UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
––––––––––––––––––––––––––––––––––––––––––––––––––––
xQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2017
OR
oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from __________ to __________

Commission File Number: 000-51402
––––––––––––––––––––––––––––––––––––––––––––––––––––––––––
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2023
OR
☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM ________ TO ________ .
Commission file number: 000-51402
FEDERAL HOME LOAN BANK OF BOSTON
(Exact name of registrant as specified in its charter)
Federally chartered corporation
of the United States
04-6002575
(State or other jurisdiction of incorporation or organization)
04-6002575
(I.R.S. employer identification number)
800 Boylston Street,
BostonMA
02199
(Address of principal executive offices)
02199
(Zip code)
(617) 292-9600
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x    YesNo o No
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x    YesNo o No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large"large accelerated filer,"filer", "accelerated filer,”filer", "smaller reporting company,"company" and emerging"emerging growth company" in Rule 12b-2 of the Exchange Act.
(Check one):
Large accelerated filer o
Accelerated filer o
Non-accelerated filerx
(Do not check if a smaller reporting company)
Smaller reporting company o
☐
Emerging growth companyo☐

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

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

Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.
  Shares outstanding as of October 31, 2023
 (in thousands)
Class B Stock, par value$100 20,298




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





Federal Home Loan Bank of Boston
Form 10-Q
Table of Contents


3
4
Statements of Comprehensive Income (Loss)
9
Note 3 — Recently Issued and Adopted Accounting Guidance
12
Note 6 — Held-to-Maturity Securities
14
Note 7 — Other-Than-Temporary Impairment
16
Note 8 — Advances
18
Note 9 — Mortgage Loans Held for Portfolio
20
Note 116 — Derivatives and Hedging Activities 






2
Table of Contents


PART I.I FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS
FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CONDITION
(dollars and shares in thousands, except par value)
(unaudited)

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CONDITION
(dollars and shares in thousands, except par value)
(unaudited)

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CONDITION
(dollars and shares in thousands, except par value)
(unaudited)
September 30, 2017 December 31, 2016 September 30, 2023December 31, 2022
ASSETS   ASSETS
Cash and due from banks$31,774
 $520,031
Cash and due from banks$318,961 $7,593 
Interest-bearing deposits225,012
 278
Interest-bearing deposits1,683,223 1,485,290 
Securities purchased under agreements to resell2,999,000
 5,999,000
Securities purchased under agreements to resell500,000 — 
Federal funds sold6,250,000
 2,700,000
Federal funds sold2,440,000 2,706,000 
Investment securities:   
Investment securities: 
Trading securities509,463
 612,622
Trading securities1,544 1,507 
Available-for-sale securities - includes $1,630 and $7,968 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged7,559,111
 6,588,664
Held-to-maturity securities - includes $7,021 and $23,618 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged (a)1,798,011
 2,130,767
Available-for-sale securities (amortized cost of $14,427,542 and $13,977,197 at September 30, 2023, and December 31, 2022, respectively)Available-for-sale securities (amortized cost of $14,427,542 and $13,977,197 at September 30, 2023, and December 31, 2022, respectively)14,028,727 13,626,916 
Held-to-maturity securities (a)Held-to-maturity securities (a)83,052 99,068 
Total investment securities9,866,585
 9,332,053
Total investment securities14,113,323 13,727,491 
Advances37,467,404
 39,099,339
Advances40,130,845 41,599,581 
Mortgage loans held for portfolio, net of allowance for credit losses of $500 and $650 at September 30, 2017, and December 31, 2016, respectively3,942,776
 3,693,894
Mortgage loans held for portfolio, net of allowance for credit losses of $2,000 and $1,900 at September 30, 2023, and December 31, 2022, respectivelyMortgage loans held for portfolio, net of allowance for credit losses of $2,000 and $1,900 at September 30, 2023, and December 31, 2022, respectively2,940,189 2,758,429 
Accrued interest receivable84,886
 84,653
Accrued interest receivable162,737 134,268 
Premises, software, and equipment, net5,999
 5,211
Derivative assets, net48,163
 61,598
Derivative assets, net379,887 430,744 
Other assets53,856
 49,529
Other assets78,238 48,153 
Total Assets$60,975,455
 $61,545,586
Total Assets$62,747,403 $62,897,549 
LIABILITIES 
  
LIABILITIES  
Deposits   Deposits
Interest-bearing$465,776
 $444,897
Interest-bearing$1,126,003 $634,502 
Non-interest-bearing26,855
 37,266
Non-interest-bearing24,503 20,985 
Total deposits492,631
 482,163
Total deposits1,150,506 655,487 
Consolidated obligations (COs):   
Consolidated obligations (COs): 
Bonds28,492,595
 27,171,434
Bonds37,363,959 31,565,543 
Discount notes28,047,762
 30,053,964
Discount notes20,337,099 26,975,260 
Total consolidated obligations56,540,357
 57,225,398
Total consolidated obligations57,701,058 58,540,803 
Mandatorily redeemable capital stock36,042
 32,687
Mandatorily redeemable capital stock6,143 10,290 
Accrued interest payable100,148
 80,822
Accrued interest payable271,335 130,515 
Affordable Housing Program (AHP) payable77,329
 81,627
Affordable Housing Program (AHP) payable85,052 76,622 
Derivative liabilities, net309,675
 357,876
Derivative liabilities, net1,705 25,640 
Other liabilities191,657
 40,235
Other liabilities71,815 42,871 
Total liabilities57,747,839
 58,300,808
Total liabilities59,287,614 59,482,228 
Commitments and contingencies (Note 18)

 

Commitments and contingencies (Note 13)
Commitments and contingencies (Note 13)
CAPITAL 
  
CAPITAL  
Capital stock – Class B – putable ($100 par value), 22,726 shares and 24,113 shares issued and outstanding at September 30, 2017, and December 31, 2016, respectively2,272,648
 2,411,306
Capital stock – Class B – putable ($100 par value), 20,071 shares and 20,312 shares issued and outstanding at September 30, 2023, and December 31, 2022, respectivelyCapital stock – Class B – putable ($100 par value), 20,071 shares and 20,312 shares issued and outstanding at September 30, 2023, and December 31, 2022, respectively2,007,059 2,031,178 
Retained earnings:   Retained earnings:
Unrestricted1,011,532
 987,711
Unrestricted1,338,335 1,290,873 
Restricted253,750
 229,275
Restricted440,860 399,695 
Total retained earnings1,265,282
 1,216,986
Total retained earnings1,779,195 1,690,568 
Accumulated other comprehensive loss(310,314) (383,514)Accumulated other comprehensive loss(326,465)(306,425)
Total capital3,227,616
 3,244,778
Total capital3,459,789 3,415,321 
Total Liabilities and Capital$60,975,455
 $61,545,586
Total Liabilities and Capital$62,747,403 $62,897,549 

(a)    Fair values of held-to-maturity securities were $2,076,570$82,208 and $2,372,290$98,591 at September 30, 2017,2023, and December 31, 2016,2022, respectively.

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


3
Table of Contents


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

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

FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF OPERATIONS
(dollars in thousands)
(unaudited)
For the Three Months Ended September 30, For the Nine Months Ended September 30,For the Three Months Ended
 September 30,		For the Nine Months Ended
 September 30,
2017 2016 2017 20162023202220232022
INTEREST INCOME       INTEREST INCOME
Advances$136,260
 $84,830
 $370,579
 $244,060
Advances$486,508 $180,826 $1,587,597 $284,096 
Prepayment fees on advances, net202
 (35) 496
 2,897
Prepayment fees on advances, net336 3 784 3,281 
Interest-bearing depositsInterest-bearing deposits38,562 9,138 106,064 11,667 
Securities purchased under agreements to resell8,074
 2,697
 18,822
 8,603
Securities purchased under agreements to resell28,450 11,683 86,655 20,963 
Federal funds sold16,622
 5,200
 39,614
 15,992
Federal funds sold57,936 28,694 148,781 36,266 
Investment securities:       Investment securities:
Trading securities2,767
 2,182
 8,077
 6,623
Trading securities18 17 53 568 
Available-for-sale securities30,625
 28,452
 78,161
 76,767
Available-for-sale securities214,392 109,661 590,767 216,799 
Held-to-maturity securities19,754
 21,423
 60,129
 65,811
Held-to-maturity securities1,123 864 3,311 2,143 
Prepayment fees on investments42
 85
 123
 416
Total investment securities53,188
 52,142
 146,490
 149,617
Total investment securities215,533 110,542 594,131 219,510 
Mortgage loans held for portfolio31,656
 29,874
 92,592
 90,856
Mortgage loans held for portfolio24,004 21,323 66,904 64,270 
Other822
 171
 1,549
 414
Other174 34 605 34 
Total interest income246,824
 174,879
 670,142
 512,439
Total interest income851,503 362,243 2,591,521 640,087 
INTEREST EXPENSE       INTEREST EXPENSE  
Consolidated obligations:       Consolidated obligations:
Bonds109,052
 86,574
 311,395
 267,214
Bonds477,389 186,249 1,349,479 308,391 
Discount notes65,120
 23,011
 157,767
 68,287
Discount notes258,516 90,096 920,041 116,812 
Total consolidated obligations174,172
 109,585
 469,162
 335,501
Total consolidated obligations735,905 276,345 2,269,520 425,203 
Deposits1,144
 180
 2,434
 441
Deposits11,348 2,144 25,785 2,492 
Mandatorily redeemable capital stock399
 334
 1,105
 1,032
Mandatorily redeemable capital stock120 130 416 296 
Other borrowings—
 1
 8
 3
Other borrowings1 4 123 317 
Total interest expense175,715
 110,100
 472,709
 336,977
Total interest expense747,374 278,623 2,295,844 428,308 
NET INTEREST INCOME71,109
 64,779
 197,433
 175,462
NET INTEREST INCOME104,129 83,620 295,677 211,779 
Provision (reduction of provision) for credit losses28
 (94) (148) (194)
NET INTEREST INCOME AFTER PROVISION (REDUCTION OF PROVISION) FOR CREDIT LOSSES71,081
 64,873
 197,581
 175,656
(Reduction of) provision for credit losses(Reduction of) provision for credit losses(8)500 85 301 
NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSESNET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES104,137 83,120 295,592 211,478 
OTHER INCOME (LOSS)       OTHER INCOME (LOSS)   
Total other-than-temporary impairment losses on investment securities(12) (568) (102) (1,653)
Net amount of impairment losses reclassified (from) to accumulated other comprehensive loss(420) 197
 (1,316) (1,068)
Net other-than-temporary impairment losses on investment securities, credit portion(432) (371) (1,418) (2,721)
Litigation settlements—
 —
 —
 19,584
Service feesService fees3,418 3,862 10,626 10,357 
Loss on early extinguishment of debt—
 (184) —
 (1,484)Loss on early extinguishment of debt— — — (432)
Service fees2,228
 1,948
 6,362
 5,850
Net unrealized losses on trading securities(1,591) (2,849) (3,857) (892)
Net losses on derivatives and hedging activities(6) (1,922) (388) (11,120)
Other397
 (65) 358
 (203)
Total other income (loss)596
 (3,443) 1,057
 9,014
Net (losses) gains on trading securitiesNet (losses) gains on trading securities(12)120 37 (767)
Net (losses) gains on derivativesNet (losses) gains on derivatives(731)51 (1,080)(736)
Other, netOther, net(608)257 488 752 
Total other incomeTotal other income2,067 4,290 10,071 9,174 
OTHER EXPENSE       OTHER EXPENSE   
Compensation and benefits11,463
 10,396
 32,120
 30,746
Compensation and benefits11,102 11,438 33,060 33,450 
Other operating expenses5,749
 5,792
 17,704
 16,939
Other operating expenses7,577 5,962 21,454 18,630 
Federal Housing Finance Agency (the FHFA)934
 819
 2,870
 2,640
Federal Housing Finance Agency (the FHFA)1,653 1,015 4,958 3,118 
Office of Finance734
 732
 2,321
 2,274
Office of Finance1,112 903 3,180 2,938 
AHP voluntary contributionAHP voluntary contribution— (2,329)2,000 11,651 
Discretionary housing and community investment programsDiscretionary housing and community investment programs6,105 2,621 9,357 4,356 
Other2,092
 3,034
 7,528
 5,796
Other790 1,111 2,917 3,318 
Total other expense20,972
 20,773
 62,543
 58,395
Total other expense28,339 20,721 76,926 77,461 
INCOME BEFORE ASSESSMENTS50,705
 40,657
 136,095
 126,275
INCOME BEFORE ASSESSMENTS77,865 66,689 228,737 143,191 
AHP5,110
 4,099
 13,720
 12,731
AHP assessmentsAHP assessments7,798 6,682 22,915 14,349 
NET INCOME$45,595
 $36,558
 $122,375
 $113,544
NET INCOME$70,067 $60,007 $205,822 $128,842 
 

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

4
Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands)
(unaudited)
For the Three Months Ended
 September 30,		For the Nine Months Ended
 September 30,
2023202220232022
Net income$70,067 $60,007 $205,822 $128,842 
Other comprehensive income:
Net unrealized losses on available-for-sale securities(58,738)(54,042)(48,534)(346,076)
Net unrealized gains relating to hedging activities24,080 26,613 28,871 73,746 
Pension and postretirement benefits(122)(237)(377)(712)
Total other comprehensive loss(34,780)(27,666)(20,040)(273,042)
Comprehensive income (loss)$35,287 $32,341 $185,782 $(144,200)
FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF COMPREHENSIVE INCOME
(dollars in thousands)
(unaudited)

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

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

5
Table of Contents


FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CAPITAL
THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2023 and 2022
(dollars and shares in thousands)
(unaudited)

 Capital Stock Class B – PutableRetained EarningsAccumulated Other Comprehensive (Loss) Income
 SharesPar ValueUnrestrictedRestrictedTotalTotal
Capital
BALANCE, JUNE 30, 202215,572 $1,557,243 $1,230,558 $376,620 $1,607,178 $(216,409)$2,948,012 
Comprehensive income (loss)48,006 12,001 60,007 (27,666)32,341 
Proceeds from issuance of capital stock9,438 943,872 943,872 
Repurchase of capital stock(7,833)(783,367)(783,367)
Cash dividends on capital stock  (11,372)(11,372) (11,372)
BALANCE, SEPTEMBER 30, 202217,177 $1,717,748 $1,267,192 $388,621 $1,655,813 $(244,075)$3,129,486 
BALANCE, JUNE 30, 202320,060 $2,006,046 $1,328,645 $426,846 $1,755,491 $(291,685)$3,469,852 
Comprehensive income (loss)56,053 14,014 70,067 (34,780)35,287 
Proceeds from issuance of capital stock13,662 1,366,171 1,366,171 
Repurchase of capital stock(13,633)(1,363,343)(1,363,343)
Shares reclassified to mandatorily redeemable capital stock(18)(1,815)(1,815)
Cash dividends on capital stock(46,363)(46,363)(46,363)
BALANCE, SEPTEMBER 30, 202320,071 $2,007,059 $1,338,335 $440,860 $1,779,195 $(326,465)$3,459,789 

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

        
 Capital Stock Class B – Putable Retained Earnings Accumulated Other Comprehensive Loss  
 Shares Par Value Unrestricted Restricted Total  
Total
Capital
BALANCE, DECEMBER 31, 201523,367
 $2,336,662
 $934,214
 $194,634
 $1,128,848
 $(442,597) $3,022,913
Comprehensive income    90,835
 22,709
 113,544
 81,953
 195,497
Proceeds from sale of capital stock3,143
 314,274
         314,274
Repurchase of capital stock(3,176) (317,634)         (317,634)
Shares reclassified to mandatorily redeemable capital stock(1) (40)         (40)
Cash dividends on capital stock    (62,251)   (62,251)   (62,251)
BALANCE, SEPTEMBER 30, 201623,333
 $2,333,262
 $962,798
 $217,343
 $1,180,141
 $(360,644) $3,152,759
              
BALANCE, DECEMBER 31, 201624,113
 $2,411,306
 $987,711
 $229,275
 $1,216,986
 $(383,514) $3,244,778
Comprehensive income    97,900
 24,475
 122,375
 73,200
 195,575
Proceeds from sale of capital stock7,314
 731,366
         731,366
Repurchase of capital stock(8,614) (861,354)         (861,354)
Shares reclassified to mandatorily redeemable capital stock(87) (8,670)         (8,670)
Cash dividends on capital stock    (74,079)   (74,079)   (74,079)
BALANCE, SEPTEMBER 30, 201722,726
 $2,272,648
 $1,011,532
 $253,750
 $1,265,282
 $(310,314) $3,227,616

BALANCE, DECEMBER 31, 20219,536 $953,638 $1,179,986 $368,420 $1,548,406 $28,967 $2,531,011 
Comprehensive income (loss)108,641 20,201 128,842 (273,042)(144,200)
Proceeds from issuance of capital stock30,051 3,005,147 3,005,147 
Repurchase of capital stock(22,320)(2,232,076)(2,232,076)
Shares reclassified to mandatorily redeemable capital stock(90)(8,961)(8,961)
Cash dividends on capital stock  (21,435)(21,435) (21,435)
BALANCE, SEPTEMBER 30, 202217,177 $1,717,748 $1,267,192 $388,621 $1,655,813 $(244,075)$3,129,486 
BALANCE, DECEMBER 31, 202220,312 $2,031,178 $1,290,873 $399,695 $1,690,568 $(306,425)$3,415,321 
Comprehensive income (loss)164,657 41,165 205,822 (20,040)185,782 
Proceeds from issuance of capital stock41,289 4,128,863 4,128,863 
Repurchase of capital stock(41,509)(4,150,886)(4,150,886)
Shares reclassified to mandatorily redeemable capital stock(21)(2,096)(2,096)
Cash dividends on capital stock(117,195)(117,195)(117,195)
BALANCE, SEPTEMBER 30, 202320,071 $2,007,059 $1,338,335 $440,860 $1,779,195 $(326,465)$3,459,789 
The accompanying notes are an integral part of these financial statements.





6
Table of Contents



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


For the Nine Months Ended September 30,
 20232022
OPERATING ACTIVITIES  
Net income$205,822 $128,842 
Adjustments to reconcile net income to net cash provided by operating activities: 
Depreciation and amortization/(accretion)19,589 (23,180)
Provision for credit losses85 301 
Net change in derivatives and hedging activities123,290 1,562,144 
Loss on early extinguishment of debt— 432 
Other adjustments, net5,969 3,668 
Net change in: 
Market value of trading securities(37)767 
Accrued interest receivable(28,469)(23,933)
Other assets2,392 6,047 
Accrued interest payable140,876 61,428 
Other liabilities12,025 3,244 
Total adjustments275,720 1,590,918 
Net cash provided by operating activities481,542 1,719,760 
INVESTING ACTIVITIES  
Net change in:  
Interest-bearing deposits(58,730)(1,777,302)
Securities purchased under agreements to resell(500,000)(1,700,000)
Federal funds sold266,000 (3,568,000)
Trading securities:  
Proceeds— 500,000 
Available-for-sale securities:  
Proceeds271,641 483,817 
Purchases(820,961)(2,405,484)
Held-to-maturity securities:  
Proceeds15,898 40,930 
Advances to members:  
Repaid795,065,682 271,274,645 
Originated(793,650,039)(292,836,052)
Mortgage loans held for portfolio:  
Proceeds177,549 366,334 
Purchases(364,048)(75,225)
Other investing activities, net(7,832)(266)
Net cash provided by (used in) investing activities395,160 (29,696,603)
FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CASH FLOWS
(dollars in thousands)
(unaudited)


 For the Nine Months Ended September 30,
 2017 2016
OPERATING ACTIVITIES 
  
Net income$122,375
 $113,544
Adjustments to reconcile net income to net cash provided by operating activities: 
  
Depreciation and amortization(5,690) (23,463)
Reduction of provision for credit losses(148) (194)
Change in net fair-value adjustments on derivatives and hedging activities(10,293) 17,856
Net other-than-temporary impairment losses on investment securities, credit portion1,418
 2,721
Loss on early extinguishment of debt—
 1,484
Other adjustments3,741
 3,207
Net change in: 
  
Market value of trading securities3,857
 892
Accrued interest receivable(238) 7,390
Other assets(1,522) (304)
Accrued interest payable19,326
 11,849
Other liabilities(1,343) (11,614)
Total adjustments9,108
 9,824
Net cash provided by operating activities131,483
 123,368
    
INVESTING ACTIVITIES 
  
Net change in: 
  
Interest-bearing deposits(195,156) (111,135)
Securities purchased under agreements to resell3,000,000
 2,951,000
Federal funds sold(3,550,000) (3,380,000)
Premises, software, and equipment(1,901) (1,638)
Trading securities: 
  
Proceeds717,022
 9,471
Purchases(618,051) (399,155)
Available-for-sale securities: 
  
Proceeds from long-term902,513
 901,082
Purchases of long-term(1,710,033) (1,608,830)
Held-to-maturity securities: 
  
Proceeds from long-term376,797
 425,936
Advances to members: 
  
Proceeds361,435,261
 255,534,514
Disbursements(359,828,724) (256,626,490)
Mortgage loans held for portfolio: 
  
Proceeds352,393
 408,128
Purchases(608,887) (550,511)
Proceeds from sale of foreclosed assets3,239
 4,368
Net cash provided by (used in) investing activities274,473
 (2,443,260)
    
FINANCING ACTIVITIES 
  
Net change in deposits10,348
 127,432
Net payments on derivatives with a financing element(4,100) (10,493)
Net proceeds from issuance of consolidated obligations: 
  

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FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CASH FLOWS — (Continued)
(dollars in thousands)
(unaudited)
For the Nine Months Ended September 30,
20232022
FINANCING ACTIVITIES  
Net change in deposits506,842 54,519 
Net proceeds on derivatives with a financing element36,070 124,667 
Net proceeds from issuance of consolidated obligations:  
Discount notes109,089,082 159,723,604 
Bonds25,246,360 16,290,656 
Payments for maturing and retiring consolidated obligations:  
Discount notes(115,783,630)(140,343,434)
Bonds(19,514,435)(8,781,601)
Payment of financing lease(162)(158)
Proceeds from issuance of capital stock4,128,863 3,005,147 
Payments for repurchase of capital stock(4,150,886)(2,232,076)
Payments for redemption of mandatorily redeemable capital stock(6,243)(12,126)
Cash dividends paid(117,195)(21,435)
Net cash (used in) provided by financing activities(565,334)27,807,763 
Net increase (decrease) in cash and due from banks311,368 (169,080)
Cash and due from banks at beginning of the period7,593 204,993 
Cash and due from banks at end of the period$318,961 $35,913 
Supplemental disclosures:  
Interest paid$2,166,889 $338,038 
AHP payments$13,442 $10,960 
Noncash transfers of mortgage loans held for portfolio to other assets$392 $511 
Noncash net reduction to lease liability and right-of-use assets arising from lease modifications$— $(552)
Discount notes125,580,345
 114,582,795
Bonds7,821,400
 15,435,348
Payments for maturing and retiring consolidated obligations: 
  
Discount notes(127,600,947) (114,339,603)
Bonds(6,491,880) (13,483,496)
Proceeds from issuance of capital stock731,366
 314,274
Payments for redemption of mandatorily redeemable capital stock(5,315) (8,217)
Payments for repurchase of capital stock(861,354) (317,634)
Cash dividends paid(74,076) (62,251)
Net cash (used in) provided by financing activities(894,213) 2,238,155
Net decrease in cash and due from banks(488,257) (81,737)
Cash and due from banks at beginning of the period520,031
 254,218
Cash and due from banks at end of the period$31,774
 $172,481
Supplemental disclosures:   
Interest paid$471,076
 $363,979
AHP payments$16,217
 $12,739
Noncash transfers of mortgage loans held for portfolio to other assets$1,588
 $2,657

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



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

FEDERAL HOME LOAN BANK OF BOSTON

NOTES TO FINANCIAL STATEMENTS

Note 1 — Basis of Presentation

The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. Accordingly, they do not include all of the information and footnotes required by GAAP for complete annual financial statements. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The presentationpreparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2017. The unaudited2023. These interim financial statements do not include all the information and footnotes required by GAAP for complete annual financial statements and accordingly should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2016,2022, filed with the Securities and Exchange Commission (the SEC) on March 24, 201717, 2023 (the 20162022 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston.

Note 2 — Summary of Significant Accounting Policies

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

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

Note 3 — Recently Issued and Adopted Accounting Guidance

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

Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception.
Measurement of the hedged item in a partial-term fair value hedge of interest-rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged.
Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest-rate risk.
For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest-rate.
For a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments, an entity can designate an amount that is not expected to be discontinued as a result of reference rate reform if certain criteria are met. This update also provided a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity that reference a rate affected by prepayments, defaults,reference rate reform and other events affecting the timing and amount of cash flows (the “last-of-layer” method) into a hedging relationship.
An entity can perform subsequent assessments of hedge effectiveness qualitatively in instances where initial quantitative testing is required.
For financial instruments eligible to be designatedthat were classified as a hedged item under the last-of-layer method, a one-time reclassification of prepayable financial instruments from held-to-maturity to available-for-sale at the date of adoption is permitted.

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)



This guidance becomes effective for us for interim and annual periods beginning onbefore January 1, 2019,2020. This standard was effective upon issuance and early adoption is permitted. For all cash flow hedges existing on the date of adoption, this guidance shouldprovisions generally could be applied prospectively from January 1, 2020, through a cumulative-effect adjustmentDecember 31, 2024.

As of June 30, 2023, the Bank had transitioned all remaining outstanding contracts indexed to accumulated other comprehensive income with a corresponding adjustmentLIBOR, such that immediately following June 30, 2023, the U.S. dollar LIBOR rates referenced in these instruments either converted to retained earnings as ofthe secured overnight financing rate (SOFR) or became static and will convert to SOFR at the beginning of the year of adoption.instruments’ next reset period. The amended presentation and disclosure guidance is required only prospectively. We do not intend to adopt this guidance early. We are in the process of evaluating this guidance, and its anticipated effect on our financial condition, results of operations, and cash flows has not yet been determined.

Premium Amortization on Purchased Callable Debt Securities.On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for us for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. We do not intend to adopt this guidance early. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. We currently do not have a significant amount of assets that are in scope to be evaluated under the updated guidance. As such, adoption of this guidance isprovision did not expected to have a material effect on our financial condition, results of operations, or cash flows. See Part II — Item 8 — Financial Statements and Supplementary Data — Note 3 — Recently Issued and Adopted Accounting Guidance in our 2022 Annual Report, for additional information.


Note 3 — Investments
Improving
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, andFederal Funds Sold

As of September 30, 2023, and December 31, 2022, we invested in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received, or whose guarantors have received, a credit rating of triple-B or greater (investment grade) by a nationally recognized statistical rating organization (NRSRO), or the Presentationequivalent. At September 30, 2023, and December 31, 2022, none of Net Periodic Pension Costthese investments were made to counterparties or, if applicable, guaranteed by entities rated below single-A.

Securities purchased under agreements to resell are short-term and Net Periodic Postretirement Benefit Cost. On March 10, 2017,are structured such that they are evaluated daily to determine if the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employers disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for us for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentationmarket value of the service cost componentunderlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an amount of additional securities as collateral or remit an equivalent amount of cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the collateral held as security and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The changes outlined in the guidance will primarily impact the presentation of the income statement, but will not impact net income. As such, adoption of this guidance is not expected to have a material effect oncollateral maintenance provisions with our financial condition, results of operations, or cash flows.

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

The statement of income reflects the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period.
Entities determine theno allowance for credit losses was needed for our securities purchased financial assets withunder agreements to resell at September 30, 2023, and December 31, 2022.

Federal funds sold are unsecured loans that are transacted on an overnight term or short-term basis. FHFA regulations include a more-than-insignificantlimit on the amount of unsecured credit deterioration since origination that are measured at amortized costwe may extend to a counterparty. All investments in a similar mannerinterest-bearing deposits and
9
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federal funds sold outstanding as of September 30, 2023, and December 31, 2022, have been repaid according to other financial assets measured at amortized cost. The initialthe contractual terms. No allowance for credit losses is required to be added to the purchase price.was recorded for these assets at September 30, 2023, and December 31, 2022.
Entities record credit losses relating to available-for-sale
Debt Securities

We invest in debt securities, through an allowance for credit losses. The amendments limit the allowance for credit losses to the amountwhich are classified as either trading, available-for-sale, or held-to-maturity. We are prohibited by which fair value is below amortized cost.
Public entities further disaggregate the current disclosure of credit quality indicatorsFHFA regulations from investing in relation to the amortized cost of financing receivables by the year of origination.

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. We do not intend to adopt the new guidance early. While we are in the process of evaluating this guidance, we expect the adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset. The effect on our financial condition, results of operations, and cash flows will depend upon the composition of our financial assets held at the adoption date as well as the economic conditions and forecasts at that time.

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. Specifically, the updated guidance clarifies what steps are required when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts, which is one of the criteria for bifurcating an embedded derivative. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. We adopted this guidance on January 1, 2017. The adoption of this guidance did not have any effect on our financial condition, results of operations, or cash flows.

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

Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income;
Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments;
Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) on the statement of condition or the accompanying notes to the financial statements; and
Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statement of condition.

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

Note 4 — Trading Securities
Major Security Types. Our trading securities as of September 30, 2017, and December 31, 2016, were (dollars in thousands):
 September 30, 2017 December 31, 2016
U.S. Treasury obligations$309,498
 $399,521
    
Mortgage backed securities (MBS) 
  
U.S. government-guaranteed – single-family7,207
 8,494
Government-sponsored enterprise (GSE)s – single-family440
 768
GSEs – multifamily192,318
 203,839
 199,965
 213,101
Total$509,463
 $612,622


Table 3.1 - Trading Securities by Major Security Type

(dollars in thousands)
 September 30, 2023 December 31, 2022
Corporate bonds$1,544 $1,507 
11
Table of Contents3.2 - Net Gains (Losses) on Trading Securities

(dollars in thousands)

 For the Three Months Ended September 30,For the Nine Months Ended September 30,
 2023202220232022
Net (losses) gains on trading securities held at period end$(12)$120 $37 $(342)
Net losses on trading securities sold or matured during the period— — — (425)
Net (losses) gains on trading securities$(12)$120 $37 $(767)
Net unrealized losses on trading securities for the nine months ended September 30, 2017, and 2016, amounted to $3.9 million and $892,000 for securities held on September 30, 2017, and 2016, respectively.

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

Available-for-sale Securities
Note 5 —
Table 3.3 - Available-for-Sale Securities

by Major Security TypesType
(dollars in thousands)
September 30, 2023
 Amounts Recorded in Accumulated Other Comprehensive Income
 
Amortized
Cost (1)
Unrealized
Gains		 Unrealized
Losses		Fair
 Value
United States (U.S.) Treasury obligations$5,740,516 $1,691 $(10,443)$5,731,764 
State housing-finance-agency obligations (HFA securities)33,670 — (981)32,689 
Supranational institutions343,623 —  (2,824)340,799 
U.S. government-owned corporations233,966 —  (17,916)216,050 
Government-sponsored enterprise (GSE)97,918 —  (3,915)94,003 
 6,449,693 1,691  (36,079)6,415,305 
Mortgage-backed securities (MBS)     
U.S. government guaranteed – single-family17,527 —  (2,952)14,575 
U.S. government guaranteed – multifamily523,615 —  (53,229)470,386 
GSE – single-family1,003,284 130  (80,338)923,076 
GSE – multifamily6,433,423 2,528 (230,566)6,205,385 
 7,977,849 2,658  (367,085)7,613,422 
Total$14,427,542 $4,349  $(403,164)$14,028,727 
10
. Our available-for-sale securities asTable of Contents
September 30, 2017, were (dollars in thousands):

   Amounts Recorded in Accumulated Other Comprehensive Loss  
 
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
State or local housing-finance-agency obligations (HFA securities)$20,470
 $—
 $(1,927) $18,543
Supranational institutions445,886
 —
 (24,394) 421,492
U.S. government-owned corporations317,205
 —
 (30,812) 286,393
GSEs130,269
 —
 (10,236) 120,033
 913,830
 —
 (67,369) 846,461
MBS 
  
  
  
U.S. government guaranteed – single-family104,886
 66
 (2,253) 102,699
U.S. government guaranteed – multifamily470,866
 —
 (2,896) 467,970
GSEs – single-family4,551,950
 5,441
 (29,370) 4,528,021
GSEs – multifamily1,611,949
 2,945
 (934) 1,613,960
 6,739,651
 8,452
 (35,453) 6,712,650
Total$7,653,481
 $8,452
 $(102,822) $7,559,111
_______________________
(1)Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments.

Our available-for-sale securities as of December 31, 2016, were (dollars in thousands):
December 31, 2022
  Amounts Recorded in Accumulated Other Comprehensive Loss    Amounts Recorded in Accumulated Other Comprehensive Income
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
Amortized
Cost (1)
 Unrealized
Gains		 Unrealized
Losses		Fair
 Value
U.S. Treasury obligationsU.S. Treasury obligations$5,732,249 $2,784 $(11,471)$5,723,562 
HFA securities$9,350
 $—
 $(1,204) $8,146
HFA securities34,580 — (1,806)32,774 
Supranational institutions452,021
 —
 (29,401) 422,620
Supranational institutions355,767  33  (5,448)350,352 
U.S. government-owned corporations317,588
 —
 (45,631) 271,957
U.S. government-owned corporations253,490  —  (26,290)227,200 
GSEs130,798
 —
 (13,330) 117,468
GSEGSE104,530  —  (6,864)97,666 
909,757
 —
 (89,566) 820,191
 6,480,616  2,817  (51,879)6,431,554 
MBS 
  
  
  
MBS      
U.S. government guaranteed – single-family127,032
 16
 (2,321) 124,727
U.S. government guaranteed – single-family18,737  —  (2,589)16,148 
U.S. government guaranteed – multifamily565,593
 45
 (2,277) 563,361
U.S. government guaranteed – multifamily531,184 — (54,454)476,730 
GSEs – single-family4,447,803
 1,765
 (45,713) 4,403,855
GSEs – multifamily675,288
 1,242
 —
 676,530
GSE – single-familyGSE – single-family831,304  251  (66,029)765,526 
GSE – multifamilyGSE – multifamily6,115,356  322  (178,720)5,936,958 
5,815,716
 3,068
 (50,311) 5,768,473
 7,496,581  573  (301,792)7,195,362 
Total$6,725,473
 $3,068
 $(139,877) $6,588,664
Total$13,977,197  $3,390  $(353,671)$13,626,916 
_______________________

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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

The following table summarizes our available-for-sale securities with unrealized losses asincludes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable of $42.4 million and $43.1 million at September 30, 2017, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands):
 Less than 12 Months 12 Months or More Total
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
HFA securities$18,543
 $(1,927) $—
 $—
 $18,543
 $(1,927)
Supranational institutions—
 —
 421,492
 (24,394) 421,492
 (24,394)
U.S. government-owned corporations—
 —
 286,393
 (30,812) 286,393
 (30,812)
GSEs—
 —
 120,033
 (10,236) 120,033
 (10,236)
 18,543
 (1,927) 827,918
 (65,442) 846,461
 (67,369)
            
MBS 
  
  
  
  
  
U.S. government guaranteed – single-family75,908
 (2,253) —
 —
 75,908
 (2,253)
U.S. government guaranteed – multifamily293,802
 (1,418) 174,168
 (1,478) 467,970
 (2,896)
GSEs – single-family2,437,249
 (16,871) 779,735
 (12,499) 3,216,984
 (29,370)
GSEs – multifamily962,206
 (934) —
 —
 962,206
 (934)
 3,769,165
 (21,476) 953,903
 (13,977) 4,723,068
 (35,453)
Total temporarily impaired$3,787,708
 $(23,403) $1,781,821

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

$(102,822)

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

 Less than 12 Months 12 Months or More Total
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
HFA securities$8,146
 $(1,204) $—
 $—
 $8,146
 $(1,204)
Supranational institutions—
 —
 422,620
 (29,401) 422,620
 (29,401)
U.S. government-owned corporations—
 —
 271,957
 (45,631) 271,957
 (45,631)
GSEs—
 —
 117,468
 (13,330) 117,468
 (13,330)
 8,146
 (1,204) 812,045
 (88,362) 820,191
 (89,566)
MBS 
  
  
  
  
  
U.S. government guaranteed – single-family31,606
 (4) 90,854
 (2,317) 122,460
 (2,321)
U.S. government guaranteed – multifamily326,126
 (1,261) 165,246
 (1,016) 491,372
 (2,277)
GSEs – single-family3,517,094
 (39,181) 351,331
 (6,532) 3,868,425
 (45,713)
 3,874,826
 (40,446) 607,431
 (9,865) 4,482,257
 (50,311)
Total temporarily impaired$3,882,972
 $(41,650) $1,419,476
 $(98,227) $5,302,448
 $(139,877)


Redemption Terms. The amortized cost and fair value of our available-for-sale securities by contractual maturity at September 30, 2017,2023, and December 31, 2016, were (dollars2022, respectively.

