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 ~~June 30, 2021~~March 31, 2022


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

For the transition period from __________ to __________.

Commission File No. 000-51399

FEDERAL HOME LOAN BANK OF CINCINNATI

(Exact name of registrant as specified in its charter)


Federally chartered corporation of the United States						31-6000228
(State or other jurisdiction of incorporation or organization)						(I.R.S. Employer Identification No.)
600 Atrium Two, P.O. Box 598, Cincinnati, OHOhio						45201-0598
(Address of principal executive offices)						(Zip Code)

(513) 852-7500

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: 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 requirements for the past 90 days.

☒ Yes ☐ 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 during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

☒ Yes ☐ 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.


Large accelerated Filer ☐		Accelerated Filer ☐
Non-accelerated Filer	☒	Smaller reporting company	☐
		Emerging growth company	☐

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

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

☐ Yes ☒ No

The capital stock of the registrant is not listed on any securities exchange or quoted on any automated quotation system, only may be owned by members and former members and is transferable only at its par value of $100 per share. As of ~~July 31, 2021,~~April 30, 2022, the registrant had ~~25,385,576~~31,973,859 shares of capital stock outstanding, which included stock classified as mandatorily redeemable.


Page 1 of			7870

Table of Contents


	PART I - FINANCIAL INFORMATION

Item 1.	Financial Statements (Unaudited):

	Statements of Condition - ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021	3

	Statements of Income - Three ~~and six~~ months ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	4

	Statements of Comprehensive Income - Three ~~and six~~ months ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	5

	Statements of Capital - Three ~~and six~~ months ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	6

	Statements of Cash Flows - ~~Six~~Three months ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	7

	Notes to Unaudited Financial Statements	9

Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	4239

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	7567

Item 4.	Controls and Procedures	7567

	PART II - OTHER INFORMATION

Item 1.	Legal Proceedings	7668

Item 1A.	Risk Factors	7668

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	7668

Item 3.	Defaults Upon Senior Securities	7668

Item 4.	Mine Safety Disclosures	7668

Item 5.	Other Information	7668

Item 6.	Exhibits	7769

Signatures		7870

Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements.

FEDERAL HOME LOAN BANK OF CINCINNATI

STATEMENTS OF CONDITION

(Unaudited)

(In thousands, except par value)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
ASSETS	ASSETS					ASSETS
Cash and due from banks	Cash and due from banks	$	135,003	$	2,984,073	Cash and due from banks	$	21,898	$	167,822
Interest-bearing deposits	Interest-bearing deposits	374,147		555,104		Interest-bearing deposits	435,047		340,147
Securities purchased under agreements to resell	Securities purchased under agreements to resell	436,500		1,818,268		Securities purchased under agreements to resell	6,024,560		1,282,440
Federal funds sold	Federal funds sold	6,175,000		4,240,000		Federal funds sold	8,059,000		5,505,000
Investment securities:	Investment securities:					Investment securities:
Trading securities	Trading securities	9,327,467		10,488,124		Trading securities	6,050,632		6,780,817
Available-for-sale securities (amortized cost of $1,931,506 and $286,869 at June 30, 2021 and December 31, 2020, respectively)		1,947,871		291,587
Held-to-maturity securities (includes $0 and $0 pledged as collateral at June 30, 2021 and December 31, 2020, respectively, that may be repledged) (a)		8,835,019		9,648,171
Available-for-sale securities (amortized cost of $6,310,883 and $5,240,998 at March 31, 2022 and December 31, 2021, respectively)						Available-for-sale securities (amortized cost of $6,310,883 and $5,240,998 at March 31, 2022 and December 31, 2021, respectively)	6,299,236		5,267,123
Held-to-maturity securities (includes $0 and $0 pledged as collateral at March 31, 2022 and December 31, 2021, respectively, that may be repledged) (a)						Held-to-maturity securities (includes $0 and $0 pledged as collateral at March 31, 2022 and December 31, 2021, respectively, that may be repledged) (a)	10,904,822		10,216,756
Total investment securities	Total investment securities	20,110,357		20,427,882		Total investment securities	23,254,690		22,264,696
Advances (includes $26,066 and $27,202 at fair value under fair value option at June 30, 2021 and December 31, 2020, respectively)		23,586,541		25,362,003
Mortgage loans held for portfolio, net of allowance for credit losses of $248 and $248 at June 30, 2021 and December 31, 2020, respectively		7,716,841		9,548,506
Advances (includes $24,365 and $25,805 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)						Advances (includes $24,365 and $25,805 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)	33,528,853		23,054,748
Mortgage loans held for portfolio, net of allowance for credit losses of $238 and $233 at March 31, 2022 and December 31, 2021, respectively						Mortgage loans held for portfolio, net of allowance for credit losses of $238 and $233 at March 31, 2022 and December 31, 2021, respectively	7,555,457		7,588,184
Accrued interest receivable	Accrued interest receivable	96,727		113,701		Accrued interest receivable	113,677		88,672
Derivative assets	Derivative assets	216,216		215,888		Derivative assets	318,159		297,736
Other assets, net	Other assets, net	24,787		30,814		Other assets, net	24,515		28,140
TOTAL ASSETS	TOTAL ASSETS	$	58,872,119	$	65,296,239	TOTAL ASSETS	$	79,335,856	$	60,617,585
LIABILITIES	LIABILITIES					LIABILITIES
Deposits	Deposits	$	1,336,420	$	1,327,202	Deposits	$	1,510,088	$	1,415,651

Consolidated Obligations:	Consolidated Obligations:					Consolidated Obligations:
Discount Notes (includes $2,866,877 and $0 at fair value under fair value option at June 30, 2021 and December 31, 2020, respectively)		21,180,119		27,500,244
Bonds (includes $2,295,683 and $2,262,388 at fair value under fair value option at June 30, 2021 and December 31, 2020, respectively)		31,678,112		31,996,311
Discount Notes (includes $5,063,294 and $10,420,974 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)						Discount Notes (includes $5,063,294 and $10,420,974 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)	31,650,657		29,837,696
Bonds (includes $4,274,440 and $7,175,060 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)						Bonds (includes $4,274,440 and $7,175,060 at fair value under fair value option at March 31, 2022 and December 31, 2021, respectively)	40,015,698		24,601,838
Total Consolidated Obligations	Total Consolidated Obligations	52,858,231		59,496,555		Total Consolidated Obligations	71,666,355		54,439,534
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	13,719		19,454		Mandatorily redeemable capital stock	528,881		21,211
Accrued interest payable	Accrued interest payable	67,258		77,521		Accrued interest payable	57,152		60,682
Affordable Housing Program payable	Affordable Housing Program payable	101,724		110,772		Affordable Housing Program payable	80,403		84,504
Derivative liabilities	Derivative liabilities	2,389		3,813		Derivative liabilities	1,766		3,291
Other liabilities	Other liabilities	479,408		331,008		Other liabilities	1,218,312		796,811
Total liabilities	Total liabilities	54,859,149		61,366,325		Total liabilities	75,062,957		56,821,684
Commitments and contingencies	Commitments and contingencies	0		0		Commitments and contingencies	0		0
CAPITAL	CAPITAL					CAPITAL
Capital stock Class B putable ($100 par value); issued and outstanding shares: 27,184 shares at June 30, 2021 and 26,409 shares at December 31, 2020		2,718,430		2,640,863
Capital stock Class B putable ($100 par value); issued and outstanding shares: 30,005 shares at March 31, 2022 and 24,900 shares at December 31, 2021						Capital stock Class B putable ($100 par value); issued and outstanding shares: 30,005 shares at March 31, 2022 and 24,900 shares at December 31, 2021	3,000,535		2,490,016
Retained earnings:	Retained earnings:					Retained earnings:
Unrestricted	Unrestricted	791,390		802,715		Unrestricted	783,592		783,072
Restricted	Restricted	505,136		501,321		Restricted	512,941		509,719
Total retained earnings	Total retained earnings	1,296,526		1,304,036		Total retained earnings	1,296,533		1,292,791
Accumulated other comprehensive loss		(1,986)		(14,985)
Accumulated other comprehensive income (loss)						Accumulated other comprehensive income (loss)	(24,169)		13,094
Total capital	Total capital	4,012,970		3,929,914		Total capital	4,272,899		3,795,901
TOTAL LIABILITIES AND CAPITAL	TOTAL LIABILITIES AND CAPITAL	$	58,872,119	$	65,296,239	TOTAL LIABILITIES AND CAPITAL	$	79,335,856	$	60,617,585

(a)Fair values: ~~$8,947,316~~$10,818,201 and ~~$9,792,136~~$10,269,821 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively.

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

Table of Contents

FEDERAL HOME LOAN BANK OF CINCINNATI

STATEMENTS OF INCOME

(Unaudited)


(In thousands)	(In thousands)	Three Months Ended June 30,				Six Months Ended June 30,				(In thousands)	Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
INTEREST INCOME:	INTEREST INCOME:									INTEREST INCOME:
Advances	Advances	$	31,371	$	158,437	$	72,531	$	330,604	Advances	$	45,318	$	41,160
Prepayment fees on Advances, net	Prepayment fees on Advances, net	5,060		13,320		6,400		17,594		Prepayment fees on Advances, net	2,699		1,340
Interest-bearing deposits	Interest-bearing deposits	164		410		381		3,760		Interest-bearing deposits	179		217
Securities purchased under agreements to resell	Securities purchased under agreements to resell	53		236		267		10,390		Securities purchased under agreements to resell	928		214
Federal funds sold	Federal funds sold	1,204		554		2,546		29,080		Federal funds sold	3,225		1,342
Investment securities:	Investment securities:									Investment securities:
Trading securities	Trading securities	53,670		67,691		111,722		135,595		Trading securities	37,826		58,052
Available-for-sale securities	Available-for-sale securities	344		619		1,679		4,015		Available-for-sale securities	5,018		1,335
Held-to-maturity securities	Held-to-maturity securities	24,412		48,379		54,143		116,683		Held-to-maturity securities	23,908		29,731
Total investment securities	Total investment securities	78,426		116,689		167,544		256,293		Total investment securities	66,752		89,118
Mortgage loans held for portfolio	Mortgage loans held for portfolio	38,430		74,151		82,844		163,408		Mortgage loans held for portfolio	48,576		44,414
Loans to other FHLBanks		0		0		0		60

Total interest income	Total interest income	154,708		363,797		332,513		811,189		Total interest income	167,677		177,805
INTEREST EXPENSE:	INTEREST EXPENSE:									INTEREST EXPENSE:
Consolidated Obligations:	Consolidated Obligations:									Consolidated Obligations:
Discount Notes	Discount Notes	1,761		83,332		7,229		259,456		Discount Notes	10,802		5,468
Bonds	Bonds	86,589		129,808		182,775		315,795		Bonds	75,075		96,186
Total Consolidated Obligations	Total Consolidated Obligations	88,350		213,140		190,004		575,251		Total Consolidated Obligations	85,877		101,654
Deposits	Deposits	97		198		248		3,174		Deposits	179		151

Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	110		864		204		1,054		Mandatorily redeemable capital stock	831		94

Total interest expense	Total interest expense	88,557		214,202		190,456		579,479		Total interest expense	86,887		101,899
NET INTEREST INCOME	NET INTEREST INCOME	66,151		149,595		142,057		231,710		NET INTEREST INCOME	80,790		75,906

NON-INTEREST INCOME (LOSS):	NON-INTEREST INCOME (LOSS):									NON-INTEREST INCOME (LOSS):
Net gains (losses) on investment securities	Net gains (losses) on investment securities	(15,389)		(10,404)		(154,249)		362,002		Net gains (losses) on investment securities	(160,163)		(138,860)
Net gains (losses) on financial instruments held under fair value option	Net gains (losses) on financial instruments held under fair value option	2,602		25,741		6,507		(25,089)		Net gains (losses) on financial instruments held under fair value option	18,678		3,905
Net gains (losses) on derivatives and hedging activities		(36,079)		(33,972)		61,065		(327,938)
Standby Letters of Credit fees		6,632		3,234		12,443		5,704
Net gains (losses) on derivatives										Net gains (losses) on derivatives	97,105		97,144
Letters of Credit fees										Letters of Credit fees	6,161		5,811
Other, net	Other, net	394		376		829		985		Other, net	1,026		435
Total non-interest income (loss)	Total non-interest income (loss)	(41,840)		(15,025)		(73,405)		15,664		Total non-interest income (loss)	(37,193)		(31,565)
NON-INTEREST EXPENSE:	NON-INTEREST EXPENSE:									NON-INTEREST EXPENSE:
Compensation and benefits	Compensation and benefits	12,086		11,951		24,989		25,291		Compensation and benefits	14,106		12,903
Other operating expenses	Other operating expenses	5,232		4,968		11,184		11,071		Other operating expenses	6,162		5,952
Finance Agency	Finance Agency	1,879		1,629		3,758		3,257		Finance Agency	1,797		1,879
Office of Finance	Office of Finance	1,171		1,445		2,442		2,703		Office of Finance	1,759		1,271

Other	Other	3,543		4,025		5,061		5,976		Other	1,779		1,518
Total non-interest expense	Total non-interest expense	23,911		24,018		47,434		48,298		Total non-interest expense	25,603		23,523
INCOME BEFORE ASSESSMENTS	INCOME BEFORE ASSESSMENTS	400		110,552		21,218		199,076		INCOME BEFORE ASSESSMENTS	17,994		20,818
Affordable Housing Program assessments	Affordable Housing Program assessments	51		11,142		2,142		20,013		Affordable Housing Program assessments	1,883		2,091

NET INCOME	NET INCOME	$	349	$	99,410	$	19,076	$	179,063	NET INCOME	$	16,111	$	18,727

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

Table of Contents

FEDERAL HOME LOAN BANK OF CINCINNATI

STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited)


(In thousands)	(In thousands)	Three Months Ended June 30,				Six Months Ended June 30,				(In thousands)	Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Net income	Net income	$	349	$	99,410	$	19,076	$	179,063	Net income	$	16,111	$	18,727
Other comprehensive income adjustments:	Other comprehensive income adjustments:									Other comprehensive income adjustments:
Net unrealized gains (losses) on available-for-sale securities	Net unrealized gains (losses) on available-for-sale securities	8,960		22		11,647		(883)		Net unrealized gains (losses) on available-for-sale securities	(37,772)		2,687
Pension and postretirement benefits	Pension and postretirement benefits	676		581		1,352		1,144		Pension and postretirement benefits	509		676
Total other comprehensive income (loss) adjustments	Total other comprehensive income (loss) adjustments	9,636		603		12,999		261		Total other comprehensive income (loss) adjustments	(37,263)		3,363
Comprehensive income		$	9,985	$	100,013	$	32,075	$	179,324
Comprehensive income (loss)										Comprehensive income (loss)	$	(21,152)	$	22,090

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

Table of Contents

FEDERAL HOME LOAN BANK OF CINCINNATI

STATEMENTS OF CAPITAL

(Unaudited)

(In thousands) Capital Stock
Class B - Putable Retained Earnings Accumulated Other Comprehensive Total
Shares Par Value Unrestricted Restricted Total Loss Capital
BALANCE, MARCH 31, 2020 47,394 $ 4,739,413 $ 690,615 $ 461,979 $ 1,152,594 $ (16,736) $ 5,875,271
Comprehensive income (loss) 79,528 19,882 99,410 603 100,013
Proceeds from sale of capital stock 313 31,339 31,339
Repurchase of capital stock (9,500) (950,000) (950,000)
Net shares reclassified to mandatorily redeemable capital stock (76) (7,642) (7,642)
Partial recovery of prior capital distribution to Financing Corporation 16,533 16,533 16,533
Cash dividends on capital stock (21,592) (21,592) (21,592)
BALANCE, JUNE 30, 2020 38,131 $ 3,813,110 $ 765,084 $ 481,861 $ 1,246,945 $ (16,133) $ 5,043,922
BALANCE, MARCH 31, 2021 27,479 $ 2,747,938 $ 803,806 $ 505,066 $ 1,308,872 $ (11,622) $ 4,045,188
Comprehensive income (loss) 279 70 349 9,636 9,985
Proceeds from sale of capital stock 6,289 628,894 628,894
Repurchase of capital stock (5,984) (598,402) (598,402)
Net shares reclassified to mandatorily
redeemable capital stock (600) (60,000) (60,000)
Cash dividends on capital stock (12,695) (12,695) (12,695)
BALANCE, JUNE 30, 2021 27,184 $ 2,718,430 $ 791,390 $ 505,136 $ 1,296,526 $ (1,986) $ 4,012,970


(In thousands)	(In thousands)	Capital Stock Class B - Putable			Retained Earnings						Accumulated Other Comprehensive		Total		(In thousands)	Capital Stock Class B - Putable			Retained Earnings						Accumulated Other Comprehensive		Total
		Shares	Par Value		Unrestricted		Restricted		Total		Loss		Capital			Shares	Par Value		Unrestricted		Restricted		Total		Loss		Capital

BALANCE, DECEMBER 31, 2019		33,664	$	3,366,428	$	648,374	$	446,048	$	1,094,422	$	(16,394)	$	4,444,456
Adjustment for cumulative effect of accounting change					366				366				366
Comprehensive income (loss)					143,250		35,813		179,063		261		179,324
Proceeds from sale of capital stock		21,042	2,104,201										2,104,201
Repurchase of capital stock		(11,000)	(1,100,000)										(1,100,000)
Net shares reclassified to mandatorily redeemable capital stock		(5,575)	(557,519)										(557,519)
Partial recovery of prior capital distribution to Financing Corporation					16,533				16,533				16,533

Cash dividends on capital stock					(43,439)				(43,439)				(43,439)
BALANCE, JUNE 30, 2020		38,131	$	3,813,110	$	765,084	$	481,861	$	1,246,945	$	(16,133)	$	5,043,922

BALANCE, DECEMBER 31, 2020	BALANCE, DECEMBER 31, 2020	26,409	$	2,640,863	$	802,715	$	501,321	$	1,304,036	$	(14,985)	$	3,929,914	BALANCE, DECEMBER 31, 2020	26,409	$	2,640,863	$	802,715	$	501,321	$	1,304,036	$	(14,985)	$	3,929,914

Comprehensive income (loss)	Comprehensive income (loss)				15,261		3,815		19,076		12,999		32,075		Comprehensive income (loss)				14,982		3,745		18,727		3,363		22,090
Proceeds from sale of capital stock	Proceeds from sale of capital stock	10,049	1,004,972										1,004,972		Proceeds from sale of capital stock	3,760	376,078										376,078
Repurchase of capital stock	Repurchase of capital stock	(8,664)	(866,402)										(866,402)		Repurchase of capital stock	(2,680)	(268,000)										(268,000)
Net shares reclassified to mandatorily redeemable capital stock	Net shares reclassified to mandatorily redeemable capital stock	(610)	(61,003)										(61,003)		Net shares reclassified to mandatorily redeemable capital stock	(10)	(1,003)										(1,003)

Cash dividends on capital stock	Cash dividends on capital stock				(26,586)				(26,586)				(26,586)		Cash dividends on capital stock				(13,891)				(13,891)				(13,891)
BALANCE, JUNE 30, 2021		27,184	$	2,718,430	$	791,390	$	505,136	$	1,296,526	$	(1,986)	$	4,012,970
BALANCE, MARCH 31, 2021															BALANCE, MARCH 31, 2021	27,479	$	2,747,938	$	803,806	$	505,066	$	1,308,872	$	(11,622)	$	4,045,188

BALANCE, DECEMBER 31, 2021															BALANCE, DECEMBER 31, 2021	24,900	$	2,490,016	$	783,072	$	509,719	$	1,292,791	$	13,094	$	3,795,901

Comprehensive income (loss)															Comprehensive income (loss)				12,889		3,222		16,111		(37,263)		(21,152)
Proceeds from sale of capital stock															Proceeds from sale of capital stock	19,117	1,911,678										1,911,678

Net shares reclassified to mandatorily redeemable capital stock															Net shares reclassified to mandatorily redeemable capital stock	(14,012)	(1,401,159)										(1,401,159)

Cash dividends on capital stock															Cash dividends on capital stock				(12,369)				(12,369)				(12,369)
BALANCE, MARCH 31, 2022															BALANCE, MARCH 31, 2022	30,005	$	3,000,535	$	783,592	$	512,941	$	1,296,533	$	(24,169)	$	4,272,899

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

Table of Contents

FEDERAL HOME LOAN BANK OF CINCINNATI

STATEMENTS OF CASH FLOWS

(Unaudited)


(In thousands)	(In thousands)	Six Months Ended June 30,				(In thousands)	Three Months Ended March 31,
		2021		2020					2022		2021
OPERATING ACTIVITIES:	OPERATING ACTIVITIES:							OPERATING ACTIVITIES:
Net income	Net income	$	19,076	$	179,063			Net income	$	16,111	$	18,727
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	Adjustments to reconcile net income to net cash provided by (used in) operating activities:							Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Depreciation and amortization		47,699		40,466
Depreciation and amortization/(accretion)								Depreciation and amortization/(accretion)	16,717		20,233
Net change in derivative and hedging activities	Net change in derivative and hedging activities	96,090		(224,019)				Net change in derivative and hedging activities	519,136		90,177
Net change in fair value adjustments on trading securities	Net change in fair value adjustments on trading securities	154,249		(362,002)				Net change in fair value adjustments on trading securities	160,163		138,860
Net change in fair value adjustments on financial instruments held under fair value option	Net change in fair value adjustments on financial instruments held under fair value option	(6,507)		25,089				Net change in fair value adjustments on financial instruments held under fair value option	(18,678)		(3,905)
Other adjustments, net	Other adjustments, net	447		569				Other adjustments, net	229		223
Net change in:	Net change in:							Net change in:
Accrued interest receivable	Accrued interest receivable	16,981		36,565				Accrued interest receivable	(25,005)		(8,968)
Other assets	Other assets	4,868		3,172				Other assets	2,774		2,746
Accrued interest payable	Accrued interest payable	(19,376)		(40,551)				Accrued interest payable	(3,232)		(18,542)
Other liabilities	Other liabilities	(13,293)		20,018				Other liabilities	(9,128)		(9,436)
Total adjustments	Total adjustments	281,158		(500,693)				Total adjustments	642,976		211,388
Net cash provided by (used in) operating activities	Net cash provided by (used in) operating activities	300,234		(321,630)				Net cash provided by (used in) operating activities	659,087		230,115

INVESTING ACTIVITIES:	INVESTING ACTIVITIES:							INVESTING ACTIVITIES:
Net change in:	Net change in:							Net change in:
Interest-bearing deposits	Interest-bearing deposits	232,472		(590,355)				Interest-bearing deposits	(88,866)		300,462
Securities purchased under agreements to resell	Securities purchased under agreements to resell	1,381,768		1,384,740				Securities purchased under agreements to resell	(4,742,120)		1,529,968
Federal funds sold	Federal funds sold	(1,935,000)		1,308,000				Federal funds sold	(2,554,000)		(565,000)
Premises, software, and equipment	Premises, software, and equipment	(501)		(863)				Premises, software, and equipment	65		(252)
Trading securities:	Trading securities:							Trading securities:

Proceeds from maturities		750,062		54
Proceeds from sale		256,346		0
Proceeds from maturities and paydowns								Proceeds from maturities and paydowns	570,023		750,038
Proceeds from sales								Proceeds from sales	—		14,008

Available-for-sale securities:	Available-for-sale securities:							Available-for-sale securities:
Proceeds from maturities		0		1,810,000

Purchases	Purchases	(1,649,104)		(400,000)				Purchases	(1,388,983)		—
Held-to-maturity securities:	Held-to-maturity securities:							Held-to-maturity securities:

Proceeds from maturities		1,582,303		1,659,909
Proceeds from maturities and paydowns								Proceeds from maturities and paydowns	484,292		777,871

Purchases	Purchases	(616,065)		(34,234)				Purchases	(758,598)		(40,483)
Advances:	Advances:							Advances:
Repaid	Repaid	254,966,449		359,827,848				Repaid	201,519,184		49,540,950
Originated	Originated	(253,337,180)		(360,969,150)				Originated	(212,214,458)		(48,690,088)
Mortgage loans held for portfolio:	Mortgage loans held for portfolio:							Mortgage loans held for portfolio:
Principal collected	Principal collected	2,205,296		1,667,502				Principal collected	415,176		1,165,828
Purchases	Purchases	(432,636)		(2,161,320)				Purchases	(399,702)		(247,646)
Net cash provided by (used in) investing activities	Net cash provided by (used in) investing activities	3,404,210		3,502,131				Net cash provided by (used in) investing activities	(19,157,987)		4,535,656

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

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(continued from previous page)	(continued from previous page)							(continued from previous page)
FEDERAL HOME LOAN BANK OF CINCINNATI	FEDERAL HOME LOAN BANK OF CINCINNATI					FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF CASH FLOWS	STATEMENTS OF CASH FLOWS					STATEMENTS OF CASH FLOWS

(Unaudited)	(Unaudited)							(Unaudited)

(In thousands)	(In thousands)	Six Months Ended June 30,				(In thousands)	Three Months Ended March 31,
		2021		2020					2022		2021
FINANCING ACTIVITIES:	FINANCING ACTIVITIES:							FINANCING ACTIVITIES:
Net change in deposits and pass-through reserves	Net change in deposits and pass-through reserves	$	9,718	$	281,252			Net change in deposits and pass-through reserves	$	95,227	$	76,707
Net proceeds (payments) on derivative contracts with financing elements		0		(689)

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	99,552,017		180,208,634				Discount Notes	69,619,730		48,587,907
Bonds	Bonds	19,762,205		20,341,399				Bonds	22,046,918		9,575,470

Payments for maturing and retiring Consolidated Obligations:	Payments for maturing and retiring Consolidated Obligations:							Payments for maturing and retiring Consolidated Obligations:
Discount Notes	Discount Notes	(105,864,700)		(184,963,367)				Discount Notes	(67,804,719)		(49,208,016)
Bonds	Bonds	(20,058,000)		(19,462,565)				Bonds	(6,610,000)		(13,757,000)
Proceeds from issuance of capital stock	Proceeds from issuance of capital stock	1,004,972		2,104,201				Proceeds from issuance of capital stock	1,911,678		376,078
Payments for repurchase of capital stock	Payments for repurchase of capital stock	(866,402)		(1,100,000)				Payments for repurchase of capital stock	—		(268,000)
Payments for repurchase/redemption of mandatorily redeemable capital stock	Payments for repurchase/redemption of mandatorily redeemable capital stock	(66,738)		(560,138)				Payments for repurchase/redemption of mandatorily redeemable capital stock	(893,489)		(5,127)
Cash dividends paid	Cash dividends paid	(26,586)		(43,439)				Cash dividends paid	(12,369)		(13,891)
Partial recovery of prior capital distribution to Financing Corporation		0		16,533

Net cash provided by (used in) financing activities	Net cash provided by (used in) financing activities	(6,553,514)		(3,178,179)				Net cash provided by (used in) financing activities	18,352,976		(4,635,872)
Net increase (decrease) in cash and due from banks	Net increase (decrease) in cash and due from banks	(2,849,070)		2,322				Net increase (decrease) in cash and due from banks	(145,924)		129,899
Cash and due from banks at beginning of the period	Cash and due from banks at beginning of the period	2,984,073		20,608				Cash and due from banks at beginning of the period	167,822		2,984,073
Cash and due from banks at end of the period	Cash and due from banks at end of the period	$	135,003	$	22,930			Cash and due from banks at end of the period	$	21,898	$	3,113,972
Supplemental Disclosures:	Supplemental Disclosures:							Supplemental Disclosures:
Interest paid	Interest paid	$	214,794	$	643,599			Interest paid	$	86,318	$	123,211
Affordable Housing Program payments, net	Affordable Housing Program payments, net	$	11,190	$	14,108			Affordable Housing Program payments, net	$	5,984	$	4,621

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

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FEDERAL HOME LOAN BANK OF CINCINNATI

NOTES TO UNAUDITED FINANCIAL STATEMENTS

Background Information

The Federal Home Loan Bank of Cincinnati (the FHLB), a federally chartered corporation, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The FHLB is regulated by the Federal Housing Finance Agency (Finance Agency).

Note 1 - Basis of Presentation

The accompanying interim financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make assumptions and estimates. These assumptions and estimates affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. The interim financial statements presented are unaudited, but they include all adjustments (consisting of only normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the financial condition, results of operations, and cash flows for such periods. These financial statements do not include all disclosures associated with annual financial statements and accordingly should be read in conjunction with the audited financial statements and notes included in the FHLB's Annual Report on Form 10-K for the year ended December 31, ~~2020~~2021 filed with the Securities and Exchange Commission (SEC). Results for the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 are not necessarily indicative of operating results for the full year.

The FHLB presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these instruments, the FHLB has elected to offset its asset and liability positions, as well as cash collateral received or pledged, when it has met the netting requirements. The FHLB did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 6. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. For more information about the FHLB's investments in securities purchased under agreements to resell, see “Item 8. Financial Statements and Supplementary Data - Note 1 - Summary of Significant Accounting Policies” in the FHLB's ~~2020~~2021 Annual Report on Form 10-K.

Subsequent Events

The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements.

Note 2 - Recently Issued and Adopted Accounting Guidance

Troubled Debt Restructurings and Vintage Disclosures. On March 31, 2022, the Financial Accounting Standards Board (FASB) issued guidance that eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases. The guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2023. Early adoption is permitted. The FHLB does not intend to adopt this guidance early. The FHLB is in the process of evaluating this guidance, and its effect on the FHLB’s financial condition, results of operations, and cash flows has not yet been determined.

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Fair Value Hedging - Portfolio Layer Method. On March 28, 2022, the FASB issued guidance that expands fair value hedging under the current last-of-layer method by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this guidance (1) expands the scope of the portfolio layer method to include nonprepayable assets, (2) specifies eligible hedging instruments in a single-layer hedge, (3) provides additional guidance on the accounting for and disclosure of hedge basis adjustments under the portfolio layer method, and (4) specifies how hedge basis adjustments should be considered when determining credit losses for the assets included in the closed portfolio. The guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2023. Early adoption is permitted. The FHLB does not intend to adopt this guidance early. The FHLB is in the process of evaluating this guidance, and its effect on the FHLB’s financial condition, results of operations, and cash flows has not yet been determined.

Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended. On March 12, 2020, the ~~Financial Accounting Standards Board (FASB)~~FASB issued temporary, optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying GAAP to transactions affected by reference rate reform if certain criteria are met. The transactions primarily include (1) contract modifications, (2) hedging relationships, and (3) sale and/or transfer of debt securities classified as held-to-maturity. This guidance became effective immediately, ~~for~~and the FHLB ~~and~~may elect to apply the amendments ~~may be applied prospectively~~ through December 31, 2022. The FHLB either elected or plans to elect the majority of the optional expedients and exceptions ~~provided; however,~~provided, and the ~~full~~ effect on the FHLB's financial condition, results of operations and cash flows ~~has~~is not ~~yet been determined.~~expected to be material. In particular, during the

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fourth quarter of ~~2020,~~2021, the FHLB elected optional practical expedients specific to ~~the discounting transition on a retrospective basis,~~fair value hedging relationships, which did not have a material effect.

Note 3 - Investments

The FHLB makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold and may make other investments in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity.

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

The FHLB invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are transacted with counterparties that have received a credit rating of single-A or greater by a nationally recognized statistical rating organization (NRSRO). The FHLB’s internal ratings of these counterparties may differ from those issued by an NRSRO.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the FHLB may extend to a counterparty. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the contractual terms. ~~NaN~~No allowance for credit losses was recorded for these assets at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of (in thousands) ~~$50~~$92 and ~~$12~~$72 as of ~~June 30, 2021,~~March 31, 2022, and ~~$72~~$1 and $10 as of December 31, ~~2020.~~2021.

Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e., subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with counterparties, the FHLB determined that 0no allowance for credit losses was needed for its securities purchased under agreements to resell at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of (in thousands) $8$70 and ~~$13~~$10 as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021, respectively.

Debt Securities

The FHLB invests in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. The FHLB is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities and instruments that experienced credit deterioration after their purchase by the FHLB.

