsuits involving various business matters. We are unaware of any lawsuits presently pending which, individually or in the aggregate, could have a material effect on our financial condition or results of operations.

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Item 1A. RISK FACTORS

Except as noted below, there have been no material changes in the risk factors described in Item 1A. Risk Factors of our 2020 Form 10-K.

A Loss of Significant Borrowers, PFIs, Acceptable Loan Servicers or Other Financial Counterparties Could Adversely Impact Our Profitability, Our Ability to Achieve Business Objectives, Our Ability to Pay Dividends or Redeem or Repurchase Capital Stock, and Our Risk Concentration.

The loss of any large borrower or PFI could adversely impact our profitability and our ability to achieve business objectives. The loss of a large borrower or PFI could result from a variety of factors, including acquisition, consolidation of charters within a bank holding company, a member's loss of market share, resolution of a financially distressed member, or regulatory changes relating to FHLBank membership.

On April 26, 2021, Flagstar Bancorp, Inc., the parent company of Flagstar Bank, FSB ("Flagstar"), historically one of our largest and most active borrowers, announced it had reached an agreement to merge with another institution and, pursuant to ~~which~~the agreement, Flagstar would merge with a non-member depository. At ~~March 31,~~September 30, 2021, Flagstar had advances outstanding totaling ~~$3.6~~$2.5 billion or ~~12%~~9% of the Bank's total advances outstanding, at par. Flagstar has not been an active PFI seller since 2011. The parties currently expect that the Flagstar parent company merger will close ~~during the fourth quarter of 2021,~~in 2022, as soon as regulatory approvals are received, with Flagstar's merger expected to close thereafter. On the effective date of the Flagstar merger, the successor bank would not be eligible for membership in our Bank. ~~We are evaluating~~As a result, as with any loss of a large borrower, the ~~potential effects~~consummation of the expected Flagstar merger could have a material adverse effect upon our future results of operations and financial ~~condition following the consummation of the expected Flagstar merger.~~condition.

As the financial industry continues to consolidate into a smaller number of institutions, this could lead to further loss of large members and a related decrease in our membership and significant loss of business. Our largest borrower had advances outstanding at ~~March 31,~~September 30, 2021 totaling ~~$4.2~~$3.1 billion, or ~~14%~~12% of the Bank's total advances outstanding, at par. If advances are concentrated in a smaller number of members, our risk of loss resulting from a single event could become greater. Loss of other large advance borrowers, without replacement of such advances by existing or new members, would be expected to reduce our interest income and profitability accordingly.

During the ~~first quarter of~~nine months ended September 30, 2021, our top-selling PFI sold us mortgage loans ~~totaling $94~~totaling $185 million, or ~~16%~~12% of the total mortgage loans purchased by the Bank. Our larger PFIs originate mortgages on properties in several states. We also purchase mortgage loans from many smaller PFIs that predominantly originate mortgage loans on properties in Michigan and Indiana. Our concentration of MPP loans on properties in Michigan and Indiana could continue to increase over time, as we do not currently limit such concentration.

We do not service the mortgage loans we purchase. PFIs may elect to retain servicing rights for the loans sold to us, or they may elect to sell servicing rights to an MPP-approved servicer. Federal banking regulations and Dodd-Frank Act capital requirements are causing some mortgage servicing rights to be transitioned to non-depository institutions and may reduce the availability of buyers of mortgage servicing rights. A scarcity of mortgage servicers could adversely affect our results of operations.

The number of counterparties that meet our internal and regulatory standards for derivative, repurchase, federal funds sold, TBA, and other financial transactions, such as broker-dealers and their affiliates, has decreased over time. In addition, since the Dodd-Frank Act, the requirements for posting margin or other collateral to financial counterparties has tended to increase, both in terms of the amount of collateral to be posted and the types of transactions for which margin is now required. These factors tend to increase the risk exposure that we have to any one counterparty, and as such may tend to increase our reliance upon each of our counterparties. A failure of any one of our major financial counterparties, or continuing market consolidation, could affect our profitability, results of operations, and ability to enter into additional transactions with existing counterparties without exceeding internal or regulatory risk limits.