Table 3.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position
(dollars in thousands):
September 30, 2023
 Continuous Unrealized Loss Less than 12 MonthsContinuous Unrealized Loss 12 Months or MoreTotal
 Fair
 Value		Unrealized
 Losses		Fair
 Value		Unrealized
 Losses		Fair
 Value		Unrealized
 Losses
U.S. Treasury obligations$215,268 $(2)$3,195,365 $(10,441)$3,410,633 $(10,443)
HFA securities— — 32,689 (981)32,689 (981)
Supranational institutions94,130 (79)246,669 (2,745)340,799 (2,824)
U.S. government-owned corporations— — 216,050 (17,916)216,050 (17,916)
GSE— — 94,003 (3,915)94,003 (3,915)
309,398 (81)3,784,776 (35,998)4,094,174 (36,079)
MBS      
U.S. government guaranteed – single-family— — 14,575 (2,952)14,575 (2,952)
U.S. government guaranteed – multifamily— — 470,386 (53,229)470,386 (53,229)
GSE – single-family281,380 (5,425)620,020 (74,913)901,400 (80,338)
GSE – multifamily674,905 (2,768)4,748,492 (227,798)5,423,397 (230,566)
956,285 (8,193)5,853,473 (358,892)6,809,758 (367,085)
Total$1,265,683 $(8,274)$9,638,249 $(394,890)$10,903,932 $(403,164)



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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)

December 31, 2022
 Continuous Unrealized Loss Less than 12 MonthsContinuous Unrealized Loss 12 Months or MoreTotal
 Fair
 Value		Unrealized
 Losses		Fair
 Value		Unrealized
 Losses		Fair
 Value		Unrealized
 Losses
U.S. Treasury obligations$2,792,558 $(7,428)$1,077,821 $(4,043)$3,870,379 $(11,471)
HFA securities10,383 (77)22,391 (1,729)32,774 (1,806)
Supranational institutions— — 337,485 (5,448)337,485 (5,448)
U.S. government-owned corporations— — 227,200 (26,290)227,200 (26,290)
GSE— — 97,666 (6,864)97,666 (6,864)
 2,802,941 (7,505)1,762,563 (44,374)4,565,504 (51,879)
MBS      
U.S. government guaranteed – single-family16,148 (2,589)— — 16,148 (2,589)
U.S. government guaranteed – multifamily310,447 (36,177)166,283 (18,277)476,730 (54,454)
GSE – single-family657,378 (52,285)77,892 (13,744)735,270 (66,029)
GSE – multifamily4,516,466 (124,136)1,210,970 (54,584)5,727,436 (178,720)
5,500,439 (215,187)1,455,145 (86,605)6,955,584 (301,792)
Total$8,303,380 $(222,692)$3,217,708 $(130,979)$11,521,088 $(353,671)

Table 3.5 - Available-for-Sale Securities by Contractual Maturity
 September 30, 2017 December 31, 2016
Year of Maturity
Amortized
Cost
 
Fair
 Value
 
Amortized
Cost
 
Fair
 Value
Due in one year or less$—
 $—
 $—
 $—
Due after one year through five years16,950
 15,523
 9,350
 8,146
Due after five years through 10 years449,405
 424,512
 171,589
 161,746
Due after 10 years447,475
 406,426
 728,818
 650,299
 913,830
 846,461
 909,757
 820,191
MBS (1)
6,739,651
 6,712,650
 5,815,716
 5,768,473
Total$7,653,481
 $7,559,111
 $6,725,473
 $6,588,664
(dollars in thousands)
 September 30, 2023 December 31, 2022
Year of MaturityAmortized
Cost		 Fair
 Value		 Amortized
Cost		 Fair
 Value
Due in one year or less$257,205  $257,401  $250,015 $250,198 
Due after one year through five years5,898,783  5,885,730  5,011,292 4,998,056 
Due after five years through 10 years—  —  900,988 897,913 
Due after 10 years293,705  272,174  318,321 285,387 
 6,449,693  6,415,305  6,480,616 6,431,554 
MBS (1)
7,977,849  7,613,422  7,496,581 7,195,362 
Total$14,427,542  $14,028,727  $13,977,197 $13,626,916 
_______________________
(1)
(1)    MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees.

Note 6 — Held-to-Maturity Securities

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

 Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
U.S. agency obligations$1,391
 $—
 $1,391
 $28
 $—
 $1,419
HFA securities157,479
 —
 157,479
 23
 (17,525) 139,977
 158,870
 —
 158,870
 51
 (17,525) 141,396
MBS 
  
  
  
  
  
U.S. government guaranteed – single-family10,705
 —
 10,705
 233
 —
 10,938
U.S. government guaranteed – multifamily373
 —
 373
 —
 —
 373
GSEs – single-family619,442
 —
 619,442
 12,841
 (147) 632,136
GSEs – multifamily294,039
 —
 294,039
 8,839
 —
 302,878
Private-label – residential871,152
 (166,346) 704,806
 278,651
 (4,195) 979,262
Asset-backed securities (ABS) backed by home equity loans9,899
 (123) 9,776
 280
 (469) 9,587
 1,805,610
 (166,469) 1,639,141
 300,844
 (4,811) 1,935,174
Total$1,964,480
 $(166,469) $1,798,011
 $300,895
 $(22,336) $2,076,570

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value
U.S. agency obligations$2,159
 $—
 $2,159
 $56
 $—
 $2,215
HFA securities162,568
 —
 162,568
 11
 (19,291) 143,288
 164,727
 —
 164,727
 67
 (19,291) 145,503
MBS           
U.S. government guaranteed – single-family12,719
 —
 12,719
 246
 —
 12,965
U.S. government guaranteed – multifamily1,532
 —
 1,532
 —
 —
 1,532
GSEs – single-family812,836
 —
 812,836
 16,881
 (519) 829,198
GSEs – multifamily318,667
 —
 318,667
 11,692
 —
 330,359
Private-label – residential999,149
 (191,804) 807,345
 240,818
 (8,373) 1,039,790
ABS backed by home equity loans13,515
 (574) 12,941
 602
 (600) 12,943
 2,158,418
 (192,378) 1,966,040
 270,239
 (9,492) 2,226,787
Total$2,323,145
 $(192,378) $2,130,767
 $270,306
 $(28,783) $2,372,290


The following table summarizes our held-to-maturity securities with unrealized losses as of September 30, 2017, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands).
 Less than 12 Months 12 Months or More Total
 
Fair
Value
 
Unrealized
Losses
 
Fair
 Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
HFA securities$—
 $—
 $126,190
 $(17,525) $126,190
 $(17,525)
            
MBS         
  
GSEs – single-family17,966
 (12) 18,635
 (135) 36,601
 (147)
Private-label – residential—
 —
 190,124
 (7,644) 190,124
 (7,644)
ABS backed by home equity loans—
 —
 8,480
 (471) 8,480
 (471)
 17,966
 (12) 217,239
 (8,250) 235,205
 (8,262)
Total$17,966
 $(12) $343,429
 $(25,775) $361,395
 $(25,787)

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 Less than 12 Months 12 Months or More Total
 
Fair
Value
 
Unrealized
Losses
 
Fair
 Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
HFA securities$—
 $—
 $140,959
 $(19,291) $140,959
 $(19,291)
            
MBS         
  
GSEs – single-family83,291
 (393) 13,405
 (126) 96,696
 (519)
Private-label – residential16,915
 (128) 397,407
 (28,781) 414,322
 (28,909)
ABS backed by home equity loans—
 —
 11,898
 (720) 11,898
 (720)
 100,206
 (521) 422,710
 (29,627) 522,916
 (30,148)
Total$100,206
 $(521) $563,669
 $(48,918) $663,875
 $(49,439)


Redemption Terms. The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at September 30, 2017, and December 31, 2016, are shown below (dollars in thousands). Expected maturities of some securities and MBS may differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees.
 September 30, 2017 December 31, 2016
Year of Maturity
Amortized
Cost
 
Carrying
Value (1)
 
Fair
Value
 
Amortized
Cost
 
Carrying
Value (1)
 
Fair
Value
Due in one year or less$109
 $109
 $111
 $—
 $—
 $—
Due after one year through five years15,046
 15,046
 15,095
 16,637
 16,637
 16,663
Due after five years through 10 years—
 —
 —
 —
 —
 —
Due after 10 years143,715
 143,715
 126,190
 148,090
 148,090
 128,840
 158,870
 158,870
 141,396
 164,727
 164,727
 145,503
MBS (2)
1,805,610
 1,639,141
 1,935,174
 2,158,418
 1,966,040
 2,226,787
Total$1,964,480
 $1,798,011
 $2,076,570
 $2,323,145
 $2,130,767
 $2,372,290
_______________________
(1)Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss.
(2)MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees.

Note 7 — Other-Than-Temporary Impairment

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

Available-for-Sale Securities

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

Held-to-Maturity Securities

Table 3.6 - Held-to-Maturity Securities by Major Security Type
(dollars in thousands)
September 30, 2023
 
Amortized Cost(1)
Gross Unrecognized Holding GainsGross Unrecognized Holding LossesFair Value
MBS    
U.S. government guaranteed – single-family$3,253 $1 $(3)$3,251 
GSE – single-family79,799 249 (1,091)78,957 
Total$83,052 $250 $(1,094)$82,208 

16
12
Table of Contents
December 31, 2022
 
Amortized Cost(1)
Gross Unrecognized Holding GainsGross Unrecognized Holding LossesFair Value
MBS
U.S. government guaranteed – single-family$3,614 $29 $— $3,643 
GSE – single-family95,454 420 (926)94,948 
Total$99,068 $449 $(926)$98,591 
_______________________
(1)Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable of $387 thousand and $323 thousand at September 30, 2023, and December 31, 2022, respectively.

Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). There were no sales of investment securities during the three months ended September 30, 2022. The following table summarizes the proceeds from sale and gains and losses on sales of securities for the nine months ended September 30, 2022. There were no sales of investment securities during the nine months ended September 30, 2023.

Table 3.7 - Proceeds and Gains (Losses) from Sales of Investment Securities
(dollars in thousands)
For the Nine Months Ended September 30, 2022
Available-for-Sale Securities
Proceeds from sale$142,733 
Amortized cost, net of allowance for credit losses142,735 
Gross realized gains from sale$124 
Gross realized losses from sale(126)
Realized net loss from sale$(2)
FEDERAL HOME LOAN BANK OF BOSTON
Proceeds from saleNOTES TO FINANCIAL STATEMENTS$10,405 
Carrying value(unaudited)10,385 
Gross realized gains from sale$22 
Gross realized loss from sale(2)
Realized net gain from sale$20 
_______________________


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

We have reviewed our investments in HFAevaluate available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. Our available-for-sale and held-to-maturity securities are principally debt securities of GSE or U.S. government-owned corporations, supranational institutions, and state housing finance agency obligations, and MBS issued by Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae) that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At September 30, 2023, and December 31, 2022, all available-for-sale securities and agency MBSheld-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security.

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We evaluate individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). At September 30, 2023, and have determined that allDecember 31, 2022, certain available-for-sale securities were in an unrealized loss position. These losses are temporary. We do notconsidered temporary as we expect to recover the entire amortized cost basis on these available-for-sale investment securities and we neither intend to sell the investmentsthese securities nor isdo we consider it more likely than not that we will be required to sell these securities before the investments beforeanticipated recovery of theeach security's remaining amortized cost basis. Further, we have not experienced any material payment defaults on the instruments.

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

Private-Label Residential MBS and ABS Backed by Home Equity Loans. For those securities for which a credit loss was recognized during the three months ended September 30, 2017, the following table presents a summary of the average projected values over the remaining lives of the securities for the significant inputs used to measure the amountBased on our assessment of the credit loss recognized in earnings, as well as related current credit enhancement. Credit enhancement is defined asworthiness of the percentage of subordinated tranches, over-collateralization, and other credit enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS (dollars in thousands).
    Weighted Average of Significant Inputs 
Weighted Average Current
Credit Enhancement
Private-label MBS by Classification Par Value 
Projected
Prepayment Rates
 
Projected
Default Rates
 
Projected
Loss Severities
 
Alt-A - Private-label residential MBS (1)
 $58,723
 8.7% 32.2% 36.5% 11.8%
_______________________
(1)Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance.

The following table sets forth our securitiesissuers or guarantors, no allowance for which other-than-temporary impairment credit losses were recognized during the life of the security through was recorded on available-for-sale securities or held-to-maturity securities at September 30, 2017 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.2023, or December 31, 2022.
 September 30, 2017
Other-Than-Temporarily Impaired Investment (1)
Par
Value
 
Amortized
Cost
 
Carrying
Value
 
Fair
Value
Private-label residential MBS – Prime$32,645
 $27,934
 $21,911
 $30,054
Private-label residential MBS – Alt-A976,435
 722,033
 561,711
 832,077
ABS backed by home equity loans – Subprime1,230
 995
 872
 1,153
Total other-than-temporarily impaired securities$1,010,310
 $750,962
 $584,494
 $863,284

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

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 For the Three Months Ended September 30, For the Nine Months Ended September 30,
 2017 2016 2017 2016
Balance at beginning of period$468,706
 $516,922
 $490,404
 $533,888
Additions:       
Credit losses for which other-than-temporary impairment was not previously recognized—
 6
 —
 6
Additional credit losses for which an other-than-temporary impairment charge was previously recognized(1)
432
 365
 1,418
 2,715
Reductions:       
Securities matured during the period(2)
—
 —
 (5,565) —
Increase in cash flows expected to be collected which are recognized over the remaining life of the security(3)
(8,356) (9,613) (25,475) (28,929)
Balance at end of period$460,782
 $507,680
 $460,782
 $507,680
_______________________
(1)
For the three months ended September 30, 2017 and 2016, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2017 and 2016, respectively. For the nine months ended September 30, 2017 and 2016, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2017 and 2016, respectively.
(2)Represents reductions related to securities having reached final maturity during the period and, therefore, are no longer held by us at the end of the period.
(3)Represents amounts accreted as interest income during the current period.

Note 84 — Advances

General Terms. At both September 30, 2017,2023, and December 31, 2016,2022, we had advances outstanding with interest rates ranging from zero0.00 percent to 7.726.23 percent, as summarized below (dollars in thousands).respectively.
 September 30, 2017 December 31, 2016
Year of Contractual MaturityAmount 
Weighted
Average
Rate
 Amount 
Weighted
Average
Rate
Overdrawn demand-deposit accounts$7,177
 1.46% $3,780
 0.92%
Due in one year or less19,459,542
 1.40
 18,783,802
 1.05
Due after one year through two years9,114,490
 1.47
 10,966,780
 1.15
Due after two years through three years3,213,137
 1.76
 2,508,459
 1.67
Due after three years through four years1,564,384
 1.81
 2,177,432
 1.64
Due after four years through five years2,264,058
 1.77
 2,041,269
 1.80
Thereafter1,885,862
 2.16
 2,633,333
 1.70
Total par value37,508,650
 1.52% 39,114,855
 1.23%
Premiums19,382
  
 22,633
  
Discounts(30,511)  
 (25,847)  
Fair value of bifurcated derivatives (1)
812
   (153)  
Hedging adjustments(30,929)  
 (12,149)  
Total$37,467,404
  
 $39,099,339
  

Table 4.1 - Advances Outstanding by Year of Contractual Maturity
(dollars in thousands)

 September 30, 2023December 31, 2022
AmountWeighted
Average
Rate		AmountWeighted
Average
Rate
Overdrawn demand-deposit accounts$5,746 5.77 %$2,000 4.48 %
Due in one year or less17,797,029 5.25 24,563,604 4.26 
Due after one year through two years11,210,412 4.83 10,260,956 4.05 
Due after two years through three years3,459,348 4.04 2,034,070 2.10 
Due after three years through four years2,316,849 4.09 775,951 2.35 
Due after four years through five years3,739,632 3.41 1,775,923 3.76 
Due after five years through fifteen years1,834,926 3.17 2,377,747 2.53 
Thereafter51,191 1.69 40,525 1.41 
Total par value40,415,133 4.69 %41,830,776 3.94 %
Discounts(36,349) (34,257) 
Fair value of bifurcated derivatives (1)
(133)400 
Hedging adjustments(247,806) (197,338) 
Total (2)
$40,130,845  $41,599,581  
_________________________

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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

(1)    At September 30, 2017,2023, and December 31, 2016,2022, we had callablecertain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives.
(2)    Excludes accrued interest receivable of $99.3 million and $72.9 million at September 30, 2023, and December 31, 2022, respectively.

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

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Table 4.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date
(dollars in thousands)
September 30, 2023December 31, 2022
Overdrawn demand-deposit accounts$5,746 $2,000 
Due in one year or less25,783,949 33,919,899 
Due after one year through two years4,162,912 1,718,681 
Due after two years through three years3,121,848 1,986,570 
Due after three years through four years1,733,229 711,351 
Due after four years through five years3,721,332 1,078,603 
Due after five years through fifteen years1,834,926 2,373,147 
Thereafter51,191 40,525 
Total par value$40,415,133 $41,830,776 

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

Table 4.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date
(dollars in thousands)
September 30, 2023December 31, 2022
Overdrawn demand-deposit accounts$5,746 $2,000 
Due in one year or less22,604,200 25,751,204 
Due after one year through two years11,126,412 10,525,456 
Due after two years through three years2,448,278 2,000,070 
Due after three years through four years1,581,348 750,951 
Due after four years through five years1,830,132 1,184,423 
Due after five years through fifteen years767,826 1,576,147 
Thereafter51,191 40,525 
Total par value$40,415,133 $41,830,776 

Table 4.4 - Advances by Current Interest Rate Terms
(dollars in thousands)
September 30, 2023 December 31, 2022
Fixed-rate$31,612,192 $31,976,911 
Variable-rate8,802,941 9,853,865 
Total par value$40,415,133  $41,830,776 

Credit Risk Exposure and $7.9 billion, respectively.

The following table sets forthSecurity Terms. Our advances are primarily made to member financial institutions, including commercial banks, insurance companies, savings institutions, and credit unions. We manage our advances outstanding bycredit exposure to secured member credit products through an integrated approach that generally includes credit limits for borrowers based on the yearamount and value of contractual maturity or next call dateavailable collateral, ongoing reviews of each borrower's financial condition, and collateral and lending policies that are intended to limit risk of loss while balancing borrowers' needs for callable advances (dollarsa reliable source of funding. For additional information on credit risk exposure and security terms see Part II — Item 8 — Financial Statements and Supplementary Data — Note 6 — Advances in thousands):
Year of Contractual Maturity or Next Call Date (1), Par Value
September 30, 2017 December 31, 2016
Overdrawn demand-deposit accounts$7,177
 $3,780
Due in one year or less25,208,717
 26,447,977
Due after one year through two years3,766,490
 3,693,780
Due after two years through three years3,037,937
 2,508,459
Due after three years through four years1,554,384
 2,002,232
Due after four years through five years2,102,058
 1,891,269
Thereafter1,831,887
 2,567,358
Total par value$37,508,650
 $39,114,855
_______________________
(1)Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

the 2022 Annual Report.

Using a risk-based approach and taking into consideration each borrower's financial strength, we consider the types and level of collateral to be the primary indicator of credit quality on our credit products. At September 30, 2017,2023, and December 31, 2016,2022, we had putable advancesrights to collateral, on a borrower-by-borrower basis, with an estimated value in excess of our outstanding totaling $2.2 billion and $3.4 billion, respectively.extensions of credit.

The following table sets forth our advances outstanding by the year of contractual maturity or next put date for putable advances (dollars in thousands):
Year of Contractual Maturity or Next Put Date, Par ValueSeptember 30, 2017 December 31, 2016
Overdrawn demand-deposit accounts$7,177
 $3,780
Due in one year or less20,854,942
 20,788,552
Due after one year through two years9,514,740
 10,946,530
Due after two years through three years3,124,637
 2,455,709
Due after three years through four years1,407,484
 1,974,932
Due after four years through five years1,602,058
 1,736,769
Thereafter997,612
 1,208,583
Total par value$37,508,650
 $39,114,855


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Interest-Rate-Payment Terms. The following table details interest-rate-payment types forWe continue to evaluate and make changes to our outstanding advances (dollars in thousands):
Par value of advancesSeptember 30, 2017 December 31, 2016
Fixed-rate$30,721,798
 $30,526,192
Variable-rate6,786,852
 8,588,663
Total par value$37,508,650
 $39,114,855


Credit-Risk Exposurecollateral guidelines based on market conditions and Security Terms.regulations and related guidance. At September 30, 2017,2023, and December 31, 2016, we had $12.1 billion and $16.2 billion, respectively,2022, none of advances issued to members with at least $1.0 billion of advances outstanding. Theseour advances were madepast due, on nonaccrual status, or considered impaired. In addition, there were no modifications for borrowers experiencing financial difficulties related to five borrowers and six borrowers, respectively, as of advances during the nine months ended September 30, 2017,2023 and December 31, 2016, representing 32.32022.


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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


percent and 41.5 percent, respectively, of total par value of outstanding advances. For information related toBased upon the collateral held as security, our credit riskextension and collateral policies, management's credit analysis, and the repayment history on advances, andwe have not recorded any allowance for credit losses see Note 10 — Allowance for Credit Losses.on our advances at September 30, 2023, and December 31, 2022.


Note 95 — Mortgage Loans Held for Portfolio

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

The following table presents certain characteristics of these investments (dollars in thousands):
 September 30, 2017 December 31, 2016
Real estate 
  
Fixed-rate 15-year single-family mortgages$489,503
 $528,486
Fixed-rate 20- and 30-year single-family mortgages3,382,217
 3,098,476
Premiums70,092
 67,523
Discounts(1,555) (1,696)
Deferred derivative gains, net3,019
 1,755
Total mortgage loans held for portfolio3,943,276
 3,694,544
Less: allowance for credit losses(500) (650)
Total mortgage loans, net of allowance for credit losses$3,942,776
 $3,693,894


Table 5.1 - Mortgage Loans Held for Portfolio
The following table details the par value of mortgage loans held for portfolio (dollars(dollars in thousands):
 September 30, 2023December 31, 2022
Real estate  
Fixed-rate 15-year single-family mortgages$196,873 $224,307 
Fixed-rate 20- and 30-year single-family mortgages2,707,729 2,496,044 
Premiums39,272 40,305 
Discounts(1,962)(1,660)
Deferred derivative gains, net277 1,333 
Total mortgage loans held for portfolio(1)
2,942,189 2,760,329 
Less: allowance for credit losses(2,000)(1,900)
Total mortgage loans, net of allowance for credit losses$2,940,189 $2,758,429 
________________________
 September 30, 2017 December 31, 2016
Conventional mortgage loans$3,500,469
 $3,235,835
Government mortgage loans371,251
 391,127
Total par value$3,871,720
 $3,626,962
(1)    Excludes accrued interest receivable of $16.2 million and $14.3 million at September 30, 2023, and December 31, 2022, respectively.


Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type
See Note 10 — Allowance for Credit Losses for information related to our credit risk from our investments(dollars in mortgage loans andthousands)
 September 30, 2023December 31, 2022
Conventional mortgage loans$2,754,044  $2,557,230 
Government mortgage loans150,558  163,121 
Total par value$2,904,602  $2,720,351 

Credit-Enhancements. Our allowance for credit losses basedfactors in the credit-enhancements associated with conventional mortgage loans under the MPF program. These credit-enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit-enhancement. The credit risk analysis of our conventional loans is performed at the individual master commitment level to determine the credit-enhancements available to recover losses on these investments.

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

Note 10 — Allowance for Credit Losses

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

individual master commitment. For additional information on credit enhancements see Part II — Item 8 — Financial Statements and Supplementary Data — Note 107 — Mortgage Loans Held for Portfolio — Credit-Enhancements in the 2022 Annual Report.

Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor borrower performance. A past due loan is one for which the borrower has failed to make a full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Tables 5.3 and 5.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at September 30, 2023, and December 31, 2022.

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Table 5.3 - Credit Quality Indicator for Conventional Mortgage Loans
(dollars in thousands)
September 30, 2023
Year of Origination
Payment Status at Amortized Cost(1)
Prior to 20192019 to 2023Total
Past due 30-59 days delinquent$8,356 $8,096 $16,452 
Past due 60-89 days delinquent3,419 1,782 5,201 
Past due 90 days or more delinquent7,004 936 7,940 
Total past due18,779 10,814 29,593 
Total current loans1,208,317 1,550,974 2,759,291 
Total conventional mortgage loans$1,227,096 $1,561,788 $2,788,884 
December 31, 2022
Year of Origination
Payment Status at Amortized Cost(1)
Prior to 20182018 to 2022Total
Past due 30-59 days delinquent$9,640 $9,274 $18,914 
Past due 60-89 days delinquent2,844 1,554 4,398 
Past due 90 days or more delinquent9,638 5,444 15,082 
Total past due22,122 16,272 38,394 
Total current loans1,161,468 1,394,290 2,555,758 
Total conventional mortgage loans$1,183,590 $1,410,562 $2,594,152 
_________________________
(1)    Amortized cost excludes accrued interest receivable.

Table 5.4 - Other Delinquency Statistics of Mortgage Loans
(dollars in thousands)
September 30, 2023
Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage LoansTotal
In process of foreclosure (1)
$1,376 $544 $1,920 
Serious delinquency rate (2)
0.28 %1.30 %0.34 %
Past due 90 days or more still accruing interest$— $2,000 $2,000 
Loans on nonaccrual status (3)
$7,940 $— $7,940 
December 31, 2022
Amortized Cost in Conventional Mortgage LoansAmortized Cost in Government Mortgage LoansTotal
In process of foreclosure (1)
$2,898 $891 $3,789 
Serious delinquency rate (2)
0.58 %1.42 %0.63 %
Past due 90 days or more still accruing interest$— $2,359 $2,359 
Loans on nonaccrual status (3)
$15,246 $— $15,246 
_______________________
(1)    Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.
(2)    Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the amortized cost of the total loan portfolio class.
(3)    As of September 30, 2023, and December 31, 2022, $4.0 million and $8.7 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because either these loans were charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.
17
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Allowance for Credit Losses in the 2016 Annual Report.

Secured Member Credit Products

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

Mortgage Loans.
At
September 30, 2017, and December 31, 2016, none of our secured member credit products outstanding were past due, on nonaccrual status, or considered impaired. In addition, there were no troubled debt restructurings related to credit products during the nine monthsConventional Mortgage Loans. ended September 30, 2017 and 2016.

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)



Based upon the collateral held as security,Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other loans are evaluated for expected credit losses on an individual basis. We determine our credit extension and collateral policies, management's credit analysis, and the repayment history on secured member credit products, we have not recorded any allowance for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. We use a discounted cash flow model to project our secured memberexpected losses. We use a third-party model to project cash flows to estimate the expected credit products at September 30, 2017,losses over the life of the loans. The model relies on a number of inputs, such as both current and December 31, 2016. At September 30, 2017,forecasted property values and December 31, 2016, no liabilityinterest rates as well as historical borrower behavior. We incorporate associated credit enhancements and expected recoveries, if any, to reflect andetermine our estimate of expected credit losses.

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

Table 5.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for off-balance-sheet credit exposures was recorded. See Note 18 — Commitmentsthe three and Contingencies for additional information on our off-balance-sheet credit exposure.nine months ended September 30, 2023 and 2022.


For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 —Table 5.5 - Allowance for Credit Losses on Conventional Mortgage Loans
(dollars in the 2016 Annual Report.thousands)
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2023202220232022
Allowance for credit losses (1)
Balance, beginning of period$2,000 $1,500 $1,900 $1,700 
Recoveries (charge offs)8 — 15 (1)
(Reduction of) provision for credit losses(8)500 85 301 
Balance, end of period$2,000 $2,000 $2,000 $2,000 
_________________________
(1)    These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed below under — Government Mortgage Loans Held for Portfolio.

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

BasedThe servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on our assessment of our servicersthese loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees, but in such instances we would have recourse against the servicer for such failure. Due to government guarantees or insurance on our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of September 30, 2017,2023, and December 31, 2016. In addition, these2022. Additionally, government mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met.

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

Conventional Mortgage Loans Held for Portfolio

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

Credit Quality Indicators. Key credit quality indicators for mortgage loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below set forth certain key credit quality indicators for our investments in mortgage loans at September 30, 2017, and December 31, 2016 (dollars in thousands):
 September 30, 2017
  Recorded Investment in Conventional Mortgage Loans  Recorded Investment in Government Mortgage Loans Total
Past due 30-59 days delinquent$24,577
 $12,131
 $36,708
Past due 60-89 days delinquent5,741
 3,190
 8,931
Past due 90 days or more delinquent15,492
 5,121
 20,613
Total past due45,810
 20,442
 66,252
Total current loans3,535,765
 360,928
 3,896,693
Total mortgage loans$3,581,575
 $381,370
 $3,962,945
Other delinquency statistics     
In process of foreclosure, included above (1)
$7,201
 $1,888
 $9,089
Serious delinquency rate (2)
0.45% 1.34% 0.54%
Past due 90 days or more still accruing interest$—
 $5,121
 $5,121
Loans on nonaccrual status (3)
$16,020
 $—
 $16,020
_______________________
(1)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.
(2)Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class.
(3)
Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan.


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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 December 31, 2016
  Recorded Investment in Conventional Mortgage Loans  Recorded Investment in Government Mortgage Loans Total
Past due 30-59 days delinquent$26,757
 $14,878
 $41,635
Past due 60-89 days delinquent5,508
 3,846
 9,354
Past due 90 days or more delinquent16,379
 5,807
 22,186
Total past due48,644
 24,531
 73,175
Total current loans3,262,671
 377,438
 3,640,109
Total mortgage loans$3,311,315
 $401,969
 $3,713,284
Other delinquency statistics     
In process of foreclosure, included above (1)
$7,495
 $1,502
 $8,997
Serious delinquency rate (2)
0.53% 1.44% 0.63%
Past due 90 days or more still accruing interest$—
 $5,807
 $5,807
Loans on nonaccrual status (3)
$16,940
 $—
 $16,940
_______________________
(1)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.
(2)
Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class.
(3)
Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan.

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

Individually Evaluated Impaired Loans. The following tables present the recorded investment, par value and any related allowance for impaired loans individually assessed for impairment at September 30, 2017, and December 31, 2016, and the average recorded investment and interest income recognized on these loans during the three and nine months ended September 30, 2017 and 2016 (dollars in thousands).
  As of September 30, 2017 As of December 31, 2016
  Recorded Investment Par Value Recorded Investment Par Value
Individually evaluated impaired mortgage loans with no related allowance $18,786
 $18,751
 $22,945
 $22,905


"Mortgage Partnership Finance," "MPF," "eMPF" and "MPF Xtra" are registered trademarks of the Federal Home Loan Bank of Chicago.
  For the Three Months Ended September 30,
  2017 2016
  Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized
Individually evaluated impaired mortgage loans with no related allowance $18,645
 $91
 $23,492
 $116


18

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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


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

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

Roll-Forward of Allowance for Credit Losses on Mortgage Loans. The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and nine months ended September 30, 2017 and 2016, as well as the recorded investment in mortgage loans by impairment methodology at September 30, 2017 and 2016 (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance.
 For the Three Months Ended September 30, For the Nine Months Ended September 30,
 2017 2016 2017 2016
Allowance for credit losses       
Balance, beginning of period$500
 $900
 $650
 $1,025
Charge-offs, net of recoveries(28) (6) (2) (31)
Provision (reduction of provision) for credit losses28
 (94) (148) (194)
Balance, end of period$500
 $800
 $500
 $800
Ending balance, individually evaluated for impairment$—
 $—
 $—
 $—
Ending balance, collectively evaluated for impairment$500
 $800
 $500
 $800
Recorded investment, end of period (1)
       
Individually evaluated for impairment$18,786
 $22,950
 $18,786
 $22,950
Collectively evaluated for impairment$3,562,789
 $3,296,946
 $3,562,789
 $3,296,946
_________________________

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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

Note 116 — Derivatives and Hedging Activities

The following table presents the notional amount andTable 6.1 - Fair Value of Derivative Instruments
(dollars in thousands)
September 30, 2023December 31, 2022
 Notional
Amount of
Derivatives		Derivative
Assets		Derivative
Liabilities		Notional
Amount of
Derivatives		Derivative
Assets		Derivative
Liabilities
Derivatives designated as hedging instruments   
Interest-rate swaps$48,129,880 $142,495 $(1,364,439)$38,356,160 $47,000 $(1,394,051)
Forward-start interest-rate swaps1,391,000 — (1,281)1,391,000 756 (40)
Total derivatives designated as hedging instruments49,520,880 142,495 (1,365,720)39,747,160 47,756 (1,394,091)
Derivatives not designated as hedging instruments
Interest-rate swaps95,000 307 — 107,000 1 (226)
CO bond firm commitments— — — 35,000 50 — 
Mortgage-delivery commitments (1)
40,714 18 (180)3,454 47 (2)
Total derivatives not designated as hedging instruments135,714 325 (180)145,454 98 (228)
Total notional amount of derivatives$49,656,594   $39,892,614   
Total derivatives before netting and collateral adjustments 142,820 (1,365,900)47,854 (1,394,319)
Netting adjustments and cash collateral, including related accrued interest (2)
 237,067 1,364,195 382,890 1,368,679 
Derivative assets and derivative liabilities $379,887 $(1,705)$430,744 $(25,640)
_______________________
(1)    Mortgage-delivery commitments are classified as derivatives with changes in fair value of derivatives (excluding fair value adjustments related to variation margin for daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities includerecorded in other income.
(2)    Amounts represent the effect of netting adjustments, cashmaster-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $1.6 billion and variation margin for daily settled contracts as of $1.8 billion at September 30, 2017,2023, and December 31, 2016 (dollars in thousands):
 September 30, 2017 December 31, 2016
 
Notional
Amount of
Derivatives
 
Derivative
Assets
 
Derivative
Liabilities
 Notional
Amount of
Derivatives		 Derivative
Assets		 Derivative
Liabilities
Derivatives designated as hedging instruments 
  
  
      
Interest-rate swaps$14,385,569
 $41,366
 $(341,616) $18,215,809
 $52,715
 $(413,026)
Forward-start interest-rate swaps527,800
 —
 (41,974) 527,800
 —
 (36,250)
Total derivatives designated as hedging instruments14,913,369
 41,366
 (383,590) 18,743,609
 52,715
 (449,276)
            
Derivatives not designated as hedging instruments           
Economic hedges:           
Interest-rate swaps1,206,400
 1,699
 (7,191) 1,199,000
 2,293
 (10,840)
CO bond firm commitments50,000
 56
 —
 —
 —
 —
Mortgage-delivery commitments (1)
62,221
 76
 (110) 22,524
 70
 (171)
Total derivatives not designated as hedging instruments1,318,621
 1,831
 (7,301) 1,221,524
 2,363
 (11,011)
Total notional amount of derivatives$16,231,990
  
  
 $19,965,133
  
  
Total derivatives before netting and collateral adjustments 
 43,197
 (390,891)   55,078
 (460,287)
Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest (2)
 
 4,966
 81,216
   6,520
 102,411
Derivative assets and derivative liabilities 
 $48,163
 $(309,675)   $61,598
 $(357,876)
_______________________
(1)Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income.
(2)
Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $48.5 million and $109.8 million at September 30, 2017, and December 31, 2016,2022, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $731,000 and $850,000 at September 30, 2017, and December 31, 2016, respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017.