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Trading Securities

Table 3.1 - Trading Securities by Major Security Types (in thousands)


Fair Value	Fair Value	June 30, 2021		December 31, 2020		Fair Value	March 31, 2022		December 31, 2021
Non-mortgage-backed securities (non-MBS):	Non-mortgage-backed securities (non-MBS):					Non-mortgage-backed securities (non-MBS):
U.S. Treasury obligations	U.S. Treasury obligations	$	7,536,087	$	8,362,211	U.S. Treasury obligations	$	4,412,952	$	5,030,946
GSE obligations	GSE obligations	1,791,111		2,125,580		GSE obligations	1,637,495		1,749,661
Total non-MBS	Total non-MBS	9,327,198		10,487,791		Total non-MBS	6,050,447		6,780,607
Mortgage-backed securities (MBS):	Mortgage-backed securities (MBS):					Mortgage-backed securities (MBS):
U.S. obligation single-family MBS		269		333
U.S. obligation single-family						U.S. obligation single-family	185		210
Total MBS						Total MBS	185		210
Total	Total	$	9,327,467	$	10,488,124	Total	$	6,050,632	$	6,780,817

Table 3.2 - Net Gains (Losses) on Trading Securities (in thousands)


		Three Months Ended June 30,				Six Months Ended June 30,				Three Months Ended March 31,
		2021		2020		2021		2020				2022		2021
Net unrealized gains (losses) on trading securities held at period end	Net unrealized gains (losses) on trading securities held at period end	$	(8,603)	$	(10,404)	$	(143,842)	$	362,002		Net unrealized gains (losses) on trading securities held at period end	$	(158,514)	$	(135,239)
Net gains (losses) on trading securities sold/matured during the period	Net gains (losses) on trading securities sold/matured during the period	(6,786)		0		(10,407)		0			Net gains (losses) on trading securities sold/matured during the period	(1,649)		(3,621)
Net gains (losses) on trading securities	Net gains (losses) on trading securities	$	(15,389)	$	(10,404)	$	(154,249)	$	362,002		Net gains (losses) on trading securities	$	(160,163)	$	(138,860)

Available-for-Sale Securities

Table 3.3 - Available-for-Sale Securities by Major Security Types (in thousands)


		June 30, 2021									March 31, 2022
		Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value			Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:
U.S. Treasury obligations	U.S. Treasury obligations	$	1,654,897	$	8,783	$	0	$	1,663,680	U.S. Treasury obligations	$	5,214,648	$	2,483	$	(2,865)	$	5,214,266
GSE obligations	GSE obligations	135,740		2,423		0		138,163		GSE obligations	125,850		1,455		—		127,305
Total non-MBS	Total non-MBS	1,790,637		11,206		0		1,801,843		Total non-MBS	5,340,498		3,938		(2,865)		5,341,571
MBS:	MBS:									MBS:
GSE multi-family MBS		140,869		5,159		0		146,028
GSE multi-family										GSE multi-family	970,385		704		(13,424)		957,665
Total MBS	Total MBS	140,869		5,159		0		146,028		Total MBS	970,385		704		(13,424)		957,665
Total	Total	$	1,931,506	$	16,365	$	0	$	1,947,871	Total	$	6,310,883	$	4,642	$	(16,289)	$	6,299,236

		December 31, 2020									December 31, 2021
		Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value			Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:

U.S. Treasury obligations										U.S. Treasury obligations	$	4,475,664	$	23,206	$	—	$	4,498,870
GSE obligations	GSE obligations	$	140,600	$	1,802	$	0	$	142,402	GSE obligations	133,058		2,250		—		135,308
Total non-MBS	Total non-MBS	140,600		1,802		0		142,402		Total non-MBS	4,608,722		25,456		—		4,634,178
MBS:	MBS:									MBS:
GSE multi-family MBS		146,269		2,916		0		149,185
GSE multi-family										GSE multi-family	632,276		2,961		(2,292)		632,945
Total MBS	Total MBS	146,269		2,916		0		149,185		Total MBS	632,276		2,961		(2,292)		632,945
Total	Total	$	286,869	$	4,718	$	0	$	291,587	Total	$	5,240,998	$	28,417	$	(2,292)	$	5,267,123

(1)Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) ~~$5,390~~$16,589 and ~~$1,242~~$13,014 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021

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~~All securities outstanding at June 30, 2021 and~~
~~December 31, 2020~~ ~~had gross unrealized gains.~~

Table 3.4 summarizes the available-for-sale securities with unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

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



	March 31, 2022
	Less than 12 Months				12 Months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	2,560,398	$	(2,865)	$	—	$	—	$	2,560,398	$	(2,865)
Total non-MBS	2,560,398		(2,865)		—		—		2,560,398		(2,865)
MBS:
GSE multi-family MBS	720,947		(13,424)		—		—		720,947		(13,424)
Total MBS	720,947		(13,424)		—		—		720,947		(13,424)
Total	$	3,281,345	$	(16,289)	$	—	$	—	$	3,281,345	$	(16,289)

	December 31, 2021
	Less than 12 Months				12 Months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
GSE multi-family MBS	$	489,983	$	(2,292)	$	—	$	—	$	489,983	$	(2,292)
Total	$	489,983	$	(2,292)	$	—	$	—	$	489,983	$	(2,292)

Table 3.5 - Available-for-Sale Securities by Contractual Maturity (in thousands)


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Year of Maturity	Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:
Due in 1 year or less	Due in 1 year or less	$	0	$	0	$	0	$	0	Due in 1 year or less	$	—	$	—	$	—	$	—
Due after 1 year through 5 years	Due after 1 year through 5 years	82,990		84,147		11,248		11,309		Due after 1 year through 5 years	1,397,700		1,399,172		81,194		82,185
Due after 5 years through 10 years	Due after 5 years through 10 years	1,695,070		1,704,598		116,096		117,507		Due after 5 years through 10 years	3,931,257		3,930,555		4,515,054		4,538,945
Due after 10 years	Due after 10 years	12,577		13,098		13,256		13,586		Due after 10 years	11,541		11,844		12,474		13,048
Total non-MBS	Total non-MBS	1,790,637		1,801,843		140,600		142,402		Total non-MBS	5,340,498		5,341,571		4,608,722		4,634,178
MBS (1)	MBS (1)	140,869		146,028		146,269		149,185		MBS (1)	970,385		957,665		632,276		632,945
Total	Total	$	1,931,506	$	1,947,871	$	286,869	$	291,587	Total	$	6,310,883	$	6,299,236	$	5,240,998	$	5,267,123

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

Table ~~3.5~~3.6 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Amortized cost of non-MBS:	Amortized cost of non-MBS:					Amortized cost of non-MBS:
Fixed-rate	Fixed-rate	$	1,790,637	$	140,600	Fixed-rate	$	5,340,498	$	4,608,722
Total amortized cost of non-MBS	Total amortized cost of non-MBS	1,790,637		140,600		Total amortized cost of non-MBS	5,340,498		4,608,722
Amortized cost of MBS:	Amortized cost of MBS:					Amortized cost of MBS:
Fixed-rate	Fixed-rate	140,869		146,269		Fixed-rate	970,385		632,276
Total amortized cost of MBS	Total amortized cost of MBS	140,869		146,269		Total amortized cost of MBS	970,385		632,276
Total	Total	$	1,931,506	$	286,869	Total	$	6,310,883	$	5,240,998

The FHLB had 0no sales of securities out of its available-for-sale portfolio for the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 or ~~2020.~~

2021.

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Held-to-Maturity Securities

Table ~~3.6~~3.7 - Held-to-Maturity Securities by Major Security Types (in thousands)


		June 30, 2021									March 31, 2022
		Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value			Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:

U.S. Treasury obligations	U.S. Treasury obligations	$	40,499	$	0	$	0	$	40,499	U.S. Treasury obligations	$	46,045	$	—	$	(47)	$	45,998

Total non-MBS	Total non-MBS	40,499		0		0		40,499		Total non-MBS	46,045		—		(47)		45,998
MBS:	MBS:									MBS:
U.S. obligation single-family MBS		1,092,017		27,780		(297)		1,119,500
GSE single-family MBS		2,317,442		80,500		0		2,397,942
GSE multi-family MBS		5,385,061		6,252		(1,938)		5,389,375
U.S. obligation single-family										U.S. obligation single-family	1,068,549		472		(53,984)		1,015,037
GSE single-family										GSE single-family	1,707,129		6,186		(34,256)		1,679,059
GSE multi-family										GSE multi-family	8,083,099		3,623		(8,615)		8,078,107

Total MBS	Total MBS	8,794,520		114,532		(2,235)		8,906,817		Total MBS	10,858,777		10,281		(96,855)		10,772,203
Total	Total	$	8,835,019	$	114,532	$	(2,235)	$	8,947,316	Total	$	10,904,822	$	10,281	$	(96,902)	$	10,818,201

		December 31, 2020									December 31, 2021
		Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value			Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:
U.S. Treasury obligations	U.S. Treasury obligations	$	41,398	$	1	$	0	$	41,399	U.S. Treasury obligations	$	46,879	$	—	$	—	$	46,879

Total non-MBS	Total non-MBS	41,398		1		0		41,399		Total non-MBS	46,879		—		—		46,879
MBS:	MBS:									MBS:
U.S. obligation single-family MBS		986,399		41,218		0		1,027,617
GSE single-family MBS		3,013,326		105,657		(2)		3,118,981
GSE multi-family MBS		5,607,048		5,146		(8,055)		5,604,139
U.S. obligation single-family										U.S. obligation single-family	1,056,729		11,553		(8,337)		1,059,945
GSE single-family										GSE single-family	1,860,197		49,026		—		1,909,223
GSE multi-family										GSE multi-family	7,252,951		4,841		(4,018)		7,253,774

Total MBS	Total MBS	9,606,773		152,021		(8,057)		9,750,737		Total MBS	10,169,877		65,420		(12,355)		10,222,942
Total	Total	$	9,648,171	$	152,022	$	(8,057)	$	9,792,136	Total	$	10,216,756	$	65,420	$	(12,355)	$	10,269,821

(1)Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) ~~$7,964~~$7,732 and ~~$9,609~~$7,461 as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

~~Table 3.7 - Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands)~~

June 30, 2021 December 31, 2020
Premiums $ 17,262 $ 18,299
Discounts (6,262) (7,269)
Net purchased premiums $ 11,000 $ 11,030

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Table 3.8 - Held-to-Maturity Securities by Contractual Maturity (in thousands)


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Year of Maturity	Year of Maturity	Amortized Cost (1)		Fair Value		Amortized Cost (1)		Fair Value		Year of Maturity	Amortized Cost (1)		Fair Value		Amortized Cost (1)		Fair Value
Non-MBS:	Non-MBS:									Non-MBS:
Due in 1 year or less	Due in 1 year or less	$	40,499	$	40,499	$	41,398	$	41,399	Due in 1 year or less	$	46,045	$	45,998	$	46,879	$	46,879
Due after 1 year through 5 years	Due after 1 year through 5 years	0		0		0		0		Due after 1 year through 5 years	—		—		—		—
Due after 5 years through 10 years	Due after 5 years through 10 years	0		0		0		0		Due after 5 years through 10 years	—		—		—		—
Due after 10 years	Due after 10 years	0		0		0		0		Due after 10 years	—		—		—		—
Total non-MBS	Total non-MBS	40,499		40,499		41,398		41,399		Total non-MBS	46,045		45,998		46,879		46,879
MBS (2)	MBS (2)	8,794,520		8,906,817		9,606,773		9,750,737		MBS (2)	10,858,777		10,772,203		10,169,877		10,222,942
Total	Total	$	8,835,019	$	8,947,316	$	9,648,171	$	9,792,136	Total	$	10,904,822	$	10,818,201	$	10,216,756	$	10,269,821

(1)Carrying value equals amortized cost.

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

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Table 3.9 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Amortized cost of non-MBS:	Amortized cost of non-MBS:					Amortized cost of non-MBS:
Fixed-rate	Fixed-rate	$	40,499	$	41,398	Fixed-rate	$	46,045	$	46,879

Total amortized cost of non-MBS	Total amortized cost of non-MBS	40,499		41,398		Total amortized cost of non-MBS	46,045		46,879
Amortized cost of MBS:	Amortized cost of MBS:					Amortized cost of MBS:
Fixed-rate	Fixed-rate	3,158,930		3,677,199		Fixed-rate	2,594,377		2,718,127
Variable-rate	Variable-rate	5,635,590		5,929,574		Variable-rate	8,264,400		7,451,750
Total amortized cost of MBS	Total amortized cost of MBS	8,794,520		9,606,773		Total amortized cost of MBS	10,858,777		10,169,877
Total	Total	$	8,835,019	$	9,648,171	Total	$	10,904,822	$	10,216,756

From time to time the FHLB may sell securities out of its held-to-maturity portfolio. These securities, generally, have less than 15 percent of the acquired principal outstanding at the time of the sale. These sales are considered maturities for the purposes of security classification. For the ~~six~~three months ended ~~June 30,~~March 31, 2022 and 2021, ~~and 2020,~~ the FHLB did 0tnot sell any held-to-maturity securities.

Allowance for Credit Losses on Available-for-Sale and Held-to-Maturity Securities

The FHLB evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. The FHLB’s available-for-sale and held-to-maturity securities are U.S. Treasury obligations, GSE obligations, and MBS issued by Fannie Mae, Freddie Mac and Ginnie Mae that are backed by single-family or multi-family mortgage loans. The FHLB only purchases securities considered investment quality. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, all available-for-sale and held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security used by the FHLB. The FHLB’s internal ratings of these securities may differ from those obtained from an NRSRO.

The FHLB evaluates individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020, 0~~2021, certain available-for-sale securities were in an unrealized loss position. These losses are considered temporary as the FHLB expects to recover the entire amortized cost basis on these available-for-sale investment securities and does not intend to sell these securities nor considers it more likely than not that it will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Further, the FHLB has not experienced any payment defaults on the instruments. In addition, all of these securities carry an implicit or explicit government guarantee. As a result, 0no allowance for credit losses was recorded on these available-for-sale securities at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

The FHLB evaluates its held-to-maturity securities for impairment on a collective, or pooled basis, unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the FHLB had 0tnot established an allowance for credit loss on any held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did the FHLB expect, any payment default on the instruments, and (3) in the case of U.S., GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the FHLB considered the risk of nonpayment to be zero.

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Note 4 - Advances

The FHLB offers a wide range of fixed- and variable-rate Advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents Advance redemptions by contractual maturity, including index-amortizing Advances, which are presented according to their predetermined amortization schedules.

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Table 4.1 - Advances by Redemption Term (dollars in thousands)


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Redemption Term	Redemption Term	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate		Redemption Term	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate

Due in 1 year or less	Due in 1 year or less	$	11,594,813	0.51	%	$	12,064,753	0.75	%	Due in 1 year or less	$	22,305,863	0.50	%	$	11,608,264	0.49	%
Due after 1 year through 2 years	Due after 1 year through 2 years	1,507,005		1.70		1,986,446		1.88		Due after 1 year through 2 years	1,961,802		2.21		1,451,741		2.06
Due after 2 years through 3 years	Due after 2 years through 3 years	1,730,057		2.22		1,445,139		2.15		Due after 2 years through 3 years	1,568,416		1.58		1,832,622		1.89
Due after 3 years through 4 years	Due after 3 years through 4 years	1,510,405		1.54		1,809,523		1.97		Due after 3 years through 4 years	3,505,813		1.05		2,486,809		0.97
Due after 4 years through 5 years	Due after 4 years through 5 years	3,377,957		0.82		2,361,604		1.02		Due after 4 years through 5 years	1,327,598		1.20		2,168,145		0.98
Thereafter	Thereafter	3,657,892		1.52		5,339,932		1.34		Thereafter	2,980,201		1.74		3,406,837		1.49
Total principal amount	Total principal amount	23,378,129		0.98		25,007,397		1.16		Total principal amount	33,649,693		0.85		22,954,418		0.95
Commitment fees	Commitment fees	(160)				(170)				Commitment fees	(122)				(156)
Discount on Affordable Housing Program (AHP) Advances	Discount on Affordable Housing Program (AHP) Advances	(1,689)				(2,053)				Discount on Affordable Housing Program (AHP) Advances	(1,130)				(1,382)

Discounts	Discounts	(1,675)				(2,046)				Discounts	(1,679)				(1,838)
Hedging adjustments	Hedging adjustments	212,370				358,173				Hedging adjustments	(115,774)				104,401
Fair value option valuation adjustments and accrued interest	Fair value option valuation adjustments and accrued interest	(434)				702				Fair value option valuation adjustments and accrued interest	(2,135)				(695)
Total (1)	Total (1)	$	23,586,541			$	25,362,003			Total (1)	$	33,528,853			$	23,054,748

(1)Carrying values exclude accrued interest receivable of (in thousands) ~~$19,583~~$21,095 and ~~$26,426~~$18,823 as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

The FHLB offers certain fixed and variable-rate Advances to members that may be prepaid on specified dates (call dates) without incurring prepayment or termination fees (callable Advances). If the call option is exercised, replacement funding may be available to members. Other Advances may only be prepaid subject to a prepayment fee paid to the FHLB that makes the FHLB financially indifferent to the prepayment of the Advance.

Table 4.2 - Advances by Redemption Term or Next Call Date (in thousands)


Redemption Term or Next Call Date	Redemption Term or Next Call Date	June 30, 2021		December 31, 2020		Redemption Term or Next Call Date	March 31, 2022		December 31, 2021

Due in 1 year or less	Due in 1 year or less	$	14,907,547	$	15,375,354	Due in 1 year or less	$	25,334,764	$	14,642,697
Due after 1 year through 2 years	Due after 1 year through 2 years	1,222,522		1,716,058		Due after 1 year through 2 years	1,937,752		1,444,659
Due after 2 years through 3 years	Due after 2 years through 3 years	1,708,257		1,434,377		Due after 2 years through 3 years	1,566,865		1,809,871
Due after 3 years through 4 years	Due after 3 years through 4 years	1,503,954		1,785,672		Due after 3 years through 4 years	524,013		1,003,709
Due after 4 years through 5 years	Due after 4 years through 5 years	399,457		877,504		Due after 4 years through 5 years	1,327,598		668,145
Thereafter	Thereafter	3,636,392		3,818,432		Thereafter	2,958,701		3,385,337
Total principal amount	Total principal amount	$	23,378,129	$	25,007,397	Total principal amount	$	33,649,693	$	22,954,418

The FHLB also offers putable Advances. With a putable Advance, the FHLB effectively purchases put options from the member that allows the FHLB to terminate the Advance at predetermined dates. The FHLB normally would exercise its put option when interest rates increase relative to contractual rates.

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Table 4.3 - Advances by Redemption Term or Next Put Date for Putable Advances (in thousands)


Redemption Term or Next Put Date	Redemption Term or Next Put Date	June 30, 2021		December 31, 2020		Redemption Term or Next Put Date	March 31, 2022		December 31, 2021

Due in 1 year or less	Due in 1 year or less	$	14,072,063	$	14,407,003	Due in 1 year or less	$	24,638,113	$	13,995,514
Due after 1 year through 2 years	Due after 1 year through 2 years	1,587,005		2,146,446		Due after 1 year through 2 years	1,961,802		1,511,741
Due after 2 years through 3 years	Due after 2 years through 3 years	1,675,057		1,485,139		Due after 2 years through 3 years	1,544,166		1,818,372
Due after 3 years through 4 years	Due after 3 years through 4 years	1,531,155		1,855,273		Due after 3 years through 4 years	3,505,813		2,471,809
Due after 4 years through 5 years	Due after 4 years through 5 years	3,377,957		2,346,604		Due after 4 years through 5 years	708,598		2,160,145
Thereafter	Thereafter	1,134,892		2,766,932		Thereafter	1,291,201		996,837
Total principal amount	Total principal amount	$	23,378,129	$	25,007,397	Total principal amount	$	33,649,693	$	22,954,418

Table 4.4 - Advances by Interest Rate Payment Terms (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021

Total fixed-rate (1)	Total fixed-rate (1)	$	17,772,835	$	19,195,790	Total fixed-rate (1)	$	29,757,964	$	19,372,859

Total variable-rate (1)	Total variable-rate (1)	5,605,294		5,811,607		Total variable-rate (1)	3,891,729		3,581,559
Total principal amount	Total principal amount	$	23,378,129	$	25,007,397	Total principal amount	$	33,649,693	$	22,954,418

(1)Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance.

Credit Risk Exposure and Security Terms

The FHLB's Advances are made to member financial institutions. The FHLB manages its credit exposure to Advances through an integrated approach that includes establishing a credit limit for each borrower and ongoing review of each borrower's financial condition, coupled with collateral and lending policies to limit risk of loss while balancing borrowers' needs for a reliable source of funding.

In addition, the FHLB lends to eligible borrowers in accordance with federal law and Finance Agency regulations, which require the FHLB to obtain sufficient collateral to fully secure credit products. ~~Collateral~~Under regulation, collateral eligible to secure new or renewed Advances includes:

▪one-to-four family loans (delinquent for no more than 60 days) and multi-family mortgage loans (delinquent for no more than 9030 days) and securities representing such mortgages;

▪loans and securities issued and insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae);

▪cash or deposits in the FHLB;

▪certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value, can be reliably discounted to account for liquidation and ~~that~~other risks, can be liquidated in due course and the FHLB can perfect a security interest in it; and

▪certain qualifying securities representing undivided equity interests in eligible Advance collateral.

Residential mortgage loans are the principal form of collateral for Advances. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral discounts, or haircuts, to the value of the collateral. In addition, community financial institutions are eligible to utilize expanded statutory collateral provisions for small business and agribusiness loans. The FHLB's capital stock owned by its member borrowers is also pledged as collateral. Collateral arrangements and a member’s borrowing capacity vary based on the financial condition and performance of the institution, the types of collateral pledged and the overall quality of those assets. The FHLB can also require additional or substitute collateral to protect its security interest. The FHLB also has policies and procedures for validating the reasonableness of its collateral valuations and makes changes to its collateral guidelines, as necessary, based on current market conditions. In addition, collateral verifications and reviews are performed by the FHLB based on the risk profile of the borrower. Management of the FHLB believes that these policies effectively manage the FHLB's credit risk from Advances.

Members experiencing financial difficulties are subject to FHLB-performed “stress tests” of the impact of poorly performing assets on the member’s capital and loss reserve positions. Depending on the results of these tests and the level of over-collateralization, a member may be allowed to maintain pledged loan assets in its custody, may be required to deliver those loans into the custody of the FHLB or its agent, or may be required to provide details on those loans to facilitate an estimate of their fair value. The FHLB perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest

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granted to the FHLB by a member priority over the claims or rights of any other party except for claims or rights of a third

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party that would otherwise be entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the FHLB considers the payment status, collateralization levels, and borrower's financial condition to be indicators of credit quality for its credit products. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the FHLB did 0tnot have any Advances that were past due, in non-accrual status or considered impaired. In addition, there were 0no troubled debt restructurings related to Advances of the FHLB during the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 or ~~2020.~~2021. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the FHLB had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit.

Based upon the collateral held as security, its credit extension and collateral policies and the repayment history on Advances, the FHLB did not expect any credit losses on Advances as of ~~June 30, 2021~~March 31, 2022 and, therefore, 0no allowance for credit losses on Advances was recorded. For the same reasons, the FHLB did 0tnot record any allowance for credit losses on Advances at December 31, ~~2020.~~2021.

Advance Concentrations

The FHLB's Advances are concentrated in commercial banks, savings institutions, and insurance companies. Advance borrower concentrations can change significantly ~~due to~~because of members' ability to quickly increase or decrease their amount of Advances based on their current funding needs.

Table 4.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions)


June 30, 2021						December 31, 2020
March 31, 2022											March 31, 2022					December 31, 2021
		Principal		% of Total Principal Amount of Advances			Principal		% of Total Principal Amount of Advances			Principal		% of Total Principal Amount of Advances			Principal		% of Total Principal Amount of Advances
U.S. Bank, N.A.	U.S. Bank, N.A.	$	3,272	14	%	U.S. Bank, N.A.	$	4,273	17	%	U.S. Bank, N.A.	$	12,272	36	%	U.S. Bank, N.A.	$	3,272	14	%
Third Federal Savings and Loan Association	Third Federal Savings and Loan Association	3,141		13		Third Federal Savings and Loan Association	3,443		14		Third Federal Savings and Loan Association	3,553		11		Third Federal Savings and Loan Association	3,179		14
Nationwide Life Insurance Company	Nationwide Life Insurance Company	2,607		11		Nationwide Life Insurance Company	2,062		8		Nationwide Life Insurance Company	2,748		8		Protective Life Insurance Company	2,800		12
Keybank National Association											Keybank National Association	2,101		6		Nationwide Life Insurance Company	2,702		12
Protective Life Insurance Company	Protective Life Insurance Company	2,225		10		Protective Life Insurance Company	1,955		8		Protective Life Insurance Company	2,000		6		Western-Southern Life Assurance Co.	1,487		6
Western-Southern Life Assurance Co.		1,504		6		Western-Southern Life Assurance Co.	1,344		5
Total	Total	$	12,749	54	%	Total	$	13,077	52	%	Total	$	22,674	67	%	Total	$	13,440	58	%

Note 5 - Mortgage Loans

Total mortgage loans held for portfolio represent residential mortgage loans under the Mortgage Purchase Program (MPP) that the FHLB's members originate, credit enhance, and then sell to the FHLB. The FHLB does not service any of these loans. The FHLB plans to retain its existing portfolio of mortgage loans.

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Table 5.1 - Mortgage Loans Held for Portfolio (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Fixed rate medium-term single-family mortgage loans (1)	Fixed rate medium-term single-family mortgage loans (1)	$	687,922	$	731,756	Fixed rate medium-term single-family mortgage loans (1)	$	620,070	$	649,052
Fixed rate long-term single-family mortgage loans	Fixed rate long-term single-family mortgage loans	6,843,302		8,584,239		Fixed rate long-term single-family mortgage loans	6,759,239		6,752,858
Total unpaid principal balance	Total unpaid principal balance	7,531,224		9,315,995		Total unpaid principal balance	7,379,309		7,401,910
Premiums	Premiums	169,493		208,281		Premiums	165,972		168,993
Discounts	Discounts	(1,328)		(1,636)		Discounts	(1,093)		(1,088)
Hedging basis adjustments (2)	Hedging basis adjustments (2)	17,700		26,114		Hedging basis adjustments (2)	11,507		18,602
Total mortgage loans held for portfolio (3)	Total mortgage loans held for portfolio (3)	7,717,089		9,548,754		Total mortgage loans held for portfolio (3)	7,555,695		7,588,417
Allowance for credit losses on mortgage loans	Allowance for credit losses on mortgage loans	(248)		(248)		Allowance for credit losses on mortgage loans	(238)		(233)
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	$	7,716,841	$	9,548,506	Mortgage loans held for portfolio, net	$	7,555,457	$	7,588,184

(1)Medium-term is defined as a term of 15 years or less.

(2)Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly.

(3)Excludes accrued interest receivable of (in thousands) ~~$24,129~~$22,622 and ~~$30,109~~$22,847 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Conventional mortgage loans	Conventional mortgage loans	$	7,371,386	$	9,133,942	Conventional mortgage loans	$	7,248,017	$	7,262,740
Federal Housing Administration (FHA) mortgage loans	Federal Housing Administration (FHA) mortgage loans	159,838		182,053		Federal Housing Administration (FHA) mortgage loans	131,292		139,170
Total unpaid principal balance	Total unpaid principal balance	$	7,531,224	$	9,315,995	Total unpaid principal balance	$	7,379,309	$	7,401,910

Table 5.3 - Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (dollars in millions)


		June 30, 2021					December 31, 2020					March 31, 2022					December 31, 2021
		Principal		% of Total			Principal		% of Total			Principal		% of Total			Principal		% of Total
Union Savings Bank	Union Savings Bank	$	1,998	27	%	Union Savings Bank	$	2,826	30	%	Union Savings Bank	$	1,827	25	%	Union Savings Bank	$	1,841	25	%
FirstBank											FirstBank	660		9		FirstBank	565		8
Guardian Savings Bank FSB	Guardian Savings Bank FSB	567		8		Guardian Savings Bank FSB	796		9		Guardian Savings Bank FSB	486		7		Guardian Savings Bank FSB	524		7

Credit Risk Exposure

The FHLB manages credit risk exposure for conventional mortgage loans primarily though conservative underwriting and purchasing loans with characteristics consistent with favorable expected credit performance and by applying various credit enhancements.

Credit Enhancements. The conventional mortgage loans under the MPP are supported by some combination of credit enhancements (primary mortgage insurance (PMI), supplemental mortgage insurance (SMI) and the Lender Risk Account (LRA), including pooled LRA for those members participating in an aggregated MPP pool). These credit enhancements apply after a homeowner’s equity is exhausted. Beginning in February 2011, the FHLB discontinued the use of SMI for all new loan purchases and replaced it with expanded use of the LRA. The LRA is funded by the FHLB upfront as a portion of the purchase proceeds. The LRA is recorded in other liabilities in the Statement of Condition. Excess funds from the LRA are released to the member in accordance with the terms of the Master Commitment Contract, which is typically after five years, subject to performance of the related loan pool. The LRA established for a pool of loans is limited to only covering losses of that specific pool of loans. Because the FHA makes an explicit guarantee on FHA mortgage loans, the FHLB does not require any credit enhancements on these loans beyond primary mortgage insurance.

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Table 5.4 - Changes in the LRA (in thousands)

~~Six~~Three Months Ended

~~June 30, 2021~~March 31, 2022

LRA at beginning of year

~~246,435~~252,310

Additions

~~5,327~~4,575

Claims

~~(3)~~—

Scheduled distributions

~~(4,569)~~(2,567)

LRA at end of period

~~247,190~~254,318

~~Mortgage Loans Forbearance Plans.~~ In response to the COVID-19 pandemic, which has caused economic strain on many home loan borrowers, the FHLB’s mortgage loan servicers may grant a forbearance period to borrowers who have had COVID-19 related hardships regardless of the payment status of the loan at the time of the request. Based on the most recent information received from mortgage servicers, as of June 30, 2021, there was approximately (in thousands) $44,378 in unpaid principal balance of conventional mortgage loans under a forbearance plan as a result of COVID-19, which represented one percent of conventional mortgage loans held for portfolio.

Payment Status of Mortgage Loans. The key credit quality indicator for conventional mortgage loans is payment status, which allows the FHLB to monitor ~~the migration of past due loans.~~borrower performance. Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. Although certain loans have been granted a forbearance period as noted above, there has been no change in the terms of the loan. Accordingly, when a borrower fails to make timely payments of principal and/or interest for loans under forbearance, they are considered past due. Table 5.5 presents the payment status of conventional mortgage loans. As of June 30, 2021, (in thousands) $6,139 in unpaid principal balance of conventional loans under forbearance had a current payment status, (in thousands) $3,649 was 30 to 59 days past due, (in thousands) $4,758 was 60 to 89 days past due, and (in thousands) $29,832 was greater than 90 days past due.

Table 5.5 - Credit Quality Indicator of Conventional Mortgage Loans (in thousands)


		June 30, 2021							March 31, 2022
		Origination Year							Origination Year
Payment status, at amortized cost:	Payment status, at amortized cost:	Prior to 2017		2017 to June 30, 2021		Total		Payment status, at amortized cost:	Prior to 2018		2018 to March 31, 2022		Total
Past due 30-59 days	Past due 30-59 days	$	17,455	$	9,987	$	27,442	Past due 30-59 days	$	18,145	$	15,011	$	33,156
Past due 60-89 days	Past due 60-89 days	5,836		4,059		9,895		Past due 60-89 days	5,333		2,692		8,025
Past due 90 days or more	Past due 90 days or more	20,074		23,004		43,078		Past due 90 days or more	11,758		7,278		19,036
Total past due mortgage loans	Total past due mortgage loans	43,365		37,050		80,415		Total past due mortgage loans	35,236		24,981		60,217
Current mortgage loans	Current mortgage loans	3,136,125		4,339,425		7,475,550		Current mortgage loans	2,726,555		4,636,595		7,363,150
Total conventional mortgage loans	Total conventional mortgage loans	$	3,179,490	$	4,376,475	$	7,555,965	Total conventional mortgage loans	$	2,761,791	$	4,661,576	$	7,423,367

		December 31, 2020							December 31, 2021
		Origination Year							Origination Year
Payment status, at amortized cost:	Payment status, at amortized cost:	Prior to 2016		2016 to 2020		Total		Payment status, at amortized cost:	Prior to 2017		2017 to 2021		Total
Past due 30-59 days	Past due 30-59 days	$	16,812	$	19,036	$	35,848	Past due 30-59 days	$	16,105	$	11,557	$	27,662
Past due 60-89 days	Past due 60-89 days	7,245		7,553		14,798		Past due 60-89 days	3,703		2,533		6,236
Past due 90 days or more	Past due 90 days or more	24,651		39,921		64,572		Past due 90 days or more	12,185		11,623		23,808
Total past due mortgage loans	Total past due mortgage loans	48,708		66,510		115,218		Total past due mortgage loans	31,993		25,713		57,706
Current mortgage loans	Current mortgage loans	2,555,139		6,694,837		9,249,976		Current mortgage loans	2,542,107		4,848,339		7,390,446
Total conventional mortgage loans	Total conventional mortgage loans	$	2,603,847	$	6,761,347	$	9,365,194	Total conventional mortgage loans	$	2,574,100	$	4,874,052	$	7,448,152

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Other delinquency statistics include loans in process of foreclosure, serious delinquency rates, loans past due 90 days or more and still accruing interest, and non-accrual loans. Table 5.6 presents other delinquency statistics of mortgage loans.

Table 5.6 - Other Delinquency Statistics (dollars in thousands)


		June 30, 2021										March 31, 2022
Amortized Cost:	Amortized Cost:	Conventional MPP Loans			FHA Loans			Total			Amortized Cost:	Conventional MPP Loans			FHA Loans			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	4,393		$	406		$	4,799		In process of foreclosure (1)	$	5,465		$	579		$	6,044
Serious delinquency rate (2)	Serious delinquency rate (2)	0.57		%	2.44		%	0.61		%	Serious delinquency rate (2)	0.26		%	2.06		%	0.29		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	37,820		$	3,930		$	41,750		Past due 90 days or more still accruing interest (3)	$	18,261		$	2,631		$	20,892
Loans on non-accrual status		$	6,316		$	0		$	6,316
Loans on non-accrual status (4)											Loans on non-accrual status (4)	$	1,689		$	—		$	1,689

		December 31, 2020										December 31, 2021
Amortized Cost:	Amortized Cost:	Conventional MPP Loans			FHA Loans			Total			Amortized Cost:	Conventional MPP Loans			FHA Loans			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	5,031		$	617		$	5,648		In process of foreclosure (1)	$	4,424		$	501		$	4,925
Serious delinquency rate (2)	Serious delinquency rate (2)	0.69		%	3.28		%	0.74		%	Serious delinquency rate (2)	0.32		%	2.00		%	0.35		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	58,881		$	5,961		$	64,842		Past due 90 days or more still accruing interest (3)	$	23,169		$	2,812		$	25,981
Loans on non-accrual status		$	6,721		$	0		$	6,721
Loans on non-accrual status (4)											Loans on non-accrual status (4)	$	1,617		$	—		$	1,617

(1)Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. ~~During the six months endedJune 30, 2021 and year ended December 31, 2020, there were foreclosure moratoriums enacted in response to the COVID-19 pandemic.~~

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

(3)Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status.

