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 ~~September~~June 30, ~~2021~~2022

☐ 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 the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act. ~~(Check one):~~

☐

Large accelerated filer

☐

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 ~~October~~July 31, ~~2021~~2022
Class A Stock, par value $100			—
Class B Stock, par value $100			~~22,965,620~~23,320,275


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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021	4

	Statements of Income for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021	5

	Statements of Comprehensive Income for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021	6

	Statements of Capital for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021	7

	Statements of Cash Flows for the ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021	9

	Notes to Financial Statements:
	Note 1 - Summary of Significant Accounting Policies	11
	Note 2 - Recently Adopted and Issued Accounting Guidance	11
	Note 3 - Investments	1112
	Note 4 - Advances	15
	Note 5 - Mortgage Loans Held for Portfolio	16
	Note 6 - Derivatives and Hedging Activities	1917
	Note 7 - Consolidated Obligations	2421
	Note 8 - Affordable Housing Program	2623
	Note 9 - Capital	2623
	Note 10 - Accumulated Other Comprehensive Income	2824
	Note 11 - Segment Information	3026
	Note 12 - Estimated Fair Values	3127
	Note 13 - Commitments and Contingencies	3530
	Note 14 - Related Party and Other Transactions	3631

	Defined Terms	3732

Item 2.	MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
	Presentation	3934
	Executive Summary	39
	~~Selected Financial Data~~	4134
	Results of Operations and Changes in Financial Condition	4236
	Operating Segments	4945
	Analysis of Financial Condition	5046
	Liquidity and Capital Resources	57
	~~Off-Balance Sheet Arrangements~~	5952
	Critical Accounting ~~Policies and~~ Estimates	5954
	Recent Accounting and Regulatory Developments	6054
	Risk Management	6155
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	6458
Item 4.	CONTROLS AND PROCEDURES	6760

PART II.	OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	6761
Item 1A.	RISK FACTORS	6861
Item 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	6961
Item 3.	DEFAULTS UPON SENIOR SECURITIES	6961
Item 4.	MINE SAFETY DISCLOSURES	6961
Item 5.	OTHER INFORMATION	6961
Item 6.	EXHIBITS	7062

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, 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 reports on 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)


		September 30, 2021		December 31, 2020			June 30, 2022		December 31, 2021
Assets:	Assets:					Assets:
Cash and due from banks	Cash and due from banks	$	1,953,744	$	1,811,544	Cash and due from banks	$	59,596	$	867,880
Interest-bearing deposits (Note 3)	Interest-bearing deposits (Note 3)	100,041		100,026		Interest-bearing deposits (Note 3)	325,041		100,041
Securities purchased under agreements to resell (Note 3)	Securities purchased under agreements to resell (Note 3)	4,200,000		2,500,000		Securities purchased under agreements to resell (Note 3)	4,500,000		3,500,000
Federal funds sold (Note 3)	Federal funds sold (Note 3)	2,075,000		1,215,000		Federal funds sold (Note 3)	2,496,000		2,580,000
Trading securities (Note 3)	Trading securities (Note 3)	4,858,818		5,094,703		Trading securities (Note 3)	4,039,407		3,946,799
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
Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993)						Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993)	10,196,572		9,159,935
Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157)						Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157)	3,877,299		4,313,773
Advances (Note 4)	Advances (Note 4)	26,958,039		31,347,486		Advances (Note 4)	30,507,462		27,497,835
Mortgage loans held for portfolio, net (Note 5)	Mortgage loans held for portfolio, net (Note 5)	7,570,462		8,515,645		Mortgage loans held for portfolio, net (Note 5)	7,729,642		7,616,134
Accrued interest receivable	Accrued interest receivable	75,813		103,076		Accrued interest receivable	96,937		80,758
Premises, software, and equipment, net		31,541		33,993
Derivative assets, net (Note 6)	Derivative assets, net (Note 6)	231,280		283,082		Derivative assets, net (Note 6)	325,848		220,202
Other assets	Other assets	89,482		74,000		Other assets	112,459		121,246

Total assets	Total assets	$	61,960,394	$	65,924,756	Total assets	$	64,266,263	$	60,004,603

Liabilities:	Liabilities:					Liabilities:
Deposits	Deposits	$	1,736,009	$	1,375,206	Deposits	$	907,525	$	1,366,397
Consolidated obligations (Note 7):	Consolidated obligations (Note 7):					Consolidated obligations (Note 7):
Discount notes	Discount notes	12,713,890		16,617,079		Discount notes	19,587,260		12,116,358
Bonds	Bonds	43,225,386		43,332,946		Bonds	39,462,365		42,361,572
Total consolidated obligations, net	Total consolidated obligations, net	55,939,276		59,950,025		Total consolidated obligations, net	59,049,625		54,477,930
Accrued interest payable	Accrued interest payable	64,042		63,581		Accrued interest payable	124,999		88,068
Affordable Housing Program payable (Note 8)	Affordable Housing Program payable (Note 8)	30,466		34,402		Affordable Housing Program payable (Note 8)	28,953		31,049
Derivative liabilities, net (Note 6)	Derivative liabilities, net (Note 6)	18,542		22,979		Derivative liabilities, net (Note 6)	13,569		12,185
Mandatorily redeemable capital stock (Note 9)	Mandatorily redeemable capital stock (Note 9)	50,442		250,768		Mandatorily redeemable capital stock (Note 9)	45,583		50,422
Other liabilities	Other liabilities	570,382		777,493		Other liabilities	619,298		422,221

Total liabilities	Total liabilities	58,409,159		62,474,454		Total liabilities	60,789,552		56,448,272

Commitments and contingencies (Note 13)	Commitments and contingencies (Note 13)	0		0		Commitments and contingencies (Note 13)	0		0

Capital (Note 9):	Capital (Note 9):					Capital (Note 9):
Capital stock (putable at par value of $100 per share):	Capital stock (putable at par value of $100 per share):					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
Class B issued and outstanding shares: 22,508,342 and 22,462,009						Class B issued and outstanding shares: 22,508,342 and 22,462,009	2,250,835		2,246,201
Retained earnings:	Retained earnings:					Retained earnings:
Unrestricted	Unrestricted	881,456		868,904		Unrestricted	912,329		889,869
Restricted	Restricted	281,820		268,426		Restricted	299,391		287,203
Total retained earnings	Total retained earnings	1,163,276		1,137,330		Total retained earnings	1,211,720		1,177,072
Total accumulated other comprehensive income (Note 10)	Total accumulated other comprehensive income (Note 10)	151,467		105,402		Total accumulated other comprehensive income (Note 10)	14,156		133,058

Total capital	Total capital	3,551,235		3,450,302		Total capital	3,476,711		3,556,331

Total liabilities and capital	Total liabilities and capital	$	61,960,394	$	65,924,756	Total liabilities and capital	$	64,266,263	$	60,004,603

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 September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Interest Income:	Interest Income:									Interest Income:
Advances	Advances	$	20,432	$	45,084	$	84,716	$	291,030	Advances	$	67,562	$	28,175	$	102,603	$	64,284
Interest-bearing deposits	Interest-bearing deposits	136		364		413		5,396		Interest-bearing deposits	2,623		121		2,913		277
Securities purchased under agreements to resell	Securities purchased under agreements to resell	540		820		1,192		10,879		Securities purchased under agreements to resell	6,066		215		6,971		652
Federal funds sold	Federal funds sold	728		542		2,182		10,155		Federal funds sold	7,682		651		8,524		1,454
Trading securities	Trading securities	10,473		22,335		41,064		71,651		Trading securities	8,347		14,421		13,792		30,591
Available-for-sale securities	Available-for-sale securities	22,477		22,539		73,497		72,682		Available-for-sale securities	38,563		21,184		61,008		51,020
Held-to-maturity securities	Held-to-maturity securities	7,694		11,201		25,367		60,147		Held-to-maturity securities	9,033		7,809		16,544		17,673
Mortgage loans held for portfolio	Mortgage loans held for portfolio	44,111		48,268		124,512		189,496		Mortgage loans held for portfolio	51,467		40,119		99,268		80,401

Other interest income										Other interest income	22		—		22		—
Total interest income	Total interest income	106,591		151,153		352,943		711,436		Total interest income	191,365		112,695		311,645		246,352

Interest Expense:	Interest Expense:									Interest Expense:
Consolidated obligation discount notes	Consolidated obligation discount notes	1,675		10,967		7,607		111,056		Consolidated obligation discount notes	26,535		1,733		30,188		5,932
Consolidated obligation bonds	Consolidated obligation bonds	46,601		77,398		153,071		398,449		Consolidated obligation bonds	99,192		52,674		150,891		106,470
Deposits	Deposits	42		32		122		2,821		Deposits	1,547		43		1,646		80
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	312		2,037		2,345		7,777		Mandatorily redeemable capital stock	269		929		514		2,033

Total interest expense	Total interest expense	48,630		90,434		163,145		520,103		Total interest expense	127,543		55,379		183,239		114,515

Net interest income	Net interest income	57,961		60,719		189,798		191,333		Net interest income	63,822		57,316		128,406		131,837
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	(16)		124		28		172		Provision for (reversal of) credit losses	(38)		(44)		(60)		44

Net interest income after provision for credit losses	Net interest income after provision for credit losses	57,977		60,595		189,770		191,161		Net interest income after provision for credit losses	63,860		57,360		128,466		131,793

Other Income:	Other Income:									Other Income:

Net gains (losses) on trading securities	Net gains (losses) on trading securities	(8,207)		(19,331)		(35,566)		1,975		Net gains (losses) on trading securities	(14,220)		(13,731)		(38,415)		(27,359)
Net realized gains from sale of available-for-sale securities		—		504		—		504
Net gains (losses) on derivatives	Net gains (losses) on derivatives	(1,361)		(297)		(2,013)		(52,124)		Net gains (losses) on derivatives	17,203		186		37,197		(652)
Service fees		123		128		382		425
Standby letters of credit fees		189		188		614		506

Other, net	Other, net	389		1,931		4,972		1,911		Other, net	(4,681)		3,775		(7,882)		5,265
Total other income (loss)	Total other income (loss)	(8,867)		(16,877)		(31,611)		(46,803)		Total other income (loss)	(1,698)		(9,770)		(9,100)		(22,746)

Other Expenses:	Other Expenses:									Other Expenses:
Compensation and benefits	Compensation and benefits	14,570		14,519		44,420		44,156		Compensation and benefits	13,411		14,092		26,367		29,850
Other operating expenses	Other operating expenses	7,352		7,847		22,041		22,881		Other operating expenses	7,756		7,417		14,850		14,688
Federal Housing Finance Agency	Federal Housing Finance Agency	1,473		1,181		4,420		3,516		Federal Housing Finance Agency	1,801		1,474		3,717		2,947
Office of Finance	Office of Finance	1,493		1,293		4,718		3,604		Office of Finance	1,081		1,228		2,498		3,225
Other	Other	2,030		2,053		7,887		5,244		Other	2,154		4,226		4,165		5,857
Total other expenses	Total other expenses	26,918		26,893		83,486		79,401		Total other expenses	26,203		28,437		51,597		56,567

Income before assessments	Income before assessments	22,192		16,825		74,673		64,957		Income before assessments	35,959		19,153		67,769		52,480

Affordable Housing Program assessments	Affordable Housing Program assessments	2,250		1,886		7,702		7,273		Affordable Housing Program assessments	3,623		2,008		6,828		5,451

Net income	Net income	$	19,942	$	14,939	$	66,971	$	57,684	Net income	$	32,336	$	17,145	$	60,941	$	47,029

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 September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
		2021		2020		2021		2020			2022		2021		2022		2021

Net income	Net income	$	19,942	$	14,939	$	66,971	$	57,684	Net income	$	32,336	$	17,145	$	60,941	$	47,029

Other Comprehensive Income:	Other Comprehensive Income:									Other Comprehensive Income:

Net change in unrealized gains (losses) on available-for-sale securities	Net change in unrealized gains (losses) on available-for-sale securities	(36,864)		77,290		41,167		7,479		Net change in unrealized gains (losses) on available-for-sale securities	(45,228)		4,502		(119,691)		78,031

Pension benefits, net	Pension benefits, net	(5,093)		867		4,898		(807)		Pension benefits, net	329		8,995		789		9,991

Total other comprehensive income (loss)	Total other comprehensive income (loss)	(41,957)		78,157		46,065		6,672		Total other comprehensive income (loss)	(44,899)		13,497		(118,902)		88,022

Total comprehensive income (loss)	Total comprehensive income (loss)	$	(22,015)	$	93,096	$	113,036	$	64,356	Total comprehensive income (loss)	$	(12,563)	$	30,642	$	(57,961)	$	135,051

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

6

Federal Home Loan Bank of Indianapolis

Statements of Capital

Three Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021

(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		Total Capital
	Shares	Par Value		Unrestricted		Restricted		Total

Balance, March 31, 2022	21,215	$	2,121,541	$	899,750	$	292,924	$	1,192,674	$	59,055	$	3,373,270

Total comprehensive income (loss)				25,869		6,467		32,336		(44,899)		(12,563)

Proceeds from issuance of capital stock	1,293	129,294										129,294









Cash dividends on capital stock (2.47% annualized)				(13,290)		—		(13,290)				(13,290)

Balance, June 30, 2022	22,508	$	2,250,835	$	912,329	$	299,391	$	1,211,720	$	14,156	$	3,476,711


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

Total comprehensive income				13,716		3,429		17,145		13,497		30,642

Proceeds from issuance of capital stock	200	20,005										20,005



Shares reclassified to mandatorily redeemable capital stock, net	(3)	(281)										(281)





Cash dividends on capital stock (2.57% annualized)				(13,989)		—		(13,989)				(13,989)

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

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

7

Federal Home Loan Bank of Indianapolis

Statements of Capital

~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020~~2021

(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



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

Balance, December 31, 2021	22,462	$	2,246,201	$	889,869	$	287,203	$	1,177,072	$	133,058	$	3,556,331

Total comprehensive income (loss)				48,753		12,188		60,941		(118,902)		(57,961)

Proceeds from issuance of capital stock	1,665	166,519										166,519

Redemption/repurchase of capital stock	(1,619)	(161,885)										(161,885)







Cash dividends on capital stock (2.39% annualized)				(26,293)		—		(26,293)				(26,293)

Balance, June 30, 2022	22,508	$	2,250,835	$	912,329	$	299,391	$	1,211,720	$	14,156	$	3,476,711

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

Total comprehensive income				37,623		9,406		47,029		88,022		135,051

Proceeds from issuance of capital stock	266	26,627										26,627



Shares reclassified to mandatorily redeemable capital stock, net	(3)	(281)										(281)



Cash dividends on capital stock (2.53% annualized)				(27,946)		—		(27,946)				(27,946)

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

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)

Nine Months Ended September 30,
2021 2020
Operating Activities:
Net income $ 66,971 $ 57,684
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation 61,766 53,918
Changes in net derivative and hedging activities 87,188 (470,940)
Provision for credit losses 28 172
Net losses (gains) on trading securities 35,566 (1,975)
Net realized gains from sale of available-for-sale securities — (504)
Changes in:
Accrued interest receivable 26,750 26,910
Other assets (17,725) (1,670)
Accrued interest payable 461 (114,660)
Other liabilities 19,697 44,253
Total adjustments, net 213,731 (464,496)
Net cash provided by (used in) operating activities 280,702 (406,812)
Investing Activities:
Net change in:
Interest-bearing deposits 492,551 (34,408)
Securities purchased under agreements to resell (1,700,000) (3,000,000)
Federal funds sold (860,000) 1,598,000
Trading securities:
Proceeds from maturities 2,000,000 3,160,000
Proceeds from sales 50,006 —
Purchases (1,849,689) (3,200,361)
Available-for-sale securities:
Proceeds from maturities 727,875 93,550
Proceeds from sales — 96,779
Purchases (140,093) (1,564,036)
Held-to-maturity securities:
Proceeds from maturities 770,773 1,128,834
Purchases (742,571) (125,019)
Advances:
Principal repayments 193,228,613 199,835,256
Disbursements to members (189,160,818) (198,028,162)
Mortgage loans held for portfolio:
Principal collections 2,348,187 3,175,183
Purchases from members (1,577,038) (1,509,048)
Purchases of premises, software, and equipment (3,375) (3,889)
Loans to other Federal Home Loan Banks:
Principal repayments 30,000 80,000
Disbursements (30,000) (80,000)
Net cash provided by investing activities 3,584,421 1,622,679

~~(continued)~~



	Six Months Ended June 30,
	2022		2021
Operating Activities:
Net income	$	60,941	$	47,029
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation	50,152		42,309
Changes in net derivative and hedging activities	751,617		28,776

Provision for (reversal of) credit losses	(60)		44
Net losses on trading securities	38,415		27,359


Changes in:
Accrued interest receivable	(17,495)		11,601
Other assets	5,955		(12,783)
Accrued interest payable	37,075		8,349
Other liabilities	8,559		1,182
Total adjustments, net	874,218		106,837

Net cash provided by operating activities	935,159		153,866

Investing Activities:
Net change in:
Interest-bearing deposits	(1,219,223)		452,160
Securities purchased under agreements to resell	(1,000,000)		(500,000)
Federal funds sold	84,000		(1,590,000)
Trading securities:
Proceeds from maturities	1,600,000		850,000
Proceeds from sales	200,000		50,006
Purchases	(1,930,219)		(1,649,933)
Available-for-sale securities:
Proceeds from maturities and paydowns	503,910		643,500

Purchases	(2,362,677)		(60,290)
Held-to-maturity securities:
Proceeds from maturities and paydowns	630,398		538,805

Purchases	(51,312)		(584,749)
Advances:
Principal repayments	71,353,438		139,543,669
Disbursements to members	(74,888,350)		(136,081,315)
Mortgage loans held for portfolio:
Principal collections	600,449		1,776,690
Purchases from members	(771,838)		(1,145,532)
Purchases of premises, software, and equipment	(1,989)		(2,520)
Loans to other Federal Home Loan Banks:
Principal repayments	520,000		20,000
Disbursements	(520,000)		(20,000)

Net cash provided by (used in) investing activities	(7,253,413)		2,240,491
(continued)

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

9

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows, continued

(Unaudited, $ amounts in thousands)


		Nine Months Ended September 30,					Six Months Ended June 30,
		2021		2020			2022		2021
Financing Activities:	Financing Activities:					Financing Activities:
Changes in deposits		360,803		338,552
Net payments on derivative contracts with financing elements		(11,629)		(2,307)
Net change in deposits						Net change in deposits	(320,726)		222,576
Net proceeds (payments) on derivative contracts with financing elements						Net proceeds (payments) on derivative contracts with financing elements	(1,118)		(7,551)
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	183,417,467		238,137,022		Discount notes	369,385,849		85,205,681
Bonds	Bonds	33,114,188		37,468,384		Bonds	10,677,690		22,129,860
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	(187,316,013)		(236,329,608)		Discount notes	(361,928,027)		(87,373,330)
Bonds	Bonds	(33,075,310)		(41,057,605)		Bonds	(12,277,200)		(23,000,650)

Proceeds from issuance of capital stock	Proceeds from issuance of capital stock	44,929		264,022		Proceeds from issuance of capital stock	166,519		26,627

Payments for redemption/repurchase of capital stock	Payments for redemption/repurchase of capital stock	(11,277)		(585)		Payments for redemption/repurchase of capital stock	(161,885)		—
Payments for redemption/repurchase of mandatorily redeemable capital stock	Payments for redemption/repurchase of mandatorily redeemable capital stock	(205,056)		(74,294)		Payments for redemption/repurchase of mandatorily redeemable capital stock	(4,839)		(18,156)
Partial recovery of prior capital distribution to Financing Corporation		—		10,574

Dividend payments on capital stock	Dividend payments on capital stock	(41,025)		(59,721)		Dividend payments on capital stock	(26,293)		(27,946)

Net cash used in financing activities		(3,722,923)		(1,305,566)
Net cash provided by (used in) financing activities						Net cash provided by (used in) financing activities	5,509,970		(2,842,889)

Net increase (decrease) in cash and due from banks	Net increase (decrease) in cash and due from banks	142,200		(89,699)		Net increase (decrease) in cash and due from banks	(808,284)		(448,532)

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	867,880		1,811,544

Cash and due from banks at end of period	Cash and due from banks at end of period	$	1,953,744	$	130,595	Cash and due from banks at end of period	$	59,596	$	1,363,012

Supplemental Disclosures:	Supplemental Disclosures:					Supplemental Disclosures:
Cash activities:	Cash activities:					Cash activities:
Interest payments	Interest payments	$	220,573	$	716,017	Interest payments	$	99,903	$	139,245
Affordable Housing Program payments	Affordable Housing Program payments	11,638		10,776		Affordable Housing Program payments	8,924		9,088
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	122,924		65,000		Purchases of investment securities, traded but not yet settled	220,413		—
Capitalized interest on certain held-to-maturity securities	Capitalized interest on certain held-to-maturity securities	841		1,349		Capitalized interest on certain held-to-maturity securities	855		313
Par value of shares reclassified to mandatorily redeemable capital stock, net	Par value of shares reclassified to mandatorily redeemable capital stock, net	4,730		13,843		Par value of shares reclassified to mandatorily redeemable capital stock, net	—		281

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

10

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 "Bank", "we," "us," ~~"our,"~~ and ~~"Bank"~~"our" 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~~2021 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~~2021 Form 10-K.