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


  For the Three Months Ended September 30, For the Nine Months Ended September 30,
  2017 2016 2017 2016
Derivatives designated as hedging instruments        
Interest-rate swaps $(876) $(3,278) $(2,287) $(8,529)
Forward-start interest-rate swaps (18) (22) 213
 (558)
Total net losses related to derivatives designated as hedging instruments (894) (3,300) (2,074) (9,087)
         
Derivatives not designated as hedging instruments:        
Economic hedges:        
Interest-rate swaps 14
 1,186
 (208) (3,531)
Interest-rate caps or floors —
 (59) —
 (59)
CO bond firm commitments 56
 —
 56
 —
Mortgage-delivery commitments 692
 251
 1,556
 1,557
Total net gains (losses) related to derivatives not designated as hedging instruments 762
 1,378
 1,404
 (2,033)
         
Other(1)
 126
 —
 282
 —
         
Net losses on derivatives and hedging activities $(6) $(1,922) $(388) $(11,120)

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

The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and nine months endedSeptember 30, 2017 and 2016 (dollars in thousands):
 For the Three Months Ended September 30, 2017
 
Gain on
Derivative
 
Loss on
Hedged Item
 
Net Fair-Value
Hedge
Ineffectiveness
 
Effect of
Derivatives on
Net Interest
Income (1)
Hedged Item: 
  
  
  
Advances$9,382
 $(8,881) $501
 $(2,878)
Investments5,007
 (4,503) 504
 (7,879)
COs – bonds2,018
 (3,899) (1,881) 242
Total$16,407
 $(17,283) $(876) $(10,515)


 For the Three Months Ended September 30, 2016
 
Gain/(Loss) on
Derivative
 
Gain/(Loss) on
Hedged Item
 
Net Fair-Value
Hedge
Ineffectiveness
 
Effect of
Derivatives on
Net Interest
Income (1)
Hedged Item: 
  
  
  
Advances$71,032
 $(70,859) $173
 $(22,547)
Investments10,255
 (9,810) 445
 (8,788)
COs – bonds(16,705) 12,809
 (3,896) 6,500
Total$64,582
 $(67,860) $(3,278) $(24,835)

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 For the Nine Months Ended September 30, 2017
 
Gain on
Derivative
 
Loss on
Hedged Item
 
Net Fair-Value
Hedge
Ineffectiveness
 
Effect of
Derivatives on
Net Interest
Income (1)
Hedged Item: 
  
  
  
Advances$19,150
 $(18,780) $370
 $(24,566)
Investments8,412
 (7,047) 1,365
 (24,319)
COs – bonds19,813
 (23,835) (4,022) 6,965
Total$47,375
 $(49,662) $(2,287) $(41,920)

 For the Nine Months Ended September 30, 2016
 
Loss on
Derivative
 
Gain/(Loss) on
Hedged Item
 
Net Fair-Value
Hedge
Ineffectiveness
 
Effect of
Derivatives on
Net Interest
Income (1)
Hedged Item: 
  
  
  
Advances$(23,045) $22,029
 $(1,016) $(78,799)
Investments(66,030) 67,215
 1,185
 (26,682)
COs – bonds(5,874) (2,824) (8,698) 21,730
Total$(94,949) $86,420
 $(8,529) $(83,751)
______________
(1)The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item.

The following table presents the losses recognized in accumulated other comprehensive loss, the losses reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net losses on derivatives and hedging activities in the statement of income for our forward-start interest-rate swaps associated with hedged CO bonds in cash-flow hedge relationships (dollars in thousands).cash flows. Cash collateral received, including accrued interest, was $11.9 million at September 30, 2023.
Derivatives and Hedged Items in Cash Flow Hedging Relationships 
(Losses) Gains Recognized in Other Comprehensive Loss on Derivatives
(Effective Portion)
 
Location of Losses Reclassified
from Accumulated Other Comprehensive Loss into Net Income
(Effective Portion)
 
Losses Reclassified
from Accumulated Other Comprehensive Loss into Net Income
(Effective Portion)
 
(Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities
(Ineffective Portion)
Interest-rate swaps - CO bonds        
For the Three Months Ended September 30, 2017 $(856) Interest expense $(2,158) $(18)
For the Three Months Ended September 30, 2016 1,082
 Interest expense (5,337) (22)
         
For the Nine Months Ended September 30, 2017 (5,937) Interest expense (9,865) 213
For the Nine Months Ended September 30, 2016 (25,688) Interest expense (19,434) (558)


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

Tables 6.2 presents the net gains (losses) on qualifying fair-value hedging relationships.

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Table 6.2 - Net Gains (Losses) on Fair Value Hedging Relationships
(dollars in thousands)
For the Three Months Ended September 30, 2023
AdvancesAvailable-for-sale SecuritiesCO Bonds
Total interest income (expense) presented on the statements of operations$486,508 $214,392 $(477,389)
Gains (losses) on fair value hedging relationships
Changes in fair value:
Derivatives$32,714 $144,001 $(2,046)
Hedged items(32,778)(144,300)3,198 
Net changes in fair value before price alignment interest(64)(299)1,152 
Price alignment interest(1)
(2,771)(15,008)332 
Net interest settlements on derivatives(2)(3)
53,399 125,784 (170,493)
Net gains (losses) on qualifying hedging relationships50,564 110,477 (169,009)
Amortization/accretion of discontinued hedging relationships(366)— (1,463)
Net gains (losses) on fair value hedging relationships recorded in net interest income$50,198 $110,477 $(170,472)

For the Three Months Ended September 30, 2022
AdvancesAvailable-for-sale SecuritiesCO Bonds
Total interest income (expense) presented on the statements of operations$180,826 $109,661 $(186,249)
Gains (losses) on fair value hedging relationships
Changes in fair value:
Derivatives$82,864 $526,136 $(479,252)
Hedged items(81,413)(513,340)479,788 
Net changes in fair value before price alignment interest1,451 12,796 536 
Price alignment interest(1)
(550)(2,913)111 
Net interest settlements on derivatives(2)(3)
4,973 22,216 (40,221)
Net gains (losses) on qualifying hedging relationships5,874 32,099 (39,574)
Amortization/accretion of discontinued hedging relationships(302)— 514 
Net gains (losses) on fair value hedging relationships recorded in net interest income$5,572 $32,099 $(39,060)
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For the Nine Months Ended September 30, 2023
AdvancesAvailable-for-sale SecuritiesCO Bonds
Total interest income (expense) presented on the statements of operations$1,587,597 $590,767 $(1,349,479)
Gains (losses) on fair value hedging relationships
Changes in fair value:
Derivatives$52,677 $120,049 $79,608 
Hedged items(52,407)(123,228)(78,646)
Net changes in fair value before price alignment interest270 (3,179)962 
Price alignment interest(1)
(6,354)(35,365)872 
Net interest settlements on derivatives(2)(3)
125,370 337,838 (468,235)
Net gains (losses) on qualifying hedging relationships119,286 299,294 (466,401)
Amortization/accretion of discontinued hedging relationships(1,349)— (621)
Net gains (losses) on fair value hedging relationships recorded in net interest income$117,937 $299,294 $(467,022)
For the Nine Months Ended September 30, 2022
AdvancesAvailable-for-sale SecuritiesCO Bonds
Total interest income (expense) presented on the statements of operations$284,096 $216,799 $(308,391)
Gains (losses) on fair value hedging relationships
Changes in fair value:
Derivatives$227,105 $1,513,804 $(1,286,773)
Hedged items(223,398)(1,470,385)1,288,014 
Net changes in fair value before price alignment interest3,707 43,419 1,241 
Price alignment interest(1)
(757)(3,913)144 
Net interest settlements on derivatives(2)(3)
(10,158)(36,431)1,619 
Net (losses) gains on qualifying hedging relationships(7,208)3,075 3,004 
Amortization/accretion of discontinued hedging relationships(838)— 1,526 
Net (losses) gains on fair value hedging relationships recorded in net interest income$(8,046)$3,075 $4,530 
_______________________
(1)    Relates to derivatives for which variation margin payments are characterized as daily settled contracts.
(2)    Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.
(3)    Excludes the interest income/expense of the respective hedged items recorded in net interest income.

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

Table 6.3 - Net Gains (Losses) on Cash Flow Hedging Relationships
(dollars in thousands)
For the Three Months Ended September 30,For the Nine Months Ended September 30,
 2023202220232022
Forward-start interest rate swaps - CO Bonds
Losses reclassified from accumulated other comprehensive income into interest expense$(1,130)$(1,390)$(3,374)$(4,283)
Gains recognized in other comprehensive income22,950 25,223 25,497 69,463 
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For the nine months ended September 30, 20172023 and 2016,2022, there were no reclassifications from accumulated other comprehensive lossincome into earnings as a result of the discontinuance of cash-flow hedges because the original forecasted transactions were not expected to occur by the end of the originally specified time period or within a two-month period thereafter. As of September 30, 2017,2023, the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is seveneight years.


As of September 30, 2017,2023, the amount of deferred net losses on derivatives accumulated in other comprehensive lossincome related to cash flow hedges expected to be reclassified to earnings during the next 12 months is $977,000.
$3.4 million.
Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges
(dollars in thousands)
September 30, 2023
Line Item in Statement of Condition
Amortized Cost of Hedged Asset/ Liability(1)
Cumulative Basis Adjustments for Active Hedging Relationships Included in Amortized CostCumulative Basis Adjustments for Discontinued Hedging Relationships Included in Amortized CostCumulative Amount of Fair Value Hedging Basis Adjustments
Advances$8,779,474 $(251,357)$3,551 $(247,806)
Available-for-sale securities11,182,424 (1,313,302)— (1,313,302)
Consolidated obligation bonds25,251,261 (1,304,305)30,126 (1,274,179)
_______________________
(1)    Includes only the amortized cost of hedged items in fair-value hedging relationships.

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

Table 6.5 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows
(dollars in thousands)

Increase (Decrease) on Cash Flow Statement
For the Nine Months Ended September 30,
20232022
Operating activity - net change in derivatives and hedging activities$400,260 $1,624,505 
Financing activity - net proceeds on derivatives with a financing element50,123 155,612 
Total variation margin received on cleared derivatives$450,383 $1,780,117 

Managing Credit Risk on Derivatives. We enter into derivatives that we clear (cleared derivatives) with a DCO,derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under master-master-netting agreements. Derivatives that contain any optionality are not currently eligible for clearing. Accordingly, such derivatives, including the derivatives used to hedge issuance of callable CO bonds, are executed with our uncleared derivatives counterparties.

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


netting agreements. Certain of our uncleared derivatives master-netting agreements contain provisions that require us to post additional collateral with our uncleared derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's Investors ServicesService Inc. (Moody's) or Standard & Poor's Rating ServicePoor’s Financial Services LLC (S&P) to a certain level, we are required to deliver additional collateral on uncleared derivatives in a net liability position.derivatives. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at September 30, 2017,2023, was $328.0 million$1.2 billion for which we had delivered collateral with a post-haircut value of $304.5 million$1.2 billion in accordance with the terms of the master-netting agreements. Securities collateral is subject to valuation haircuts in accordance with the terms of the master-netting arrangements. The following tableTable 6.6 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver in case of anbased on incremental credit rating downgrades at September 30, 20172023.
22
Table of Contents
.

Table 6.6 - Post-Haircut Value of Incremental Collateral to be Delivered as of September 30, 2023
(dollars in thousands)
Post Haircut Value of Incremental Collateral to be Delivered
 as of September 30, 2017
(dollars in thousands)
Ratings Downgrade (1)
  
From To Incremental Collateral
AA+ AA or AA- $8,662
AA or AA- A+, A or A- 8,344
A+, A or A- below A- 24,524
_______________________
Ratings Downgrade(1)
Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used.
FromToIncremental Collateral
AA+AA or AA-$— 
AA-A+, A or A-— 
A-below A-75,700 
_______________________
(1)    Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used.

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

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

For cleared derivatives, the DCO determines initial margin requirements. We clear our trades viaOur clearing members, of the DCOs. The clearing members who act as our agent to the DCOswhich are U.S. Commodity Futures Trading Commission (the CFTC) registeredCommission-registered futures commission merchants. Our clearing membersmerchants, may require us to post margin in excess of DCO requirements based on our credit or other considerations, including but not limited to, credit rating downgrades. We were not required to post any such excess margin by our clearing members based on credit or any other considerations at September 30, 2017.2023.

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


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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


The following tableTable 6.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of September 30, 2017,2023, and December 31, 20162022, which includes cleared and uncleared interest rate swaps, and the fair value of derivatives that are not subject to such netting, (dollars in thousands). Suchwhich includes mortgage delivery commitments and CO bond firm commitments. Derivatives subject to netting includesinclude any related cash collateral received from or pledged to counterpartiescounterparties.

23
Table of Contents
Table 6.7 - Netting of Derivative Assets and variation margin for daily settled contracts.Derivative Liabilities
(dollars in thousands)
September 30, 2023
Derivative Instruments Meeting Netting Requirements
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
Derivative Instruments Not Meeting Netting RequirementsTotal Derivative Assets and Total Derivative Liabilities
Derivative Assets
Interest-rate swaps
Uncleared$140,200 $(129,041)$11,159 
Cleared2,602 366,108 368,710 
Mortgage delivery commitments$18 18 
Total$379,887 
Derivative Liabilities
Interest-rate swaps
Uncleared$(1,348,044)$1,346,519 $(1,525)
Cleared(17,676)17,676 — 
Mortgage delivery commitments$(180)(180)
Total$(1,705)


  September 30, 2017 December 31, 2016
  Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities
Derivatives meeting netting requirements        
Gross recognized amount        
Uncleared derivatives $8,964
 $(335,850) $12,594
 $(405,310)
Cleared derivatives 34,157
 (54,931) 42,414
 (54,806)
Total gross recognized amount 43,121
 (390,781) 55,008
 (460,116)
Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts        
Uncleared derivatives (8,277) 26,285
 (12,028) 47,605
Cleared derivatives 13,243
 54,931
 18,548
 54,806
Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts 4,966
 81,216
 6,520
 102,411
Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts        
Uncleared derivatives 687
 (309,565) 566
 (357,705)
Cleared derivatives 47,400
 —
 60,962
 —
Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 48,087
 (309,565) 61,528
 (357,705)
Derivatives not meeting netting requirements        
Mortgage delivery commitments 76
 (110) 70
 (171)
Total derivative assets and total derivative liabilities        
Uncleared derivatives 687
 (309,565) 566
 (357,705)
Cleared derivatives 47,400
 —
 60,962
 —
Mortgage delivery commitments 76
 (110) 70
 (171)
Total derivative assets and total derivative liabilities presented in the statement of condition 48,163
 (309,675) 61,598
 (357,876)
         
Non-cash collateral received or pledged not offset (1)
        
Can be sold or repledged        
Uncleared derivatives —
 8,715
 —
 30,306
Cannot be sold or repledged        
Uncleared derivatives —
 283,008
 —
 290,444
Total non-cash collateral received or pledged, not offset —
 291,723
 —
 320,750
 Net amount        
Uncleared derivatives 687
 (17,842) 566
 (36,955)
Cleared derivatives 47,400
 —
 60,962
 —
Mortgage delivery commitments 76
 (110) 70
 (171)
Total net amount $48,163
 $(17,952) $61,598
 $(37,126)
December 31, 2022
Derivative Instruments Meeting Netting Requirements
Gross Recognized Amount
Gross Amounts of Netting Adjustments (1)
Derivative Instruments Not Meeting Netting RequirementsTotal Derivative Assets and Total Derivative Liabilities
Derivative Assets
Interest-rate swaps
Uncleared$23,782 $(23,782)$— 
Cleared23,975 406,672 430,647 
CO bond firm commitments$50 50 
Mortgage delivery commitments47 47 
Total$430,744 
Derivative Liabilities
Interest-rate swaps
Uncleared$(1,393,633)$1,367,995 $(25,638)
Cleared(684)684 — 
Mortgage delivery commitments$(2)(2)
Total$(25,640)
_______________________
(1)    Includes gross amounts of netting adjustments and cash collateral.

28
24
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


(1)
Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At September 30, 2017, and December 31, 2016, we had additional net credit exposure of $32,000 and $2.0 million, respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position.

Note 127 — Deposits

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

The following table details interest- and noninterest-bearing deposits (dollars in thousands):
 September 30, 2017 December 31, 2016
Interest-bearing 
  
Demand and overnight$463,622
 $440,731
Other2,154
 4,166
Noninterest-bearing 
  
Other26,855
 37,266
Total deposits$492,631
 $482,163


Table 7.1 - Deposits
(dollars in thousands)
 September 30, 2023 December 31, 2022
Interest-bearing  
Demand and overnight$1,126,003  $632,635 
Other—  1,867 
Noninterest-bearing   
Other24,503  20,985 
Total deposits$1,150,506  $655,487 

Note 138 — Consolidated Obligations

COs -CO Bonds. The following table sets forth the outstanding CO bonds for which we werehave received issuance proceeds and are primarily liable at September 30, 2017, and December 31, 2016, by year of contractual maturity (dollars in thousands):were as follows:
 September 30, 2017 December 31, 2016
Year of Contractual MaturityAmount 
Weighted
Average
Rate (1)
 Amount 
Weighted
Average
Rate (1)
  
  
  
  
Due in one year or less$12,269,090
 1.36% $8,734,955
 1.43%
Due after one year through two years6,396,080
 1.44
 7,752,420
 1.19
Due after two years through three years3,077,000
 1.89
 3,297,120
 1.63
Due after three years through four years1,776,055
 1.72
 1,637,335
 1.87
Due after four years through five years1,938,535
 1.83
 2,574,375
 1.65
Thereafter2,995,650
 2.75
 3,135,745
 2.70
Total par value28,452,410
 1.62% 27,131,950
 1.58%
Premiums94,425
  
 118,145
  
Discounts(14,320)  
 (14,906)  
Hedging adjustments(39,920)  
 (63,755)  
 $28,492,595
  
 $27,171,434
  
_______________________
(1)The CO bonds' weighted-average rate excludes concession fees.

Our CO bonds outstanding at September 30, 2017, and December 31, 2016, included (dollars in thousands):
 September 30, 2017 December 31, 2016
Par value of CO bonds 
  
Noncallable and nonputable$24,469,410
 $22,388,950
Callable3,983,000
 4,743,000
Total par value$28,452,410
 $27,131,950

Table 8.1 - CO Bonds Outstanding by Contractual Maturity
(dollars in thousands)
 September 30, 2023December 31, 2022
Amount 
Weighted
Average
Rate (1)
Amount
Weighted
Average
Rate (1)
Due in one year or less$14,477,225  4.21 %$10,616,385  3.15 %
Due after one year through two years7,532,345  2.54 5,321,650  1.85 
Due after two years through three years7,035,950  1.85 4,993,600  1.70 
Due after three years through four years3,383,600  2.34 5,951,355  1.10 
Due after four years through five years2,939,480  3.02 2,099,000 2.24 
Thereafter3,246,975 2.81 3,916,865  2.09 
Total par value38,615,575  3.08 %32,898,855 2.17 %
Premiums36,085   27,902  
Discounts(13,522) (8,033) 
Hedging adjustments(1,274,179)  (1,353,181) 
Total$37,363,959   $31,565,543  
_______________________
(1)The CO bonds' weighted-average rate excludes concession fees.

Table 8.2 - CO Bonds Outstanding by Call Feature
(dollars in thousands)
September 30, 2023 December 31, 2022
Noncallable and nonputable$16,957,435  $15,039,805 
Callable21,658,140  17,859,050 
Total par value$38,615,575  $32,898,855 

29
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)

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

(dollars in thousands)

September 30, 2023December 31, 2022
Due in one year or less$28,331,725 $26,319,885 
Due after one year through two years4,359,345 1,843,150 
Due after two years through three years2,448,950 1,952,600 
Due after three years through four years737,100 1,370,355 
Due after four years through five years1,328,480 438,000 
Thereafter1,409,975 974,865 
Total par value$38,615,575 $32,898,855 
The following is a summary
Table 8.4 - CO Bonds by Interest Rate-Payment Type
(dollars in thousands)
September 30, 2023 December 31, 2022
Fixed-rate$31,445,935  $22,667,605 
Step-up (1)
5,794,640  6,031,250 
Simple variable-rate1,375,000  4,200,000 
Total par value$38,615,575  $32,898,855 
_______________________
(1)Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bonds for which we were primarily liablebond and can be called at September 30, 2017, and December 31, 2016, by year of contractual maturity or next call date for callable CO bonds (dollars in thousands):our option on the step-up dates.
Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016
Due in one year or less $15,274,090
 $12,858,955
Due after one year through two years 6,376,080
 7,013,420
Due after two years through three years 2,956,000
 2,904,120
Due after three years through four years 1,039,055
 1,289,335
Due after four years through five years 1,128,535
 1,242,375
Thereafter 1,678,650
 1,823,745
Total par value $28,452,410
 $27,131,950


The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at September 30, 2017, and December 31, 2016 (dollars in thousands):
 September 30, 2017 December 31, 2016
Par value of CO bonds 
  
Fixed-rate$20,483,410
 $20,289,950
Simple variable-rate6,492,000
 5,300,000
Step-up1,477,000
 1,542,000
Total par value$28,452,410
 $27,131,950


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

Table 8.5 - CO Discount Notes Outstanding
(dollars in thousands):
 Book Value Par Value 
Weighted Average
Rate (1)
September 30, 2017$28,047,762
 $28,074,966
 1.03%
December 31, 2016$30,053,964
 $30,070,103
 0.47%
 Book Value Par Value 
Weighted Average
Rate (1)
September 30, 2023$20,337,099  $20,437,447  5.28 %
December 31, 2022$26,975,260  $27,109,244  4.22 %
_______________________
(1)The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees.

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

Note 149 — Affordable Housing Program

The following table presents a roll-forward of the AHP liability for the nine months ended September 30, 2017, and year ended December 31, 2016 (dollars in thousands):
 September 30, 2017 December 31, 2016
Balance at beginning of period$81,627
 $82,081
AHP expense for the period13,720
 19,397
AHP direct grant disbursements(16,217) (18,575)
AHP subsidy for AHP advance disbursements(1,876) (1,378)
Return of previously disbursed grants and subsidies75
 102
Balance at end of period$77,329
 $81,627


Table 9.1 - AHP Liability
(dollars in thousands)
September 30, 2023December 31, 2022
Balance at beginning of year$76,622 $70,503 
AHP expense for the period22,915 20,521 
AHP voluntary contribution2,000 5,479 
AHP direct grant disbursements(13,442)(17,683)
AHP subsidy for AHP advance disbursements(3,046)(3,155)
Return of previously disbursed grants and subsidies3 957 
Balance at end of period$85,052 $76,622 

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Note 1510 — Capital

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


1.Risk-based capital. We are required to maintain at all times permanent capital, defined as the amounts paid-in for Class B stock and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operational-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement.
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)

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

1.
Risk-based
3.Leverage capital.We are required to maintain at all times a leverage capital-to-assets ratio of at least five percent. Leverage capital is calculated by multiplying permanent capital by 1.5 and adding to this product all other components of total capital.

 We are required to maintain at all times permanent capital, defined as Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operations-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement.
2.
Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least four percent. Total regulatory capital is the sum of permanent capital, the amount paid-in for Class A stock, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. We have never issued Class A stock.
3.
Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor.
The FHFA mayhas authority to require us to maintain a greater amount of permanent capital than is required as defined by the risk-based capital requirements.

Table 10.1 - Regulatory Capital Requirements
(dollars in thousands)
Risk-Based Capital RequirementsSeptember 30,
2023		 December 31,
2022
Permanent capital   
Class B capital stock$2,007,059  $2,031,178 
Mandatorily redeemable capital stock6,143  10,290 
Retained earnings1,779,195  1,690,568 
Total permanent capital$3,792,397  $3,732,036 
Risk-based capital requirement   
Credit-risk capital$131,278  $130,875 
Market-risk capital441,313  225,813 
Operations-risk capital171,777  107,006 
Total risk-based capital requirement$744,368  $463,694 
Permanent capital in excess of risk-based capital requirement$3,048,029  $3,268,342 
 September 30, 2023December 31, 2022
 RequiredActualRequiredActual
Capital Ratio    
Risk-based capital$744,368 $3,792,397 $463,694 $3,732,036 
Total regulatory capital$2,509,896 $3,792,397 $2,515,902 $3,732,036 
Total capital-to-asset ratio4.0 %6.0 %4.0 %5.9 %
Leverage Ratio
Leverage capital$3,137,370 $5,688,596 $3,144,877 $5,598,054 
Leverage capital-to-assets ratio5.0 %9.1 %5.0 %8.9 %

We are a cooperative whose members own most of our capital stock. Former members, including certain nonmembers that own our capital stock as a result of merger or acquisition, relocation, or involuntary termination of membership, own the remaining capital stock to support business transactions still carried on our statement of condition or, for a small amount of capital stock held by former members, until the five-year redemption period applicable to their membership stock is complete. Shares of
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capital stock cannot be purchased or sold except between us and our members at $100 per share par value. Each member is required to purchase Class B stock equal to 0.05 percent of the value of the member's total assets measured as of December 31 of the preceding year, subject to a current minimum balance of $10 thousand and a current maximum balance of $5 million (the membership stock investment requirement), and 3.00 percent for overnight advances, 4.00 percent for all other advances, 0.25 percent for outstanding letters of credit, and 4.50 percent of the par value of certain mortgages we purchased through the MPF program (collectively, the activity-based stock-investment requirement). The following tables demonstrate our compliance with our regulatory capital requirements at sum of the membership stock investment requirement and the activity-based stock investment requirement, rounded up to the nearest whole share, represents the total stock investment requirement.

Restricted Retained Earnings. At September 30, 2017,2023, our total required contribution to the restricted retained earnings account was $593.6 million. At September 30, 2023, and December 31, 2016 (dollars in thousands):2022, restricted retained earnings totaled $440.9 million and $399.7 million, respectively. These restricted retained earnings are not available to pay dividends.
Risk-Based Capital RequirementsSeptember 30,
2017		 December 31,
2016
    
Permanent capital 
  
Class B capital stock$2,272,648
 $2,411,306
Mandatorily redeemable capital stock36,042
 32,687
Retained earnings1,265,282
 1,216,986
Total permanent capital$3,573,972
 $3,660,979
Risk-based capital requirement 
  
Credit-risk capital$348,381
 $355,182
Market-risk capital166,807
 118,765
Operations-risk capital154,556
 142,184
Total risk-based capital requirement$669,744
 $616,131
Permanent capital in excess of risk-based capital requirement$2,904,228
 $3,044,848
  September 30, 2017 December 31, 2016
  Required Actual Required Actual
Capital Ratio        
Risk-based capital $669,744
 $3,573,972
 $616,131
 $3,660,979
Total regulatory capital $2,439,018
 $3,573,972
 $2,461,823
 $3,660,979
Total capital-to-asset ratio 4.0% 5.9% 4.0% 5.9%
         
Leverage Ratio        
Leverage capital $3,048,773
 $5,360,958
 $3,077,279
 $5,491,469
Leverage capital-to-assets ratio 5.0% 8.8% 5.0% 8.9%


Note 1611 — Accumulated Other Comprehensive Loss

Income (Loss)
The following table presents a summary of changes
Table 11.1 - Accumulated Other Comprehensive Income (Loss)
(dollars in accumulated other comprehensive loss for the three and nine months ended September 30, 2017 and 2016 (dollars in thousands):

Net Unrealized Loss on Available-for-sale SecuritiesNet Unrealized Gain (Loss) Relating to Hedging ActivitiesPension and Postretirement BenefitsTotal
Balance, June 30, 2022$(234,021)$20,842 $(3,230)$(216,409)
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains(54,042)25,223 — (28,819)
Net actuarial loss— — (343)(343)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— 1,390 — 1,390 
Amortization - pension and postretirement benefits (2)
— — 106 106 
Other comprehensive (loss) income(54,042)26,613 (237)(27,666)
Balance, September 30, 2022$(288,063)$47,455 $(3,467)$(244,075)
Balance, June 30, 2023$(340,077)$47,273 $1,119 $(291,685)
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains(58,738)22,950 — (35,788)
Net actuarial loss— — (122)(122)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— 1,130 — 1,130 
Other comprehensive (loss) income(58,738)24,080 (122)(34,780)
Balance, September 30, 2023$(398,815)$71,353 $997 $(326,465)
31
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


  Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss
Balance, June 30, 2016 $(57,947) $(210,169) $(83,903) $(6,323) $(358,342)
Other comprehensive income (loss) before reclassifications:          
Net unrealized (losses) gains (17,325) —
 1,082
 —
 (16,243)
Noncredit other-than-temporary impairment losses —
 (486) —
 —
 (486)
Accretion of noncredit loss —
 8,586
 —
 —
 8,586
Net actuarial loss —
 —
 —
 (15) (15)
Reclassifications from other comprehensive income to net income          
Noncredit other-than-temporary impairment losses reclassified to credit loss (1)
 —
 290
 —
 —
 290
Amortization - hedging activities (2)
 —
 —
 5,341
 —
 5,341
Amortization - pension and postretirement benefits (3)
 —
 —
 —
 225
 225
Other comprehensive (loss) income (17,325) 8,390
 6,423
 210
 (2,302)
Balance, September 30, 2016 $(75,272) $(201,779) $(77,480) $(6,113) $(360,644)
           
Balance, June 30, 2017 $(94,309) $(175,068) $(45,554) $(5,530) $(320,461)
Other comprehensive income (loss) before reclassifications:          
Net unrealized losses (61) —
 (856) —
 (917)
Accretion of noncredit loss —
 8,178
 —
 —
 8,178
Net actuarial gain —
 —
 —
 112
 112
Reclassifications from other comprehensive income to net income          
Noncredit other-than-temporary impairment losses reclassified to credit loss (1)
 —
 420
 —
 —
 420
Amortization - hedging activities (4)
 —
 —
 2,161
 —
 2,161
Amortization - pension and postretirement benefits (3)
 —
 —
 —
 193
 193
Other comprehensive (loss) income (61) 8,598
 1,305
 305
 10,147
Balance, September 30, 2017 $(94,370) $(166,470) $(44,249) $(5,225) $(310,314)
Net Unrealized Gain (Loss) on Available-for-sale SecuritiesNet Unrealized Gain (Loss) Relating to Hedging ActivitiesPension and Postretirement BenefitsTotal
Balance, December 31, 2021$58,013 $(26,291)$(2,755)$28,967 
Other comprehensive income (loss) before reclassifications:
Net unrealized (losses) gains(346,078)69,463 — (276,615)
Net actuarial loss— — (1,028)(1,028)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— 4,283 — 4,283 
Amortization - pension and postretirement benefits (2)
— — 316 316 
Reclassification of realized net loss included in net income(3)
2 — — 2 
Other comprehensive (loss) income(346,076)73,746 (712)(273,042)
Balance, September 30, 2022$(288,063)$47,455 $(3,467)$(244,075)
Balance, December 31, 2022$(350,281)$42,482 $1,374 $(306,425)
Other comprehensive income (loss) before reclassifications:
Net unrealized (loses) gains(48,534)25,497 — (23,037)
Net actuarial loss— — (377)(377)
Reclassifications from other comprehensive income to net income
Amortization - hedging activities (1)
— 3,374 — 3,374 
Other comprehensive (loss) income(48,534)28,871 (377)(20,040)
Balance, September 30, 2023$(398,815)$71,353 $997 $(326,465)
_______________________
(1)Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss
(1)    Recorded in CO bond interest expense in the statement of operations.
(2)Amortization of hedging activities includes $5.3 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.
(3)Recorded in other operating expenses in the statement of operations.
(4)Amortization of hedging activities includes $2.2 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.


(2)    Recorded in other expenses in the statement of operations.
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)
(3)    Recorded in other income (loss), other, net in the statement of operations.


  Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss
Balance, December 31, 2015 $(137,718) $(229,785) $(71,237) $(3,857) $(442,597)
Other comprehensive income (loss) before reclassifications:          
Net unrealized gains (losses) 62,446
 —
 (25,688) —
 36,758
Noncredit other-than-temporary impairment losses —
 (1,142) —
 —
 (1,142)
Accretion of noncredit loss —
 26,938
 —
 —
 26,938
Net actuarial loss —
 —
 —
 (2,931) (2,931)
Reclassifications from other comprehensive income to net income          
Noncredit other-than-temporary impairment losses reclassified to credit loss (1)
 —
 2,210
 —
 —
 2,210
Amortization - hedging activities (2)
 —
 —
 19,445
 —
 19,445
Amortization - pension and postretirement benefits (3)
 —
 —
 —
 675
 675
Other comprehensive income (loss) 62,446
 28,006
 (6,243) (2,256) 81,953
Balance, September 30, 2016 $(75,272) $(201,779) $(77,480) $(6,113) $(360,644)
           
Balance, December 31, 2016 $(136,809) $(192,379) $(48,187) $(6,139) $(383,514)
Other comprehensive income (loss) before reclassifications:          
Net unrealized gains (losses) 42,439
 —
 (5,937) —
 36,502
Accretion of noncredit loss —
 24,593
 —
 —
 24,593
Net actuarial gain —
 —
 —
 336
 336
Reclassifications from other comprehensive income to net income          
Noncredit other-than-temporary impairment losses reclassified to credit loss (1)
 —
 1,316
 —
 —
 1,316
Amortization - hedging activities (4)
 —
 —
 9,875
 —
 9,875
Amortization - pension and postretirement benefits (3)
 —
 —
 —
 578
 578
Other comprehensive income 42,439
 25,909
 3,938
 914
 73,200
Balance, September 30, 2017 $(94,370) $(166,470) $(44,249) $(5,225) $(310,314)
_______________________
(1)Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations.
(2)Amortization of hedging activities includes $19.4 million recorded in CO bond interest expense and $11,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.
(3)Recorded in other operating expenses in the statement of operations.
(4)Amortization of hedging activities includes $9.9 million recorded in CO bond interest expense and $11,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations.

Note 1712 — Fair Values

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

33
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


Statements and Supplementary Data — Note 1815 — Fair Values in the 20162022 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the nine months ended September 30, 2017.2023.


TheTable 12.1 presents the carrying values,value, fair values,value, and fair-valuefair value hierarchy of our financial instrumentsassets and liabilities at September 30, 2017,2023, and December 31, 2016, were as follows (dollars in thousands). These2022. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair values do not represent an estimate of our overall market value ason a going concern, which would take into account, amongrecurring basis and certain mortgage loans at fair value on a non-recurring basis. We record all other things, our future business opportunities and the net profitability of ourfinancial assets and liabilities.liabilities at amortized cost. Refer to Table 12.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

29
 September 30, 2017
 
Carrying
Value
 Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral
Financial instruments 
  
        
Assets: 
  
        
Cash and due from banks$31,774
 $31,774
 $31,774
 $—
 $—
 $—
Interest-bearing deposits225,012
 225,012
 225,012
 —
 —
 —
Securities purchased under agreements to resell2,999,000
 2,998,922
 —
 2,998,922
 —
 —
Federal funds sold6,250,000
 6,249,958
 —
 6,249,958
 —
 —
Trading securities(1)
509,463
 509,463
 —
 509,463
 —
 —
Available-for-sale securities(1)
7,559,111
 7,559,111
 —
 7,540,568
 18,543
 —
Held-to-maturity securities1,798,011
 2,076,570
 —
 947,744
 1,128,826
 —
Advances37,467,404
 37,615,598
 —
 37,615,598
 —
 —
Mortgage loans, net3,942,776
 4,001,298
 —
 3,976,898
 24,400
 —
Accrued interest receivable84,886
 84,886
 —
 84,886
 —
 —
Derivative assets(1)
48,163
 48,163
 —
 43,197
 —
 4,966
Other assets (1)
21,760
 21,760
 9,121
 12,639
 —
 —
Liabilities:

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

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

          
Commitments to extend credit for advances—
 (4,385) —
 (4,385) —
 —
Standby letters of credit(892) (892) —
 (892) —
 —
_______________________
(1)Carried at fair value on a recurring basis.