(4)At March 31, 2022 and December 31, 2021, (in thousands) $1,689 and $1,617, respectively, of conventional MPP loans on non-accrual status do not have a related allowance because these loans were either previously charged off to their expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

The FHLB did 0tnot have any real estate owned at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020.~~2021.

Evaluation of Current Expected Credit Losses

Mortgage Loans - FHA. The FHLB invests in fixed-rate mortgage loans secured by ~~one-to-four~~one to four family residential properties insured by the FHA. The FHLB expects to recover any losses from such loans from the FHA. Any losses from these loans that are not recovered from the FHA would be ~~due to~~caused by a claim rejection by the FHA and, as such, would be recoverable from the selling participating financial institutions. Therefore, the FHLB only has credit risk for these loans if the seller or servicer fails to pay for losses not covered by the FHA ~~insurance.~~insurance, but in such instance, the FHLB would have recourse against the servicer for such failure. As a result, the FHLB did not record an allowance for credit losses on its FHA insured mortgage loans. Furthermore, due to the insurance, none of these mortgage loans have been placed on non-accrual status.

Mortgage Loans - Conventional MPP. Conventional loans are evaluated collectively when similar risk characteristics exist; loans that do not share risk characteristics with other pools are removed from the collective evaluation and evaluated for expected credit losses on an individual basis. For loans with similar risk characteristics, the FHLB determines the allowance for credit losses through analyses that include ~~consideration of~~considering various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The FHLB uses a model that employs a variety of methods, such as projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. The FHLB’s calculation of expected credit losses includes a forecast of home prices over the entire contractual terms of its conventional loans rather than a reversion to historical home price trends after an initial forecast period. The FHLB also incorporates associated credit enhancements to determine estimated expected credit losses.

Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent ifwhen the borrower is experiencing financial difficulty and repayment is expected to be ~~provided by~~substantially through the sale of the underlying ~~property, that is, if it is considered likely that the borrower will default.~~collateral. The FHLB may estimate the fair value of this

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collateral by either applying an appropriate loss severity rate, using third-party estimates, or using a property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated

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fair value of the collateral, less estimated selling costs. The FHLB will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit losses.

The FHLB also assesses other qualitative factors in its estimation of loan losses for the collectively evaluated population. This amount represents a subjective management judgment, based on facts and circumstances that exist as of the reporting date, which is intended to cover other expected losses that may not otherwise be captured in the methodology described above.

Allowance for Credit Losses on Conventional Mortgage Loans. ~~The FHLB established an~~At March 31, 2022 and December 31, 2021 the FHLB's allowance for credit losses on its conventional mortgage loans held for ~~portfolio.~~portfolio was (in thousands) $238 and $233, respectively.~~The following table presents a rollforward of the allowance for credit losses on conventional mortgage loans.~~

~~Table 5.7 - Allowance for Credit Losses on Conventional Mortgage Loans (in thousands)~~

Three Months Ended June 30,
2021 2020
Balance, beginning of period $ 248 $ 297
Net charge offs 0 (33)
Balance, end of period $ 248 $ 264
Six Months Ended June 30,
2021 2020
Balance, beginning of period $ 248 $ 711
Adjustment for cumulative effect of accounting change 0 (366)
Net charge offs 0 (81)
Balance, end of period $ 248 $ 264

Note 6 - Derivatives and Hedging Activities

Nature of Business Activity

The FHLB is exposed to interest rate risk primarily from the effect of changes in interest ~~rate changes on its interest-earning assets and on the interest-bearing liabilities that finance these assets.~~rates. The goal of the FHLB's interest-rate risk management strategy is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the FHLB has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the FHLB monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. The FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives. See Note 7 - Derivatives and Hedging Activities in the FHLB's ~~2020~~2021 Annual Report on Form 10-K for additional information on the FHLB's derivative transactions.

The FHLB transacts its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute Consolidated Obligations. Derivative transactions may be executed either with a counterparty, referred to as uncleared derivatives, or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivative Clearing Organization, referred to as cleared derivatives. Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearinghouse), the executing counterparty is replaced with the Clearinghouse. The FHLB is not a derivative dealer and does not trade derivatives for short-term profit.

Financial Statement Effect and Additional Financial Information

The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. The notional amount reflects the FHLB's involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the FHLB to credit and market risk; the overall risk is much smaller. The risks of derivatives only can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged.

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Table 6.1 summarizes the notional amount and fair value of derivative instruments and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.

Table 6.1 - Fair Value of Derivative Instruments (in thousands)


		June 30, 2021							March 31, 2022
		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as fair value hedging instruments:	Derivatives designated as fair value hedging instruments:							Derivatives designated as fair value hedging instruments:
Interest rate swaps	Interest rate swaps	$	10,307,599	$	53	$	111,378	Interest rate swaps	$	15,517,385	$	2,055	$	46,612
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:							Derivatives not designated as hedging instruments:
Interest rate swaps	Interest rate swaps	14,041,364		1,213		2,440		Interest rate swaps	15,389,664		3,177		6,580
Interest rate swaptions	Interest rate swaptions	1,436,000		1,127		0		Interest rate swaptions	436,000		1,620		—

Mortgage delivery commitments	Mortgage delivery commitments	513,208		2,200		6		Mortgage delivery commitments	75,447		8		770
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	15,990,572		4,540		2,446		Total derivatives not designated as hedging instruments	15,901,111		4,805		7,350
Total derivatives before adjustments	Total derivatives before adjustments	$	26,298,171	4,593		113,824		Total derivatives before adjustments	$	31,418,496	6,860		53,962
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			211,623		(111,435)		Netting adjustments and cash collateral (1)			311,299		(52,196)
Total derivative assets and total derivative liabilities	Total derivative assets and total derivative liabilities			$	216,216	$	2,389	Total derivative assets and total derivative liabilities			$	318,159	$	1,766

		December 31, 2020							December 31, 2021
		Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities			Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as fair value hedging instruments:	Derivatives designated as fair value hedging instruments:							Derivatives designated as fair value hedging instruments:
Interest rate swaps	Interest rate swaps	$	10,477,703	$	272	$	163,174	Interest rate swaps	$	13,720,290	$	710	$	77,992
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:							Derivatives not designated as hedging instruments:
Interest rate swaps	Interest rate swaps	13,267,539		691		2,563		Interest rate swaps	24,059,664		1,919		291
Interest rate swaptions	Interest rate swaptions	2,175,000		713		0		Interest rate swaptions	1,219,000		532		—

Mortgage delivery commitments	Mortgage delivery commitments	137,352		1,056		0		Mortgage delivery commitments	249,581		77		829
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	15,579,891		2,460		2,563		Total derivatives not designated as hedging instruments	25,528,245		2,528		1,120
Total derivatives before adjustments	Total derivatives before adjustments	$	26,057,594	2,732		165,737		Total derivatives before adjustments	$	39,248,535	3,238		79,112
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			213,156		(161,924)		Netting adjustments and cash collateral (1)			294,498		(75,821)
Total derivative assets and total derivative liabilities	Total derivative assets and total derivative liabilities			$	215,888	$	3,813	Total derivative assets and total derivative liabilities			$	297,736	$	3,291

(1)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) ~~$323,868~~$364,745 and ~~$375,390~~$370,779 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021. Cash collateral received, including accrued interest, was (in thousands) ~~$810~~$1,250 and ~~$310~~$460 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

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Table 6.2 presents the impact of qualifying fair value hedging relationships on net interest income as well as the total interest income (expense) by product.

Table 6.2 - Impact of Fair Value Hedging Relationships on Net Interest Income (in thousands)


		Three Months Ended June 30, 2021							Three Months Ended March 31, 2022
		Advances		Available-for-Sale Securities		Consolidated Bonds			Advances		Available-for-Sale Securities		Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income	Total interest income (expense) recorded in the Statements of Income	$	31,371	$	344	$	(86,589)	Total interest income (expense) recorded in the Statements of Income	$	45,318	$	5,018	$	(75,075)
Impact of Fair Value Hedging Relationships	Impact of Fair Value Hedging Relationships							Impact of Fair Value Hedging Relationships
Interest rate swaps:	Interest rate swaps:							Interest rate swaps:
Net interest settlements	Net interest settlements	$	(27,851)	$	(2,829)	$	269	Net interest settlements	$	(21,695)	$	(13,534)	$	416
Gain (loss) on derivatives	Gain (loss) on derivatives	(2,194)		(11,891)		(451)		Gain (loss) on derivatives	222,491		337,161		(10,779)
Gain (loss) on hedged items	Gain (loss) on hedged items	(993)		11,295		445		Gain (loss) on hedged items	(220,175)		(337,269)		10,694
Effect on net interest income	Effect on net interest income	$	(31,038)	$	(3,425)	$	263	Effect on net interest income	$	(19,379)	$	(13,642)	$	331

~~Table of Contents~~


	Three Months Ended March 31, 2021
	Advances		Available-for-Sale Securities		Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income	$	41,160	$	1,335	$	(96,186)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements	$	(32,844)	$	(879)	$	251
Gain (loss) on derivatives	148,614		16,607		(375)
Gain (loss) on hedged items	(144,809)		(15,774)		370
Effect on net interest income	$	(29,039)	$	(46)	$	246

Three Months Ended June 30, 2020
Advances Available-for-Sale Securities Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income $ 158,437 $ 619 $ (129,808)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements $ (19,243) $ (524) $ 429
Gain (loss) on derivatives (7,608) (1,019) 17
Gain (loss) on hedged items 9,736 1,218 103
Effect on net interest income $ (17,115) $ (325) $ 549

Six Months Ended June 30, 2021
Advances Available-for-sale Securities Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income $ 72,531 $ 1,679 $ (182,775)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements $ (60,695) $ (3,708) $ 520
Gain (loss) on derivatives 146,420 4,716 (826)
Gain (loss) on hedged items (145,802) (4,479) 815
Effect on net interest income $ (60,077) $ (3,471) $ 509

Six Months Ended June 30, 2020
Advances Available-for-Sale Securities Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income $ 330,604 $ 4,015 $ (315,795)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements $ (20,957) $ (798) $ 813
Gain (loss) on derivatives (411,919) (12,202) 2,540
Gain (loss) on hedged items 400,200 12,013 (2,443)
Effect on net interest income $ (32,676) $ (987) $ 910

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Table 6.3 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items.

Table 6.3 - Cumulative Basis Adjustments for Fair Value Hedges (in thousands)


		June 30, 2021							March 31, 2022
		Advances		Available-for-Sale Securities		Consolidated Bonds			Advances		Available-for-Sale Securities		Consolidated Bonds
Amortized cost of hedged asset or liability (1)	Amortized cost of hedged asset or liability (1)	$	8,342,700	$	1,931,506	$	295,869	Amortized cost of hedged asset or liability (1)	$	7,757,634	$	6,304,145	$	792,611
Fair value hedging adjustments	Fair value hedging adjustments							Fair value hedging adjustments
Basis adjustments for active hedging relationships included in amortized cost	Basis adjustments for active hedging relationships included in amortized cost	$	211,082	$	7,291	$	1,270	Basis adjustments for active hedging relationships included in amortized cost	$	(116,605)	$	(398,890)	$	(11,799)
Basis adjustments for discontinued hedging relationships included in amortized cost	Basis adjustments for discontinued hedging relationships included in amortized cost	1,288		370		0		Basis adjustments for discontinued hedging relationships included in amortized cost	831		7,025		—
Total amount of fair value hedging basis adjustments	Total amount of fair value hedging basis adjustments	$	212,370	$	7,661	$	1,270	Total amount of fair value hedging basis adjustments	$	(115,774)	$	(391,865)	$	(11,799)

		December 31, 2020							December 31, 2021
		Advances		Available-for-Sale Securities		Consolidated Bonds			Advances		Available-for-Sale Securities		Consolidated Bonds
Amortized cost of hedged asset or liability (1)	Amortized cost of hedged asset or liability (1)	$	10,483,218	$	286,869	$	132,852	Amortized cost of hedged asset or liability (1)	$	8,089,716	$	5,238,549	$	450,369
Fair value hedging adjustments	Fair value hedging adjustments							Fair value hedging adjustments
Basis adjustments for active hedging relationships included in amortized cost	Basis adjustments for active hedging relationships included in amortized cost	$	356,624	$	11,751	$	2,086	Basis adjustments for active hedging relationships included in amortized cost	$	103,468	$	(61,734)	$	(1,104)
Basis adjustments for discontinued hedging relationships included in amortized cost	Basis adjustments for discontinued hedging relationships included in amortized cost	1,549		389		0		Basis adjustments for discontinued hedging relationships included in amortized cost	933		2,627		—
Total amount of fair value hedging basis adjustments	Total amount of fair value hedging basis adjustments	$	358,173	$	12,140	$	2,086	Total amount of fair value hedging basis adjustments	$	104,401	$	(59,107)	$	(1,104)

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

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Table 6.4 presents net gains (losses) recorded in non-interest income (loss) on derivatives not designated as hedging instruments.

Table 6.4 - Net Gains (Losses) Recorded in Non-interest Income (Loss) on Derivatives Not Designated as Hedging Instruments (in thousands)


		Three Months Ended June 30,				Three Months Ended March 31,
		2021		2020				2022		2021

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	$	8,066	$	769		Interest rate swaps	$	133,046	$	140,780
Interest rate swaptions	Interest rate swaptions	(3,375)		(1,561)			Interest rate swaptions	1,088		3,789
Forward rate agreements		0		(6,051)

Net interest settlements	Net interest settlements	(44,587)		(26,715)			Net interest settlements	(31,174)		(44,208)
Mortgage delivery commitments	Mortgage delivery commitments	3,804		(500)			Mortgage delivery commitments	(5,883)		(3,264)
Total net gains (losses) related to derivatives not designated as hedging instruments	Total net gains (losses) related to derivatives not designated as hedging instruments	(36,092)		(34,058)			Total net gains (losses) related to derivatives not designated as hedging instruments	97,077		97,097
Price alignment amount (1)	Price alignment amount (1)	13		86			Price alignment amount (1)	28		47
Net gains (losses) on derivatives and hedging activities		$	(36,079)	$	(33,972)
Net gains (losses) on derivatives							Net gains (losses) on derivatives	$	97,105	$	97,144

		Six Months Ended June 30,
		2021		2020
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps		$	148,846	$	(366,232)
Interest rate swaptions		414		90,516
Forward rate agreements		0		(31,935)
Net interest settlements		(88,795)		(37,997)
Mortgage delivery commitments		540		16,594
Total net gains (losses) related to derivatives not designated as hedging instruments		61,005		(329,054)
Price alignment amount (1)		60		1,116
Net gains (losses) on derivatives and hedging activities		$	61,065	$	(327,938)

(1) This amount is for derivatives for which variation margin is characterized as a daily settled contract.

Credit Risk on Derivatives

The FHLB is subject to credit risk ~~due to~~given the risk of non-performance by counterparties to its derivative transactions, and manages credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.

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For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB requires collateral agreements on its uncleared derivatives with the collateral delivery threshold set to zero.

For cleared derivatives, the Clearinghouse is the FHLB's counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin and the clearing agent in turn notifies the FHLB. The FHLB utilizes two Clearinghouses for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments, while initial margin is considered to be collateral. The requirement that the FHLB post initial and variation margin through the clearing agent, to the Clearinghouse, exposes the FHLB to credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral/payments for changes in the value of cleared derivatives is posted daily through a clearing agent. On the Statements of Cash Flows, the variation margin cash payments, or daily settlement payments, are included in net change in derivative and hedging activities, as an operating activity.

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For cleared derivatives, the Clearinghouse determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. At ~~June 30, 2021,~~March 31, 2022, the FHLB was not required to post additional initial margin by its clearing agents based on credit considerations.

Offsetting of Derivative Assets and Derivative Liabilities

The FHLB presents derivative instruments, related cash collateral received or pledged, and associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements.

The FHLB has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions, and it expects that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including bankruptcy, insolvency, or similar proceeding involving the Clearinghouse or the FHLB's clearing agent, or both. Based on this analysis, the FHLB presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse.

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Table 6.5 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the FHLB did not receive or pledge any non-cash collateral. Any over-collateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount.

Table 6.5 - Offsetting of Derivative Assets and Derivative Liabilities (in thousands)


		June 30, 2021								March 31, 2022
		Derivative Instruments Meeting Netting Requirements									Derivative Instruments Meeting Netting Requirements
		Gross Recognized Amount		Gross Amount of Netting Adjustments and Cash Collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities					Gross Recognized Amount		Gross Amount of Netting Adjustments and Cash Collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets:	Derivative Assets:											Derivative Assets:
Uncleared	Uncleared	$	2,244	$	(2,211)	$	2,200	$	2,233			Uncleared	$	5,331	$	(4,059)	$	8	$	1,280
Cleared	Cleared	149		213,834		0		213,983				Cleared	1,521		315,358		—		316,879
Total	Total							$	216,216			Total							$	318,159
Derivative Liabilities:	Derivative Liabilities:											Derivative Liabilities:
Uncleared	Uncleared	$	108,121	$	(105,738)	$	6	$	2,389			Uncleared	$	41,211	$	(40,215)	$	770	$	1,766
Cleared	Cleared	5,697		(5,697)		0		0				Cleared	11,981		(11,981)		—		—
Total	Total							$	2,389			Total							$	1,766

		December 31, 2020								December 31, 2021
		Derivative Instruments Meeting Netting Requirements									Derivative Instruments Meeting Netting Requirements
		Gross Recognized Amount		Gross Amount of Netting Adjustments and Cash Collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities					Gross Recognized Amount		Gross Amount of Netting Adjustments and Cash Collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities
Derivative Assets:	Derivative Assets:											Derivative Assets:
Uncleared	Uncleared	$	1,047	$	(1,047)	$	1,056	$	1,056			Uncleared	$	1,892	$	(1,748)	$	77	$	221
Cleared	Cleared	629		214,203		0		214,832				Cleared	1,269		296,246		—		297,515
Total	Total							$	215,888			Total							$	297,736
Derivative Liabilities:	Derivative Liabilities:											Derivative Liabilities:
Uncleared	Uncleared	$	161,633	$	(157,820)	$	0	$	3,813			Uncleared	$	77,126	$	(74,664)	$	829	$	3,291
Cleared	Cleared	4,104		(4,104)		0		0				Cleared	1,157		(1,157)		—		—
Total	Total							$	3,813			Total							$	3,291

(1) Represents mortgage delivery commitments that are not subject to an enforceable netting agreement.

Note 7 - ~~Deposits~~

~~Table 7.1 - Deposits (in thousands)~~

June 30, 2021 December 31, 2020
Interest-bearing:
Demand and overnight $ 1,236,705 $ 1,190,508
Term 85,150 123,675
Other 14,565 13,019
Total interest-bearing deposits $ 1,336,420 $ 1,327,202

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~~Note 8 -~~ Consolidated Obligations

Table ~~8.1~~7.1 - Consolidated Discount Notes Outstanding (dollars in thousands)

Book Value Principal Amount
Weighted Average Interest Rate (1)
June 30, 2021 $ 21,180,119 $ 21,180,728 0.02 %
December 31, 2020 $ 27,500,244 $ 27,502,730 0.11 %


	Carrying Value		Principal Amount		Weighted Average Interest Rate (1)
March 31, 2022	$	31,650,657	$	31,672,068	0.23	%
December 31, 2021	$	29,837,696	$	29,843,992	0.05	%

(1)Represents an implied rate without consideration of concessions.

Table ~~8.2~~of Contents

Table 7.2 - Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands)


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Year of Original Contractual Maturity	Year of Original Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate		Year of Original Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	Due in 1 year or less	$	19,735,345	0.51	%	$	18,676,595	0.72	%	Due in 1 year or less	$	27,622,830	0.45	%	$	12,828,885	0.55	%
Due after 1 year through 2 years	Due after 1 year through 2 years	2,506,080		2.22		2,728,885		2.38		Due after 1 year through 2 years	3,567,175		1.92		3,836,120		1.91
Due after 2 years through 3 years	Due after 2 years through 3 years	2,880,580		2.05		3,388,120		2.09		Due after 2 years through 3 years	1,972,405		2.14		1,724,405		2.23
Due after 3 years through 4 years	Due after 3 years through 4 years	1,886,000		2.04		1,793,405		2.21		Due after 3 years through 4 years	2,090,000		1.54		2,095,000		1.39
Due after 4 years through 5 years	Due after 4 years through 5 years	1,532,000		1.58		1,910,000		1.45		Due after 4 years through 5 years	1,161,000		1.86		870,000		1.86
Thereafter	Thereafter	3,116,000		2.26		3,454,000		2.39		Thereafter	3,616,000		2.21		3,235,000		2.17

Total principal amount	Total principal amount	31,656,005		1.10		31,951,005		1.32		Total principal amount	40,029,410		0.92		24,589,410		1.21
Premiums	Premiums	34,886				43,235				Premiums	28,998				31,181
Discounts	Discounts	(18,732)				(21,403)				Discounts	(20,351)				(17,709)
Hedging adjustments	Hedging adjustments	1,270				2,086				Hedging adjustments	(11,799)				(1,104)
Fair value option valuation adjustment and accrued interest	Fair value option valuation adjustment and accrued interest	4,683				21,388				Fair value option valuation adjustment and accrued interest	(10,560)				60
Total	Total	$	31,678,112			$	31,996,311			Total	$	40,015,698			$	24,601,838

Table ~~8.3~~7.3 - Consolidated Bonds Outstanding by Call Features (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Principal Amount of Consolidated Bonds:	Principal Amount of Consolidated Bonds:					Principal Amount of Consolidated Bonds:
Non-callable	Non-callable	$	27,395,005	$	26,539,005	Non-callable	$	34,183,410	$	19,689,410
Callable	Callable	4,261,000		5,412,000		Callable	5,846,000		4,900,000
Total principal amount	Total principal amount	$	31,656,005	$	31,951,005	Total principal amount	$	40,029,410	$	24,589,410

Table ~~of Contents~~

~~Table 8.4~~7.4 - Consolidated Bonds Outstanding by Original Contractual Maturity or Next Call Date (in thousands)


Year of Original Contractual Maturity or Next Call Date	Year of Original Contractual Maturity or Next Call Date	June 30, 2021		December 31, 2020		Year of Original Contractual Maturity or Next Call Date	March 31, 2022		December 31, 2021
Due in 1 year or less	Due in 1 year or less	$	23,996,345	$	22,968,595	Due in 1 year or less	$	33,258,830	$	17,518,885
Due after 1 year through 2 years	Due after 1 year through 2 years	2,481,080		2,823,885		Due after 1 year through 2 years	2,616,175		3,085,120
Due after 2 years through 3 years	Due after 2 years through 3 years	1,875,580		2,452,120		Due after 2 years through 3 years	1,174,405		1,262,405
Due after 3 years through 4 years	Due after 3 years through 4 years	1,209,000		1,253,405		Due after 3 years through 4 years	723,000		728,000
Due after 4 years through 5 years	Due after 4 years through 5 years	556,000		728,000		Due after 4 years through 5 years	428,000		547,000
Thereafter	Thereafter	1,538,000		1,725,000		Thereafter	1,829,000		1,448,000

Total principal amount	Total principal amount	$	31,656,005	$	31,951,005	Total principal amount	$	40,029,410	$	24,589,410

Table ~~8.5~~7.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands)


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Principal Amount of Consolidated Bonds:	Principal Amount of Consolidated Bonds:					Principal Amount of Consolidated Bonds:
Fixed-rate	Fixed-rate	$	23,656,005	$	21,312,005	Fixed-rate	$	19,414,410	$	23,739,410
Variable-rate	Variable-rate	8,000,000		10,639,000		Variable-rate	20,615,000		850,000

Total principal amount	Total principal amount	$	31,656,005	$	31,951,005	Total principal amount	$	40,029,410	$	24,589,410

Note 98 - Affordable Housing Program (AHP)

The FHLBank Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies in the form of direct grants ~~and~~or below-market interest rate AHP Advances to members who use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Each FHLBank is required to contribute to its

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AHP the greater of 10 percent of its previous year's income subject to assessment, or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year. For purposes of the AHP calculation, income subject to assessment is defined as net income before AHP assessments, plus interest expense related to mandatorily redeemable capital stock. The FHLB accrues AHP expense monthly based on its income subject to assessment. The FHLB reduces the AHP liability as members use subsidies.

Table ~~9.1~~8.1 - ~~Analysis~~Rollforward of the AHP Liability (in thousands)



Balance at December 31, ~~2020~~2021	$	~~110,772~~84,504
Assessments (current year additions)	~~2,142~~1,883
Subsidy uses, net	~~(11,190)~~(5,984)
Balance at ~~June 30, 2021~~March 31, 2022	$	~~101,724~~80,403

Note 109 - Capital

Table ~~10.1~~9.1 - Capital Requirements (dollars in thousands)


		June 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
		Minimum Requirement			Actual			Minimum Requirement			Actual				Minimum Requirement			Actual			Minimum Requirement			Actual
Risk-based capital	Risk-based capital	$	658,569		$	4,028,675		$	539,321		$	3,964,353		Risk-based capital	$	888,610		$	4,825,949		$	856,322		$	3,804,018
Capital-to-assets ratio (regulatory)	Capital-to-assets ratio (regulatory)	4.00		%	6.84		%	4.00		%	6.07		%	Capital-to-assets ratio (regulatory)	4.00		%	6.08		%	4.00		%	6.28		%
Regulatory capital	Regulatory capital	$	2,354,885		$	4,028,675		$	2,611,850		$	3,964,353		Regulatory capital	$	3,173,434		$	4,825,949		$	2,424,703		$	3,804,018
Leverage capital-to-assets ratio (regulatory)	Leverage capital-to-assets ratio (regulatory)	5.00		%	10.26		%	5.00		%	9.11		%	Leverage capital-to-assets ratio (regulatory)	5.00		%	9.12		%	5.00		%	9.41		%
Leverage capital	Leverage capital	$	2,943,606		$	6,043,013		$	3,264,812		$	5,946,530		Leverage capital	$	3,966,793		$	7,238,924		$	3,030,879		$	5,706,027

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Restricted Retained Earnings. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 the FHLB had (in thousands) ~~$505,136~~$512,941 and ~~$501,321~~$509,719, respectively, in restricted retained earnings. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that an FHLBank may experience.

Table ~~10.2~~9.2 - Rollforward of Mandatorily Redeemable Capital Stock ~~Rollforward~~ (in thousands)



Balance, December 31, ~~2020~~2021	$	~~19,454~~21,211
Capital stock subject to mandatory redemption reclassified from equity	~~61,003~~1,401,159



Repurchase/redemption of mandatorily redeemable capital stock	~~(66,738)~~(893,489)


Balance, ~~June 30, 2021~~March 31, 2022	$	~~13,719~~528,881

Table ~~10.3~~9.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands)


Contractual Year of Redemption	Contractual Year of Redemption	June 30, 2021		December 31, 2020		Contractual Year of Redemption	March 31, 2022		December 31, 2021
Year 1	Year 1	$	1,243	$	156	Year 1	$	1,142	$	1,091
Year 2	Year 2	803		1,124		Year 2	1,293		1,427
Year 3	Year 3	894		2,167		Year 3	30		270
Year 4	Year 4	255		391		Year 4	205		5
Year 5	Year 5	1,667		3,142		Year 5	519,036		10,791
Thereafter (1)		0		650
Past contractual redemption date due to remaining activity (2)		8,857		11,824
Past contractual redemption date due to remaining activity (1)						Past contractual redemption date due to remaining activity (1)	7,175		7,627
Total	Total	$	13,719	$	19,454	Total	$	528,881	$	21,211

(1)Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination.

~~(2)~~Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates.

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Note 1110 - Accumulated Other Comprehensive Income (Loss)

The following tables summarize the changes in accumulated other comprehensive income (loss) for the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021.

Table ~~11.1~~10.1 - Accumulated Other Comprehensive Income (Loss) (in thousands)

Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive income (loss)
BALANCE, MARCH 31, 2020 $ (535) $ (16,201) $ (16,736)
Other comprehensive income before reclassification:
Net unrealized gains (losses) 22 0 22
Reclassifications from other comprehensive income (loss) to net income:
Amortization - pension and postretirement benefits 0 581 581
Net current period other comprehensive income (loss) 22 581 603
BALANCE, JUNE 30, 2020 $ (513) $ (15,620) $ (16,133)
BALANCE, MARCH 31, 2021 $ 7,405 $ (19,027) $ (11,622)
Other comprehensive income before reclassification:
Net unrealized gains (losses) 8,960 0 8,960
Reclassifications from other comprehensive income (loss) to net income:
Amortization - pension and postretirement benefits 0 676 676
Net current period other comprehensive income (loss) 8,960 676 9,636
BALANCE, JUNE 30, 2021 $ 16,365 $ (18,351) $ (1,986)


		Net unrealized gains (losses) on available-for-sale securities		Pension and postretirement benefits		Total accumulated other comprehensive income (loss)			Net unrealized gains (losses) on available-for-sale securities		Pension and postretirement benefits		Total accumulated other comprehensive income (loss)

BALANCE, DECEMBER 31, 2019		$	370	$	(16,764)	$	(16,394)
BALANCE, DECEMBER 31, 2020								BALANCE, DECEMBER 31, 2020	$	4,718	$	(19,703)	$	(14,985)
Other comprehensive income before reclassification:	Other comprehensive income before reclassification:							Other comprehensive income before reclassification:
Net unrealized gains (losses)	Net unrealized gains (losses)	(883)		0		(883)		Net unrealized gains (losses)	2,687		—		2,687

Reclassifications from other comprehensive income (loss) to net income:	Reclassifications from other comprehensive income (loss) to net income:							Reclassifications from other comprehensive income (loss) to net income:

Amortization - pension and postretirement benefits(1)	Amortization - pension and postretirement benefits(1)	0		1,144		1,144		Amortization - pension and postretirement benefits(1)	—		676		676
Net current period other comprehensive income (loss)	Net current period other comprehensive income (loss)	(883)		1,144		261		Net current period other comprehensive income (loss)	2,687		676		3,363
BALANCE, JUNE 30, 2020		$	(513)	$	(15,620)	$	(16,133)
BALANCE, MARCH 31, 2021								BALANCE, MARCH 31, 2021	$	7,405	$	(19,027)	$	(11,622)

BALANCE, DECEMBER 31, 2020		$	4,718	$	(19,703)	$	(14,985)
BALANCE, DECEMBER 31, 2021								BALANCE, DECEMBER 31, 2021	$	26,125	$	(13,031)	$	13,094
Other comprehensive income before reclassification:	Other comprehensive income before reclassification:							Other comprehensive income before reclassification:
Net unrealized gains (losses)	Net unrealized gains (losses)	11,647		0		11,647		Net unrealized gains (losses)	(37,772)		—		(37,772)

Reclassifications from other comprehensive income (loss) to net income:	Reclassifications from other comprehensive income (loss) to net income:							Reclassifications from other comprehensive income (loss) to net income:

Amortization - pension and postretirement benefits		0		1,352		1,352
Amortization - pension and postretirement benefits (1)								Amortization - pension and postretirement benefits (1)	—		509		509
Net current period other comprehensive income (loss)	Net current period other comprehensive income (loss)	11,647		1,352		12,999		Net current period other comprehensive income (loss)	(37,772)		509		(37,263)
BALANCE, JUNE 30, 2021		$	16,365	$	(18,351)	$	(1,986)
BALANCE, MARCH 31, 2022								BALANCE, MARCH 31, 2022	$	(11,647)	$	(12,522)	$	(24,169)

(1)Included in Non-Interest Expense - Other in the Statements of Income.

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Note ~~12 - Pension and Postretirement Benefit Plans~~

~~Qualified Defined Benefit Multi-employer Plan.~~ The FHLB participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra Defined Benefit Plan), a tax-qualified defined benefit pension plan. Under the Pentegra Defined Benefit Plan, contributions made by one participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The Pentegra Defined Benefit Plan covers all officers and employees of the FHLB who meet certain eligibility requirements. Contributions to the Pentegra Defined Benefit Plan charged to compensation and benefit expense were $1,697,000 and $1,518,000 in the three months ended June 30, 2021 and 2020, respectively, and $3,393,000 and $3,036,000 in the six months ended June 30, 2021 and 2020.

~~Qualified Defined Contribution Plan.~~ The FHLB also participates in the Fidelity Defined Contribution Plan, a tax-qualified, defined contribution plan. The FHLB contributes a percentage of the participants' compensation by making a matching contribution equal to a percentage of voluntary employee contributions, subject to certain IRS limitations. The FHLB contributed $339,000 and $324,000 in the three months ended June 30, 2021 and 2020, respectively, and $942,000 and $862,000 in the six months ended June 30, 2021 and 2020.

~~Non-qualified Supplemental Defined Benefit Retirement Plan (Defined Benefit Retirement Plan)~~. The FHLB maintains a non-qualified, unfunded defined benefit plan. The plan ensures that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit plan in the absence of limits on benefit levels imposed by the IRS. There are no funded plan assets. The FHLB has established a grantor trust, which is included in held-to-maturity securities on the Statements of Condition, to meet future benefit obligations and current payments to beneficiaries.

~~Postretirement Benefits Plan~~. The FHLB also sponsors a Postretirement Benefits Plan that includes health care and life insurance benefits for eligible retirees. Future retirees are eligible for the postretirement benefits plan if they were hired prior to August 1, 1990, are age 55 or older, and their age plus years of continuous service at retirement are greater than or equal to 80. Spouses are covered subject to required contributions. There are no funded plan assets that have been designated to provide postretirement benefits.