The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of ~~our~~the Bank's 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~~values of financial instruments.

Reclassifications.We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows.

Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our ~~2020~~2021 Form 10-K in Note 1 - Summary of Significant Accounting Policies. There have been no significant changes to these policies through ~~September~~June 30, ~~2021.~~2022.

Note 2 - Recently Adopted and Issued Accounting Guidance

Recently 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~~

Fair-Value Hedging - Portfolio Layer Method (ASU 2022-01). ~~2021. Further,~~On March 28, 2022, the FASB ~~has not~~ issued ~~any new and applicable accounting~~ guidance ~~since~~expanding the ~~filing~~existing last-of-layer fair-value hedging method by allowing entities to hedge multiple layers of ~~our 2020 Form 10-K. See~~ ~~Note 2 - Recently Adopted and Issued Accounting Guidancein our 2020 Form 10-K for additional detail.~~a single closed portfolio of prepayable financial assets rather than a single (or last) layer only. To reflect the change, the last-of-layer method was renamed the portfolio layer method.

The guidance is effective for the interim and annual periods beginning on January 1, 2023, although early adoption is permitted. We are in process of evaluating the potentially favorable impact of this guidance on our future financial condition, results of operations, and cash flows.

Troubled Debt Restructurings and Vintage Disclosures (ASU 2022-02).On March 31, 2022, the FASB issued guidance eliminating the accounting guidance for TDRs by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings made to borrowers experiencing financial difficulty. Additionally, the guidance requires disclosure of current-period gross write-offs by year of origination.

The guidance is effective for the interim and annual periods beginning on January 1, 2023, although early adoption is permitted. The transition method related to the recognition and measurement of TDRs can be applied using a modified retrospective transition method, while all other amendments are to be applied prospectively. We are in process of evaluating this guidance and its potential effect on our financial statement disclosures.

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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 ~~September~~June 30, ~~2021~~ 2022 and December 31, ~~2020, none~~2021, all of these investments were with counterparties rated ~~below~~ single-A ~~and none were with unrated counterparties. Th~~eor above, based on the lowest long-term credit rating for each counterparty. The NRSRO ratings may differ from our internal ratings of the investments, if applicable.

~~Table~~Allowance for Credit Losses.At June 30, 2022 and December 31, 2021, based on our evaluation, we did not record an allowance for credit losses on any of ~~Contents~~

our short-term investments.

~~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	September 30, 2021		December 31, 2020		Security Type	June 30, 2022		December 31, 2021
Non-mortgage-backed securities:

U.S. Treasury obligations	U.S. Treasury obligations	$	4,858,818	$	5,094,703	U.S. Treasury obligations	$	4,039,407	$	3,946,799

Total trading securities at estimated fair value	Total trading securities at estimated fair value	$	4,858,818	$	5,094,703	Total trading securities at estimated fair value	$	4,039,407	$	3,946,799

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 September 30, Nine Months Ended September 30,
2021 2020 2021 2020
Net unrealized gains (losses) on trading securities held at period end $ 6,400 $ (27,983) $ (22,506) $ (19,333)
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 $ (8,207) $ (19,331) $ (35,566) $ 1,975


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Net gains (losses) on trading securities held at period end	$	(13,740)	$	(12,637)	$	(34,831)	$	(23,275)
Net gains (losses) on trading securities that matured/sold during the period	(480)		(1,094)		(3,584)		(4,084)
Net gains (losses) on trading securities	$	(14,220)	$	(13,731)	$	(38,415)	$	(27,359)

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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
September 30, 2021		Cost (1)		Gains		Losses		Fair Value
June 30, 2022										June 30, 2022	Cost (1)		Gains		Losses		Fair Value
U.S. Treasury obligations										U.S. Treasury obligations	$	2,110,103	$	—	$	(4,225)	$	2,105,878
GSE and TVA debentures	GSE and TVA debentures	$	2,683,050	$	45,617	$	—	$	2,728,667	GSE and TVA debentures	2,061,550		24,514		(1)		2,086,063
GSE MBS		6,458,441		133,300		(829)		6,590,912
GSE multifamily MBS										GSE multifamily MBS	5,992,668		35,467		(23,504)		6,004,631
Total AFS securities	Total AFS securities	$	9,141,491	$	178,917	$	(829)	$	9,319,579	Total AFS securities	$	10,164,321	$	59,981	$	(27,730)	$	10,196,572

December 31, 2020
December 31, 2021										December 31, 2021

GSE and TVA debentures	GSE and TVA debentures	$	3,462,885	$	40,252	$	—	$	3,503,137	GSE and TVA debentures	$	2,651,571	$	45,557	$	(12)	$	2,697,116
GSE MBS		6,545,093		98,263		(1,594)		6,641,762
GSE multifamily MBS										GSE multifamily MBS	6,356,422		109,956		(3,559)		6,462,819
Total AFS securities	Total AFS securities	$	10,007,978	$	138,515	$	(1,594)	$	10,144,899	Total AFS securities	$	9,007,993	$	155,513	$	(3,571)	$	9,159,935

(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~~Includes at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020 totaled $15,352~~2021 unamortized discounts totaling $150,580 and ~~$16,300,~~unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 totaled ~~$287,859~~losses of $576,995 and ~~$627,619,~~gains of $206,199, respectively. Excludes accrued interest receivable at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 of ~~$26,112~~$35,316 and ~~$34,616,~~$32,127, respectively.

~~Table of Contents~~

~~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.

Less than 12 months 12 months or More Total
Estimated Unrealized Estimated Unrealized Estimated Unrealized
September 30, 2021 Fair Value Losses Fair Value Losses Fair Value Losses
GSE MBS $ 174,857 $ (829) $ — $ — $ 174,857 $ (829)
Total impaired AFS securities $ 174,857 $ (829) $ — $ — $ 174,857 $ (829)
December 31, 2020
GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594)
Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594)


	Less than 12 months				12 months or More				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
June 30, 2022	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
U.S. Treasury obligations	$	2,105,878	$	(4,225)	$	—	$	—	$	2,105,878	$	(4,225)
GSE and TVA debentures	15,000		(1)		—		—		15,000		(1)
GSE multifamily MBS	2,496,226		(21,280)		105,536		(2,224)		2,601,762		(23,504)
Total impaired AFS securities	$	4,617,104	$	(25,506)	$	105,536	$	(2,224)	$	4,722,640	$	(27,730)

December 31, 2021

GSE and TVA debentures	$	250,145	$	(12)	$	—	$	—	$	250,145	$	(12)
GSE multifamily MBS	384,015		(3,559)		—		—		384,015		(3,559)
Total impaired AFS securities	$	634,160	$	(3,571)	$	—	$	—	$	634,160	$	(3,571)

~~Realized Gains and Losses.~~

~~There were no sales~~Table 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.Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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.

September 30, 2021 December 31, 2020
Amortized Estimated Amortized Estimated
Year of Contractual Maturity Cost Fair Value Cost Fair Value
Due in 1 year or less $ 584,204 $ 585,335 $ 705,134 $ 705,442
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 687,559 706,266 1,542,713 1,572,508
Total non-MBS 2,683,050 2,728,667 3,462,885 3,503,137
Total MBS 6,458,441 6,590,912 6,545,093 6,641,762
Total AFS securities $ 9,141,491 $ 9,319,579 $ 10,007,978 $ 10,144,899



	June 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value
Due in 1 year or less	$	250,957	$	251,579	$	581,801	$	582,240
Due after 1 through 5 years	1,566,089		1,586,412		1,494,109		1,523,600
Due after 5 through 10 years	2,354,607		2,353,950		575,661		591,276

Total non-MBS	4,171,653		4,191,941		2,651,571		2,697,116
Total MBS	5,992,668		6,004,631		6,356,422		6,462,819
Total AFS securities	$	10,164,321	$	10,196,572	$	9,007,993	$	9,159,935

~~Table of Contents~~

~~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
Unrecognized Unrecognized
Amortized Holding Holding Estimated
September 30, 2021
Cost (1)
Gains (2)
Losses (2)
Fair Value
MBS:
Other U.S. obligations - guaranteed MBS $ 2,737,308 $ 8,716 $ (6,875) $ 2,739,149
GSE MBS 1,759,287 16,904 (4,981) 1,771,210
Total HTM securities $ 4,496,595 $ 25,620 $ (11,856) $ 4,510,359
December 31, 2020
MBS:
Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007
GSE MBS 2,078,625 21,640 (1,476) 2,098,789
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 September 30, 2021 and December 31, 2020 to~~taled $28,418 and $7,101, respectively. Excludes accrued interest receivable at September 30, 2021 and December 31, 2020 of $2,061 and $2,689, respectively.~~

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

~~Contractual Maturity.~~ HTM securities are not presented by contractual maturity because 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.~~Losses. At ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021, 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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, certain of our AFS securities were in an unrealized loss position; however, we did not 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~~maturity.

Held-to-Maturity Securities.

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


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

MBS:
Other U.S. obligations - guaranteed single-family	$	2,521,513	$	152	$	(35,792)	$	2,485,873
GSE single-family	722,385		1,697		(20,401)		703,681
GSE multifamily	633,401		5		(1,018)		632,388
Total HTM securities	$	3,877,299	$	1,854	$	(57,211)	$	3,821,942

December 31, 2021

MBS:
Other U.S. obligations - guaranteed single-family	$	2,626,143	$	7,384	$	(9,238)	$	2,624,289
GSE single-family	815,924		14,424		(4,773)		825,575
GSE multifamily	871,706		779		(192)		872,293
Total HTM securities	$	4,313,773	$	22,587	$	(14,203)	$	4,322,157

(1) Carrying value equals amortized cost, which includes adjustments made to the ~~following factors: (i) all~~cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at June 30, 2022 and December 31, 2021 totaled $29,144 and $28,440, respectively.

Allowance for Credit Losses. At June 30, 2022 and December 31, 2021, 100% of our HTM securities were ~~highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults~~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, (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.if applicable.

~~HTM Securities.~~ At ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, based on our evaluation, we did not 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.

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.


		September 30, 2021			December 31, 2020				June 30, 2022			December 31, 2021
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	$	—	—	Overdrawn demand and overnight deposit accounts	$	98,456	3.90	$	—	—
Due in 1 year or less	Due in 1 year or less	6,865,431		0.60	10,115,576		0.51	Due in 1 year or less	13,371,345		1.44	7,863,703		0.59
Due after 1 year through 2 years		2,340,823		1.89	2,149,839		1.57
Due after 2 years through 3 years		3,770,555		1.50	2,760,624		2.02
Due after 3 years through 4 years		2,736,669		1.32	3,725,103		1.36
Due after 4 years through 5 years		1,848,753		1.33	3,020,039		1.29
Due after 1 through 2 years								Due after 1 through 2 years	3,736,129		2.21	2,684,996		2.02
Due after 2 through 3 years								Due after 2 through 3 years	2,384,761		1.70	3,536,759		1.35
Due after 3 through 4 years								Due after 3 through 4 years	2,563,139		1.82	2,931,260		1.29
Due after 4 through 5 years								Due after 4 through 5 years	1,822,975		1.79	1,908,432		1.34
Thereafter	Thereafter	9,030,857		0.89	8,919,678		1.05	Thereafter	6,867,716		1.52	8,384,458		0.82
Total advances, par value	Total advances, par value	26,623,065		1.07	30,690,859		1.06	Total advances, par value	30,844,521		1.63	27,309,608		1.03

Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	325,320			645,946			Fair-value hedging basis adjustments, net	(344,955)			179,115
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	9,654			10,681			Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	7,896			9,112
Total advances (1)	Total advances (1)	$	26,958,039		$	31,347,486		Total advances (1)	$	30,507,462		$	27,497,835

(1) Carrying value equals amortized cost, which excludes accrued interest receivable at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 of ~~$12,422~~$18,542 and ~~$14,961,~~$13,075, 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
		September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020			June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Overdrawn demand and overnight deposit accounts	Overdrawn demand and overnight deposit accounts	$	29,977	$	—	$	29,977	$	—	Overdrawn demand and overnight deposit accounts	$	98,456	$	—	$	98,456	$	—
Due in 1 year or less	Due in 1 year or less	11,806,255		15,296,034		12,302,331		14,645,076		Due in 1 year or less	18,134,158		12,547,866		16,934,750		13,452,703
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		2,358,055		2,440,024		4,094,555		3,160,729
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		1,335,378		2,076,839		1,598,753		2,585,439
Due after 1 through 2 years										Due after 1 through 2 years	2,494,629		2,578,396		4,138,129		3,090,101
Due after 2 through 3 years										Due after 2 through 3 years	2,011,211		2,127,759		2,770,661		3,636,259
Due after 3 through 4 years										Due after 3 through 4 years	1,579,789		1,997,060		2,563,139		3,007,160
Due after 4 through 5 years										Due after 4 through 5 years	1,460,800		1,530,307		1,509,875		1,485,332
Thereafter	Thereafter	7,102,999		6,834,811		2,933,352		3,367,673		Thereafter	5,065,478		6,528,220		2,829,511		2,638,053
Total advances, par value	Total advances, par value	$	26,623,065	$	30,690,859	$	26,623,065	$	30,690,859	Total advances, par value	$	30,844,521	$	27,309,608	$	30,844,521	$	27,309,608

Advance Concentrations. At ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, our top five borrowers held ~~40%~~47% and ~~44%~~43%, respectively, of total advances outstanding at par.

Allowance for Credit ~~Losses on Advances.~~Losses. 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.

Table of Contents

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.~~type.


Term	Term	September 30, 2021		December 31, 2020		Term	June 30, 2022		December 31, 2021
Fixed-rate long-term mortgages	Fixed-rate long-term mortgages	$	6,330,986	$	7,257,237	Fixed-rate long-term mortgages	$	6,633,317	$	6,417,543
Fixed-rate medium-term (1) mortgages	Fixed-rate medium-term (1) mortgages	1,059,771		1,065,329		Fixed-rate medium-term (1) mortgages	931,310		1,016,851
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	7,390,757		8,322,566		Total mortgage loans held for portfolio, UPB	7,564,627		7,434,394
Unamortized premiums	Unamortized premiums	177,749		187,425		Unamortized premiums	175,372		181,172
Unamortized discounts	Unamortized discounts	(2,441)		(1,638)		Unamortized discounts	(5,687)		(2,389)

Hedging basis adjustments, net	Hedging basis adjustments, net	4,722		7,642		Hedging basis adjustments, net	(4,470)		3,157
Total mortgage loans held for portfolio	Total mortgage loans held for portfolio	7,570,787		8,515,995		Total mortgage loans held for portfolio	7,729,842		7,616,334
Allowance for credit losses	Allowance for credit losses	(325)		(350)		Allowance for credit losses	(200)		(200)
Total mortgage loans held for portfolio, net (2)	Total mortgage loans held for portfolio, net (2)	$	7,570,462	$	8,515,645	Total mortgage loans held for portfolio, net (2)	$	7,729,642	$	7,616,134

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

(2) Excludes accrued interest receivable at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 of ~~$27,990~~$29,062 and ~~$34,151,~~$27,977, respectively.

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

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


Type	June 30, 2022		December 31, 2021
Conventional	$	7,404,571	$	7,254,056
Government-guaranteed or -insured	160,056		180,338
Total mortgage loans held for portfolio, UPB	$	7,564,627	$	7,434,394

Credit Quality Indicators for Conventional ~~MPP.~~Mortgage Loans and Other Delinquency Statistics. The ~~following table presents~~tables below present the ~~activity in~~key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the ~~LRA,~~most recent five origination years and (ii) all other prior origination years. Amounts are based on amortized cost, which ~~is reported in other liabilities.~~excludes accrued interest receivable.

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


	Origination Year
Payment Status as of June 30, 2022	Prior to 2018		2018 to 2022		Total
Past due:
30-59 days	$	17,062	$	9,822	$	26,884
60-89 days	2,628		1,055		3,683
90 days or more	14,450		1,630		16,080
Total past due	34,140		12,507		46,647
Total current	2,613,182		4,908,165		7,521,347
Total conventional mortgage loans, amortized cost	$	2,647,322	$	4,920,672	$	7,567,994


	Origination Year
Payment Status as of December 31, 2021	Prior to 2017		2017 to 2021		Total
Past due:
30-59 days	$	16,968	$	12,662	$	29,630
60-89 days	4,175		1,767		5,942
90 days or more	18,599		11,206		29,805
Total past due	39,742		25,635		65,377
Total current	2,447,420		4,921,101		7,368,521
Total conventional mortgage loans, amortized cost	$	2,487,162	$	4,946,736	$	7,433,898

Table of Contents

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 are returned to current status upon modification. As of September 30, 2021 and December 31, 2020, we had $29,567, or 0.4%, and $12,309, or 0.2%, respectively, of our total conventional loans outstanding with formal modifications.

~~We hav~~e continued to apply our existing accounting policies for past due, non-accrual, and charge-offs resulting from COVID-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on information from our mortgage servicers, as of September 30, 2021 and December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement, including current loans, totaled $37,558 and $111,516, respectively, or 0.5% and 1.4%, respectively, of our total conventional loans outstanding. ~~As of 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
Payment Status as of September 30, 2021 Prior to 2017 2017 to 2021 Total
Past due:
30-59 days $ 16,664 $ 10,675 $ 27,339
60-89 days 3,041 1,740 4,781
90 days or more 23,574 16,127 39,701
Total past due 43,279 28,542 71,821
Total current 2,685,414 4,618,028 7,303,442
Total conventional mortgage loans, amortized cost $ 2,728,693 $ 4,646,570 $ 7,375,263

~~As of September 30, 2021, the UPB of conventional loans in an informal forbearance arrangement included amounts~~ ~~30-59 days past~~ ~~due of $3,753, 60-89 days past due of $3,036, and 90 days or more past due of $27,945, for total past due of $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

~~As of December 31, 2020, 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.~~

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

~~(Unaudited, $ amounts in thousands unless otherwise indicated)~~


Other Delinquency Statistics as of September 30, 2021		Conventional			Government			Total
Other Delinquency Statistics as of June 30, 2022											Other Delinquency Statistics as of June 30, 2022	Conventional			Government			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	2,121		$	—		$	2,121		In process of foreclosure (1)	$	3,368		$	—		$	3,368
Serious delinquency rate (2)	Serious delinquency rate (2)	0.54		%	1.44		%	0.56		%	Serious delinquency rate (2)	0.21		%	1.05		%	0.23		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	18,979		$	2,094		$	21,073		Past due 90 days or more still accruing interest (3)	$	11,298		$	1,483		$	12,781
On non-accrual status (4)	On non-accrual status (4)	$	32,581		$	—		$	32,581		On non-accrual status (4)	$	10,788		$	—		$	10,788

Other Delinquency Statistics as of December 31, 2020
Other Delinquency Statistics as of December 31, 2021											Other Delinquency Statistics as of December 31, 2021
In process of foreclosure (1)	In process of foreclosure (1)	$	2,689		$	—		$	2,689		In process of foreclosure (1)	$	1,999		$	—		$	1,999
Serious delinquency rate (2)	Serious delinquency rate (2)	1.14		%	3.36		%	1.21		%	Serious delinquency rate (2)	0.40		%	0.86		%	0.41		%
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)	$	15,725		$	1,364		$	17,089
On non-accrual status (4)	On non-accrual status (4)	$	87,763		$	—		$	87,763		On non-accrual status (4)	$	23,487		$	—		$	23,487

(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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020, $32,526~~2021, $3,721 and ~~$87,708,~~$11,701, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a ~~specifically assigned~~related allowance for credit losses ~~and $18,166 and $59,306, respectively, of UPB of~~because these ~~conventional mortgage~~ loans were ~~in informal forbearance related~~either previously charged off to the ~~COVID-19 pandemic.~~expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans.

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

~~Table of Contents~~

~~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 June 30,				Six Months Ended June 30,
		Three Months Ended September 30,				Nine Months Ended September 30,
Rollforward of Allowance	Rollforward of Allowance	2021		2020		2021		2020		Rollforward of Allowance	2022		2021		2022		2021
Balance, beginning of period	Balance, beginning of period	$	325	$	325	$	350	$	300	Balance, beginning of period	$	200	$	350	$	200	$	350
Charge-offs		5		(50)		(87)		(93)
Charge-offs (1)										Charge-offs (1)	7		—		7		(92)
Recoveries	Recoveries	11		1		34		21		Recoveries	31		19		53		23
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	(16)		124		28		172		Provision for (reversal of) credit losses	(38)		(44)		(60)		44
Balance, end of period	Balance, end of period	$	325	$	400	$	325	$	400	Balance, end of period	$	200	$	325	$	200	$	325

~~Government-Guaranteed or -Insured Mortgage Loans.~~(1) ~~Based~~Includes receipts of LRA funds on ~~the U.S. government guarantee or insurance on these~~certain loans ~~our assessment~~that are recorded as reversals of our servicers, and the collateral backing the loans, we did not record an allowance for credit losses for government-guaranteed or -insured mortgage loans at September 30, 2021 or December 31, 2020. Furthermore, 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.previous charge-offs.

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 allThere were no 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 ~~September~~June 30, 2021 was $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 September 30, 2021.2022.

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 ~~September~~June 30, ~~2021,~~2022, we were not required by our clearing agents to post any ~~additional margin.~~margin in excess of the Clearinghouses' requirements.