34
Table of Contents
FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)

Table 12.1 - Fair Value Summary

(dollars in thousands)
 September 30, 2023
 Carrying
Value		Total Fair ValueLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Financial instruments  
Assets:  
Cash and due from banks$318,961 $318,961 $318,961 $— $— $— 
Interest-bearing deposits1,683,223 1,683,223 1,683,223 — — — 
Securities purchased under agreements to resell500,000 500,000 — 500,000 — — 
Federal funds sold2,440,000 2,440,002 — 2,440,002 — — 
Trading securities(1)
1,544 1,544 — 1,544 — — 
Available-for-sale securities(1)
14,028,727 14,028,727 — 13,996,038 32,689 — 
Held-to-maturity securities83,052 82,208 — 82,208 — — 
Advances40,130,845 39,879,853 — 39,879,853 — — 
Mortgage loans, net2,940,189 2,528,258 — 2,513,914 14,344 — 
Accrued interest receivable162,737 162,737 — 162,737 — — 
Derivative assets(1)
379,887 379,887 — 142,820 — 237,067 
Other assets (1)
26,019 26,019 12,567 13,452 — — 
Liabilities: 
Deposits(1,150,506)(1,150,455)— (1,150,455)— — 
COs:
Bonds(37,363,959)(36,723,674)— (36,723,674)— — 
Discount notes(20,337,099)(20,333,626)— (20,333,626)— — 
Mandatorily redeemable capital stock(6,143)(6,143)(6,143)— — — 
Accrued interest payable(271,335)(271,335)— (271,335)— — 
Derivative liabilities(1)
(1,705)(1,705)— (1,365,900)— 1,364,195 
Other:
Commitments to extend credit for advances— (4,137)— (4,137)— — 
Standby letters of credit(1,100)(1,100)— (1,100)— — 
 December 31, 2016
 
Carrying
Value
 
Total Fair
Value
 Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral
Financial instruments 
  
        
Assets: 
  
        
Cash and due from banks$520,031
 $520,031
 $520,031
 $—
 $—
 $—
Interest-bearing deposits278
 278
 278
 —
 —
 —
Securities purchased under agreements to resell5,999,000
 5,998,799
 —
 5,998,799
 —
 —
Federal funds sold2,700,000
 2,699,949
 —
 2,699,949
 —
 —
Trading securities(1)
612,622
 612,622
 —
 612,622
 —
 —
Available-for-sale securities(1)
6,588,664
 6,588,664
 —
 6,580,518
 8,146
 —
Held-to-maturity securities2,130,767
 2,372,290
 —
 1,176,269
 1,196,021
 —
Advances39,099,339
 39,273,044
 —
 39,273,044
 —
 —
Mortgage loans, net3,693,894
 3,736,548
 —
 3,708,123
 28,425
 —
Accrued interest receivable84,653
 84,653
 —
 84,653
 —
 —
Derivative assets(1)
61,598
 61,598
 —
 55,078
 —
 6,520
Other assets(1)
17,779
 17,779
 8,394
 9,385
 —
 —
Liabilities: 
  
        
Deposits(482,163) (482,158) —
 (482,158) —
 —
COs:           
Bonds(27,171,434) (27,298,499) —
 (27,298,499) —
 —
Discount notes(30,053,964) (30,054,085) —
 (30,054,085) —
 —
Mandatorily redeemable capital stock(32,687) (32,687) (32,687) —
 —
 —
Accrued interest payable(80,822) (80,822) —
 (80,822) —
 —
Derivative liabilities(1)
(357,876) (357,876) —
 (460,287) —
 102,411
Other:           
Commitments to extend credit for advances—
 (4,412) —
 (4,412) —
 —
Standby letters of credit(1,064) (1,064) —
 (1,064) —
 —


30
Table of Contents
December 31, 2022
 Carrying
Value		Total Fair
Value		Level 1Level 2Level 3
Netting Adjustments and Cash Collateral(2)
Financial instruments  
Assets:  
Cash and due from banks$7,593 $7,593 $7,593 $— $— $— 
Interest-bearing deposits1,485,290 1,485,290 1,485,290 — — — 
Federal funds sold2,706,000 2,705,992 — 2,705,992 — — 
Trading securities(1)
1,507 1,507 — 1,507 — — 
Available-for-sale securities(1)
13,626,916 13,626,916 — 13,594,142 32,774 — 
Held-to-maturity securities99,068 98,591 — 98,591 — — 
Advances41,599,581 41,378,357 — 41,378,357 — — 
Mortgage loans, net2,758,429 2,483,271 — 2,462,257 21,014 — 
Accrued interest receivable134,268 134,268 — 134,268 — — 
Derivative assets(1)
430,744 430,744 — 47,854 — 382,890 
Other assets(1)
25,504 25,504 11,950 13,554 — — 
Liabilities:  
Deposits(655,487)(655,425)— (655,425)— — 
COs:
Bonds(31,565,543)(30,981,391)— (30,981,391)— — 
Discount notes(26,975,260)(26,972,926)— (26,972,926)— — 
Mandatorily redeemable capital stock(10,290)(10,290)(10,290)— — — 
Accrued interest payable(130,515)(130,515)— (130,515)— — 
Derivative liabilities(1)
(25,640)(25,640)— (1,394,319)— 1,368,679 
Other:
Commitments to extend credit for advances— (13,327)— (13,327)— — 
Standby letters of credit(1,168)(1,168)— (1,168)— — 
_______________________
(1)Carried at fair value on a recurring basis.
(1)Carried at fair value and measured on a recurring basis.
(2)These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

31
Table of Contents
Fair Value Measured on a Recurring and Nonrecurring Basis.

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


35
Table of Contents
FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 September 30, 2017
 Level 1 Level 2 Level 3 
Netting
Adjustment (1)
 Total
Assets: 
  
  
  
  
Trading securities:         
U.S. Treasury obligations$—
 $309,498
 $—
 $—
 $309,498
U.S. government-guaranteed – single-family MBS—
 7,207
 —
 —
 7,207
GSEs – single-family MBS—
 440
 —
 —
 440
GSEs – multifamily MBS—
 192,318
 —
 —
 192,318
Total trading securities—
 509,463
 —
 —
 509,463
Available-for-sale securities: 
  
  
  
  
State or local HFA securities—
 —
 18,543
 —
 18,543
Supranational institutions—
 421,492
 —
 —
 421,492
U.S. government-owned corporations—
 286,393
 —
 —
 286,393
GSEs—
 120,033
 —
 —
 120,033
U.S. government guaranteed – single-family MBS—
 102,699
 —
 —
 102,699
U.S. government guaranteed – multifamily MBS—
 467,970
 —
 —
 467,970
GSEs – single-family MBS—
 4,528,021
 —
 —
 4,528,021
GSEs – multifamily MBS—
 1,613,960
 —
 —
 1,613,960
Total available-for-sale securities—
 7,540,568
 18,543
 —
 7,559,111
Derivative assets: 
  
  
  
  
Interest-rate-exchange agreements—
 43,121
 —
 4,966
 48,087
Mortgage delivery commitments—
 76
 —
 —
 76
Total derivative assets—
 43,197
 —
 4,966
 48,163
Other assets9,121
 12,639
 —
 —
 21,760
Total assets at fair value$9,121
 $8,105,867
 $18,543
 $4,966
 $8,138,497
Liabilities: 
  
  
  
  
Derivative liabilities 
  
  
  
  
Interest-rate-exchange agreements$—
 $(390,781) $—
 $81,216
 $(309,565)
Mortgage delivery commitments—
 (110) —
 —
 (110)
Total liabilities at fair value$—
 $(390,891) $—
 $81,216
 $(309,675)
_______________________
(1)These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.


36
Table of Contents
FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


 December 31, 2016
 Level 1 Level 2 Level 3 
Netting
Adjustment (1)
 Total
Assets: 
  
  
  
  
Trading securities:         
U.S. Treasury obligations$—
 $399,521
 $—
 $—
 $399,521
U.S. government-guaranteed – single-family MBS—
 8,494
 —
 —
 8,494
GSEs – single-family MBS—
 768
 —
 —
 768
GSEs – multifamily MBS—
 203,839
 —
 —
 203,839
Total trading securities—
 612,622
 —
 —
 612,622
Available-for-sale securities: 
  
  
  
  
State or local HFA securities—
 —
 8,146
 —
 8,146
Supranational institutions—
 422,620
 —
 —
 422,620
U.S. government-owned corporations—
 271,957
 —
 —
 271,957
GSEs—
 117,468
 —
 —
 117,468
U.S. government guaranteed – single-family MBS—
 124,727
 —
 —
 124,727
U.S. government guaranteed – multifamily MBS—
 563,361
 —
 —
 563,361
GSEs – single-family MBS—
 4,403,855
 —
 —
 4,403,855
GSEs – multifamily MBS—
 676,530
 —
 —
 676,530
Total available-for-sale securities—
 6,580,518
 8,146
 —
 6,588,664
Derivative assets: 
  
  
  
  
Interest-rate-exchange agreements—
 55,008
 —
 6,520
 61,528
Mortgage delivery commitments—
 70
 —
 —
 70
Total derivative assets—
 55,078
 —
 6,520
 61,598
Other assets8,394
 9,385
 —
 —
 17,779
Total assets at fair value$8,394
 $7,257,603
 $8,146
 $6,520
 $7,280,663
Liabilities: 
  
  
  
  
Derivative liabilities 
  
  
  
  
Interest-rate-exchange agreements$—
 $(460,116) $—
 $102,411
 $(357,705)
Mortgage delivery commitments—
 (171) —
 —
 (171)
Total liabilities at fair value$—
 $(460,287) $—
 $102,411
 $(357,876)
_______________________
(1)These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis
using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2017. There were no Level 3 available-for-sale securities during the nine months ended September 30, 2016 (dollars in thousands).

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



37
Table of Contents
FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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

(dollars in thousands)
September 30, 2023
 Level 1Level 2Level 3
Netting Adjustments and Cash Collateral (1)
Total
Assets:     
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds$— $1,544 $— $— $1,544 
Total trading securities— 1,544 — — 1,544 
Available-for-sale securities:     
U.S. Treasury obligations— 5,731,764 — — 5,731,764 
HFA securities— — 32,689 — 32,689 
Supranational institutions— 340,799 — — 340,799 
U.S. government-owned corporations— 216,050 — — 216,050 
GSE— 94,003 — — 94,003 
U.S. government guaranteed – single-family MBS— 14,575 — — 14,575 
U.S. government guaranteed – multifamily MBS— 470,386 — — 470,386 
GSE – single-family MBS— 923,076 — — 923,076 
GSE – multifamily MBS— 6,205,385 — — 6,205,385 
Total available-for-sale securities— 13,996,038 32,689 — 14,028,727 
Derivative assets:     
Interest-rate-exchange agreements— 142,802 — 237,067 379,869 
Mortgage delivery commitments— 18 — — 18 
Total derivative assets— 142,820 — 237,067 379,887 
Other assets12,567 13,452 — — 26,019 
Total assets carried at fair value on a recurring basis$12,567 $14,153,854 $32,689 $237,067 $14,436,177 
Liabilities:     
Carried at fair value on a recurring basis
Derivative liabilities     
Interest-rate-exchange agreements$— $(1,365,720)$— $1,364,195 $(1,525)
Mortgage delivery commitments— (180)— — (180)
Total liabilities carried at fair value on a recurring basis$— $(1,365,900)$— $1,364,195 $(1,705)


32
Table of Contents
December 31, 2022
 Level 1Level 2Level 3
Netting
Adjustments and Cash Collateral(1)
Total
Assets:     
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds$— $1,507 $— $— $1,507 
Total trading securities— 1,507 — — 1,507 
Available-for-sale securities:     
U.S. Treasury obligations— 5,723,562 — — 5,723,562 
HFA securities— — 32,774 — 32,774 
Supranational institutions— 350,352 — — 350,352 
U.S. government-owned corporations— 227,200 — — 227,200 
GSE— 97,666 — — 97,666 
U.S. government guaranteed – single-family MBS— 16,148 — — 16,148 
U.S. government guaranteed – multifamily MBS— 476,730 — — 476,730 
GSE – single-family MBS— 765,526 — — 765,526 
GSE – multifamily MBS— 5,936,958 — — 5,936,958 
Total available-for-sale securities— 13,594,142 32,774 — 13,626,916 
Derivative assets:     
Interest-rate-exchange agreements— 47,757 — 382,890 430,647 
CO Bond firm commitments— 50 — — 50 
Mortgage delivery commitments— 47 — — 47 
Total derivative assets— 47,854 — 382,890 430,744 
Other assets11,950 13,554 — — 25,504 
Total assets carried at fair value on a recurring basis$11,950 $13,657,057 $32,774 $382,890 $14,084,671 
Carried at fair value on a nonrecurring basis(2)
Mortgage loans held for portfolio$— $— $90 $— $90 
Total assets carried at fair value on a nonrecurring basis$— $— $90 $— $90 
Liabilities:     
Carried at fair value on a recurring basis
Derivative liabilities     
Interest-rate-exchange agreements$— $(1,394,317)$— $1,368,679 $(25,638)
Mortgage delivery commitments— (2)— — (2)
Total liabilities carried at fair value on a recurring basis$— $(1,394,319)$— $1,368,679 $(25,640)
_______________________
(1)    These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.
(2)    We measure certain held-to-maturity investment securities, mortgage loans held for portfolio and real-estate-owned property (REO) at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security).

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

 September 30, 2017
 Level 1 Level 2 Level 3 Total
Held-to-maturity securities:       
Private-label residential MBS$—
 $—
 $2,050
 $2,050
Mortgage loans held for portfolio—
 —
 4,783
 4,783
REO—
 —
 397
 397
        
Total assets recorded at fair value on a nonrecurring basis$—
 $—
 $7,230
 $7,230

 December 31, 2016
 Level 1 Level 2 Level 3 Total
Held-to-maturity securities:       
Private-label residential MBS$—
 $—
 $8,498
 $8,498
Mortgage loans held for portfolio—
 —
 5,618
 5,618
REO—
 —
 786
 786
        
Total assets recorded at fair value on a nonrecurring basis$—
 $—
 $14,902
 $14,902


Table 12.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2023 and 2022.

33
Table of Contents
Table 12.3 - Roll Forward of Level 3 Available-for-Sale HFA Securities
(dollars in thousands)
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2023202220232022
Balance at beginning of period$32,391 $60,533 $32,774 $62,265 
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)298 (93)825 (965)
Sales, maturities, and settlements
Settlements— — (910)(860)
Balance at end of period$32,689 $60,440 $32,689 $60,440 
Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end$298 $(93)$825 $(965)

Note 1813 — Commitments and Contingencies

Joint and Several Liability. COs are backed by the financial resources of the FHLBanks.11 district Federal Home Loan Banks (the FHLBanks or the FHLBank System). The FHFA has authority to require any FHLBank to repay all or a portion of the principal and interest on COs for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any CO on behalf of another FHLBank. We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating actionactions as of each period-end presented. Based on this evaluation, as of September 30, 2017, and through the filing of this report, we do not believe thereit is only a remote likelihoodlikely that we will be required to repay the principal or interest on any CO on behalf of another FHLBank.

We have considered applicable FASB guidance and determined it is not necessary to recognize a liability for the fair value of our joint and several liability for all of the COs. The joint and several obligation is mandated by the FHLBank Act, as implemented by FHFA regulations, and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the FHFA as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, the FHLBanks' joint and several obligation is excluded from the initial recognition and measurement provisions. Accordingly, we have not recognized a liability for our joint and several obligation related to other FHLBanks' COs at September 30, 2017,2023, and December 31, 2016.2022. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $972.2 billion$1.2 trillion and $932.1 billion$1.1 trillion at September 30, 2017,2023, and December 31, 2016,2022, respectively. See Note 138 — Consolidated Obligations for additional information.

Off-Balance-Sheet Commitments

Table 13.1 - Off-Balance Sheet Commitments (1)
(dollars in thousands)
September 30, 2023December 31, 2022
Expire within one yearExpire after one yearTotalExpire within one yearExpire after one yearTotal
Standby letters of credit outstanding (2)
$8,800,381 $297,195 $9,097,576 $10,148,761 $77,521 $10,226,282 
Commitments for unused lines of credit - advances (3)
1,115,217 — 1,115,217 1,123,269 — 1,123,269 
Commitments to make additional advances91,171 9,265 100,436 57,024 29,010 86,034 
Commitments to invest in mortgage loans40,714 — 40,714 3,454 — 3,454 
Unsettled CO bonds, at par205,500 — 205,500 172,140 — 172,140 
Unsettled CO discount notes, at par10,500 — 10,500 32,480 — 32,480 
38
34
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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)

__________________________

(1)    We have determined that it is unnecessary to record any liability for credit losses on these agreements.
Off-Balance-Sheet Commitments. (2)    The following table sets forth our off-balance-sheetamount of standby letters of credit outstanding excludes commitments asto issue standby letters of credit that expire within one year. At September 30, 2017,2023, and December 31, 2016 (dollars in thousands):2022, these amounts totaled $19.8 million and $22.0 million, respectively.

(3)    Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements.
  September 30, 2017 December 31, 2016
  Expire within one year Expire after one year Total Expire within one year Expire after one year Total
Standby letters of credit outstanding (1)
 $4,820,514
 $204,938
 $5,025,452
 $4,050,447
 $179,632
 $4,230,079
Commitments for unused lines of credit - advances (2)
 1,268,507
 —
 1,268,507
 1,255,140
 —
 1,255,140
Commitments to make additional advances 71,901
 51,136
 123,037
 44,865
 65,972
 110,837
Commitments to invest in mortgage loans 62,221
 —
 62,221
 22,524
 —
 22,524
Unsettled CO bonds, at par 197,000
 —
 197,000
 —
 —
 —
Unsettled CO discount notes, at par 2,605
 —
 2,605
 —
 —
 —
__________________________
(1)
The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At
September 30, 2017, and December 31, 2016, these amounts totaled $3.9 million and $2.7 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $100,000 and $285,000 at September 30, 2017 and December 31, 2016, respectively.
(2)
Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements.

Standby Letters of Credit. AFor a fee we issue standby letterletters of credit is a financing arrangement pursuanton behalf of our members to which we agreesupport certain obligations of the members to third-party beneficiaries. These standby letters of credit are generally subject to the same collateralization and borrowing limits similar to advances. Standby letters of credit may be offered to assist members and nonmember housing associates in facilitating residential housing finance, community lending, and asset-liability management, and to provide liquidity. In particular, members often use standby letters of credit as collateral for a fee to fund the associated obligation to a third-party beneficiary should the primary obligor fail to fund such obligation.deposits from state and local government agencies. If we are required to make payment for a beneficiary's draw, our strategy is to take prompt action to recover the funds paid to the third-party beneficiary, including converting the payment amount into a collateralized advance to the primary obligor, withdrawing the payment amount from the primary obligor's demand deposit account with us, or selling collateral pledged by the primary obligor in a commercially reasonable manner to offset the payment amount. The original terms of theseHistorically, standby letters of credit have original expiration periodsusually expire without being drawn upon. At September 30, 2023, the outstanding standby letters of up to 20 years, currently expiringcredit issued expire no later than 2026.2033. Currently, we offer new standby letters of credit with expiration periods ofterms typically up to 10 years. Our unearnedyears, while terms greater than 10 years may be available on an exception basis. Unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $892,000$1.1 million and $1.1$1.2 million at September 30, 2017,2023, and December 31, 2016,2022, respectively.

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

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

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

Note 1914 — Transactions with Shareholders

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

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FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS
(unaudited)


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

 
Capital Stock
Outstanding
 
Percent
of Total
 
Par
Value of
Advances
 
Percent of Total Par Value
of Advances
 
Total Accrued
Interest
Receivable
 
Percent of Total
Accrued Interest
Receivable on
Advances
As of September 30, 2017           
Citizens Bank, N.A.$246,748
 10.7% $5,358,737
 14.3% $2,284
 5.6%
            
As of December 31, 2016           
Citizens Bank, N.A.$357,508
 14.6% $7,260,446
 18.6% $2,625
 7.3%

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Table 14.1 - Shareholder Concentrations, Balance Sheet
(dollars in thousands)
Capital Stock
Outstanding		 Percent
of Total Capital Stock		Par
Value of
Advances		 Percent of Total Par Value
of Advances		Total Accrued
Interest
Receivable		 Percent of Total
Accrued Interest
Receivable on
Advances
September 30, 2023
Citizens Bank, N.A.$301,249 15.0 %$7,036,235 17.4 %$9,344 9.4 %
December 31, 2022
Citizens Bank, N.A.$363,769 17.8 %$8,519,007 20.4 %$5,662 7.8 %
Webster Bank, N.A.221,408 10.8 5,460,552 13.1 9,942 13.6 

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

We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and nine months endedSeptember 30, 2017 and 2016, as follows (dollars in thousands):
  For the Three Months Ended September 30, For the Nine Months Ended September 30,
Citizens Bank, N.A. 2017 2016 2017 2016
Interest income on advances $14,316
 $7,837
 $46,968
 $24,123
Fees on letters of credit 1,002
 756
 2,448
 2,375


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

The following table presents the outstanding balances of capital stock, advances, and accrued interest receivable with members whose officers or directors serve on our board of directors, and those balances as a percentage of our total balance as reported on our statement of condition (dollars in thousands):
 
Capital Stock
Outstanding
 
Percent
of Total
 
Par
Value of
Advances
 
Percent of Total Par Value
of Advances
 
Total Accrued
Interest
Receivable
 
Percent of Total
Accrued Interest
Receivable on
Advances
As of September 30, 2017$112,241
 4.9% $2,117,289
 5.6% $2,190
 5.3%
As of December 31, 201691,374
 3.7
 1,554,753
 4.0
 1,631
 4.5


Table 14.2 - Transactions with Directors' Institutions
(dollars in thousands)
Capital Stock
Outstanding		 Percent
of Total Capital Stock		Par
Value of
Advances		 Percent of Total Par Value
of Advances		Total Accrued
Interest
Receivable		 Percent of Total
Accrued Interest
Receivable on
Advances
September 30, 2023$315,152 15.7 %$7,271,302 18.0 %$9,977 10.0 %
December 31, 2022374,123 18.3 8,683,521 20.8 5,803 8.0 

Note 2015 — Subsequent Events

On October 27, 2017,20, 2023, the board of directors declared a cash dividend at an annualized rate of 4.338.31 percent based on daily average capital stock balances outstanding during the third quarter of 2017.2023. The dividend, including dividends classified as interest on mandatorily redeemable capital stock, amounted to $25.2$40.1 million and was paid on November 2, 2017.2023.


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

Index to Management's Discussion and Analysis of Financial Condition and Results of Operations
4237
4338
4439
4440
4642
5647
6755
7559
7560
7660

41
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Forward-Looking Statements

This report includes statements describing anticipated developments, projections, estimates, or future predictions of ours that are “forward-looking statements.” These statements may involve matters related to, but not limited to, projections of revenues, income, earnings, capital expenditures, dividends, capital structure, or other financial items; repurchases of excess stock, our minimum retained earnings target, or the interest-rate environment in which we do business; statements of management’s plans or objectives for future operations; expectations of effects or changes in fiscal and monetary policies and our future economic performance; or statements of assumptions underlying certain of the foregoing types of statements. These statements may use forward-looking terminology such as, but not limited to, “anticipates,” “believes,” “continued,” “expects,” “plans,” “intends,” “may,” “could,” “estimates,” “assumes,” “should,” “will,” “likely,” or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements are subject to a number of risks or uncertainties, including the risk factors set forth in Part I — Item 1A — Risk Factors in the 20162022 Annual Report and Part II — Item 1A — Risk Factors of this quarterly report and the risks set forth below. Accordingly, we caution that actualActual results could differ materially from those expressed or implied in these forward-looking statements or could impactaffect the extent to which a particular objective, projection, estimate, or prediction is realized. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they are made, and we do not undertake to update any forward-looking statement herein or that may be made from time to time on our behalf.

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

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

income, retained earnings,financial and dividend payouts;
repurchasesregulatory condition and results of stock in excess of a shareholder’s total stock investment requirement (excess stock);
credit losses on advances and investments in mortgage loans and ABS, particularly private-label MBS;
balance-sheet changes and components thereof, such asoperations, including changes in advances balanceseconomic growth, general liquidity conditions, inflation and the size of our portfolio of investmentsdeflation, employment rates, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, and asset delinquencies; members’ deposit flows, liquidity needs, and loan demand; changes in mortgage loans;
our minimum retained earnings target; and
the interest-rate environment in which we do business.

Actual results may differ from forward-looking statements for many reasons,benchmark interest rates, including, but not limited to:
to, the development of SOFR and other alternative rates to LIBOR, and the adverse consequences these could have for market participants, including the Bank and its members; changes in interest rates, the rate of inflation (or deflation), housing prices, employment rates, and the general economy, including changes resulting from U.S. fiscal and monetary policy, actions of the Federal Open Market Committee (FOMC), or changes in U.S. fiscal policy orcredit ratings of the U.S. federal government, including any effects of Fitch's recent downgrade of the U.S. federal government; and the condition of the mortgage and housing markets on our mortgage-related assets; and the condition of the capital markets on our COs;
changes in demand for our advances and other products;
the willingness of our members to do business with us;
changes in the financial health of our members;
changes in borrower defaults on mortgage loans;
changes in the credit performance and loss severities of our investments;
changes in prepayment rates on advances and investments;
•
the value of collateral we hold as security for obligations of our members and counterparties;
issues and events across the FHLBank System and in the political arena that may lead to executive branch, legislative, regulatory, judicial, or other developments, such as the ongoing FHFA review of the FHLBank System, impacting the scope of our business, investor demand for COs, our financial obligations with respect to COs, our ability to access the capital markets, our members, our counterparties, the manner in which we operate, or the organization and structure of the FHLBank System;
•our ability to declare and pay dividends consistent with past practices as well as any plans to repurchase excess capital stock, and any amendments to our capital plan;
•competitive forces including, without limitation, other sources of funding available to our members and other entities borrowing funds in the capital markets,markets;
•changes in the value and liquidity of collateral we hold as security for obligations of our abilitymembers and counterparties;
•the impact of new accounting standards and the application of accounting rules, including the impact of regulatory guidance on our application of such standards and rules;
•changes in the fair value and economic value of, impairments of, and risks, including risks related to attractchanges in or cessation of benchmark interest rates such as the overnight index swap rate based on the federal funds effective rate (OIS), and retain skilled employees;SOFR, associated with the Bank’s investments in mortgage loans and MBS or other assets and the related credit-enhancement protections;
•membership conditions and changes, including changes resulting from member failures, mergers or changing financial health, changes due to member eligibility, changes in the principal place of business of members, or the addition of new members;
•external events, such as general economic and financial instabilities, political instability, wars, including hostilities and sanctions and other economic consequences related to the war between Israel and Hamas and the war between Russia and Ukraine, pandemics and other health emergencies, and natural disasters, including disasters caused by significant climate change, which, among other things, could damage our facilities or the facilities of our members, damage or destroy collateral that members have pledged to secure advances or mortgages that we hold for our portfolio, and which could cause us to experience losses or be exposed to a greater risk that pledged collateral would be inadequate in the event of a default;
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•the pace of technological change and our ability to develop and support technology andinternal controls, information systems, sufficient toand other operating technologies that effectively manage the risks of our business effectively;
the addition of new members;
•
the loss of members due to, among other ways, member withdrawals, mergers and acquisitions;
•
changes in investor demand for COs;
changes in the terms or availability of derivatives and other agreements we enter into in support of our business operations;
the timing and volume of market activity;
the volatility of reported results due to changes in the fair value of certain assets and liabilities,face, including but not limited to, private-label MBS;failures, interruptions, or security breaches and other cyber-attacks; and
•our ability to introduceattract and retain skilled employees, including our key personnel.

These risk factors are not exhaustive. New risk factors emerge from time to time. We cannot predict such new (or adequately adapt current) products and services and successfully managerisk factors nor can we assess the risks associated withimpact, if any, of such new risk factors on our products and services, including new typesbusiness or the extent to which any factor, or combination of collateral usedfactors, may cause actual results to secure advances;differ materially from those implied by any forward-looking statements.
losses arising from litigation filed against us or one or more of the other FHLBanks;

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gains resulting from legal claims we have;
losses arising from our joint and several liability on COs;
significant business disruptions resulting from vendor or third-party failure, natural or other disasters, cyberincidents, acts of war, or terrorism; and
•
new accounting standards.

The Management's Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our interim financial statements and notes, which begin on page three, and the 20162022 Annual Report.

EXECUTIVE SUMMARY

ForNet income for the three months endedquarter ending September 30, 2017,2023, was $70.1 million, compared with net income increased to $45.6 million, from $36.6of $60.0 million for the three months ended September 30, 2016. The increase wasthird quarter of 2022, primarily due tothe result of an increase of $6.2$21.0 million in net interest income after provision for credit losses, partially offset by a $1.9$7.6 million reductionincrease in losses on derivatives and hedging activities and a $1.3 million reduction in net unrealized losses on trading securities.other expenses.

Net interest income after provision for credit losses for the three months ended September 30, 2017,2023, was $71.1$104.1 million, compared with $64.9$83.1 million for the same period in 2016.2022. The $6.2$21.0 million increase in net interest income after provision for credit losses was primarily attributabledriven by growth in our average advances and average investment portfolios, growth in average capital, and, to higher interest rates, a two basis pointlesser extent, an increase in our net interest spread and an increase of $133.0 millionyields in average earning assets, which increased from $57.9 billion for the three months ended September 30, 2016,2023, resulting from higher market interest rates compared to $58.1the same period in 2022. These improvements to net interest income were partially offset by a $28.1 million decrease of net gains on fair value hedges, including both hedge ineffectiveness and price alignment amounts paid for cleared derivative cash collateral, attributed to higher interest rates in the quarter, though the increase in intermediate-term interest rates during the quarter was less than that of the same quarter one year ago.

Our retained earnings grew to $1.8 billion for the three months endedat September 30, 2017.
Our return on average equity was 5.64 percent for the three months ended September 30, 2017, compared with 4.55 percent for the three months ended September 30, 2016,2023, an increase of 109 basis points.$88.6 million from December 31, 2022, and equals 2.8 percent of total assets at September 30, 2023. We continue to satisfy all regulatory capital requirements as of September 30, 2023.
•
Our financial condition continued to strengthen with retained earnings of $1.3 billion at

September 30, 2017, a surplus of $565.3 million over our minimum retained earnings target, as we continued to satisfy all regulatory capital requirements as of September 30, 2017.

On October 27, 2017,20, 2023, our board of directors declared a cash dividend that was equivalent to an annual yield of 4.338.31 percent, the approximate daily average three-month London Interbank Offered Rate (LIBOR) yieldof SOFR for the third quarter of 20172023 plus 300 basis points.

Net Interest Margin

For the quarter ended September 30, 2023, the Bank contributed $7.8 million to its Affordable Housing Program as required by statute, and contributed $6.1 million to its discretionary housing and community investment programs, including the Jobs for New England, Housing our Workforce, and Lift Up Homeownership programs. In 2023, the Bank launched the Lift Up Homeownership pilot program that offers down-payment and closing-cost assistance to people of color with household income of up to 120 percent of area median income buying their first home. Additional information on the AHP and other targeted affordable housing and community investment programs is provided in the 2022 Annual Report.

Our overall results of operations are influenced by the economy and financial markets, and, in particular, by members’ demand for liquidity and our ability to maintain sufficient access to funding at relatively favorable costs. During the quarter, interest rates continued to rise as the Federal Reserve raised its target range for the federal funds rate by 25 basis points at its July 26, 2023, meeting. However, long-term interest rates rose significantly faster than short-term rates during the period covered by this report. For example, the 3-month Constant Maturity U.S. Treasury Bill yield increased 12 basis points while the 10-year Constant Maturity U.S. Treasury Note yield rose 78 basis points. As of September 30, 2023, advances decreased to $40.1 billion, a decrease of 3.5 percent from $41.6 billion at December 31, 2022. Advances significantly increased beginning in mid-March 2023, and remained elevated through May 2023, as a result of an increase in liquidity needs our depository members experienced at that time. Advances balances were generally more stable during the quarter ending September 30, 2023 than they had been during either of the two preceding quarters.

Generally, investor demand for high credit quality, fixed-income investments, including COs, continued to be strong relative to other investments. Yield spreads on CO debt relative to benchmark yields for comparable debt remained relatively stable during the period covered by this report. Our flexibility in utilizing various funding tools, in combination with a diverse investor base and our status as a government-sponsored enterprise, have helped provide reliable market access and demand for COs throughout fluctuating market environments and regulatory changes affecting dealers of and investors in COs. The Bank has continued to meet all funding needs during the three months ended September 30, 2017, net interest margin was 0.49 percent, an increase2023.

38
Table of four basis points from the three months ended September 30, 2016. Contents
Net Interest Income, Margin, and Spread

Net interest margin benefited from improvement in net interest spread and an increase in interest rates.

Core Mission Asset Balances

We continue to deliver on our primary mission, supplying liquidity and funding to our members, with advances balances of $37.5 billion at September 30, 2017, down from $39.1 billion at December 31, 2016. The decrease in advances was primarily in variable-rate indexed advances and fixed-rate putable advances. Mortgage loans held for portfolio increased to $3.9 billion at September 30, 2017, up from $3.7 billion at December 31, 2016. We cannot predict whether these trends will continue.

Accretable yields from investments in private-label MBS

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

The amortized cost of our total investments in private-label MBS and ABS backed by home-equity loans has declined to $881.1 million at September 30, 2017. Other-than-temporary impairment credit losses were $432,0000.27 percent for the three months ended September 30, 2017.2023, a decrease of 17 basis points from the same period in 2022 and net interest margin was 0.65 percent, an increase of seven basis points from 2022. The decrease of net interest spread was primarily attributable to the decline in net gains and losses on fair value hedges and net accretion of MBS premium, in addition to the impact of higher concentrations of advances on our balance sheet, which tend to have lower spreads to funding costs. The increase of net interest margin was primarily attributable to the impact of the significant rise in average yields on the portion of average total assets that is funded by equity capital following the sharp increase in interest rates that has occurred over 2022 and 2023.

Repurchases of Excess StockFHLBank System at 100: Focusing on the Future Report

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On June 1, 2017, we initiated daily repurchasesNovember 7, 2023, the FHFA released its FHLBank System at 100: Focusing on the Future report. The report contains a number of excess stock. For additional information see below under Liquidity and Capital Resources — Internal Capital Practices and Policies. Excess stock repurchases forrecommendations from the three months ended September 30, 2017 amounted to $343.6 million. At September 30, 2017, shareholders held $106.8 millionFHFA, some which may be enacted by the FHFA by way of excess stock as compared to $78.3 million at December 31, 2016.

Regulatory Developments

The FHFA has issuedregulatory guidance or proposed regulations as described in — Legislativerulemaking, some which call for further study, and Regulatory Developments. Such developments affectsome which would require legislative action. We are reviewing the wayreport’s recommendations and will engage with the FHFA, Congress, our Board, our members, our employees, and other stakeholders to continue delivering on our mission and to ensure we conduct businessremain well positioned to serve our members and couldtheir communities. We are unable to determine at this time the impact the wayreport’s recommendations may have on our financial condition and results of operations.

Cyber Incident

As previously disclosed, on April 17, 2023, a vendor that provides software services to the Bank notified us that it had been the subject of a ransomware event. We have completed our investigation into this event and required notices have been provided to affected individuals. The event has not had, and we satisfy our mission as well asdo not expect it will have, a material impact on the value of our membership. Executive branch efforts at regulatory reform may affect the development or implementation of new regulations affecting us.Bank.

ECONOMIC CONDITIONS

Economic Environment

InReal gross domestic product (GDP) increased at an annual rate of 4.9 percent in the third quarter of 2017,2023. The expansion in the U.S. labor marketthird quarter was driven mainly by consumer spending and inventory investment. The increase in personal consumption expenditures reflected an increase in spending on both goods and services.

Employment continued to strengthen,improve with job gains of 297,000 and economic activity continued to expand at a moderate pace. Nonfarm payroll employment decreased by 33,000150,000 in September 2017, due likely to the impact of Hurricanes Harvey and Irma. However,October, respectively. In October 2023, the unemployment rate also decreasedwas 3.9 percent. The unemployment rate for the New England region in September 2023 was 2.7 percent, ranging from 1.9 percent in Vermont to 4.23.5 percent in Connecticut.