~~Table 12.1 - Net Periodic Benefit Cost (in thousands)~~

Three Months Ended June 30,
Defined Benefit
Retirement Plan Postretirement Benefits Plan
2021 2020 2021 2020
Net Periodic Benefit Cost
Service cost $ 326 $ 290 $ 2 $ 2
Interest cost 274 331 29 35
Amortization of net loss 663 581 13 0
Net periodic benefit cost $ 1,263 $ 1,202 $ 44 $ 37
Six Months Ended June 30,
Defined Benefit
Retirement Plan Postretirement Benefits Plan
2021 2020 2021 2020
Net Periodic Benefit Cost
Service cost $ 652 $ 565 $ 4 $ 4
Interest cost 548 662 58 71
Amortization of net loss 1,326 1,144 26 0
Net periodic benefit cost $ 2,526 $ 2,371 $ 88 $ 75

~~Table of Contents~~

For the Defined Benefit Retirement Plan and the Postretirement Benefits Plan, the related service cost is recorded as part of Non-Interest Expense - Compensation and Benefits on the Statements of Income. The non-service related components of interest cost and amortization of net loss are recorded as Non-Interest Expense - Other in the Statements of Income.

~~Note 13~~11 - Segment Information

The FHLB has identified 2 primary operating segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLB provides services to member stockholders.

Table ~~13.1~~11.1 - Financial Performance by Operating Segment (in thousands)


		Three Months Ended June 30,							Three Months Ended March 31,
		Traditional Member Finance		MPP		Total			Traditional Member Finance		MPP		Total
2021
2022								2022
Net interest income (loss)	Net interest income (loss)	$	80,863	$	(14,712)	$	66,151	Net interest income (loss)	$	77,375	$	3,415	$	80,790

Non-interest income (loss)	Non-interest income (loss)	(43,205)		1,365		(41,840)		Non-interest income (loss)	(32,112)		(5,081)		(37,193)
Non-interest expense	Non-interest expense	21,342		2,569		23,911		Non-interest expense	22,751		2,852		25,603
Income (loss) before assessments	Income (loss) before assessments	16,316		(15,916)		400		Income (loss) before assessments	22,512		(4,518)		17,994
Affordable Housing Program assessments	Affordable Housing Program assessments	1,643		(1,592)		51		Affordable Housing Program assessments	2,335		(452)		1,883
Net income (loss)	Net income (loss)	$	14,673	$	(14,324)	$	349	Net income (loss)	$	20,177	$	(4,066)	$	16,111
2020
2021								2021

Net interest income		$	139,314	$	10,281	$	149,595
Net interest income (loss)								Net interest income (loss)	$	87,382	$	(11,476)	$	75,906
Non-interest income (loss)	Non-interest income (loss)	(7,378)		(7,647)		(15,025)		Non-interest income (loss)	(31,026)		(539)		(31,565)
Non-interest expense	Non-interest expense	21,354		2,664		24,018		Non-interest expense	20,724		2,799		23,523
Income (loss) before assessments	Income (loss) before assessments	110,582		(30)		110,552		Income (loss) before assessments	35,632		(14,814)		20,818
Affordable Housing Program assessments	Affordable Housing Program assessments	11,145		(3)		11,142		Affordable Housing Program assessments	3,572		(1,481)		2,091
Net income (loss)	Net income (loss)	$	99,437	$	(27)	$	99,410	Net income (loss)	$	32,060	$	(13,333)	$	18,727

Six Months Ended June 30,
Traditional Member
Finance MPP Total
2021
Net interest income (loss) $ 168,245 $ (26,188) $ 142,057
Non-interest income (loss) (74,231) 826 (73,405)
Non-interest expense 42,066 5,368 47,434
Income (loss) before assessments 51,948 (30,730) 21,218
Affordable Housing Program assessments 5,215 (3,073) 2,142
Net income (loss) $ 46,733 $ (27,657) $ 19,076
2020
Net interest income $ 203,963 $ 27,747 $ 231,710
Non-interest income (loss) (30,958) 46,622 15,664
Non-interest expense 42,461 5,837 48,298
Income before assessments 130,544 68,532 199,076
Affordable Housing Program assessments 13,160 6,853 20,013
Net income $ 117,384 $ 61,679 $ 179,063

~~Table of Contents~~

Table ~~13.2~~11.2 - Asset Balances by Operating Segment (in thousands)

Assets
Traditional Member
Finance MPP Total
June 30, 2021 $ 47,713,254 $ 11,158,865 $ 58,872,119
December 31, 2020 53,356,209 11,940,030 65,296,239


	Assets
	Traditional Member Finance		MPP		Total
March 31, 2022	$	69,336,308	$	9,999,548	$	79,335,856
December 31, 2021	50,086,904		10,530,681		60,617,585

Note 1412 - Fair Value Disclosures

The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values.

Fair Value Hierarchy. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the measurement is determined. This overall level is an indication of how market observable the fair value measurement is.

The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

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Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 Inputs - Unobservable inputs for the asset or liability, which are supported by limited to no market activity and reflect the FHLB's own assumptions.

The FHLB reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain financial assets or liabilities. The FHLB did not have any transfers of assets or liabilities into or out of Level 3 of the fair value hierarchy during the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 or ~~2020.~~2021.

Table ~~14.1~~12.1 presents the ~~net~~ carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligations at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. The FHLB records all other financial assets and liabilities at amortized cost. Refer to Table ~~14.2~~12.2 for further details about the financial assets and liabilities held at fair value on either a recurring or nonrecurring basis.

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Table ~~14.1~~12.1 - Fair Value Summary (in thousands)


		June 30, 2021													March 31, 2022
				Fair Value													Fair Value
Financial Instruments	Financial Instruments	Net Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)		Financial Instruments	Carrying Value (1)		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (2)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	135,003	$	135,003	$	135,003	$	0	$	0	$	—	Cash and due from banks	$	21,898	$	21,898	$	21,898	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	374,147		374,147		0		374,147		0		—		Interest-bearing deposits	435,047		435,047		—		435,047		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	436,500		436,500		0		436,500		0		—		Securities purchased under agreements to resell	6,024,560		6,024,561		—		6,024,561		—		—
Federal funds sold	Federal funds sold	6,175,000		6,175,000		0		6,175,000		0		—		Federal funds sold	8,059,000		8,059,000		—		8,059,000		—		—
Trading securities	Trading securities	9,327,467		9,327,467		0		9,327,467		0		—		Trading securities	6,050,632		6,050,632		—		6,050,632		—		—
Available-for-sale securities	Available-for-sale securities	1,947,871		1,947,871		0		1,947,871		0		—		Available-for-sale securities	6,299,236		6,299,236		—		6,299,236		—		—
Held-to-maturity securities	Held-to-maturity securities	8,835,019		8,947,316		0		8,947,316		0		—		Held-to-maturity securities	10,904,822		10,818,201		—		10,818,201		—		—
Advances ~~(2)~~(3)	Advances ~~(2)~~(3)	23,586,541		23,785,148		0		23,785,148		0		—		Advances ~~(2)~~(3)	33,528,853		33,574,496		—		33,574,496		—		—
Mortgage loans held for portfolio	Mortgage loans held for portfolio	7,716,841		7,959,301		0		7,916,827		42,474		—		Mortgage loans held for portfolio	7,555,457		7,269,249		—		7,250,185		19,064		—
Accrued interest receivable	Accrued interest receivable	96,727		96,727		0		96,727		0		—		Accrued interest receivable	113,677		113,677		—		113,677		—		—
Derivative assets	Derivative assets	216,216		216,216		0		4,593		0		211,623		Derivative assets	318,159		318,159		—		6,860		—		311,299
Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,336,420		1,336,365		0		1,336,365		0		—		Deposits	1,510,088		1,509,440		—		1,509,440		—		—
Consolidated Obligations:	Consolidated Obligations:													Consolidated Obligations:
Discount Notes ~~(3)~~(4)	Discount Notes ~~(3)~~(4)	21,180,119		21,179,813		0		21,179,813		0		—		Discount Notes ~~(3)~~(4)	31,650,657		31,648,759		—		31,648,759		—		—
Bonds ~~(4)~~(5)	Bonds ~~(4)~~(5)	31,678,112		32,212,241		0		32,212,241		0		—		Bonds ~~(4)~~(5)	40,015,698		39,760,527		—		39,760,527		—		—
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	13,719		13,719		13,719		0		0		—		Mandatorily redeemable capital stock	528,881		528,881		528,881		—		—		—
Accrued interest payable	Accrued interest payable	67,258		67,258		0		67,258		0		—		Accrued interest payable	57,152		57,152		—		57,152		—		—
Derivative liabilities	Derivative liabilities	2,389		2,389		0		113,824		0		(111,435)		Derivative liabilities	1,766		1,766		—		53,962		—		(52,196)

(1)For certain financial instruments, the amounts represent net carrying value, which include an allowance for credit losses.

(2)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.

~~(2)~~(3)Includes (in thousands) ~~$26,066~~$24,365 of Advances recorded under the fair value option at ~~June 30, 2021.~~March 31, 2022.

~~(3)~~(4)Includes (in thousands) ~~$2,866,877~~$5,063,294 of Consolidated Obligation Discount Notes recorded under the fair value option at ~~June 30, 2021.~~March 31, 2022.

~~(4)~~(5)Includes (in thousands) ~~$2,295,683~~$4,274,440 of Consolidated Obligation Bonds recorded under the fair value option at ~~June 30, 2021.~~March 31, 2022.

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		December 31, 2020													December 31, 2021
				Fair Value													Fair Value
Financial Instruments	Financial Instruments	Net Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)		Financial Instruments	Carrying Value (1)		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (2)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	2,984,073	$	2,984,073	$	2,984,073	$	0	$	0	$	—	Cash and due from banks	$	167,822	$	167,822	$	167,822	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	555,104		555,104		0		555,104		0		—		Interest-bearing deposits	340,147		340,147		—		340,147		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	1,818,268		1,818,268		0		1,818,268		0		—		Securities purchased under agreements to resell	1,282,440		1,282,440		—		1,282,440		—		—
Federal funds sold	Federal funds sold	4,240,000		4,240,000		0		4,240,000		0		—		Federal funds sold	5,505,000		5,505,000		—		5,505,000		—		—
Trading securities	Trading securities	10,488,124		10,488,124		0		10,488,124		0		—		Trading securities	6,780,817		6,780,817		—		6,780,817		—		—
Available-for-sale securities	Available-for-sale securities	291,587		291,587		0		291,587		0		—		Available-for-sale securities	5,267,123		5,267,123		—		5,267,123		—		—
Held-to-maturity securities	Held-to-maturity securities	9,648,171		9,792,136		0		9,792,136		0		—		Held-to-maturity securities	10,216,756		10,269,821		—		10,269,821		—		—
Advances ~~(2)~~(3)	Advances ~~(2)~~(3)	25,362,003		25,573,785		0		25,573,785		0		—		Advances ~~(2)~~(3)	23,054,748		23,191,040		—		23,191,040		—		—
Mortgage loans held for portfolio	Mortgage loans held for portfolio	9,548,506		9,861,802		0		9,798,019		63,783		—		Mortgage loans held for portfolio	7,588,184		7,728,670		—		7,705,035		23,635		—
Accrued interest receivable	Accrued interest receivable	113,701		113,701		0		113,701		0		—		Accrued interest receivable	88,672		88,672		—		88,672		—		—
Derivative assets	Derivative assets	215,888		215,888		0		2,732		0		213,156		Derivative assets	297,736		297,736		—		3,238		—		294,498
Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,327,202		1,327,267		0		1,327,267		0		—		Deposits	1,415,651		1,415,456		—		1,415,456		—		—
Consolidated Obligations:	Consolidated Obligations:													Consolidated Obligations:
Discount Notes(4)	Discount Notes(4)	27,500,244		27,501,296		0		27,501,296		0		—		Discount Notes(4)	29,837,696		29,837,184		—		29,837,184		—		—
Bonds ~~(3)~~(5)	Bonds ~~(3)~~(5)	31,996,311		32,785,647		0		32,785,647		0		—		Bonds ~~(3)~~(5)	24,601,838		24,906,306		—		24,906,306		—		—
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	19,454		19,454		19,454		0		0		—		Mandatorily redeemable capital stock	21,211		21,211		21,211		—		—		—
Accrued interest payable	Accrued interest payable	77,521		77,521		0		77,521		0		—		Accrued interest payable	60,682		60,682		—		60,682		—		—
Derivative liabilities	Derivative liabilities	3,813		3,813		0		165,737		0		(161,924)		Derivative liabilities	3,291		3,291		—		79,112		—		(75,821)

(1)For certain financial instruments, the amounts represent net carrying value, which include an allowance for credit losses.

~~(2)~~(3)Includes (in thousands) ~~$27,202~~$25,805 of Advances recorded under the fair value option at December 31, ~~2020.~~2021.

~~(3)~~(4)Includes (in thousands) ~~$2,262,388~~$10,420,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2021.

(5)Includes (in thousands) $7,175,060 of Consolidated Obligation Bonds recorded under the fair value option at December 31, ~~2020.~~2021.

Summary of Valuation Methodologies and Primary Inputs.

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are disclosed in Note 15 - Fair Value Disclosures in the FHLB's ~~2020~~2021 Annual Report on Form 10-K. There have been no significant changes in the valuation methodologies during ~~2021.~~

the three months ended March 31, 2022.

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Fair Value Measurements.

Table ~~14.2~~12.2 presents the fair value of financial assets and liabilities that are recorded on a recurring ~~or nonrecurring~~ basis at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, by level within the fair value hierarchy. ~~The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans.~~

Table ~~14.2~~12.2 - Fair Value Measurements (in thousands)


		Fair Value Measurements at June 30, 2021											Fair Value Measurements at March 31, 2022
		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)			Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)
Recurring fair value measurements - Assets	Recurring fair value measurements - Assets											Recurring fair value measurements - Assets
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	$	7,536,087	$	0	$	7,536,087	$	0	$	—	U.S. Treasury obligations	$	4,412,952	$	—	$	4,412,952	$	—	$	—
GSE obligations	GSE obligations	1,791,111		0		1,791,111		0		—		GSE obligations	1,637,495		—		1,637,495		—		—
U.S. obligation single-family MBS	U.S. obligation single-family MBS	269		0		269		0		—		U.S. obligation single-family MBS	185		—		185		—		—
Total trading securities	Total trading securities	9,327,467		0		9,327,467		0		—		Total trading securities	6,050,632		—		6,050,632		—		—
Available-for-sale securities:	Available-for-sale securities:											Available-for-sale securities:
U.S. Treasury obligations	U.S. Treasury obligations	1,663,680		0		1,663,680		0		—		U.S. Treasury obligations	5,214,266		—		5,214,266		—		—

GSE obligations	GSE obligations	138,163		0		138,163		0		—		GSE obligations	127,305		—		127,305		—		—
GSE multi-family MBS	GSE multi-family MBS	146,028		0		146,028		0		—		GSE multi-family MBS	957,665		—		957,665		—		—
Total available-for-sale securities	Total available-for-sale securities	1,947,871		0		1,947,871		0		—		Total available-for-sale securities	6,299,236		—		6,299,236		—		—
Advances	Advances	26,066		0		26,066		0		—		Advances	24,365		—		24,365		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest rate related	Interest rate related	214,016		0		2,393		0		211,623		Interest rate related	318,151		—		6,852		—		311,299

Mortgage delivery commitments	Mortgage delivery commitments	2,200		0		2,200		0		—		Mortgage delivery commitments	8		—		8		—		—
Total derivative assets	Total derivative assets	216,216		0		4,593		0		211,623		Total derivative assets	318,159		—		6,860		—		311,299
Total assets at fair value	Total assets at fair value	$	11,517,620	$	0	$	11,305,997	$	0	$	211,623	Total assets at fair value	$	12,692,392	$	—	$	12,381,093	$	—	$	311,299

Recurring fair value measurements - Liabilities	Recurring fair value measurements - Liabilities											Recurring fair value measurements - Liabilities
Consolidated Obligations:	Consolidated Obligations:											Consolidated Obligations:
Discount Notes	Discount Notes	$	2,866,877	$	0	$	2,866,877	$	0	$	—	Discount Notes	$	5,063,294	$	—	$	5,063,294	$	—	$	—
Bonds	Bonds	2,295,683		0		2,295,683		0		—		Bonds	4,274,440		—		4,274,440		—		—
Total Consolidated Obligations	Total Consolidated Obligations	5,162,560		0		5,162,560		0		—		Total Consolidated Obligations	9,337,734		—		9,337,734		—		—
Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest rate related	Interest rate related	2,383		0		113,818		0		(111,435)		Interest rate related	996		—		53,192		—		(52,196)

Mortgage delivery commitments	Mortgage delivery commitments	6		0		6		0		—		Mortgage delivery commitments	770		—		770		—		—
Total derivative liabilities	Total derivative liabilities	2,389		0		113,824		0		(111,435)		Total derivative liabilities	1,766		—		53,962		—		(52,196)
Total liabilities at fair value	Total liabilities at fair value	$	5,164,949	$	0	$	5,276,384	$	0	$	(111,435)	Total liabilities at fair value	$	9,339,500	$	—	$	9,391,696	$	—	$	(52,196)

(1)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.

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		Fair Value Measurements at December 31, 2020											Fair Value Measurements at December 31, 2021
		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)			Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral (1)
Recurring fair value measurements - Assets	Recurring fair value measurements - Assets											Recurring fair value measurements - Assets
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	$	8,362,211	$	0	$	8,362,211	$	0	$	—	U.S. Treasury obligations	$	5,030,946	$	—	$	5,030,946	$	—	$	—
GSE obligations	GSE obligations	2,125,580		0		2,125,580		0		—		GSE obligations	1,749,661		—		1,749,661		—		—
U.S. obligation single-family MBS	U.S. obligation single-family MBS	333		0		333		0		—		U.S. obligation single-family MBS	210		—		210		—		—
Total trading securities	Total trading securities	10,488,124		0		10,488,124		0		—		Total trading securities	6,780,817		—		6,780,817		—		—
Available-for-sale securities:	Available-for-sale securities:											Available-for-sale securities:

U.S. Treasury obligations												U.S. Treasury obligations	4,498,870		—		4,498,870		—		—
GSE obligations	GSE obligations	142,402		0		142,402		0		—		GSE obligations	135,308		—		135,308		—		—
GSE multi-family MBS	GSE multi-family MBS	149,185		0		149,185		0		—		GSE multi-family MBS	632,945		—		632,945		—		—
Total available-for-sale securities	Total available-for-sale securities	291,587		0		291,587		0		—		Total available-for-sale securities	5,267,123		—		5,267,123		—		—
Advances	Advances	27,202		0		27,202		0		—		Advances	25,805		—		25,805		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest rate related	Interest rate related	214,832		0		1,676		0		213,156		Interest rate related	297,659		—		3,161		—		294,498

Mortgage delivery commitments	Mortgage delivery commitments	1,056		0		1,056		0		—		Mortgage delivery commitments	77		—		77		—		—
Total derivative assets	Total derivative assets	215,888		0		2,732		0		213,156		Total derivative assets	297,736		—		3,238		—		294,498
Total assets at fair value	Total assets at fair value	$	11,022,801	$	0	$	10,809,645	$	0	$	213,156	Total assets at fair value	$	12,371,481	$	—	$	12,076,983	$	—	$	294,498

Recurring fair value measurements - Liabilities	Recurring fair value measurements - Liabilities											Recurring fair value measurements - Liabilities

Consolidated Obligation Bonds		$	2,262,388	$	0	$	2,262,388	$	0	$	—

Consolidated Obligations:												Consolidated Obligations:
Discount Notes												Discount Notes	$	10,420,974	$	—	$	10,420,974	$	—	$	—
Bonds												Bonds	7,175,060		—		7,175,060		—		—
Total Consolidated Obligations												Total Consolidated Obligations	17,596,034		—		17,596,034		—		—
Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest rate related	Interest rate related	3,813		0		165,737		0		(161,924)		Interest rate related	2,462		—		78,283		—		(75,821)

Mortgage delivery commitments												Mortgage delivery commitments	829		—		829		—		—
Total derivative liabilities	Total derivative liabilities	3,813		0		165,737		0		(161,924)		Total derivative liabilities	3,291		—		79,112		—		(75,821)
Total liabilities at fair value	Total liabilities at fair value	$	2,266,201	$	0	$	2,428,125	$	0	$	(161,924)	Total liabilities at fair value	$	17,599,325	$	—	$	17,675,146	$	—	$	(75,821)

Nonrecurring fair value measurements - Assets (2)
Mortgage loans held for portfolio		$	108	$	0	$	0	$	108

~~(2)The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2020.~~

Fair Value Option. The fair value option provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires a company to display the fair value of those assets and liabilities for which it has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. If elected, interest income and interest expense on Advances and Consolidated Obligations carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense.

The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value.

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Table ~~14.3~~12.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021.

Table ~~14.3~~12.3 – Fair Value Option - Financial Assets and Liabilities (in thousands)

Three Months Ended June 30, Six Months Ended June 30,
Net Gains (Losses) from Changes in Fair Value Recognized in Earnings 2021 2020 2021 2020
Advances $ 165 $ 31 $ (1,135) $ 178
Consolidated Discount Notes 55 13,864 50 (162)
Consolidated Bonds 2,382 11,846 7,592 (25,105)
Total net gains (losses) $ 2,602 $ 25,741 $ 6,507 $ (25,089)



	Three Months Ended March 31,
Net Gains (Losses) from Changes in Fair Value Recognized in Earnings		2022		2021
Advances		$	(1,440)	$	(1,300)
Consolidated Discount Notes		9,200		(5)
Consolidated Bonds		10,918		5,210
Total net gains (losses)		$	18,678	$	3,905

For instruments recorded under the fair value option, the related contractual interest income, contractual interest expense and the discount amortization on Discount Notes are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments in which the fair value option has been elected are recorded as “Net gains (losses) on financial instruments held under fair value option” in the Statements of Income, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income in the Statement of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 or ~~2020.~~2021. In determining that there has been 0no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors:

▪The FHLB is a federally chartered GSE, and as a result of this status, the FHLB’s Consolidated Obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States.

▪The FHLB is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks.

The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Obligations for which the fair value option has been elected.

Table ~~14.4~~12.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands)


		June 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
		Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance		Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance			Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance		Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance
Advances	Advances	$	26,500	$	26,066	$	(434)	$	26,500	$	27,202	$	702	Advances	$	26,500	$	24,365	$	(2,135)	$	26,500	$	25,805	$	(695)
Consolidated Discount Notes	Consolidated Discount Notes	2,867,100		2,866,877		(223)		0		0		0		Consolidated Discount Notes	5,076,400		5,063,294		(13,106)		10,426,400		10,420,974		(5,426)
Consolidated Bonds	Consolidated Bonds	2,291,000		2,295,683		4,683		2,241,000		2,262,388		21,388		Consolidated Bonds	4,285,000		4,274,440		(10,560)		7,175,000		7,175,060		60

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Note 1513 - Commitments and Contingencies

Off-Balance Sheet Commitments. Table ~~15.1~~13.1 represents off-balance sheet commitments at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021. The FHLB has deemed it unnecessary to record any liabilities for credit losses on these commitments at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

Table ~~15.1~~13.1 - Off-Balance Sheet Commitments (in thousands)


		June 30, 2021						December 31, 2020							March 31, 2022						December 31, 2021
Notional Amount	Notional Amount	Expire within one year		Expire after one year		Total		Expire within one year		Expire after one year		Total		Notional Amount	Expire within one year		Expire after one year		Total		Expire within one year		Expire after one year		Total
Standby Letters of Credit		$	33,932,607	$	1,233,417	$	35,166,024	$	27,741,220	$	1,071,029	$	28,812,249
Letters of Credit														Letters of Credit	$	33,553,365	$	259,472	$	33,812,837	$	34,281,457	$	355,646	$	34,637,103
Commitments for standby bond purchases	Commitments for standby bond purchases	15,905		14,600		30,505		0		35,030		35,030		Commitments for standby bond purchases	11,675		—		11,675		14,035		12,885		26,920
Commitments to fund additional Advances		63		0		63		0		0		0

Commitments to purchase mortgage loans	Commitments to purchase mortgage loans	513,208		0		513,208		137,352		0		137,352		Commitments to purchase mortgage loans	75,447		—		75,447		249,581		—		249,581
Unsettled Consolidated Bonds, principal amount (1)	Unsettled Consolidated Bonds, principal amount (1)	500,000		0		500,000		0		0		0		Unsettled Consolidated Bonds, principal amount (1)	325,000		—		325,000		—		—		—
Unsettled Consolidated Discount Notes, principal amount (1)		100,000		0		100,000		321,551		0		321,551

(1)Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations.

The carrying value of guarantees related to ~~Standby~~ Letters of Credit are recorded in other liabilities and were (in thousands) ~~$7,396~~$9,622 and ~~$8,675~~$8,751 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

Legal Proceedings. From time to time, the FHLB is subject to legal proceedings arising in the normal course of business. The FHLB would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount could be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability and the range of reasonably possible losses, if any, arising out of any matters will have a material effect on the FHLB's financial condition or results of operations.

Note 1614 - Transactions with Other FHLBanks

The FHLB notes all transactions with other FHLBanks on the face of its financial statements. Occasionally, the FHLB loans short-term funds to and borrows short-term funds from other FHLBanks. These loans and borrowings are transacted at then current market rates when traded. There were no such loans or borrowings outstanding at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020. The following table details~~2021 and no such transactions occurred during the ~~average daily balance of lending and borrowing between the FHLB and other FHLBanks for the six~~three months ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021.

~~Table 16.1 - Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands)~~

Average Daily Balances for the Six Months Ended June 30,
2021 2020
Loans to other FHLBanks $ 0 $ 9,890

In addition, the FHLB may, from time to time, assume the outstanding primary liability for Consolidated Obligations of another FHLBank (at then current market rates on the day when the transfer is traded) rather than issuing new debt for which the FHLB is the primary obligor. The FHLB then becomes the primary obligor on the transferred debt. There were 0no Consolidated Obligations transferred to the FHLB during the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 or ~~2020.~~2021. The FHLB had 0no Consolidated Obligations transferred to other FHLBanks during these periods.

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Note 1715 - Transactions with Stockholders

As a cooperative, the FHLB's capital stock is owned by its members, by former members that retain the stock as provided in the FHLB's Capital Plan and by nonmember institutions that have acquired members and must retain the stock to support Advances or other activities with the FHLB. All Advances are issued to members and all mortgage loans held for portfolio are purchased from members. The FHLB also maintains demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to Advances and mortgage loan purchases. Additionally, the FHLB may enter into interest rate swaps with its stockholders. The FHLB may not invest in any equity securities issued by its stockholders and it has not purchased any MBS securitized by, or other direct long-term investments in, its stockholders.

For financial statement purposes, the FHLB defines related parties as those members with more than 10 percent of the voting interests of the FHLB capital stock outstanding. Federal statute prescribes the voting rights of members in the election of both Member and Independent directors. For Member directorships, the Finance Agency designates the number of Member directorships in a given year and an eligible voting member may vote only for candidates seeking election in its respective state. For Independent directors, the FHLB's Board of Directors nominates candidates to be placed on the ballot in an at-large election. For both Member and Independent director elections, a member is entitled to vote one share of required capital stock, subject to a statutory limitation, for each applicable directorship. Under this limitation, the total number of votes that a member may cast is limited to the average number of shares of the FHLB's capital stock that were required to be held by all members in that state as of the record date for voting. Nonmember stockholders are not eligible to vote in director elections. Due to these statutory limitations, no member owned more than 10 percent of the voting interests of the FHLB at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020.~~2021.

All transactions with stockholders are entered into in the ordinary course of business. Finance Agency regulations require the FHLB to offer the same pricing for Advances and other services to all members regardless of asset or transaction size, charter type, or geographic location. However, the FHLB may, in pricing its Advances, distinguish among members based upon its assessment of the credit and other risks to the FHLB of lending to any particular member or upon other reasonable criteria that may be applied equally to all members. The FHLB's policies and procedures require that such standards and criteria be applied consistently and without discrimination to all members applying for Advances.

Transactions with Directors' Financial Institutions. In the ordinary course of its business, the FHLB provides products and services to members whose officers or directors serve as directors of the FHLB (Directors' Financial Institutions). Finance Agency regulations require that transactions with Directors' Financial Institutions be made on the same terms as those with any other member. The following table reflects balances with Directors' Financial Institutions for the items indicated below. The FHLB had no MBS or derivatives transactions with Directors' Financial Institutions at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020.~~2021.

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Table ~~17.1~~15.1 - Transactions with Directors' Financial Institutions (dollars in millions)


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
		Balance		% of Total (1)		Balance		% of Total (1)			Balance		% of Total (1)		Balance		% of Total (1)
Advances	Advances	$	6,137	26.3	%	$	7,048	28.2	%	Advances	$	15,347	45.6	%	$	6,131	26.7	%
MPP	MPP	162		2.2		159		1.7		MPP	61		0.8		166		2.2

Regulatory capital stock	Regulatory capital stock	647		23.7		467		17.6		Regulatory capital stock	897		25.4		393		15.7

(1)Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock.

Concentrations. The following table shows regulatory capital stock balances, outstanding Advance principal balances, and unpaid principal balances of mortgage loans held for portfolio of stockholders holding five percent or more of regulatory capital stock and includes any known affiliates that are members of the FHLB.

Table ~~17.2~~15.2 - Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions)

Regulatory Capital Stock Advance MPP Unpaid
June 30, 2021 Balance % of Total Principal Principal Balance
U.S. Bank, N.A. $ 437 16 % $ 3,272 $ 11
Third Federal Savings & Loan Association 163 6 3,141 34
Nationwide Life Insurance Company 138 5 2,607 0


	Regulatory Capital Stock				Advance		MPP Unpaid
March 31, 2022	Balance		% of Total		Principal		Principal Balance
U.S. Bank, N.A.	$	686	19	%	$	12,272	$	9
The Huntington National Bank	456		13		3		354


		Regulatory Capital Stock				Advance		MPP Unpaid			Regulatory Capital Stock				Advance		MPP Unpaid
December 31, 2020		Balance		% of Total		Principal		Principal Balance
December 31, 2021										December 31, 2021	Balance		% of Total		Principal		Principal Balance
U.S. Bank, N.A.	U.S. Bank, N.A.	$	288	11	%	$	4,273	$	13	U.S. Bank, N.A.	$	186	7	%	$	3,272	$	10
JPMorgan Chase Bank, N.A.		163		6		0		0
Third Federal Savings & Loan Association	Third Federal Savings & Loan Association	137		5		3,443		42		Third Federal Savings & Loan Association	163		6		3,179		29
Protective Life Insurance Company										Protective Life Insurance Company	143		6		2,800		—
Nationwide Life Insurance Company										Nationwide Life Insurance Company	143		6		2,702		—

Nonmember Affiliates. The FHLB has relationships with 3 nonmember affiliates, the Kentucky Housing Corporation, the Ohio Housing Finance Agency and the Tennessee Housing Development Agency. The FHLB had no investments in or borrowings to any of these nonmember affiliates at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020.~~2021. The FHLB has executed standby bond purchase agreements with the Ohio Housing Finance Agency whereby the FHLB, for a fee, agrees as a liquidity provider if required, to purchase and hold the authority's bonds until the designated marketing agent can find a suitable investor or the housing authority repurchases the bond according to a schedule established by the standby agreement. During the first ~~six~~three months of ~~2021~~2022 and ~~2020,~~2021, the FHLB was not required to purchase any bonds under these agreements.

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.

This document contains forward-looking statements that describe the objectives, expectations, estimates, and assessments of the Federal Home Loan Bank of Cincinnati (the FHLB). These statements use words such as “anticipates,” “expects,” “believes,” “could,” “estimates,” “may,” and “should.” By their nature, forward-looking statements relate to matters involving risks or uncertainties, some of which we may not be able to know, control, or completely manage. Actual future results could differ materially from those expressed or implied in forward-looking statements or could affect the extent to which we are able to realize an objective, expectation, estimate, or assessment. Some of the risks and uncertainties that could affect our forward-looking statements include the following:

▪the effects of economic, financial, credit, market, and member conditions on our financial condition and results of operations, including changes in economic growth, general liquidity conditions, inflation and deflation, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, asset delinquencies, and members' mergers and consolidations, deposit flows, liquidity needs, and loan demand;

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▪political, national, or world events, including acts of war, civil unrest, terrorism, natural disasters, climate change, pandemics, including the current COVID-19 pandemic, or other catastrophic events, and legislative, regulatory,

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government, judicial or other developments that could affect us, our members, our counterparties, other Federal Home Loan Banks (FHLBanks) and other government-sponsored enterprises (GSEs), and/or investors in the Federal Home Loan Bank System's (FHLBank System) unsecured debt securities, which are called Consolidated Obligations or Obligations;

▪competitive forces, including those related to other sources of funding available to members, to purchases of mortgage loans, and to our issuance of Consolidated Obligations;

▪the financial results and actions of other FHLBanks that could affect our ability, in relation to the FHLBank System's joint and several liability for Consolidated Obligations, to access the capital markets on favorable terms or preserve our profitability, or could alter the regulations and legislation to which we are subject;

▪changes in ratings assigned to FHLBank System Obligations or the FHLB that could raise our funding cost;

▪changes in investor demand for Obligations;

▪the volatility of market prices, interest rates, credit quality, and other indices that could affect the value of investments and collateral we hold as security for member obligations and/or for counterparty obligations;

▪uncertainties relating to the phasing out of the London InterBank Offered Rate (LIBOR) that could impact our mortgage-backed securities (MBS) investments, Advances, ~~Consolidated Obligations,~~ derivatives, and collateral;

▪the ability to attract and retain skilled management and other key employees;

▪the ability to develop, secure and support technology and information systems that help effectively manage the risks we face (including cybersecurity risks);

▪the risk of loss arising from failures or interruptions in our ongoing business operations, internal controls, information systems or other operating technologies;

▪the ability to successfully manage new products and services; and

▪the risk of loss arising from litigation filed against us or one or more other FHLBanks.

