UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended ~~June 30, 2021~~March 31, 2022

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

Commission File Number: 000-51404

FEDERAL HOME LOAN BANK OF INDIANAPOLIS

(Exact name of registrant as specified in its charter)


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

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

(317) 465-0200

(Registrant's telephone number, including area code)

Not Applicable

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

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


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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.

x Yes o No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

x Yes o No

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

☐

Large accelerated filer

☐

Accelerated filer

☐

Emerging growth company

Non-accelerated Filer

☐

Smaller reporting company

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

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

☐ Yes x No

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


			Shares outstanding as of ~~July 31, 2021~~April 30, 2022
Class A Stock, par value $100			0—
Class B Stock, par value $100			~~24,759,308~~21,842,468


Table of Contents		Page
		Number

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

	Statements of Condition as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021	4

	Statements of Income for the Three ~~and Six~~ Months Ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	5

	Statements of Comprehensive Income for the Three ~~and Six~~ Months Ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	6

	Statements of Capital for the Three ~~and Six~~ Months Ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	7

	Statements of Cash Flows for the ~~Six~~Three Months Ended ~~June 30,~~March 31, 2022 and 2021 ~~and 2020~~	98

	Notes to Financial Statements:
	Note 1 - Summary of Significant Accounting Policies	1110
	Note 2 - Recently Adopted and Issued Accounting Guidance	1110
	Note 3 - Investments	11
	Note 4 - Advances	1514
	Note 5 - Mortgage Loans Held for Portfolio	1615
	Note 6 - Derivatives and Hedging Activities	1916
	Note 7 - Consolidated Obligations	2420
	Note 8 - Affordable Housing Program	2622
	Note 9 - Capital	2622
	Note 10 - Accumulated Other Comprehensive Income	2823
	Note 11 - Segment Information	3024
	Note 12 - Estimated Fair Values	3125
	Note 13 - Commitments and Contingencies	3528
	Note 14 - Related Party and Other Transactions	3629

	Defined Terms	3730

Item 2.	MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
	Presentation	3932
	Executive Summary	39
	~~Selected Financial Data~~	4132
	Results of Operations and Changes in Financial Condition	4234
	Operating Segments	4939
	Analysis of Financial Condition	5040
	Liquidity and Capital Resources	57
	~~Off-Balance Sheet Arrangements~~	5946
	Critical Accounting ~~Policies and~~ Estimates	5948
	Recent Accounting and Regulatory Developments	5948
	Risk Management	6049
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	6351
Item 4.	CONTROLS AND PROCEDURES	6654

PART II.	OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	6655
Item 1A.	RISK FACTORS	6755
Item 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	6855
Item 3.	DEFAULTS UPON SENIOR SECURITIES	6855
Item 4.	MINE SAFETY DISCLOSURES	6855
Item 5.	OTHER INFORMATION	6855
Item 6.	EXHIBITS	6955

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

Special Note Regarding Forward-Looking Statements

Statements in this Form 10-Q, including statements describing our objectives, projections, estimates or predictions, may be considered to be "forward-looking statements." These statements may use forward-looking terminology, such as "anticipates," "believes," "could," "estimates," "may," "should," "expects," "will," or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements involve risk or uncertainty and that actual results either could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following:

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

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

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

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

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

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

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

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

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

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

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

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

•political events, including federal government shutdowns, administrative, legislative, regulatory, or other developments, changes in international political structures and alliances, and judicial rulings that affect us, our status as a secured creditor, our members (or certain classes of members), prospective members, counterparties, GSEs generally, one or more of the FHLBanks and/or investors in the consolidated obligations of the FHLBanks;

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

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

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

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

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

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

•ability to attract and retain skilled personnel;

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

•nonperformance of counterparties to uncleared and cleared derivative transactions;

•changes in terms of derivative agreements and similar agreements;