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Item 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Not applicable.

Item 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

Item 5. OTHER INFORMATION

None.

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Item 6. EXHIBITS

EXHIBIT INDEX


Exhibit Number						Description

3.1*						Organization Certificate of the Federal Home Loan Bank of Indianapolis, incorporated by reference to Exhibit 3.1 of our Registration Statement on Form 10 (Commission File No. 000-51404) filed on February 14, 2006

3.2*						Bylaws of the Federal Home Loan Bank of Indianapolis, as amended effective June 28, 2019, incorporated by reference to Exhibit 3.1 of our Quarterly Report on Form 10-Q (Commission File No. 000-51404) filed on August 12, 2019

4.1*						Capital Plan of the Federal Home Loan Bank of Indianapolis, effective September 26, 2020, incorporated by reference to Exhibit 4.1 of our Current Report on Form 8-K (Commission File No. 000-51404) filed on August 17, 2020

10.1*						Joint Capital Enhancement Agreement dated August 5, 2011, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K (Commission File No. 000-51404) filed on August 5, 2011

10.2*10.2						~~Severance~~2005 Supplemental Executive Retirement Plan, dated January 1, 2008, as amended and ~~Release Agreement, dated~~Restated Effective as of April 2, 2021, between Federal Home Loan Bank of Indianapolis and William D. Miller, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K/A (Commission File No. 00051404) filed on April 7,August 1, 2021

31.1						Certification of the President - Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.2						Certification of the Executive Vice President - Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.3						Certification of the Senior Vice President - Chief Accounting Officer pursuant to Section 302 of the Sarbanes - Oxley Act of 2002

32						Certification of the President - Chief Executive Officer, Executive Vice President - Chief Financial Officer, and Senior Vice President - Chief Accounting Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

101.INS						XBRL Instance Document

101.SCH						XBRL Taxonomy Extension Schema Document

101.CAL						XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB						XBRL Taxonomy Extension Label Linkbase Document

101.PRE						XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF						XBRL Taxonomy Extension Definition Linkbase Document

* These documents are incorporated by reference.

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SIGNATURES

Pursuant to the requirements 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.


	FEDERAL HOME LOAN BANK OF INDIANAPOLIS

~~May 12,~~November 10, 2021	By:	/s/ CINDY L. KONICH
	Name:	Cindy L. Konich
	Title:	President - Chief Executive Officer

~~May 12,~~November 10, 2021	By:	/s/ GREGORY L. TEARE
	Name:	Gregory L. Teare
	Title:	Executive Vice President - Chief Financial Officer

~~May 12,~~November 10, 2021	By:	/s/ K. LOWELL SHORT, JR.
	Name:	K. Lowell Short, Jr.
	Title:	Senior Vice President - Chief Accounting Officer

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	Capital Stock			Retained Earnings						Accumulated Other Comprehensive Income (Loss)		Total Capital
	Shares	Par Value		Unrestricted		Restricted		Total


Balance, December 31, 2020	22,076	$	2,207,570	$	868,904	$	268,426	$	1,137,330	$	105,402	$	3,450,302

Total comprehensive income				23,907		5,977		29,884		74,525		104,409

Proceeds from issuance of capital stock	66	6,622										6,622









Cash dividends on capital stock (2.50% annualized)				(13,957)		—		(13,957)				(13,957)

Balance, March 31, 2021	22,142	$	2,214,192	$	878,854	$	274,403	$	1,153,257	$	179,927	$	3,547,376

Balance, December 31, 2019	19,741	$	1,974,076	$	864,454	$	250,854	$	1,115,308	$	67,376	$	3,156,760

Total comprehensive income (loss)				23,637		5,909		29,546		(148,124)		(118,578)

Proceeds from issuance of capital stock	1,243	124,378										124,378



Shares reclassified to mandatorily redeemable capital stock, net	(2)	(232)										(232)

Cash dividends on capital stock (4.25% annualized)				(20,950)		—		(20,950)				(20,950)

Balance, March 31, 2020	20,982	$	2,098,222	$	867,141	$	256,763	$	1,123,904	$	(80,748)	$	3,141,378