We do not undertake any obligation to update any forward-looking statements made in this document.

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EXECUTIVE OVERVIEW

~~The following table presents selected Statement of Condition data, Statement of Income data and financial ratios for the periods indicated.~~

(Dollars in millions) June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020
STATEMENT OF CONDITION DATA AT PERIOD END:
Total assets $ 58,872 $ 60,634 $ 65,296 $ 74,077 $ 90,645
Advances 23,587 24,365 25,362 27,101 48,913
Mortgage loans held for portfolio 7,717 8,599 9,549 10,671 11,704
Investments (1)
27,096 24,209 27,041 34,514 29,533
Consolidated Obligations:
Discount Notes 21,180 26,873 27,500 26,668 44,324
Bonds 31,678 27,798 31,997 41,432 39,339
Total Consolidated Obligations 52,858 54,671 59,497 68,100 83,663
Mandatorily redeemable capital stock 14 15 19 17 19
Capital:
Capital stock - putable 2,718 2,748 2,641 2,935 3,813
Retained earnings 1,297 1,309 1,304 1,282 1,247
Accumulated other comprehensive loss (2) (12) (15) (12) (16)
Total capital 4,013 4,045 3,930 4,205 5,044
STATEMENT OF INCOME DATA FOR THE QUARTER:
Net interest income $ 66 $ 76 $ 81 $ 93 $ 149
Non-interest income (loss) (42) (32) (15) (7) (15)
Non-interest expense 24 23 22 22 24
Affordable Housing Program assessments — 2 4 7 11
Net income $ — $ 19 $ 40 $ 57 $ 99
FINANCIAL RATIOS FOR THE QUARTER:
Weighted average dividend rate (2)
2.00 % 2.00 % 2.00 % 2.00 % 2.50 %
Return on average equity 0.03 1.96 3.93 4.70 7.12
Return on average assets — 0.12 0.23 0.26 0.37
Net interest margin (3)
0.43 0.49 0.48 0.43 0.58
Average equity to average assets 6.59 6.13 5.97 5.61 5.22
Regulatory capital ratio (4)
6.84 6.72 6.07 5.72 5.60
Operating expense to average assets (5)
0.112 0.121 0.104 0.079 0.063

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

~~(2)Weighted average dividend rates are dividends paid divided by the average number of shares of capital stock eligible for dividends.~~

~~(3)Net interest margin is net interest income as a percentage of average earning assets.~~

~~(4)Regulatory capital ratio is period-end regulatory capital (capital stock, mandatorily redeemable capital stock and retained earnings) as a percentage of period-end total assets.~~

~~(5)Operating expenses comprise compensation and benefits and other operating expenses, which are included in non-interest expense.~~

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Recent Developments

During the first quarter of 2022, concerns about inflation, the impact of the Federal Reserve raising the target overnight Federal funds rate as well as speculation about its future actions, and further market volatility caused by Russia’s invasion of Ukraine were dominant themes. Additionally, the COVID-19 ~~Pandemic~~

~~The global outbreak of COVID-19~~pandemic has ~~impacted~~caused lasting impacts on communities and businesses worldwide, including those in the Fifth District. ~~The effects of COVID-19 continue to evolve, and the full impact and duration of the virus are unknown. Throughout the COVID-19 pandemic,~~Despite these challenges, we have continued to fulfill our mission of providing robust access to a key source of readily available and competitively priced wholesale funding to member financial institutions and supporting our commitment to affordable housing and community ~~investment, while maintaining strong~~investment. Our capital and liquidity ~~positions.~~positions remained strong, as did our overall ability to fund operations through the issuance of Consolidated Obligations at acceptable interest costs. Additionally, overall residual credit risk exposure from our Credit Services, mortgage loan portfolio, investments, and derivative transactions has remained de minimis. We continue to monitor the ~~progression~~changing economic landscape and effects of the COVID-19 pandemic, including any future variants, and are committed to assisting members and their communities as impacts related to the pandemic continue to unfold.

Financial Condition

Mission ~~Asset Activity~~Assets and Activities

Primary Mission Assets ~~which we define as~~(i.e., principal balances of Advances and mortgage loans held for portfolio) and Supplemental Mission Activities (i.e., Letters of Credit, Mandatory Delivery Contracts and ~~total MPP~~standby bond purchase agreements) are the primary means by which we fulfill our mission with direct connections to ~~members.~~members and what we refer to as Mission Assets and Activities. We regularly monitor our ~~balance sheet~~ concentration of Mission ~~Asset Activity.~~Assets and Activities. One measure we use to assess mission achievement is our

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Primary Mission Asset ratio, which measures the sum of average Advances and mortgage loans as a percentage of average Consolidated Obligations (adjusted for certain high-quality liquid assets, as permitted by regulation). In the first ~~six~~three months of ~~2021,~~2022, the Primary Mission Asset ratio averaged 69 percent, slightly below the Finance Agency's preferred ratio of 70 percent. In assessing overall mission achievement, we also consider supplemental sources of Mission ~~Asset Activity,~~Assets and Activities, the most significant of which is Letters of Credit issued for the benefit of members.

The following table summarizes our Mission ~~Asset Activity.~~Assets and Activities.

Ending Balances Average Balances
June 30, December 31, Six Months Ended June 30, Year Ended December 31,
(In millions) 2021 2020 2020 2021 2020 2020
Mission Asset Activity:
Advances (principal) $ 23,378 $ 48,407 $ 25,007 $ 24,836 $ 52,515 $ 42,917
MPP:
Mortgage loans held for portfolio (principal) 7,531 11,424 9,316 8,393 11,584 10,995
Mandatory Delivery Contracts (notional) 513 133 137 141 539 338
Total MPP 8,044 11,557 9,453 8,534 12,123 11,333
Letters of Credit (notional) 35,166 22,381 28,812 33,630 17,102 20,141
Total Mission Asset Activity $ 66,588 $ 82,345 $ 63,272 $ 67,000 $ 81,740 $ 74,391



	Ending Balances						Average Balances
	March 31,				December 31,		Three Months Ended March 31,				Year Ended December 31,
(In millions)	2022		2021		2021		2022		2021		2021
Primary Mission Assets (1):
Advances	$	33,650	$	24,157	$	22,954	$	33,328	$	24,237	$	23,721
Mortgage loans held for portfolio	7,379		8,391		7,402		7,461		8,876		7,931
Total Primary Mission Assets	$	41,029	$	32,548	$	30,356	$	40,789	$	33,113	$	31,652

Supplemental Mission Activities (2):
Letters of Credit (notional)	$	33,813	$	33,650	$	34,637	$	34,188	$	32,031	$	33,922
Mandatory Delivery Contracts (notional)	75		88		250		83		116		249
Standby bond purchase agreements (notional)	12		31		27		26		34		31
Total Supplemental Mission Activities	$	33,900	$	33,769	$	34,914	$	34,297	$	32,181	$	34,202

(1)Amounts represent principal balances.

(2)Amounts represent off-balance sheet commitments.

~~At June 30, 2021, 60 percent of members held Mission Asset Activity, which was relatively stable compared to prior periods. The balance of Mission Asset Activity was $66.6~~Advance principal balances increased $10.7 billion ~~at June 30, 2021, an increase of $3.3 billion (five~~(47 percent) from year-end 2020, which was driven by higher Letters of Credit balances. The increase in Letters of Credit was primarily due to members using them to secure elevated levels of public unit deposits. We normally earn fees on Letters of Credit based on the actual2021. Similarly, average amount of the Letters utilized, which generally is less than the notional amount issued. Advance principal balances decreased $1.6 billion (seven percent) from year-end 2020. Advance balances have remained low in the first six months of 2021 due to increased liquidity in the financial markets and increased deposit levels at member institutions.

~~Average~~ principal Advance balances for the ~~six~~three months ended ~~June 30, 2021 decreased $27.7~~March 31, 2022 increased $9.1 billion ~~(53~~(38 percent) compared to the same period of ~~2020. Advance balances~~2021. The increase in Advances was primarily due to a few large-asset members accessing temporary liquidity because of uncertainties in the financial markets during the first quarter of ~~2020 were significantly higher~~2022. Despite the increase in Advances, demand for Advances continues to be impacted by the unprecedented amount of liquidity in the financial markets as ~~members sought additional liquidity during the onset~~a result of governmental stimulus actions in response to the COVID-19 pandemic. ~~However, most~~Advance demand could improve as one or more of ~~these Advances matured~~the following occur: reductions in government liquidity programs, changes in the Federal Reserve monetary policy, or ~~prepaid by the end of 2020 and as noted above, the demand for Advances has remained low.~~ a rise in interest rates.

Advance balances are often volatile ~~due to~~because of members' ability to quickly, normally on the same day, increase or decrease their amount of Advances. We believe ~~providing~~that a key benefit of membership comes from our business model as a wholesale lender GSE, which provides members flexibility in their Advance funding levels and helps support their asset-liability management ~~needs and is~~needs. We act as a ~~key benefit~~readily available source of ~~membership.~~

~~Table of Contents~~

~~We believe that reduced demand~~funding for ~~Advances from many of~~ our ~~members will, or is likely to, continue in the near future.~~members. Our business model is designed to support significant changes in asset levels without having to undergo material changes in staffing, operations, risk practices, or general resource needs. A key reason for this scalability is that our Capital Plan provides for additional capital when Advances grow and the opportunity for us to retire capital when Advances decline, thereby acting, along with our efficient level of operating expenses, to preserve competitive profitability.

The MPP principal balance ~~fell $1.8 billion (19 percent) from~~was similar to the year-end ~~2020.~~2021 balance, ending the first quarter of 2022 at $7.4 billion. During the first ~~six~~three months of ~~2021,~~2022, we purchased $0.4 billion of mortgage loans, while principal reductions were $0.4 billion. Principal reductions in the first three months of ~~$2.2 billion reflected~~2022 trended much lower than the ~~continuing high levels of~~reductions in 2021 reflecting the rise in mortgage ~~loan refinance activity. We have not yet been able to fully replace the prepaid mortgage loans with suitable alternatives that provide an acceptable risk/return tradeoff.~~rates.

~~Based on earnings~~Letters of Credit remained elevated, ending the first quarter of 2022 at $33.8 billion, a two percent decrease from year-end 2021. Letters of Credit balances began increasing in the ~~first six months~~second half of ~~2021, we accrued $2 million for~~2020 and have remained strong primarily because of members using them to secure elevated levels of public unit deposits. We normally earn fees on Letters of Credit based on the ~~Affordable Housing Program (AHP) pool~~actual average amount of ~~funds to be available to members in 2022. In addition to~~ the required AHP assessment, we provided voluntary sponsorship of two other housing programs. These programs provided funds to cover accessibility and emergency repairs for special needs and elderly homeowners and funds forLetters utilized, which generally is less than the ~~replacement or repair of homes damaged or destroyed by natural disasters within the Fifth District.~~notional amount issued.

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Investments

The balance of investments at ~~June 30, 2021~~March 31, 2022 was ~~$27.1~~$37.8 billion, an increase of ~~$0.1~~$8.4 billion (29 percent) from year-end ~~2020.~~2021. At ~~June 30, 2021,~~March 31, 2022, investments included ~~$8.9~~$11.8 billion of MBS and ~~$18.2~~$26.0 billion of other investments, which consisted primarily of highly-rated short-term instruments and longer-term U.S. Treasury and GSE obligations held for liquidity. All of our MBS held at ~~June 30, 2021~~March 31, 2022 were issued and guaranteed by Fannie Mae, Freddie Mac or a U.S. agency. MBS balances declined compared to year end due to elevated levels of prepayments of the underlying mortgages as a result of the low interest rate environment. Due to regulatory limitations regarding the purchase of MBS that reference LIBOR, we have not been able to replace the prepaid MBS with suitable alternatives that we believe provide an acceptable risk/return tradeoff.

Investments averaged ~~$28.2~~$35.0 billion in the first ~~six~~three months of ~~2021, a decrease~~2022, an increase of ~~$5.5~~$6.1 billion ~~(16~~(21 percent) ~~from~~compared to the average ~~balance~~ during the same period of ~~2020.~~2021. The ~~decrease~~increases in average ~~investments reflected lower liquidity investments needed in light~~and ending investment balances were primarily driven by funds from the maturities and prepayments of Advances near the end of the ~~reduced Advance demand~~first quarter of 2022 being temporarily invested in short-term liquidity investments. The ending and ~~lower~~average balances of MBS ~~due~~were also higher as we purchased $5.4 billion of new MBS over the last four quarters. The majority of these purchases were variable-rate MBS linked to the ~~reasons noted above.~~Secured Overnight Financing Rate (SOFR). Liquidity investments can vary significantly on a daily basis during times of volatility in Advance balances. We maintained a robust amount of asset liquidity throughout the first ~~six~~three months of ~~2021~~2022 across a variety of liquidity measures, as discussed in the "Liquidity Risk" section of "Quantitative and Qualitative Disclosures About Risk Management."

Capital

Capital adequacy surpassed all minimum regulatory capital requirements in the first ~~six~~three months of ~~2021.~~2022. The GAAP ~~capital-to-assets ratio at June 30, 2021 was 6.82 percent, while the~~and regulatory capital-to-assets ~~ratio was 6.84 percent.~~ratios at March 31, 2022 were 5.39 percent and 6.08 percent, respectively. Both ratios exceeded the regulatory required minimum of four percent. Regulatory capital includes mandatorily redeemable capital stock accounted for as a liability under GAAP. GAAP and regulatory capital ~~both~~ increased ~~$0.1~~$0.5 billion and $1.0 billion, respectively, in the first ~~six~~three months of ~~2021.~~2022. The increase in capital was driven by purchases of capital stock to support short-term Advance activity in the first quarter of 2022. Retained earnings totaled $1.3 billion at ~~June 30, 2021, a decrease~~March 31, 2022, flat compared to year-end 2021. We believe the amount of ~~less than one percent from year-end 2020.~~retained earnings is sufficient to protect against members' impairment risk of their capital stock investment in the FHLB and to provide the opportunity to stabilize or increase future dividends.

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Results of Operations

Overall Results

Our earnings over time reflect the combination of a stable business model and conservative management of risk. Key market driven factors that can cause significant periodic volatility in our profitability are changes in the level of interest rates, changes in spreads between benchmark interest rates and our short-term funding costs, recognition of net amortization ~~due to~~from accelerated prepayments of mortgage assets, and fair value adjustments related to the use of derivatives and the associated hedged items. Our profitability may also be affected by our members' overall Advance demand, which is largely influenced by the monetary policies of the U.S. government and its agencies, including the Federal Reserve, and general economic conditions. The table below summarizes our results of operations.


		Three Months Ended June 30,						Six Months Ended June 30,						Year Ended December 31,				Three Months Ended March 31,						Year Ended December 31,

(Dollars in millions)	(Dollars in millions)	2021			2020			2021			2020			2020			(Dollars in millions)	2022			2021				2021
Net income	Net income	$	—		$	99		$	19		$	179		$	276		Net income	$	16		$	19			$	42
Affordable Housing Program assessments	Affordable Housing Program assessments	—			11			2			20			31			Affordable Housing Program assessments	2			2				5
Return on average equity (ROE)	Return on average equity (ROE)	0.03		%	7.12		%	0.97		%	7.04		%	5.78		%	Return on average equity (ROE)	1.48		%	1.96		%		1.08		%
Return on average assets	Return on average assets	—			0.37			0.06			0.36			0.31			Return on average assets	0.09			0.12				0.07
Weighted average dividend rate	Weighted average dividend rate	2.00			2.50			2.00			2.50			2.23			Weighted average dividend rate	2.00			2.00				2.00
Average short-term interest rates (1)		0.11			0.33			0.13			0.86			0.51
Dividend payout ratio (1)																	Dividend payout ratio (1)	76.8			74.2				126.8
Average overnight interest rates (2)																	Average overnight interest rates (2)	0.11			0.06				0.06

ROE spread to average short-term interest rates		(0.08)			6.79			0.84			6.18			5.27
Dividend rate spread to average short-term interest rates		1.89			2.17			1.87			1.64			1.72
ROE spread to average overnight interest rates																	ROE spread to average overnight interest rates	1.37			1.90				1.02
Dividend rate spread to average overnight interest rates																	Dividend rate spread to average overnight interest rates	1.89			1.94				1.94

(1)Dividend payout ratio is dividends declared in the period as a percentage of net income.

(2)Average ~~short-term~~overnight interest rates consist of ~~3-month LIBOR~~SOFR and the Federal funds effective rate.

Net income decreased ~~$99~~$3 million in the ~~three-month comparison period and $160 million in the six-month comparison period. The decline in profitability in the~~first three months ~~ended June 30, 2021~~of 2022 compared to the same period of ~~2020 was primarily driven by:~~

▪~~Advances.~~ Average Advance balances declined 59 percent. Although Advances grew significantly during the onset of the COVID-19 pandemic as members sought additional liquidity, balances subsequently fell in 2020 and have remained low due to increased liquidity in the financial markets and increased deposit levels at member institutions. Additionally, Advance prepayment fees were lower due to a higher amount of member prepayments of Advances in the first half of 2020 as interest rates declined.

▪~~Mortgage Assets.~~The spreads earned on mortgage assets declined due to the accelerated payoff of higher-yielding mortgages at a faster pace than the associated debt funding them. The historically low long-term interest rates led to prepayments occurring faster than the purchases of new mortgage assets, which also resulted in the average balances of mortgage assets declining 30 percent.

▪~~Fair Value Adjustments.~~ ~~Unrealized losses on derivatives and instruments held at fair value were higher in the second quarter of 2021 in response to changes in interest rates.~~

2021. The decline in profitability in the first ~~six months~~quarter of ~~2021~~2022 compared to the ~~same period~~first quarter of ~~2020~~2021 was primarily ~~driven~~due to unrealized losses on certain derivatives and other financial instruments carried at fair value. This decline in profitability was partially offset by ~~the Advances and mortgage assets factors noted for the three-months comparison as well as the following:~~

▪~~Sales of Swaptions.~~ ~~We sold~~an increase in net interest ~~rate swaptions~~income resulting from lower premium amortization in the first quarter of ~~2020~~2022. Premium amortization declined because of lower volumes of mortgage refinance activity given the increase in ~~response to changes in interest rates, which resulted in net realized gains of approximately $69 million before assessments. We did not sell any interest rate swaptions in~~mortgage rates.

In the first ~~six~~three months of ~~2021. We use swaptions~~2022, we accrued $2 million for the Affordable Housing Program (AHP) pool of funds, which will be available to ~~hedge market risk exposure associated with holding fixed-rate mortgage assets~~members in 2023. In addition to the required AHP assessment, we provided voluntary sponsorship of two other housing programs. These programs provided funds to cover accessibility and ~~may sell them to offset~~emergency repairs for special needs and elderly homeowners and funds for the ~~risk incurred due to changes in interest rates.~~replacement or repair of homes damaged or destroyed by natural disasters within the Fifth District.

In ~~June 2021,~~March 2022, we paid stockholders a quarterly dividend at a 2.00 percent annualized rate on their capital investment in our company, which is 1.89 percentage points above ~~second~~first quarter average ~~short-term~~overnight interest rates.

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Effect of Interest Rate Environment

Trends in market interest rates and the resulting shapes of the market yield curves strongly influence ~~the~~our results of operations and profitability because of how they affect members' demand for Mission ~~Asset Activity,~~Assets and Activities, spreads on assets, funding costs and decisions in managing the tradeoffs in our market risk/return profile. The following table presents key market interest rates (obtained from Bloomberg L.P.).


										Quarter 1 2022				Year 2021					Quarter 1 2021
											Six Months Ended June 30,
		Quarter 2 2021				Quarter 1 2021					2021	2020			Year 2020
		Ending		Average		Ending		Average				Average			Average		Ending			Average			Ending		Average		Ending		Average		Ending		Average

Federal funds effective	Federal funds effective	0.08	%	0.07	%	0.06	%	0.08	%			0.07	%		0.66	%	0.09	%		0.37	%	Federal funds effective	0.33	%	0.12	%	0.07	%	0.08	%	0.06	%	0.08	%
Secured Overnight Financing Rate (SOFR)	Secured Overnight Financing Rate (SOFR)	0.05		0.02		0.01		0.04				0.03			0.65		0.09			0.37		Secured Overnight Financing Rate (SOFR)	0.29		0.09		0.05		0.04		0.01		0.04
3-month LIBOR	3-month LIBOR	0.15		0.16		0.19		0.20				0.18			1.07		0.24			0.65		3-month LIBOR	0.96		0.51		0.21		0.16		0.19		0.20
2-year LIBOR	2-year LIBOR	0.33		0.27		0.29		0.22				0.25			0.75		0.20			0.49		2-year LIBOR	2.55		1.63		0.94		0.38		0.29		0.22
10-year LIBOR	10-year LIBOR	1.44		1.57		1.78		1.35				1.46			1.01		0.93			0.88		10-year LIBOR	2.41		2.01		1.58		1.45		1.78		1.35
2-year U.S. Treasury	2-year U.S. Treasury	0.25		0.17		0.16		0.13				0.15			0.65		0.12			0.39		2-year U.S. Treasury	2.34		1.43		0.73		0.26		0.16		0.13
10-year U.S. Treasury	10-year U.S. Treasury	1.47		1.58		1.74		1.31				1.45			1.03		0.92			0.89		10-year U.S. Treasury	2.34		1.93		1.51		1.43		1.74		1.31
15-year mortgage current coupon (1)	15-year mortgage current coupon (1)	1.23		1.26		1.39		1.05				1.15			1.52		0.71			1.21		15-year mortgage current coupon (1)	2.82		2.17		1.41		1.21		1.39		1.05
30-year mortgage current coupon (1)	30-year mortgage current coupon (1)	1.83		1.87		2.04		1.68				1.77			1.99		1.34			1.69		30-year mortgage current coupon (1)	3.49		2.83		2.07		1.84		2.04		1.68

(1) Current coupon rate of Fannie Mae par MBS indications.

The Federal Reserve has begun to respond to inflationary concerns by increasing the target overnight Federal funds rate and indicating further expected rate hikes throughout 2022. At March 31, 2022 the target overnight Federal funds rate was in the range of 0.25 to 0.50 percent, an increase from the range of zero to 0.25 percent at ~~June 30, 2021, unchanged from March~~December 31, 2021. ~~The low interest~~In May 2022, the Federal Reserve increased the target overnight Federal funds rate ~~environment reflects the evolving risks~~by 0.50 percent to ~~economic activity lingering from the COVID-19 pandemic.~~a range of 0.75 to 1.00 percent.

Average ~~short-term~~overnight rates were approximately ~~60 to 90~~five basis points ~~lower~~higher in the first ~~six~~three months of ~~2021~~2022 compared to the same period of ~~2020 and~~2021, while average mortgage rates ~~decreased by~~increased approximately ~~20 to 35~~115 basis ~~points during that same period.~~points. The ~~decline~~substantial increase in ~~interest~~mortgage rates ~~negatively impacted income~~ in the first ~~six~~three months of ~~2021 primarily because~~2022 benefited net income as it resulted in fewer homeowners refinancing, which decreased the amount of ~~lower earnings generated from investing capital~~principal prepayments and ~~increased mortgage asset prepayments.~~lowered the associated premium amortization.

~~Business Outlook~~During the first three months of 2022, and ~~Risk Management~~

~~Other~~all of 2021, the market risk exposure to changing interest rates was moderate overall and well within policy limits. We believe that longer-term profitability will be competitive, unless interest rates were to further increase significantly for a sustained period of time. In the short-term, profitability could decrease if long-term interest rates decline more than the updates noted below, our major business strategies, outlook for our business, and risk profiles and management have not changed substantially since our 2020 Annual Report on Form 10-K. “Quantitative and Qualitative Disclosures About Risk Management” provides details on current risk exposures.150 basis points, leading to faster prepayments of mortgage assets.

Regulatory and Legislative ~~Risk and Significant~~ Developments

Significant regulatory and legislative actions and developments for the period covered by this Report not previously disclosed are summarized below.

Proposed SEC Rule on Climate-related Disclosures

On March 21, 2022, the SEC issued a proposed rule on climate-related disclosures that would require us to expand the breadth, specificity and rigor of climate-related disclosures in our periodic reports. More specifically, the proposed rule would require us to disclose our:

~~Federal Reserve Board Extends Paycheck Protection Program Liquidity Facility:~~▪direct and certain indirect greenhouse gas emissions;

▪~~On June 25, 2021,~~climate transition plan, climate-related targets and progress toward such plan or targets;

▪climate-related risks over various time horizons and their impacts on our business;

▪climate-related risks in qualitative and quantitative terms in the ~~Federal Reserve Board announced a final extension~~notes to our financial statements; and

▪corporate governance of its Paycheck Protection Program Liquidity Facility (PPPLF) by an additional month to July 30, 2021. The PPPLF provides collateralized Paycheck Protection Program (PPP) loan liquidity to eligible Federal Reserve member financial institutions in order to facilitate PPP loan originations at such financial institutions. The extension allowed additional processing time for banks, community development financial institutions,climate-related risks and ~~other financial institutions to pledge to the facility any PPP loans approved by the Small Business Administration (SBA) through the June 30, 2021 expiration of the PPP program.~~risk management processes.

~~Additional COVID-19 Presidential, Legislative~~As proposed, we would become subject to certain disclosure requirements for our annual report for fiscal year 2024 and ~~Regulatory Developments:~~additional disclosure requirements for our annual report for fiscal year 2025. In light of the COVID-19 pandemic, the federal government and its agencies 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. Some of these may have a direct or indirect impact on us or our members. Many of these actions are temporary in nature. We continue to ~~monitor these actions~~review the proposed rule, but expect that it would result in increased costs and ~~guidance as they evolve and~~complexity associated with our SEC reporting. While we are unable to ~~evaluate their potential impact on us.~~

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~~Affordable Housing and Community Investment:Legislation has been introduced in~~quantify the ~~U.S. Senate and House of Representatives~~anticipated costs at this time, we expect that ~~if enacted in its proposed form,~~compliance would require ~~that~~operational enhancements impacting many aspects of our business. We are unable to predict at this time whether the ~~FHLBanks set aside higher percentages of their earnings for their affordable housing~~SEC will finalize the proposed rule, the extent to which any final rule will deviate from the proposed rule and ~~community investment programs than is currently~~the extent to which we would be required ~~under law. The FHLBanks are actively monitoring these proposals.~~to comply with any final rule.

LIBOR ~~Transition:~~Transition

We are planning for the replacement of LIBOR and the establishment of SOFR as the recommended alternative to LIBOR. InUnder the July 2017 and March 2021 announcements by the United Kingdom's Financial Conduct Authority ~~announced that~~(FCA), the one-week and two-month U.S. dollar LIBOR settings ceased to be provided by any administrator and were no longer representative as of January 1, 2022. The remaining U.S. dollar LIBOR settings 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).~~ 2023.Although the ~~Financial Conduct Authority~~FCA does not expect these remaining LIBOR settings to become unrepresentative before the applicable cessation date and intends to consult on requiring the administrator of LIBOR to continue publishing LIBOR of certain currencies and tenors on a non-representative, synthetic basis for a period after the applicable cessation date, there is no assurance that ~~LIBOR,~~any of ~~any particular currency or tenor,~~them will continue to be published or be representative through any particular date. In addition, the Adjustable Interest Rate (LIBOR) Act (LIBOR Act) was signed into law on March 15, 2022. The LIBOR Act provides a national, uniform approach to legacy contracts with inadequate or unworkable fallback provisions commencing from the LIBOR replacement date. For relevant contracts, the LIBOR Act will automatically impose a rate selected by the Federal Reserve Board based upon SOFR including any applicable tenor spread adjustment. The legislation also includes a safe harbor against liability for parties with contractual discretion who choose the Federal Reserve Board's SOFR-based rate to replace LIBOR.

Accordingly, we have developed and implemented a LIBOR transition plan to remediate our LIBOR-linked financial instruments and contracts. We have added or adjusted fallback language for our Advances and have worked with our counterparties to address over-the-counter derivative agreements referencing U.S. dollar LIBOR as part of our LIBOR transition efforts. As the market activity in SOFR-linked financial instruments has continued to develop, ~~and~~ we have offered SOFR-linked Consolidated Obligations and SOFR-linked Advances on an ongoing basis. In addition, we have been using SOFR-based derivatives to manage interest-rate risk, ~~and we have begun~~ purchasing SOFR-linked MBS, and converting certain LIBOR-based derivatives to SOFR. We expect to continue to convert certain LIBOR-based derivatives, in particular those with maturities after June 30, 2023, to an alternative reference rate prior to the ~~second quarter~~cessation of ~~2021.~~LIBOR. Collectively, we believe these efforts have reduced our LIBOR exposure and have kept us on track for the full replacement of LIBOR.

The following table presents our remaining LIBOR-indexed Advances, investment securities and derivatives at ~~June 30, 2021.~~March 31, 2022. At ~~June 30, 2021,~~March 31, 2022, all of our variable rate Consolidated Obligations were linked to SOFR.


(In millions)	(In millions)	Maturing on or before June 30, 2023		Maturing after June 30, 2023		(In millions)	Maturing on or before June 30, 2023		Maturing after June 30, 2023
LIBOR-Indexed Variable Rate Financial Instruments	LIBOR-Indexed Variable Rate Financial Instruments					LIBOR-Indexed Variable Rate Financial Instruments
Advances by redemption term	Advances by redemption term	$	2,329	$	3,009	Advances by redemption term	$	284	$	3,008
MBS by contractual maturity (1)	MBS by contractual maturity (1)	—		5,224		MBS by contractual maturity (1)	—		4,311

Total principal amount	Total principal amount	$	2,329	$	8,233	Total principal amount	$	284	$	7,319
Derivatives, notional amount by termination date	Derivatives, notional amount by termination date	$	4,816	$	4,619	Derivatives, notional amount by termination date	$	1,654	$	2,527

(1)MBS are presented by contractual maturity; however, their expected maturities will likely differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

The market transition away from LIBOR towards SOFR is ~~gradual and~~ complicated, including the possible development of term structures and credit adjustments to accommodate differences between LIBOR and SOFR and the potential introduction of other alternative reference rates. As such, we are not currently able to predict the ultimate impact of such a transition on our business, financial condition, and results of operations.

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ANALYSIS OF FINANCIAL CONDITION

Credit Services

Credit Activity and Advance Composition

The table below shows trends in Advance balances by major programs and in the notional amount of Letters of Credit.


(Dollars in millions)	(Dollars in millions)	June 30, 2021				March 31, 2021				December 31, 2020				(Dollars in millions)	March 31, 2022				December 31, 2021				March 31, 2021
		Balance		Percent(1)		Balance		Percent(1)		Balance		Percent(1)					Balance		Percent(1)		Balance		Percent(1)		Balance		Percent(1)
Adjustable/Variable-Rate Indexed:	Adjustable/Variable-Rate Indexed:															Adjustable/Variable-Rate Indexed:
LIBOR	LIBOR	$	5,338	23	%	$	5,433	22	%	$	5,611	22	%			LIBOR	$	3,292	10	%	$	3,295	14	%	$	5,433	22	%
SOFR	SOFR	118		—		118		1		118		1				SOFR	426		1		123		1		118		1
Other	Other	149		1		16		—		82		—				Other	174		1		163		1		16		—
Total	Total	5,605		24		5,567		23		5,811		23				Total	3,892		12		3,581		16		5,567		23
Fixed-Rate:	Fixed-Rate:															Fixed-Rate:
Repurchase based (REPO)	Repurchase based (REPO)	3,942		17		3,787		16		3,780		15				Repurchase based (REPO)	14,496		43		3,980		17		3,787		16
Regular Fixed-Rate	Regular Fixed-Rate	8,131		35		9,047		37		9,587		38				Regular Fixed-Rate	9,656		29		9,773		42		9,047		37
Putable (2)	Putable (2)	2,607		11		2,657		11		2,657		11				Putable (2)	2,342		7		2,467		11		2,657		11
Amortizing/Mortgage Matched	Amortizing/Mortgage Matched	1,722		7		1,872		8		2,021		8				Amortizing/Mortgage Matched	1,464		4		1,533		7		1,872		8
Other	Other	1,371		6		1,227		5		1,151		5				Other	1,800		5		1,620		7		1,227		5
Total	Total	17,773		76		18,590		77		19,196		77				Total	29,758		88		19,373		84		18,590		77

Total Advances Principal	Total Advances Principal	$	23,378	100	%	$	24,157	100	%	$	25,007	100	%			Total Advances Principal	$	33,650	100	%	$	22,954	100	%	$	24,157	100	%

Letters of Credit (notional)(3)	Letters of Credit (notional)(3)	$	35,166			$	33,650			$	28,812					Letters of Credit (notional)(3)	$	33,813			$	34,637			$	33,650

(1)As a percentage of total Advances principal.

(2)Excludes Putable Advances where the related put options have expired or where the Advance is indexed to a variable-rate. These Advances are classified based on their current terms.

(3)Represents the amount of an off-balance sheet obligation.

Advance principal balances at ~~June 30, 2021 decreased seven~~March 31, 2022 increased 47 percent compared to year-end ~~2020.~~2021. The increase in Advances was primarily due to a few large-asset members accessing temporary liquidity because of uncertainties in the financial markets during the first quarter of 2022. Advance balances ~~have remained low since~~were considerably lower in 2021 because of the ~~last half~~unprecedented amount of ~~2020 as members experienced an inflow of deposits on their balance sheets, while also having access to other~~ liquidity ~~sources~~in the financial markets as a result of ~~certain government~~governmental stimulus actions ~~related~~in response to the COVID-19 pandemic. This factor has continued to impact most members' Advance demand during the first three months of 2022.