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

•changes in or differing interpretations of accounting guidance; and

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

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

Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. FINANCIAL STATEMENTS

Federal Home Loan Bank of Indianapolis

Statements of Condition

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


		June 30, 2021		December 31, 2020			March 31, 2022		December 31, 2021
Assets:	Assets:					Assets:
Cash and due from banks	Cash and due from banks	$	1,363,012	$	1,811,544	Cash and due from banks	$	225,842	$	867,880
Interest-bearing deposits (Note 3)	Interest-bearing deposits (Note 3)	100,041		100,026		Interest-bearing deposits (Note 3)	100,041		100,041
Securities purchased under agreements to resell (Note 3)	Securities purchased under agreements to resell (Note 3)	3,000,000		2,500,000		Securities purchased under agreements to resell (Note 3)	7,600,000		3,500,000
Federal funds sold (Note 3)	Federal funds sold (Note 3)	2,805,000		1,215,000		Federal funds sold (Note 3)	1,640,000		2,580,000
Trading securities (Note 3)	Trading securities (Note 3)	5,817,270		5,094,703		Trading securities (Note 3)	4,752,822		3,946,799
Available-for-sale securities, amortized cost of $9,084,093 and $10,007,978 (Note 3)		9,299,045		10,144,899
Held-to-maturity securities (estimated fair values of $4,594,682 and $4,723,796) (Note 3)		4,572,692		4,701,302
Available-for-sale securities (Note 3) (amortized cost of $9,802,299 and $9,007,993)						Available-for-sale securities (Note 3) (amortized cost of $9,802,299 and $9,007,993)	9,879,778		9,159,935
Held-to-maturity securities (Note 3) (estimated fair values of $4,028,452 and $4,322,157)						Held-to-maturity securities (Note 3) (estimated fair values of $4,028,452 and $4,322,157)	4,052,556		4,313,773
Advances (Note 4)	Advances (Note 4)	27,632,543		31,347,486		Advances (Note 4)	26,588,461		27,497,835
Mortgage loans held for portfolio, net (Note 5)	Mortgage loans held for portfolio, net (Note 5)	7,736,875		8,515,645		Mortgage loans held for portfolio, net (Note 5)	7,701,904		7,616,134
Accrued interest receivable	Accrued interest receivable	91,123		103,076		Accrued interest receivable	80,400		80,758
Premises, software, and equipment, net		32,635		33,993
Derivative assets, net (Note 6)	Derivative assets, net (Note 6)	237,171		283,082		Derivative assets, net (Note 6)	270,997		220,202
Other assets	Other assets	83,651		74,000		Other assets	122,413		121,246

Total assets	Total assets	$	62,771,058	$	65,924,756	Total assets	$	63,015,214	$	60,004,603

Liabilities:	Liabilities:					Liabilities:
Deposits	Deposits	$	1,597,781	$	1,375,206	Deposits	$	1,237,131	$	1,366,397
Consolidated obligations (Note 7):	Consolidated obligations (Note 7):					Consolidated obligations (Note 7):
Discount notes	Discount notes	14,444,886		16,617,079		Discount notes	18,173,383		12,116,358
Bonds	Bonds	42,363,125		43,332,946		Bonds	39,632,188		42,361,572
Total consolidated obligations, net	Total consolidated obligations, net	56,808,011		59,950,025		Total consolidated obligations, net	57,805,571		54,477,930
Accrued interest payable	Accrued interest payable	71,930		63,581		Accrued interest payable	88,889		88,068
Affordable Housing Program payable (Note 8)	Affordable Housing Program payable (Note 8)	30,765		34,402		Affordable Housing Program payable (Note 8)	31,937		31,049
Derivative liabilities, net (Note 6)	Derivative liabilities, net (Note 6)	10,103		22,979		Derivative liabilities, net (Note 6)	6,645		12,185
Mandatorily redeemable capital stock (Note 9)	Mandatorily redeemable capital stock (Note 9)	232,893		250,768		Mandatorily redeemable capital stock (Note 9)	45,591		50,422
Other liabilities	Other liabilities	435,822		777,493		Other liabilities	426,180		422,221