In September 2023, the lowest level ofConsumer Price Index (CPI) increased 0.4 percent from the year. The Federal Open Market Committee of the Federal Reserve System (FOMC) stated that the storms are unlikely to materially alter the course of the national economypreceding month, after increasing 0.6 percent in August. CPI inflation over the medium term. Household spending has been expanding at a moderate rate,previous month was driven mainly by the cost of shelter and gasoline. The FHFA reported that housing prices continuedrose 5.6 percent across the U.S. from August 2022 to increase year over year. Inflation continued to be muted, running slightly below 2 percent duringAugust 2023. Over the same period, reported.housing prices in New England rose 8.4 percent.

Interest-Rate Environment

On November 1, 2017,2023, the FOMC announced that it would maintainmaintained the target range for the federal funds rate at 1 percent to 1.25 percent.525 and 550 basis points and stated that in determining the extent of additional rate increases it will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. The FOMC also initiatedstated that it would continue reducing its holdings of Treasury securities, agency debt, and agency mortgage-backed securities by reinvesting principal payments from its securities holdings only if they exceed monthly caps.

As the Federal Reserve continued with a balance sheet normalization program in October, allowing its bond portfolio to gradually decrease over time. Long-term interesttightening policy stance, short-term rates trended downward forrose commensurate with the first two monthsmagnitude of the quarter and upwardincrease in the final monthfederal funds rate. At the end of the quarter.third quarter of 2023, 2-, 5- and 10-year Treasury rates were lower than overnight and 3-month rates. However, long-term yields rose significantly more than short-term yields during the period.

The following chart illustrates the interest-rate environment.

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 Three Month Average Nine Month Average Ending rate
 September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016 September 30, 2017 December 31, 2016
Federal funds effective rate1.15% 0.40% 0.94% 0.38% 1.06% 0.55%
3-month LIBOR1.31% 0.79% 1.20% 0.69% 1.33% 1.00%
3-month U.S. Treasury yield1.04% 0.28% 0.84% 0.27% 1.04% 0.50%
2-year U.S. Treasury yield1.36% 0.72% 1.29% 0.77% 1.48% 1.19%
5-year U.S. Treasury yield1.81% 1.12% 1.85% 1.24% 1.94% 1.93%
10-year U.S. Treasury yield2.24% 1.56% 2.31% 1.73% 2.33% 2.44%
Table 1 - Key Interest Rates(1)
Three Month Daily AverageNine Month Daily AverageEnding Rate
September 30, 2023September 30, 2022September 30, 2023September 30, 2022September 30, 2023December 31, 2022
SOFR5.24%2.15%4.90%0.99%5.31%4.30%
Federal funds effective rate5.26%2.20%4.93%1.04%5.33%4.33%
3-month U.S. Treasury yield5.42%2.63%5.08%1.33%5.45%4.34%
2-year U.S. Treasury yield4.93%3.38%4.53%2.52%5.04%4.43%
5-year U.S. Treasury yield4.31%3.23%3.94%2.68%4.61%4.00%
10-year U.S. Treasury yield4.14%3.10%3.79%2.66%4.57%3.87%
________________
(1)    Source: Bloomberg

SELECTED FINANCIAL DATA

The following financial highlights for the statement of condition and statement of operations for December 31, 2016,2022, have been derived from our audited financial statements. Financial highlights for the quarter-ends have been derived from our unaudited financial statements.




44
40
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Table 2 - Selected Financial Data
(dollars in thousands)
SELECTED FINANCIAL DATA
STATEMENT OF CONDITION
(dollars in thousands)
   As of and for the Three Months Ended
 September 30, 2017 June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016 September 30,
2023		June 30,
2023		March 31,
2023		December 31,
2022		September 30,
2022
Statement of Condition          Statement of Condition 
Total assets $60,975,455
 $60,754,247
 $56,568,802
 $61,545,586
 $60,543,301
Total assets$62,747,403 $63,281,547 $80,163,644 $62,897,549 $58,869,539 
Investments(1)
 19,340,597
 18,142,252
 17,215,779
 18,031,331
 19,264,484
Investments(1)
18,736,546 19,319,360 27,151,119 17,918,781 21,748,784 
Advances 37,467,404
 38,427,616
 35,479,424
 39,099,339
 37,195,148
Advances40,130,845 40,245,829 49,622,282 41,599,581 33,665,311 
Mortgage loans held for portfolio, net(2)
 3,942,776
 3,804,581
 3,675,598
 3,693,894
 3,714,283
Mortgage loans held for portfolio, net(2)
2,940,189 2,807,299 2,724,612 2,758,429 2,820,696 
Deposits and other borrowings 492,631
 469,173
 490,268
 482,163
 610,783
Deposits and other borrowings1,150,506 1,021,973 872,356 655,487 938,551 
Consolidated obligations:          Consolidated obligations:
Bonds 28,492,595
 28,518,424
 27,978,423
 27,171,434
 27,345,898
Bonds37,363,959 40,878,480 41,669,836 31,565,543 32,818,095 
Discount notes 28,047,762
 27,865,529
 24,179,050
 30,053,964
 28,725,374
Discount notes20,337,099 17,460,907 33,448,155 26,975,260 21,684,635 
Total consolidated obligations 56,540,357
 56,383,953
 52,157.473
 57,225,398
 56,071,272
Total consolidated obligations57,701,058 58,339,387 75,117,991 58,540,803 54,502,730 
Mandatorily redeemable capital stock 36,042
 37,380
 32,677
 32,687
 33,812
Mandatorily redeemable capital stock6,143 5,303 10,290 10,290 10,397 
Class B capital stock outstanding-putable(3)
 2,272,648
 2,408,647
 2,458,667
 2,411,306
 2,333,262
Class B capital stock outstanding-putable(3)
2,007,059 2,006,046 2,404,394 2,031,178 1,717,748 
Unrestricted retained earnings 1,011,532
 1,000,694
 994,011
 987,711
 962,798
Unrestricted retained earnings1,338,335 1,328,645 1,305,619 1,290,873 1,267,192 
Restricted retained earnings 253,750
 244,631
 236,755
 229,275
 217,343
Restricted retained earnings440,860 426,846 411,133 399,695 388,621 
Total retained earnings 1,265,282
 1,245,325
 1,230,766
 1,216,986
 1,180,141
Total retained earnings1,779,195 1,755,491 1,716,752 1,690,568 1,655,813 
Accumulated other comprehensive loss (310,314) (320,461) (343,572) (383,514) (360,644)Accumulated other comprehensive loss(326,465)(291,685)(306,399)(306,425)(244,075)
Total capital 3,227,616
 3,333,511
 3,345,861
 3,244,778
 3,152,759
Total capital3,459,789 3,469,852 3,814,747 3,415,321 3,129,486 
Results of OperationsResults of Operations
Net interest income after provision for credit lossesNet interest income after provision for credit losses$104,137 $109,628 $81,827 $70,813 $83,120 
Other income, netOther income, net2,067 3,640 4,364 4,470 4,290 
Other expenseOther expense28,339 25,958 22,629 13,742 20,721 
AHP assessmentsAHP assessments7,798 8,742 6,375 6,172 6,682 
Net incomeNet income$70,067 $78,568 $57,187 $55,369 $60,007 
Other Information          Other Information
Total regulatory capital ratio(4)
 5.86% 6.08% 6.58% 5.95% 5.86%
Dividends declaredDividends declared$46,363 $39,829 $31,003 $20,614 $11,372 
Dividend payout ratioDividend payout ratio66.17 %50.69 %54.21 %37.23 %18.95 %
Weighted-average dividend rate(4)
Weighted-average dividend rate(4)
8.04 7.55 6.67 5.16 3.72 
Return on average equity(5)
Return on average equity(5)
8.27 8.44 6.50 6.86 7.97 
Return on average assetsReturn on average assets0.43 0.42 0.32 0.35 0.41 
Net interest margin(6)
Net interest margin(6)
0.65 0.59 0.47 0.45 0.58 
Average equity to average assetsAverage equity to average assets5.16 4.96 4.93 5.04 5.18 
Total regulatory capital ratio(7)
Total regulatory capital ratio(7)
6.04 5.95 5.15 5.93 5.75 
_______________________
(1)Investments include available-for-sale securities, held-to-maturity securities, trading securities, interest-bearing deposits, securities purchased under agreements to resell and federal funds sold.
(2)The allowance for credit losses amounted to $500,000, $500,000, $625,000, $650,000, and $800,000, for the quarters ended September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016, and September 30, 2016, respectively.
(3)Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions. We also initiated daily repurchases of excess stock from members on June 1, 2017. See below under Liquidity and Capital Resources — Internal Capital Practices and Policies.
(4)Total regulatory capital ratio is capital stock (including mandatorily redeemable capital stock) plus total retained earnings as a percentage of total assets. See Item 1 — Notes to Financial Statements — Note 15 — Capital.

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

(2)The allowance for credit losses for mortgage loans amounted to $2.0 million as of September 30, 2023, $2.0 million as of June 30, 2023, $2.0 million as of March 31, 2023, $1.9 million as of December 31, 2022, and $2.0 million as of September 30, 2022, respectively.
(3)Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions.
(4)Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends.
(5)Return on average equity is net income divided by the total of the average daily balance of outstanding Class B capital stock, accumulated other comprehensive income and total retained earnings.
(6)Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets.
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(7)Total regulatory capital ratio is capital stock (including mandatorily redeemable capital stock) plus total retained earnings as a percentage of total assets. See Item 1 — Financial Statements — Notes to the Financial Statements — Note 10 — Capital.

SELECTED FINANCIAL DATA
RESULTS OF OPERATIONS AND OTHER INFORMATION
 (dollars in thousands)
   
  Results of Operations for the Three Months Ended
  September 30, 2017 June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016
Net interest income $71,109
 $63,820
 $62,504
 $76,287
 $64,779
Provision (reduction of provision) for credit losses 28
 (125) (51) (83) (94)
Net impairment losses on held-to-maturity securities recognized in earnings (432) (568) (418) (589) (371)
Litigation settlements —
 —
 —
 19,627
 —
Other income (loss) 1,028
 1,020
 427
 1,272
 (3,072)
Other expense 20,972
 20,597
 20,974
 30,351
 20,773
AHP assessments 5,110
 4,418
 4,192
 6,666
 4,099
Net income $45,595
 $39,382
 $37,398
 $59,663
 $36,558
Other Information          
Dividends declared $25,637
 $24,822
 $23,619
 $22,818
 $21,574
Dividend payout ratio 56.23% 63.03% 63.16% 38.24% 59.01%
Weighted-average dividend rate(1)
 4.22
 4.08
 3.94
 3.80
 3.65
Return on average equity(2)
 5.64
 4.74
 4.56
 7.38
 4.55
Return on average assets 0.31
 0.26
 0.25
 0.40
 0.25
Net interest margin(3)
 0.49
 0.43
 0.43
 0.51
 0.45
Average equity to average assets 5.50
 5.56
 5.55
 5.39
 5.48
_______________________
(1)Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends during the preceding quarter.
(2)Return on average equity is net income divided by the total of the average daily balance of outstanding Class B capital stock, accumulated other comprehensive loss, and total retained earnings.
(3)Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets.

RESULTS OF OPERATIONS

Net Income

Third Quarter of 20172023 Compared with the Third Quarter of 20162022

Net income increased to $45.6$70.1 million for the three months ended September 30, 2017,2023, from $36.6$60.0 million for the three months ended September 30, 2016.same period in 2022. The primary reasons for the increase are discussed above withinunder — Executive Summary.Summary.

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

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

Net Interest Income

Third Quarter of 2017 Compared with Third Quarter of 2016

Net interest income after provision for credit losses for the three months ended September 30, 20172023, was $71.1$104.1 million, compared with $64.9$83.1 million for the same period in 2016.2022. The $6.2$21.0 million increase in net interest income after provision for

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credit losses was primarily attributable todriven by a four basis point$6.4 billion increase in net interest margin andthe average balance of advances, a $133.0$724.5 million increase in the average earning assets,balance of investments securities, a $376.2 million increase in the average balance of total capital, and, to a lesser extent, an increase in yields. These positive factors were partially offset by a $28.1 million reduction to net interest income due a decline to $16.7 million net loss from $57.9 billionfair value hedges for the three months ended September 30, 2016, to $58.1 billion2023, from a $11.4 million net gain from fair value hedges for the three months ended September 30, 2017. The increase in average earning assets was driven by a $212.4 million increase in average mortgage loans and a $106.8 million increase in average investments balances partially offset by an $186.3 million decrease in average advances balances. For additional information see — Executive Summary as well as Rate and Volume Analysis.

2022. Net interest spread was 0.410.27 percent for the three months ended September 30, 2017,2023, a twodecrease of 17 basis point increasepoints from the same period in 2016,2022, and net interest margin was 0.490.65 percent, a fouran increase of seven basis point increasepoints from the same period in 2016. The increase in net interest spread reflects a 49 basis point increase in the average yield on earning assets and a 47 basis point increase in the average yield on interest-bearing liabilities. The increase in net interest margin benefited from net interest spread expansion and higher interest rates.2022. See — Executive Summary for additional information.

Nine Months Ended September 30, 2017,2023, Compared with the Nine Months Ended September 30, 2016

2022

Net income increased to $205.8 million for the nine months ended September 30, 2023, from $128.8 million for the same period in 2022. The increase was primarily the result of an increase of $84.1 million in net interest income after provision for credit losses and a decrease of $4.7 million in AHP voluntary contributions and discretionary housing and community investment programs expenses.

Net interest income after provision for credit losses for the nine months ended September 30, 20172023, was $197.6$295.6 million, compared with $175.7$211.5 million for the same period in 2016.2022. The $21.9$84.1 million increase in net interest income after provision for credit losses was primarily attributable to a five basis pointdriven by an increase in net interest margin andyields, a $697.6$21.5 billion increase in the average balance of advances, a $2.5 billion increase in the average balance of money market investments, a $914.6 million increase in the average earning assets, from $58.4 billionbalance of investments securities, a $826.5 million increase in the average balance of total capital. These positive factors were partially offset by an $86.6 million year-over-year reduction to net interest income due to a $42.8 million net loss on fair value hedges for the nine months ended September 30, 2016, to $59.1 billion2023, versus a $43.8 million net gain from fair value hedges for the nine months ended September 30, 2017. The increase in average earning assets was driven by a $1.5 billion increase in average advances balances partially offset by a $1.0 billion decrease in average investments balances. For additional information see — Rate and Volume Analysis. Partially offsetting the increase to net interest income after provision for credit losses was a $2.72022, an $18.8 milliondecrease in net prepayment fees from advances and investments from $3.3accretion of MBS premium, as well as a $159.7 million decrease in the nine months ended September 30, 2016, to $619,000 in the nine months ended September 30, 2017.

average balance of mortgage loans,. Net interest spread was 0.380.23 percent for the nine months ended September 30, 2017,2023, a threedecrease of 30 basis point increasepoints from the same period in 2016,2022, and net interest margin was 0.450.57 percent, a fivedecrease of six basis point increasepoints from the same period in 2016. The increase in net interest spread reflects a 35 basis point increase in the average yield on earning assets and a 32 basis point increase in the average yield on interest-bearing liabilities. The increase in net interest margin benefited from net interest spread expansion and higher interest rates.2022.

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


Table 3 - Net Interest Spread and Margin
(dollars in thousands)
 For the Three Months Ended September 30,
 20232022
 Average
Balance		Interest
Income /
Expense
Average
Yield/Rate(1)
Average
Balance		Interest
Income /
Expense
Average
Yield/Rate(1)
Assets      
Advances$37,006,521 $486,844 5.22 %$30,622,874 $180,829 2.34 %
Interest-bearing deposits2,862,953 38,562 5.34 1,608,143 9,138 2.25 
Securities purchased under agreements to resell2,099,457 28,450 5.38 2,566,033 11,683 1.81 
Federal funds sold4,296,815 57,936 5.35 5,137,641 28,694 2.22 
Investment securities(2)
14,694,866 215,533 5.82 13,970,317 110,542 3.14 
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Net Interest Spread and Margin
(dollars in thousands)
Mortgage loans (2)(3)
Mortgage loans (2)(3)
2,880,881 24,004 3.31 2,861,365 21,323 2.96 
Other earning assetsOther earning assets13,044 174 5.29 4,348 34 3.10 
Total interest-earning assetsTotal interest-earning assets63,854,537 851,503 5.29 56,770,721 362,243 2.53 
Other non-interest-earning assetsOther non-interest-earning assets1,656,594 1,104,248 
Fair-value adjustments on investment securitiesFair-value adjustments on investment securities(350,835)(223,831)
Total assetsTotal assets$65,160,296 $851,503 5.18 %$57,651,138 $362,243 2.49 %
Liabilities and capitalLiabilities and capital   
Consolidated obligationsConsolidated obligations   
Discount notesDiscount notes$19,522,486 $258,516 5.25 %$17,888,560 $90,096 2.00 %
BondsBonds38,590,167 477,389 4.91 34,211,913 186,249 2.16 
Other interest-bearing liabilitiesOther interest-bearing liabilities979,806 11,469 4.64 728,885 2,278 1.24 
Total interest-bearing liabilitiesTotal interest-bearing liabilities59,092,459 747,374 5.02 52,829,358 278,623 2.09 
Other non-interest-bearing liabilitiesOther non-interest-bearing liabilities2,705,524 1,835,708 
Total capitalTotal capital3,362,313 2,986,072 
Total liabilities and capitalTotal liabilities and capital$65,160,296 $747,374 4.55 %$57,651,138 $278,623 1.92 %
Net interest incomeNet interest income $104,129  $83,620 
Net interest spreadNet interest spread  0.27 %  0.44 %
Net interest marginNet interest margin  0.65 %  0.58 %
 For the Three Months Ended September 30, For the Nine Months Ended September 30,
 2017 2016 20232022
 
Average
Balance
 
Interest
Income /
Expense
 
Average
Yield(1)
 
Average
Balance
 
Interest
Income /
Expense
 
Average
Yield(1)
 Average
Balance		Interest
Income /
Expense		Average
Yield(1)		Average
Balance		Interest
Income /
Expense		Average
Yield(1)
Assets            Assets      
Advances $35,810,374
 $136,462
 1.51% $35,996,668
 $84,795
 0.94%Advances$43,123,887 $1,588,381 4.92 %$21,610,400 $287,377 1.78 %
Interest-bearing depositsInterest-bearing deposits2,836,512 106,064 5.00 1,045,889 11,667 1.49 
Securities purchased under agreements to resell 3,028,348
 8,074
 1.06
 3,109,326
 2,697
 0.35
Securities purchased under agreements to resell2,332,432 86,655 4.97 2,149,366 20,963 1.30 
Federal funds sold 5,645,848
 16,622
 1.17
 5,155,967
 5,200
 0.40
Federal funds sold4,002,986 148,781 4.97 3,506,410 36,266 1.38 
Investment securities(2)
 9,402,709
 53,188
 2.24
 9,781,842
 52,142
 2.12
Investment securities(2)Investment securities(2)14,545,388 594,131 5.46 13,630,806 219,510 2.15 
Mortgage loans 3,879,748
 31,656
 3.24
 3,667,314
 29,874
 3.24
Mortgage loans2,791,780 66,904 3.20 2,951,526 64,270 2.91 
Other earning assets 287,032
 822
 1.14
 209,976
 171
 0.32
Other earning assets16,117 605 5.02 1,465 34 3.10 
Total interest-earning assets 58,054,059
 246,824
 1.69
 57,921,093
 174,879
 1.20
Total interest-earning assets69,649,102 2,591,521 4.97 44,895,862 640,087 1.91 
Other non-interest-earning assets 278,801
     346,965
    Other non-interest-earning assets1,581,814 875,545 
Fair-value adjustments on investment securities 4,384
     87,557
    Fair-value adjustments on investment securities(336,678)(115,747)
Total assets $58,337,244
 $246,824
 1.68% $58,355,615
 $174,879
 1.19%Total assets$70,894,238 $2,591,521 4.89 %$45,655,660 $640,087 1.87 %
Liabilities and capital            Liabilities and capital   
Consolidated obligations            Consolidated obligations   
Discount notes $24,962,389
 $65,120
 1.03% $25,981,154
 $23,011
 0.35%Discount notes$25,212,597 $920,041 4.88 %$10,955,076 $116,812 1.43 %
Bonds 28,964,110
 109,052
 1.49
 27,769,228
 86,574
 1.24
Bonds38,775,657 1,349,479 4.65 29,876,607 308,391 1.38 
Deposits 501,179
 1,144
 0.91
 502,769
 180
 0.14
Mandatorily redeemable capital stock 36,601
 399
 4.32
 34,952
 334
 3.80
Other borrowings —
 —
 —
 701
 1
 0.57
Other interest-bearing liabilitiesOther interest-bearing liabilities828,541 26,324 4.25 805,466 3,105 0.52 
Total interest-bearing liabilities 54,464,279
 175,715
 1.28
 54,288,804
 110,100
 0.81
Total interest-bearing liabilities64,816,795 2,295,844 4.74 41,637,149 428,308 1.38 
Other non-interest-bearing liabilities 666,221
     868,420
    Other non-interest-bearing liabilities2,523,755 1,291,282 
Total capital 3,206,744
     3,198,391
    Total capital3,553,688 2,727,229 
Total liabilities and capital $58,337,244
 $175,715
 1.20% $58,355,615
 $110,100
 0.75%Total liabilities and capital$70,894,238 $2,295,844 4.33 %$45,655,660 $428,308 1.25 %
Net interest income  
 $71,109
    
 $64,779
  Net interest income $295,677  $211,779 
Net interest spread  
  
 0.41%  
  
 0.39%Net interest spread  0.23 %  0.53 %
Net interest margin  
  
 0.49%  
  
 0.45%Net interest margin  0.57 %  0.63 %
_________________________
(1)Yields are annualized
(2)The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss.

(1)    Yields are annualized.    

(2)    Average balances are reflected at amortized cost.
(3)    Nonaccrual loans are included in the average balances used to determine average yield.

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Net Interest Spread and Margin
(dollars in thousands)
                        
  For the Nine Months Ended September 30,
  2017 2016
  
Average
Balance
 
Interest
Income /
Expense
 
Average
Yield(1)
 
Average
Balance
 
Interest
Income /
Expense
 
Average
Yield(1)
Assets            
Advances $37,333,691
 $371,075
 1.33% $35,785,458
 $246,957
 0.92%
Securities purchased under agreements to resell 3,024,824
 18,822
 0.83
 3,499,307
 8,603
 0.33
Federal funds sold 5,618,242
 39,614
 0.94
 5,666,230
 15,992
 0.38
Investment securities(2)
 9,131,332
 146,490
 2.14
 9,641,011
 149,617
 2.07
Mortgage loans 3,762,675
 92,592
 3.29
 3,611,442
 90,856
 3.36
Other earning assets 216,100
 1,549
 0.96
 185,846
 414
 0.30
Total interest-earning assets 59,086,864
 670,142
 1.52
 58,389,294
 512,439
 1.17
Other non-interest-earning assets 329,834
     322,433
    
Fair-value adjustments on investment securities (23,843)     29,087
    
Total assets $59,392,855
 $670,142
 1.51% $58,740,814
 $512,439
 1.17%
Liabilities and capital            
Consolidated obligations            
Discount notes $26,468,987
 $157,767
 0.80% $26,747,661
 $68,287
 0.34%
Bonds 28,454,655
 311,395
 1.46
 27,503,032
 267,214
 1.30
Deposits 468,524
 2,434
 0.69
 490,595
 441
 0.12
Mandatorily redeemable capital stock 35,058
 1,105
 4.21
 37,359
 1,032
 3.69
Other borrowings 1,099
 8
 0.97
 874
 3
 0.46
Total interest-bearing liabilities 55,428,323
 472,709
 1.14
 54,779,521
 336,977
 0.82
Other non-interest-bearing liabilities 676,974
     830,264
    
Total capital 3,287,558
     3,131,029
    
Total liabilities and capital $59,392,855
 $472,709
 1.06% $58,740,814
 $336,977
 0.77%
Net interest income  
 $197,433
    
 $175,462
  
Net interest spread  
  
 0.38%  
  
 0.35%
Net interest margin  
  
 0.45%  
  
 0.40%
_________________________
(1)Yields are annualized
(2)The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss.

Rate and Volume Analysis

Changes in both average balances (volume) and interest rates influence changes in net interest income and net interest margin. The following tableTable 4 summarizes changes in interest income and interest expense for the three and nine months ended September 30, 20172023 and 2016.2022. Changes in interest income and interest expense that are not identifiable as either volume-related or rate-related, but are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

Table 4 - Rate and Volume Analysis

(dollars in thousands)
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 For the Three Months Ended September 30, 2023 vs. 2022For the Nine Months Ended September 30, 2023 vs. 2022
 Increase (Decrease) due toIncrease (Decrease) due to
 VolumeRateTotalVolumeRateTotal
Interest income   
Advances$44,415 $261,600 $306,015 $468,363 $832,641 $1,301,004 
Interest-bearing deposits10,675 18,749 29,424 39,766 54,631 94,397 
Securities purchased under agreements to resell(2,478)19,245 16,767 1,933 63,759 65,692 
Federal funds sold(5,385)34,627 29,242 5,826 106,689 112,515 
Investment securities6,013 98,978 104,991 15,675 358,946 374,621 
Mortgage loans146 2,535 2,681 (3,601)6,235 2,634 
Other earning assets103 37 140 538 33 571 
Total interest income53,489 435,771 489,260 528,500 1,422,934 1,951,434 
Interest expense   
Consolidated obligations   
Discount notes8,941 159,479 168,420 280,730 522,499 803,229 
Bonds26,607 264,533 291,140 116,165 924,923 1,041,088 
Other interest-bearing liabilities1,024 8,167 9,191 91 23,128 23,219 
Total interest expense36,572 432,179 468,751 396,986 1,470,550 1,867,536 
Change in net interest income$16,917 $3,592 $20,509 $131,514 $(47,616)$83,898 


Rate and Volume Analysis
(dollars in thousands)
 
  
For the Three Months Ended
 September 30, 2017 vs. 2016
 
For the Nine Months Ended
 September 30, 2017 vs. 2016
  Increase (Decrease) due to Increase (Decrease) due to
  Volume Rate Total Volume Rate Total
Interest income        
  
  
Advances $(427) $52,094
 $51,667
 $11,106
 $113,012
 $124,118
Securities purchased under agreements to resell (71) 5,448
 5,377
 (1,312) 11,531
 10,219
Federal funds sold 547
 10,875
 11,422
 (137) 23,759
 23,622
Investment securities (1,812) 2,858
 1,046
 (8,073) 4,946
 (3,127)
Mortgage loans 2,013
 (231) 1,782
 3,750
 (2,014) 1,736
Other earning assets 84
 567
 651
 78
 1,057
 1,135
Total interest income 334
 71,611
 71,945
 5,412
 152,291
 157,703
Interest expense        
  
  
Consolidated obligations        
  
  
Discount notes (922) 43,031
 42,109
 (719) 90,199
 89,480
Bonds 4,072
 18,406
 22,478
 9,497
 34,684
 44,181
Deposits (1) 965
 964
 (21) 2,014
 1,993
Mandatorily redeemable capital stock 17
 48
 65
 (66) 139
 73
Other borrowings (1) —
 (1) 1
 4
 5
Total interest expense 3,165
 62,450
 65,615
 8,692
 127,040
 135,732
Change in net interest income $(2,831) $9,161
 $6,330
 $(3,280) $25,251
 $21,971

Average Balance of Advances Outstanding

The average balance of total advances increased $1.5$21.5 billion, or 4.399.6 percent, for the nine months ended September 30, 2017,2023, compared with the same period in 2016. However, advances balances declined by $1.6 billion over2022. This increase in the nine month period ended September 30, 2017. We cannot predict whether this trend will continue. The following table summarizes average balancesbalance of advances outstanding duringwas concentrated in short-term fixed rate advances, long-term fixed rate advances, and variable-rate advances. While average advances remained elevated for the nine months ended September 30, 2017 and 2016, by product type.


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Average Balance of Advances Outstanding by Product Type
(dollars in thousands)
  For the Three Months Ended September 30, For the Nine Months Ended September 30,
  2017 2016 2017 2016
Fixed-rate advances—par value        
Long-term $13,833,016
 $13,379,046
 $13,535,505
 $13,519,952
Short-term 12,297,210
 11,348,160
 12,037,843
 11,304,599
Putable 1,995,574
 2,477,805
 2,343,896
 2,161,985
Overnight 1,188,930
 750,195
 1,366,174
 816,945
Amortizing 925,847
 861,330
 895,765
 864,734
All other fixed-rate advances 40,000
 57,457
 45,018
 78,482
  30,280,577
 28,873,993
 30,224,201
 28,746,697
         
Variable-rate indexed advances—par value        
Simple variable (1)
 4,866,698
 6,254,069
 6,476,560
 6,361,059
Putable 645,006
 663,391
 614,478
 477,595
All other variable-rate indexed advances 39,967
 38,967
 41,954
 39,726
  5,551,671
 6,956,427
 7,132,992
 6,878,380
Total average par value 35,832,248
 35,830,420
 37,357,193
 35,625,077
Net (discounts) premiums (11,293) 3,497
 (8,152) 4,468
Market value of bifurcated derivatives 2,224
 7,135
 889
 4,467
Hedging adjustments (12,805) 155,616
 (16,239) 151,446
Total average balance of advances $35,810,374
 $35,996,668
 $37,333,691
 $35,785,458
_____________________
(1)Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

In addition, the average balance of fixed-rate2023, total advances that were hedged with interest-rate swaps to yield an effective floating rate totaled $8.9 billion for the nine months ended at September 30, 2017. Therefore, a significant portion of our advances, including overnight advances, short-term fixed-rate advances, fixed-rate putable advances, certain fixed-rate bullet advances, and variable-rate advances, either earn a short-term interest rate or are swapped2023 returned to a short-term index, resulting in yields that closely follow short-term market interest-rate trends. The average balance of all such advances totaled $29.4 billion for the nine months ended September 30, 2017, representing 78.8 percent of the total average balance of advances outstanding during the nine months ended September 30, 2017. The average balance of all such advances totaled $28.0 billion for the nine months ended September 30, 2016, representing 78.1 percent of the total average balance of advances outstanding during the nine months ended September 30, 2016.

For the nine months ended September 30, 2017 and 2016, net prepayment fees on advances and investments were $619,000 and $3.3 million, respectively. Prepayment-fee income is unpredictable and inconsistent from period to period, occurring only when advances and investments are prepaidlevels seen prior to the scheduled maturity or repricing dates,March 2023 liquidity crisis and generally when prevailing reinvestment yields are lower than thosenow $1.5 billion below the balance as of the prepaidDecember 31, 2022. We cannot predict future member demand for advances.


Average Balance of Investments

Average short-term money-market investments, consisting of interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold, decreased $492.2 million,and loans to other FHLBanks, increased $2.5 billion, or 5.337.1 percent, for the nine months ended September 30, 2017,2023, compared with the same period in 2016.2022, as liquidity needs were greater in 2023 compared to 2022 due to increased advances borrowing activity. The yield earned on short-term money-market investments is highly correlated to short-term market interest rates. As a result of the FOMC’s increases ofincrease in the target range for the federal funds rate, in late 2016 and the first half of 2017, average yields on overnight federal funds sold increased from 0.381.38 percent during the nine months ended September 30, 20162022, to 0.944.97 percent during the nine months ended September 30, 2017,2023, while average yields on securities purchased under agreements to resell increased from 0.331.30 percent for the nine months ended September 30, 20162022, to 0.834.97 percent for the nine months ended September 30, 2017.2023. These investments are used for liquidity management and tomanagement.


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

Average investment-securities balances decreased $509.7increased $914.6 million, or 5.296.7 percent for the nine months ended September 30, 2017,2023, compared with the same period in 2022.

44
2016, a decrease consisting primarilyTable of a $854.8 million decrease in MBS and a $342.7 million increase in U.S. Treasury obligations.Contents

Average Balance of COs

Average CO balances increased $672.9 million,$23.2 billion, or 1.256.7 percent, for the nine months ended September 30, 2017,2023, compared with the same period in 2016,2022, resulting from our increased funding needs principally due to the increase in our average advances balances. This overall increase consisted of an increase of $951.6 million in CO bonds and a decrease of $278.7 million$14.3 billion in CO discount notes.notes and $8.9 billion in CO bonds.


The average balance of CO discount notes represented approximately 48.239.4 percent of total average COs duringfor the ninethree months ended September 30, 2017,2023, compared with 49.326.8 percent of total average COs duringfor the nine months ended September 30, 2016.same period in 2022. The average balance of CO bonds represented 51.860.6 percent and 50.773.2 percent of total average COs outstanding during the nine months ended September 30, 20172023 and 2016,2022, respectively.

Impact of Derivatives and Hedging Activities

Net interest income includes interest accrued on interest-rate-exchange agreements that are associated with advances, investments, deposits, and debt instruments that qualify for hedge accounting. The fair value gains and losses of derivatives and hedged items designated in fair-value hedge relationships are also recognized as interest income or interest expense. We enter into derivatives to manage the interest-rate-risk exposures inherent in otherwise unhedged assets and liabilities and to achieve our risk-management objectives. We generally use derivative instruments that qualify for hedge accounting as interest-rate risk-management tools. These derivatives serve to stabilize net interest income and net interest margin when interest rates fluctuate. Accordingly, the impact of derivatives on net interest income and net interest margin, as well as other income, should be viewed in the overall context of our risk-management strategy. The following tables showTable 5 below provides a summary of the net effectimpact of derivatives and hedging activities on net interest income, net gains (losses) on derivativesour earnings.

Table 5 - Effect of Derivative and hedging activities, and net unrealized gains (losses) on trading securities for the three and nine months endedSeptember 30, 2017 and 2016 (dollarsHedging Activities
(dollars in thousands).
For the Three Months Ended September 30, 2023
Net Effect of Derivatives and Hedging ActivitiesAdvancesInvestmentsMortgage LoansCO BondsTotal
Net interest income
Amortization / accretion of hedging activities (1)
$(366)$— $(36)$(2,593)$(2,995)
(Losses) gains on designated fair-value hedges(64)(299)— 1,152 789 
Net interest settlements on derivatives(2)
53,399 125,784 — (170,493)8,690 
Price alignment interest(3)
(2,771)(15,008)— 332 (17,447)
Total net interest income50,198 110,477 (36)(171,602)(10,963)
Net losses on derivatives and hedging activities
Mortgage delivery commitments— — (731)— (731)
Net losses on derivatives and hedging activities— — (731)— (731)
Total net effect of derivatives and hedging activities$50,198 $110,477 $(767)$(171,602)$(11,694)



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For the Three Months Ended September 30, 2022
Net Effect of Derivatives and Hedging ActivitiesAdvancesInvestmentsMortgage LoansCO BondsTotal
Net interest income
Amortization / accretion of hedging activities in net interest income (1)
$(302)$— $(76)$(876)$(1,254)
Net gains on designated fair-value hedges1,451 12,796 — 536 14,783 
Net interest settlements included in net interest income (2)
4,973 22,216 — (40,221)(13,032)
Price alignment interest(3)
(550)(2,913)— 111 (3,352)
Total net interest income5,572 32,099 (76)(40,450)(2,855)
Net (losses) gains on derivatives and hedging activities
Net gains (losses) on derivatives not receiving hedge accounting5 (1)— — 4 
Mortgage delivery commitments— — 47 — 47 
Net gains (losses) on derivatives and hedging activities5 (1)47 — 51 
Total net effect of derivatives and hedging activities$5,577 $32,098 $(29)$(40,450)$(2,804)
For the Nine Months Ended September 30, 2023
Net Effect of Derivatives and Hedging ActivitiesAdvancesInvestmentsMortgage LoansCO BondsTotal
Net interest income
Amortization / accretion of hedging activities in net interest income (1)
$(1,349)$— $(182)$(3,995)$(5,526)
Net gains (losses) on designated fair-value hedges270 (3,179)— 962 (1,947)
Net interest settlements included in net interest income (2)
125,370 337,838 — (468,235)(5,027)
Price alignment interest(3)
(6,354)(35,365)— 872 (40,847)
Total net interest income117,937 299,294 (182)(470,396)(53,347)
Net losses on derivatives and hedging activities
Mortgage delivery commitments— — (1,080)— (1,080)
Net losses on derivatives and hedging activities— — (1,080)— (1,080)
Total net effect of derivatives and hedging activities$117,937 $299,294 $(1,262)$(470,396)$(54,427)

46
  For the Three Months Ended September 30, 2017 
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Other Total 
Net interest income             
Amortization / accretion of hedging activities in net interest income (1)
 $(507) $—
 $(60) $786
 $—
 $219
 
Net interest settlements included in net interest income (2)
 (2,878) (7,879) —
 242
 —
 (10,515) 
Total net interest income (3,385) (7,879) (60) 1,028
 —
 (10,296) 
              
Net gains (losses) on derivatives and hedging activities             
Gains (losses) on fair-value hedges 501
 504
 —
 (1,881) —
 (876) 
Losses on cash-flow hedges —
 —
 —
 (18) —
 (18) 
(Losses) gains on derivatives not receiving hedge accounting (5) 75
 —
 —
 —
 70
 
Mortgage delivery commitments —
 —
 692
 —
 —
 692
 
Other (3)
 —
 —
 —
 —
 126
 126
 
Net gains (losses) on derivatives and hedging activities 496
 579
 692
 (1,899) 126
 (6) 
              
Subtotal (2,889) (7,300) 632
 (871) 126
 (10,302) 
              
Net losses on trading securities —
 (1,591) —
 —
 —
 (1,591) 
Total net effect of derivatives and hedging activities $(2,889) $(8,891) $632
 $(871) $126
 $(11,893) 
_____________________
(1)Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss.
(2)Represents interest income/expense on derivatives included in net interest income.
(3)
Amount in Other includes the price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount, as further described in Item 1 —Notes to the Financial Statements — Note 11 — Derivatives and Hedging Activities.