Letters of Credit ~~increased 22 percent~~are issued on behalf of members to support certain obligations of members (or members' customers) to third-party beneficiaries. Letters of Credit were elevated throughout 2021 and balances have remained high through the first quarter of 2022 as members continue to primarily ~~due to members using~~use them to secure elevated levels of public unit deposits. Letters of Credit usually expire without being drawn upon.

Advance Usage

In addition to analyzing Advance balances by dollar trends, we monitor the degree to which members use Advances to fund their balance sheets. The following table shows the unweighted, average ratio of each member's Advance balance to its most-recently available figures for total assets.


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Average Advances-to-assets for members	Average Advances-to-assets for members					Average Advances-to-assets for members
Assets less than $1.0 billion (502 members)		1.59	%	1.99	%
Assets over $1.0 billion (126 members)		1.64		2.11
Assets less than $1.0 billion (493 members)						Assets less than $1.0 billion (493 members)	1.37	%	1.46	%
Assets over $1.0 billion (124 members)						Assets over $1.0 billion (124 members)	1.53		1.50
All members	All members	1.60		2.01		All members	1.41		1.47

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The following tables present principal balances for the five members with the largest Advance borrowings.


(Dollars in millions)	(Dollars in millions)										(Dollars in millions)
June 30, 2021						December 31, 2020
March 31, 2022											March 31, 2022					December 31, 2021
Name	Name	Principal Amount of Advances		Percent of Total Principal Amount of Advances		Name	Principal Amount of Advances		Percent of Total Principal Amount of Advances		Name	Principal Amount of Advances		Percent of Total Principal Amount of Advances		Name	Principal Amount of Advances		Percent of Total Principal Amount of Advances
U.S. Bank, N.A.	U.S. Bank, N.A.	$	3,272	14	%	U.S. Bank, N.A.	$	4,273	17	%	U.S. Bank, N.A.	$	12,272	36	%	U.S. Bank, N.A.	$	3,272	14	%
Third Federal Savings and Loan Association	Third Federal Savings and Loan Association	3,141		13		Third Federal Savings and Loan Association	3,443		14		Third Federal Savings and Loan Association	3,553		11		Third Federal Savings and Loan Association	3,179		14
Nationwide Life Insurance Company	Nationwide Life Insurance Company	2,607		11		Nationwide Life Insurance Company	2,062		8		Nationwide Life Insurance Company	2,748		8		Protective Life Insurance Company	2,800		12
Keybank National Association											Keybank National Association	2,101		6		Nationwide Life Insurance Company	2,702		12
Protective Life Insurance Company	Protective Life Insurance Company	2,225		10		Protective Life Insurance Company	1,955		8		Protective Life Insurance Company	2,000		6		Western-Southern Life Assurance Co.	1,487		6
Western-Southern Life Assurance Co.		1,504		6		Western-Southern Life Assurance Co.	1,344		5
Total of Top 5	Total of Top 5	$	12,749	54	%	Total of Top 5	$	13,077	52	%	Total of Top 5	$	22,674	67	%	Total of Top 5	$	13,440	58	%

~~Advance concentration ratios are influenced by, and generally similar to, concentration ratios of financial activity among our Fifth District financial institutions.~~ We believe that having large financial institutions that actively use our ~~Mission Assets~~products augments the value of membership to all members. For example, such activity improves our operating efficiency, increases our earnings and thereby contributions to housing and community investment programs. This activity may enable us to obtain more favorable funding costs, and helps us maintain competitively priced ~~Mission Assets.~~products.

Mortgage Loans Held for Portfolio (Mortgage Purchase Program, or MPP)

The table below shows principal purchases and reductions of loans in the MPP for the first ~~six~~three months of ~~2021.~~2022. All loans acquired in the first ~~six~~three months of ~~2021~~2022 were conventional loans.

(In millions)

MPP Principal

Balance at December 31, ~~2020~~2021

~~9,316~~7,402

Principal purchases

~~420~~392

Principal reductions

~~(2,205)~~(415)

Balance at ~~June 30, 2021~~March 31, 2022

~~7,531~~7,379

We closely track the refinancing incentives of our mortgage assets (including loans in the MPP and MBS) because the option for homeowners to change their principal payments normally represents the largest portion of our market risk exposure and can affect MPP balances. MPP principal paydowns ~~increased~~decreased in the first ~~six~~three months of ~~2021~~2022 to a 3917 percent annual constant prepayment rate, compared to the 3034 percent rate for all of ~~2020,~~2021, driven by the ~~historically low~~increase in mortgage rates. ~~Our purchases~~Purchases of new MPP loans ~~were much lower than the level of repayments during~~in the first ~~six~~three months of ~~2021. Although MPP yields on purchases of new loans~~2022 continued to offer favorable returns, the lack of volume that met our risk adjusted return criteria along with other balance sheet concentration considerations prevented us from purchasing new loans to fully replace repayments received.returns.

Overall, MPP yields on existing portfolio balances, net of funding and hedging costs, have declined and are expected to remain at lower levels in the short-term due to the accelerated payoff of higher-yielding mortgages at a faster pace than the associated debt funding them. Despite the lower yields on existing MPP balances, the metrics of portfolio return relative to their market and credit risks, ~~continue to indicate that the MPP has generated, and can be~~are expected to continue to generate a profitable long-term ~~risk-adjusted~~ return.

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Investments

The table below presents the ending and average balances of our investment portfolio.


		Six Months Ended				Year Ended					Three Months Ended				Year Ended
(In millions)	(In millions)	June 30, 2021				December 31, 2020				(In millions)	March 31, 2022				December 31, 2021
		Ending Balance		Average Balance		Ending Balance		Average Balance			Ending Balance		Average Balance		Ending Balance		Average Balance
Liquidity investments	Liquidity investments	$	18,155	$	18,787	$	17,285	$	20,548	Liquidity investments	$	25,957	$	23,534	$	18,589	$	18,576
MBS	MBS	8,941		9,081		9,756		11,864		MBS	11,816		11,109		10,803		9,186
Other investments (1)	Other investments (1)	—		320		—		459		Other investments (1)	—		356		—		340
Total investments	Total investments	$	27,096	$	28,188	$	27,041	$	32,871	Total investments	$	37,773	$	34,999	$	29,392	$	28,102

(1)The average balance includes the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end.

Liquidity investments are either short-term (primarily overnight), or longer-term investments that can be easily sold and converted to cash. Under the regulatory requirements, liquidity includes certain high-quality liquid assets, which are defined as U.S. Treasury obligations with remaining maturities of 10 years or less held as trading securities or available-for-sale securities. It is normal for liquidity investments to vary by up to several billion dollars on a daily basis. Liquidity investment levels can vary significantly based on changes in the amount of actual Advances, anticipated demand for Advances, liquidity needs, the availability of acceptable net spreads, and the number of eligible counterparties that meet our unsecured credit risk criteria.

The balance of liquidity investments was higher at June 30, 2021 compared to year-end 2020, as we held $3.0 billion of our liquidity portfolio as deposits at the Federal Reserve at the end of 2020, which are reflected in cash and due from banks on the Statements of Condition. Also, we purchased additional longer-term U.S. Treasury obligations in the second quarter of 2021, which are held to help meet regulatory liquidity requirements. Under the regulatory requirements, liquidity includes certain high-quality liquid assets, which are defined as U.S. Treasury obligations with remaining maturities of 10 years or less held as trading securities or available-for-sale securities. The average balance of liquidity investments for the ~~six~~three months ended ~~June 30, 2021 fell $1.8~~March 31, 2022 grew $5.0 billion ~~(nine~~(27 percent) from the average balance for all of ~~2020 due to lower~~2021 because of additional liquidity investments being ~~needed~~held in light of the ~~reduced~~increased Advance ~~demand.~~demand from a few large-asset members as previously mentioned. Additionally, the ending balance of liquidity investments was elevated at March 31, 2022 as a portion of these Advances matured or prepaid near the end of the first quarter of 2022, and the related funds were temporarily invested in short-term liquidity instruments.

Our overarching strategy for balances of MBS is to keep holdings as close as possible to the regulatory maximum. Finance Agency regulations prohibit us from purchasing MBS if our investment in these securities exceeds three times regulatory capital on the day we intend to purchase the securities. The ratio of MBS to regulatory capital was ~~2.22~~2.47 at ~~June 30, 2021.~~March 31, 2022. The MBS ratio was lower than ~~normal primarily due~~our preference to hold it close to the ~~decline~~3.00 regulatory maximum primarily reflecting the rapid increase in ~~MBS balances given paydowns~~regulatory capital as we issued $1.9 billion of capital stock to members in support of short-term Advance borrowings in the ~~low interest rate environment and the regulatory limitations regarding the purchase~~first quarter of ~~investments that reference LIBOR. Given these limitations, we have not been able to replace the prepaid MBS with suitable alternatives that we believe provide an acceptable risk/return tradeoff.~~2022.

The balance of MBS at ~~June 30, 2021~~March 31, 2022 consisted of ~~$7.8~~$10.7 billion of securities issued by Fannie Mae or Freddie Mac (of which ~~$5.6~~$8.3 billion were floating-rate securities), and $1.1 billion of securities issued by Ginnie Mae (which are primarily fixed rate).

The table below shows principal purchases and paydowns of our MBS for the first ~~six~~three months of ~~2021.~~2022. The majority of the purchases were variable-rate MBS linked to SOFR.


(In millions)	MBS Principal

Balance at December 31, ~~2020~~2021	$	~~9,745~~10,795
Principal purchases	~~729~~1,522
Principal paydowns	~~(1,541)~~(438)

Balance at ~~June 30, 2021~~March 31, 2022	$	~~8,933~~11,879

As mortgage rates rose in the first three months of 2022, MBS principal paydowns ~~in the first six months of 2021 equated~~decreased to a 2915 percent annual constant prepayment rate ~~an increase~~ from the 2726 percent rate experienced in ~~2020. The elevated prepayment rates experienced in the first six months of 2021 and~~ all of ~~2020 is a result of the historically low mortgage rate environment.~~2021.

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Consolidated Obligations

We fund variable-rate assets with Discount Notes (a portion of which may be swapped), adjustable-rate Bonds, and swapped fixed-rate Bonds because they give us the ability to effectively match the underlying rate reset periods embedded in these assets. The balances and composition of our Consolidated Obligations tend to fluctuate with changes in the balances and composition of our assets. In addition, changes in the amount and composition of our funding may be necessary from time to time to meet the days of positive liquidity and asset/liability maturity funding gap requirements discussed in the "Liquidity Risk" section of "Quantitative and Qualitative Disclosures About Risk Management."

The table below presents the ending and average balances of our participations in Consolidated Obligations.


		Six Months Ended				Year Ended					Three Months Ended				Year Ended
(In millions)	(In millions)	June 30, 2021				December 31, 2020				(In millions)	March 31, 2022				December 31, 2021
		Ending Balance		Average Balance		Ending Balance		Average Balance			Ending Balance		Average Balance		Ending Balance		Average Balance
Discount Notes:	Discount Notes:									Discount Notes:
Unswapped	Unswapped	$	18,314	$	25,421	$	27,503	$	39,478	Unswapped	$	26,596	$	25,629	$	19,418	$	22,933
Swapped	Swapped	2,867		805		—		3,843		Swapped	5,076		11,204		10,426		3,156
Total par Discount Notes	Total par Discount Notes	21,181		26,226		27,503		43,321		Total par Discount Notes	31,672		36,833		29,844		26,089
Other items (1)	Other items (1)	(1)		(1)		(3)		(37)		Other items (1)	(22)		(15)		(6)		(1)
Total Discount Notes	Total Discount Notes	21,180		26,225		27,500		43,284		Total Discount Notes	31,650		36,818		29,838		26,088
Bonds:	Bonds:									Bonds:
Unswapped fixed-rate	Unswapped fixed-rate	21,070		19,213		18,940		21,288		Unswapped fixed-rate	14,325		15,658		16,112		18,840
Unswapped adjustable-rate (2)	Unswapped adjustable-rate (2)	8,000		9,324		10,639		13,394		Unswapped adjustable-rate (2)	20,615		9,933		850		6,710
Swapped fixed-rate	Swapped fixed-rate	2,586		1,364		2,372		3,547		Swapped fixed-rate	5,090		6,352		7,627		2,737
Total par Bonds	Total par Bonds	31,656		29,901		31,951		38,229		Total par Bonds	40,030		31,943		24,589		28,287
Other items (1)	Other items (1)	22		31		46		68		Other items (1)	(14)		8		13		24
Total Bonds	Total Bonds	31,678		29,932		31,997		38,297		Total Bonds	40,016		31,951		24,602		28,311
Total Consolidated Obligations (3)	Total Consolidated Obligations (3)	$	52,858	$	56,157	$	59,497	$	81,581	Total Consolidated Obligations (3)	$	71,666	$	68,769	$	54,440	$	54,399

(1)Includes unamortized premiums/discounts, fair value option valuation adjustments, hedging and other basis adjustments.

(2)At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, all unswapped adjustable-rate Bonds were indexed to SOFR.

(3)The 11 FHLBanks have joint and several liability for the par amount of all of the Consolidated Obligations issued on their behalves. The par amount of the outstanding Consolidated Obligations for all of the FHLBanks was (in millions) ~~$666,747~~$699,530 and ~~$746,772~~$652,862 at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively.

The ~~ending balance of Discount Notes at June 30, 2021 declined compared to year-end 2020 due in part to the lower Advance and cash balances. The average~~ balances of Discount Notes and unswapped adjustable-rate Bonds in the first ~~six~~three months of ~~2021~~2022 were ~~significantly lower~~higher compared to the ~~averages for all~~balances at year-end 2021 because of ~~2020 due to~~ the growth in short-term ~~and variable-rate~~ Advances in the first quarter of ~~2020~~2022 as a few large-asset members sought ~~additional~~temporary liquidity ~~during~~given the ~~onset~~uncertainties in the financial markets.

The ending balances of unswapped Discount Notes and unswapped adjustable-rate Bonds at March 31, 2022 were higher than year-end 2021 because of the ~~COVID-19 pandemic. However, most of these Advances matured or prepaid by~~market environment at the end of ~~2020 and the demand for Advances has remained low.~~

~~The average balance of unswapped fixed-rate Bonds, which typically have initial maturities greater than one year, declined in~~ the first ~~six months~~quarter of ~~2021 compared~~2022 favoring unswapped debt. We swap term Discount Notes and fixed-rate bonds to adjustable-rates in order to match the underlying rate reset periods to the ~~average balance in 2020 due~~assets the Discount Notes and Bonds are funding, as well as to ~~terminating higher coupon fixed-rate Bonds with embedded options as interest rates fell.~~reduce the repricing risk of Discount Notes.

Deposits

Total deposits with us are normally a relatively minor source of low-cost funding. Total interest-bearing deposits at ~~June 30, 2021~~March 31, 2022 were ~~$1.3~~$1.5 billion, ~~similar~~an increase of $0.1 billion compared to the balance at year-end ~~2020.~~2021.

Derivatives Hedging Activity and Liquidity

Our use of derivatives is discussed in the "Effect of the Use of Derivatives on Net Interest Income" and "Non-Interest Income (Loss)" sections in "Results of Operations." Liquidity is discussed in the "Liquidity Risk" section in “Quantitative and Qualitative Disclosures About Risk Management.”

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Capital Resources

The following tables present capital amounts and capital-to-assets ratios, on both a GAAP and regulatory basis. We consider the regulatory ratio to be a better representation of financial leverage than the GAAP ratio because, although the GAAP ratio treats mandatorily redeemable capital stock as a liability, it protects investors in our debt in the same manner as GAAP capital stock and retained earnings.


		Six Months Ended				Year Ended					Three Months Ended				Year Ended
(In millions)	(In millions)	June 30, 2021				December 31, 2020				(In millions)	March 31, 2022				December 31, 2021
		Period End		Average		Period End		Average			Period End		Average		Period End		Average
GAAP and Regulatory Capital	GAAP and Regulatory Capital									GAAP and Regulatory Capital
GAAP Capital Stock	GAAP Capital Stock	$	2,718	$	2,678	$	2,641	$	3,567	GAAP Capital Stock	$	3,000	$	3,101	$	2,490	$	2,585
Mandatorily Redeemable Capital Stock	Mandatorily Redeemable Capital Stock	14		21		19		55		Mandatorily Redeemable Capital Stock	529		174		21		19
Regulatory Capital Stock	Regulatory Capital Stock	2,732		2,699		2,660		3,622		Regulatory Capital Stock	3,529		3,275		2,511		2,604
Retained Earnings	Retained Earnings	1,297		1,306		1,304		1,228		Retained Earnings	1,297		1,295		1,293		1,304
Regulatory Capital	Regulatory Capital	$	4,029	$	4,005	$	3,964	$	4,850	Regulatory Capital	$	4,826	$	4,570	$	3,804	$	3,908


		Six Months Ended				Year Ended					Three Months Ended				Year Ended
		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
		Period End		Average		Period End		Average			Period End		Average		Period End		Average
GAAP and Regulatory Capital-to-Assets Ratio	GAAP and Regulatory Capital-to-Assets Ratio									GAAP and Regulatory Capital-to-Assets Ratio
GAAP	GAAP	6.82	%	6.36	%	6.02	%	5.39	%	GAAP	5.39	%	5.76	%	6.26	%	6.40	%
Regulatory (1)	Regulatory (1)	6.84		6.41		6.07		5.47		Regulatory (1)	6.08		5.98		6.28		6.44

(1) At all times, the FHLB must maintain at least a four percent minimum regulatory capital-to-assets ratio.

Our business model is structured to be able to absorb sharp changes in assets because we can execute commensurate changes in liability and capital stock balances. For example, in the first six months of 2021, we issued $1.0 billion of capital stock to members in support of short-term Advance borrowings that were subsequently repaid prior to June 30, 2021. During the same period, we repurchased $0.9 billion of capital stock in response to lower Advance balances.

Our business model is structured to be able to absorb sharp changes in assets because we can execute commensurate changes in liability and capital stock balances. For example, in the first three months of 2022, we issued $1.9 billion of capital stock to members in support of short-term Advance borrowings some of which were subsequently repaid prior to March 31, 2022. During the same period, $1.4 billion of capital stock was reclassified to mandatorily redeemable capital stock of which $0.9 billion was redeemed.

A portion of our capital stock is excess, meaning it is not required as a condition to being a member and is not currently capitalizing Mission Assets and Activities. Excess capital stock provides a base of capital to manage financial leverage at prudent levels, augments loss protections for bondholders, and may be used to capitalize a portion of growth in Mission Assets and Activities. At March 31, 2022, the amount of excess stock, as defined by our Capital Plan, was $469 million, similar to the balance at year-end 2021. The balance of excess stock may fluctuate as short-term Advance borrowings can be volatile.

See the "Capital Adequacy" section in “Quantitative and Qualitative Disclosures About Risk Management” for discussion of our retained earnings.

Membership and Stockholders

In the first ~~six~~three months of ~~2021,~~2022, we added ~~five~~two new member stockholders and lost ~~five~~three member stockholders, ending the quarter at ~~628~~617 member stockholders. ~~Three~~One of the ~~five~~lost members merged with another Fifth District member and the other two lost ~~during the first six months~~members merged out of ~~2021 were attributable to intra-district merger activity.~~district.

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RESULTS OF OPERATIONS

Components of Earnings and Return on Equity

The following table is a summary income statement for the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021. Each ROE percentage is computed by dividing income or expense for the category by the average amount of stockholders' equity for the period.


		Three Months Ended June 30,								Six Months Ended June 30,									Three Months Ended March 31,
(Dollars in millions)	(Dollars in millions)	2021				2020				2021				2020				(Dollars in millions)	2022				2021
		Amount		ROE (1)		Amount		ROE (1)		Amount		ROE (1)		Amount		ROE (1)			Amount		ROE (1)		Amount		ROE (1)
Net interest income	Net interest income	$	66	6.51	%	$	149	10.71	%	$	142	7.21	%	$	232	9.11	%	Net interest income	$	81	7.45	%	$	76	7.96	%

Non-interest income (loss):	Non-interest income (loss):																	Non-interest income (loss):
Net gains (losses) on investment securities	Net gains (losses) on investment securities	(15)		(1.51)		(11)		(0.74)		(154)		(7.83)		362		14.23		Net gains (losses) on investment securities	(160)		(14.76)		(139)		(14.56)
Net gains (losses) on derivatives and hedging activities		(36)		(3.55)		(34)		(2.43)		61		3.10		(328)		(12.89)
Net gains (losses) on derivatives																		Net gains (losses) on derivatives	97		8.95		97		10.19
Net gains (losses) on financial instruments held under fair value option	Net gains (losses) on financial instruments held under fair value option	2		0.25		26		1.84		7		0.33		(25)		(0.99)		Net gains (losses) on financial instruments held under fair value option	19		1.72		4		0.41
Other non-interest income, net	Other non-interest income, net	7		0.69		4		0.26		13		0.68		6		0.26		Other non-interest income, net	7		0.66		6		0.65
Total non-interest income (loss)	Total non-interest income (loss)	(42)		(4.12)		(15)		(1.07)		(73)		(3.72)		15		0.61		Total non-interest income (loss)	(37)		(3.43)		(32)		(3.31)
Total income	Total income	24		2.39		134		9.64		69		3.49		247		9.72		Total income	44		4.02		44		4.65
Non-interest expense	Non-interest expense	24		2.35		24		1.72		48		2.41		48		1.90		Non-interest expense	26		2.36		23		2.47
Affordable Housing Program assessments	Affordable Housing Program assessments	—		0.01		11		0.80		2		0.11		20		0.78		Affordable Housing Program assessments	2		0.18		2		0.22
Net income	Net income	$	—	0.03	%	$	99	7.12	%	$	19	0.97	%	$	179	7.04	%	Net income	$	16	1.48	%	$	19	1.96	%

(1)The ROE amounts have been computed using dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may produce nominally different results.

Details on the individual factors contributing to the level and changes in profitability are explained in the sections below.

~~Table of Contents~~

Net Interest Income

Components of Net Interest Income

The following table shows selected components of net interest income.


		Three Months Ended June 30,								Six Months Ended June 30,									Three Months Ended March 31,
(Dollars in millions)	(Dollars in millions)	2021				2020				2021				2020				(Dollars in millions)	2022				2021
		Amount		% of Earning Assets		Amount		% of Earning Assets		Amount		% of Earning Assets		Amount		% of Earning Assets			Amount		% of Earning Assets		Amount		% of Earning Assets
Components of net interest rate spread:	Components of net interest rate spread:																	Components of net interest rate spread:
Net (amortization)/accretion (1) (2)	Net (amortization)/accretion (1) (2)	$	(28)	(0.18)	%	$	(28)	(0.11)	%	$	(56)	(0.18)	%	$	(50)	(0.10)	%	Net (amortization)/accretion (1) (2)	$	(11)	(0.06)	%	$	(28)	(0.19)	%
Prepayment fees on Advances, net (2)	Prepayment fees on Advances, net (2)	5		0.03		13		0.05		6		0.02		18		0.03		Prepayment fees on Advances, net (2)	3		0.02		1		0.01
Other components of net interest rate spread	Other components of net interest rate spread	82		0.54		158		0.61		178		0.58		239		0.49		Other components of net interest rate spread	82		0.44		96		0.62
Total net interest rate spread	Total net interest rate spread	59		0.39		143		0.55		128		0.42		207		0.42		Total net interest rate spread	74		0.40		69		0.44
Earnings from funding assets with interest-free capital	Earnings from funding assets with interest-free capital	7		0.04		6		0.03		14		0.04		25		0.05		Earnings from funding assets with interest-free capital	7		0.03		7		0.05
Total net interest income/net interest margin (3)	Total net interest income/net interest margin (3)	$	66	0.43	%	$	149	0.58	%	$	142	0.46	%	$	232	0.47	%	Total net interest income/net interest margin (3)	$	81	0.43	%	$	76	0.49	%

(1)Includes monthly recognition of premiums and discounts paid on purchases of mortgage assets, premiums, discounts and concessions paid on Consolidated Obligations and other hedging basis adjustments.

(2)This component of net interest rate spread has been segregated to display its relative impact.

(3)Net interest margin is net interest income as a percentage of average total interest-earning assets.

Net Amortization/Accretion (generally referred to as "amortization"): Net amortization can become substantial and volatile with changes in interest rates. When mortgage rates decrease, premium amortization of mortgage assets generally

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increases, which reduces net interest income. ~~Net amortization in~~In the three ~~and six~~ months ended ~~June 30, 2021 and 2020 was elevated due to~~March 31, 2022, net amortization decreased because of the ~~historically low~~rise in mortgage rates, which ~~led to accelerated prepayments of~~reduced mortgage ~~assets. The $10 million increase in~~refinance activity. Net amortization ~~from mortgage assets in the six-months comparison~~ was ~~partially offset by a $4 million decrease in amortization on Consolidated Obligations. Amortization on Consolidated Obligations was elevated~~higher in the first three months of 2021 given the considerable decline in mortgage rates that took place at the end of 2020 ~~as we repaid higher coupon fixed-rate Bonds as interest rates fell.~~and continued into the first quarter of 2021.

Prepayment Fees on Advances: Fees for members' early repayment of certain Advances, which are included in net interest income, are designed to make us economically indifferent to whether members hold Advances to maturity or repay them before maturity. Advance prepayment fees were moderate in the ~~six~~three months ended ~~June 30, 2021.~~March 31, 2022. The higher Advance prepayment fees in the ~~first six~~three months ~~of 2020 was due to a higher amount of member~~ended March 31, 2022 reflected prepayments of a portion of the Advances ~~as interest rates declined.~~that provided certain large-asset members access to temporary liquidity.

Other Components of Net Interest Rate Spread: The total other components of net interest rate spread decreased ~~$76 million and $61~~$14 million in the ~~three- and six-months comparisons periods, respectively.~~first three months of 2022 compared to the same period of 2021. The net ~~decreases were~~decrease was primarily due to the factors below.

~~Six-Months Comparison~~

▪Lower ~~average Advance~~spreads on shorter-term and floating-rate asset balances-Unfavorable: ~~The $27.8 billion decrease in the average balance of Advances~~Lower spreads on shorter-term assets and floating-rate assets (including those that have been swapped to a floating rate) lowered net interest income by an estimated ~~$49~~$15 million. However, the decrease in net interest income was mostly offset by lower non-interest losses primarily because of a $13 million decrease in the net interest settlements being paid on related derivatives not receiving hedge accounting.

▪Lower spreads earned on mortgage assets-Unfavorable: Lower spreads on the mortgage assets portfolio decreased net interest income by an estimated ~~$35~~$3 million. The lower spreads were driven by the ~~decline in average long-term interest rates, which accelerated the prepayments~~payoff of higher-yielding mortgages at a faster pace than the associated debt funding them.

▪Lower unrealized gains on designated fair value hedges-Unfavorable: Net unrealized gains on hedged items and derivatives in qualifying fair value hedge relationships were lower by $3 million.

▪Lower average balances of mortgage ~~assets-~~loans held for portfolio-Unfavorable: The ~~$3.6 billion decrease in the average balance of mortgage-backed securities and the $3.3~~$1.5 billion decrease in the average balance of mortgage loans held for portfolio lowered net interest income by an estimated ~~$27~~$2 million. Mortgage balances declined ~~due to~~because of the acceleration of principal cash flows driven by historically low mortgage interest ~~rates.~~rates in 2021.

▪Higher ~~spreads on shorter-term and floating-rate asset~~average Advance balances-Favorable: ~~Higher spreads on shorter-term assets and floating-rate assets (including those that have been swapped to a floating rate)~~The $8.8 billion increase in the average balance of Advances improved net interest income by an estimated ~~$39 million as the rates on the debt funding these assets declined. However, the increase in net interest~~$6 million.

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income was more than offset by lower non-interest income (loss) primarily due to an increase of $51 million in the net interest settlements being paid on related derivatives not receiving hedge accounting.

▪~~Unrealized gains on designated fair value hedges-~~Higher average balances of investments-Favorable: ~~Net unrealized gains on hedged items~~Increases of $1.7 billion in average MBS and ~~derivatives~~$4.4 billion in ~~qualifying fair value hedge relationships~~average liquidity investment balances improved net interest income by ~~$12~~an estimated $3 million.

~~Three-Months Comparison~~

Except for the unrealized gains on fair value hedges, which were losses in the three-months comparison, the same factors generally affected the other components of net interest rate spread as in the six-months comparison and by approximately the same relative magnitude.

Earnings from Capital: Earnings from capital ~~decreased $11~~were $7 million in the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022, and were flat compared to the same period ~~in 2020 primarily due to average short-term rates declining approximately 60 to 90 basis points as the Federal Reserve responded to the evolving risks to economic activity in the first quarter~~ of 2020 due to the COVID-19 pandemic and has continued to keep rates low. Earnings from capital were relatively flat in the three-months comparison given average short-term rates were similar in each of the quarters.2021.

Average Balance Sheet and Rates

The following ~~tables provide~~table provides average balances and rates for major balance sheet accounts, which determine the changes in net interest rate spreads. Interest amounts and average rates are affected by our use of derivatives and the related accounting elections we make. Interest amounts reported for Advances, MBS, Other investments and Swapped Bonds include gains (losses) on hedged items and derivatives in qualifying fair value hedge relationships.

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In addition, the net interest settlements of interest receivables or payables associated with derivatives in a fair value hedge relationship are included in net interest income and interest rate spread. However, if the derivatives do not qualify for fair value hedge accounting, the related net interest settlements of interest receivables or payables are recorded in “Non-interest income (loss)” as “Net gains (losses) on ~~derivatives and hedging activities”~~derivatives” and therefore are excluded from the calculation of net interest rate spread. Amortization associated with some hedging-related basis adjustments is also reflected in net interest income, which affects interest rate spread.

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(Dollars in millions)	(Dollars in millions)	Three Months Ended						Three Months Ended						(Dollars in millions)	Three Months Ended						Three Months Ended
		June 30, 2021						June 30, 2020							March 31, 2022						March 31, 2021
		Average Balance		Interest		Average Rate (1)		Average Balance		Interest		Average Rate (1)			Average Balance		Interest		Average Rate (1)		Average Balance		Interest		Average Rate (1)
Assets:	Assets:													Assets:
Advances	Advances	$	25,646	$	37	0.57	%	$	62,445	$	172	1.11	%	Advances	$	33,370	$	48	0.58	%	$	24,546	$	43	0.70	%
Mortgage loans held for portfolio (2)	Mortgage loans held for portfolio (2)	8,111		38		1.90		11,963		74		2.49		Mortgage loans held for portfolio (2)	7,642		49		2.58		9,096		44		1.98
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	7,748		1		0.07		4,154		1		0.08		Federal funds sold and securities purchased under resale agreements	11,797		4		0.14		8,123		2		0.08
Interest-bearing deposits in banks (3) (4)		679		—		0.10		1,467		—		0.11
Interest-bearing deposits in banks (3)														Interest-bearing deposits in banks (3)	735		—		0.10		864		—		0.10
MBS ~~(3)~~(4)	MBS ~~(3)~~(4)	8,736		24		1.10		12,212		48		1.59		MBS ~~(3)~~(4)	11,114		25		0.91		9,421		31		1.32
Other investments ~~(3)~~(4)	Other investments ~~(3)~~(4)	10,350		55		2.11		12,163		68		2.26		Other investments ~~(3)~~(4)	11,336		42		1.50		10,446		58		2.27
Loans to other FHLBanks	Loans to other FHLBanks	—		—		—		—		—		—		Loans to other FHLBanks	—		—		—		—		—		—
Total interest-earning assets	Total interest-earning assets	61,270		155		1.01		104,404		363		1.40		Total interest-earning assets	75,994		168		0.90		62,496		178		1.15

Other assets	Other assets	660						3,099						Other assets	405						569
Total assets	Total assets	$	61,930					$	107,503					Total assets	$	76,399					$	63,065
Liabilities and Capital:	Liabilities and Capital:													Liabilities and Capital:
Term deposits	Term deposits	$	75	—		0.21		$	51	—		1.07		Term deposits	$	80	—		0.20		$	109	—		0.34
Other interest bearing deposits ~~(4)~~(3)	Other interest bearing deposits ~~(4)~~(3)	1,423		—		0.02		1,266		—		0.02		Other interest bearing deposits ~~(4)~~(3)	1,630		—		0.03		1,354		—		0.02
Discount Notes	Discount Notes	25,805		2		0.03		63,084		83		0.53		Discount Notes	36,818		11		0.12		26,651		5		0.08
Unswapped fixed-rate Bonds	Unswapped fixed-rate Bonds	20,901		83		1.60		19,152		108		2.27		Unswapped fixed-rate Bonds	15,670		71		1.82		17,544		88		2.03
Unswapped adjustable-rate Bonds	Unswapped adjustable-rate Bonds	7,622		1		0.04		12,702		5		0.14		Unswapped adjustable-rate Bonds	9,933		3		0.14		11,045		3		0.10
Swapped Bonds	Swapped Bonds	1,192		3		0.86		4,393		17		1.58		Swapped Bonds	6,348		1		0.08		1,561		6		1.48
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	22		—		1.99		133		1		2.61		Mandatorily redeemable capital stock	175		1		1.92		19		—		2.01
Other borrowings	Other borrowings	—		—		—		—		—		—		Other borrowings	—		—		—		—		—		—
Total interest-bearing liabilities	Total interest-bearing liabilities	57,040		89		0.62		100,781		214		0.85		Total interest-bearing liabilities	70,654		87		0.50		58,283		102		0.71
Non-interest bearing deposits	Non-interest bearing deposits	—						—						Non-interest bearing deposits	—						—
Other liabilities	Other liabilities	812						1,106						Other liabilities	1,345						914
Total capital	Total capital	4,078						5,616						Total capital	4,400						3,868
Total liabilities and capital	Total liabilities and capital	$	61,930					$	107,503					Total liabilities and capital	$	76,399					$	63,065

Net interest rate spread	Net interest rate spread					0.39	%					0.55	%	Net interest rate spread					0.40	%					0.44	%
Net interest income and net interest margin (5)	Net interest income and net interest margin (5)			$	66	0.43	%			$	149	0.58	%	Net interest income and net interest margin (5)			$	81	0.43	%			$	76	0.49	%
Average interest-earning assets to interest-bearing liabilities	Average interest-earning assets to interest-bearing liabilities					107.42	%					103.60	%	Average interest-earning assets to interest-bearing liabilities					107.56	%					107.23	%

(1)Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results.