Total liabilities	Total liabilities	59,187,305		62,474,454		Total liabilities	59,641,944		56,448,272

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

Capital (Note 9):	Capital (Note 9):					Capital (Note 9):
Capital stock (putable at par value of $100 per share):	Capital stock (putable at par value of $100 per share):					Capital stock (putable at par value of $100 per share):
Class B issued and outstanding shares: 22,339,163 and 22,075,696, respectively		2,233,916		2,207,570
Class B issued and outstanding shares: 21,215,410 and 22,462,009, respectively						Class B issued and outstanding shares: 21,215,410 and 22,462,009, respectively	2,121,541		2,246,201
Retained earnings:	Retained earnings:					Retained earnings:
Unrestricted	Unrestricted	878,581		868,904		Unrestricted	899,750		889,869
Restricted	Restricted	277,832		268,426		Restricted	292,924		287,203
Total retained earnings	Total retained earnings	1,156,413		1,137,330		Total retained earnings	1,192,674		1,177,072
Total accumulated other comprehensive income (Note 10)	Total accumulated other comprehensive income (Note 10)	193,424		105,402		Total accumulated other comprehensive income (Note 10)	59,055		133,058

Total capital	Total capital	3,583,753		3,450,302		Total capital	3,373,270		3,556,331

Total liabilities and capital	Total liabilities and capital	$	62,771,058	$	65,924,756	Total liabilities and capital	$	63,015,214	$	60,004,603

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

4

Federal Home Loan Bank of Indianapolis

Statements of Income

(Unaudited, $ amounts in thousands)

Three Months Ended
June 30, Six Months Ended
June 30,
2021 2020 2021 2020
Interest Income:
Advances $ 28,175 $ 76,319 $ 64,284 $ 245,944
Interest-bearing deposits 121 313 277 5,032
Securities purchased under agreements to resell 215 226 652 10,059
Federal funds sold 651 323 1,454 9,613
Trading securities 14,421 25,520 30,591 49,316
Available-for-sale securities 21,184 13,341 51,020 50,144
Held-to-maturity securities 7,809 19,813 17,673 48,946
Mortgage loans held for portfolio 40,119 59,208 80,401 141,228
Total interest income 112,695 195,063 246,352 560,282
Interest Expense:
Consolidated obligation discount notes 1,733 27,575 5,932 100,089
Consolidated obligation bonds 52,674 97,199 106,470 321,051
Deposits 43 55 80 2,790
Mandatorily redeemable capital stock 929 2,772 2,033 5,739
Total interest expense 55,379 127,601 114,515 429,669
Net interest income 57,316 67,462 131,837 130,613
Provision for (reversal of) credit losses (44) 50 44 47
Net interest income after provision for credit losses 57,360 67,412 131,793 130,566
Other Income:
Net gains (losses) on trading securities (13,731) (28,527) (27,359) 21,306
Net gains (losses) on derivatives 186 (878) (652) (51,827)
Service fees 131 138 258 297
Standby letters of credit fees 254 163 425 318
Other, net 3,390 3,558 4,582 (20)
Total other income (loss) (9,770) (25,546) (22,746) (29,926)
Other Expenses:
Compensation and benefits 14,092 15,252 29,850 29,637
Other operating expenses 7,417 7,725 14,688 15,034
Federal Housing Finance Agency 1,474 1,168 2,947 2,335
Office of Finance 1,228 1,037 3,225 2,311
Other 4,226 1,710 5,857 3,191
Total other expenses 28,437 26,892 56,567 52,508
Income before assessments 19,153 14,974 52,480 48,132
Affordable Housing Program assessments 2,008 1,775 5,451 5,387
Net income $ 17,145 $ 13,199 $ 47,029 $ 42,745


	Three Months Ended March 31,
		2022		2021
Interest Income:
Advances		$	35,041	$	36,109
Interest-bearing deposits		290		156
Securities purchased under agreements to resell		905		437
Federal funds sold		842		803
Trading securities		5,445		16,170
Available-for-sale securities		22,445		29,836
Held-to-maturity securities		7,511		9,864
Mortgage loans held for portfolio		47,801		40,282