1917

Table of Contents

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					June 30, 2022						December 31, 2021
		Notional		Derivative		Derivative			Notional		Derivative		Derivative		Notional		Derivative		Derivative
September 30, 2021		Amount		Assets		Liabilities
									Amount		Assets		Liabilities		Amount		Assets		Liabilities
Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:							Derivatives designated as hedging instruments:
Interest-rate swaps	Interest-rate swaps	$	42,839,114	$	78,296	$	380,416	Interest-rate swaps	$	55,010,636	$	493,855	$	1,555,740	$	46,395,451	$	105,446	$	413,324
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	9,327,000		4,321		161		Interest-rate swaps	9,270,000		1,987		1,363		8,595,000		357		148

Interest-rate caps/floors	Interest-rate caps/floors	625,500		644		—		Interest-rate caps/floors	611,000		1,208		—		625,500		1,077		—
Interest-rate forwards	Interest-rate forwards	141,100		336		47		Interest-rate forwards	32,200		352		66		98,200		1		199
MDCs	MDCs	139,076		81		257		MDCs	31,325		108		45		96,424		45		105
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	10,232,676		5,382		465		Total derivatives not designated as hedging instruments	9,944,525		3,655		1,474		9,415,124		1,480		452
Total derivatives before adjustments	Total derivatives before adjustments	$	53,071,790	83,678		380,881		Total derivatives before adjustments	$	64,955,161	497,510		1,557,214		$	55,810,575	106,926		413,776
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			147,602		(362,339)		Netting adjustments and cash collateral (1)			(171,662)		(1,543,645)				113,276		(401,591)
Total derivatives, net				$	231,280	$	18,542

December 31, 2020
Derivatives designated as hedging instruments:
Interest-rate swaps		$	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:
Economic hedges;
Interest-rate swaps		9,177,000		5,404		181

Interest-rate caps/floors		625,500		1,113		—
Interest-rate forwards		180,900		—		1,486
MDCs		180,152		1,022		—
Total derivatives not designated as hedging instruments		10,163,552		7,539		1,667
Total derivatives before adjustments		$	50,391,518	20,557		762,997
Netting adjustments and cash collateral (1)				262,525		(740,018)
Total derivatives, net				$	283,082	$	22,979
Total derivatives, net, at estimated fair value								Total derivatives, net, at estimated fair value			$	325,848	$	13,569			$	220,202	$	12,185

(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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, including accrued interest, totaled ~~$510,835~~$1,511,166 and ~~$1,003,437,~~$515,761, respectively. Cash collateral received from counterparties and held at both ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, including accrued interest, totaled ~~$894.~~$139,183 and $894, respectively. At ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, no securities were pledged as collateral.

Table of Contents

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.


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
		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	$	78,602	$	376,138	$	13,793	$	755,118	Uncleared	$	493,033	$	1,482,271	$	105,667	$	411,886
Cleared	Cleared	4,659		4,439		5,742		6,393		Cleared	4,017		74,832		1,213		1,586
Total gross recognized amount	Total gross recognized amount	83,261		380,577		19,535		761,511		Total gross recognized amount	497,050		1,557,103		106,880		413,472
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	(78,283)		(357,900)		(13,793)		(733,625)		Uncleared	(408,142)		(1,468,813)		(105,417)		(400,005)
Cleared	Cleared	225,885		(4,439)		276,318		(6,393)		Cleared	236,480		(74,832)		218,693		(1,586)
Total gross amounts of netting adjustments and cash collateral	Total gross amounts of netting adjustments and cash collateral	147,602		(362,339)		262,525		(740,018)		Total gross amounts of netting adjustments and cash collateral	(171,662)		(1,543,645)		113,276		(401,591)
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	319		18,238		—		21,493		Uncleared	84,891		13,458		250		11,881
Cleared	Cleared	230,544		—		282,060		—		Cleared	240,497		—		219,906		—
Total net amounts after netting adjustments and cash collateral	Total net amounts after netting adjustments and cash collateral	230,863		18,238		282,060		21,493		Total net amounts after netting adjustments and cash collateral	325,388		13,458		220,156		11,881
Derivative instruments not meeting netting requirements (1)	Derivative instruments not meeting netting requirements (1)	417		304		1,022		1,486		Derivative instruments not meeting netting requirements (1)	460		111		46		304
Total derivatives, at estimated fair value		$	231,280	$	18,542	$	283,082	$	22,979
Total derivatives, net, at estimated fair value										Total derivatives, net, at estimated fair value	$	325,848	$	13,569	$	220,202	$	12,185

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

The following table presents the impact of qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items.



Three Months Ended June 30, 2022	Advances		AFS Securities		CO Bonds		Total
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(18,870)	$	(11,663)	$	31,275	$	742


Net gains (losses) on derivatives (2)	141,937		106,280		(390,352)		(142,135)



Net gains (losses) on hedged items (3)	(147,671)		(122,790)		387,546		117,085
Net impact on net interest income	$	(24,604)	$	(28,173)	$	28,469	$	(24,308)

Total interest income (expense) recorded in the Statement of Income (4)	$	67,562	$	38,563	$	(99,192)	$	6,933


Three Months Ended June 30, 2021
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(46,173)	$	(28,327)	$	22,011	$	(52,489)


Net gains (losses) on derivatives (2)	(12,098)		(87,731)		37,082		(62,747)



Net gains (losses) on hedged items (3)	10,494		81,883		(39,194)		53,183
Net impact on net interest income	$	(47,777)	$	(34,175)	$	19,899	$	(62,053)

Total interest income (expense) recorded in the Statement of Income (4)	$	28,175	$	21,184	$	(52,674)	$	(3,315)

2119

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


Six Months Ended June 30, 2022	Advances		AFS Securities		CO Bonds		Total
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(59,024)	$	(34,128)	$	82,664	$	(10,488)


Net gains (losses) on derivatives (2)	498,571		284,010		(1,290,066)		(507,485)



Net gains (losses) on hedged items (3)	(500,575)		(314,279)		1,282,605		467,751
Net impact on net interest income	$	(61,028)	$	(64,397)	$	75,203	$	(50,222)

Total interest income (expense) recorded in the Statement of Income (4)	$	102,603	$	61,008	$	(150,891)	$	12,720

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)

~~Table of Contents~~

~~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)

Nine Months Ended September 30, 2020
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ 530,727 $ 589,234 $ (26,013) $ 1,093,948
Derivatives (533,327) (614,242) 28,821 (1,118,748)
Net changes in estimated fair value before price alignment interest (2,600) (25,008) 2,808 (24,800)
Price alignment interest (1)
732 474 (159) 1,047
Net interest settlements on derivatives (2)
(83,275) (72,815) 43,844 (112,246)
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 (85,156) (95,447) 48,577 (132,026)
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)
$ (85,156) $ (95,447) $ 48,541 $ (132,062)


Six Months Ended June 30, 2021
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(91,892)	$	(60,780)	$	34,237	$	(118,435)


Net gains (losses) on derivatives (2)	234,784		234,210		(81,111)		387,883



Net gains (losses) on hedged items (3)	(233,031)		(234,631)		84,221		(383,441)
Net impact on net interest income	$	(90,139)	$	(61,201)	$	37,347	$	(113,993)

Total interest income (expense) recorded in the Statement of Income (4)	$	64,284	$	51,020	$	(106,470)	$	8,834

(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.

(2) Includes for the three months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $(141,004) and $(62,754), respectively, and price alignment interest of $(1,131) and $7, respectively. Includes for the six months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $(506,306) and $387,834, respectively, and price alignment interest of $(1,179) and $49, respectively.

(3) ~~Excludes~~Includes for the three months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $134,151 and $57,142, respectively, and amortization of net losses on ineffective and discontinued fair-value hedging relationships of $(17,066) and $(3,959), respectively. Includes for the six months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $501,499 and $(374,858), respectively, and amortization of net losses on ineffective and discontinued fair-value hedging relationships of $(33,748) and $(8,583), respectively.

(4) For advances, AFS securities and CO bonds only.

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


	Three Months Ended June 30,				Six Months Ended June 30,
Type of Hedge	2022		2021		2022		2021
Net gains (losses) on derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps	$	16,413	$	4,083	$	38,463	$	8,194

Interest-rate caps/floors	(42)		(528)		131		(396)
Interest-rate forwards	1,768		(1,344)		7,026		2,812
Net interest settlements (1)	881		(3,285)		(1,137)		(8,238)
MDCs	(1,817)		1,260		(7,286)		(3,024)
Net gains (losses) on derivatives in other income	$	17,203	$	186	$	37,197	$	(652)

(1) Relates to derivatives that are not in qualifying fair-value hedging relationships. The interest income/expense of the ~~respective~~associated hedged items is recorded in net interest income.

2320

Table of Contents

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 September 30, Nine Months Ended September 30,
Type of Hedge 2021 2020 2021 2020
Net gains (losses) on derivatives not designated as hedging instruments:
Economic hedges:
Interest-rate swaps $ 175 $ 11,994 $ 8,369 $ (8,287)
Swaptions — — — (323)
Interest-rate caps/floors (72) (228) (468) 236
Interest-rate forwards (459) (917) 2,353 (11,840)
Net interest settlements (1,333) (11,579) (9,571) (40,491)
MDCs 328 433 (2,696) 8,581
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.


September 30, 2021		Advances		Investments		CO Bonds
June 30, 2022								June 30, 2022	Advances		AFS Securities		CO Bonds
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	16,446,754	$	9,141,491	$	19,794,934	Amortized cost of hedged items (1)	$	16,303,974	$	10,164,322	$	26,730,944

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)	$	324,690	$	(71,459)	$	(100,409)	For active fair-value hedging relationships (2)	$	(345,091)	$	(934,237)	$	(1,530,303)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	630		359,318		—		For discontinued fair-value hedging relationships	136		357,242		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	325,320	$	287,859	$	(100,409)	Total cumulative fair-value hedging basis adjustments on hedged items	$	(344,955)	$	(576,995)	$	(1,530,303)


December 31, 2020
December 31, 2021								December 31, 2021
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)	$	17,374,515	$	9,007,993	$	20,902,714

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)	$	178,543	$	(184,724)	$	(247,699)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	799		125,754		—		For discontinued fair-value hedging relationships	572		390,923		—
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	$	179,115	$	206,199	$	(247,699)

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

(2) Includes effective and ineffective fair-value hedging relationships. 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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 totaled ~~$641.4~~$882.5 billion and ~~$746.8~~$652.9 billion, respectively. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks.

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


Discount Notes	June 30, 2022			December 31, 2021
Book value	$	19,587,260		$	12,116,358
Par value	19,617,332			12,117,846

Weighted average effective interest rate	1.17		%	0.05		%

2421

Table of Contents

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 September 30, 2021 December 31, 2020
Book value $ 12,713,890 $ 16,617,079
Par value 12,715,399 16,620,486
Weighted average effective interest rate 0.05 % 0.12 %

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


		September 30, 2021			December 31, 2020				June 30, 2022			December 31, 2021
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	$	19,458,850	0.27	$	31,126,310	0.29	Due in 1 year or less	$	8,949,535	1.52	$	14,357,350	0.29
Due after 1 year through 2 years		4,130,410		0.96	4,109,700		0.70
Due after 2 years through 3 years		3,001,900		0.68	1,753,010		1.34
Due after 3 years through 4 years		3,730,900		0.73	767,250		1.93
Due after 4 years through 5 years		5,420,250		1.06	837,300		1.13
Due after 1 through 2 years								Due after 1 through 2 years	3,556,625		1.49	2,965,510		1.02
Due after 2 through 3 years								Due after 2 through 3 years	9,827,090		1.09	5,797,550		0.76
Due after 3 through 4 years								Due after 3 through 4 years	4,878,500		1.26	3,947,300		0.83
Due after 4 through 5 years								Due after 4 through 5 years	5,039,820		1.36	6,587,600		1.14
Thereafter	Thereafter	7,514,000		2.13	4,652,000		2.91	Thereafter	8,698,820		2.20	8,894,940		2.09
Total CO bonds, par value	Total CO bonds, par value	43,256,310		0.83	43,245,570		0.70	Total CO bonds, par value	40,950,390		1.51	42,550,250		0.96
Unamortized premiums	Unamortized premiums	87,809			87,133			Unamortized premiums	60,418			77,035
Unamortized discounts	Unamortized discounts	(11,725)			(12,703)			Unamortized discounts	(10,819)			(11,268)
Unamortized concessions	Unamortized concessions	(6,599)			(8,659)			Unamortized concessions	(7,321)			(6,746)
Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	(100,409)			21,605			Fair-value hedging basis adjustments, net	(1,530,303)			(247,699)
Total CO bonds	Total CO bonds	$	43,225,386		$	43,332,946		Total CO bonds	$	39,462,365		$	42,361,572

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	September 30, 2021		December 31, 2020		Redemption Feature	June 30, 2022		December 31, 2021
Non-callable / non-putable	Non-callable / non-putable	$	26,902,810	$	36,809,070	Non-callable / non-putable	$	11,740,890	$	20,346,750
Callable	Callable	16,353,500		6,436,500		Callable	29,209,500		22,203,500
Total CO bonds, par value	Total CO bonds, par value	$	43,256,310	$	43,245,570	Total CO bonds, par value	$	40,950,390	$	42,550,250


Year of Contractual Maturity or Next Call Date	June 30, 2022		December 31, 2021
Due in 1 year or less	$	35,829,035	$	36,028,850
Due after 1 through 2 years	1,374,625		3,122,510
Due after 2 through 3 years	997,090		586,550
Due after 3 through 4 years	745,500		577,300
Due after 4 through 5 years	248,320		415,100
Thereafter	1,755,820		1,819,940
Total CO bonds, par value	$	40,950,390	$	42,550,250

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


Interest-Rate Payment Type	June 30, 2022		December 31, 2021
Fixed-rate	$	34,548,390	$	36,717,750
Step-up	2,233,500		898,500
Simple variable-rate	4,168,500		4,934,000



Total CO bonds, par value	$	40,950,390	$	42,550,250

2522

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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 September 30, 2021 December 31, 2020
Fixed-rate $ 33,086,810 $ 24,750,570
Step-up 628,500 15,000
Simple variable-rate 9,541,000 18,480,000
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 September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
AHP Activity	AHP Activity	2021		2020		2021		2020		AHP Activity	2022		2021		2022		2021
Liability at beginning of period	Liability at beginning of period	$	30,765	$	36,661	$	34,402	$	38,084	Liability at beginning of period	$	31,937	$	35,690	$	31,049	$	34,402
Assessment (expense)	Assessment (expense)	2,250		1,886		7,702		7,273		Assessment (expense)	3,623		2,008		6,828		5,451
Subsidy usage, net (1)	Subsidy usage, net (1)	(2,549)		(3,966)		(11,638)		(10,776)		Subsidy usage, net (1)	(6,607)		(6,933)		(8,924)		(9,088)
Liability at end of period	Liability at end of period	$	30,466	$	34,581	$	30,466	$	34,581	Liability at end of period	$	28,953	$	30,765	$	28,953	$	30,765

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

Note 9 - Capital

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


Capital stock outstanding		September 30, 2021		December 31, 2020
Capital Stock Outstanding						Capital Stock Outstanding	June 30, 2022		December 31, 2021
Class B-1	Class B-1	$	968,869	$	797,196	Class B-1	$	765,075	$	931,517
Class B-2	Class B-2	1,267,623		1,410,374		Class B-2	1,485,760		1,314,684

Total Class B	Total Class B	$	2,236,492	$	2,207,570	Total Class B	$	2,250,835	$	2,246,201

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


		Three Months Ended September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
MRCS Activity	MRCS Activity	2021		2020		2021		2020		MRCS Activity	2022		2021		2022		2021
Liability at beginning of period	Liability at beginning of period	$	232,893	$	299,704	$	250,768	$	322,902	Liability at beginning of period	$	45,591	$	232,695	$	50,422	$	250,768
Reclassification from capital stock	Reclassification from capital stock	4,449		496		4,730		13,843		Reclassification from capital stock	—		281		—		281

Redemptions/repurchases	Redemptions/repurchases	(186,900)		(37,750)		(205,056)		(74,331)		Redemptions/repurchases	(8)		(83)		(4,839)		(18,156)
Accrued distributions		—		4		—		40

Liability at end of period	Liability at end of period	$	50,442	$	262,454	$	50,442	$	262,454	Liability at end of period	$	45,583	$	232,893	$	45,583	$	232,893

The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the 5-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	June 30, 2022		December 31, 2021
Past contractual redemption date (1)	$	560	$	577
Year 1 (2)	12,298		11,835
Year 2	868		471
Year 3	12,124		9,873
Year 4	16,059		23,218
Year 5	3,674		4,448

Total MRCS	$	45,583	$	50,422

(1) Balance represents Class B stock that will not be redeemed until the associated credit products and other obligations are no longer outstanding.

(2) Balance at June 30, 2022 and December 31, 2021 includes $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.

2623

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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 September 30, 2021 December 31, 2020
Year 1 (1)(2)
$ 12,431 $ 9,274
Year 2 471 —
Year 3 9,873 26,723
Year 4 4,270 150,957
Year 5 23,397 32,791
Thereafter (3)
— 31,023
Total MRCS $ 50,442 $ 250,768

~~(1)~~ Balances at September 30, 2021 and December 31, 2020 include $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 September 30, 2021~~ ~~includes~~ ~~$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 which began immediately upon their respective terminations of membership on February 19, 2021. Upon their respective terminations, we repurchased their excess stock totaling $18,063.

~~The following table presents~~ the distributions related to MRCS.


		Three Months Ended September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
MRCS Distributions	MRCS Distributions	2021		2020		2021		2020		MRCS Distributions	2022		2021		2022		2021
Recorded as interest expense	Recorded as interest expense	$	312	$	2,037	$	2,345	$	7,777	Recorded as interest expense	$	269	$	929	$	514	$	2,033
Recorded as distributions from retained earnings	Recorded as distributions from retained earnings	13		4		97		40		Recorded as distributions from retained earnings	—		1		—		84
Total	Total	$	325	$	2,041	$	2,442	$	7,817	Total	$	269	$	930	$	514	$	2,117

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~~2021 Form 10-K. As presented in the following table, we were in compliance with these Finance Agency's capital requirements at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020.~~2021.


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
Regulatory Capital Requirements	Regulatory Capital Requirements	Required		Actual		Required		Actual		Regulatory Capital Requirements	Required		Actual		Required		Actual
Risk-based capital	Risk-based capital	$	973,066	$	3,450,210	$	630,661	$	3,595,668	Risk-based capital	$	1,217,930	$	3,508,138	$	1,091,337	$	3,473,695

Total regulatory capital	Total regulatory capital	$	2,478,416	$	3,450,210	$	2,636,990	$	3,595,668	Total regulatory capital	$	2,570,651	$	3,508,138	$	2,400,184	$	3,473,695
Total regulatory capital-to-assets ratio	Total regulatory capital-to-assets ratio	4.00%		5.57%		4.00%		5.45%		Total regulatory capital-to-assets ratio	4.00%		5.46%		4.00%		5.79%

Leverage capital	Leverage capital	$	3,098,020	$	5,175,315	$	3,296,238	$	5,393,502	Leverage capital	$	3,213,313	$	5,262,207	$	3,000,230	$	5,210,543
Leverage ratio	Leverage ratio	5.00%		8.36%		5.00%		8.18%		Leverage ratio	5.00%		8.19%		5.00%		8.69%

~~Table of Contents~~

~~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, 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



AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI
Balance, March 31, 2022	$	77,479	$	(18,424)	$	59,055

OCI before reclassifications:
Net change in unrealized gains (losses)	(45,228)		—		(45,228)

Reclassifications from OCI to net income:

Pension benefits, net	—		329		329
Total other comprehensive income (loss)	(45,228)		329		(44,899)

Balance, June 30, 2022	$	32,251	$	(18,095)	$	14,156


Balance, March 31, 2021	$	210,450	$	(30,523)	$	179,927

OCI before reclassifications:
Net change in unrealized gains	4,502		—		4,502

Reclassifications from OCI to net income:

Pension benefits, net	—		8,995		8,995
Total other comprehensive income	4,502		8,995		13,497

Balance, June 30, 2021	$	214,952	$	(21,528)	$	193,424

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)



AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI
Balance, December 31, 2021	$	151,942	$	(18,884)	$	133,058

OCI before reclassifications:
Net change in unrealized gains (losses)	(119,691)		—		(119,691)

Reclassifications from OCI to net income:

Pension benefits, net	—		789		789
Total other comprehensive income (loss)	(119,691)		789		(118,902)

Balance, June 30, 2022	$	32,251	$	(18,095)	$	14,156


Balance, December 31, 2020	$	136,921	$	(31,519)	$	105,402

OCI before reclassifications:
Net change in unrealized gains	78,031		—		78,031

Reclassifications from OCI to net income:

Pension benefits, net	—		9,991		9,991
Total other comprehensive income	78,031		9,991		88,022

Balance, June 30, 2021	$	214,952	$	(21,528)	$	193,424

2825

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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 September 30, 2021						Three Months Ended September 30, 2020							Three Months Ended June 30, 2022						Three Months Ended June 30, 2021
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total			Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income	Net interest income	$	49,655	$	8,306	$	57,961	$	65,392	$	(4,673)	$	60,719	Net interest income	$	50,671	$	13,151	$	63,822	$	53,952	$	3,364	$	57,316
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		(16)		(16)		—		124		124		Provision for (reversal of) credit losses	—		(38)		(38)		—		(44)		(44)
Other income (loss)	Other income (loss)	(8,779)		(88)		(8,867)		(16,480)		(397)		(16,877)		Other income (loss)	(1,732)		34		(1,698)		(9,734)		(36)		(9,770)
Other expenses	Other expenses	23,016		3,902		26,918		22,992		3,901		26,893		Other expenses	22,436		3,767		26,203		24,221		4,216		28,437
Income (loss) before assessments	Income (loss) before assessments	17,860		4,332		22,192		25,920		(9,095)		16,825		Income (loss) before assessments	26,503		9,456		35,959		19,997		(844)		19,153
Affordable Housing Program assessments (credits)	Affordable Housing Program assessments (credits)	1,816		434		2,250		2,796		(910)		1,886		Affordable Housing Program assessments (credits)	2,677		946		3,623		2,093		(85)		2,008
Net income (loss)	Net income (loss)	$	16,044	$	3,898	$	19,942	$	23,124	$	(8,185)	$	14,939	Net income (loss)	$	23,826	$	8,510	$	32,336	$	17,904	$	(759)	$	17,145

		Nine Months Ended September 30, 2021						Nine Months Ended September 30, 2020							Six Months Ended June 30, 2022						Six Months Ended June 30, 2021
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total			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	Net interest income	$	103,361	$	25,045	$	128,406	$	128,137	$	3,700	$	131,837
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		28		28		—		172		172		Provision for (reversal of) credit losses	—		(60)		(60)		—		44		44
Other income (loss)	Other income (loss)	(31,388)		(223)		(31,611)		(43,771)		(3,032)		(46,803)		Other income (loss)	(8,942)		(158)		(9,100)		(22,611)		(135)		(22,746)
Other expenses	Other expenses	71,356		12,130		83,486		67,601		11,800		79,401		Other expenses	44,202		7,395		51,597		48,339		8,228		56,567
Income (loss) before assessments	Income (loss) before assessments	75,048		(375)		74,673		66,273		(1,316)		64,957		Income (loss) before assessments	50,217		17,552		67,769		57,187		(4,707)		52,480
Affordable Housing Program assessments (credits)	Affordable Housing Program assessments (credits)	7,739		(37)		7,702		7,405		(132)		7,273		Affordable Housing Program assessments (credits)	5,073		1,755		6,828		5,922		(471)		5,451
Net income (loss)	Net income (loss)	$	67,309	$	(338)	$	66,971	$	58,868	$	(1,184)	$	57,684	Net income (loss)	$	45,144	$	15,797	$	60,941	$	51,265	$	(4,236)	$	47,029

The following table presents our asset balances by operating segment.