(2)Non-accrual loans are included in average balances used to determine average rate.

(3)Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities.

~~(4)~~The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end.

~~(5)Net interest margin is net interest income as a percentage of average total interest-earning assets.~~

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(Dollars in millions) Six Months Ended Six Months Ended
June 30, 2021 June 30, 2020
Average Balance Interest
Average Rate (1)
Average Balance Interest
Average Rate (1)
Assets:
Advances $ 25,099 $ 79 0.63 % $ 52,872 $ 348 1.32 %
Mortgage loans held for portfolio (2)
8,601 83 1.94 11,865 163 2.77
Federal funds sold and securities purchased under resale agreements 7,934 3 0.07 7,385 40 1.07
Interest-bearing deposits in banks (3) (4) (5)
770 — 0.10 1,630 7 0.85
MBS (4)
9,077 54 1.21 12,631 116 1.85
Other investments (4)
10,398 113 2.19 12,033 137 2.29
Loans to other FHLBanks — — — 10 — 1.22
Total interest-earning assets 61,879 332 1.08 98,426 811 1.66
Other assets 615 2,011
Total assets $ 62,494 $ 100,437
Liabilities and Capital:
Term deposits $ 92 — 0.29 $ 42 — 1.38
Other interest bearing deposits (5)
1,388 — 0.02 1,153 3 0.50
Discount Notes 26,225 7 0.06 56,391 259 0.93
Unswapped fixed-rate Bonds 19,232 171 1.79 20,312 239 2.36
Unswapped adjustable-rate Bonds 9,324 4 0.07 11,760 40 0.68
Swapped Bonds 1,376 8 1.21 4,596 37 1.64
Mandatorily redeemable capital stock 21 — 2.00 92 1 2.29
Other borrowings — — — — — —
Total interest-bearing liabilities 57,658 190 0.66 94,346 579 1.24
Non-interest bearing deposits — 5
Other liabilities 863 969
Total capital 3,973 5,117
Total liabilities and capital $ 62,494 $ 100,437
Net interest rate spread 0.42 % 0.42 %
Net interest income and net interest margin (6)
$ 142 0.46 % $ 232 0.47 %
Average interest-earning assets to interest-bearing liabilities 107.32 % 104.32 %

~~(1)Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results.~~

~~(2)Non-accrual loans are included in average balances used to determine average rate.~~

~~(3)Includes certificates of deposit that are classified as available-for-sale securities.~~

(4)Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities.

(5)The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end.

~~(6)~~Net interest margin is net interest income as a percentage of average total interest-earning assets.

Rates and corresponding levels of interest income and expense on ~~our~~certain interest-bearing assets and liabilities decreased in the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 compared to the same ~~periods in 2020 due~~period of 2021 as some longer-term assets and liabilities have not yet repriced to the ~~decline~~recent increases in ~~market~~ interest rates.

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Volume/Rate Analysis

Changes in both average balances (volume) and interest rates influence changes in net interest income, as shown in the following table.


(In millions)	(In millions)	Three Months Ended June 30, 2021 over 2020						Six Months Ended June 30, 2021 over 2020						(In millions)	Three Months Ended March 31, 2022 over 2021

		Volume (1)(3)		Rate (2)(3)		Total		Volume (1)(3)		Rate (2)(3)		Total			Volume (1)(3)		Rate (2)(3)		Total
Increase (decrease) in interest income	Increase (decrease) in interest income													Increase (decrease) in interest income
Advances	Advances	$	(74)	$	(61)	$	(135)	$	(135)	$	(134)	$	(269)	Advances	$	13	$	(8)	$	5
Mortgage loans held for portfolio	Mortgage loans held for portfolio	(21)		(15)		(36)		(38)		(42)		(80)		Mortgage loans held for portfolio	(8)		13		5
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	—		—		—		3		(40)		(37)		Federal funds sold and securities purchased under resale agreements	1		1		2
Interest-bearing deposits in banks	Interest-bearing deposits in banks	—		—		—		(3)		(4)		(7)		Interest-bearing deposits in banks	—		—		—
MBS	MBS	(12)		(12)		(24)		(28)		(34)		(62)		MBS	5		(11)		(6)
Other investments	Other investments	(9)		(4)		(13)		(18)		(6)		(24)		Other investments	5		(21)		(16)
Loans to other FHLBanks	Loans to other FHLBanks	—		—		—		—		—		—		Loans to other FHLBanks	—		—		—
Total	Total	(116)		(92)		(208)		(219)		(260)		(479)		Total	16		(26)		(10)
Increase (decrease) in interest expense	Increase (decrease) in interest expense													Increase (decrease) in interest expense
Term deposits	Term deposits	—		—		—		—		—		—		Term deposits	—		—		—
Other interest-bearing deposits	Other interest-bearing deposits	—		—		—		—		(3)		(3)		Other interest-bearing deposits	—		—		—
Discount Notes	Discount Notes	(31)		(50)		(81)		(91)		(161)		(252)		Discount Notes	3		3		6
Unswapped fixed-rate Bonds	Unswapped fixed-rate Bonds	9		(34)		(25)		(12)		(56)		(68)		Unswapped fixed-rate Bonds	(9)		(8)		(17)
Unswapped adjustable-rate Bonds	Unswapped adjustable-rate Bonds	(1)		(3)		(4)		(7)		(29)		(36)		Unswapped adjustable-rate Bonds	(1)		1		—
Swapped Bonds	Swapped Bonds	(9)		(5)		(14)		(21)		(8)		(29)		Swapped Bonds	5		(10)		(5)
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	(1)		—		(1)		(1)		—		(1)		Mandatorily redeemable capital stock	1		—		1
Other borrowings	Other borrowings	—		—		—		—		—		—		Other borrowings	—		—		—
Total	Total	(33)		(92)		(125)		(132)		(257)		(389)		Total	(1)		(14)		(15)
Increase (decrease) in net interest income	Increase (decrease) in net interest income	$	(83)	$	—	$	(83)	$	(87)	$	(3)	$	(90)	Increase (decrease) in net interest income	$	17	$	(12)	$	5

(1)Volume changes are calculated as the change in volume multiplied by the prior year rate.

(2)Rate changes are calculated as the change in rate multiplied by the prior year average balance.

(3)Changes that are not identifiable as either volume-related or rate-related, but rather are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

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Effect of the Use of Derivatives on Net Interest Income

The following table shows the impact on net interest income from the effect of derivatives and hedging activities. As noted above, gains (losses) on hedged items and derivatives in qualifying fair value hedge relationships are recorded in interest income or expense. In addition, for derivatives designated as a fair value hedge, the net interest settlements of interest receivables or payables related to such derivatives are recognized as adjustments to the interest income or expense of the designated hedged item. As such, all the effects on earnings of derivatives qualifying for fair value hedge accounting are reflected in net interest income. The effect on earnings from derivatives not receiving fair value hedge accounting is provided in the “Non-Interest Income (Loss)” section below.


(In millions)	(In millions)	Three Months Ended June 30,				Six Months Ended June 30,				(In millions)	Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Advances:	Advances:									Advances:

Gains (losses) on designated fair value hedges	Gains (losses) on designated fair value hedges	$	(3)	$	2	$	1	$	(11)	Gains (losses) on designated fair value hedges	$	2	$	4
Net interest settlements included in net interest income	Net interest settlements included in net interest income	(28)		(19)		(61)		(21)		Net interest settlements included in net interest income	(22)		(33)
Investment securities:	Investment securities:									Investment securities:
Gains (losses) on designated fair value hedges	Gains (losses) on designated fair value hedges	(1)		—		—		—		Gains (losses) on designated fair value hedges	—		1
Net interest settlements included in net interest income	Net interest settlements included in net interest income	(3)		(1)		(4)		(1)		Net interest settlements included in net interest income	(13)		(1)
Mortgage loans:	Mortgage loans:									Mortgage loans:
Amortization of derivative fair value adjustments in net interest income	Amortization of derivative fair value adjustments in net interest income	(4)		(3)		(8)		(5)		Amortization of derivative fair value adjustments in net interest income	(1)		(4)
Consolidated Obligation Bonds:

Net interest settlements included in net interest income		—		1		1		1

Increase (decrease) to net interest income	Increase (decrease) to net interest income	$	(39)	$	(20)	$	(71)	$	(37)	Increase (decrease) to net interest income	$	(34)	$	(33)

Most of our use of derivatives is to synthetically convert the fixed interest rates on certain Advances, investments and Consolidated Obligations to adjustable rates tied to an eligible benchmark rate (e.g., LIBOR, the Federal funds effective rate, or SOFR). In the first three months of 2022 and 2021, the low short-term benchmark interest rates resulted in net interest settlements being paid on certain Advances and investments where the fixed interest rates were converted to adjustable-coupon rates. The slightly larger negative effect of derivatives on net interest income in the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 was primarily due to ~~lower short-term benchmark interest rates, which resulted in higher net interest settlements being paid on~~the increased usage of fair value hedge accounting for certain ~~Advances where the fixed interest rates were converted to adjustable-coupon rates.~~investment securities. The fluctuation in earnings from the use of derivatives was acceptable because it enabled us to lower market risk exposure by matching actual cash flows between assets and liabilities more closely and efficiently than would otherwise occur.

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Non-Interest Income (Loss)

Non-interest income (loss) consists of certain realized and unrealized gains (losses) on investment securities, derivatives activities, financial instruments held under the fair value option, and other non-interest earning activities. The following tables present the net effect of derivatives and hedging activities on non-interest income (loss). The effects of derivatives and hedging activities on non-interest income (loss) relate only to derivatives not qualifying for fair value hedge accounting.


(In millions)	(In millions)	Advances		Investment Securities		Mortgage Loans		Bonds		Discount Notes		Balance Sheet (1)		Other		Total		(In millions)	Advances		Investment Securities		Mortgage Loans		Bonds		Discount Notes		Balance Sheet (1)		Other		Total
Three Months Ended June 30, 2021
Three Months Ended March 31, 2022																		Three Months Ended March 31, 2022
Net effect of derivatives and hedging activities	Net effect of derivatives and hedging activities																	Net effect of derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting	Gains (losses) on derivatives not receiving hedge accounting	$	(1)	$	11	$	4	$	(2)	$	—	$	(3)	$	—	$	9	Gains (losses) on derivatives not receiving hedge accounting	$	1	$	146	$	(6)	$	(5)	$	(9)	$	1	$	—	$	128
Net interest settlements on derivatives not receiving hedge accounting	Net interest settlements on derivatives not receiving hedge accounting	—		(47)		—		2		—		—		—		(45)		Net interest settlements on derivatives not receiving hedge accounting	—		(32)		—		—		1		—		—		(31)
Price alignment amount	Price alignment amount	—		—		—		—		—		—		—		—		Price alignment amount	—		—		—		—		—		—		—		—
Net gains (losses) on derivatives and hedging activities		(1)		(36)		4		—		—		(3)		—		(36)
Net gains (losses) on derivatives																		Net gains (losses) on derivatives	1		114		(6)		(5)		(8)		1		—		97
Gains (losses) on trading securities (2)	Gains (losses) on trading securities (2)	—		(15)		—		—		—		—		—		(15)		Gains (losses) on trading securities (2)	—		(160)		—		—		—		—		—		(160)
Gains (losses) on financial instruments held under fair value option (3)	Gains (losses) on financial instruments held under fair value option (3)	—		—		—		2		—		—		—		2		Gains (losses) on financial instruments held under fair value option (3)	(1)		—		—		11		9		—		—		19
Total net effect on non-interest income	Total net effect on non-interest income	$	(1)	$	(51)	$	4	$	2	$	—	$	(3)	$	—	$	(49)	Total net effect on non-interest income	$	—	$	(46)	$	(6)	$	6	$	1	$	1	$	—	$	(44)

Three Months Ended June 30, 2020

Three Months Ended March 31, 2021																		Three Months Ended March 31, 2021
Net effect of derivatives and hedging activities	Net effect of derivatives and hedging activities																	Net effect of derivatives and hedging activities

Gains (losses) on derivatives not receiving hedge accounting	Gains (losses) on derivatives not receiving hedge accounting	$	—	$	18	$	(7)	$	(3)	$	(13)	$	(2)	$	—	$	(7)	Gains (losses) on derivatives not receiving hedge accounting	$	1	$	143	$	(3)	$	(4)	$	—	$	4	$	—	$	141
Net interest settlements on derivatives not receiving hedge accounting	Net interest settlements on derivatives not receiving hedge accounting	—		(49)		—		9		13		—		—		(27)		Net interest settlements on derivatives not receiving hedge accounting	—		(48)		—		4		—		—		—		(44)
Price alignment amount		—		—		—		—		—		—		—		—
Net gains (losses) on derivatives and hedging activities		—		(31)		(7)		6		—		(2)		—		(34)

Net gains (losses) on derivatives																		Net gains (losses) on derivatives	1		95		(3)		—		—		4		—		97
Gains (losses) on trading securities (2)	Gains (losses) on trading securities (2)	—		(11)		—		—		—		—		—		(11)		Gains (losses) on trading securities (2)	—		(139)		—		—		—		—		—		(139)
Gains (losses) on financial instruments held under fair value option (3)	Gains (losses) on financial instruments held under fair value option (3)	—		—		—		12		14		—		—		26		Gains (losses) on financial instruments held under fair value option (3)	(1)		—		—		5		—		—		—		4
Total net effect on non-interest income	Total net effect on non-interest income	$	—	$	(42)	$	(7)	$	18	$	14	$	(2)	$	—	$	(19)	Total net effect on non-interest income	$	—	$	(44)	$	(3)	$	5	$	—	$	4	$	—	$	(38)

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(In millions) Advances Investment Securities Mortgage Loans Bonds Discount Notes
Balance Sheet (1)
Other Total
Six Months Ended June 30, 2021
Net effect of derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting $ 1 $ 154 $ 1 $ (6) $ — $ — $ — $ 150
Net interest settlements on derivatives not receiving hedge accounting — (95) — 6 — — — (89)
Price alignment amount — — — — — — — —
Net gains (losses) on derivatives and hedging activities 1 59 1 — — — — 61
Gains (losses) on trading securities (2)
— (154) — — — — — (154)
Gains (losses) on financial instruments held under fair value option (3)
(1) — — 8 — — — 7
Total net effect on non-interest income $ — $ (95) $ 1 $ 8 $ — $ — $ — $ (86)
Six Months Ended June 30, 2020
Net effect of derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting $ (9) $ (387) $ (15) $ 28 $ 1 $ 91 $ — $ (291)
Net interest settlements on derivatives not receiving hedge accounting 1 (68) — 9 20 — — (38)
Price alignment amount — — — — — — 1 1
Net gains (losses) on derivatives and hedging activities (8) (455) (15) 37 21 91 1 (328)
Gains (losses) on trading securities (2)
— 362 — — — — — 362
Gains (losses) on financial instruments held under fair value option (3)
— — — (25) — — — (25)
Total net effect on non-interest income $ (8) $ (93) $ (15) $ 12 $ 21 $ 91 $ 1 $ 9

(1)Balance sheet includes synthetic basis swaps and swaptions, which are not designated as hedging a specific financial instrument.

(2)Includes only those gains (losses) on trading securities that have an assigned economic derivative; therefore, this line item may not agree to the Statement of Income.

(3)Includes only those gains or losses on financial instruments held at fair value that have an economic derivative "assigned."

The primary driver of the net losses on derivatives and hedging activities in both periods was the net interest settlements being paid on investments where the fixed interest rates were converted to adjustable-coupon rates. The effect of derivatives and hedging activities was more unfavorable in the ~~three and six months ended June 30, 2021 compared to the same periods of 2020. In the~~ first ~~six~~three months of ~~2021, most of the negative impact was a result~~2022 primarily because of higher net interest settlements being paid on investment securities. In the first six month of 2020, the sale of interest rate swaptions as interest rates fell to historically low levels during the first quarter of 2020 benefited non-interest income. The sales of swaptions in the first quarter of 2020 resulted in net realized gains of approximately $69 million before assessments. We did not sell any interest rate swaptions in the first six months of 2021. We use swaptions to hedge market risk exposure associated with fixed-rate mortgage assets and may sell swaptions as interest rates change in order to offset actual and anticipated risks associated with holding fixed-rate mortgage assets. In the three-months comparison, the negative impact was primarily a result of both unrealized ~~fair value gains and~~ losses on ~~instruments~~investments we expect to hold to maturity and ~~less net interest settlements being received~~higher losses on ~~swapped Discount Notes and Bonds.~~commitments to purchase mortgages given the rise in mortgage rates. As noted above, the fluctuation in earnings from the use of derivatives was acceptable because it enabled us to lower market risk exposure.

In the table above, "Gains (losses) on trading securities" consist of fixed-rate U.S. Treasury and GSE obligations that have been swapped to a variable rate. Trading securities are recorded at fair value, with changes in fair value reported in non-interest income (loss). There are a number of factors that affect the fair value of these securities, including changes in interest rates, the passage of time, and volatility. By hedging these trading securities, the gains or losses on these trading securities will generally be offset by the gains or losses on the associated interest rate swaps.

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Non-Interest Expense

The following table presents non-interest expense.


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
(In millions)	(In millions)	2021		2020		2021		2020		(In millions)	2022		2021

Non-interest expense	Non-interest expense									Non-interest expense
Compensation and benefits	Compensation and benefits	$	12	$	12	$	25	$	25	Compensation and benefits	$	14	$	13
Other operating expense	Other operating expense	5		5		11		11		Other operating expense	6		6
Finance Agency	Finance Agency	2		2		4		3		Finance Agency	2		2
Office of Finance	Office of Finance	1		1		3		3		Office of Finance	2		1

Other	Other	4		4		5		6		Other	2		1
Total non-interest expense	Total non-interest expense	$	24	$	24	$	48	$	48	Total non-interest expense	$	26	$	23

Our business is designed to support significant changes in asset levels without having to undergo material changes in staffing, operations, risk practices, or general resource needs. Accordingly, ~~total~~the components of non-interest ~~expenses remained stable for~~expense did not change materially in the first three ~~and six~~ months ~~ended June 30, 2021~~of 2022 compared to the same ~~periods in 2020.~~period of 2021.

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Segment Information

Note 1311 of the Notes to Unaudited Financial Statements presents information on our two operating business segments. We manage financial operations and market risk exposure primarily at the macro level, and within the context of the entire balance sheet, rather than exclusively at the level of individual segments. Under this approach, the market risk/return profile of each segment may not match, or possibly even have the same trends as, what would occur if we managed each segment on a stand-alone basis. The tables below summarize each segment's operating results for the periods shown.


(Dollars in millions)	(Dollars in millions)	Traditional Member Finance			MPP			Total			(Dollars in millions)	Traditional Member Finance			MPP			Total
Three Months Ended June 30, 2021
Three Months Ended March 31, 2022											Three Months Ended March 31, 2022
Net interest income (loss)	Net interest income (loss)	$	81		$	(15)		$	66		Net interest income (loss)	$	77		$	4		$	81
Net income (loss)	Net income (loss)	$	14		$	(14)		$	—		Net income (loss)	$	20		$	(4)		$	16
Average assets	Average assets	$	50,494		$	11,436		$	61,930		Average assets	$	66,030		$	10,369		$	76,399
Assumed average capital allocation	Assumed average capital allocation	$	3,324		$	754		$	4,078		Assumed average capital allocation	$	3,803		$	597		$	4,400
Return on average assets (1)	Return on average assets (1)	0.12		%	(0.50)		%	—		%	Return on average assets (1)	0.12		%	(0.16)		%	0.09		%
Return on average equity (1)	Return on average equity (1)	1.77		%	(7.62)		%	0.03		%	Return on average equity (1)	2.15		%	(2.76)		%	1.48		%
Three Months Ended June 30, 2020
Net interest income		$	139		$	10		$	149
Three Months Ended March 31, 2021											Three Months Ended March 31, 2021
Net interest income (loss)											Net interest income (loss)	$	87		$	(11)		$	76
Net income (loss)	Net income (loss)	$	99		$	—		$	99		Net income (loss)	$	32		$	(13)		$	19
Average assets	Average assets	$	95,499		$	12,004		$	107,503		Average assets	$	51,265		$	11,800		$	63,065
Assumed average capital allocation	Assumed average capital allocation	$	4,988		$	628		$	5,616		Assumed average capital allocation	$	3,144		$	724		$	3,868
Return on average assets (1)	Return on average assets (1)	0.42		%	—		%	0.37		%	Return on average assets (1)	0.25		%	(0.46)		%	0.12		%
Return on average equity (1)	Return on average equity (1)	8.02		%	(0.02)		%	7.12		%	Return on average equity (1)	4.14		%	(7.48)		%	1.96		%

(Dollars in millions) Traditional Member Finance MPP Total
Six Months Ended June 30, 2021
Net interest income (loss) $ 168 $ (26) $ 142
Net income (loss) $ 47 $ (28) $ 19
Average assets $ 50,877 $ 11,617 $ 62,494
Assumed average capital allocation $ 3,235 $ 738 $ 3,973
Return on average assets (1)
0.19 % (0.48) % 0.06 %
Return on average equity (1)
2.91 % (7.55) % 0.97 %
Six Months Ended June 30, 2020
Net interest income $ 204 $ 28 $ 232
Net income $ 117 $ 62 $ 179
Average assets $ 88,419 $ 12,018 $ 100,437
Assumed average capital allocation $ 4,505 $ 612 $ 5,117
Return on average assets (1)
0.27 % 1.03 % 0.36 %
Return on average equity (1)
5.24 % 20.28 % 7.04 %

(1)Amounts used to calculate returns are based on numbers in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results.

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Traditional Member Finance Segment

Net income decreased in the ~~six-month comparison period primarily due~~first three months of 2022 compared to the ~~decline in average Advance~~same period of 2021 primarily because of unrealized losses on certain derivatives and ~~MBS balances, lower spreads on MBS and lower Advance prepayment fees. However, these unfavorable factors were~~other financial instruments carried at fair value. This negative factor was partially offset by higher net ~~unrealized gains on fair value hedges. In~~interest income given the ~~three-months comparison,~~increases in average balances of Advances and investments in the ~~factors impacting net income were generally the same except for the unrealized gains on fair value hedges, which were unrealized losses.~~first quarter of 2022.

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MPP Segment

~~Due to the low interest rate environment, the~~The MPP segment experienced net losses in the first three months of 2022 and ~~six months ended June 30,~~ 2021. The net losses were due to elevated net amortization, lower MPP balances, and lower portfolio spreads earned on MPP driven by the accelerated payoff of higher-yielding mortgages at a faster pace than the associated debt funding them. Net incomeResults in the first ~~six~~three months of ~~2020 significantly benefited from gains due~~2022 improved compared to the ~~sale~~same period of ~~interest rate swaptions~~2021 because of lower net amortization, as ~~rates~~refinancing activity fell ~~to historically low levels~~given the rise in mortgage rates. However, the lower net amortization in the first quarter of ~~2020. We did not sell any swaptions in the first six months of 2021.~~2022 was partially offset by losses on derivatives.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT RISK MANAGEMENT

Market Risk

Market Value of Equity and Duration of Equity - Entire Balance Sheet

Two key measures of long-term market risk exposure are the sensitivities of the market value of equity and the duration of equity to changes in interest rates and other variables, as presented in the following tables for various instantaneous and permanent interest rate shocks (in basis points). We compiled average results using data for each month end. Given the current level of rates, some down rate shocks are nonparallel scenarios, with short-term rates decreasing less than long-term rates such that no rate falls below zero.

Market Value of Equity


(Dollars in millions)	(Dollars in millions)	Down 300			Down 200			Down 100			Flat Rates		Up 100			Up 200			Up 300			(Dollars in millions)	Down 300			Down 200			Down 100			Flat Rates		Up 100			Up 200			Up 300
Average Results	Average Results																					Average Results
2021 Year-to-Date
2022 Year-to-Date																						2022 Year-to-Date
Market Value of Equity	Market Value of Equity	$	3,978		$	3,984		$	4,026		$	4,051	$	3,999		$	3,905		$	3,859		Market Value of Equity	$	4,911		$	4,861		$	4,753		$	4,699	$	4,592		$	4,473		$	4,390
% Change from Flat Case	% Change from Flat Case	(1.8)		%	(1.6)		%	(0.6)		%	—		(1.3)		%	(3.6)		%	(4.8)		%	% Change from Flat Case	4.5		%	3.4		%	1.1		%	—		(2.3)		%	(4.8)		%	(6.6)		%
2020 Full Year
2021 Full Year																						2021 Full Year
Market Value of Equity	Market Value of Equity	$	4,541		$	4,541		$	4,547		$	4,624	$	4,723		$	4,608		$	4,466		Market Value of Equity	$	3,916		$	3,920		$	3,921		$	3,942	$	3,878		$	3,771		$	3,705
% Change from Flat Case	% Change from Flat Case	(1.8)		%	(1.8)		%	(1.7)		%	—		2.1		%	(0.3)		%	(3.4)		%	% Change from Flat Case	(0.6)		%	(0.6)		%	(0.5)		%	—		(1.6)		%	(4.3)		%	(6.0)		%
Month-End Results	Month-End Results																					Month-End Results
June 30, 2021
March 31, 2022																						March 31, 2022
Market Value of Equity	Market Value of Equity	$	4,010		$	4,010		$	4,037		$	4,073	$	4,004		$	3,896		$	3,825		Market Value of Equity	$	4,998		$	4,852		$	4,798		$	4,740	$	4,650		$	4,554		$	4,465
% Change from Flat Case	% Change from Flat Case	(1.6)		%	(1.6)		%	(0.9)		%	—		(1.7)		%	(4.3)		%	(6.1)		%	% Change from Flat Case	5.4		%	2.4		%	1.2		%	—		(1.9)		%	(3.9)		%	(5.8)		%
December 31, 2020
December 31, 2021																						December 31, 2021
Market Value of Equity	Market Value of Equity	$	3,765		$	3,765		$	3,791		$	3,835	$	3,893		$	3,777		$	3,676		Market Value of Equity	$	3,977		$	3,977		$	3,865		$	3,858	$	3,767		$	3,628		$	3,525
% Change from Flat Case	% Change from Flat Case	(1.8)		%	(1.8)		%	(1.1)		%	—		1.5		%	(1.5)		%	(4.2)		%	% Change from Flat Case	3.1		%	3.1		%	0.2		%	—		(2.4)		%	(6.0)		%	(8.6)		%

Duration of Equity

(In years) Down 300 Down 200 Down 100 Flat Rates Up 100 Up 200 Up 300
Average Results
2021 Year-to-Date (0.2) (0.6) (1.4) 0.8 2.3 2.0 0.4
2020 Full Year — — (0.9) (2.6) 1.0 3.4 2.0
Month-End Results
June 30, 2021 — (0.2) (1.4) 1.2 2.5 3.4 1.0
December 31, 2020 — (0.1) (1.4) (2.3) 1.8 3.2 1.2


(In years)	Down 300	Down 200	Down 100	Flat Rates	Up 100	Up 200	Up 300
Average Results
2022 Year-to-Date	1.0	2.6	0.6	1.7	2.7	2.3	1.7
2021 Full Year	(0.1)	(0.2)	(0.6)	1.0	2.6	2.5	1.0
Month-End Results
March 31, 2022	3.0	2.3	0.8	1.6	2.2	2.0	2.0
December 31, 2021	—	0.7	2.0	1.4	3.4	3.6	2.1

The overall market risk exposure to changing interest rates was well within policy limits during the periods presented. At ~~June 30, 2021,~~March 31, 2022, market risk exposure to falling rate shocks benefited from the rapid increase in mortgage interest rates in the ~~down shock scenarios was muted as some~~first quarter of 2022 while exposure to rising rates become floored at near zero rate levels. Exposure to moderate rising rate shocks increased marginally due primarily to the increase in long-term interest rates that occurred in the first six months of 2021.remained stable. The duration of equity, which provides an estimate of the change in market value of equity to further changes in interest rates, ~~remains stable and~~remained well within policy limits.

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Based on the totality of our risk analysis, we expect that profitability, defined as the level of ROE compared with short-term market rates, will be competitive over the long term unless interest rates ~~change~~increase further by large amounts in a short period of time. ~~Further~~Substantial declines in long-term interest rates could ~~substantially~~ decrease income ~~in the near term (one to two years)~~temporarily before reverting ~~over time~~ to average levels. This temporary reduction in income would be driven by additional recognition of

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mortgage asset premiums as the further incentive for borrowers to refinance results in faster than anticipated repayments of those mortgage assets.

Market Risk Exposure of the Mortgage Assets Portfolio

The mortgage assets portfolio normally accounts for almost all market risk exposure because of prepayment volatility that we cannot completely hedge while maintaining sufficient net spreads. Sensitivities of the market value of equity allocated to the mortgage assets portfolio under interest rate shocks (in basis points) are shown below. The average mortgage assets portfolio had an assumed capital allocation of $1.1 billion in the first ~~six~~three months of ~~2021~~2022 based on the entire balance sheet's average regulatory capital-to-assets ratio. Average results shown in the table below are compiled using data for each month end. The market value sensitivities are one measure we use to analyze the portfolio's estimated market risk exposure.

% Change in Market Value of Equity-Mortgage Assets Portfolio

Down 300 Down 200 Down 100 Flat Rates Up 100 Up 200 Up 300
Average Results
2021 Year-to-Date (15.4) % (14.1) % (7.5) % — (0.5) % (4.5) % (5.0) %
2020 Full Year (15.9) % (15.9) % (14.6) % — 11.9 % 2.4 % (10.3) %
Month-End Results
June 30, 2021 (12.9) % (12.9) % (7.0) % — (1.4) % (5.7) % (7.7) %
December 31, 2020 (15.3) % (15.3) % (11.3) % — 10.6 % 3.9 % (1.7) %


	Down 300		Down 200		Down 100		Flat Rates	Up 100		Up 200		Up 300
Average Results
2022 Year-to-Date	(0.7)	%	(0.8)	%	1.2	%	—	(5.1)	%	(11.1)	%	(14.9)	%
2021 Full Year	(11.2)	%	(10.7)	%	(5.9)	%	—	(1.4)	%	(5.8)	%	(7.7)	%
Month-End Results
March 31, 2022	1.4	%	0.9	%	1.6	%	—	(4.0)	%	(8.3)	%	(12.4)	%
December 31, 2021	(4.8)	%	(4.8)	%	(2.8)	%	—	(3.4)	%	(9.9)	%	(14.4)	%

The average risk exposure of the mortgage assets portfolio in the first ~~six~~three months of ~~2021~~2022 remained aligned with our preference to keep our exposure to market risk at a ~~low to~~ moderate level. The variances between periods primarily reflect the impact of higher long-term interest rates observed in the first ~~six~~three months of ~~2021. These higher long-term interest rates resulted~~2022 combined with the shift in ~~marginally higher exposure at June 30, 2021 to rising rate shocks and less exposure to falling rate shocks before they become floored when they reach near zero rate levels.~~composition of the mortgage asset portfolio, which was accelerated by rapid repayments of mortgage assets throughout 2021. We believe the mortgage asset portfolio will continue to provide an acceptable ~~risk adjusted~~risk-adjusted return consistent with our risk appetite philosophy.

Capital Adequacy

Retained Earnings

We must hold sufficient capital to protect against exposure to various risks, including market, credit, and ~~operational.~~operational risks. We regularly conduct a variety of measurements and assessments for capital adequacy. At ~~June 30, 2021,~~March 31, 2022, our capital management policy set forth approximately ~~$230~~$370 million as the minimum amount of retained earnings we believe is necessary to mitigate impairment risk.

The following table presents retained earnings.

(In millions) June 30, 2021 December 31, 2020
Unrestricted retained earnings $ 792 $ 803
Restricted retained earnings (1)
505 501
Total retained earnings $ 1,297 $ 1,304


(In millions)	March 31, 2022		December 31, 2021
Unrestricted retained earnings	$	784	$	783
Restricted retained earnings (1)	513		510
Total retained earnings	$	1,297	$	1,293

(1) Pursuant to the FHLBank System's Joint Capital Enhancement Agreement we are not permitted to distribute as dividends.

As indicated in the table above, our current balance of retained earnings exceeds the policy minimum, which we expect will continue to be the case as we bolster capital adequacy over time by allocating a portion of earnings to the restricted retained earnings account.

Market Capitalization Ratios

We measure two sets of market capitalization ratios. One measures the market value of equity (i.e., total capital) relative to the par value of regulatory capital stock (which is GAAP capital stock and mandatorily redeemable capital stock). The other measures the market value of total capital relative to the book value of total capital, which includes all components of capital, and mandatorily redeemable capital stock. The measures provide a point-in-time indication of the FHLB's liquidation or franchise value and can also serve as a measure of realized or potential market risk exposure.

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The following table presents the market value of equity to regulatory capital stock (excluding retained earnings) for several interest rate environments.


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario	Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario	149	%	144	%	Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario	134	%	154	%
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1)	Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1)	148		143		Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1)	136		154
Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2)	Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2)	143		142		Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2)	129		145

(1) Represents a down ~~shock~~shocks of 150 basis points and 100 basis ~~points.~~points for March 31, 2022 and December 31, 2021, respectively.