Total interest income		120,280		133,657

Interest Expense:
Consolidated obligation discount notes		3,653		4,199
Consolidated obligation bonds		51,699		53,796
Deposits		99		37
Mandatorily redeemable capital stock		245		1,104

Total interest expense		55,696		59,136

Net interest income		64,584		74,521
Provision for (reversal of) credit losses		(22)		88

Net interest income after provision for credit losses		64,606		74,433

Other Income:


Net gains (losses) on trading securities		(24,195)		(13,628)
Net gains (losses) on derivatives		19,994		(838)

Other, net		(3,201)		1,490
Total other income (loss)		(7,402)		(12,976)

Other Expenses:
Compensation and benefits		12,956		15,758
Other operating expenses		7,094		7,271
Federal Housing Finance Agency		1,916		1,473
Office of Finance		1,417		1,997
Other		2,011		1,631
Total other expenses		25,394		28,130

Income before assessments		31,810		33,327

Affordable Housing Program assessments		3,205		3,443

Net income		$	28,605	$	29,884

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

5

Federal Home Loan Bank of Indianapolis

Statements of Comprehensive Income

(Unaudited, $ amounts in thousands)


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

Net income	Net income	$	17,145	$	13,199	$	47,029	$	42,745	Net income		$	28,605	$	29,884

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

Net change in unrealized gains (losses) on available-for-sale securities	Net change in unrealized gains (losses) on available-for-sale securities	4,502		79,020		78,031		(69,811)		Net change in unrealized gains (losses) on available-for-sale securities		(74,463)		73,529

Pension benefits, net	Pension benefits, net	8,995		(2,381)		9,991		(1,674)		Pension benefits, net		460		996

Total other comprehensive income (loss)	Total other comprehensive income (loss)	13,497		76,639		88,022		(71,485)		Total other comprehensive income (loss)		(74,003)		74,525

Total comprehensive income (loss)	Total comprehensive income (loss)	$	30,642	$	89,838	$	135,051	$	(28,740)	Total comprehensive income (loss)		$	(45,398)	$	104,409

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

6

Federal Home Loan Bank of Indianapolis

Statements of Capital

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

(Unaudited, $ amounts and shares in thousands)
Capital Stock Retained Earnings Accumulated
Other
Comprehensive
Income (Loss) Total
Capital
Shares Par Value Unrestricted Restricted Total
Balance, March 31, 2021 22,142 $ 2,214,192 $ 878,854 $ 274,403 $ 1,153,257 $ 179,927 $ 3,547,376
Total comprehensive income 13,716 3,429 17,145 13,497 30,642
Proceeds from issuance of capital stock 200 20,005 20,005
Shares reclassified to mandatorily redeemable capital stock, net (3) (281) (281)
Cash dividends on capital stock
(2.57% annualized)
(13,989) — (13,989) (13,989)
Balance, June 30, 2021 22,339 $ 2,233,916 $ 878,581 $ 277,832 $ 1,156,413 $ 193,424 $ 3,583,753
Balance, March 31, 2020 20,982 $ 2,098,222 $ 867,141 $ 256,763 $ 1,123,904 $ (80,748) $ 3,141,378
Total comprehensive income 10,559 2,640 13,199 76,639 89,838
Proceeds from issuance of capital stock 1,092 109,212 109,212
Shares reclassified to mandatorily redeemable capital stock, net (131) (13,115) (13,115)
Partial recovery of prior capital distribution to Financing Corporation 10,574 — 10,574 10,574
Cash dividends on capital stock
(4.00% annualized)
(19,946) — (19,946) (19,946)
Balance, June 30, 2020 21,943 $ 2,194,319 $ 868,328 $ 259,403 $ 1,127,731 $ (4,109) $ 3,317,941



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

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

Total comprehensive income				22,884		5,721		28,605		(74,003)		(45,398)