By Date Traditional Mortgage Loans Total
September 30, 2021 $ 54,389,932 $ 7,570,462 $ 61,960,394
December 31, 2020 57,409,111 8,515,645 65,924,756


By Date	Traditional		Mortgage Loans		Total
June 30, 2022	$	56,536,621	$	7,729,642	$	64,266,263
December 31, 2021	52,388,469		7,616,134		60,004,603

2926

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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.


		September 30, 2021													June 30, 2022
				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	$	1,953,744	$	1,953,744	$	1,953,744	$	—	$	—	$	—	Cash and due from banks	$	59,596	$	59,596	$	59,596	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,041		100,041		100,000		41		—		—		Interest-bearing deposits	325,041		325,041		325,000		41		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	4,200,000		4,200,000		—		4,200,000		—		—		Securities purchased under agreements to resell	4,500,000		4,500,000		—		4,500,000		—		—
Federal funds sold	Federal funds sold	2,075,000		2,075,000		—		2,075,000		—		—		Federal funds sold	2,496,000		2,496,000		—		2,496,000		—		—
Trading securities	Trading securities	4,858,818		4,858,818		—		4,858,818		—		—		Trading securities	4,039,407		4,039,407		—		4,039,407		—		—
AFS securities	AFS securities	9,319,579		9,319,579		—		9,319,579		—		—		AFS securities	10,196,572		10,196,572		—		10,196,572		—		—
HTM securities	HTM securities	4,496,595		4,510,359		—		4,510,359		—		—		HTM securities	3,877,299		3,821,942		—		3,821,942		—		—
Advances	Advances	26,958,039		26,929,765		—		26,929,765		—		—		Advances	30,507,462		30,354,762		—		30,354,762		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,570,462		7,839,709		—		7,809,902		29,807		—		Mortgage loans held for portfolio, net	7,729,642		7,213,065		—		7,199,864		13,201		—
Accrued interest receivable	Accrued interest receivable	75,813		75,813		—		75,813		—		—		Accrued interest receivable	96,937		96,937		—		96,937		—		—
Derivative assets, net	Derivative assets, net	231,280		231,280		—		83,678		—		147,602		Derivative assets, net	325,848		325,848		—		497,510		—		(171,662)
Grantor trust assets (2)	Grantor trust assets (2)	60,129		60,129		60,129		—		—		—		Grantor trust assets (2)	52,400		52,400		52,400		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,736,009		1,736,009		—		1,736,009		—		—		Deposits	907,525		907,525		—		907,525		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	12,713,890		12,713,966		—		12,713,966		—		—		Discount notes	19,587,260		19,579,547		—		19,579,547		—		—
Bonds	Bonds	43,225,386		43,615,928		—		43,615,928		—		—		Bonds	39,462,365		38,768,013		—		38,768,013		—		—
Accrued interest payable	Accrued interest payable	64,042		64,042		—		64,042		—		—		Accrued interest payable	124,999		124,999		—		124,999		—		—
Derivative liabilities, net	Derivative liabilities, net	18,542		18,542		—		380,881		—		(362,339)		Derivative liabilities, net	13,569		13,569		—		1,557,214		—		(1,543,645)
MRCS	MRCS	50,442		50,442		50,442		—		—		—		MRCS	45,583		45,583		45,583		—		—		—

3027

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


		December 31, 2020													December 31, 2021
				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	$	—	$	—	$	—	Cash and due from banks	$	867,880	$	867,880	$	867,880	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,026		100,026		100,000		26		—		—		Interest-bearing deposits	100,041		100,041		100,000		41		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	2,500,000		2,500,000		—		2,500,000		—		—		Securities purchased under agreements to resell	3,500,000		3,500,000		—		3,500,000		—		—
Federal funds sold	Federal funds sold	1,215,000		1,215,000		—		1,215,000		—		—		Federal funds sold	2,580,000		2,580,000		—		2,580,000		—		—
Trading securities	Trading securities	5,094,703		5,094,703		—		5,094,703		—		—		Trading securities	3,946,799		3,946,799		—		3,946,799		—		—
AFS securities	AFS securities	10,144,899		10,144,899		—		10,144,899		—		—		AFS securities	9,159,935		9,159,935		—		9,159,935		—		—
HTM securities	HTM securities	4,701,302		4,723,796		—		4,723,796		—		—		HTM securities	4,313,773		4,322,157		—		4,322,157		—		—
Advances	Advances	31,347,486		31,290,664		—		31,290,664		—		—		Advances	27,497,835		27,462,295		—		27,462,295		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,515,645		8,922,185		—		8,860,853		61,332		—		Mortgage loans held for portfolio, net	7,616,134		7,810,378		—		7,787,334		23,044		—
Accrued interest receivable	Accrued interest receivable	103,076		103,076		—		103,076		—		—		Accrued interest receivable	80,758		80,758		—		80,758		—		—
Derivative assets, net	Derivative assets, net	283,082		283,082		—		20,557		—		262,525		Derivative assets, net	220,202		220,202		—		106,926		—		113,276
Grantor trust assets (2)	Grantor trust assets (2)	51,032		51,032		51,032		—		—		—		Grantor trust assets (2)	62,640		62,640		62,640		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,375,206		1,375,206		—		1,375,206		—		—		Deposits	1,366,397		1,366,397		—		1,366,397		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	16,617,079		16,617,976		—		16,617,976		—		—		Discount notes	12,116,358		12,115,318		—		12,115,318		—		—
Bonds	Bonds	43,332,946		43,952,206		—		43,952,206		—		—		Bonds	42,361,572		42,643,536		—		42,643,536		—		—
Accrued interest payable	Accrued interest payable	63,581		63,581		—		63,581		—		—		Accrued interest payable	88,068		88,068		—		88,068		—		—
Derivative liabilities, net	Derivative liabilities, net	22,979		22,979		—		762,997		—		(740,018)		Derivative liabilities, net	12,185		12,185		—		413,776		—		(401,591)
MRCS	MRCS	250,768		250,768		250,768		—		—		—		MRCS	50,422		50,422		50,422		—		—		—

(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~~2021 Form 10-K. No significant changes have been made in the current year.

3128

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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											Netting
September 30, 2021		Total		Level 1		Level 2		Level 3		Adjustments (1)
June 30, 2022												June 30, 2022	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities		$	4,858,818	$	—	$	4,858,818	$	—	$	—
U.S. Treasury obligations												U.S. Treasury obligations	$	4,039,407	$	—	$	4,039,407	$	—	$	—
Total trading securities	Total trading securities	4,858,818		—		4,858,818		—		—		Total trading securities	4,039,407		—		4,039,407		—		—
AFS securities:	AFS securities:											AFS securities:
U.S. Treasury obligations												U.S. Treasury obligations	2,105,878		—		2,105,878		—		—
GSE and TVA debentures	GSE and TVA debentures	2,728,667		—		2,728,667		—		—		GSE and TVA debentures	2,086,063		—		2,086,063		—		—
GSE MBS		6,590,912		—		6,590,912		—		—

GSE multifamily MBS												GSE multifamily MBS	6,004,631		—		6,004,631		—		—
Total AFS securities	Total AFS securities	9,319,579		—		9,319,579		—		—		Total AFS securities	10,196,572		—		10,196,572		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	231,199		—		83,597		—		147,602		Interest-rate related	325,740		—		497,402		—		(171,662)
MDCs	MDCs	81		—		81		—		—		MDCs	108		—		108		—		—
Total derivative assets, net	Total derivative assets, net	231,280		—		83,678		—		147,602		Total derivative assets, net	325,848		—		497,510		—		(171,662)
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	60,129		60,129		—		—		—		Grantor trust assets	52,400		52,400		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	14,469,806	$	60,129	$	14,262,075	$	—	$	147,602	Total assets at recurring estimated fair value	$	14,614,227	$	52,400	$	14,733,489	$	—	$	(171,662)

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	18,285	$	—	$	380,624	$	—	$	(362,339)	Interest-rate related	$	13,524	$	—	$	1,557,169	$	—	$	(1,543,645)
MDCs	MDCs	257		—		257		—		—		MDCs	45		—		45		—		—
Total derivative liabilities, net	Total derivative liabilities, net	18,542		—		380,881		—		(362,339)		Total derivative liabilities, net	13,569		—		1,557,214		—		(1,543,645)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	18,542	$	—	$	380,881	$	—	$	(362,339)	Total liabilities at recurring estimated fair value	$	13,569	$	—	$	1,557,214	$	—	$	(1,543,645)

Mortgage loans held for portfolio (2)	Mortgage loans held for portfolio (2)	$	1,141	$	—	$	—	$	1,141	$	—	Mortgage loans held for portfolio (2)	$	970	$	—	$	—	$	970	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,141	$	—	$	—	$	1,141	$	—	Total assets at non-recurring estimated fair value	$	970	$	—	$	—	$	970	$	—

3229

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


										Netting											Netting
December 31, 2020		Total		Level 1		Level 2		Level 3		Adjustments (1)
December 31, 2021												December 31, 2021	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities		$	5,094,703	$	—	$	5,094,703	$	—	$	—
U.S. Treasury obligations												U.S. Treasury obligations	$	3,946,799	$	—	$	3,946,799	$	—	$	—
Total trading securities	Total trading securities	5,094,703		—		5,094,703		—		—		Total trading securities	3,946,799		—		3,946,799		—		—
AFS securities:	AFS securities:											AFS securities:

GSE and TVA debentures	GSE and TVA debentures	3,503,137		—		3,503,137		—		—		GSE and TVA debentures	2,697,116		—		2,697,116		—		—
GSE MBS	GSE MBS	6,641,762		—		6,641,762		—		—		GSE MBS	6,462,819		—		6,462,819		—		—
Total AFS securities	Total AFS securities	10,144,899		—		10,144,899		—		—		Total AFS securities	9,159,935		—		9,159,935		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	282,060		—		19,535		—		262,525		Interest-rate related	220,157		—		106,881		—		113,276
MDCs	MDCs	1,022		—		1,022		—		—		MDCs	45		—		45		—		—
Total derivative assets, net	Total derivative assets, net	283,082		—		20,557		—		262,525		Total derivative assets, net	220,202		—		106,926		—		113,276
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	51,032		51,032		—		—		—		Grantor trust assets	62,640		62,640		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	15,573,716	$	51,032	$	15,260,159	$	—	$	262,525	Total assets at recurring estimated fair value	$	13,389,576	$	62,640	$	13,213,660	$	—	$	113,276

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	22,979	$	—	$	762,997	$	—	$	(740,018)	Interest-rate related	$	12,080	$	—	$	413,671	$	—	$	(401,591)
MDCs	MDCs	—		—		—		—		—		MDCs	105		—		105		—		—
Total derivative liabilities, net	Total derivative liabilities, net	22,979		—		762,997		—		(740,018)		Total derivative liabilities, net	12,185		—		413,776		—		(401,591)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	22,979	$	—	$	762,997	$	—	$	(740,018)	Total liabilities at recurring estimated fair value	$	12,185	$	—	$	413,776	$	—	$	(401,591)

Mortgage loans held for portfolio (3)		$	1,460	$	—	$	—	$	1,460	$	—
Mortgage loans held for portfolio (2)												Mortgage loans held for portfolio (2)	$	1,141	$	—	$	—	$	1,141	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,460	$	—	$	—	$	1,460	$	—	Total assets at non-recurring estimated fair value	$	1,141	$	—	$	—	$	1,141	$	—

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

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

~~Table of Contents~~

~~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.


		September 30, 2021							June 30, 2022
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	$	70,984	$	303,170	$	374,154	Standby letters of credit outstanding	$	48,363	$	616,213	$	664,576
Unused lines of credit (1)	Unused lines of credit (1)	923,200		—		923,200		Unused lines of credit (1)	906,668		—		906,668
Commitments to fund additional advances (2)	Commitments to fund additional advances (2)	33,000		—		33,000		Commitments to fund additional advances (2)	68,000		—		68,000
Commitments to fund or purchase mortgage loans, net (3)	Commitments to fund or purchase mortgage loans, net (3)	139,076		—		139,076		Commitments to fund or purchase mortgage loans, net (3)	31,325		—		31,325
Unsettled CO bonds, at par	Unsettled CO bonds, at par	640,000		—		640,000		Unsettled CO bonds, at par	43,800		—		43,800

Unsettled discount notes, at par								Unsettled discount notes, at par	424,000		—		424,000

(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.~~

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Pledged Collateral. ~~We monitor the creditworthiness~~At June 30, 2022 and December 31, 2021, we had pledged cash collateral of ~~our members that have standby letters of credit~~$1,509,963 and ~~lines of credit. As standby letters of credit~~$515,740, respectively, to counterparties and ~~lines of credit are subject to the same collateralization~~clearing agents. At June 30, 2022 and ~~borrowing limits that apply to advances and are fully collateralized at the time of issuance,~~December 31, 2021, we ~~have~~had not ~~recorded a liability for credit losses on these credit products.~~pledged any securities as collateral.

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~~is not ~~anticipate that~~aware of any such proceedings where 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.

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

~~(Unaudited, $ amounts in thousands unless otherwise indicated)~~

Note 14 - Related Party and Other Transactions

Transactions with ~~Related Parties.~~Directors Financial Institutions. 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.

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

The par values at 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 September 30,				Nine Months Ended September 30,				Transactions with Directors' Financial Institutions	Three Months Ended June 30,				Six Months Ended June 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Net capital stock issuances (redemptions and repurchases)	Net capital stock issuances (redemptions and repurchases)	$	—	$	450	$	—	$	78,071	Net capital stock issuances (redemptions and repurchases)	$	3,437	$	—	$	(46,983)	$	—
Net advances (repayments)	Net advances (repayments)	(146,031)		(784,706)		(2,189,295)		(1,504,938)		Net advances (repayments)	3,034,988		(993,987)		1,234,703		(2,043,264)
Mortgage loan purchases	Mortgage loan purchases	18,293		7,390		47,915		34,254		Mortgage loan purchases	4,025		16,745		12,747		29,622

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.


	June 30, 2022				December 31, 2021
Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total
Capital stock	$	381,061	17	%	$	440,949	19	%
Advances	4,695,040		16	%	3,854,856		14	%

The composition of directors' financial institutions changed effective January 1, 2022, due to changes in board membership resulting from the 2021 director election.

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

There were 0 loans to or borrowings from other ~~FHLBanks~~FHLBanks that remained outstanding at ~~September~~June 30, ~~2021~~2022 or December 31, ~~2020.~~2021.

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Table of Contents

~~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 and restated

~~ABS:~~ ~~Asset-Backed Securities~~

~~Advance:~~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 and its variants

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:~~FINRA: ~~Federal Housing Finance Board, predecessor to Finance Agency~~Financial Industry Regulatory Authority

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

~~Table of Contents~~

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

Table of Contents

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~~2021 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 ismay also be 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~~U.S. real gross domestic product ("GDP") decreased at an annual inflation and seasonally-adjusted rate of 0.9% in the second quarter of 2022, according to ~~help offset declines in business and family incomes. The American Rescue Plan Act of 2021,~~ the ~~third major COVID-19 relief bill, was passed~~advance estimate reported by the ~~U.S. Congress~~Bureau of Economic Analysis (BEA), following an annualized decrease of 1.6% in ~~March 2021. This legislation provided significant financial relief to businesses and individuals affected~~the first quarter of 2022, as revised by the BEA. The first quarter GDP was the weakest since the spring of 2020, when the COVID-19 pandemic ~~including extending unemployment assistance programs to September 6, 2021. Another major relief bill is currently~~and related shutdowns drove the U.S. economy into a deep-albeit short-recession. In the second quarter, the housing market rapidly cooled under ~~consideration by Congress.~~rising interest rates and high inflation took steam out of business and consumer spending. The two straight quarters of declining economic output met a commonly used definition of a recession.

However, the labor market remained very tight and a key source of economic strength. Hiring gains in June held near the previous three months. Jobless claims - a proxy for layoffs - ticked up in recent months but remained near historic lows as employers clung to employees amid a shortage of available workers. In ~~October 2021,~~July 2022, the Bureau of Labor Statistics reported that the U.S. unemployment rate ~~had declined to 4.8% in September 2021, compared to 5.9%~~remained at 3.6% in June ~~2021 and 6.7%~~2022, down from 3.9% in December 2021, but still just slightly above the half-century low reached before the pandemic hit in early 2020. ~~If COVID-19 vaccines continue to be successfully administered~~High inflation, though, cut into households' purchasing power. Consumer prices rose 9.1% in June from a year earlier, a four-decade high, driven by a big jump in gasoline prices, while increases in shelter and ~~the virus, along with its variants, is effectively contained, business conditions are expected to continue to improve and the unemployment rate could continue to decline in the United States.~~food prices were also major contributors.

~~U.S. real gross domestic product ("GDP") increased at an annual rate of 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 quarters of 2021, according to the Bureau of Economic Analysis. Recent changes in unemployment rates and GDP reflect the continued economic recovery, reopening of establishments, and continued government response related to the COVID-19 pandemic.

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Conditions in U.S. Housing Markets. ~~The seasonally adjusted annual rate of U.S. home sales declined by 4% in September of 2021, compared to September of 2020, attributed to low housing inventory levels and higher home prices~~Conditions in the ~~third quarter~~U.S. housing markets primarily affect the Bank through the creation of ~~2021.~~demand for, and yield on, advances and mortgage loans, as well as the yield on investments in MBS.

~~Business closures~~In the second quarter 2022, the housing market rapidly cooled as record prices and higher mortgage rates weighed on home sales. Existing-home sales decreased in June 2022, marking five consecutive months of declines, according to the National Association of Realtors. Year-over-year sales in June fell 14.2%. The median sales price of an existing home climbed in June by 13.4% from a year earlier, reaching the highest level since related records began in 1999. Home prices consistently moved upward as supply remained tight. Total housing inventory at the end of June was enough to cover three months of sales, the highest in nearly two years but still historically low. According to Freddie Mac, the average commitment rate for a 30-year, conventional, fixed-rate mortgage was 5.52% in June 2022, compared to 2.98% in June 2021. With sustained price appreciation and higher mortgage rates, affordability continued to be a challenge for potential home buyers. Residential construction in the U.S. slowed, as housing starts fell in June for the second straight month and the ~~resulting spike in unemployment during 2020 caused many homeowners to seek relief from their mortgage payments, resulting in higher rates~~number of ~~mortgage loan delinquency. Mortgage loan delinquency rates have declined in 2021 due to businesses reopening and reduced unemployment.~~building permits issued declined.

Interest Rate Levels and Volatility. ~~The level~~At its meetings on May 4, 2022 and volatility of interest rates and credit spreads were affected by several factors during the three and nine months ended 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.