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For the Nine Months Ended September 30, 2022
Net Effect of Derivatives and Hedging ActivitiesAdvancesInvestmentsMortgage LoansCO BondsTotal
Net interest income
Amortization / accretion of hedging activities in net interest income (1)
$(838)$— $(376)$(2,757)$(3,971)
Net gains on designated fair-value hedges3,707 43,419 — 1,241 48,367 
Net interest settlements included in net interest income (2)
(10,158)(36,431)— 1,619 (44,970)
Price alignment interest(3)
(757)(3,913)— 144 (4,526)
Total net interest income(8,046)3,075 (376)247 (5,100)
Net (losses) gains on derivatives and hedging activities
Net gains (losses) on derivatives not receiving hedge accounting10 (2)— (520)(512)
CO bond firm commitments— — — 520 520 
Mortgage delivery commitments— — (744)— (744)
Net gains (losses) on derivatives and hedging activities10 (2)(744)— (736)
Net losses on trading securities— (425)— — (425)
Total net effect of derivatives and hedging activities$(8,036)$2,648 $(1,120)$247 $(6,261)
________________________
  For the Three Months Ended September 30, 2016
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Total 
Net interest income           
Amortization / accretion of hedging activities in net interest income (1)
 $(679) $—
 $(155) $(947) $(1,781) 
Net interest settlements included in net interest income (2)
 (22,547) (8,788) —
 6,500
 (24,835) 
Total net interest income (23,226) (8,788) (155) 5,553
 (26,616) 
            
Net (losses) gains on derivatives and hedging activities           
Gains (losses) on fair-value hedges 173
 445
 —
 (3,896) (3,278) 
Losses on cash-flow hedges —
 —
 —
 (22) (22) 
Gains on derivatives not receiving hedge accounting 20
 1,105
 —
 61
 1,186
 
Mortgage delivery commitments —
 —
 251
 (59) 192
 
Net gains (losses) on derivatives and hedging activities 193
 1,550
 251
 (3,916) (1,922) 
            
Subtotal (23,033) (7,238) 96
 1,637
 (28,538) 
            
Net losses on trading securities —
 (2,849) —
 —
 (2,849) 
Total net effect of derivatives and hedging activities $(23,033) $(10,087) $96
 $1,637
 $(31,387) 
(1)    Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive income.
_____________________
(1)Represents the amortization/accretion of hedging fair-value adjustments.
(2)(2)    Represents interest income/expense on derivatives included in net interest income.
  For the Nine Months Ended September 30, 2017
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Other Total
Net interest income            
Amortization / accretion of hedging activities in net interest income (1)
 $(1,676) $—
 $(223) $1,033
 $—
 $(866)
Net interest settlements included in net interest income (2)
 (24,566) (24,319) —
 6,965
 —
 (41,920)
Total net interest income (26,242) (24,319) (223) 7,998
 —
 (42,786)
             
Net gains (losses) on derivatives and hedging activities            
Gains (losses) on fair-value hedges 370
 1,365
 —
 (4,022) —
 (2,287)
Gains on cash-flow hedges —
 —
 —
 213
 —
 213
(Losses) gains on derivatives not receiving hedge accounting (16) (140) —
 4
 —
 (152)
Mortgage delivery commitments —
 —
 1,556
 —
 —
 1,556
Other (3)
 —
 —
 —
 —
 282
 282
Net gains (losses) on derivatives and hedging activities 354
 1,225
 1,556
 (3,805) 282
 (388)
             
Subtotal (25,888) (23,094) 1,333
 4,193
 282
 (43,174)
             
Net losses on trading securities —
 (3,857) —
 —
 —
 (3,857)
Total net effect of derivatives and hedging activities $(25,888) $(26,951) $1,333
 $4,193
 $282
 $(47,031)

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_____________________
(1)Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss.
(2)Represents interest income/expense on derivatives included in net interest income.
(3)
Amount in Other includes the price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount, as further described in Item 1 —Notes to the Financial Statements — Note 11 — Derivatives and Hedging Activities.

  For the Nine Months Ended September 30, 2016
Net Effect of Derivatives and Hedging Activities Advances Investments Mortgage Loans CO Bonds Total
Net interest income          
Amortization / accretion of hedging activities in net interest income (1)
 $(2,028) $—
 $(437) $(5,580) $(8,045)
Net interest settlements included in net interest income (2)
 (78,799) (26,682) —
 21,730
 (83,751)
Total net interest income (80,827) (26,682) (437) 16,150
 (91,796)
           
Net (losses) gains on derivatives and hedging activities          
(Losses) gains on fair-value hedges (1,016) 1,185
 —
 (8,698) (8,529)
Losses on cash-flow hedges —
 —
 —
 (558) (558)
(Losses) gains on derivatives not receiving hedge accounting (86) (3,547) —
 102
 (3,531)
Mortgage delivery commitments —
 —
 1,557
 (59) 1,498
Net (losses) gains on derivatives and hedging activities (1,102) (2,362) 1,557
 (9,213) (11,120)
           
Subtotal (81,929) (29,044) 1,120
 6,937
 (102,916)
           
Net losses on trading securities —
 (892) —
 —
 (892)
Total net effect of derivatives and hedging activities $(81,929) $(29,936) $1,120
 $6,937
 $(103,808)
_____________________
(1)Represents the amortization/accretion of hedging fair-value adjustments.
(2)Represents interest income/expense on derivatives included in net interest income.

Interest paid and received on interest-rate-exchange agreements that are economic hedges is classified as net losses on derivatives and hedging activitiesincluded in othernet interest income. As shown under — Other Income (Loss) below, interest accruals on
(3)    Relates to derivatives classifiedfor which variation margin payments are characterized as economic hedges totaled a net expense of $3.6 million and $4.5 million for the daily settled contracts.
nine months endedSeptember 30, 2017 and 2016, respectively.

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

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

FINANCIAL CONDITION

Advances

At September 30, 2017,2023, the advances portfolio totaled $37.5$40.1 billion,, a decrease of $1.6$1.5 billion compared with $39.1 from $41.6 billion at December 31, 20162022.
.

Table 6 - Advances Outstanding by Product Type
(dollars in thousands)
The following table summarizes advances outstanding by product type at September 30, 2017, and December 31, 2016.

 September 30, 2023December 31, 2022
 Par Value Percent of TotalPar ValuePercent of Total
Fixed-rate advances     
Short-term$11,897,770  29.4 %$18,789,061 44.9 %
Long-term10,688,102  26.5 7,045,651 16.8 
Putable5,307,670  13.1 1,428,100 3.4 
Overnight2,789,234 6.9 3,959,973 9.5 
Amortizing929,416  2.3 754,126 1.8 
31,612,192 78.2 31,976,911 76.4 
Variable-rate advances     
Simple variable (1)
8,677,195  21.5 9,729,865 23.3 
Putable120,000 0.3 122,000 0.3 
All other variable-rate indexed advances5,746 — 2,000 — 
 8,802,941  21.8 9,853,865 23.6 
Total par value$40,415,133  100.0 %$41,830,776 100.0 %
56
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________________________
(1)    Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

Advances Outstanding by Product Type
(dollars in thousands)

 September 30, 2017 December 31, 2016
 Par Value Percent of Total Par Value Percent of Total
Fixed-rate advances 
  
  
  
Long-term$14,024,963
 37.4% $13,051,558
 33.4%
Short-term12,860,167
 34.3
 12,260,502
 31.3
Putable1,528,750
 4.1
 2,735,050
 7.0
Overnight1,329,389
 3.5
 1,577,162
 4.0
Amortizing938,529
 2.5
 861,920
 2.2
All other fixed-rate advances40,000
 0.1
 40,000
 0.1
 30,721,798
 81.9
 30,526,192
 78.0
        
Variable-rate advances 
  
  
  
Simple variable (1)
6,003,175
 16.0
 7,895,783
 20.2
Putable707,400
 1.9
 616,000
 1.6
All other variable-rate indexed advances76,277
 0.2
 76,880
 0.2
 6,786,852
 18.1
 8,588,663
 22.0
Total par value$37,508,650
 100.0% $39,114,855
 100.0%
_____________________
(1)Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.
See Item 1 — Financial Statements — Notes to the Financial Statements — Note 84 — Advances for disclosures relating to redemption terms of the advances portfolio.

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

Advances Credit Risk

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

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

Category-1: membersCategory-1    Members that are generally in satisfactory financial condition;condition.
Category-2: membersCategory-2    Members that show financial weakness or weakening financial trends in key financial indices and/or regulatory findings; andfindings.
Category-3: membersCategory-3    Members with financial weaknesses that present an elevated level of concern. We also place housing associates and non-member borrowers in Category-3.

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

Table 7 - Advances Outstanding by Borrower Credit Status Category
(dollars in thousands)
As of September 30, 2023
 Number of Borrowers Par Value of Advances Outstanding Discounted Collateral Ratio of Discounted Collateral to Advances
Category-1231 $34,339,291 $124,641,613 363.0 %
Category-222  1,171,073  1,941,491  165.8 
Category-316  514,756  665,507  129.3 
Insurance companies22 4,390,013 5,728,891 130.5 
Total291  $40,415,133  $132,977,502  329.0 %
As of December 31, 2022
 Number of Borrowers Par Value of Advances Outstanding Discounted Collateral Ratio of Discounted Collateral to Advances
Category-1228 $36,834,511 $115,524,193 313.6 %
Category-219 496,153 1,120,873 225.9 
Category-316 219,837 400,765 182.3 
Insurance companies25 4,280,275 5,616,817 131.2 
Total288  $41,830,776  $122,662,648  293.2 %
The following table provides information regarding advances outstanding with our borrowers in Category-1, Category-2, Category-3, and insurance company members, at
September 30, 2017, along with their corresponding collateral balances.


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Advances Outstanding by Borrower Credit Status Category
As of September 30, 2017
(dollars in thousands)
        
 Number of Borrowers Par Value of Advances Outstanding Discounted Collateral Ratio of Discounted Collateral to Advances
Category-1272
 $34,203,696
 $86,335,039
 252.4%
Category-214
 475,926
 907,830
 190.8
Category-320
 504,151
 696,404
 138.1
Insurance companies19
 2,324,877
 3,106,494
 133.6
Total325
 $37,508,650
 $91,045,767
 242.7%

The method by which a borrower pledges collateral is dependentdepends upon the type of borrower (depository vs. non-depository), the category to which itthe borrower is assigned, and on the type of collateral that the borrower pledges. Moreover, borrowers in Category-1 are permittedeligible to specifically list and identify single-family owner-occupied residential mortgage loans at a lower discount than is allowed if the collateral is not specifically listed and identified.
Based on the financial reviews and other conditions of the members, the
The Bank may adjust the credit status category of a member from time to time. Due to their weaker profile,time based on the Bank requires Category-3 members to deliver collateral to the Bank or its custodian. Based upon the method by which borrowers pledge collateral to us, the following table shows the total potential lending valuefinancial reviews and other circumstances of the collateral that borrowers have pledged to us, netmember.
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Table of our collateral valuation discounts as of ContentsSeptember 30, 2017.

Collateral by Pledge Type
(dollars in thousands)
 Discounted Collateral
Collateral not specifically listed and identified$28,591,280
Collateral specifically listed and identified56,632,840
Collateral delivered to us11,561,620

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

We have not recorded any allowance for credit losses on advances at September 30, 2017,2023, and December 31, 2016,2022, for the reasons discussed in Item 1 — Financial Statements — Notes to the Financial Statements — Note 10 4 — Allowance for Credit Losses.

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


Table 8 - Top Five Advance-Borrowing Institutions
(dollars in thousands)
58
 September 30, 2023
Name Par Value of Advances Percent of Total Par Value of Advances
Weighted-Average Rate (1)
Citizens Bank, N.A. $7,036,235  17.4 %5.59 %
Massachusetts Mutual Life Insurance Company2,100,000 5.2 1.78 
Webster Bank, N.A. 1,810,218  4.5 5.53 
Hingham Institution for Savings1,509,000 3.7 4.61 
Institution for Savings in Newburyport and its Vicinity 1,155,632  2.9 3.39 
Total of top five advance-borrowing institutions$13,611,085 33.7 %
 December 31, 2022
Name Par Value of Advances Percent of Total Par Value of Advances
Weighted-Average Rate (1)
Citizens Bank, N.A.$8,519,007 20.4 %4.28 %
Webster Bank, N.A.5,460,552 13.1 4.39 
Massachusetts Mutual Life Insurance Company2,100,000 5.0 1.78 
State Street Bank and Trust Company2,000,000 4.8 4.18 
Hingham Institution for Savings1,276,000 3.0 4.23 
Total of top five advance-borrowing institutions$19,355,559 46.3 %
_______________________
Table(1)    Weighted-average rates are based on the contract rate of Contentseach advance without taking into consideration the effects of interest-rate-exchange agreements that we may use as hedging instruments.


Top Five Advance-Borrowing Institutions
(dollars in thousands)
  September 30, 2017   
Name Par Value of Advances Percent of Total Par Value of Advances 
Weighted-Average Rate (1)
 
Advances Interest Income for the
Three Months Ended
September 30, 2017
Advances Interest Income for the
Nine Months Ended
September 30, 2017
Citizens Bank, N.A. $5,358,737
 14.3% 1.35% $14,316
$46,968
People's United Bank, N.A. 2,804,872
 7.5
 1.27
 8,240
18,900
Webster Bank, N.A. 1,507,679
 4.0
 1.49
 5,240
17,413
Berkshire Bank 1,354,433
 3.6
 1.33
 4,391
10,543
Massachusetts Mutual Life Insurance Co. 1,100,000
 2.9
 2.14
 6,076
17,975
Total of top five advance-borrowing institutions $12,125,721
 32.3%   $38,263
$111,799
_______________________
(1)Weighted-average rates are based on the contract rate of each advance without taking into consideration the effects of interest-rate-exchange agreements that we may use as hedging instruments.

Investments

At September 30, 2017,2023, investment securities and short-term money-market instruments totaled $19.3$18.7 billion,, an increase of $1.3$817.8 million from $17.9 billion from at December 31, 20162022.
.

Short-term money-market investments increased $774.7$431.9 million to $9.5$4.6 billion at September 30, 2017,2023, compared with December 31, 2016.2022. The increase was attributable to a $3.6 billion increase in federal funds sold and a $224.7increases of $500.0 million increase in interest-bearing deposits offset by a $3.0 billion decrease in securities purchased under agreements to resell.resell and $197.9 million in interest bearing deposits, partially offset by a decrease of $266.0 million in federal funds sold.

Investment securities increased $534.5$385.8 million to $9.9$14.1 billion at September 30, 2017,2023, compared with $13.7 billion at December 31, 2016. The increase was attributable to a $604.1 million increase in MBS partially offset by a $90.0 million decrease in U.S. Treasury obligations.

2022.
Our MBS investment portfolio consists of the following categories of securities as of
September 30, 2017, and December 31, 2016. The percentages in the table below are based on carrying value.

Mortgage-Backed Securities
 September 30, 2017 December 31, 2016
Single-family MBS - U.S. government-guaranteed and GSE61.6% 67.5%
Multifamily MBS - U.S. government-guaranteed and GSE30.0
 22.2
Private-label residential MBS8.3
 10.1
ABS backed by home-equity loans0.1
 0.2
Total MBS100.0% 100.0%

Investments Credit Risk

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

We place short-term funds with large, high-quality financial institutions with long-termthat must be rated in at least the third-highest internal rating category on a rating scale of FHFA1 through FHFA7, reflecting progressively lower credit ratings no lower than single-A (or equivalent) on an unsecured basis. Allquality. The internal rating categories of FHFA1 through FHFA4 are considered to be investment quality. As of September 30, 2023, all of these
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placements currently expireeither expired within one day.day or were payable upon demand. See Part 1 — Item 1 — Business — Business Lines — Investments in the 2022 Annual Report for additional information.

In addition to these unsecured short-term investments, we also make secured investments in the form of securities purchased under agreements to resell secured by U.S. Treasury, andU.S. government guaranteed, or agency obligations, whosewith current terms to maturity are up to 35 days. We

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have also invested95 days and in and are subject to secured credit risk related to MBS ABS, and HFA securities that are directly or indirectly supported by underlying mortgage loans.

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

Table 9 - Credit Ratings of Investments at Carrying Value
(dollars in thousands)
As of September 30, 2023
Long-Term Credit Rating
Investment CategoryTriple-A Double-A Single-A Unrated
Money-market instruments: (1)
      
Interest-bearing deposits$— $150 $1,683,073 $— 
Securities purchased under agreements to resell— — 500,000 — 
Federal funds sold— 540,000 1,900,000 — 
Total money-market instruments— 540,150 4,083,073 — 
Investment securities:(2)
Non-MBS:      
U.S. Treasury obligations— 5,731,764  —  — 
Corporate bonds— — — 1,544 
U.S. government-owned corporations— 216,050  —  — 
GSE— 94,003  —  — 
Supranational institutions340,799 —  —  — 
HFA securities24,364 8,325  —  — 
Total non-MBS365,163 6,050,142 — 1,544 
MBS:
U.S. government guaranteed - single-family— 17,828 — — 
U.S. government guaranteed - multifamily— 470,386 — — 
GSE – single-family— 1,002,875 — — 
GSE – multifamily— 6,205,385 — — 
Total MBS— 7,696,474 — — 
Total investment securities365,163 13,746,616 — 1,544 
Total investments$365,163  $14,286,766  $4,083,073  $1,544 
_______________________
(1)    The counterparty NRSRO rating is used for money-market instruments. Counterparty ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and are each as of September 30, 2023. If there is a split rating, the lowest rating is used. In certain instances where a counterparty is unrated, the Bank may assign a deemed rating to the counterparty and that deemed rating is used.
(2)    The issue rating is used for investment securities. Issue ratings are obtained from Moody’s, Fitch, and S&P. If there is a split rating, the lowest rating is used.
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FHFA regulations include limits on the amount of unsecured credit we may extend to a counterparty or to a group of affiliated counterparties based on a percentage of regulatory capital and an internal credit rating determined by each FHLBank. See Part 1 — Item 1 — Business — Business Lines — Investments in the 2022 Annual Report for additional information. Under these regulations, the level of regulatory capital is determined as the lesser of our investments are provided intotal regulatory capital or the following table.

Credit Ratings of Investments at Carrying Value
As of September 30, 2017
(dollars in thousands)
  
Long-Term Credit Rating (1)
Investment Category Triple-A Double-A Single-A Triple-B 
Below
Triple-B
 Unrated
Money-market instruments (2):
  
  
  
  
  
  
Interest-bearing deposits $—
 $262
 $224,750
 $—
 $—
 $—
Securities purchased under agreements to resell —
 —
 1,000,000
 1,999,000
 —
 —
Federal funds sold —
 1,650,000
 4,600,000
 —
 —
 —
Total money-market instruments —
 1,650,262
 5,824,750
 1,999,000
 —
 —
             
Investment securities:            
             
Non-MBS:  
  
  
  
  
  
U.S. agency obligations —
 1,391
 —
 —
 —
 —
U.S. Treasury obligations —
 309,498
 —
 —
 —
 —
U.S. government-owned corporations —
 286,393
 —
 —
 —
 —
GSEs —
 120,033
 —
 —
 —
 —
Supranational institutions 421,492
 —
 —
 —
 —
 —
HFA securities 27,284
 45,739
 102,999
 —
 —
 —
Total non-MBS 448,776
 763,054
 102,999
 —
 —
 —
             
MBS:            
U.S. government guaranteed - single-family (2)
 —
 120,611
 —
 —
 —
 —
U.S. government guaranteed - multifamily (2)
 —
 468,343
 —
 —
 —
 —
GSE – single-family (2)
 —
 5,147,903
 —
 —
 —
 —
GSE – multifamily (2)
 —
 2,100,317
 —
 —
 —
 —
Private-label – residential —
 3,913
 11,111
 61,738
 611,474
 16,570
ABS backed by home-equity loans 598
 1,136
 4,786
 1,569
 1,687
 —
Total MBS 598
 7,842,223
 15,897
 63,307
 613,161
 16,570

 

 

        
Total investment securities 449,374
 8,605,277
 118,896
 63,307
 613,161
 16,570
             
Total investments $449,374
 $10,255,539
 $5,943,646
 $2,062,307
 $613,161
 $16,570
_______________________
(1)
Ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and are each asregulatory capital of the counterparty. The applicable regulatory capital is then multiplied by a specified percentage for each counterparty, the product of which is the maximum amount ofSeptember 30, 2017. If there is a split rating, the lowest rating is used.

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(2)The issuer rating is used for these investments, and if a rating is on negative credit watch, the rating in the next lower rating category is used and then the lowest rating is determined.

At September 30, 2017, our unsecured credit exposure relatedwe may extend to money-market instruments and debentures, including accrued interest, was $7.6 billion to 22 counterparties and issuers,that counterparty. The percentage that we may offer for extensions of which $6.3 billion was forunsecured credit other than overnight sales of federal funds sold, $1.1 billion wasranges from one to 15 percent based on the counterparty's credit rating. Extensions of unsecured credit for debentures issuedovernight sales of federal funds range from one to 30 percent based on the counterparty’s credit rating. From time to time, we may establish internal credit limits lower than permitted by the U.S. Treasury, GSEs,regulation for individual counterparties.

Table 10 - Unsecured Credit Related to Money-Market Instruments and supranational institutions, and $225.0 million was for interest-bearing deposits.Debentures by Carrying Value
(dollars in thousands)
Carrying Value
September 30, 2023December 31, 2022
Interest bearing deposits$1,683,223 $1,485,290 
Federal funds sold2,440,000 2,706,000 
Supranational institutions340,799 350,352 
U.S. government-owned corporations216,050 227,200 
GSEs94,003 97,666 
Corporate bonds1,544 1,507 


Private-Label MBS

Of our $8.9 billion in par value of MBS and ABS investments at September 30, 2017, $1.1 billion in par value are private-label MBS and ABS backed by home equity loans, as set forth in the table below:

Unpaid Principal Balance of Private-Label MBS and ABS Backed by Home Equity Loans
by Fixed Rate or Variable Rate
(dollars in thousands)
            
 September 30, 2017 December 31, 2016
Private-label MBS (1)
Fixed
Rate (2)
 
Variable
Rate (2)
 Total 
Fixed
Rate (2)
 
Variable
Rate (2)
 Total
Private-label residential MBS 
  
  
  
  
  
Prime$7,892
 $84,639
 $92,531
 $8,780
 $102,747
 $111,527
Alt-A16,205
 1,021,549
 1,037,754
 18,808
 1,161,415
 1,180,223
Total private-label residential MBS24,097
 1,106,188
 1,130,285
 27,588
 1,264,162
 1,291,750
ABS backed by home equity loans 
  
  
  
  
  
Subprime—
 10,134
 10,134
 —
 13,848
 13,848
Total par value of private-label MBS$24,097
 $1,116,322
 $1,140,419
 $27,588
 $1,278,010
 $1,305,598
_______________________
 (1)We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate.
(2)The determination of fixed or variable rate is based upon the contractual coupon type of the security.

The following table provides additional information related to our investments in MBS issued by private trusts and ABS backed by home equity loans. The table sets forth the credit ratings and summary credit enhancements associated with our private-label MBS and ABS. Average current credit enhancements as of September 30, 2017 reflect the percentage of subordinated class outstanding balances as of September 30, 2017, to our senior class outstanding balances as of September 30, 2017, weighted by the par value of our respective senior class securities. Average current credit enhancements as of September 30, 2017, are indicative of the ability of subordinated classes to absorb loan collateral lost principal and interest shortfall before senior classes are impacted.


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Private-Label MBS and ABS Backed by Home Equity
As of September 30, 2017
(dollars in thousands)
  
 Total
Par value by credit rating 
Triple-A$598
Double-A5,049
Single-A15,897
Triple-B63,307
Below Investment Grade 
Double-B26,283
Single-B46,180
Triple-C486,551
Double-C269,474
Single-C16,555
Single-D189,159
Unrated21,366
Total par value$1,140,419
  
Amortized cost$881,051
Gross unrealized gains115,913
Gross unrealized losses(8,115)
Fair value$988,849
  
Weighted average percentage of fair value to par value86.71%
Original weighted average credit support27.36
Weighted average credit support8.20
Weighted average collateral delinquency (1)
19.42
_______________________
 (1)Represents loans that are 60 days or more delinquent.

Mortgage Loans

We invest in mortgages through the MPF program. The MPF program is further described under — Mortgage Loans Credit Risk and in Part I — Item 1 — Business — Business Lines — Mortgage Loan Finance in the 20162022 Annual Report.

As of September 30, 2017,2023, our mortgage loan investment portfolio totaled $3.9$2.9 billion,, an increase of $248.9$181.8 million from December 31, 2016.2022. This increase is the result of both a decline in mortgage loan repayments and an increase in mortgage loan purchase volumes during the nine months ended September 30, 2023, compared to the same period of the prior year. We expect continued competition from Fannie Mae and Freddie Mac, as well as from private mortgage loan acquirers, for loan investment opportunities.


Mortgage Loans Credit Risk

We are subject to credit risk from the mortgage loans in which we invest due to our exposure to the credit risk of the underlying borrowers and the credit risk of the participating financial institutions when the participating financial institutions retain credit-enhancement and/or servicing obligations. For additional information on the credit risks arising from our participation in the MPF program, see Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Financial Condition — Mortgage Loans — Mortgage Loans Credit Risk in the 20162022 Annual Report. For information on the credit performance of our mortgage loan portfolio as of September 30, 2023, see Item I — Financial Statements — Note 5 — Mortgage Loans Held for Portfolio in this report.

Although our mortgage loan portfolio includes loans throughout the U.S., concentrations of five5 percent or greater of the outstanding principal balancepar value of our conventional mortgage loan portfolio are shown in the following table:Table 11.


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Table 11 - State Concentrations by Par Value
State Concentrations by Outstanding Principal Balance
 Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans
 September 30, 2017 December 31, 2016
  
  
Massachusetts55% 51%
Maine12
 13
Wisconsin7
 9
Connecticut8
 7
New Hampshire6
 6
All others12
 14
Total100% 100%

Percentage of Total Par Value of Conventional Mortgage Loans
 September 30, 2023December 31, 2022
Massachusetts62 %63 %
Maine12 10 
Connecticut8 9 
Vermont6 6 
All others12 12 
Total100 %100 %
Allowance for Credit Losses on Mortgage Loans
. The allowance for credit losses on mortgage loans was $500,000 at September 30, 2017, compared with $650,000 at December 31, 2016.

For information on the determination of the allowance at September 30, 2017, see Item 1 — Notes to the Financial Statements — Note 10 — Allowance for Credit Losses, and for information on our methodology for estimating the allowance, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Estimates — Allowance for Loan Losses in the 2016 Annual Report.

We place conventional mortgage loans on nonaccrual status when the collection of interest or principal is doubtful or contractual principal or interest is 90 days or more past due. Accrued interest on nonaccrual loans is reversed againstexcluded from interest income. We monitor the delinquency levels of the mortgage loan portfolio on a monthly basis. Our investments

Table 12 - Mortgage Loans - Risk Elements and Credit Losses
(dollars in conventional mortgage loans that are delinquent are shown in the following table:thousands)

For the Nine Months Ended September 30,
 20232022
Average par value of mortgage loans outstanding during the period ending$2,753,043 $2,906,839 
Net recoveries (charge offs)15 (1)
Net charge-offs to average loans outstanding during the period ending— %— %
As of September 30, 2023As of December 31, 2022
Mortgage loans held for portfolio, par value$2,904,602 $2,720,351 
Nonaccrual loans, par value7,904 15,034 
Allowance for credit losses on mortgage loans2,000 1,900 
Allowance for credit losses to mortgage loans held for portfolio0.07 %0.07 %
Nonaccrual loans to mortgage loans held for portfolio0.27 0.55 
Allowance for credit losses to nonaccrual loans25.30 12.64 
Delinquent Mortgage Loans
(dollars in thousands)
 September 30, 2017 December 31, 2016
Total par value of government loans past due 90 days or more and still accruing interest$4,925
 $5,527
Nonaccrual loans, par value15,895
 16,918
Troubled debt restructurings (not included above)6,403
 6,846

Mortgage Insurance Companies. We are exposed to credit risk from supplemental mortgage insurance (SMI) companies that provide credit enhancement in place of the participating financial institution and from primary mortgage insurance coverage (PMI) on individual loans. As of September 30, 2017,2023, we were the beneficiary of PMI coverage of $95.1$71.5 million on $371.2$271.7 million of conventional mortgage loans. These amounts relate to loans originated with PMI and SMI coveragefor which current loan-to-value ratios exceed 78 percent (determined by recalculating the original loan-to-value ratio using the current par value divided by the appraised home value at the time of $15.4 million on mortgage pools with a total unpaid principal balance of $108.4 million.loan origination).

We have analyzed our potential loss exposure to all of the mortgage insurance companies and do not expect incremental losses based on these exposures at this time.

Impact of Hurricanes Harvey and Irma. As a result of the devastation caused by Hurricanes Harvey and Irma in the southern United States during the third quarter of 2017, the Federal Emergency Management Agency declared portions of several states and territories as areas covered by either a major disaster declaration or an emergency declaration. The Bank has exposure to these areas primarily though whole-loan purchases under the MPF program and investments in private-label mortgage backed securities. Based on our assessment, management does not expect these losses will have a material effect on our financial condition or results of operations.

Consolidated Obligations

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

Derivative Instruments

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All derivatives are recorded on the statement of condition at fair value and classified as either derivative assets or derivative liabilities. Bilateral and cleared derivatives outstanding are classified as assets or liabilities according to the net fair value of derivatives aggregated by each counterparty. Derivative assets' net fair value, net of cash collateral and accrued interest, totaled $48.2$379.9 million and $61.6$430.7 million as of September 30, 2017,2023, and December 31, 2016,2022, respectively. Derivative liabilities' net fair value, net of cash collateral and accrued interest, totaled $309.7$1.7 million and $357.9$25.6 million as of September 30, 2017,2023, and December 31, 2016,2022, respectively.

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The following table presents a summary of the notional amounts and estimated fair values of our outstanding derivatives, excluding accrued interest, and related hedged item by product and type of accounting treatment as of September 30, 2017,2023, and December 31, 2016.2022. The notional amount represents the hypothetical principal basis used to determine periodic interest payments received and paid. However, the notional amount does not represent an actual amount exchanged or our overall exposure to credit and market risk.

Table 13 - Derivatives and Hedge-Accounting Treatment
(dollars in thousands)
      September 30, 2023December 31, 2022
Hedged Item Derivative 
Designation(2)
 Notional
Amount		 Fair
 Value		Notional
Amount		Fair
Value
Advances (1)
 Swaps Fair value $9,027,280  $(27,156)$4,052,810 $(11,112)
  Swaps Economic 95,000  133 107,000 (400)
Total associated with advances     9,122,280  (27,023)4,159,810 (11,512)
Available-for-sale securitiesSwaps Fair value12,577,160  (243,696)12,577,160 (24,233)
COs Swaps Fair value 26,525,440  (1,288,328)21,726,190 (1,353,541)
Forward starting swapsCash Flow1,391,000 (1,281)1,391,000 716 
Total associated with COs27,916,440 (1,289,609)23,117,190 (1,352,825)
Total     49,615,880  (1,560,328)39,854,160 (1,388,570)
CO bond firm commitments— — 35,000 50 
Mortgage delivery commitments     40,714  (162)3,454 45 
Total derivatives     $49,656,594  (1,560,490)$39,892,614 (1,388,475)
Accrued interest       337,410  42,010 
Cash collateral, including related accrued interest1,601,262 1,751,569 
Net derivatives       $378,182  $405,104 
Derivative asset       $379,887  $430,744 
Derivative liability       (1,705) (25,640)
Net derivatives       $378,182  $405,104 
 _______________________
(1)    As of September 30, 2023 and December 31, 2022, embedded derivatives separated from certain advance contracts with notional amounts of $95.0 million and $107.0 million, respectively, and fair values of $(133) thousand and $400 thousand, respectively, are not included in the table.
(2)    The hedge designation “fair value” represents the hedge classification for transactions that qualify for hedge-accounting treatment and hedge changes in fair value attributable to changes in the designated benchmark interest rate, which is LIBOR.rate. The hedge designation "cash flow" represents the hedge classification for transactions that qualify for hedge-accounting treatment and hedge the exposure to variability in expected future cash flows. The hedge designation “economic” represents derivatives hedging specific or nonspecific assets, liabilities, or firm commitments that do not qualify or waswere not designated fordocumented as fair-value or cash-flow hedge accounting,hedges but are acceptabledocumented as serving a non-speculative use and are hedging strategies under our risk-management policy.

53
Hedged Item and Hedge-Accounting Treatment
(dollars in thousands)
 
      September 30, 2017 December 31, 2016
Hedged Item Derivative Designation 
Notional
Amount
 
Fair
 Value
 
Notional
Amount
 
Fair
Value
Advances (1)
 Swaps Fair value $7,822,664
 $30,737
 $9,976,494
 $11,504
  Swaps Economic 964,400
 (845) 857,000
 136
Total associated with advances     8,787,064
 29,892
 10,833,494
 11,640
Available-for-sale securities Swaps Fair value 611,915
 (283,098) 611,915
 (290,312)
Trading securities Swaps Economic 192,000
 (5,820) 192,000
 (9,279)
COs Swaps Fair value 5,950,990
 (40,304) 7,627,400
 (60,904)
  Firm commitments Fair value 50,000
 56
 —
 —
  Swaps Economic 50,000
 (55) 150,000
 (30)
  Forward starting swaps Cash Flow 527,800
 (41,974) 527,800
 (36,250)
Total associated with COs     6,578,790
 (82,277) 8,305,200
 (97,184)
Total     16,169,769
 (341,303) 19,942,609
 (385,135)
Mortgage delivery commitments     62,221
 (34) 22,524
 (101)
Total derivatives     $16,231,990
 (341,337) $19,965,133
 (385,236)
Accrued interest      
 (6,357)  
 (19,973)
Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest       86,182
   108,931
Net derivatives      
 $(261,512)  
 $(296,278)
Derivative asset      
 $48,163
  
 $61,598
Derivative liability      
 (309,675)  
 (357,876)
Net derivatives      
 $(261,512)  
 $(296,278)
 _______________________
(1)
As of September 30, 2017, and December 31, 2016, embedded derivatives separated from the advance contract with notional amounts of $964.4 million and $857.0 million, respectively, and fair values of $812,000 and $(153,000), respectively, are not included in the table.