Proceeds from issuance of capital stock	372	37,225										37,225

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







Cash dividends on capital stock (2.31% annualized)				(13,003)		—		(13,003)				(13,003)

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

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

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

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







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

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

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

7

~~Federal Home Loan Bank of Indianapolis~~

~~Statements of Capital~~

~~Six Months Ended June 30, 2021 and 2020~~

~~(Unaudited, $ amounts and shares in thousands)~~

Capital Stock Retained Earnings Accumulated
Other
Comprehensive
Income (Loss) Total
Capital
Shares Par Value Unrestricted Restricted Total
Balance, December 31, 2020 22,076 $ 2,207,570 $ 868,904 $ 268,426 $ 1,137,330 $ 105,402 $ 3,450,302
Total comprehensive income 37,623 9,406 47,029 88,022 135,051
Proceeds from issuance of capital stock 266 26,627 26,627
Shares reclassified to mandatorily redeemable capital stock, net (3) (281) (281)
Cash dividends on capital stock
(2.53% annualized)
(27,946) — (27,946) (27,946)
Balance, June 30, 2021 22,339 $ 2,233,916 $ 878,581 $ 277,832 $ 1,156,413 $ 193,424 $ 3,583,753
Balance, December 31, 2019 19,741 $ 1,974,076 $ 864,454 $ 250,854 $ 1,115,308 $ 67,376 $ 3,156,760
Total comprehensive income (loss) 34,196 8,549 42,745 (71,485) (28,740)
Proceeds from issuance of capital stock 2,335 233,590 233,590
Shares reclassified to mandatorily redeemable capital stock, net (133) (13,347) (13,347)
Partial recovery of prior capital distribution to Financing Corporation 10,574 — 10,574 10,574
Cash dividends on capital stock
(4.13% annualized)
(40,896) — (40,896) (40,896)
Balance, June 30, 2020 21,943 $ 2,194,319 $ 868,328 $ 259,403 $ 1,127,731 $ (4,109) $ 3,317,941

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

8

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows

(Unaudited, $ amounts in thousands)

Six Months Ended June 30,
2021 2020
Operating Activities:
Net income $ 47,029 $ 42,745
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation 42,309 31,413
Changes in net derivative and hedging activities 28,776 (521,675)
Provision for credit losses 44 47
Net losses (gains) on trading securities 27,359 (21,306)
Changes in:
Accrued interest receivable 11,601 9,122
Other assets (12,783) (7,639)
Accrued interest payable 8,349 (76,331)
Other liabilities 1,182 40,954
Total adjustments, net 106,837 (545,415)
Net cash provided by (used in) operating activities 153,866 (502,670)
Investing Activities:
Net change in:
Interest-bearing deposits 452,160 (390,531)
Securities purchased under agreements to resell (500,000) (1,500,000)
Federal funds sold (1,590,000) 158,000
Trading securities:
Proceeds from maturities 850,000 1,850,000
Proceeds from sales 50,006 0
Purchases (1,649,933) (1,778,124)
Available-for-sale securities:
Proceeds from maturities 643,500 22,000
Purchases (60,290) (1,176,982)
Held-to-maturity securities:
Proceeds from maturities 538,805 868,888
Purchases (584,749) 0
Advances:
Principal repayments 139,543,669 138,354,889
Disbursements to members (136,081,315) (140,017,580)
Mortgage loans held for portfolio:
Principal collections 1,776,690 1,895,751
Purchases from members (1,145,532) (1,049,039)
Purchases of premises, software, and equipment (2,520) (2,849)
Loans to other Federal Home Loan Banks:
Principal repayments 20,000 20,000
Disbursements (20,000) (20,000)
Net cash provided by (used in) investing activities 2,240,491 (2,765,577)

~~(continued)~~



	Three Months Ended March 31,
	2022		2021
Operating Activities:
Net income	$	28,605	$	29,884
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation	22,324		24,431
Changes in net derivative and hedging activities	460,458		152,082

Provision for (reversal of) credit losses	(22)		88
Net losses on trading securities	24,195		13,628