~~On March~~June 15, ~~2020,~~2022, the FOMC ~~lowered~~noted that inflation remained elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures. To achieve its goals of maximum employment and inflation at the rate of 2% over the longer run, the FOMC decided to raise the target range for the federal funds rate in March 2022 to ~~a target range of 0.0%~~0.75% to ~~0.25%, noting that the COVID-19 pandemic had harmed communities~~1.0% and ~~disrupted economic activity~~ in ~~many countries, including the United States. At its meeting in November 2021,~~June to 1.50% to 1.75%. In addition, the FOMC ~~maintained the federal funds target range, and signaled that it would begin the process of gradually tapering~~began reducing its ~~purchases~~holdings of Treasury securities and Agency debt and Agency MBS ~~as the economic recovery remains broadly~~ on track. While still characterizing inflation as transitory, Federal Reserve officials acknowledged that the supply chain disruptions have created sizeable price increases in some parts of the economy that could last longer than previously assumed.June 1, 2022.

The following table presents certain key interest rates.


		Three-Month Average				Nine-Month Average				Period End					Average for Three Months Ended				Six-Month Average				Period End
		September 30,				September 30,				September 30,		December 31,			June 30,				June 30,				June 30,		December 31,
		2021		2020		2021		2020		2021		2020			2022		2021		2022		2021		2022		2021
Federal Funds Effective	Federal Funds Effective	0.09	%	0.09	%	0.08	%	0.45	%	0.06	%	0.09	%	Federal Funds Effective	0.76	%	0.07	%	0.44	%	0.07	%	1.58	%	0.07	%
SOFR	SOFR	0.05	%	0.09	%	0.04	%	0.45	%	0.05	%	0.07	%	SOFR	0.71	%	0.02	%	0.40	%	0.03	%	1.50	%	0.05	%
Overnight LIBOR	Overnight LIBOR	0.08	%	0.08	%	0.08	%	0.46	%	0.08	%	0.08	%	Overnight LIBOR	0.77	%	0.07	%	0.44	%	0.07	%	1.58	%	0.06	%
1-week OIS	1-week OIS	0.09	%	0.09	%	0.08	%	0.45	%	0.08	%	0.09	%	1-week OIS	0.84	%	0.07	%	0.49	%	0.07	%	1.59	%	0.08	%
3-month LIBOR	3-month LIBOR	0.13	%	0.25	%	0.16	%	0.79	%	0.13	%	0.24	%	3-month LIBOR	1.54	%	0.16	%	1.02	%	0.18	%	2.29	%	0.21	%
3-month U.S. Treasury yield	3-month U.S. Treasury yield	0.04	%	0.11	%	0.04	%	0.44	%	0.04	%	0.07	%	3-month U.S. Treasury yield	1.07	%	0.02	%	0.69	%	0.03	%	1.67	%	0.04	%
2-year U.S Treasury yield	2-year U.S Treasury yield	0.22	%	0.14	%	0.18	%	0.47	%	0.28	%	0.12	%	2-year U.S Treasury yield	2.72	%	0.17	%	2.09	%	0.15	%	2.96	%	0.73	%
10-year U.S. Treasury yield	10-year U.S. Treasury yield	1.32	%	0.65	%	1.41	%	0.90	%	1.49	%	0.92	%	10-year U.S. Treasury yield	2.93	%	1.58	%	2.44	%	1.45	%	3.02	%	1.51	%

The ~~averages~~level and volatility of ~~short-term~~ interest rates ~~remained low and generally were even lower or little changed in~~during the three and ~~nine~~six months ended ~~September~~June 30, ~~2021, compared~~2022 were affected by several factors, principally efforts by the Federal Reserve to ~~the same periods in 2020, impacting the Bank's results of operations, primarily by decreasing both interest income and interest expense. However, longer-term~~raise interest rates ~~while still relatively low, have increased~~and tighten monetary policy to combat high inflation.

At its meeting on July 27, 2022, the FOMC again indicated that inflation remained elevated, reflecting supply and demand imbalances. It also noted that Russia's war with Ukraine and related events were creating additional upward pressure on inflation and were weighing on global economic activity. Therefore, it remains highly attentive to inflation risks. To achieve its goals, the FOMC decided to raise the target range for the federal funds rate to 2.25% to 2.50%. It anticipated that ongoing increases in the three and nine months ended September 30, 2021 compared to the corresponding periods in 2020. Changes in the short- and long-term interest rates also impacted the fair values of certain assets and liabilities. The prevailing expectation of prolonged low interest ratestarget range will ~~likely continue to~~ be ~~a significant factor driving the Bank's results of operations and changes in its financial condition.~~appropriate.

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~~can drive interest rates higher, which ~~could~~can impair growth of the mortgage market. A less active mortgage market ~~could~~can 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.

~~Table of Contents~~

~~Selected Financial Data~~

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

As of and for the Three Months Ended
September 30,
2021 June 30,
2021 March 31,
2021 December 31,
2020 September 30,
2020
Statement of Condition:
Advances $ 26,958 $ 27,633 $ 29,784 $ 31,347 $ 31,264
Mortgage loans held for portfolio, net 7,570 7,737 8,057 8,516 9,237
Cash and short-term investments 8,329 7,268 8,873 5,627 5,639
Investment securities 18,675 19,689 19,480 19,941 19,695
Total assets 61,960 62,771 66,680 65,925 66,342
Discount notes 12,714 14,445 17,573 16,617 19,462
CO bonds 43,225 42,363 42,794 43,333 41,148
Total consolidated obligations 55,939 56,808 60,367 59,950 60,610
MRCS 50 233 233 251 262
Capital stock 2,237 2,234 2,214 2,208 2,224
Retained earnings 1,163 1,157 1,153 1,137 1,124
AOCI 151 193 180 105 74
Total capital 3,551 3,584 3,547 3,450 3,422
Statement of Income:
Net interest income $ 58 $ 57 $ 75 $ 72 $ 61
Provision for (reversal of) credit losses — — — — —
Other income (loss) (9) (10) (13) (9) (17)
Other expenses 27 28 28 30 27
AHP assessments 2 2 4 4 2
Net income $ 20 $ 17 $ 30 $ 29 $ 15
Selected Financial Ratios:
Net interest margin (1)
0.37 % 0.36 % 0.44 % 0.43 % 0.35 %
Return on average equity (2)
2.22 % 1.94 % 3.40 % 3.49 % 1.70 %
Return on average assets (2)
0.13 % 0.11 % 0.18 % 0.18 % 0.08 %
Weighted average dividend rate (3)
2.35 % 2.57 % 2.50 % 3.00 % 3.50 %
Dividend payout ratio (4)
65.59 % 81.59 % 46.70 % 55.32 % 126.01 %
Average equity to average assets 5.67 % 5.47 % 5.24 % 5.19 % 4.86 %
Total capital ratio (5)
5.73 % 5.71 % 5.32 % 5.23 % 5.16 %
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 wo~~uld be 76%~~, ~~47%, 46%, 112% and 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~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020.~~2021. The following table presents the comparative highlights of our results of operations ($ amounts in millions).


		Three Months Ended September 30,								Nine Months Ended September 30,									Three Months Ended June 30,								Six Months Ended June 30,

Condensed Statements of Comprehensive Income	Condensed Statements of Comprehensive Income	2021		2020		$ Change		% Change		2021		2020		$ Change		% Change		Condensed Statements of Comprehensive Income	2022		2021		$ Change		% Change		2022		2021		$ Change		% Change
Net interest income	Net interest income	$	58	$	61	$	(3)	(5)	%	$	190	$	191	$	(1)	(1)	%	Net interest income	$	64	$	57	$	7	11	%	$	128	$	132	$	(4)	(3)	%
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	58		61		(3)		(4)	%	190		191		(1)		(1)	%	Net interest income after provision for credit losses	64		57		7		11	%	128		132		(4)		(3)	%
Other income (loss)	Other income (loss)	(9)		(17)		8				(32)		(47)		15				Other income (loss)	(2)		(10)		8				(9)		(23)		14
Other expenses	Other expenses	27		27		—				83		79		4				Other expenses	26		28		(2)				51		57		(6)
Income before assessments	Income before assessments	22		17		5		32	%	75		65		10		15	%	Income before assessments	36		19		17		88	%	68		52		16		29	%
AHP assessments	AHP assessments	2		2		—				8		7		1				AHP assessments	4		2		2				7		5		2
Net income	Net income	20		15		5		33	%	67		58		9		16	%	Net income	32		17		15		89	%	61		47		14		30	%
Total other comprehensive income (loss)	Total other comprehensive income (loss)	(42)		78		(120)				46		6		40				Total other comprehensive income (loss)	(45)		13		(58)				(119)		88		(207)

Total comprehensive income (loss)	Total comprehensive income (loss)	$	(22)	$	93	$	(115)	(124)	%	$	113	$	64	$	49	76	%	Total comprehensive income (loss)	$	(13)	$	30	$	(43)	(141)	%	$	(58)	$	135	$	(193)	(143)	%

~~Net~~The increase in net income for the three months ended ~~September~~June 30, ~~2021~~ ~~was $19.9 million, an increase of $5.0 million~~2022 compared to the corresponding period in the prior ~~year. The~~ ~~increase~~ year was primarily due to lower ~~but still accelerated~~ amortization of mortgage purchase ~~premium~~premiums, 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~~higher earnings on the portion of the Bank's assets funded by its capital, ~~and lower net~~each driven by the increase in market interest ~~income resulting from narrower interest spreads and~~rates, partially offset by declines in the ~~decline in average asset balances.~~fair values of the investments indirectly funding certain employee benefit plans.

~~Total other comprehensive loss~~The increase in net income for the ~~three~~six months ended ~~September~~June 30, ~~2021~~ ~~was $42.0 million, a decrease of $120.1 million~~2022 compared to the corresponding period in the prior ~~year.~~ year was primarily due to lower amortization of mortgage purchase premiums, resulting from lower prepayments, and higher earnings on the portion of the Bank's assets funded by its capital, each driven by the increase in market interest rates, partially offset by net hedging losses on qualifying fair-value hedging relationships and declines in the fair values of the investments indirectly funding certain employee benefit plans.

The decrease in total OCI for the three and six months ended June 30, 2022 compared to the corresponding periods in the prior year was substantially due to ~~net~~ unrealized losses on AFS securities, in particular investments in MBS, driven by the ~~current period compared to~~increase in market interest rates. However, our AFS securities remained in a net unrealized ~~gains in the corresponding period in the prior year.~~gain position at June 30, 2022.

~~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~~following table presents return on ~~AFS securities in the current period.~~

average assets and return on average equity.


	Three Months Ended June 30,				Six Months Ended June 30,

Ratios	2022		2021		2022		2021
Return on average assets	0.21	%	0.11	%	0.20	%	0.14	%
Return on average equity	3.71	%	1.94	%	3.48	%	2.66	%

Adjusted Net Income, a Non-GAAP Financial ~~Measure~~

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. As a result, the Bank is reporting adjusted net income as 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, (iii) the 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~~management 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.

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


		Three Months Ended September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,

Reconciliation of Net Income	Reconciliation of Net Income	2021		2020		2021		2020		Reconciliation of Net Income	2022		2021		2022		2021
GAAP net income	GAAP net income	$	19.9	$	14.9	$	67.0	$	57.7	GAAP net income	$	32.3	$	17.1	$	60.9	$	47.0
Adjustments to exclude:	Adjustments to exclude:									Adjustments to exclude:
Fair-value hedging (gains) losses (1)	Fair-value hedging (gains) losses (1)	2.8		2.4		(10.2)		24.6		Fair-value hedging (gains) losses (1)	6.8		5.6		4.8		(13.0)
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)		11.5		(0.6)		24.4		(1.8)
Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2)										Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2)	17.3		7.5		34.1		12.9
Trading (gains) losses, net of economic hedging gains (losses) (3)	Trading (gains) losses, net of economic hedging gains (losses) (3)	7.7		5.6		26.9		4.9		Trading (gains) losses, net of economic hedging gains (losses) (3)	(0.8)		10.1		(0.7)		19.1
Net unrealized (gains) losses on other economic hedges	Net unrealized (gains) losses on other economic hedges	0.4		1.9		0.8		1.2		Net unrealized (gains) losses on other economic hedges	(1.5)		0.1		0.3		0.5
Net realized (gains) on sales of investment securities		—		(0.5)		—		(0.5)
Interest expense on MRCS	Interest expense on MRCS	0.3		2.0		2.3		7.8		Interest expense on MRCS	0.3		0.9		0.5		2.0
Total adjustments	Total adjustments	22.7		10.8		44.2		36.2		Total adjustments	22.1		24.2		39.0		21.5

AHP assessments on adjustments	AHP assessments on adjustments	(2.2)		(0.9)		(4.2)		(2.8)		AHP assessments on adjustments	(2.2)		(2.3)		(3.8)		(1.9)

Adjusted net income (non-GAAP measure)	Adjusted net income (non-GAAP measure)	$	40.4	$	24.8	$	107.0	$	91.1	Adjusted net income (non-GAAP measure)	$	52.2	$	39.0	$	96.1	$	66.6

(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 and sales of trading securities.

Adjusted net income for the three months ended ~~September~~June 30, ~~2021~~2022 was ~~$40.4~~$52.2 million, an increase of ~~$15.6~~$13.2 million compared to the corresponding period in the prior year. The increase was primarily due to lower accelerated amortization of mortgage purchase ~~premium~~premiums, resulting from lower prepayments, higher interest spreads, and higher earnings on ~~mortgage loans,~~the portion of the Bank's assets funded by its capital, partially offset by ~~lower net interest income resulting from~~declines in the ~~decline in average asset balances~~.fair values of the investments indirectly funding certain employee benefit plans.

Adjusted net income for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 was ~~$107.0~~$96.1 million, an increase of ~~$15.9~~$29.5 million compared to the corresponding period in the prior year. The increase was primarily due to ~~higher earnings (excluding net gains and losses) on trading securities and~~ lower accelerated amortization of mortgage purchase ~~premium, substantially~~premiums, resulting from lower prepayments, and higher interest spreads, partially offset by declines in the fair values of the investments indirectly funding certain employee benefit plans and lower 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~~trading securities.

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Changes in Financial Condition for the ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021.~~2022. The following table presents the comparative highlights of our changes in financial condition ($ amounts in millions).


Condensed Statements of Condition	Condensed Statements of Condition	September 30, 2021		December 31, 2020		$ Change		% Change		Condensed Statements of Condition	June 30, 2022		December 31, 2021		$ Change		% Change
Advances	Advances	$	26,958	$	31,347	$	(4,389)	(14)	%	Advances	$	30,507	$	27,498	$	3,009	11	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,570		8,516		(946)		(11)	%	Mortgage loans held for portfolio, net	7,730		7,616		114		1	%
Cash and short-term investments (1)	Cash and short-term investments (1)	8,329		5,627		2,702		48	%	Cash and short-term investments (1)	7,381		7,048		333		5	%
Investment securities and other assets (2)	Investment securities and other assets (2)	19,103		20,435		(1,332)		(7)	%	Investment securities and other assets (2)	18,648		17,843		805		5	%
Total assets	Total assets	$	61,960	$	65,925	$	(3,965)	(6)	%	Total assets	$	64,266	$	60,005	$	4,261	7	%

Consolidated obligations	Consolidated obligations	$	55,939	$	59,950	$	(4,011)	(7)	%	Consolidated obligations	$	59,050	$	54,478	$	4,572	8	%
MRCS	MRCS	50		251		(201)		(80)	%	MRCS	46		50		(4)		(10)	%
Other liabilities	Other liabilities	2,420		2,274		146		6	%	Other liabilities	1,693		1,921		(228)		(12)	%
Total liabilities	Total liabilities	58,409		62,475		(4,066)		(7)	%	Total liabilities	60,789		56,449		4,340		8	%

Capital stock	Capital stock	2,237		2,208		29		1	%	Capital stock	2,251		2,246		5		—	%
Retained earnings (3)	Retained earnings (3)	1,163		1,137		26		2	%	Retained earnings (3)	1,212		1,177		35		3	%
AOCI	AOCI	151		105		46		44	%	AOCI	14		133		(119)		(89)	%
Total capital	Total capital	3,551		3,450		101		3	%	Total capital	3,477		3,556		(79)		(2)	%

Total liabilities and capital	Total liabilities and capital	$	61,960	$	65,925	$	(3,965)	(6)	%	Total liabilities and capital	$	64,266	$	60,005	$	4,261	7	%

Total regulatory capital (4)	Total regulatory capital (4)	$	3,450	$	3,596	$	(146)	(4)	%	Total regulatory capital (4)	$	3,509	$	3,473	$	36	1	%

(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 ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 of $~~282~~299 million and ~~$268~~$287 million, respectively.

(4) Total capital less AOCI plus MRCS.

Total assets at ~~September~~June 30, ~~2021~~2022 were ~~$62.0~~$64.3 billion,, a net ~~decrease~~increase of ~~$4.0~~$4.3 billion, or 6%7%, from December 31, ~~2020,~~2021, driven primarily b~~y a net decrease in advances, partially offset~~ by a net increase in ~~the liquidity portfolio.~~advances outstanding.

Advances outstanding at ~~September~~June 30, ~~2021,~~2022, at carrying value,, totaled ~~$27.0~~$30.5 billion, a net ~~decrease~~increase of ~~$4.4~~$3.0 billion, or ~~14%~~11%, from December 31, ~~2020.~~2021. The par value of advances to depository institutions - comprising commercial banks, savings institutions and credit unions - and insurance companies ~~decreased~~increased by ~~19%~~16% and 6%9%, respectively.

Mortgage loans held for portfolio at ~~September~~June 30, ~~2021~~2022 totaled ~~$7.6~~$7.7 billion,, a net ~~decrease~~increase of ~~$946~~$114 million, or ~~11%~~1%, from December 31, ~~2020,~~2021, as the Bank's purchases exceeded principal repayments by ~~borrowers significantly outpaced the Bank's purchases from its members during the period.~~borrowers.

The liquidity portfolio, which consists of cash and short-term investments as well as U.S. Treasury obligations, at ~~September~~June 30, ~~2021~~2022 totaled ~~$13.2~~$11.4 billion, a net increase of ~~$2.5 billion,~~$425 million, or ~~23%~~4%, from December 31, ~~2020~~.2021. Cash and short-term investments increased by ~~$2.7 billion,~~$333 million, or ~~48%~~5%, to ~~$8.3 billion~~.$7.4 billion. U.S. Treasury ~~securities,~~obligations, classified as trading securities, ~~decreased~~increased by ~~$236~~$92 million, or 5%2%, to ~~$4.9~~$4.0 billion. As a result, cash and short-term investments represented ~~63%~~65% of the liquidity portfolio at ~~September~~June 30, ~~2021,~~2022, while U.S. Treasury ~~securities~~obligations represented ~~37%~~35%.

FH~~LBank~~FHLBank Indianapolis' consolidated obligations outstanding at ~~September~~June 30, ~~2021~~2022 totaled ~~$55.9~~$59.0 billion,, a net ~~decrease~~increase of ~~$4.0~~$4.6 billion, or 7%8%, from December 31, ~~2020,~~2021, which reflected increased funding needs associated with the net ~~decrease~~increase in the Bank's total assets.

Total capital at ~~September~~June 30, ~~2021~~2022 was ~~$3.6~~$3.5 billion, a net ~~increase~~decrease of ~~$101~~$79 million, or 3%2%, from December 31, ~~2020.~~2021, primarily due to other comprehensive losses.

The Bank's regulatory capital-to-assets ratio at ~~September~~June 30, ~~2021~~2022 was ~~5.57%~~5.46%, which exceeds all applicable regulatory capital requirements.

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Outlook. We believe that our financial performance will continue to provide reasonable, risk-adjusted returns for our members across a wide range of business, financial, and economic environments.

During 2022, demand by our members for advances has increased in response to loan growth significantly outpacing their deposit growth, rising market interest rates, and the availability of suitable products to assist our members in managing their balance sheets in the current economic environment. However, if the anticipated merger of Flagstar Bank, historically one of our largest and most active borrowers, into a non-member depository institution results in repayment of their outstanding advances this year, we expect total advances outstanding at December 31, 2022 to approximate the balance outstanding at December 31, 2021.

Our net income for the six months ended June 30, 2022 was $60.9 million, an increase of $13.9 million compared to the corresponding period in the prior year. Based primarily on wider mortgage spreads, substantially resulting from lower loan prepayments, and higher earnings on the portion of the Bank's floating-rate assets funded by its capital, we expect a similar level of net income for the second half of the year. Such level of earnings in 2022 would be significantly higher than earnings in 2021, and would lead to significantly higher allocations to our AHP.

However, the ultimate effects of economic and financial markets activity, including fiscal and monetary policies, the strength of the housing markets and the level and volatility of market interest rates continue to evolve and are highly uncertain and, therefore, the future impact on our business is difficult to predict.

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Analysis of Results of Operations for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2021~~2022 and ~~2020.~~2021.