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The following tables provide a summary of our hedging relationships for fair-value hedges of advances and COs that qualify for hedge accounting by year of contractual maturity. Interest accruals on interest-rate-exchange agreements in qualifying hedge relationships are recorded as interest income on advances and interest expense on COs in the statement of operations. The notional amount of derivatives in qualifying fair-value hedge relationships of advances and COs totals $13.8 billion, representing 84.9 percent of all derivatives outstanding as of September 30, 2017. Economic hedges and cash-flow hedges are not included within the two tables below.

Fair-Value Hedge Relationships of Advances
By Year of Contractual Maturity
As of September 30, 2017
(dollars in thousands)
         
Weighted-Average Yield (4)
 Derivatives 
Advances(2)
   Derivatives  
MaturityNotional 
Fair Value (1)
 
Hedged
Amount
 
Fair-Value
Adjustment(3)
 Advances 
Receive
Floating
Rate
 
Pay
Fixed
Rate
 
Net Receive
Result
Due in one year or less$2,155,085
 $(2,771) $2,155,085
 $2,762
 2.01% 1.31% 1.85% 1.47%
Due after one year through two years1,331,261
 6,492
 1,331,261
 (6,581) 1.61
 1.32
 1.33
 1.60
Due after two years through three years1,485,840
 10,152
 1,485,840
 (10,121) 1.73
 1.31
 1.48
 1.56
Due after three years through four years939,613
 7,246
 939,613
 (7,341) 1.93
 1.31
 1.51
 1.73
Due after four years through five years1,002,365
 2,122
 1,002,365
 (2,265) 2.13
 1.32
 1.77
 1.68
Thereafter908,500
 7,496
 908,500
 (7,383) 1.28
 1.31
 0.85
 1.74
Total$7,822,664
 $30,737
 $7,822,664
 $(30,929) 1.81% 1.31% 1.52% 1.60%
_______________________
(1)Not included in the fair value is $3.0 million of variation margin received for daily settled contracts.
(2)Included in the advances hedged amount are $1.4 billion of putable advances, which would accelerate the termination date of the derivative and the hedged item if the put option is exercised.
(3)The fair-value adjustment of hedged advances represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR.
(4)
The yield for floating-rate instruments and the floating-rate leg of interest-rate swaps is the coupon rate in effect as of September 30, 2017.
Fair-Value Hedge Relationships of Consolidated Obligations
By Year of Contractual Maturity
As of September 30, 2017
(dollars in thousands)
         
Weighted-Average Yield (4)
 Derivatives 
CO Bonds (2)
   Derivatives  
Year of MaturityNotional 
Fair Value (1)
 Hedged Amount 
Fair-Value
Adjustment(3)
 CO Bonds 
Receive
Fixed Rate
 
Pay
Floating
 Rate
 
Net Pay
Result
Due in one year or less$2,269,335
 $(5,290) $2,269,335
 $5,045
 1.10% 1.07% 1.27% 1.30%
Due after one year through two years1,321,220
 (8,872) 1,321,220
 8,457
 1.07
 1.08
 1.24
 1.23
Due after two years through three years235,990
 (1,646) 235,990
 1,492
 1.47
 1.47
 1.21
 1.21
Due after three years through four years744,445
 (5,536) 744,445
 5,243
 1.21
 1.21
 1.20
 1.20
Due after four years through five years735,000
 (6,516) 735,000
 6,463
 1.55
 1.55
 1.15
 1.15
Thereafter645,000
 (12,444) 645,000
 12,144
 1.75
 1.75
 1.18
 1.18
Total$5,950,990
 $(40,304) $5,950,990
 $38,844
 1.25% 1.24% 1.22% 1.23%
_______________________
(1)Not included in the fair value is $6.7 million of variation margin paid for daily settled contracts.
(2)Included in the CO bonds hedged amount are $3.1 billion of callable CO bonds, which would accelerate the termination date of the derivative and the hedged item if the call option is exercised.
(3)
The fair-value adjustment of hedged CO bonds represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR, plus remaining unamortized premiums or discounts on hedged CO bonds where applicable.

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(4)
The yield for floating-rate instruments and the floating-rate leg of interest-rate swaps is the coupon rate in effect as of September 30, 2017.

We may engage in derivatives directly with affiliates of certain of our members that act as derivatives dealers to us. These derivatives are entered into for our own risk-management purposes and are not related to requests from our members to enter into such contracts.

Derivative Instruments Credit Risk. We are subject to credit risk on derivatives, arisingderivatives. This risk arises from the possibilityrisk of counterparty default on the derivative contract. The amount of unsecured credit exposure to a derivative counterparty default is the amount by which the replacement cost of the defaulted derivative contract exceeds the value of any collateral held by us (if the counterparty is the net obligor on the derivative contract) or is exceeded by the value of collateral pledged by us to counterparties (if we are the net obligor on the derivative contract). We accept cash and securities collateral in accordance with the terms of the applicable master netting agreement for uncleared derivatives (principal-to-principal derivatives that are not centrally cleared) from counterparties with whom we are in a current positive fair-value position (i.e., we are in the money) by an amount that exceeds an exposure threshold (if any) defined in our master netting agreement with the counterparty. The resulting net exposure at fair value is reflected in the derivatives table below.position. We pledge cash and securities collateral in accordance with the terms of the applicable master netting agreement for uncleared derivatives to counterparties with whom we are in a current negative fair-value position (i.e., we are out-of-the-money) by an amount that exceeds an exposure threshold (if any) defined in our master netting agreement with the counterparty. From time to time, due to timing differences or derivatives valuation differences between our calculated derivatives values and those of our counterparties, and to the contractual haircuts applied to securities, we pledge to counterparties cash or securities collateral whose fair value is greater than the current negative fair-value positions with them adjusted for any applicable exposure threshold. Similarly, from time to time, due to timing differences or derivatives valuation differences, we receive from counterparties cash or securities collateral whose fair value is less than the current positive fair-value positions with them adjusted for any applicable exposure threshold.position. We currently pledge only cash collateral, including initial and variation margin, for cleared derivatives, but may also pledge securities for initial margin as allowed by the applicable DCO and clearing member. The table below details our counterparty credit exposure

Additionally, uncleared derivatives transactions executed on or after September 1, 2022, are subject to two-way initial margin obligations as required by the Wall Street Reform and Consumer Protection Act. For such uncleared derivatives transactions, a party whose initial margin requirement exceeds a specified threshold (which may not exceed $50 million) would be required to deliver collateral in the amount by which the initial margin requirement exceeds such specified threshold. Initial margin is required to be held at a third-party custodian for the benefit of the secured party, which can only assert ownership of such collateral upon the occurrence of certain events, which may include an event of default due to bankruptcy, insolvency, or similar proceeding. As of September 30, 2017.2023, all initial margin requirements owed to our uncleared derivatives counterparties by us or owed to us by our uncleared derivatives counterparties were less than specified delivery thresholds.


From time to time, due to timing differences or derivatives-valuation differences between our calculated derivatives values and those of our counterparties, and to the contractual haircuts applied to securities, we receive from (or pledge to) our counterparties cash or securities collateral whose fair value is less (or more) than the current net positive (or net negative) fair-value of derivatives positions outstanding with them.

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Table of Contents14 - Credit Exposure to Derivatives Counterparties

(dollars in thousands)

Derivatives Counterparty Current Credit Exposure
As of September 30, 2017
(dollars in thousands)

As of September 30, 2023
Credit Rating (1)
 Notional Amount Net Derivatives Fair Value Before Collateral Cash Collateral Pledged to Counterparty and Variation Margin for Daily Settled Contracts Non-cash Collateral Pledged to Counterparty Net Credit Exposure to Counterparties
Credit Rating (1)
Notional AmountNet Derivatives Fair Value Before CollateralCash Collateral Pledged to (from) CounterpartyNet Credit Exposure to Counterparties
Asset positions with credit exposure:          Asset positions with credit exposure:
Uncleared derivatives          Uncleared derivatives
Double-A $1,436,900
 $(3,346) $3,635
 $—
 $289
Single-A 1,881,250
 (3,003) 3,345
 —
 342
Single-A$15,000 $23 $— $23 
Unrated Asset 50,000
 56
 —
 —
 56
          
Liability positions with credit exposure:          Liability positions with credit exposure:
Uncleared derivatives          Uncleared derivatives
Single-A 123,250
 (585) —
 617
 32
Single-A24,381,170 (1,170,881)1,182,017 11,136 
Cleared derivatives 7,946,814
 (20,774) 68,174
 —
 47,400
Cleared derivatives20,255,769 (15,075)383,785 368,710 
Total derivative positions with nonmember counterparties to which we had credit exposure 11,438,214
 (27,652) 75,154
 617
 48,119
Total interest-rate swap positions with nonmember counterparties to which we had credit exposureTotal interest-rate swap positions with nonmember counterparties to which we had credit exposure44,651,939 (1,185,933)1,565,802 379,869 
          
Mortgage delivery commitments (2)
 62,221
 76
 —
 —
 76
Mortgage delivery commitments (2)
40,714 18 — 18 
Total $11,500,435
 $(27,576) $75,154
 $617
 $48,195
Total$44,692,653 $(1,185,915)$1,565,802 $379,887 
          
Derivative positions without credit exposure: (3)
          
Single-A 2,475,000
        
Triple-B 2,256,555
        
Total derivative positions without credit exposure $4,731,555
 
      
_______________________
(1)Uncleared derivatives counterparty ratings are obtained from Moody's, Fitch, and S&P. Each rating classification includes all rating levels within that category. If there is a split rating, the lowest rating is used. In the case where the obligations are unconditionally and irrevocably guaranteed, the rating of the guarantor is used.
(2)Total fair-value exposures related to commitments to invest in mortgage loans are offset by certain pair-off fees. Commitments to invest in mortgage loans are reflected as derivatives. We do not collateralize these commitments. However, should the participating financial institution fail to deliver the mortgage loans as agreed, the participating financial institution is charged a fee to compensate us for the nonperformance.
(3)These represent derivatives positions with counterparties for which we are in a net liability position and for which we have delivered collateral to the counterparty in an amount equal to or less than the net derivative liability, or derivative positions with counterparties for which we are in a net asset position and for which the counterparty has delivered collateral to us in an amount that exceeds our net derivative asset.
(1)    Uncleared derivatives counterparty ratings are obtained from Moody's, Fitch, and S&P. Each rating classification includes all rating levels within that category. If there is a split rating, the lowest rating is used. In the case where the obligations are unconditionally and irrevocably guaranteed, the rating of the guarantor or the counterparty is used.
(2)    Total fair-value exposures related to commitments to invest in mortgage loans are offset by certain pair-off fees. Commitments to invest in mortgage loans are reflected as derivatives. We do not collateralize these commitments. However, should the participating financial institution fail to deliver the mortgage loans as agreed, the participating financial institution is charged a fee to compensate us for the nonperformance.

For information on our approach to the credit risks arising from our use of derivatives, see Part II — Item 7 — Management’s Discussion
and Analysis and Results of Operations — Financial Condition — Derivative Instruments — Derivative Instruments Credit
Risk in the 20162022 Annual Report.

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LIQUIDITY AND CAPITAL RESOURCES

Our financial structure is designed to enable us to expand and contract our assets, liabilities, and capital in response to changes in membership composition and member credit needs. Our primary source of liquidity is our access to the capital markets through CO issuance, which is described in Part I — Item 1 — Business — Consolidated Obligations of the 2022 Annual Report. Outstanding COs and the condition of the market for COs are discussed below under — Debt Financing — Consolidated Obligations. Our equity capital resources are governed by our capital plan, certain portions of which are described under — Capital below as well as by applicable legal and regulatory requirements.

Liquidity


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We are required to maintain liquidity in accordance with the FHLBank Act, FHFA regulations and guidance, and policies established by our management and board of directors. We seek to be in a position to meet the credit and liquidity needs of our members and to meet all current and future financial commitments by managing liquidity positions to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand, and the maturity profile of our assets and liabilities.

We mayare not be able to predict future trends in member credit needs because they are driven by complex interactions among a number of factors, including members' asset growth or reductions, deposit growth or reductions, and the attractiveness of advances compared to other wholesale borrowing alternatives. We regularly monitor current trends and anticipate future debt issuance needs and maintain a portfolio of highly liquid assets in an effort to be prepared to fund our members' credit needs and our investment opportunities. Our abilityWe are generally able to expand our balance sheet and corresponding liquidity requirementsCO debt issuance in response to our members' increased credit needs is correlated to our members' requirements for advances and to increase our acquisitions of mortgage loans. Alternatively, in response to reduced member credit needs, we may allow our COs to mature without replacement, transfer debt to another FHLBank, or repurchase and retire outstanding consolidated obligations,COs, or redeem callable COs on eligible redemption dates, allowing our balance sheet to shrink.

As an FHLBank, through our ability to issue COs, we have comparatively stable access to funding through a diverse investor base at relatively favorable spreads to U.S. Treasury rates. For instance, during the financial crisis of 2008, when credit markets experienced their most severe constrictions in 70 years, the FHLBanks’ access to short-term funding was readily available.

Sources and Uses of Liquidity. Our primary sources of liquidity are proceeds from the issuance of COs and advance repayments, and maturing short-term investments, as well as cash and investment holdings that are primarily high-quality, short-, and intermediate-term financial instruments. COs are not obligations of the United States and are not guaranteed by either the United Statesinstruments that can be sold or any government agency, but have historically received the same credit ratingpledged as the government bond credit rating of the United States. As of October 31, 2017, our COs were rated AA+/Aaa (with outlook stable) by S&P and Moody's.

collateral under a repurchase agreement. During the nine months ended September 30, 2017,2023, we maintained continualcontinuous access to funding and adapted our debt issuance to meet the needs of our members. During

Our primary uses of liquidity are advance originations and consolidated obligation payments. Other uses of liquidity are mortgage loan and investment purchases, dividend payments, general operating expenses, and other contractual payments. We also maintain liquidity to redeem or repurchase excess capital stock, through our daily excess stock repurchases, upon the nine months ended September 30, 2017,request of a member or as required under our short-term funding was generally driven by member demand and was achieved through the issuance of discount notes and short-term CO bonds. Access to short-term debt markets has been reliable because investors, driven by increased liquidity preferences and risk aversion, including the effects of money market fund reform, have sought our short-term debt as an asset of choice, which has led to advantageous funding opportunities and increased utilization of debt maturing in one year or less.capital plan.

We may use a portion of the short-term COs issued to fund both short- and long-term floating-rate assets. Funding longer-term floating-rate assets with shorter-term liabilities generally does not expose us to significant interest rate risk because the rates on both the floating-rate assets and liabilities reset similarly (either through rate resets or re-issuance of the obligations). However, deviations in the cost of our short-term liabilities relative to resetting assets can cause fluctuations in our net interest margin. Accordingly, we measure and monitor interest rate risk with commonly used methods and metrics, which include the calculations of market value of equity, duration of equity, duration gap, and earnings at risk. See Item 3 — Quantitative and Qualitative Disclosures About Market Risk for additional information. We have also established funding gap limits designed to limit our exposure to refinancing risk. See Item 2 — Management’s Discussion and Analysis — Liquidity and Capital Resources — Balance Sheet Funding Gap Policy for additional information.

Secondary sources of liquidity include payments collected on mortgage loans, proceeds from the issuance of capital stock, and deposits from members. In addition, by law,under the Secretary ofFHLBank Act, the U.S. Treasury may acquirepurchase up to $4 billion of COs ofFHLBank COs. The terms, conditions, and interest rates in such a purchase would be determined by the FHLBanks.U.S. Treasury. This authority may be exercised at the discretion of the U.S. Treasury with the agreement of the FHFA only if alternative means cannot be effectively employed to permit members of the FHLBanks to continue to supply reasonable amounts of funds to the mortgage market, and the ability to supply such funds is substantially impaired because of monetary stringency and a high level of interest rates. Any funds borrowed under this process shall be repaidThere were no such purchases by the FHLBanks atU.S. Treasury during the earliest practicable date.nine months ended September 30, 2023.

Our primary usesFor information and discussion of liquidity are advance originations and consolidated obligation payments. Other uses of liquidity are mortgage loan and investment purchases, dividend payments,our guarantees and other contractual payments. We also maintain liquidity to redeem or repurchase excess capital stock, at our discretion, uponcommitments we may have, see below — Off-Balance-Sheet Arrangements and Aggregate Contractual Obligations. For further information and discussion of the request of a member or under our capital plan.joint and several liability for FHLBank COs, see below — Debt Financing— Consolidated Obligations.

Internal Liquidity Sources / Liquidity Management

We have developed a methodology and policies by which we measure and manage the Bank’s short-term liquidity needs based on projected net cash flow and contingent obligations.


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Projected Net Cash Flow. We define projected net cash flow as projected sources of funds less projected uses of funds based on contractual maturities or expected option exercise periods, and settlement of committed assets and liabilities, as applicable. For mortgage-related cash flows and callable debt, we incorporate projected prepayments and call exercise.

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Structural Liquidity.Liquidity Management Action Trigger. We define structuralmaintain a liquidity asmanagement action trigger pertaining to projected net cash flow: if projected net cash flow (defined above) less assumed secondary uses of funds, for which we assume the following:

all maturing advances are renewed;
member overnight deposits are withdrawn at a rate of 50 percent per day;
outstanding standby letters of credit are drawn down at a rate of 50 percent spread equally over 86 days;
uncommitted lines of credit are drawn upon at a rate of 10 percent of the previous day's balance; and
MPF master commitments are funded at a rate of 10 percent of the previous days' total amount on the first day and at a rate of one percent on each day thereafter.

The above assumptions for secondary uses of funds are in excess of our ordinary experience, and therefore represent a more stressful scenario than we expect to experience. We review these assumptions periodically.

This methodology for measuring projected net cash flow and structural liquidity has been established by management to monitor our liquidity position on a daily basis, and to help ensure that we meet all of our obligations as they come due and to meet our members' potential demand for liquidity from us in all cases. We may adjust the amount of liquidity maintained as market conditions change from time to time using projected net cash flow and structural liquidity measurements.

Liquidity Management Action Triggers. We maintain two liquidity management action triggers:

if structural liquidity is less than negative $1.0 billionfalls below zero on or before the fifth business21st day following the measurement date; and
•
if projected net cash flow falls below zero on or before the 21st day following the measurement date.

We did not exceed either of these thresholds at any time during the nine months ended September 30, 2017. If either of these thresholds is exceeded,date, then management of the Bank is notified and determines whether any corrective action is necessary.

The following table presents our projected net cash flow and structural liquidity as of September 30, 2017.


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Projected Net Cash Flow and Structural Liquidity
As of September 30, 2017
(dollars in thousands)

  5 Business Days 21 Days
Uses of funds    
Interest payable $11,535
 $33,804
Maturing liabilities 3,753,100
 10,556,879
Committed asset settlements 60,000
 60,000
Capital outflow 106,801
 106,801
MPF delivery commitments 62,221
 62,221
Gross uses of funds 3,993,657
 10,819,705
     
Sources of funds    
Interest receivable 42,326
 75,273
Maturing or projected amortization of assets 11,495,388
 17,135,829
Committed liability settlements 129,793
 129,793
Cash and due from banks and interest bearing deposits 256,443
 256,443
Other 2,188
 2,188
Gross sources of funds 11,926,138
 17,599,526
     
Projected net cash flow 7,932,481
 $6,779,821
     
Less: Secondary uses of funds    
Deposit runoff 434,124
  
Drawdown of standby letters of credit and lines of credit 665,557
  
Rollover of all maturing advances 3,227,244
  
Projected funding of MPF master commitments 181,558
  
Total secondary uses of funds 4,508,483
 
     
Structural liquidity $3,423,998
 

Contingency Liquidity. FHFA regulations require that we hold contingency liquidity in an amount sufficient to enable us to cover our operational requirements for a minimum of five business days without access to the CO debt markets. The FHFA defines contingency liquidity as projected sources of funds less uses of funds, excluding reliance on access to the CO debt markets and including funding a portion of outstanding standby letters of credit. For We did not breach this purpose, outstanding standby letters of credit are assumed to be drawn downthreshold at a rate of 50 percent spread equally over 86 days following the measurement date. As defined by FHFA regulations, additional contingent sources of liquidity include the following:

marketable securities with a maturity greater than one week and less than one year that can be sold;
self-liquidating assets with a maturity of seven days or less;
assets that are generally accepted as collateral in the repurchase agreement market, for which we include 50 percent of unencumbered marketable securities with a maturity greater than one year; and
irrevocable lines of credit from financial institutions rated not lower than the second highest rating category by an NRSRO.

We complied with this regulatory requirement at all timesany time during the nine months ended September 30, 20172023.

Table 15 - Projected Net Cash Flow
(dollars in thousands)
As of September 30, 2023
21 Days
Uses of funds
Interest payable$187,023 
Maturing liabilities6,587,726 
Committed asset settlements80,336 
Capital outflow67,558 
MPF delivery commitments40,714 
Other23,024 
Gross uses of funds6,986,381 
Sources of funds
Interest receivable323,352 
Maturing or projected amortization of assets13,616,964 
Committed liability settlements215,916 
Cash and due from banks and interest bearing deposits1,997,911 
Gross sources of funds16,154,143 
Projected net cash flow$9,167,762 

Base Case Liquidity Requirement. . AsThe Bank is subject to FHFA guidance on liquidity, including Advisory Bulletin 2018-07 (Liquidity Guidance AB), which communicates the FHFA’s expectations with respect to the maintenance of September 30, 2017sufficient liquidity to enable us to provide advances and December 31, 2016, we heldletters of credit for members for a surplus of $13.5 billion and $13.4 billion, respectively, of contingency liquidity for the following five business days, exclusive ofspecified time without access to the proceeds of CO debt issuance.capital markets or other unsecured funding sources.

The following table presents our contingency liquidity asLiquidity Guidance AB provides guidance on the level of September 30, 2017.

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Contingency Liquidity
As of September 30, 2017
(dollars in thousands)

  5 Business Days
Cumulative uses of funds  
Interest payable $11,535
Maturing liabilities 3,753,100
Committed asset settlements 60,000
Drawdown of standby letters of credit 146,088
Gross uses of funds 3,970,723
   
Cumulative sources of funds  
Interest receivable 42,326
Maturing or amortizing advances 3,227,245
Committed liability settlements 129,793
Other 2,188
Gross sources of funds 3,401,552
   
Plus: sources of contingency liquidity  
Marketable securities 1,310,109
Self-liquidating assets 8,249,000
Cash and due from banks and interest bearing deposits 256,443
Marketable securities available for repo 4,264,475
Total sources of contingency liquidity 14,080,027
   
Net contingency liquidity $13,510,856

Additional Liquidity Requirements. The FHFA requires uson-balance sheet liquid assets related to have available at all times an amount greater than or equal to the current deposits received from our members invested in advances with maturities not to exceed five years, deposits in banks or trust companies, and obligationsbase case liquidity. As part of the U.S. Treasury. The FHFAbase case liquidity measure, the guidance also requires us to maintain, in the aggregate, qualifying assets freeincludes a separate provision covering off-balance sheet commitments from any lien or pledge in an amount at least equal to the amountstandby letters of our participation in total COs outstanding.

credit. In addition, certain FHFAthe Liquidity Guidance AB provides guidance requires usrelated to asset/liability maturity funding gap limits.

Under the Liquidity Guidance AB, FHLBanks are required to maintain sufficient liquidity through short-term investments in an amount at least equalliquid assets to our anticipatedachieve positive projected net cash outflows under two different scenarios.

The first scenario assumes that we cannot borrow funds from theflow while rolling over maturing advances to all members and assuming no access to capital markets for a period of time between 10 to 20and 30 calendar days, with a specific measurement period set forth in a supervisory letter. The Liquidity Guidance AB also sets forth the initial cash flow assumptions and formula to calculate base case liquidity. With respect to standby letters of credit, the guidance set at 15 business days, andstates that during that time we do not renew any maturing, prepaid, and put or called advances.
The second scenario assumes that we cannot raise funds in the capital markets forFHLBanks should maintain a periodliquidity reserve of between three to seven days, with initial guidance set at five business days,1 percent and that during that period we will renew maturing and called advances for all members except very large, highly rated members.20 percent of its outstanding standby letters of credit commitments, as specified in a supervisory letter.

We were in compliance with these liquidity requirementsthe Base Case Liquidity Requirement at all times during the nine months ended September 30, 2017.2023.

We are focused on maintaining a liquidity and funding balance between our financial assets and financial liabilities. The FHLBanks work collectively to manage the System-wide liquidity and funding management and the FHLBanks jointly monitor the System’s collective risk arising out of an inability to fully access the capital markets to fund our obligations. In managing and monitoring the amounts of assets that require refunding, we consider contractual maturities of our financial assets, as well as certain assumptions regarding expected cash flows (i.e. estimated prepayments and scheduled amortizations) and other factors in our discretion.

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Balance Sheet Funding Gap Policy. TheWe may use a portion of the short-term COs issued to fund assets with longer terms, including longer-term floating-rate assets. Funding longer-term floating-rate assets with shorter-term liabilities generally does not expose us to significant interest-rate risk because the interest rates on both the floating-rate assets and liabilities typically reset similarly (either through rate resets or re-issuance of the obligations). However, deviations in the cost of our short-term liabilities relative to resetting assets can cause fluctuations in our net interest margin.

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Additionally, the Bank is exposed to refinancing risk due to the fact thatsince, over certain time horizons, it has more liabilities than assets maturing. To adequately fund assets the maturing liabilities must be replaced by new liabilities at potentially higher cost, putting spread margin at risk. In order to manage the Bank’s refinancing risk, we maintain an appropriate funding balance between financial assets and financial liabilities and maintain a policy that limits the potential difference between the amount of financial assets and the amount of financial liabilities expected to mature within three-month and one-year time horizons inclusive of projected mortgage-related prepayment and call activity. We measure this difference, or gap, as a percentage of total assets under two alternative formats. One funding gap format effectively assumes that all floating rate advances indexed todifferent measurement horizons - three months and one year. In conformity with the discount note auction rate that both mature beyond the three-month or one-year time horizon and are prepayable without fees on coupon reset dates mature within the three-month or one-year time horizon; this assumption results in an adjustment that reduces the funding gap measurement. (Such advances are not subject to margin compression because the costprovisions of the refinanced debt definesLiquidity Guidance AB, the reset rate on the advance coupon.) The other funding gap format includes no such adjustment. The Bank has instituted a limit and management action trigger framework around these metrics as follows:


Table 16 - Funding Gap Metric
Funding Gap Metric (1)
LimitManagement Action TriggerThree-Month Average
September 30, 2023		Three-Month Average
December 31, 2022
3-month Funding Gap (2)
15%13%(0.1)%7.7 %
1-year Funding Gap30%25%13.6 %12.2 %
_______________________
Funding Gap Metric (1)
 Limit Management Action Trigger Actual as of September 30, 2017
3-month Funding Gap      
No Adjustment for Floating Rate Advances Indexed to Discount Note Auction 35% 25% 9.1 %
Floating Rate Advances Indexed to Discount Note Auction assumed to have less than three-month maturity 20% 10% (0.3)%
       
1-year Funding Gap      
No Adjustment for Floating Rate Advances Indexed to Discount Note Auction 35% 25% 14.2 %
Floating Rate Advances Indexed to Discount Note Auction assumed to have less than one-year maturity 20% 10% 5.0 %
(1)    The funding gap metric is a positive value when maturing liabilities exceed maturing assets, as defined, within the given period. Compliance with Limits and Management Action Triggers are evaluated against the rolling three-month average of the month-end funding gaps.
 _______________________
(1)
The funding gap metric is a positive value when maturing liabilities exceed maturing assets, as defined, within the given time period.

(2)    The reduction in the three-month average of the three-month funding gap between September 30, 2023, and December 31, 2022, is primarily due to the period over period reduction in floating-rate advances which have a contractual maturity beyond three months but are funded with borrowings with maturities of three months or less to match the borrower’s option to prepay on the reset date.
Funding Concentration Policy. To limit the liquidity risk potentially associated with a high volume of short-term debt refinancing, we have adopted a funding concentration policy that limits the volume of discount notes outstanding as a proportion of total assets, effective March 24, 2017. The policy establishes a management action trigger when discount notes (excluding the amount of discount notes matched to short-term advances) exceed 40 percent of total assets. In addition, we have adopted a separate management action trigger that is triggered when total discount notes exceed 50 percent of assets. Finally, discount notes are limited to no more than 65 percent of total assets.

External Sources of Liquidity

Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement. We have a source of emergency external liquidity through the Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement as discussed in Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — External Sources of Liquidity in the 2016 Annual Report.Agreement. Under the terms of that agreement, in the event we do not fund our principal and interest payments under adue with respect to any CO byfor which issuance proceeds were allocated to us within deadlines established in the agreement, the other FHLBanks will be obligated to fund any shortfall to the extent that any of the other FHLBanks has a net positive settlement balance (that is, the amount by which end-of-day proceeds received by such FHLBank from the sale of COs on that day exceeds payments by such FHLBank on COs on the same day) in its account with the Office of Finance on the day the shortfall occurs. We would then be required to repay the funding to the other FHLBanks. We have never drawn funding under this agreement, nor have we ever been required to provide funding to another FHLBank under this agreement.

Debt Financing — Consolidated Obligations

At September 30, 2017,2023, and December 31, 2016,2022, outstanding COs for which we are primarily liable, including both CO bonds and CO discount notes, totaled $56.5$57.7 billion and $57.2$58.5 billion, respectively.


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CO bonds outstanding for which we are primarily liable at September 30, 2023, and December 31, 2022, include issued callable bonds totaling $4.0$21.7 billion and $4.7$17.9 billion, at September 30, 2017, and December 31, 2016, respectively.

CO discount notes comprised 49.635.2 percent and 52.546.1 percent of the outstanding COs for which we are primarily liable at September 30, 2017,2023, and December 31, 2016,2022, respectively, but accounted for 94.181.2 percent and 88.190.7 percent of the proceeds from the issuance of such COs during the nine months ended September 30, 20172023 and 2016,2022, respectively.

Financial Conditions for Consolidated Obligations

Overall, we have experienced relatively low CO issuance costs during the period covered by this report, reflecting continued highto experience strong demand for all tenors of COs with the strongest demand for short-term COs.among investors. We have been able to issue debt in the amounts and structures required to meet our funding and risk-management needs. We note that capacity amongLiquidity conditions for our CO underwriters has been occasionally somewhat constrained as a result of the imposition of higher capital requirements on many of our underwriters. So far, this development has not impeded our ability to meet our funding needs. Throughout the third quarter of 2017, COs were issued at yields that were generally at or below equivalent-maturity LIBOR swap yields for debt maturing in less than five years, while longer-term issues bore funding costs that were typically higher than equivalent maturity LIBOR swap yields. Duringmembership have remained relatively stable during the period covered by this report, CO yields generally moved with U.S. dollar interest rate swaps and, comparableas a result, member demand for advances has decreased from the elevated levels experienced at times during the first half of 2023. Correspondingly, the need to issue debt to satisfy the demand for advances and fund our balance sheet has decreased during the period covered by this report.

The Federal Reserve continues to signal its vigilance over persistently high inflation. As such, the Federal Reserve has continued to reduce its repurchase agreement offerings and sell U.S. Treasury yields, though minor spread fluctuations occurred between these series. We believesecurities and U.S. Agency mortgage-backed securities. These actions remain important factors that the market’s reactioncould continue to recent and expected changes in FOMC monetary policies, including the decision to reduce the Federal Reserve’s holdings of U.S. Treasury obligations and mortgage-backed securities, is potentially an important factor that could shape investor demand for debt, including COs, forCOs. Moreover, increases in U.S. Treasury security issuance in response to high fiscal deficits following fiscal stimulus programs
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underlying the remainderCARES Act, American Rescue Plan Act, and any similar future legislation or any change or roll back of 2017.regulations governing money market investors may also have an impact on our funding costs.

Capital

Total capital at September 30, 2017, and2023, was $3.5 billion compared with $3.4 billion at year end 2016 was $3.2 billion.year-end 2022.

Capital stock decreased by $24.1 million during the nine months ended September 30, 2023, primarily resulting from the slight decrease in advances that we experienced during the nine months ended September 30, 2023.

The FHLBank Act and FHFA regulations specify that each FHLBank is required to satisfy certain minimum regulatory capital requirements. We were in compliance with these requirements at September 30, 2017,2023, as discussed inPart I — Item 1 — Notes to the Financial Statements — Note 1510 — Capital.Capital.

Subject to applicable law, following the expiryTable 17 - Mandatorily Redeemable Capital Stock by Expiry of the stock redemption period (which is five years for Class B stock), we redeem capital stock for any member that requests redemption of its excess stock, gives notice of intent to withdraw from membership, or becomes a nonmember due to merger, acquisition, charter termination, or involuntary termination of membership. Capital stock subject to a stock redemption period is reclassified toRedemption Notice Period
(dollars in thousands)
September 30, 2023December 31, 2022
Past redemption date (1)
$2,779 $2,980 
Due in one year or less59 59 
Due after one year through two years435 — 
Due after two years through three years689 435 
Due after three years through four years960 689 
Due after four years through five years1,221 6,127 
Total$6,143 $10,290 
_______________________
(1)    Amount represents mandatorily redeemable capital stock inthat has reached the liability sectionend of the statement of condition. Mandatorily redeemable capital stock totaled $36.0 million and $32.7 million at September 30, 2017, and December 31, 2016, respectively. For additional information on the redemption of our capital stock, see Item 1 — Business — Capital Resources — Redemption of Excess Stock and Item 8 — Financial Statements and Supplementary Data —Notes to the Financial Statements — Note 1 — Summary of Significant Accounting Policies — Mandatorily Redeemable Capital Stock in the 2016 Annual Report.

The following table sets forth the amount of mandatorily redeemable capital stock by year of expiry of thefive-year redemption-notice period at September 30, 2017, and December 31, 2016 (dollars in thousands).but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding.

Expiry of Redemption-Notice Period September 30, 2017 December 31, 2016
Past redemption date (1)
 $420
 $528
Due in one year or less 4,138
 —
Due after one year through two years 128
 4,687
Due after two years through three years 27,304
 27,378
Due after three years through four years —
 54
Due after four years through five years 4,022
 —
Thereafter (2)
 30
 40
Total $36,042
 $32,687
_______________________
(1)Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding.

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(2)Amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, will have their memberships terminated no later than February 19, 2021. Captive insurance company members that were admitted as members on or after September 12, 2014, had their memberships terminated prior to February 19, 2017.

Capital Rule

The FHFA's regulation on FHLBank capital classification and critical capital levels (the Capital Rule), among other things, establishes criteria for four capital classifications and corrective action requirements for FHLBanks that are classified in any classification other than adequately capitalized. The Capital Rule requires the Director of the FHFA to determine on no less than a quarterly basis the capital classification of each FHLBank. By letter dated September 18, 2017,2023, the Director of the FHFA notified us that, based on June 30, 20172023, financial information, we met the definition of adequately capitalized under the Capital Rule.

For additional information on the Capital Rule, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — Capital — Capital Rule in the 2016 Annual Report.

Internal Capital Practices and Policies

We also take steps as we believe prudent beyond legal or regulatory requirements in an effort to protect ourensure capital adequacy, reflected in our targeted capital ratio operating range, internal minimum capital requirement, in excess ofwhich exceeds regulatory requirements, our minimum retained earnings target, and limitations on dividends. For information on our minimum retained earnings target, see Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources — Internal Capital Practices and Policies — Retained Earnings and the Minimum Retained Earnings Target in the 2016 Annual Report and, for information on limitations on dividends, see Item 5 — Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities in the 2016 Annual Report.

Targeted Capital Ratio Operating Range

dividends.
We target an operating capital ratio range as required by FHFA regulations. Currently, this range is set at 4.0 percent to 7.5 percent. Our capital ratio was
5.9 percent at September 30, 2017.