Changes in:
Accrued interest receivable	171		14,518
Other assets	(3,125)		(5,470)
Accrued interest payable	833		(3,551)
Other liabilities	25,795		13,979
Total adjustments, net	530,629		209,705

Net cash provided by operating activities	559,234		239,589

Investing Activities:
Net change in:
Interest-bearing deposits	(636,378)		379,297
Securities purchased under agreements to resell	(4,100,000)		(2,000,000)
Federal funds sold	940,000		(1,615,000)
Trading securities:
Proceeds from maturities	1,100,000		500,000

Purchases	(1,930,219)		(950,175)
Available-for-sale securities:
Proceeds from maturities and paydowns	366,760		343,500

Purchases	(1,654,878)		(60,290)
Held-to-maturity securities:
Proceeds from maturities and paydowns	312,678		290,207

Purchases	(51,312)		(215,269)
Advances:
Principal repayments	24,653,003		67,477,320
Disbursements to members	(24,118,758)		(66,175,807)
Mortgage loans held for portfolio:
Principal collections	340,010		1,034,979
Purchases from members	(460,320)		(610,090)
Purchases of premises, software, and equipment	(571)		(1,171)
Loans to other Federal Home Loan Banks:
Principal repayments	10,000		10,000
Disbursements	(10,000)		(10,000)

Net cash used in investing activities	(5,239,985)		(1,602,499)
(continued)

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

98

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows, continued

(Unaudited, $ amounts in thousands)


		Six Months Ended June 30,					Three Months Ended March 31,
		2021		2020			2022		2021
Financing Activities:	Financing Activities:					Financing Activities:
Changes in deposits		222,576		184,887
Net payments on derivative contracts with financing elements		(7,551)		1,998
Net change in deposits						Net change in deposits	(47,339)		475,555
Net proceeds (payments) on derivative contracts with financing elements						Net proceeds (payments) on derivative contracts with financing elements	(776)		(4,498)
Net proceeds from issuance of consolidated obligations:	Net proceeds from issuance of consolidated obligations:					Net proceeds from issuance of consolidated obligations:
Discount notes	Discount notes	85,205,681		172,312,346		Discount notes	111,826,875		49,078,395
Bonds	Bonds	22,129,860		21,703,579		Bonds	7,327,205		11,425,764
Payments for matured and retired consolidated obligations:	Payments for matured and retired consolidated obligations:					Payments for matured and retired consolidated obligations:
Discount notes	Discount notes	(87,373,330)		(161,738,014)		Discount notes	(105,771,958)		(48,118,416)
Bonds	Bonds	(23,000,650)		(29,484,440)		Bonds	(9,152,800)		(11,836,850)

Proceeds from issuance of capital stock	Proceeds from issuance of capital stock	26,627		233,590		Proceeds from issuance of capital stock	37,225		6,622

Payments for redemption/repurchase of capital stock						Payments for redemption/repurchase of capital stock	(161,885)		—
Payments for redemption/repurchase of mandatorily redeemable capital stock						Payments for redemption/repurchase of mandatorily redeemable capital stock	(4,831)		(18,073)

Payments for redemption/repurchase of mandatorily redeemable capital stock		(18,156)		(36,581)
Partial recovery of prior capital distribution to Financing Corporation		0		10,574
Dividend payments on capital stock	Dividend payments on capital stock	(27,946)		(40,896)		Dividend payments on capital stock	(13,003)		(13,957)

Net cash provided by (used in) financing activities		(2,842,889)		3,147,043
Net cash provided by financing activities						Net cash provided by financing activities	4,038,713		994,542

Net increase (decrease) in cash and due from banks	Net increase (decrease) in cash and due from banks	(448,532)		(121,204)		Net increase (decrease) in cash and due from banks	(642,038)		(368,368)

Cash and due from banks at beginning of period	Cash and due from banks at beginning of period	1,811,544		220,294		Cash and due from banks at beginning of period	867,880		1,811,544