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 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



	Three Months Ended June 30,
	2022						2021
	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	$	7,223	$	14	0.76	%	$	7,219	$	1	0.05	%
Investment securities (3)	18,060		56		1.24	%	19,607		43		0.89	%
Advances (4)	27,455		68		0.99	%	29,010		28		0.39	%
Mortgage loans held for portfolio (4) (5)	7,736		51		2.67	%	7,875		40		2.04	%
Other assets (interest-earning) (6)	1,458		3		0.73	%	731		—		0.07	%
Total interest-earning assets	61,932		192		1.24	%	64,442		112		0.70	%
Other assets (7)	(413)						571
Total assets	$	61,519					$	65,013

Liabilities and Capital:
Interest-bearing deposits	$	1,215	2		0.51	%	$	1,694	—		0.01	%
Discount notes	17,102		27		0.62	%	16,497		2		0.04	%
CO bonds (4)	39,146		99		1.02	%	42,319		52		0.50	%
MRCS	46		—		2.37	%	233		1		1.60	%

Total interest-bearing liabilities	57,509		128		0.89	%	60,743		55		0.37	%
Other liabilities	512						716
Total capital	3,498						3,554
Total liabilities and capital	$	61,519					$	65,013

Net interest income			$	64					$	57

Net spread on interest-earning assets less interest-bearing liabilities (2)					0.35	%					0.33	%

Net interest margin (8)					0.41	%					0.36	%

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

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		Nine Months Ended September 30,													Six Months Ended June 30,
		2021						2020							2022						2021
		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)			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:	Assets:													Assets:
Federal funds sold and securities purchased under agreements to resell	Federal funds sold and securities purchased under agreements to resell	$	7,281	$	3	0.06	%	$	5,450	$	21	0.52	%	Federal funds sold and securities purchased under agreements to resell	$	6,638	$	15	0.47	%	$	7,757	$	2	0.05	%
Investment securities (3)	Investment securities (3)	19,615		140		0.95	%	19,913		205		1.37	%	Investment securities (3)	17,826		92		1.03	%	19,817		99		1.01	%
Advances (4)	Advances (4)	29,000		85		0.39	%	33,977		291		1.14	%	Advances (4)	26,963		102		0.77	%	29,317		65		0.44	%
Mortgage loans held for portfolio (4) (5)	Mortgage loans held for portfolio (4) (5)	7,937		125		2.10	%	10,277		189		2.46	%	Mortgage loans held for portfolio (4) (5)	7,697		99		2.60	%	8,077		80		2.01	%
Other assets (interest-earning) (6)	Other assets (interest-earning) (6)	767		—		0.07	%	1,563		5		0.46	%	Other assets (interest-earning) (6)	1,136		3		0.52	%	816		—		0.07	%
Total interest-earning assets	Total interest-earning assets	64,600		353		0.73	%	71,180		711		1.34	%	Total interest-earning assets	60,260		311		1.04	%	65,784		246		0.76	%
Other assets (7)	Other assets (7)	653						55						Other assets (7)	(71)						743
Total assets	Total assets	$	65,253					$	71,235					Total assets	$	60,189					$	66,527

Liabilities and Capital:	Liabilities and Capital:													Liabilities and Capital:
Interest-bearing deposits	Interest-bearing deposits	$	1,628	—		0.01	%	$	1,392	3		0.27	%	Interest-bearing deposits	$	1,281	1		0.26	%	$	1,602	—		0.01	%
Discount notes	Discount notes	16,187		8		0.06	%	24,772		111		0.60	%	Discount notes	14,978		30		0.41	%	17,629		6		0.07	%
CO bonds (4)	CO bonds (4)	42,943		153		0.48	%	40,503		398		1.31	%	CO bonds (4)	39,785		151		0.76	%	42,770		106		0.50	%
MRCS	MRCS	216		2		1.45	%	302		8		3.44	%	MRCS	47		1		2.20	%	238		2		1.73	%

Total interest-bearing liabilities	Total interest-bearing liabilities	60,974		163		0.36	%	66,969		520		1.04	%	Total interest-bearing liabilities	56,091		183		0.66	%	62,239		114		0.37	%
Other liabilities	Other liabilities	720						1,020						Other liabilities	571						727
Total capital	Total capital	3,559						3,246						Total capital	3,527						3,561
Total liabilities and capital	Total liabilities and capital	$	65,253					$	71,235					Total liabilities and capital	$	60,189					$	66,527

Net interest income	Net interest income			$	190					$	191			Net interest income			$	128					$	132

Net spread on interest-earning assets less interest-bearing liabilities (1) (2)						0.37	%					0.30	%
Net spread on interest-earning assets less interest-bearing liabilities (2)														Net spread on interest-earning assets less interest-bearing liabilities (2)					0.38	%					0.39	%

Net interest margin (1) (8)						0.39	%					0.36	%
Net interest margin (8)														Net interest margin (8)					0.43	%					0.40	%

Average interest-earning assets to interest-bearing liabilities	Average interest-earning assets to interest-bearing liabilities	1.06						1.06						Average interest-earning assets to interest-bearing liabilities	1.07						1.06

(1) Includes hedging gains (losses) on qualifying fair-value hedging relationships. Excludes impact of purchase discount (premium) recorded through mark-to-market gains (losses) on trading securities and net interest 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.~~adjustments. Excludes net interest ~~payment~~payments 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. Excludes net interest payments or receipts on derivatives in economic hedging relationships.

(5) Includes non-accrual loans.

(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 ~~decrease~~increase in net interest income for the three months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding period in ~~2020~~2021 was primarily due to ~~the decline in average asset balances, partially offset by~~ lower ~~but still accelerated~~ amortization of mortgage purchase premium, resulting from lower prepayments, and higher earnings on ~~mortgage loans.~~the portion of the Bank's assets funded by its capital, partially offset by lower net interest income on trading securities. Net interest income for the three months ended ~~September~~June 30, ~~2021~~2022 included net hedging losses of $3$7 million, compared to net hedging losses for the corresponding period in ~~2020~~2021 of $2$6 million.

The decrease in net interest income for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding period in ~~2020~~2021 was primarily due to lower net interest income on trading securities and net hedging losses partially offset by lower amortization of mortgage purchase premium, resulting from lower prepayments, and higher earnings 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.capital. Net interest income for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 included net hedging ~~gains~~losses of ~~$10~~$5 million, compared to net hedging ~~losses~~gains for the corresponding period in ~~2020~~2021 of ~~$25~~$13 million.

In general, the Bank holds the derivatives and associated hedged items to the maturity, call, or put date. As a result, nearly all of the gains and losses on these financial instruments are expected to reverse over the remaining contractual terms of the hedged items.

Yields/Cost of Funds. The average yield on total interest-earning assets, including the impact of hedging ~~gains and~~ gains/losses but excluding certain impacts of trading securities, for the three months ended ~~September~~June 30, ~~2021~~2022 was ~~0.68%~~1.24%, ~~a decrease~~an increase of 1854 bps compared to the corresponding period in ~~2020, resulting~~2021. The yield on advances and investment securities increased due primarily ~~from decreases in~~to increasing market interest ~~rates that led to lower yields on substantially all of our interest-earning assets.~~rates. 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 hedging gains and losses but excluding certain impacts of trading securities, for the three months ended ~~September~~June 30, ~~2021~~2022 was ~~0.33%~~0.89%, ~~a decrease~~an increase of 2252 bps due primarily to ~~lower funding costs on our consolidated obligations.~~an increase in market interest rates. The net effect was ana slight increase in the overall net interest spread under GAAP ~~of 4 bps~~compared to ~~0.35% from 0.31% for~~ the corresponding period in ~~2020.~~2021.

The average yield on total interest-earning assets, including the impact of hedging ~~gains and~~ gains/losses but excluding certain impacts of trading securities, for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 was ~~0.73%~~1.04%, ~~a decrease~~an increase of 6128 bps compared to the corresponding period in ~~2020, resulting~~2021. The yield on advances and investment securities increased due primarily ~~from decreases~~to an increase in market interest ~~rates that led~~rates. The yield on mortgage loans held for portfolio increased due to lower ~~yields~~amortization of purchase premium resulting from lower prepayments on ~~all of our interest-earning assets.~~mortgage loans. The average cost of funds of total interest-bearing liabilities, including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 was ~~0.36%~~0.66%, ~~a decrease~~an increase of 6829 bps due primarily to ~~lower funding costs~~an increase in market interest rates, and hedging losses, on our consolidated obligations. The net effect was ~~an increase~~a slight decrease in the overall net interest spread under GAAP ~~of 7 bps~~compared to ~~0.37% from 0.30% for~~ the corresponding period in ~~2020.~~2021.

Average Balances. The average balances outstanding of interest-earning assets for the three months ended ~~September~~June 30, ~~2021~~2022 decreased by ~~11%~~4% compared to the corresponding period in ~~2020.~~2021. The average balances of ~~advances~~investment securities and ~~mortgage loans~~advances decreased by ~~14%~~8% and ~~21%~~5%, respectively, reflecting ~~paydowns by our borrowers.~~net principal paydowns. The decrease in average interest-bearing liabilities ~~reflected~~exceeded the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, ~~decreased~~increased by ~~24%~~20%.

The average balances outstanding of interest-earning assets for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 decreased by 9%8% compared to the corresponding period in ~~2020.~~2021. The average balances of ~~advances~~investment securities and ~~mortgage loans~~advances decreased by ~~15%~~10% and ~~23%~~8%, respectively, reflecting ~~paydowns by our borrowers.~~net principal paydowns. The decrease in average interest-bearing liabilities ~~reflected~~exceeded the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, ~~decreased~~increased by ~~14%~~18%.

Provision for Credit Losses. The change in the provisions for (reversal of) credit losses for the three and ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding periods in ~~2020~~2021 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 September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
Components	Components	2021		2020		2021		2020		Components	2022		2021		2022		2021
Net unrealized gains (losses) on trading securities (1)										Net unrealized gains (losses) on trading securities (1)	$	(11)	$	(13)	$	(18)	$	(29)
Net realized gains (losses) on trading securities (2)										Net realized gains (losses) on trading securities (2)	(3)		(1)		(20)		2
Net gains (losses) on trading securities										Net gains (losses) on trading securities	(14)		(14)		(38)		(27)

Net unrealized gains (losses) on trading securities (1)		$	6	$	(28)	$	(23)	$	(19)
Net realized gains (losses) on trading securities (1)		(14)		9		(13)		21
Net gains (losses) on derivatives hedging trading securities	Net gains (losses) on derivatives hedging trading securities	1		14		9		(7)		Net gains (losses) on derivatives hedging trading securities	17		3		41		8
Net gains (losses) on trading securities, net of associated derivatives		(7)		(5)		(27)		(5)
Net interest settlements on derivatives(3)	Net interest settlements on derivatives(3)	(2)		(12)		(10)		(40)		Net interest settlements on derivatives(3)	1		(3)		(1)		(8)
Net gains (losses) on other derivatives not designated as hedging instruments	Net gains (losses) on other derivatives not designated as hedging instruments	—		(2)		(1)		(5)		Net gains (losses) on other derivatives not designated as hedging instruments	(1)		—		(3)		(1)
Net realized gains from sale of available-for-sale securities		—		1		—		1
Change in fair value of investments indirectly funding our SERP		—		1		3		—
Net gains (losses) on derivatives										Net gains (losses) on derivatives	17		—		37		(1)

Change in fair value of investments indirectly funding certain employee benefit plans										Change in fair value of investments indirectly funding certain employee benefit plans	(6)		3		(10)		4
Other, net	Other, net	—		—		3		2		Other, net	1		1		2		1

Total other income (loss)	Total other income (loss)	$	(9)	$	(17)	$	(32)	$	(47)	Total other income (loss)	$	(2)	$	(10)	$	(9)	$	(23)

(1) ~~Before~~Includes impact of purchase discount (premium) recorded through mark-to-market gains (losses), as well as the reversal of the cumulative unrealized gain (loss) on any maturities or sales. Excludes impact of associated derivatives.

(2) Includes, at maturity, 100% of original discount (premium) as gain (loss). Excludes impact of associated derivatives.

(3) Generally offsetting interest income on trading securities is included in interest income.

The ~~decreases~~decrease in total other loss for the three and ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding periods in ~~2020 were~~2021 was primarily due to ~~lower net interest settlements on derivatives,~~increases in the fair values of swaps hedging trading securities, partially offset by ~~higher~~declines in the fair values of the investments indirectly funding certain employee benefit plans.

Net Gains (Losses) on Trading Securities. The following table presents the net ~~losses~~impact of trading securities on ~~trading securities.~~income before assessments ($ amounts in millions).


	Three Months Ended June 30,				Six Months Ended June 30,
Earnings Components of Trading Securities	2022		2021		2022		2021
Net interest income (1)	$	1	$	14	$	5	$	28

Other income:
Net unrealized gains (losses)	(11)		(13)		(18)		(29)
Net realized gains (losses)	(3)		(1)		(20)		2
Net interest settlements on derivatives	2		(2)		—		(8)
Change in fair value of derivatives	17		3		41		8

Other income (loss), net	5		(13)		3		(27)

Net impact of trading securities on income before assessments	$	6	$	1	$	8	$	1

(1) Includes an estimated allocation of interest expense.

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


		Three Months Ended September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
Components	Components	2021		2020		2021		2020		Components	2022		2021		2022		2021
Compensation and benefits	Compensation and benefits	$	14	$	15	$	44	$	44	Compensation and benefits	$	13	$	14	$	26	$	30
Other operating expenses	Other operating expenses	7		8		22		23		Other operating expenses	8		7		15		15
Finance Agency and Office of Finance	Finance Agency and Office of Finance	4		2		9		7		Finance Agency and Office of Finance	3		3		6		6
Other		2		2		8		5
Other, net										Other, net	2		4		4		6

Total other expenses	Total other expenses	$	27	$	27	$	83	$	79	Total other expenses	$	26	$	28	$	51	$	57

The net ~~increase~~decrease in total other expenses for the ~~nine~~three months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding period in ~~2020~~2021 was primarily due to ~~higher~~a decrease in other net expenses, primarily due to lower non-service costs associated with our SERP.

The net decrease in total other expenses for the six months ended June 30, 2022 compared to the corresponding period in 2021 was primarily due to a decrease in compensation and benefits and a decrease in other net expenses. The decrease in compensation and benefits was primarily due to a decrease in post-retirement benefits resulting from changes in market conditions, the impact of which was fully offset by a corresponding change in fair value recorded in other income, and excise tax refunds received in the three months ended March 31, 2022. The decrease in other net expenses was primarily due to lower non-service costs associated with our SERP.

AHP Assessments. For the three and six months ended June 30, 2022 , our required AHP expense was $4 million and $7 million, respectively. Our AHP expense fluctuates in accordance with our net earnings.

Total Other Comprehensive Income (Loss). Total OCI for the three and six months ended ~~September~~June 30, ~~2021~~2022 consisted primarily of net unrealized losses on AFS securities, compared to net unrealized gains on AFS securities for the corresponding ~~period~~periods in ~~2020.~~

~~Total OCI for the nine months ended September 30, 2021 and 2020 consisted substantially of net unrealized gains on AFS securities.~~2021. 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.~~volatility.

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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 September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
Traditional	Traditional	2021		2020		2021		2020		Traditional	2022		2021		2022		2021
Net interest income	Net interest income	$	50	$	65	$	178	$	177	Net interest income	$	51	$	53	$	103	$	128
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		—		—		—		Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)	(9)		(17)		(31)		(44)		Other income (loss)	(2)		(10)		(9)		(23)
Other expenses	Other expenses	23		23		72		68		Other expenses	22		24		44		49
Income before assessments	Income before assessments	18		25		75		65		Income before assessments	27		19		50		56
AHP assessments	AHP assessments	2		2		8		7		AHP assessments	3		2		5		5

Net income	Net income	$	16	$	23	$	67	$	58	Net income	$	24	$	17	$	45	$	51

The increase in net income for the traditional segment for the three months ended June 30, 2022 compared to the corresponding period in 2021 was primarily due to higher earnings on the portion of the Bank's assets funded by its capital, driven by the increase in market interest rates, partially offset by declines in the fair values of the investments indirectly funding certain employee benefit plans.

The decrease in net income for the traditional segment for the ~~three~~six months ended ~~September~~June 30, ~~2021~~2022 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~~losses on qualifying fair-value hedging relationships ~~substantially~~and declines in the fair values of investments indirectly funding certain employee benefit plans, partially offset by ~~lower~~higher earnings on the portion of the Bank's assets funded by its capital, ~~and lower~~driven by the increase in market interest rates.

Interest income on trading securities is recorded in net interest income, ~~resulting from narrower~~while the impact of purchase discount (premium) is recorded in other income through mark-to-market gains (losses) on trading securities. Net interest ~~spreads and the decline~~settlements on derivatives hedging trading securities are also recorded in ~~average asset balances.~~other income.

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


		Three Months Ended September 30,				Nine Months Ended September 30,					Three Months Ended June 30,				Six Months Ended June 30,
Mortgage Loans	Mortgage Loans	2021		2020		2021		2020		Mortgage Loans	2022		2021		2022		2021
Net interest income	Net interest income	$	8	$	(4)	$	12	$	14	Net interest income	$	13	$	4	$	25	$	4
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		—		—		—		Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)	—		—		—		(3)		Other income (loss)	—		—		—		—
Other expenses	Other expenses	4		4		12		12		Other expenses	4		4		7		8
Income (loss) before assessments	Income (loss) before assessments	4		(8)		—		(1)		Income (loss) before assessments	9		—		18		(4)
AHP assessments (credits)	AHP assessments (credits)	—		—		—		—		AHP assessments (credits)	1		—		2		—

Net income (loss)	Net income (loss)	$	4	$	(8)	$	—	$	(1)	Net income (loss)	$	8	$	—	$	16	$	(4)

The increase in net income for the mortgage loans segment for the three and six months ended ~~September~~June 30, ~~2021~~2022 compared to the corresponding ~~period~~periods in ~~2020~~2021 was ~~primarily~~substantially due to lower ~~but still accelerated~~ amortization of mortgage purchase ~~premium~~premiums resulting from 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).


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
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	$	26,958	44	%	$	31,347	48	%	Advances	$	30,507	47	%	$	27,498	46	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,570		12	%	8,516		13	%	Mortgage loans held for portfolio, net	7,730		12	%	7,616		13	%
Cash and short-term investments	Cash and short-term investments	8,329		13	%	5,627		9	%	Cash and short-term investments	7,381		12	%	7,048		12	%
Trading securities	Trading securities	4,859		8	%	5,095		8	%	Trading securities	4,039		6	%	3,947		7	%
Other investment securities	Other investment securities	13,816		22	%	14,846		22	%	Other investment securities	14,074		22	%	13,474		22	%
Other assets (1)	Other assets (1)	428		1	%	494		—	%	Other assets (1)	535		1	%	422		—	%

Total assets	Total assets	$	61,960	100	%	$	65,925	100	%	Total assets	$	64,266	100	%	$	60,005	100	%

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

Total assets as of June 30, 2022 were $64.3 billion, a net increase of $4.3 billion, or 7%, compared to December 31, 2021, primarily driven by a net increase in advances outstanding. The mix of our assets at ~~September~~June 30, ~~2021~~2022 changed slightly compared to December 31, ~~2020~~2021 in that advances as a percent of total assets increased fro~~declined~~m ~~from 48%~~46% to ~~44% while cash and short-term investments increased from 9% to 13%~~47%, reflecting primarily the ~~paydowns~~increased use of short-term ~~advances.~~advances by our members.

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 ~~September~~June 30, ~~2021~~2022 at carrying value totaled ~~$27.0~~$30.5 billion, a net ~~decrease~~increase of ~~$4.4~~$3.0 billion, or ~~14%~~11%, compared to December 31, ~~2020. The high levels of liquidity injected by the Federal Reserve and held~~2021. This increase reflects higher demand by our members ~~as deposits, alternative sources~~for advances in response to their loan growth significantly outpacing their deposit growth, rising market interest rates, and the availability of ~~wholesale funds available~~suitable products to assist our members ~~continued consolidation~~in managing their balance sheets in the ~~financial services industry involving our members, and governmental relief efforts continue to pressure overall advance levels.~~current economic environment.

Our advances portfolio is well-diversified with advances to commercial banks and savings institutions, credit unions, and insurance companies. Advances to depository institutions, as a percent of total advances outstanding at par value, were ~~54%~~55% at ~~September~~June 30, ~~2021,~~2022, while advances to insurance companies were ~~46%~~45%.

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


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
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)~~	$	11,766	44	%	$	14,749	48	%	Commercial banks and savings institutions ~~(1)~~	$	14,055	46	%	$	12,199	45	%
Credit unions	Credit unions	2,268		9	%	2,548		8	%	Credit unions	2,674		9	%	2,199		8	%
Former members - depositories	Former members - depositories	254		1	%	268		1	%	Former members - depositories	224		—	%	225		1	%
Total depository institutions	Total depository institutions	14,288		54	%	17,565		57	%	Total depository institutions	16,953		55	%	14,623		54	%

Insurance companies:	Insurance companies:									Insurance companies:
Captive insurance companies ~~(2)~~(1)	Captive insurance companies ~~(2)~~(1)	263		1	%	288		1	%	Captive insurance companies ~~(2)~~(1)	263		1	%	263		1	%
Other insurance companies	Other insurance companies	12,067		45	%	12,832		42	%	Other insurance companies	13,624		44	%	12,419		45	%
Former members - insurance companies		5		—	%	6		—	%
Former members - other insurance companies										Former members - other insurance companies	5		—	%	5		—	%
Total insurance companies	Total insurance companies	12,335		46	%	13,126		43	%	Total insurance companies	13,892		45	%	12,687		46	%

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

Total advances outstanding	Total advances outstanding	$	26,623	100	%	$	30,691	100	%	Total advances outstanding	$	30,845	100	%	$	27,310	100	%

(1)~~Includes advances outstanding at September 30, 2021 and December 31, 2020 of $2.5 billion, or 9%, an~~d $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 are not required to be repaid prior to their various maturity dates through ~~2024.~~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).