(2) Represents an up shock of 200 basis points.

A base case value below 100 percent could indicate that, in the remote event of an immediate liquidation scenario involving redemption of all capital stock, capital stock may be returned to stockholders at a value below par. This could be due to experiencing risks that lower the market value of capital and/or to having an insufficient amount of retained earnings. In the first ~~six~~three months of ~~2021,~~2022, the market capitalization ratios in the scenarios presented continued to be above our policy ~~requirements.~~requirements, declining modestly in the first quarter driven by rapid capital growth to support Advance demand. The base case ratio at ~~June 30, 2021~~March 31, 2022 was still well above 100 percent because retained earnings were 4737 percent of regulatory capital stock and we maintained stable market risk exposure.

The following table presents the market value of equity to the book value of total capital and mandatorily redeemable capital stock.


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1)	Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1)	101	%	97	%	Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1)	99	%	101	%
Market Value of Equity to Book Value of Capital - Down Shock (1)(2)	Market Value of Equity to Book Value of Capital - Down Shock (1)(2)	100		96		Market Value of Equity to Book Value of Capital - Down Shock (1)(2)	100		101
Market Value of Equity to Book Value of Capital - Up Shock (1)(3)	Market Value of Equity to Book Value of Capital - Up Shock (1)(3)	97		96		Market Value of Equity to Book Value of Capital - Up Shock (1)(3)	95		95

(1) Capital includes total capital and mandatorily redeemable capital stock.

(2) Represents a down ~~shock~~shocks of 150 basis points and 100 basis ~~points.~~points for March 31, 2022 and December 31, 2021, respectively.

(3) Represents an up shock of 200 basis points.

A base-case value below 100 percent indicates that we have realized or could realize risks (especially market risk), such that the market value of total capital owned by stockholders is below the book value of total capital. The base-case ratio of 99 percent at

March 31, 2022 indicates that the market value of total capital is $62 million below the book value of total capital. In a scenario in which interest rates increase 200 basis points, the market value of total capital would be ~~$131~~$248 million below the book value of total capital. This indicates that in a liquidation scenario, stockholders would not receive the full sum of their total equity ownership in the FHLB. We believe the likelihood of a liquidation scenario is extremely remote; and therefore, we accept the risk of diluting equity ownership in such a scenario. Both ratios remained stable relative to the prior period as they are unaffected by large swings in capital stock balances.

Credit Risk

Overview

We believe our risk management practices, discussed below, minimize residual credit risk levels. We have no loan loss reserves or impairment recorded for Credit Services, investments and derivatives. We have a minimal amount of legacy credit risk exposure in the MPP.

Credit Services

Overview: We have policies and practices to manage credit risk exposure from our secured lending activities, which include Advances and Letters of Credit. The objective of our credit risk management activities is to equalize risk exposure across members and counterparties to a zero level of expected losses. This approach is consistent with our conservative risk management principles and desire to have no residual credit risk related to Advances and Letters of Credit.

Collateral: We require each member to provide a security interest in eligible collateral before it can undertake any secured borrowing. Eligible loan collateral types include the following: single- and multi-family residential, home equity, commercial real estate, government guaranteed and farm real estate. Eligible security types include those that are government or agency

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backed, along with highly-rated private-label residential and commercial mortgage-backed securities. We have conservative eligibility criteria within each of the above asset types. The estimated value of pledged collateral is discounted in order to offset market, credit, and liquidity risks that may affect the collateral's realizable value in the event it must be liquidated. At ~~June 30,~~

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~~2021,~~March 31, 2022, total collateral pledged of ~~$410.8~~$418.0 billion resulted in total borrowing capacity of ~~$328.4~~$341.3 billion of which ~~$58.5~~$67.5 billion was used to support outstanding Advances and Letters of Credit. Borrowers often pledge collateral in excess of their collateral requirement to demonstrate access to liquidity and to have the ability to borrow additional amounts in the future. Over-collateralization by one member is not applied to another member.

Borrowing Capacity/Lendable Value: Lendable Value Rates (LVRs) represent the percent of collateral value net of the discount, or haircut, we apply for purposes of determining borrowing capacity. LVRs are determined by statistical analysis and management assumptions relating to historical price volatility, inherent credit risks, liquidation costs, and the current credit and economic environment. We apply LVR results to the estimated values of pledged assets. LVRs vary among pledged assets and members based on the member institution type, the financial strength of the member institution, the form of valuation, lien position, the issuer of bond collateral or the quality of securitized assets, the quality of the loan collateral as reflected in the manner in which it was underwritten, and the marketability of the pledged assets.

Internal Credit Ratings: We perform credit underwriting of our members and nonmember institutions and assign them an internal credit rating. These credit ratings are based on internal and third-party ratings models, credit analyses and consideration of credit ratings from independent credit rating organizations. Credit ratings are used in conjunction with other measures of credit risk in managing secured credit risk exposure.

Member Failures, Closures, and Receiverships: There have been no member failures in ~~2021~~2022 through the date of this filing.

MPP

Overview: The residual amount of credit risk exposure to loans in the MPP is minimal, based on the same factors described in the ~~2020~~2021 Annual Report on Form 10-K. ~~In light of~~We believe, based on our analysis, that future credit losses will not harm capital adequacy and will not significantly affect profitability except under the ~~COVID-19 pandemic, we are closely monitoring the~~most extreme and unlikely credit risk of our MPP portfolio. We have implemented temporary relief provisions for MPP loans, including forbearance plans to help with short-term hardships, in response to the negative economic impacts associated with COVID-19.conditions.

Conventional Loan Portfolio Characteristics: The levels of loan-to-value ratios are consistent with the portfolio's excellent credit quality. At ~~June 30, 2021,~~March 31, 2022, the weighted average loan-to-value ratios for conventional loans based on origination values and estimated current values were 7372 percent and 5049 percent, respectively. The estimated weighted average current loan-to-value ratio ~~decreased five percent compared to~~was the same as the ratio at December 31, ~~2020~~2021 as home values have ~~continued to increase.~~remained stable.

Credit Performance: The table below provides an analysis of conventional loans delinquent or in the process of foreclosure, along with the national average serious delinquency rate.


		Conventional Loan Delinquencies							Conventional Loan Delinquencies
(Dollars in millions)	(Dollars in millions)	June 30, 2021			December 31, 2020			(Dollars in millions)	March 31, 2022			December 31, 2021
Early stage delinquencies - unpaid principal balance (1)	Early stage delinquencies - unpaid principal balance (1)	$	36		$	49		Early stage delinquencies - unpaid principal balance (1)	$	40		$	33
Serious delinquencies - unpaid principal balance (2)	Serious delinquencies - unpaid principal balance (2)	$	42		$	64		Serious delinquencies - unpaid principal balance (2)	$	19		$	24
Early stage delinquency rate (3)	Early stage delinquency rate (3)	0.5		%	0.5		%	Early stage delinquency rate (3)	0.6		%	0.5		%
Serious delinquency rate (4)	Serious delinquency rate (4)	0.6		%	0.7		%	Serious delinquency rate (4)	0.3		%	0.3		%
National average serious delinquency rate (5)	National average serious delinquency rate (5)	3.2		%	3.7		%	National average serious delinquency rate (5)	2.0		%	2.3		%

(1)Includes conventional loans 30 to 89 days delinquent and not in foreclosure.

(2)Includes conventional loans that are 90 days or more past due or where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported.

(3)Early stage delinquencies expressed as a percentage of the total conventional loan portfolio.

(4)Serious delinquencies expressed as a percentage of the total conventional loan portfolio.

(5)National average number of fixed-rate prime and subprime conventional loans that are 90 days or more past due or in the process of foreclosure is based on the most recent national delinquency data available. The ~~June 30, 2021~~March 31, 2022 rate is based on ~~March~~December 31, 2021 data.

In response to the COVID-19 pandemic, our mortgage loan servicers may grant a forbearance period to borrowers who have had COVID-19 related hardships such as illness, unemployment or loss of income when homeowners meet certain eligibility requirements. These forbearances do not alter the underlying terms of the loans, and loans not paid timely are considered past due. As a result, early stage and serious delinquencies were elevated at June 30, 2021 and December 31, 2020 compared to prior periods. At June 30, 2021, $8 million and $30 million of conventional loans with an early stage and serious delinquency, respectively, were under a forbearance plan. However, delinquencies have decreased since year-end 2020 as fewer borrowers have requested temporary relief provisions for MPP loans.

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Overall, the MPP has experienced a minimal amount of delinquencies, with delinquency rates continuing to be well below national averages. This further supports our view that the portfolio is comprised of high-quality, well-performing loans.

Credit Enhancements: Conventional mortgage loans are supported against credit losses by various combinations of primary mortgage insurance (PMI), supplemental mortgage insurance (SMI) (for loans purchased before February 2011), and the Lender Risk Account (LRA). The LRA is a hold back of a portion of the initial purchase price to cover expected credit losses

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for a specific pool of loans. Starting after five years from the loan purchase date, we may return the hold back to Participating Financial Institutions (PFIs) if they manage credit risk to predefined acceptable levels of exposure on the loan pools they sell to us. As a result, some pools of loans may have sufficient credit enhancements to recapture all losses while other pools of loans may not. The LRA had balances of ~~$247~~$254 million and ~~$246~~$252 million at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively. For more information, see Note 5 of the Notes to Unaudited Financial Statements.

Credit Losses: Residual credit risk exposure depends on the actual and potential credit performance of the loans in each pool compared to the pool's equity (on individual loans) and credit enhancements, including PMI, the LRA, and SMI. Our available credit enhancements at ~~June 30, 2021~~March 31, 2022 were ample and able to cover nearly all of the estimated gross credit losses. As a result, estimated credit losses at ~~June 30, 2021~~March 31, 2022 were less than $1 million. Estimated credit losses, after credit enhancements, are accounted for in the allowance for credit losses or as a charge off (i.e., a reduction to the principal of mortgage loans held for portfolio). In addition, we have assessed that we do not have any credit risk exposure to our PMI providers, and our estimation of credit exposure to SMI providers was not material at ~~June 30, 2021~~March 31, 2022 or December 31, ~~2020.~~2021.

Separate from our allowance for credit losses analysis, we regularly analyze potential adverse scenarios of lifetime credit risk exposure for the loans in the MPP. Even under adverse macroeconomic scenarios, ~~including the increased delinquencies as a result of COVID-19 related forbearances,~~ we ~~would~~ expect credit losses to remain minimal.

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Investments

Liquidity Investments: We purchase liquidity investments from counterparties that have a strong ability to repay principal and interest. These investments can be easily converted to cash and may be unsecured, guaranteed or supported by the U.S. government, or secured (i.e., collateralized). For unsecured liquidity investments, we invest in the debt securities of highly rated, investment-grade institutions, have appropriate and conservative limits on dollar and maturity exposure to each institution, and have strong credit underwriting practices, including active monitoring of credit quality of our counterparties and of the environment in which they operate. In addition, we believe the portion of our liquidity investments for which the investments are secured with collateral (secured resale agreements) present no credit risk exposure to us.

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The following table presents the carrying value of liquidity investments outstanding in relation to the counterparties' lowest long-term credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services. For resale agreements, the ratings shown are based on ratings of the associated collateral. Our internal ratings of these investments may differ from those obtained from Standard & Poor's, Moody's, and/or Fitch Advisory Services. The historical or current ratings displayed in this table should not be taken as an indication of future ratings.


(In millions)	(In millions)	June 30, 2021						(In millions)	March 31, 2022
		Long-Term Rating							Long-Term Rating
		AA		A		Total			AA		A		Total
Unsecured Liquidity Investments	Unsecured Liquidity Investments							Unsecured Liquidity Investments
Interest-bearing deposits	Interest-bearing deposits	$	—	$	374	$	374	Interest-bearing deposits	$	—	$	435	$	435
Federal funds sold	Federal funds sold	1,238		4,937		6,175		Federal funds sold	1,514		6,545		8,059

Total unsecured liquidity investments	Total unsecured liquidity investments	1,238		5,311		6,549		Total unsecured liquidity investments	1,514		6,980		8,494
Guaranteed/Secured Liquidity Investments	Guaranteed/Secured Liquidity Investments							Guaranteed/Secured Liquidity Investments
Securities purchased under agreements to resell	Securities purchased under agreements to resell	437		—		437		Securities purchased under agreements to resell	5,775		250		6,025
U.S. Treasury obligations	U.S. Treasury obligations	9,240		—		9,240		U.S. Treasury obligations	9,673		—		9,673
GSE obligations	GSE obligations	1,929		—		1,929		GSE obligations	1,765		—		1,765

Total guaranteed/secured liquidity investments	Total guaranteed/secured liquidity investments	11,606		—		11,606		Total guaranteed/secured liquidity investments	17,213		250		17,463
Total liquidity investments	Total liquidity investments	$	12,844	$	5,311	$	18,155	Total liquidity investments	$	18,727	$	7,230	$	25,957


		December 31, 2020							December 31, 2021
		Long-Term Rating							Long-Term Rating
		AA		A		Total			AA		A		Total
Unsecured Liquidity Investments	Unsecured Liquidity Investments							Unsecured Liquidity Investments
Interest-bearing deposits	Interest-bearing deposits	$	—	$	555	$	555	Interest-bearing deposits	$	—	$	340	$	340
Federal funds sold	Federal funds sold	500		3,740		4,240		Federal funds sold	975		4,530		5,505

Total unsecured liquidity investments	Total unsecured liquidity investments	500		4,295		4,795		Total unsecured liquidity investments	975		4,870		5,845
Guaranteed/Secured Liquidity Investments	Guaranteed/Secured Liquidity Investments							Guaranteed/Secured Liquidity Investments
Securities purchased under agreements to resell	Securities purchased under agreements to resell	1,818		—		1,818		Securities purchased under agreements to resell	1,282		—		1,282
U.S. Treasury obligations	U.S. Treasury obligations	8,404		—		8,404		U.S. Treasury obligations	9,577		—		9,577
GSE obligations	GSE obligations	2,268		—		2,268		GSE obligations	1,885		—		1,885

Total guaranteed/secured liquidity investments	Total guaranteed/secured liquidity investments	12,490		—		12,490		Total guaranteed/secured liquidity investments	12,744		—		12,744
Total liquidity investments	Total liquidity investments	$	12,990	$	4,295	$	17,285	Total liquidity investments	$	13,719	$	4,870	$	18,589

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The following table presents the lowest long-term credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services of our unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's immediate parent for U.S. branches and agency offices of foreign commercial banks. Our internal ratings of these investments may differ from those obtained from Standard & Poor's, Moody's, and/or Fitch Advisory Services. The historical or current ratings displayed in this table should not be taken as an indication of future ratings.


(In millions)	(In millions)	June 30, 2021						(In millions)	March 31, 2022
		Counterparty Rating							Counterparty Rating
Domicile of Counterparty	Domicile of Counterparty	AA		A		Total		Domicile of Counterparty	AA		A		Total
Domestic	Domestic	$	—	$	374	$	374	Domestic	$	—	$	435	$	435

U.S. branches and agency offices of foreign commercial banks:	U.S. branches and agency offices of foreign commercial banks:							U.S. branches and agency offices of foreign commercial banks:
Canada	Canada	388		1,496		1,884		Canada	1,360		2,075		3,435
Sweden		—		1,496		1,496
Australia	Australia	—		748		748		Australia	—		1,360		1,360
Netherlands	Netherlands	—		748		748		Netherlands	—		875		875
Norway		600		—		600
Sweden								Sweden	—		875		875
Germany								Germany	—		780		780
Belgium								Belgium	—		290		290
France								France	—		290		290
Finland	Finland	250		—		250		Finland	154		—		154
Germany		—		249		249
France		—		200		200

Total U.S. branches and agency offices of foreign commercial banks	Total U.S. branches and agency offices of foreign commercial banks	1,238		4,937		6,175		Total U.S. branches and agency offices of foreign commercial banks	1,514		6,545		8,059
Total unsecured investment credit exposure	Total unsecured investment credit exposure	$	1,238	$	5,311	$	6,549	Total unsecured investment credit exposure	$	1,514	$	6,980	$	8,494

The following table presents the remaining contractual maturity of our unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's immediate parent for U.S. branches and agency offices of foreign commercial banks.


(In millions)	(In millions)	June 30, 2021		(In millions)	March 31, 2022
Domicile of Counterparty	Domicile of Counterparty	Overnight				Total		Domicile of Counterparty	Overnight		Total
Domestic	Domestic	$	374			$	374	Domestic	$	435	$	435

U.S. branches and agency offices of foreign commercial banks:	U.S. branches and agency offices of foreign commercial banks:							U.S. branches and agency offices of foreign commercial banks:
Canada	Canada	1,884				1,884		Canada	3,435		3,435
Sweden		1,496				1,496
Australia	Australia	748				748		Australia	1,360		1,360
Netherlands	Netherlands	748				748		Netherlands	875		875
Norway		600				600
Sweden								Sweden	875		875
Germany								Germany	780		780
Belgium								Belgium	290		290
France								France	290		290
Finland	Finland	250				250		Finland	154		154
Germany		249				249
France		200				200

Total U.S. branches and agency offices of foreign commercial banks	Total U.S. branches and agency offices of foreign commercial banks	6,175				6,175		Total U.S. branches and agency offices of foreign commercial banks	8,059		8,059
Total unsecured investment credit exposure	Total unsecured investment credit exposure	$	6,549			$	6,549	Total unsecured investment credit exposure	$	8,494	$	8,494

We are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities. Furthermore, we restrict a significant portion of unsecured lending to overnight maturities, which further limits credit risk exposure.

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MBS:

GSE MBS

At ~~June 30, 2021, $7.8~~March 31, 2022, $10.7 billion of MBS held were GSE securities issued by Fannie Mae and Freddie Mac, which provide credit safeguards by guaranteeing either timely or ultimate payments of principal and interest. We believe that the conservatorships of Fannie Mae and Freddie Mac lower the chance that they would not be able to fulfill their credit ~~guarantees and that the securities issued by these two GSEs are effectively government guaranteed.~~guarantees. In addition, based on the data available to us and our purchase practices, we believe that most of the mortgage loans backing our GSE MBS are of high quality with acceptable credit performance.

MBS Issued by Other Government Agencies

We also invest in MBS issued and guaranteed by Ginnie Mae. These investments totaled $1.1 billion at ~~June 30, 2021.~~March 31, 2022. We believe that the strength of Ginnie Mae's guarantee and backing by the full faith and credit of the U.S. government is sufficient to protect us against credit losses on these securities.

Derivatives

Credit Risk Exposure: We mitigate most of the credit risk exposure resulting from derivative transactions through collateralization or use of daily settled contracts. The table below presents the lowest long-term counterparty credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services for derivative positions to which we had credit risk exposure at ~~June 30, 2021.~~March 31, 2022. The historical or current ratings displayed in this table should not be taken as an indication of future ratings.


(In millions)	(In millions)									(In millions)
		Total Notional		Net Derivatives Fair Value Before Collateral		Cash Collateral Pledged to (from) Counterparties		Net Credit Exposure to Counterparties			Total Notional		Net Derivatives Fair Value Before Collateral		Cash Collateral Pledged to (from) Counterparties		Net Credit Exposure to Counterparties
Nonmember counterparties:	Nonmember counterparties:									Nonmember counterparties:
Asset positions with credit exposure:	Asset positions with credit exposure:									Asset positions with credit exposure:

Cleared derivatives (1)	Cleared derivatives (1)	$	736	$	—	$	3	$	3	Cleared derivatives (1)	$	652	$	—	$	3	$	3
Liability positions with credit exposure:	Liability positions with credit exposure:									Liability positions with credit exposure:
Uncleared derivatives:	Uncleared derivatives:									Uncleared derivatives:

A-rated	A-rated	148		(1)		1		—		A-rated	721		(1)		2		1

BBB-rated										BBB-rated	2,517		(33)		33		—
Total uncleared derivatives	Total uncleared derivatives	148		(1)		1		—		Total uncleared derivatives	3,238		(34)		35		1
Cleared derivatives (1)	Cleared derivatives (1)	20,973		(5)		216		211		Cleared derivatives (1)	26,616		(10)		324		314
Total derivative positions with credit exposure to nonmember counterparties	Total derivative positions with credit exposure to nonmember counterparties	21,857		(6)		220		214		Total derivative positions with credit exposure to nonmember counterparties	30,506		(44)		362		318
Member institutions (2)	Member institutions (2)	506		2		—		2		Member institutions (2)	3		—		—		—
Total	Total	$	22,363	$	(4)	$	220	$	216	Total	$	30,509	$	(44)	$	362	$	318

(1)Represents derivative transactions cleared with LCH Ltd. and CME Clearing, the FHLB's clearinghouses. LCH Ltd. is rated AA- by Standard & Poor's, and CME Clearing is not rated, but its parent company, CME Group Inc., is rated Aa3 by Moody's and AA- by Standard & Poor's.

(2)Represents Mandatory Delivery Contracts.

Our exposure to cleared derivatives is primarily associated with the requirement to post initial margin through the clearing agent to the Derivatives Clearing Organizations. We pledge cash as collateral to satisfy this initial margin requirement. However, the use of cleared derivatives mitigates credit risk exposure because a central counterparty is substituted for individual counterparties.

At ~~June 30, 2021,~~March 31, 2022, the net exposure of uncleared derivatives with residual credit risk exposure was ~~less than~~ $1 million. If interest rates rise or the composition of our derivatives change resulting in an increase to our gross exposure to uncleared derivatives, the contractual collateral provisions in these derivatives would limit our net exposure to acceptable levels.

Although we cannot predict if we will realize credit risk losses from any of our derivatives counterparties, we believe that all of the counterparties will be able to continue making timely interest payments and, more generally, to continue to satisfy the terms and conditions of their derivative contracts with us. ~~As of June 30, 2021, we had $0.4 billion of notional principal of interest rate swaps with a subsidiary of our member, JPMorgan Chase Bank, N.A., which also had outstanding credit services with us.~~

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~~Due to the amount of market value collateralization, we had no outstanding credit exposure to this counterparty related to interest rate swaps outstanding.~~

Liquidity Risk

Liquidity Overview

We strive to be in a liquidity position at all times to meet the borrowing needs of our members and to meet all current and future financial commitments. This objective is achieved by managing liquidity positions to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand, and the maturity profile of assets and liabilities. Our liquidity position complies with the FHLBank Act, Finance Agency regulations, and internal policies.

The FHLBank System's primary source of funds is the sale of Consolidated Obligations in the capital markets. Our ability to obtain funds through the sale of Consolidated Obligations at acceptable interest costs depends on the financial market's perception of the riskiness of the Obligations and on prevailing conditions in the capital markets, particularly the short-term capital markets. The System's favorable debt ratings, the implicit U.S. government backing of our debt, and our effective risk management practices are instrumental in ensuring stable and satisfactory access to the capital markets.

We believe our liquidity position, as well as that of the System, continued to be strong during the first ~~six~~three months of ~~2021.~~2022. Our overall ability to effectively fund our operations through debt issuances remained sufficient. Investor demand for System debt was robust in the first ~~six~~three months of ~~2021,~~2022, as investors continued to prefer short-term, high-quality money market instruments. We believe the possibility of a liquidity or funding crisis in the System that would impair our ability to participate, on a cost-effective basis, in issuances of debt, service outstanding debt, maintain adequate capitalization, or pay competitive dividends is remote.

The System works collectively to manage and monitor the System-wide liquidity and funding risks. Liquidity risk includes the risk that the System could have difficulty rolling over short-term Obligations when market conditions change, also called refinancing risk. The System has a large reliance on short-term funding; therefore, it has a sharp focus on managing liquidity risk to very low levels. As shown on the unaudited Statements of Cash Flows, in the first ~~six~~three months of ~~2021,~~2022, our portion of the System's debt issuances totaled ~~$99.6~~$69.6 billion for Discount Notes and ~~$19.8~~$22.0 billion for Bonds. Access to short-term debt markets has been reliable because investors, driven by liquidity preferences and risk aversion, have sought the System’s short-term debt, which has resulted in strong demand for debt maturing in one year or less.

See the Notes to Unaudited Financial Statements for more detailed information regarding maturities of certain financial assets and liabilities which are instrumental in determining the amount of liquidity risk. In addition to contractual maturities, other assumptions regarding cash flows such as estimated prepayments, embedded call optionality, and scheduled amortization are considered when managing liquidity risks.

Liquidity Management and Regulatory Requirements

We manage liquidity risk by ensuring compliance with our regulatory liquidity requirements and regularly monitoring other metrics.

The Finance Agency establishes the expectations with respect to the maintenance of sufficient liquidity without access to the capital markets for a specified number of days, which was set as a period of between 10 to 30 calendar days in the base case. Under these expectations, all Advance maturities are assumed to renew, unless the Advances relate to former members who are ineligible to borrow new Advances. The maintenance of sufficient liquidity is intended to provide additional assurance that we can continue to provide Advances and Letters of Credit to members over an extended period without access to the capital markets. As of ~~June 30, 2021,~~March 31, 2022, our days of positive daily cash balances were within these expectations.

The Finance Agency also provides guidance related to asset/liability maturity funding gap limits. Funding gap metrics measure the difference between assets and liabilities that are scheduled to mature during a specified period of time and are expressed as a percentage of total assets. Although subject to change depending on conditions in the financial markets, the current regulatory requirement for funding gaps is between -10 percent to -20 percent for the three-month maturity horizon and is between -25 percent to -35 percent for the one-year maturity horizon. As of ~~June 30, 2021,~~March 31, 2022, we were operating within those limits.

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To support our member deposits, we also must meet a statutory deposit reserve requirement. The sum of our investments in obligations of the United States, deposits in eligible banks or trust companies, and Advances with a final maturity not exceeding five years must equal or exceed the current amount of member deposits. The following table presents the components of this liquidity requirement.

(In millions) June 30, 2021 December 31, 2020
Deposit Reserve Requirement
Total Eligible Deposit Reserves $ 35,680 $ 37,185
Total Member Deposits (1,336) (1,327)
Excess Deposit Reserves $ 34,344 $ 35,858

~~Off-Balance Sheet Arrangements~~

~~The following table summarizes our off-balance sheet items at June 30, 2021. For more information, see Note 15 of the Notes to Unaudited Financial Statements.~~

(In millions) < 1 year 1 < 3 years 3 < 5 years > 5 years Total
Off-balance sheet items (1)

Standby Letters of Credit $ 33,933 $ 1,165 $ 68 $ — $ 35,166
Standby bond purchase agreements 16 15 — — 31
Consolidated Obligations traded, not yet settled 100 — 425 75 600
Total off-balance sheet items $ 34,049 $ 1,180 $ 493 $ 75 $ 35,797

~~(1)Represents notional amount of off-balance sheet obligations.~~


(In millions)	March 31, 2022		December 31, 2021
Deposit Reserve Requirement
Total Eligible Deposit Reserves	$	48,917	$	35,230
Total Member Deposits	(1,510)		(1,416)
Excess Deposit Reserves	$	47,407	$	33,814

Member Concentration Risk

We regularly assess concentration risks from business activity. We believe that the concentration of Advance activity is consistent with our risk management philosophy, and the impact of borrower concentration on market risk, credit risk, and operational risk, after considering mitigating controls, is minimal.

Operational Risks

There were no material developments regarding our operational risk exposure during the first ~~six~~three months of ~~2021.~~2022.

CRITICAL ACCOUNTING POLICIES AND ESTIMATES

There have been no material changes in the first ~~six~~three months of ~~2021~~2022 to our critical accounting policies and estimates. Our critical accounting policies and estimates are described in detail in our ~~2020~~2021 Annual Report on Form 10-K.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Information required by this Item is set forth under the caption “Quantitative and Qualitative Disclosures About Risk Management” in Part I, Item 2, of this Report.

Item 4. Controls and Procedures.

DISCLOSURE CONTROLS AND PROCEDURES

~~As of June 30, 2021, the~~The FHLB's management, including its principal executive officer and principal financial officer, ~~evaluated~~evaluate the effectiveness of ~~our~~the FHLB's disclosure controls and procedures as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, these two officers each concluded that, as of ~~June 30, 2021,~~March 31, 2022, the FHLB maintained effective disclosure controls and procedures designed to ensure that information required to be disclosed in the reports that it files under the Exchange Act is (1) accumulated and communicated to management as appropriate to allow timely

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decisions regarding disclosure and (2) recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.

CHANGES IN INTERNAL CONTROL OVER FINANCIAL REPORTING

~~As of June 30, 2021, the~~The FHLB's management, including its principal executive officer and principal financial officer, ~~evaluated~~evaluate the FHLB's internal control over financial reporting. Based upon that evaluation, these two officers each concluded that there were no changes in the FHLB's internal control over financial reporting that occurred during the quarter ended ~~June 30, 2021~~March 31, 2022 that materially affected, or are reasonably likely to materially affect, the FHLB's internal control over financial reporting.

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PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

Information regarding legal proceedings is set forth in Note 1513 - Commitments and Contingencies in Part I, Item I,1, of this Report.

Item 1A. Risk Factors.

For a discussion of our risk factors, see Part I, Item 1A. "Risk Factors" in our ~~2020~~2021 Annual Report on Form 10-K. There have been no material changes from the risk factors in our ~~2020~~2021 Annual Report on Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

None.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

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Item 6. Exhibits.

Exhibit

Number (1)

Description of exhibit

Document filed or
furnished, as indicated below

4.1

Capital Plan, effective April 18, 2022

Filed Herewith

31.1

Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer

Filed Herewith

31.2

Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer

Filed Herewith

Section 1350 Certifications

Furnished Herewith

101.INS

XBRL Instance Document

The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document

101.SCH

XBRL Taxonomy Extension Schema Document

Filed Herewith

101.CAL

XBRL Taxonomy Extension Calculation Linkbase Document

Filed Herewith

101.LAB

XBRL Taxonomy Extension Label Linkbase Document

Filed Herewith

101.PRE

XBRL Taxonomy Extension Presentation Linkbase Document

Filed Herewith

101.DEF

XBRL Taxonomy Extension Definition Linkbase Document

Filed Herewith

104

Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)

Filed Herewith

(1) Numbers coincide with Item 601 of Regulation S-K.

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Table of Contents

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, as of the 5th day of ~~August 2021.~~May 2022.

FEDERAL HOME LOAN BANK OF CINCINNATI

(Registrant)


By:			/s/ Andrew S. Howell
			Andrew S. Howell
			President and Chief Executive Officer
			(principal executive officer)

By:			/s/ Stephen J. Sponaugle
			Stephen J. Sponaugle
			Executive Vice President - Chief Financial Officer
			(principal financial officer)

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	Six Months Ended June 30, 2021
	Advances		Available-for-sale Securities		Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income	$	72,531	$	1,679	$	(182,775)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements	$	(60,695)	$	(3,708)	$	520
Gain (loss) on derivatives	146,420		4,716		(826)
Gain (loss) on hedged items	(145,802)		(4,479)		815
Effect on net interest income	$	(60,077)	$	(3,471)	$	509



	Six Months Ended June 30, 2020
	Advances		Available-for-Sale Securities		Consolidated Bonds
Total interest income (expense) recorded in the Statements of Income	$	330,604	$	4,015	$	(315,795)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements	$	(20,957)	$	(798)	$	813
Gain (loss) on derivatives	(411,919)		(12,202)		2,540
Gain (loss) on hedged items	400,200		12,013		(2,443)
Effect on net interest income	$	(32,676)	$	(987)	$	910


	June 30, 2021		December 31, 2020
Interest-bearing:
Demand and overnight	$	1,236,705	$	1,190,508
Term	85,150		123,675
Other	14,565		13,019
Total interest-bearing deposits	$	1,336,420	$	1,327,202


	Book Value		Principal Amount		Weighted Average Interest Rate (1)
June 30, 2021	$	21,180,119	$	21,180,728	0.02	%
December 31, 2020	$	27,500,244	$	27,502,730	0.11	%


	Three Months Ended June 30,
	Defined Benefit Retirement Plan				Postretirement Benefits Plan
	2021		2020		2021		2020
Net Periodic Benefit Cost
Service cost	$	326	$	290	$	2	$	2
Interest cost	274		331		29		35

Amortization of net loss	663		581		13		0
Net periodic benefit cost	$	1,263	$	1,202	$	44	$	37

	Six Months Ended June 30,
	Defined Benefit Retirement Plan				Postretirement Benefits Plan
	2021		2020		2021		2020
Net Periodic Benefit Cost
Service cost	$	652	$	565	$	4	$	4
Interest cost	548		662		58		71

Amortization of net loss	1,326		1,144		26		0
Net periodic benefit cost	$	2,526	$	2,371	$	88	$	75



	Ending Balances						Average Balances
	June 30,				December 31,		Six Months Ended June 30,				Year Ended December 31,
(In millions)	2021		2020		2020		2021		2020		2020
Mission Asset Activity:
Advances (principal)	$	23,378	$	48,407	$	25,007	$	24,836	$	52,515	$	42,917
MPP:
Mortgage loans held for portfolio (principal)	7,531		11,424		9,316		8,393		11,584		10,995
Mandatory Delivery Contracts (notional)	513		133		137		141		539		338
Total MPP	8,044		11,557		9,453		8,534		12,123		11,333
Letters of Credit (notional)	35,166		22,381		28,812		33,630		17,102		20,141
Total Mission Asset Activity	$	66,588	$	82,345	$	63,272	$	67,000	$	81,740	$	74,391


(In millions)	< 1 year		1 < 3 years		3 < 5 years		> 5 years		Total
Off-balance sheet items (1)

Standby Letters of Credit	$	33,933	$	1,165	$	68	$	—	$	35,166
Standby bond purchase agreements	16		15		—		—		31
Consolidated Obligations traded, not yet settled	100		—		425		75		600
Total off-balance sheet items	$	34,049	$	1,180	$	493	$	75	$	35,797