Cash and due from banks at end of period	Cash and due from banks at end of period	$	1,363,012	$	99,090	Cash and due from banks at end of period	$	225,842	$	1,443,176

Supplemental Disclosures:	Supplemental Disclosures:					Supplemental Disclosures:
Cash activities:	Cash activities:					Cash activities:
Interest payments	Interest payments	$	139,245	$	552,568	Interest payments	$	56,957	$	84,094
Affordable Housing Program payments	Affordable Housing Program payments	9,088		6,810		Affordable Housing Program payments	2,317		2,155
Non-cash activities:	Non-cash activities:					Non-cash activities:
Purchases of investment securities, traded but not yet settled	Purchases of investment securities, traded but not yet settled	0		381,582		Purchases of investment securities, traded but not yet settled	—		23,048
Capitalized interest on certain held-to-maturity securities	Capitalized interest on certain held-to-maturity securities	313		1,265		Capitalized interest on certain held-to-maturity securities	460		78
Par value of shares reclassified to mandatorily redeemable capital stock, net		281		13,347

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

109

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 1 - Summary of Significant Accounting Policies

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

Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our ~~2020~~2021 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our ~~2020~~2021 Form 10-K.

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

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

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

Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our ~~2020~~2021 Form 10-K in Note 1 - Summary of Significant Accounting Policies. There have been no significant changes to these policies through ~~June 30, 2021.~~March 31, 2022.

Note 2 - Recently Adopted and Issued Accounting Guidance

Recently Issued Accounting Guidance.

~~We did not adopt any new accounting guidance or elect to apply certain optional expedients prescribed by existing accounting guidance that are applicable and remain available in~~

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

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

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

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

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 3 - Investments

Short-term Investments.

We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that maintain a credit rating of triple-B or higher (investment grade) by an NRSRO. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020, NaN~~2021, none of these investments were with counterparties rated below single-A and ~~NaN~~none were with unrated counterparties. The NRSRO ratings may differ from our internal ratings of the investments, if applicable.

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

our short-term investments.

~~Notes to Financial Statements, continued~~

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

Investment Securities.

Trading Securities.

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


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

U.S. Treasury obligations	U.S. Treasury obligations	$	5,817,270	$	5,094,703	U.S. Treasury obligations	$	4,752,822	$	3,946,799

Total trading securities at estimated fair value	Total trading securities at estimated fair value	$	5,817,270	$	5,094,703	Total trading securities at estimated fair value	$	4,752,822	$	3,946,799

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

Three Months Ended June 30, Six Months Ended June 30,
2021 2020 2021 2020
Net unrealized gains (losses) on trading securities held at period end $ (12,583) $ (39,813) $ (28,906) $ 8,650
Net realized gains (losses) on trading securities that matured/sold during the period (1,148) 11,286 1,547 12,656
Net gains (losses) on trading securities $ (13,731) $ (28,527) $ (27,359) $ 21,306


	Three Months Ended March 31,
		2022		2021
Net gains (losses) on trading securities held at period end		$	(22,549)	$	(12,144)
Net gains (losses) on trading securities that matured/sold during the period		(1,646)		(1,484)
Net gains (losses) on trading securities		$	(24,195)	$	(13,628)

Available-for-Sale Securities.

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


				Gross		Gross							Gross		Gross
		Amortized		Unrealized		Unrealized		Estimated			Amortized		Unrealized		Unrealized		Estimated
June 30, 2021		Cost (1)		Gains		Losses		Fair Value
March 31, 2022										March 31, 2022	Cost (1)		Gains		Losses		Fair Value
U.S. Treasury obligations										U.S. Treasury obligations	$	1,483,150	$	—	$	(2,521)	$	1,480,629
GSE and TVA debentures	GSE and TVA debentures	$	2,769,779	$	48,276	$	(3)	$	2,818,052	GSE and TVA debentures	2,209,080		30,727		—		2,239,807
GSE MBS		6,314,314		167,844		(1,165)		6,480,993
GSE multifamily MBS										GSE multifamily MBS	6,110,069		62,352		(13,079)		6,159,342
Total AFS securities	Total AFS securities	$	9,084,093	$	216,120	$	(1,168)	$	9,299,045	Total AFS securities	$	9,802,299	$	93,079	$	(15,600)	$	9,879,778