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
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)
Without call or put options										Without call or put options
Due in 1 year or less	Due in 1 year or less	$	6,797	26	%	$	10,023	33	%	Due in 1 year or less	$	12,593	41	%	$	7,670	29	%
Due after 1 year		6,562		25	%	7,998		26	%
Due after 1 through 5 years										Due after 1 through 5 years	5,437		18	%	5,708		21	%
Due after 5 through 15 years										Due after 5 through 15 years	978		3	%	752		3	%
Thereafter										Thereafter	2		—	%	2		—	%
Total	Total	13,359		51	%	18,021		59	%	Total	19,010		62	%	14,132		53	%

Callable or prepayable										Callable or prepayable
Due in 1 year or less										Due in 1 year or less	2		—	%	—		—	%
Due after 1 through 5 years										Due after 1 through 5 years	—		—	%	2		—	%
Due after 5 through 15 years										Due after 5 through 15 years	5		—	%	5		—	%
Thereafter										Thereafter	—		—	%	—		—	%
Total										Total	7		—	%	7		—	%

Putable	Putable									Putable
Due in 1 year or less	Due in 1 year or less	—		—	%	—		—	%	Due in 1 year or less	250		1	%	—		—	%
Due after 1 year		8,097		30	%	7,252		24	%
Due after 1 through 5 years										Due after 1 through 5 years	1,883		6	%	2,289		8	%
Due after 5 through 15 years										Due after 5 through 15 years	4,038		13	%	5,747		21	%
Thereafter										Thereafter	—		—	%	—		—	%
Total	Total	8,097		30	%	7,252		24	%	Total	6,171		20	%	8,036		29	%

Other (2)
Other (1)										Other (1)
Due in 1 year or less	Due in 1 year or less	23		—	%	32		—	%	Due in 1 year or less	50		—	%	50		—	%
Due after 1 year		129		—	%	147		—	%
Due after 1 through 5 years										Due after 1 through 5 years	54		—	%	64		—	%
Due after 5 through 15 years										Due after 5 through 15 years	32		—	%	24		—	%
Thereafter										Thereafter	16		—	%	3		—	%
Total	Total	152		—	%	179		—	%	Total	152		—	%	141		—	%

Total fixed-rate	Total fixed-rate	21,608		81	%	25,452		83	%	Total fixed-rate	25,340		82	%	22,316		82	%

Variable-rate:	Variable-rate:									Variable-rate:
Variable-rate (1)
Without call or put options										Without call or put options
Due in 1 year or less	Due in 1 year or less	10		—	%	24		—	%	Due in 1 year or less	256		1	%	18		—	%
Due after 1 year		—		—	%	—		—	%
Due after 1 through 5 years										Due after 1 through 5 years	167		1	%	167		1	%
Due after 5 through 15 years										Due after 5 through 15 years	—		—	%	—		—	%
Thereafter										Thereafter	—		—	%	—		—	%
Total	Total	10		—	%	24		—	%	Total	423		2	%	185		1	%

Callable or prepayable	Callable or prepayable									Callable or prepayable
Due in 1 year or less	Due in 1 year or less	36		—	%	36		—	%	Due in 1 year or less	221		1	%	126		—	%
Due after 1 year		4,939		19	%	5,179		17	%
Due after 1 through 5 years										Due after 1 through 5 years	2,965		9	%	2,831		10	%
Due after 5 through 15 years										Due after 5 through 15 years	1,443		5	%	1,297		5	%
Thereafter										Thereafter	355		1	%	555		2	%
Total	Total	4,975		19	%	5,215		17	%	Total	4,984		16	%	4,809		17	%

Total variable-rate	Total variable-rate	4,985		19	%	5,239		17	%	Total variable-rate	5,407		18	%	4,994		18	%

Overdrawn demand and overnight deposit accounts	Overdrawn demand and overnight deposit accounts	30		—	%	—		—	%	Overdrawn demand and overnight deposit accounts	98		—	%	—		—	%

Total advances	Total advances	$	26,623	100	%	$	30,691	100	%	Total advances	$	30,845	100	%	$	27,310	100	%

(1) Includes ~~advances without call or put options.~~

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

Table of Contents

During the ~~nine~~six months ended ~~September~~June 30, ~~2021, t~~he2022, the par value of advances due in one year or less ~~decreased~~increased by ~~32%~~71%, while advances due after one year decreased by 4%11%. As a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled ~~26%~~44% at ~~September~~June 30, ~~2021, a decrease~~2022, an increase from ~~33%~~29% at December 31, ~~2020~~2021. However, during the three months ended June 30, 2022, in response to the Bank exercising its option on certain long-term putable advances, several members replaced that funding with short-term advances without put options. Based on the earlier of the redemption date or the next put date, advances due in one year or less increased by 27%, while advances due after one year decreased by less than 1%. FAs a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled 55% at June 30, 2022, an increase from 49% at December 31, 2021. For additional information, see Notes to Financial Statements - Note 4 - Advances.

~~Table of Contents~~

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio at ~~September~~June 30, ~~2021,~~2022, at carrying value, totaled ~~$7.6~~$7.7 billion, a net ~~decrease~~increase of $~~946~~114 million, or ~~11%~~1%, from December 31, ~~2020,~~2021, as the Bank's purchases exceeded principal repayments ~~by borrowers significantly outpaced the Bank's purchases.~~. For the ~~nine~~six months ended ~~September~~June 30, ~~2021,~~2022, purchases of mortgage loans ~~from the Bank's members~~ under Advantage MPP totaled ~~$1.6 billion~~$772 million, while MPP and MPF program repayments totaled ~~$2.3 billion.~~ ~~In addition to low interest rates, Federal Reserve purchases of Fannie Mae and Freddie Mac MBS encouraged refinancing activity by borrowers.~~$600 million.

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

September 30, 2021 December 31, 2020
Product Type UPB % of Total UPB % of Total
MPP:
Conventional Advantage $ 6,786 92 % $ 7,529 90 %
Conventional Original 324 4 % 417 5 %
FHA 166 2 % 218 3 %
Total MPP 7,276 98 % 8,164 98 %
MPF Program:
Conventional 87 2 % 123 2 %
Government 28 — % 36 — %
Total MPF Program 115 2 % 159 2 %
Total mortgage loans held for portfolio $ 7,391 100 % $ 8,323 100 %

W~~e maintain an allowance for credit losses based on our best esti~~mate 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 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 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. We 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. We also authorized the suspension of foreclosure sales (with certain exceptions) through 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~~ ~~to $38 million at~~ ~~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 increased by $18 million from $12 million at~~ ~~December 31, 2020~~ ~~to $30 million at~~ ~~September 30, 2021~~.

~~Table of Contents~~

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	September 30, 2021		December 31, 2020		Change		Components	June 30, 2022		December 31, 2021		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	$	1,954	$	1,812	$	142	Cash and due from banks	$	60	$	868	$	(808)
Interest-bearing deposits	Interest-bearing deposits	100		100		—		Interest-bearing deposits	325		100		225
Securities purchased under agreements to resell	Securities purchased under agreements to resell	4,200		2,500		1,700		Securities purchased under agreements to resell	4,500		3,500		1,000
Federal funds sold	Federal funds sold	2,075		1,215		860		Federal funds sold	2,496		2,580		(84)
Total cash and short-term investments	Total cash and short-term investments	8,329		5,627		2,702		Total cash and short-term investments	7,381		7,048		333

Trading securities:	Trading securities:							Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	4,859		5,095		(236)		U.S. Treasury obligations	4,039		3,947		92
Total trading securities	Total trading securities	4,859		5,095		(236)		Total trading securities	4,039		3,947		92

Other investment securities:	Other investment securities:							Other investment securities:
AFS securities:	AFS securities:							AFS securities:
U.S. Treasury obligations								U.S. Treasury obligations	2,106		—		2,106
GSE and TVA debentures	GSE and TVA debentures	2,729		3,503		(774)		GSE and TVA debentures	2,086		2,697		(611)
GSE MBS		6,590		6,642		(52)
GSE multifamily MBS								GSE multifamily MBS	6,005		6,463		(458)
Total AFS securities	Total AFS securities	9,319		10,145		(826)		Total AFS securities	10,197		9,160		1,037

HTM securities:	HTM securities:							HTM securities:

Other U.S. obligations - guaranteed MBS		2,738		2,623		115
GSE MBS		1,759		2,078		(319)
Other U.S. obligations single-family MBS								Other U.S. obligations single-family MBS	2,522		2,626		(104)
GSE single-family MBS								GSE single-family MBS	722		816		(94)
GSE multifamily MBS								GSE multifamily MBS	633		872		(239)
Total HTM securities	Total HTM securities	4,497		4,701		(204)		Total HTM securities	3,877		4,314		(437)

Total investment securities	Total investment securities	18,675		19,941		(1,266)		Total investment securities	18,113		17,421		692

Total cash and investments, carrying value	Total cash and investments, carrying value	$	27,004	$	25,568	$	1,436	Total cash and investments, carrying value	$	25,494	$	24,469	$	1,025

Cash and Short-Term Investments. Cash and short-term investments at ~~September~~June 30, ~~2021~~2022 totaled ~~$8.3~~$7.4 billion, an increase of ~~$2.7 billion,~~$333 million, or ~~48%~~5%, from December 31, ~~2020.~~ 2021. Cash and short-term investments as a percent of total assets at June 30, 2022 and December 31, 2021 totaled 12%. 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, in particular at June 30, 2022, the availability of short-term investments at attractive interest rates, relative to our cost of funds.

Trading Securities. ~~The Bank purchases~~We purchase U.S. Treasury ~~securities~~obligations as trading securities to enhance ~~its~~the Bank's liquidity. Such securities outstanding at ~~September~~June 30, ~~2021~~2022 totaled ~~$4.9~~$4.0 billion ~~a decrease~~, an increase of ~~$236~~$92 million, or 5%2%, from December 31, ~~2020.~~2021.

As a result, the liquidity portfolio at June 30, 2022 totaled $11.4 billion, an increase of $425 million, or 4%, from December 31, 2021.

Table of Contents

Other Investment Securities. AFS securities at ~~September~~June 30, ~~2021~~2022 totaled ~~$9.3~~$10.2 billion, a net ~~decrease~~increase of ~~$826 million,~~$1.0 billion, or 8%11%, from December 31, ~~2020.~~2021. The ~~decrease~~increase resulted from ~~changes in the fair-value hedging basis adjustments associated with these securities and~~purchases of longer-term U.S. Treasury obligations, partially offset by principal payments on ~~GSE~~Agency debentures and ~~TVA debentures.~~MBS.

Net unrealized gains on AFS securities at ~~September~~June 30, ~~2021~~2022 totaled ~~$178~~$32 million, a net ~~increase~~decrease of ~~$41~~$120 million compared to December 31, ~~2020,~~2021, primarily due to changes in interest rates, credit spreads and volatility.

HTM securities at ~~September~~June 30, ~~2021~~2022 totaled ~~$4.5~~$3.9 billion, a net decrease of ~~$204~~$436 million, or 4%10%, from December 31, ~~2020.~~ 2021. The decrease resulted from principal payments on these ~~securities.~~

~~Table~~securities, partially offset by purchases of ~~Contents~~MBS.

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

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 %


	June 30, 2022				December 31, 2021
Interest-Rate Payment Terms	Estimated Fair Value		% of Total		Estimated Fair Value		% of Total



Total fixed-rate trading securities	$	4,039	100	%	$	3,947	100	%

	Amortized Cost		% of Total		Amortized Cost		% of Total














AFS (1) and HTM securities:
Total fixed-rate	$	10,375	74	%	$	9,226	69	%
Total variable-rate	3,667		26	%	4,096		31	%

Total AFS and HTM securities	$	14,042	100	%	$	13,322	100	%

(1) Carrying value for AFS is equal to estimated fair value.

The mix of fixed- vs. variable-rate AFS and HTM securities at ~~September~~June 30, ~~2021~~2022 changed slightly from December 31, ~~2020,~~2021, primarily due to ~~principal payments on~~purchases of fixed-rate ~~MBS.~~U.S. Treasury obligations. However, all of the fixed-rate ~~AFS~~AFS securities are swapped to effectively create variable-rate exposures, consistent with our balance sheet strategies to manage interest-rate risk.

Total Liabilities.Total liabilities at June 30, 2022 were $60.8 billion, a net increase of $4.3 billion, or 8%, from December 31, 2021, substantially due to an increase in consolidated obligations.

Deposits (Liabilities). Total deposits at ~~September~~June 30, ~~2021~~2022 were ~~$1.7 billion,~~$908 million, a net ~~increase~~decrease of ~~$361~~$459 million, or ~~26%~~34%, from December 31, ~~2020.~~2021. These deposits ~~represent~~provide 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 overall balance of our consolidated obligations fluctuates in relation to our total assets and the availability of alternative sources of funds. The carrying value of consolidated obligations outstanding at ~~September~~June 30, ~~2021~~2022 totaled ~~$55.9~~$59.0 billion, a net ~~decrease~~increase of ~~$4.0~~$4.6 billion, or 7%8%, from December 31, ~~2020. Such decrease~~2021, which reflected increased funding needs associated with the net ~~decrease~~increase in the Bank's total assets.

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The composition of our consolidated obligations can fluctuate significantly based on comparative changes in their cost levels, supply and demand conditions, demand for advances, and our overall balance sheet management strategy. The following table presents a breakdown by term of our consolidated obligations outstanding ($ amounts in millions).


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
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	$	12,715	22	%	$	16,620	28	%	Discount notes	$	19,617	32	%	$	12,118	22	%
CO bonds	CO bonds	19,459		35	%	31,127		52	%	CO bonds	8,950		15	%	14,357		26	%
Total due in 1 year or less	Total due in 1 year or less	32,174		57	%	47,747		80	%	Total due in 1 year or less	28,567		47	%	26,475		48	%
Long-term CO bonds	Long-term CO bonds	23,798		43	%	12,119		20	%	Long-term CO bonds	32,001		53	%	28,193		52	%

Total consolidated obligations	Total consolidated obligations	$	55,972	100	%	$	59,866	100	%	Total consolidated obligations	$	60,568	100	%	$	54,668	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 57% at September 30, 2021~~changed 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~~discount notes increased and CO bonds ~~increased from 20% of total consolidated obligations at December 31, 2020~~decreased, partially due to ~~43% at September 30, 2021.~~the increase in short-term advances. 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 it is in a qualifying hedge relationship ($ amounts in millions).

Hedged Item September 30, 2021 December 31, 2020
Advances $ 17,355 $ 16,573
Investments 14,307 15,035
Mortgage loans 280 361
CO bonds 20,530 17,473
Discount notes 600 950
Total notional $ 53,072 $ 50,392


Hedged Item	June 30, 2022		December 31, 2021
Advances	$	21,037	$	21,084
AFS securities	15,570		13,356
Mortgage loans MDCs	64		194
CO bonds	28,284		21,177


Total notional outstanding	$	64,955	$	55,811

The increase in the total notional amount outstanding during the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 of ~~$2.7~~$9.1 billion, or 5%16%, was substantially due to an increase in derivatives hedging CO bonds, driven primarily by ~~the~~an increase in long-term callable CO bonds, ~~outstanding.~~and an increase in fixed-rate AFS securities, driven primarily by the purchase of U.S. Treasury obligations.

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


September 30, 2021		Advances		Investments		CO Bonds		Total
June 30, 2022										June 30, 2022	Advances		AFS Securities		CO Bonds		Total
Cumulative fair-value hedging basis adjustments on hedged items	Cumulative fair-value hedging basis adjustments on hedged items	$	325	$	288	$	100	$	713	Cumulative fair-value hedging basis adjustments on hedged items	$	(345)	$	(577)	$	1,530	$	608
Estimated fair value of associated derivatives, net	Estimated fair value of associated derivatives, net	(327)		(1)		(93)		(421)		Estimated fair value of associated derivatives, net	344		869		(1,539)		(326)

Net cumulative fair-value hedging basis adjustments	Net cumulative fair-value hedging basis adjustments	$	(2)	$	287	$	7	$	292	Net cumulative fair-value hedging basis adjustments	$	(1)	$	292	$	(9)	$	282

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Total Capital. Total capital at June 30, 2022 was $3.5 billion, a net decrease of $79 million, or 2%, from December 31, 2021, primarily due to other comprehensive losses, which substantially resulted from unrealized losses on investments in MBS, driven by the increase in market interest rates.

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


Components	Components	September 30, 2021		December 31, 2020		Components	June 30, 2022		December 31, 2021
Capital stock	Capital stock	63	%	64	%	Capital stock	65	%	63	%
Retained earnings	Retained earnings	33	%	33	%	Retained earnings	35	%	33	%
AOCI	AOCI	4	%	3	%	AOCI	—	%	4	%
Total GAAP capital	Total GAAP capital	100	%	100	%	Total GAAP capital	100	%	100	%

The changes in the components of GAAP capital at ~~September~~June 30, ~~2021~~2022 compared to December 31, ~~2020~~2021 were primarily due to ~~an increase~~a decrease in net unrealized gains on AFS securities.

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


Reconciliation	Reconciliation	September 30, 2021		December 31, 2020		Reconciliation	June 30, 2022		December 31, 2021

Total GAAP capital	Total GAAP capital	$	3,551	$	3,450	Total GAAP capital	$	3,477	$	3,556
Exclude: AOCI	Exclude: AOCI	(151)		(105)		Exclude: AOCI	(14)		(133)
Add: MRCS	Add: MRCS	50		251		Add: MRCS	46		50
Total regulatory capital	Total regulatory capital	$	3,450	$	3,596	Total regulatory capital	$	3,509	$	3,473

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 ~~September~~June 30, ~~2021~~2022 totaled ~~$8.3~~$7.4 billion. Our short-term investments generally consist of high-quality financial instruments, many of which mature overnight. Our trading securities at ~~September~~June 30, ~~2021~~2022 totaled ~~$4.9~~$4.0 billion and consisted solely of U.S. Treasury ~~securities.~~obligations. As a result, our liquidity portfolio at ~~September~~June 30, ~~2021~~2022 totaled ~~$13.2~~$11.4 billion, or ~~21%~~18% of total assets. The level of our liquidity fluctuates and is influenced by regulatory requirements, actual and anticipated member advance activity and market ~~conditions.~~conditions and opportunities.

During the ~~nine~~six months ended ~~September~~June 30, ~~2021,~~2022, we maintained sufficient access to funding; our net proceeds from the issuance of consolidated obligations totaled ~~$216.5~~$380.1 billion.

Changes in Cash Flow. Net cash provided by operating activities for the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 was ~~$281~~$935 million, compared to net cash ~~used in~~provided by operating activities for the ~~nine~~six months ended ~~September~~June 30, ~~2020~~2021 of ~~$407~~$154 million. The net change in cash provided by operating activities of ~~$688~~$777 million was substantially due to the fluctuation in variation margin payments on cleared derivatives. Such payments are treated by the ~~clearinghouses~~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).


		September 30, 2021				December 31, 2020					June 30, 2022				December 31, 2021
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	$	1,130	50	%	$	1,108	45	%	Commercial banks and savings institutions	$	1,110	48	%	$	1,126	49	%
Credit unions	Credit unions	303		13	%	298		12	%	Credit unions	332		15	%	309		13	%
Total depository institutions	Total depository institutions	1,433		63	%	1,406		57	%	Total depository institutions	1,442		63	%	1,435		62	%
Insurance companies	Insurance companies	804		35	%	802		33	%	Insurance companies	809		35	%	811		35	%
CDFIs	CDFIs	—		—	%	—		—	%	CDFIs	—		—	%	—		—	%
Total capital stock, putable at par value	Total capital stock, putable at par value	2,237		98	%	2,208		90	%	Total capital stock, putable at par value	2,251		98	%	2,246		97	%

MRCS:	MRCS:									MRCS:
Captive insurance companies (1)	Captive insurance companies (1)	12		1	%	31		1	%	Captive insurance companies (1)	12		1	%	12		1	%
Former members		38		1	%	220		9	%
Other former members										Other former members	34		1	%	38		2	%

Total MRCS	Total MRCS	50		2	%	251		10	%	Total MRCS	46		2	%	50		3	%

Total regulatory capital stock	Total regulatory capital stock	$	2,287	100	%	$	2,459	100	%	Total regulatory capital stock	$	2,297	100	%	$	2,296	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~~$18 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	September 30, 2021			December 31, 2020			Components	June 30, 2022			December 31, 2021
Member capital stock not subject to outstanding redemption requests	Member capital stock not subject to outstanding redemption requests	$	842		$	605		Member capital stock not subject to outstanding redemption requests	$	636		$	798
Member capital stock subject to outstanding redemption requests	Member capital stock subject to outstanding redemption requests	11			—			Member capital stock subject to outstanding redemption requests	—			14
MRCS	MRCS	28			225			MRCS	23			28

Total excess capital stock	Total excess capital stock	$	881		$	830		Total excess capital stock	$	659		$	840

Excess stock as a percentage of regulatory capital stock	Excess stock as a percentage of regulatory capital stock	39		%	34		%	Excess stock as a percentage of regulatory capital stock	29		%	37		%

The ~~increase~~decrease in excess stock during the ~~nine~~six months ended ~~September~~June 30, ~~2021~~2022 resulted ~~substantially~~ from ~~the reduction in advances outstanding.~~

~~On July 29, 2021,~~repurchases totaling $167 million to comply with 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 September 30, 2021 was 1.42% of our total assets. Therefore,plan as a result of ~~these~~our 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 ratio exceeding 6.0% at January 31, 2022.