Internal Minimum Capital Requirement in Excess of Regulatory Requirements

To provide further protection for our capital base, we maintain an internal minimum capital requirement whereby the amount of paid-in capital stock and retained earnings (together, our actual regulatory capital) must be at least equal to the sum of four4 percent of our total assets plus an amount we measure as our risk exposure with 99 percent confidence using our economic capital model (together, our internal minimum capital requirement). As of September 30, 2017,2023, this internal minimum capital requirement equaled $3.0$3.2 billion, which was satisfied by our actual regulatory capital of $3.6$3.8 billion.

ReductionMinimum Retained Earnings Target

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Table of Activity-Based Stock Investment RequirementContents

At September 30, 2023, we had total retained earnings of $1.8 billion compared with our minimum retained earnings target of $700.0 million. We generally view our minimum retained earnings target as a floor for retained earnings rather than as a retained earnings limit and expect to continue to grow our retained earnings modestly even though we exceed the target.
On April 18, 2017,
For information on limitations on dividends, including limitations when we announced that we would reduceare under our minimum retained earnings target, see Part II — Item 5 — Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities in the activity-based stock investment requirement (ABSIR) for advances with original maturities of more than three months from 4.5 percent to 4.0 percent. On May 1, 2017, we provided written notice to shareholders of the effective date of this change, which is the close of business on May 31, 2017. We reduced our ABSIR in an effort to gain efficiency in our capital structure, as we currently exceed internal and regulatory minimum capital requirements.2022 Annual Report.


Repurchases of Excess Stock

We have the authority, but are not obligated,obliged, to repurchase excess stock, as discussed under Part I — Item 1 — Business — Capital Resources — Repurchase of Excess Stock in the 20162022 Annual ReportReport.

Table 18 - Capital Stock Requirements and as further discussed below under Liquidity andExcess Capital Resources — Internal Capital Practices and Policies — Repurchase of Excess Stock. At September 30, 2017, and December 31, 2016, excessStock
(dollars in thousands)
 Membership Stock
Investment
Requirement		 Activity-Based
Stock Investment
Requirement		 
Total Stock
Investment
Requirement (1)
 
Outstanding Class B
Capital Stock (2)
 Excess Class B
Capital Stock
September 30, 2023$334,972  $1,610,651  $1,945,644  $2,013,202  $67,558 
December 31, 2022325,870  1,658,654  1,984,546  2,041,468  56,922 
_______________________
(1)    Total stock investment requirement is rounded up to the nearest $100 on an individual member basis.
(2)    Class B capital stock totaled $106.8 millionoutstanding includes mandatorily redeemable capital stock.

To facilitate our ability to maintain a prudent level of capitalization and $78.3 million, respectively, as set forth in the following table (dollars in thousands):


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Membership Stock
Investment
Requirement
 
Activity-Based
Stock Investment
Requirement
 
Total Stock
Investment
Requirement (1)
 
Outstanding Class B
Capital Stock (2)
 
Excess Class B
Capital Stock
September 30, 2017$700,811
 $1,501,056
 $2,201,889
 $2,308,690
 $106,801
December 31, 2016670,301
 1,695,397
 2,365,720
 2,443,993
 78,273
_______________________
(1)Total stock Investment Requirement is rounded up to the nearest $100 on an individual member basis.
(2)
Class B capital stock outstanding includes mandatorily redeemable capital stock.

On April 3, 2017, we conducted a partial repurchasean efficient capital structure, while providing for an equitable allocation of excess capital stock under the Excess Stock Management Program. This excess stock repurchase transaction was initiated in response to the decline in advances thatownership among members, we experienced during the quarter ending March 31, 2017.

On May 1, 2017, we provided a notice to our shareholders that we would replace our existing system of making periodic repurchases of excess capital stock when aggregate excess stock balances exceeded $200 million. We announced that on June 1, 2017, we would beginconduct daily repurchases of excess stock held byfrom any shareholder whose excess stock exceeds the lesser of $10.0$3 million or 25 percent of the shareholder's total stock investment requirement, subject to a minimum repurchase of $100,000. On July 27, 2017, we announced that effective on August 11, 2017, we would change the calculation that determines whether a shareholder’s excess stock balances will be subject to a daily repurchase of excess stock. We announced that beginning on August 11, 2017, we would repurchase excess stock held by any shareholder whose excess stock exceeds the lesser of $10.0 million or 103 percent of the shareholder’s total stock investment requirement, subject to athe minimum repurchase of $100,000. We plan to continue with this practice, subject to regulatory requirements and our anticipated liquidity or capital management needs, although continued repurchases remain at our sole discretion, and we retain authority to adjust our excess stock repurchase practices subject to notice requirements defined in our Capital Plan, or to suspend repurchases of excess stock from any shareholder or all shareholders without prior notice.

Excess stock repurchases forRestricted Retained Earnings and the three months endedJoint Capital Agreement

At September 30, 2017 amounted2023, our total required contribution to $343.6the restricted retained earnings account was $593.6 million and forcompared with the nine months ended September 30, 2017 amounted to $861.4current restricted retained earnings account balance of $440.9 million.

Off-Balance-Sheet Arrangements and Aggregate Contractual Obligations

Our significant off-balance-sheet arrangements consist of the following:

•commitments that obligate us for additional advances;
 •standby letters of credit;
 •commitments for unused lines-of-credit advances; and
 •unsettled COs.

 •    standby letters of credit;
 •    commitments for unused lines-of-credit advances; and
 •    unsettled COs.

Off-balance-sheet arrangements are more fully discussed in Part I — Item 81 — Financial Statements and Supplementary Data — Notes to the Financial Statements — Note 1913 — Commitments and Contingencies in the 2016 Annual Report..

CRITICAL ACCOUNTING ESTIMATES

The preparation of financial statements in accordance with GAAP requires management to make a number of judgments, estimates, and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities (if applicable), and the reported amounts of income and expenses during the reported periods. Although management believes these judgments, estimates, and assumptions to be reasonably accurate, actual results may differ.
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We have identified fivethree accounting estimates that we believe are critical because they require us to make subjective or complex judgments about matters that are inherently uncertain, and because of the likelihood that materially different amounts would be reported under different conditions or using different assumptions. These estimates include accounting for derivatives, the use of fair-value estimates, and accounting for deferred premiums and discounts on prepayable assets, the allowance for loan losses, and other-than-temporary-impairment of investment securities.assets. The Audit Committee of our board of directors has reviewed these estimates. The assumptions involved in applying these policies are discussed in Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Estimates in the 20162022 Annual Report.

As of September 30, 2017,2023, we have not made any significant changes to the estimates and assumptions used in applying our critical accounting policies and estimates from those used to prepare our audited financial statements.

RECENT ACCOUNTING DEVELOPMENTS

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See Item 1 —Notes— Financial Statements — Notes to the Financial Statements — Note 32 — Recently Issued and Adopted Accounting Guidance for a discussion of recent accounting developments impacting or that could impact us.

LEGISLATIVE AND REGULATORY DEVELOPMENTS

RecentWe summarize certain significant legislative and regulatory actions and related developments are summarizedfor the period covered by this report below.

Information Security Management Advisory Bulletin.Finance Agency’s Review and Analysis of the Federal Home Loan Bank System. On September 28, 2017,Beginning in the Fall of 2022, and over a period of several months thereafter, the FHFA issued an Advisory Bulletin that supersedes previous guidance on an FHLBank’s information security program. The Advisory Bulletin describes three main components of an information security programundertook a review and provides the expectation that each FHLBank will use a risk-based approach to implement its information security program. The Advisory Bulletin contains expectations related to (i) governance, including guidance related to roles and responsibilities, risk assessments, industry standards, and cyber-insurance; (ii) engineering and architecture, including guidance on network security, software security, and security of endpoints; and (iii) operations, including guidance on continuous monitoring, vulnerability management, baseline configuration, asset life cycle, awareness and training, incident response and recovery, user access management, data classification and protection, oversight of third parties, and threat intelligence sharing.

We do not expect this advisory bulletin to materially affect our financial condition or results of operations.

Minority and Women Inclusion.On July 25, 2017, the FHFA published a final rule, effective August 24, 2017, amending its Minority and Women Inclusion regulations to clarify the scopeanalysis of the FHLBanks’ obligation to promote diversityFHLBank System, through a series of public listening sessions and ensure inclusion. The final rule updates the existing FHFA regulations aimed at promoting diversityregional roundtable discussions and the inclusionreceipt of comments from stakeholders. This review covered such areas as the FHLBanks’ mission and usepurpose in a changing marketplace; their organization, operational efficiency, and effectiveness; their role in promoting affordable, sustainable, equitable, and resilient housing and community investment; their role in addressing the unique needs of minorities, women,rural and individuals with disabilities,financially vulnerable communities; member products, services, and collateral requirements; and membership eligibility and requirements. The review culminated in the businesses they own (MWDOB)FHFA’s “FHLBank System at 100: Focusing on the Future” report, released on November 7, 2023. We are evaluating the report. To the extent the report’s recommendations or FHFA’s actions result in all FHLBankchanges to supervisory expectations, stakeholder perceptions, or our business model that impact our ability to execute on our mission of providing liquidity to our members and activities, including management, employment, and contracting. The final rule:

requires the FHLBanks to develop standalone diversity and inclusion strategic plans or incorporate diversity and inclusion into their existing strategic planning processes and adopt strategiessupport for promoting diversity and ensuring inclusion;
encourages the FHLBanks to expand contracting opportunities for minorities, women, and individuals with disabilities through subcontracting arrangements;
requires the FHLBanks to develop policies that address reasonable accommodations for employees to observe their religious beliefs;
requires the FHLBanks to amend their policies on equal opportunity in employment by adding sexual orientation, gender identity, and status as a parent to the list of protected classifications;
requires the FHLBanks to provide information in their annual reports to the FHFA about their efforts to advance diversity and inclusion through financial transactions, identification of ways in which FHLBanks might be able to improve MWDOB business with the FHLBank by enhancing customer access by MWDOB businesses, including through its affordable housing and community investment programs and strategies for promoting the diversity of supervisors and managers; and
requires the FHLBanks to classify and provide additional data in their annual reports about the number of and amounts paid under its contracts with MWDOB.

We do not expect this final rule to materially affect our financial condition or results of operations, but anticipate that it may result in increased compliance costs and substantially increase the amount of tracking, monitoring, and reporting that would be required of us.

FHLBank Capital Requirements. On July 3, 2017, the FHFA published a proposed rule to adopt, with amendments, the regulations of the Federal Housing Finance Board (predecessor to the FHFA) pertaining to the capital requirements for the FHLBanks. The proposed rule would carry over most of the existing regulations without material change but would substantively revise the credit risk component of the risk-based capital requirement, as well as the limitations on extensions of unsecured credit. The main revisions would remove requirements that the FHLBanks calculate credit risk capital charges and unsecured credit limits based on ratings issued by a NRSRO, and instead, require that the FHLBanks establish and use their own internal rating methodology. With respect to derivatives, the proposed rule would impose a capital charge for cleared derivatives, to align with the Dodd-Frank Act’s clearing mandate. The proposed rule also would revise the percentages used in the regulation’s tables to calculate credit risk capital charges for advances and for non-mortgage assets. The FHFA proposes to retain, for now, the percentages used in the tables to calculate capital charges for mortgage-related assets, and to address the methodology for residential mortgage assets at a later date. While a March 2009 regulatory directive pertaining to certain

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liquidity matters will remain in place, the FHFA also proposes to rescind certain minimum regulatory liquidity requirements for the FHLBanks and address these liquidity requirements in a separate rulemaking.

We submitted a joint comment letter with the other FHLBanks on August 31, 2017. We are continuing to evaluate the proposed rule but do not expect this rule, if adopted in final form, to materially affect our financial condition or results of operations.

Other Significant Developments

Mandatory Contractual Stay Requirements for Qualified Financial Contracts (QFCs). On September 12, 2017, the Federal Reserve Board (FRB) published a final rule, effective November 13, 2017, requiring certain global systemically important banking institutions (GSIBs) regulated by the FRB to amend their covered qualified financial contracts (QFCs) to limit a counterparty’s immediate termination or exercise of default rights under the QFCs in the event of bankruptcy or receivership of the GSIB or an affiliate of the GSIB. Covered QFCs include derivatives, repurchase agreements (known as repos) and reverse repos, and securities lending and borrowing agreements. On September 27, 2017, the Federal Deposit Insurance Corporation (FDIC) adopted a substantively identical final rule, effective January 1, 2018, with respect to QFCs entered into with certain FDIC-supervised institutions.

Although we are not a covered entity under these rules, as a counterparty to covered entities under QFCs, we may be required to amend QFCs entered into with FRB-regulated GSIBs or applicable FDIC-supervised institutions. These rules may impact our ability to terminate business relationships with covered entities and could adversely impact the amount we recover in the event of the bankruptcy or receivership of a covered entity. We do not expect these final rules to materially affect our financial condition or results of operations.

LIBOR. On July 27, 2017, the United Kingdom’s Financial Conduct Authority (FCA), which regulates LIBOR, announced its intention to stop persuading or compelling the group of major banks that sustains LIBOR to submit rate quotations after 2021. Previously, the FRB had convened the Alternative Reference Rates Committee (ARRC) to identify a set of alternative reference interest rates for possible use as market benchmarks. In June 2017, the ARRC recommended an alternative reference rate, and in August 2017, the FRB requested public comment on a proposal to begin publishing that rate and two other alternative rates beginning in 2018. Other financial services regulators and industry groups are evaluating the possible phase-out of LIBOR and the development, of alternative interest rate indices or reference rates. As noted throughout this report, many of our assets and liabilities are indexed to LIBOR. At this time, it is not possible to predict whether LIBOR will cease to be available after 2021 or what the anticipated impact of these developments will be onthen our business, results of operations, reputation, and financial condition.condition, and the value of membership in the FHLBank System may be impacted. For a further discussion of related risks, see Part 1 — Item 1A — Risk Factors in the 2022 Annual Report.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Sources and Types of Market and Interest-Rate Risk

Our balance sheet is comprised of different portfolios that require different types of market- and interest-rate-risk management strategies. The majority of our balance sheet is comprised of assets that can be funded individually or collectively without imposing significant residual interest-rate risk on ourselves. Sources and types of market and interest-rate risk are described in Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Sources and Types of Market and Interest-Rate Risk in the 20162022 Annual Report.

Strategies to Manage Market and Interest-Rate Risk

General

We use various strategies and techniques in an effort to manage our market and interest-rate risk including the following and combinations of the following:

•the issuance of COs that can be used to match interest-rate-risk exposures of our assets (at September 30, 2017, fixed-rate noncallable debt, not hedged by interest-rate swaps, amounted to $15.1 billion, compared with $13.5 billion at December 31, 2016);assets;
•the useissuance of derivatives and/or COs with embedded call options to hedge themitigate interest-rate riskand prepayment risks of our debt (at September 30, 2017, fixed-rate callable debt not hedged by interest-rate swaps amounted to $897.0 million compared with $667.0 million at December 31, 2016);mortgage loans and certain MBS;
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•the issuance of CO bonds together with interest-rate swaps (either cleared if containing no embedded optionality or uncleared if containing optionality) that receive a coupon rate that offsets the bond coupon rate and any optionality embedded in the bond, thereby effectively creating a floating-rate liability (total CO bond debt usedliability;
•the issuance of advances together with interest-rate swaps that pay a coupon rate that offsets the advance coupon rate and any optionality embedded in the advance, thereby effectively creating a floating-rate asset;

•the purchase of available-for-sale securities together with interest-rate swaps that pay a coupon rate that offsets the security’s coupon rate, thereby effectively creating a floating-rate asset;
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conjunction with interest-rate-exchange agreements was $5.9 billion, or 20.8 percent of our total outstanding CO bonds at September 30, 2017, compared with $7.6 billion, or 28.1 percent of total outstanding CO bonds, at December 31, 2016);
contractual provisions for certain advances that require borrowers to pay us prepayment fees, to make us financially indifferent if the borrower prepays such advances prior to maturity; and
•the use of callable debt for a portion of our investments in mortgage loansderivatives to managehedge the interest-rate risk of anticipated future CO debt issuance.

The following table provides the outstanding balances for the strategies noted above.

Table 19 - Interest-Rate Risk Management
(dollars in thousands)
Outstanding Par Value/Notional Balance as of
September 30, 2023December 31, 2022
Fixed-rate noncallable debt, not hedged by interest-rate swaps$9,798,635 $6,454,805 
Fixed-rate callable debt not hedged by interest-rate swaps986,500 595,000 
CO bond debt used in conjunction with interest-rate-exchange agreements (1)
26,525,440 21,726,190 
Advances used in conjunction with interest-rate-exchange agreements, including both fair-value hedge relationships and economic hedge relationships9,122,280 4,159,810 
Available-for-sale securities used in conjunction with interest-rate-exchange agreements12,577,160 12,577,160 
Notional principal balance of forward starting interest-rate swaps hedging the anticipated future issuance of CO debt1,391,000 1,391,000 
_______________________
(1) Includes unsettled CO bonds with a par value of $70.0 million and prepayment risks from these investments.$77.1 million at September 30, 2023, and December 31, 2022, respectively.

Each of the foregoingOur strategies and techniques isare more fully discussed under Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Strategies to Manage Market and Interest-Rate Risk in the 20162022 Annual Report.

Measurement of Market and Interest-Rate Risk and Related Policy Constraints

We measure our exposure to market and interest-rate risk using several techniques applied to the balance sheet and to certain portfolios within the balance sheet. Principal among these measurements as applied to the balance sheet is the potential future change in market value of equity (MVE) and interest income due to potential changes in interest rates, interest-rate volatility, spreads, and market prices. We also measure Value at Risk (VaR),VaR, duration of equity, convexity,MVE sensitivity, and the other metrics discussed below.

MVE is the net economic value of total assets and liabilities, including any off-balance-sheet items.derivative transactions. In contrast to the GAAP-based shareholder's equity account, MVE represents the shareholder's equity account in present-value terms. Specifically, MVE equals the difference between the estimated market value of our assets and the estimated market value of our liabilities.liabilities, net of derivative transactions.

MVE and, in particular, the ratio of MVE to the book value of equity (BVE), is a measure of the current value of shareholder investment based on market rates, spreads, prices, and volatility at the reporting date. However, these valuations may not be fully representative of future realized prices. Valuations are based on market curvesyields and prices of individual assets, liabilities, and derivatives, and therefore embed elements of option, credit, and liquidity risk which may not be representative of future net income to be earned from the spread between asset yields and funding costs. Further, MVE does not consider future new business activities, or income or expense derived from sources other than financial assets or liabilities. For purposes of measuring this ratio, the BVE is equal to the par value of capital stock including mandatorily redeemable capital stock, retained earnings, and accumulated other comprehensive (loss) income.

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We measure our exposure to market and interest-rate risk using several metrics, including:

•the ratio of MVE to BVE;
•the ratio of MVE to the par value of our Class B Stock (Par Stock), which we refer to as the MVE to Par Stock ratio;
•the ratio of MVE to the market value of assets, which we refer to as the economic capital ratio;
•VaR, which measures the potential change in our MVE, to a 99th percent confidence interval, based on a set of stress scenarios (VaR Stress Scenarios) using historicalhistorically-based interest-rate, volatility and volatilityOption Adjusted Spread (OAS) movements that have been observed over six-month intervals starting at the most recent month-end and going back monthly to 1992;1998. For risk-based capital purposes and compliance with our internal management action trigger, VaR is reported as the average of the five worst case scenarios.
•duration of equity, which is calculated as the estimated percentage change to MVE for a 100 basis point parallel shift in rates;
•MVE sensitivity, which is the estimated percent change in MVE in various shocked interest rate scenarios vs.versus base case MVE;
•the duration gap of our assets and liabilities, which is the difference between the estimated durations (percentage change in market value for a 100 basis point shift in rates) of assets and liabilities (including the effect of related hedges) and reflects the extent to which estimated sensitivities to market changes, including, but not limited to, maturity and repricing cash flows for assets and liabilities are matched; and
targeted metrics for our investments in mortgage loans; and
•the use of an income-simulation model that projects net interest income over a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and nonlinear changes to our funding curve and LIBOR.basis changes.

We maintain limits and management action triggers in connection with eachsome of the foregoing metrics. Those limits, management action triggers, and the foregoing market and interest-rate risk metrics are more fully discussed under Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Measurement of Market and Interest-Rate Risk and Related Policy Constraints in the 20162022 Annual Report.


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The following table sets forth each of the foregoing metrics together with any targets, associated limits and management actions triggers at September 30, 2017, and December 31, 2016.

Interest/Market-Rate Risk Metric September 30, 2017 December 31, 2016 Target, Limit or Management Action Trigger
MVE $3.6 billion $3.6 billion None
MVE/BVE 100% 98% None
MVE/Par Stock 155% 148% Maintain above 102% (management action trigger) and 100% or higher (limit)
Economic Capital Ratio 5.8% 5.8% Maintain above 4.5% (management action trigger) and 4.0% (limit)
VaR $166.8 million $118.8 million Maintain below $225.0 million (management action trigger) and $275.0 million (limit)
Duration of Equity -0.04 years +1.67 years Maintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit)
MVE Sensitivity in a +/- 200 basis point parallel rate shock (5.6)% (6.3)% Maintain above -10% (management action trigger) and -15% (limit)
Duration Gap -0.03 months +1.17 months None
MPF Portfolio VaR $84.9 million $76.9 million Maintain below 25% of the VaR limit ($275 million) (management action trigger)
Income Simulation based on an instantaneous rise in interest rates of 300 basis points Return on regulatory capital is 160 basis points above the average yield on three-month LIBOR Return on regulatory capital is 207 basis points above the average yield on three-month LIBOR Maintain projected return on regulatory capital above three-month LIBOR over the following 12 month horizon (management action trigger)

20 - Interest-Rate / Market-Rate Risk Metrics
MPF Portfolio Management Action Trigger of 25 Percent of Our VaR Limit.
September 30, 2023December 31, 2022Target, Limit or Management Action Trigger
MVE$3.4 billion$3.5 billionNone
MVE/BVE98%102%None
MVE/Par Stock169%171%Maintain above 130% (management action trigger) and 125% (limit)
Economic Capital Ratio5.4%5.5%Maintain above 4.5% (management action trigger) and 4.0% (limit)
VaR12.9% of MVE6.5% of MVEMaintain below 12% of MVE (management action trigger)
Duration of Equity (1)
+1.20 years+2.15 yearsMaintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit)
MVE Sensitivity: (1)
   Down 200 basis point parallel rate shock1.6%3.0%Maintain above -10% (management action trigger) and -15% (limit)
   Up 200 basis point parallel rate shock(3.4)%(5.0)%
Duration Gap (1)
+0.78 months+1.41 monthsNone
 We have established a_______________________
(1)    Metrics for measuring against the management action trigger for VaR exposuretriggers and limits are calculated using a methodology which does not constrain interest rates to a minimum of zero percent. Additional metrics are calculated in accordance with guidance from our investments in mortgage loans through the MPF program suchFHFA, which requires that we constrain projected future interest rates and discounting yields to a minimum of zero percent. Due to the VaR from these investments shall not exceed 25 percent of our overall VaR limit. While we seek to limit interest-rate risk through matching asset maturity and optionality with its corresponding funding, mortgage loans cannot be perfectly match funded due to factors including, but not limited to, borrower prepayment behavior and basis risk between the swap and our funding curves. This management action trigger was $68.8 million at September 30, 2017 and December 31, 2016, based on our overall VaR limit of $275.0 million. Our actual MPF portfolio VaR exposure at September 30, 2017, was $84.9 million, compared with $76.9 million as of December 31, 2016.

We exceeded the MPF Portfolio VaR management action trigger at both December 31, 2016 and September 30, 2017. This was largely the result of the recentsignificant increase in interest rates for the periods ended September 30, 2023, and projected extensionDecember 31, 2022, the results of the MPF portfolio beyond that experienced byconstrained and unconstrained metrics were the CO debt used to fund this portfolio. Management reviewed the risk exposure in the MPF portfolio and the risk exposure of the entire balance sheet as required by the trigger. The risk of the overall balance sheet as measured by VaR remained well below both its management action trigger and limit, and management decided that no reduction to the MPF risk profile was required. Should we continue to exceed our MPF VaR management action trigger, and should our VaR increase closer to its trigger and limit, we expect that management could reduce our risk exposure by making changes to the balance sheet including but not limited to altering the debt profile, which could have an adverse impact on income.same.

Value at Risk. VaR, which measures the potential change in our MVE, is based on a set of stress scenarios using historically based interest-rate, volatility and option-adjusted spread (OAS) movements starting at the most recent month-end and going back monthly to 1998. For risk-based capital purposes and compliance with our internal management action trigger, VaR is reported as the average of the five worst scenarios.
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As of September 30, 2023, our VaR measured 12.94 percent of the base case MVE, or 0.94 percentage points above our management action trigger of 12 percent. The VaR calculation is based on a combination of interest rate, volatility and OAS shocks provided by the FHFA for establishment of the market risk component of our risk-based capital requirement. Beginning in the second quarter of 2023, the OAS shocks as provided by the FHFA were significantly increased from prior periods, which resulted in an increased VaR absent an equivalent change in the composition of the balance sheet or exposures as measured by other market risk metrics. The higher OAS shocks are a result of changes made by the FHFA to the assumption underlying this calculation in connection with the cessation of LIBOR earlier this year. The potential exists for the FHFA to further change the OAS, interest rate and volatility shocks in the future. The Bank decided to not take any action at this time because the OAS shocks are limited to only assets and capital levels are sufficient relative to the metric.
The table below presents the historical simulation VaR estimate as of September 30, 2017,2023 and December 31, 2016,2022, and represents the estimates of potential reduction to our MVE from potential future changes in interest rates and other market factors.factors, as described above. Estimated potential market value loss exposures are expressed as a percentage of the current MVEMVE. The table is intended to represent a statistically based range of VaR exposures.

Table 21 - Value-at-Risk
(dollars in millions)
 Value-at-Risk
(Gain) Loss Exposure
 September 30, 2023December 31, 2022
Confidence Level
% of
MVE (1)
Amount
% of
MVE (1)
Amount
50%7.62 %$259.9 2.50 %$87.0 
75%8.90 303.8 3.89 135.7 
95%10.79 368.2 5.46 190.1 
99%12.67 432.3 6.31 219.9 
Average of five worst scenarios - as of period end12.94 441.3 6.48 225.8 
_____________________________
(1)Loss exposure is expressed as a percentage of base MVE.

Income Simulation. To provide an additional perspective on market and areinterest-rate risks, we have an income-simulation model that projects adjusted net income over the ensuing 12-month period using a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and changes in basis risk. The income simulation metric is based on the historical relative behaviorprojections of adjusted net income divided by capital stock (including mandatorily redeemable capital stock). Projections of adjusted net income exclude: a) projected prepayment of advances and prepayment penalties; b) loss on early extinguishment of debt; c) changes in fair values from hedging activities; and d) changes in fair values of trading securities. The simulations are solely based on simulated movements in interest rates and other market factorsdo not reflect potential impacts of credit events, including, but not limited to, potential provision for credit losses.

Management has put in place management action triggers whereby senior management is explicitly informed of instances where our projected return on capital stock (ROCS) falls below the average yield on SOFR plus our dividend spread over a 120-business-day time horizon.

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Tabletwelve-month horizon in a variety of Contents


interest-rate shock scenarios inclusive of basis risk scenarios based on historical observations, non-parallel scenarios, and parallel scenarios limited to +/- 200 basis points. The results of this analysis for September 30, 2023, showed that in the base case our projected ROCS was 873 basis points over SOFR, and in the worst case modeled, the down 200 basis points scenario, our projected ROCS fell 140 basis points to 733 basis points over SOFR. For December 31, 2022, the results of this analysis showed in the base case our projected ROCS was 628 basis points over SOFR, and in the worst case modeled, the down 200 basis point scenario, our projected ROCS fell 74 basis points to 554 basis points over SOFR. Our projected ROCS spread to SOFR remained above the management action trigger minimum during the period covered by this report.

  
Value-at-Risk
(Gain) Loss Exposure (1)
  September 30, 2017 December 31, 2016
Confidence Level 
% of
MVE (2)
 $ million 
% of
MVE (2)
 $ million
50% 0.15% $5.3
 (0.01)% $(0.4)
75% 1.08
 38.7
 0.51
 18.5
95% 3.14
 112.3
 1.87
 67.4
99% 4.67
 166.8
 3.29
 118.8
_______________________
(1)To be consistent with FHFA guidance, we have excluded VaR stress scenarios prior to 1992 because market-risk stress conditions are effectively captured in those scenarios beginning in 1992 and therefore properly present our current VaR exposure.
(2)Loss exposure is expressed as a percentage of base MVE.

Certain Market and Interest-Rate Risk Metrics under Potential Interest-Rate Scenarios

We also monitor the sensitivities of MVE and the duration of equity to potential interest-rate scenarios. The following table presents certain market and interest-rate risk metrics under different interest-rate scenarios (dollars in millions).

scenarios.
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  September 30, 2017
  
Down 300(1)
 
Down 200(1)
 
Down 100(1)
 Base Up 100 Up 200 Up 300
MVE $3,297 $3,373 $3,498 $3,575 $3,516 $3,401 $3,264
Percent change in MVE from base (7.8)% (5.6)% (2.2)% —% (1.6)% (4.9)% (8.7)%
MVE/BVE 92% 94% 98% 100% 98% 95% 91%
MVE/Par Stock 143% 146% 151% 155% 152% 147% 141%
Duration of Equity -1.26 years -2.98 years -3.53 years -0.04 years +2.71 years +3.70 years +4.40 years
Return on Regulatory Capital less 3-month LIBOR (2)
 2.0% 2.1% 2.7% 2.7% 2.4% 2.0% 1.6%
Net income percent change from base (55.1)% (52.1)% (24.6)% —% 16.2% 31.3% 44.9%
____________________________
(1)In an environment of low interest rates, downward rate shocks are floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.
(2)The income simulation metric for September 30, 2017 is based on projections of adjusted net income over a range of potential interest-rate scenarios over the following 12-month horizon divided by regulatory capital. Regulatory capital is capital stock (including mandatorily redeemable capital stock) plus total retained earnings, and projections of adjusted net income exclude a) interest expense on mandatorily redeemable capital stock; b) projected prepayment penalties; c) loss on early extinguishment of debt; and d) changes in fair values from trading securities and hedging activities.


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Table 22 - Market and Interest-Rate Risk Metrics
  December 31, 2016
  
Down 300(1)
 
Down 200(1)
 
Down 100(1)
 Base Up 100 Up 200 Up 300
MVE(2)
 $3,385 $3,485 $3,618 $3,606 $3,506 $3,379 $3,240
Percent change in MVE from base (6.1)% (3.3)% 0.3% —% (2.8)% (6.3)% (10.1)%
MVE/BVE 92% 95% 99% 98% 96% 92% 89%
MVE/Par Stock 138% 143% 148% 148% 143% 138% 133%
Duration of Equity -1.64 years -3.35 years -1.11 years +1.67 years +3.39 years +3.93 years +4.42 years
Return on Regulatory Capital less 3-month LIBOR (2)
 2.4% 2.6% 2.9% 2.9% 2.6% 2.4% 2.1%
Net income percent change from base (41.6)% (37.3)% (22.7)% —% 18.2% 37.1% 55.2%
(dollars in millions)
September 30, 2023
Down 300(1)
Down 200(1)
Down 100(1)
BaseUp 100Up 200Up 300
MVE$3,473$3,468$3,445$3,412$3,361$3,297$3,231
Percent change in MVE from base1.8%1.6%1.0%—%(1.5)%(3.4)%(5.3)%
MVE/BVE100%100%99%98%97%95%93%
MVE/Par Stock173%172%171%169%167%164%160%
Duration of Equity-0.03 years+0.40 years+0.84 years+1.20 years+1.75 years+1.96 years+2.02 years
ROCS less SOFR6.20%7.33%8.09%8.73%9.26%9.78%10.27%
Net income percent change from base(39.00)%(23.93)%(11.57)%—%10.74%21.44%31.85%
December 31, 2022
Down 300(1)
Down 200(1)
Down 100(1)
BaseUp 100Up 200Up 300
MVE$3,609$3,592$3,551$3,486$3,403$3,312$3,218
Percent change in MVE from base3.5%3.0%1.9%—%(2.4)%(5.0)%(7.7)%
MVE/BVE105%105%104%102%99%97%94%
MVE/Par Stock177%176%174%171%167%162%158%
Duration of Equity+0.27 years+0.81 years+1.51 years+2.15 years+2.58 years+2.80 years+2.88 years
ROCS less SOFR4.92%5.54%6.09%6.28%6.39%6.53%6.67%
Net income percent change from base(37.88)%(23.73)%(10.15)%—%9.44%19.09%28.75%
____________________________
(1)
(1)    In an environment of low interest rates, downward rate shocks are floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.
(2)The income simulation metric for December 31, 2016 is based on projections of adjusted net income over a range of potential interest-rate scenarios over the following 12-month horizon divided by regulatory capital. Regulatory capital is capital stock (including mandatorily redeemable capital stock) plus total retained earnings, and projections of adjusted net income exclude a) interest expense on mandatorily redeemable capital stock; b) projected prepayment penalties; c) loss on early extinguishment of debt; and d) changes in fair values from trading securities and hedging activities.


ITEM
Item 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

Our senior management is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure that information required to be disclosed by us in the reports filed or submitted under the Securities Exchange Act of 1934 is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the SEC. Our disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in the reports that we file or submit under the Securities Exchange Act of 1934 is accumulated and communicated to our senior management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and our senior management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.

We haveOur senior management has evaluated the effectiveness of the design and operation of our disclosure controls and procedures, with the participation of the president and chief executive officer and chief financial officer, as of the end of the period covered by this report.September 30, 2023. Based on that evaluation, our president and chief executive officer and chief financial officer have concluded that our disclosure controls and procedures were effective at a reasonable assurance level as of the end of the fiscal quarter covered by this report.September 30, 2023.

Changes in Internal Control over Financial Reporting

During the quarter ended September 30, 2017,2023, there were no changes in our internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

We describe our private-label MBS litigation in Item 3 — Legal Proceedings in the 2016 Annual Report.


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From time to time, we are subject to various pending legal proceedings arising in the normal course of business. After consultation with legal counsel, we do not anticipate that the ultimate liability, if any, arising out of these matters will have a material adverse effect on our financial condition or results of operations.

ITEM 1A. RISK FACTORS

In addition to the information presented in this report, readers should carefully consider the risk factors set forth in the 20162022 Annual Report, which could materially impact our business, financial condition, or future results. These risks are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem immaterial may also materially impact us.

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

Not applicable.None.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

NoneNone.

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

ITEM 5. OTHER INFORMATION

NoneNone.

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ITEM 6. EXHIBITS
NumberExhibit DescriptionReference
NumberExhibit Description
10.1Federal Home Loan Bank of Boston 2024 Director Compensation Policy *
31.1
Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2
Certification of the chief financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1
Certification of the president and chief executive officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.2
Certification of the chief financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
101.INSXBRL Instance Document - theThe instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.
101.SCHInline XBRL Taxonomy Extension Schema DocumentFiled within this Form 10-Q
101.CALInline XBRL Taxonomy Extension Calculation Linkbase DocumentFiled within this Form 10-Q
101.LABInline XBRL Taxonomy Extension Label Linkbase DocumentFiled within this Form 10-Q
101.PREInline XBRL Taxonomy Extension Presentation Linkbase DocumentFiled within this Form 10-Q
101.DEFInline XBRL Taxonomy Extension Definition Linkbase DocumentFiled within this Form 10-Q
104The cover page of the Bank’s Quarterly report on Form 10-Q, formatted in Inline XBRLIncluded within the Exhibit 101 attachments

* Portions of this exhibit have been omitted.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


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DateFEDERAL HOME LOAN BANK OF BOSTON (Registrant)
November 8, 20179, 2023By:/s/Edward A. Hjerpe IIITimothy J. Barrett
Edward A. Hjerpe IIITimothy J. Barrett
President and Chief Executive Officer
November 8, 20179, 2023By:/s/Frank Nitkiewicz
Frank Nitkiewicz
Executive Vice President, Chief Operating Officer
and Chief Financial Officer


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