Capital Distributions. The following table summarizes our weighted-average dividend rate and dividend payout ratio.


	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Weighted-average dividend rate (1)	2.47	%	2.57	%	2.39	%	2.53	%
Dividend payout ratio (2)	41.10	%	81.59	%	43.15	%	59.42	%

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

(2) Dividends paid in cash during the period divided by net income for the period.

On ~~October~~July 28, ~~2021,~~2022, our board of directors declared a cash dividend on Class B-2 activity-based stock at an an~~nualized~~annualized rate of ~~3.25%~~4.75% and on Class B-1 non-activity-based stock at an annualized rate of ~~1.00%~~1.25%, resulting in a spread between the rates of ~~2.25~~3.50 percentage points. The overall weighted-average annualized rate ~~declared~~paid was ~~2.25%~~3.42%. The dividends were paid in cash on ~~October~~July 29, ~~2021.~~2022.

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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~~The following table presents our ~~we were in compliance with the~~ risk-based capital requirement in relation to our permanent capital at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ amounts in millions).


Risk-Based Capital Components	Risk-Based Capital Components	September 30, 2021		December 31, 2020		Risk-Based Capital Components	June 30, 2022		December 31, 2021
Credit risk	Credit risk	$	155	$	158	Credit risk	$	160	$	155
Market risk	Market risk	594		327		Market risk	777		684
Operations risk		224		146
Operational risk						Operational risk	281		252

Total risk-based capital requirement	Total risk-based capital requirement	$	973	$	631	Total risk-based capital requirement	$	1,218	$	1,091

Permanent capital	Permanent capital	$	3,450	$	3,596	Permanent capital	$	3,509	$	3,473

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~~CO bond-swap basis, volatility, option-adjusted spreads and ~~changes in~~balance sheet composition. The operational risk component is calculated as 30% of the ~~composition of our balance sheet.~~credit and market risk components. Our permanent capital at ~~September~~June 30, ~~2021~~2022 remained well in excess of our total risk-based capital requirement.

~~Off-Balance Sheet Arrangements~~

~~At 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~~2021 Form 10-K.

~~Table of Contents~~

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.

Finance ~~Agency.~~Agency Directorship Designations. The Director of the Finance Agency annually determines the size of the board of directors for each FHLBank, with the designation of member directorships based on the amount of FHLBank stock required to be held by members in each state. On June 1, 2022, the Finance Agency notified us that our board of directors would be comprised of eight member directorships and seven independent directorships beginning January 1, 2023. This will be a reduction of one member directorship and one independent directorship. The following table provides further detail on the changes.

~~FHLBank Membership Supervisory Letter~~. On September 9, 2021, the 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.



Director Composition	June 30, 2022	January 1, 2023
Member directors:
Indiana	5	5
Michigan	4	3
Total member directors	9	8
Independent directors	8	7

Total directors	17	15

~~Regulatory Interpretation~~Finance Agency Director's Testimony to the House Financial Services Committee on ~~Eligibility~~a Planned Review of ~~Mortgage Participations as Collateral for~~the FHLBank ~~Advances.~~ System.On ~~October 4, 2021,~~July 20, 2022, Finance Agency Director Thompson gave testimony to the House Financial Services Committee indicating that the Finance Agency ~~published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for~~intends to review the FHLBank ~~Advances. The Regulatory Interpretation addresses whether an FHLBank can accept as collateral to secure advances mortgage loan participations~~System. Director Thompson's testimony indicated that cannot be readily liquidated in the form in which they are to be pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet the requirements of Finance Agency regulation 12 CFR 1266.7(a)(4), including the requirement that the collateral can be "liquidated in due course" in order to be eligible to secure FHLBank advances. It further concludes that participations for which there would be a known impediment 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 13, 2021.

Although we do not currently expect the Regulatory Interpretation to have a material impact on our financial condition or results of 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~~plans to engage a ~~Policy Statement on Fair Lending~~variety of stakeholders in addition to ~~communicate~~holding public listening sessions throughout 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 publication.

On August 12, 2021, the Finance Agency and HUD announced they had entered into a Memorandum of Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agencies will focus on enhancing their enforcementcountry as part of the ~~Fair Housing Act,~~review. The Director's testimony also indicated that the review would examine matters ranging from the FHLBank System's membership base, operational efficiency, and ~~their oversight of Fannie Mae, Freddie Mac,~~effectiveness to more foundational questions about mission, purpose and organization. At this time, it is not possible to determine when these events will occur, whether any actions will result from these events, and how these events will ultimately impact us or the ~~FHLBanks.~~

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

~~COVID-19 Developments.~~

~~Additional COVID-19 Presidential, Legislative and Regulatory Developments.~~ In light of the COVID-19 pandemic, the President of the United States, through 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 the Bank or its members. 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.whole.

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~~Legislative Developments.~~Proposed Rule Implementing the Adjustable Interest Rate (LIBOR) Act. On July 28, 2022, the Board of Governors of the Federal Reserve System ("Board") published a proposed rule with a comment deadline of August 29, 2022 that would implement the Adjustable Interest Rate (LIBOR) Act. The proposed rule would provide default rules for certain contracts ("covered contracts") that: reference LIBOR, are governed by U.S. law, do not mature on or before the LIBOR replacement date, and lack adequate provisions to identify a replacement rate for LIBOR. The LIBOR replacement date is currently July 3, 2023. The proposed rule identifies separate Board-selected replacement rates for derivatives transactions, covered GSE contracts, and all other covered contracts. The proposed rule defines covered GSE contracts to include FHLBank advances. We are reviewing the proposed rule, however it is not possible to determine the extent to which the rule will be adopted as proposed and, as a result, the impact the final rule may have on us.

~~Affordable Housing~~Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions.~~. Congress continues~~ On July 29, 2022, FINRA filed a proposed rule with the SEC that will extend the implementation date of its amendments to ~~consider a legislative proposal, recently as part~~FINRA Rule 4210 delaying the effectiveness of margining requirements for covered agency transactions from October 26, 2022 until at least April 24, 2023. Once the ~~Congressional budget reconciliation process,~~margining requirements are effective, we may be required to collateralize our transactions that ~~if enacted~~are covered agency transactions, which include TBAs. These collateralization requirements could have the effect of reducing the overall profitability of engaging 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.~~covered agency transactions, including TBAs.

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~~2021 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 ~~September~~June 30, ~~2021,~~2022, our top borrower held ~~12%~~13% of total advances outstanding, at par, and our top five borrowers held ~~40%~~47% of total advances outstanding, at par. As a result of this concentration, we perform frequent credit and collateral reviews on our largest borrowers.

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).


September 30, 2021		AA		A		Total
June 30, 2022								June 30, 2022	AA		A		Total
Domestic	Domestic	$	—	$	100	$	100	Domestic	$	—	$	910	$	910
Australia	Australia	960		—		960		Australia	1,110		—		1,110
Canada	Canada	—		500		500		Canada	—		801		801

Netherlands		—		615		615

Total unsecured credit exposure	Total unsecured credit exposure	$	960	$	1,215	$	2,175	Total unsecured credit exposure	$	1,110	$	1,711	$	2,821

A Finance Agency regulation provides that the total amount of our investments in MBS, ~~and ABS,~~ calculated using amortized historical cost excluding the impact of certain derivatives adjustments, 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 September 30, 2021, these investments totaled 312% of total regulatory 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 purchaseAt June 30, 2022, these ~~investments.~~

investments totaled 293% of total regulatory capital.

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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 %


June 30, 2022																			June 30, 2022	AA			A			Total
Short-term investments:																			Short-term investments:
Interest-bearing deposits																			Interest-bearing deposits	$	—		$	325		$	325
Securities purchased under agreements to resell																			Securities purchased under agreements to resell	4,500			—			4,500
Federal funds sold																			Federal funds sold	1,110			1,386			2,496
Total short-term investments																			Total short-term investments	5,610			1,711			7,321
													Below
Trading securities:																			Trading securities:
U.S. Treasury obligations																			U.S. Treasury obligations	4,039			—			4,039
Total trading securities																			Total trading securities	4,039			—			4,039
													Investment
December 31, 2020	AAA			AA			A			BBB			Grade			Total
Other investment securities:																			Other investment securities:
U.S. Treasury obligations																			U.S. Treasury obligations	2,106			—			2,106
GSE and TVA debentures																			GSE and TVA debentures	2,086			—			2,086
GSE MBS																			GSE MBS	7,360			—			7,360
Other U.S. obligations - guaranteed RMBS																			Other U.S. obligations - guaranteed RMBS	2,522			—			2,522
Total other investment securities																			Total other investment securities	14,074			—			14,074

Total investments, carrying value																			Total investments, carrying value	$	23,723		$	1,711		$	25,434

Percentage of total																			Percentage of total	93		%	7		%	100		%

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		%

~~Table of Contents~~

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						Three Months Ended June 30, 2022				Six Months Ended June 30, 2022
LRA Activity	LRA Activity	Original		Advantage		Total			LRA Activity	Original		Advantage		Total		Original		Advantage		Total
Liability, beginning of period	Liability, beginning of period	$	4	$	216	$	220		Liability, beginning of period	$	4	$	232	$	236	$	4	$	227	$	231
Additions	Additions	—		5		5			Additions	—		4		4		—		9		9
Claims paid	Claims paid	—		—		—			Claims paid	—		—		—		—		—		—
Distributions to PFIs	Distributions to PFIs	—		—		—			Distributions to PFIs	(2)		(3)		(5)		(2)		(3)		(5)
Liability, end of period	Liability, end of period	$	4	$	221	$	225		Liability, end of period	$	2	$	233	$	235	$	2	$	233	$	235

Nine Months Ended September 30, 2021
LRA Activity Original Advantage Total
Liability, beginning of period $ 4 $ 203 $ 207
Additions — 18 18
Claims paid — — —
Distributions to PFIs — — —
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).


September 30, 2021		Notional Amount		Net Estimated Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure
June 30, 2022										June 30, 2022	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	$	63	$	—	$	—	$	—	Uncleared derivatives - A	$	89	$	1	$	—	$	1

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 - A	Uncleared derivatives - A	199		(5)		5		—		Uncleared derivatives - A	31,712		(1,012)		1,088		76

Uncleared derivatives - BBB										Uncleared derivatives - BBB	2,801		(102)		111		9
Cleared derivatives (1)	Cleared derivatives (1)	14,956		(3)		154		151		Cleared derivatives (1)	26,918		(71)		311		240
Total derivative positions with credit exposure to non-member counterparties	Total derivative positions with credit exposure to non-member counterparties	25,118		(5)		236		231		Total derivative positions with credit exposure to non-member counterparties	61,520		(1,184)		1,510		326
Total derivative positions with credit exposure to member institutions (2)	Total derivative positions with credit exposure to member institutions (2)	42		—		—		—		Total derivative positions with credit exposure to member institutions (2)	19		—		—		—
Subtotal - derivative positions with credit exposure	Subtotal - derivative positions with credit exposure	25,160		$	(5)	$	236	$	231	Subtotal - derivative positions with credit exposure	61,539		$	(1,184)	$	1,510	$	326
Derivative positions without credit exposure	Derivative positions without credit exposure	27,912								Derivative positions without credit exposure	3,416

Total derivative positions	Total derivative positions	$	53,072							Total derivative positions	$	64,955

(1) Represents derivative transactions cleared by two ~~clearinghouses~~Clearinghouses (one rated AA- and the other unrated). The net credit exposure to the Clearinghouse rated AA- is $237 million. The net credit exposure to the unrated Clearinghouse is $3 million.

(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 VaR, duration of equity, convexity, changes in MVE, duration gap, ~~convexity, VaR,~~and earnings at ~~risk, and changes in MVE.~~risk. 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 200 bps parallel upward or downward shift in the interest-rate curves as well as certain flattening and steepening scenarios.

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


September 30, 2021		Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
June 30, 2022																	June 30, 2022	Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
MVE	MVE	$	3,691		$	3,578		$	3,544		$	3,534		$	3,493		MVE	$	3,375		$	3,352		$	3,311		$	3,275		$	3,249
Percent change in MVE from base	Percent change in MVE from base	4.1		%	1.0		%	—		%	(0.3)		%	(1.5)		%	Percent change in MVE from base	1.9		%	1.2		%	—		%	(1.1)		%	(1.9)		%
MVE/book value of equity	MVE/book value of equity	102.5		%	99.4		%	98.4		%	98.1		%	97.0		%	MVE/book value of equity	95.8		%	95.2		%	94.0		%	93.0		%	92.2		%
Duration of equity	Duration of equity	1.9			1.8			0.4			0.7			1.6			Duration of equity	0.3			1.0			1.2			1.0			0.7


December 31, 2020
December 31, 2021																	December 31, 2021
MVE	MVE	$	3,621		$	3,605		$	3,559		$	3,579		$	3,590		MVE	$	3,599		$	3,485		$	3,530		$	3,556		$	3,543
Percent change in MVE from base	Percent change in MVE from base	1.8		%	1.3		%	0		%	0.6		%	0.9		%	Percent change in MVE from base	2.0		%	(1.3)		%	—		%	0.7		%	0.4		%
MVE/book value of equity	MVE/book value of equity	97.8		%	97.4		%	96.2		%	96.7		%	97.0		%	MVE/book value of equity	99.8		%	96.6		%	97.9		%	98.6		%	98.2		%
Duration of equity	Duration of equity	—			0.8			0.7			(0.7)			0.4			Duration of equity	0.9			1.7			(1.3)			(0.1)			0.6

(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~~2021 resulted primarily from the ~~change~~changes in market ~~value~~values 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 (0.02)% and 0.01%~~ at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020,~~2021 was 0.03% and (0.11)% , 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~~2021 Form 10-K.

~~Table of Contents~~

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.

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~~risks arising from the cessation of the publication of LIBOR 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~~replacement of LIBOR by June 30, 2023 to have a material adverse impact on the Bank's business, ~~financial condition or~~ results of ~~operations.~~operations or financial condition.

For more information, see Item 1A. Risk Factors - Changes in Response to orthe Replacement of the LIBOR Benchmark Interest Rate Could Adversely Affect Our Business, Financial Condition and Results of ~~Operations~~Operations. and Item 7A. Quantitative and Qualitative Disclosures About Market Risk in our ~~2020~~2021 Form 10-K.

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The following table presents our LIBOR-rate indexed financial instruments outstanding at ~~September~~June 30, ~~2021~~2022 and December 31, ~~2020~~2021 by year of maturity ($ amounts in millions).

LIBOR-Indexed Financial Instruments Year of Maturity
September 30, 2021 2021 2022 Through June 30, 2023 Thereafter Total
Assets:
Advances, par value (1)
$ — $ 198 $ 78 $ 2,324 $ 2,600
Mortgage-backed securities, par value (2)
— — — 2,879 2,879
Total $ — $ 198 $ 78 $ 5,203 $ 5,479
Interest-rate swaps - receive leg, notional (2):
Cleared $ 147 $ 1,421 $ 770 $ 3,768 $ 6,106
Uncleared 22 320 316 6,498 7,156
Total $ 169 $ 1,741 $ 1,086 $ 10,266 $ 13,262
Liabilities:
CO bonds, par value (2)
$ 825 $ — $ — $ — $ 825
Interest-rate swaps - pay leg, notional (2):
Cleared $ 4,815 $ 1,434 $ 200 $ — $ 6,449
Uncleared — — — 15 15
Total $ 4,815 $ 1,434 $ 200 $ 15 $ 6,464
Other derivatives, notional:
Interest-rate caps held (2)
$ — $ 15 $ — $ 611 $ 626


LIBOR-Indexed Financial Instruments	Year of Maturity
June 30, 2022	2022		Through June 30, 2023		Thereafter		Total		% of Total Outstanding
Assets:
Advances, par value (1)	$	24	$	48	$	2,240	$	2,312	7	%
MBS, par value (2)	—		—		2,306		2,306		22	%
Total	$	24	$	48	$	4,546	$	4,618

Interest-rate swaps - receive leg, notional (2):
Cleared	$	648	$	760	$	2,196	$	3,604	13	%
Uncleared	105		314		3,308		3,727		10	%
Total	$	753	$	1,074	$	5,504	$	7,331

Liabilities:


Interest-rate swaps - pay leg, notional (2):
Cleared	$	2,230	$	2,200	$	300	$	4,730	18	%

Total	$	2,230	$	2,200	$	300	$	4,730

Other derivatives, notional:
Interest-rate caps held (2)	$	—	$	—	$	611	$	611	100	%


December 31, 2020
December 31, 2021												December 31, 2021
Assets:	Assets:											Assets:
Advances, par value (1)	Advances, par value (1)	$	40	$	353	$	187	$	2,913	$	3,493	Advances, par value (1)	$	134	$	48	$	2,259	$	2,441	9	%
Mortgage-backed securities, par value (2)		—		32		—		3,555		3,587
MBS, par value (2)												MBS, par value (2)	—		—		2,669		2,669		25	%
Total	Total	$	40	$	385	$	187	$	6,468	$	7,080	Total	$	134	$	48	$	4,928	$	5,110

Interest-rate swaps - receive leg, notional (2):	Interest-rate swaps - receive leg, notional (2):											Interest-rate swaps - receive leg, notional (2):
Cleared	Cleared	$	2,037	$	1,464	$	786	$	4,218	$	8,505	Cleared	$	1,366	$	767	$	2,336	$	4,469	20	%
Uncleared	Uncleared	105		320		316		9,914		10,655		Uncleared	320		314		6,176		6,810		21	%
Total	Total	$	2,142	$	1,784	$	1,102	$	14,132	$	19,160	Total	$	1,686	$	1,081	$	8,512	$	11,279

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

Interest-rate swaps - pay leg, notional (2):	Interest-rate swaps - pay leg, notional (2):											Interest-rate swaps - pay leg, notional (2):
Cleared	Cleared	$	12,711	$	234	$	200	$	—	$	13,145	Cleared	$	3,134	$	1,150	$	—	$	4,284	19	%
Uncleared		2,950		—		—		204		3,154

Total	Total	$	15,661	$	234	$	200	$	204	$	16,299	Total	$	3,134	$	1,150	$	—	$	4,284

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	100	%

(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 ~~September~~June 30, ~~2021,~~2022, 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, weour management 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 ~~September~~June 30, ~~2021.~~2022.

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.

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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.

~~Table of Contents~~

Item 1A. RISK FACTORS

~~Except as noted below, th~~There have been no material changes in the risk factors described in Item 1A. Risk Factors of our ~~2020~~2021 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 the agreement, Flagstar would merge with a non-member depository. At September 30, 2021, Flagstar had advances outsta~~nding totaling $2.5 billion or 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 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. As a result, as with any loss of a large borrower, the consummation of the expected Flagstar merger could have a material adverse effect upon our future results of operations and financial 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 September 30, 2021 totaling ~~$3.1 billion, or~~ ~~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 nine months ended September 30, 2021, our top-selling PFI sold us mortgage loans totaling $185 million, or 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.

~~Table of Contents~~

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 Index


Exhibit Number						Description



3.110.1+						~~Organization Certificate of the~~ Federal Home Loan Bank of Indianapolis Incentive Plan, effective January 1, 2012, as updated on April 28, 2022, effective as of January 1, 2022, 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~~10.1 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~~						~~2005 Supplemental Executive Retirement Plan, dated January 1, 2008, as amended and Restated Effective as of August 1, 2021~~May 3, 2022

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

104						Cover Page Interactive Data File (formatted as inline XBRL)

* These documents are incorporated by reference.

+ Management contract or compensatory plan or arrangement.

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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

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

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

~~November 10, 2021~~2022	By:	/s/ K. LOWELL SHORT, JR.
	Name:	K. Lowell Short, Jr.
	Title:	Senior Vice President - Chief Accounting Officer

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


	Origination Year
Payment Status as of September 30, 2021	Prior to 2017		2017 to 2021		Total
Past due:
30-59 days	$	16,664	$	10,675	$	27,339
60-89 days	3,041		1,740		4,781
90 days or more	23,574		16,127		39,701
Total past due	43,279		28,542		71,821
Total current	2,685,414		4,618,028		7,303,442
Total conventional mortgage loans, amortized cost	$	2,728,693	$	4,646,570	$	7,375,263


	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


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



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)



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


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

Discount notes	12,714			14,445			17,573			16,617			19,462
CO bonds	43,225			42,363			42,794			43,333			41,148
Total consolidated obligations	55,939			56,808			60,367			59,950			60,610

MRCS	50			233			233			251			262

Capital stock	2,237			2,234			2,214			2,208			2,224
Retained earnings	1,163			1,157			1,153			1,137			1,124
AOCI	151			193			180			105			74
Total capital	3,551			3,584			3,547			3,450			3,422

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

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

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

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


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

MPF Program:
Conventional	87		2	%	123		2	%
Government	28		—	%	36		—	%
Total MPF Program	115		2	%	159		2	%

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