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

GSE and TVA debentures	GSE and TVA debentures	$	3,462,885	$	40,252	$	0	$	3,503,137	GSE and TVA debentures	$	2,651,571	$	45,557	$	(12)	$	2,697,116
GSE MBS		6,545,093		98,263		(1,594)		6,641,762
GSE multifamily MBS										GSE multifamily MBS	6,356,422		109,956		(3,559)		6,462,819
Total AFS securities	Total AFS securities	$	10,007,978	$	138,515	$	(1,594)	$	10,144,899	Total AFS securities	$	9,007,993	$	155,513	$	(3,571)	$	9,159,935

(1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. ~~Net unamortized premium~~Includes at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020 totaled $15,263~~2021 unamortized discounts totaling $69,452 and ~~$16,300,~~unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 totaled ~~$348,271~~losses of $288,111 and ~~$627,619,~~gains of $206,199, respectively. Excludes accrued interest receivable at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 of ~~$32,232~~$28,196 and ~~$34,616,~~$32,127, respectively.

1211

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

Less than 12 months 12 months or More Total
Estimated Unrealized Estimated Unrealized Estimated Unrealized
June 30, 2021 Fair Value Losses Fair Value Losses Fair Value Losses
GSE and TVA debentures $ 35,000 $ (3) $ 0 $ 0 $ 35,000 $ (3)
GSE MBS 132,980 (1,165) 0 0 132,980 (1,165)
Total impaired AFS securities $ 167,980 $ (1,168) $ 0 $ 0 $ 167,980 $ (1,168)
December 31, 2020
GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594)
Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594)


	Less than 12 months				12 months or More				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
March 31, 2022	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
U.S. Treasury obligations	$	1,480,629	$	(2,521)	$	—	$	—	$	1,480,629	$	(2,521)

GSE multifamily MBS	1,131,768		(13,079)		—		—		1,131,768		(13,079)
Total impaired AFS securities	$	2,612,397	$	(15,600)	$	—	$	—	$	2,612,397	$	(15,600)

December 31, 2021

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

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

June 30, 2021 December 31, 2020
Amortized Estimated Amortized Estimated
Year of Contractual Maturity Cost Fair Value Cost Fair Value
Due in 1 year or less $ 537,663 $ 538,655 $ 705,134 $ 705,442
Due after 1 year through 5 years 1,276,368 1,298,677 1,215,038 1,225,187
Due after 5 years through 10 years 955,748 980,720 1,542,713 1,572,508
Total non-MBS 2,769,779 2,818,052 3,462,885 3,503,137
Total MBS 6,314,314 6,480,993 6,545,093 6,641,762
Total AFS securities $ 9,084,093 $ 9,299,045 $ 10,007,978 $ 10,144,899



	March 31, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value
Due in 1 year or less	$	280,160	$	280,582	$	581,801	$	582,240
Due after 1 through 5 years	1,675,433		1,700,794		1,494,109		1,523,600
Due after 5 through 10 years	1,736,637		1,739,060		575,661		591,276

Total non-MBS	3,692,230		3,720,436		2,651,571		2,697,116
Total MBS	6,110,069		6,159,342		6,356,422		6,462,819
Total AFS securities	$	9,802,299	$	9,879,778	$	9,007,993	$	9,159,935

Allowance for Credit Losses. At March 31, 2022 and December 31, 2021, 100% of our AFS securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from our internal ratings of the securities, if applicable.

At March 31, 2022 and December 31, 2021, certain of our AFS securities were in an unrealized loss position; however, we did not record an allowance for credit losses because those losses were considered temporary and we expected to recover the entire amortized cost basis on these securities at maturity.

1312

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Held-to-Maturity Securities.

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

Gross Gross
Unrecognized Unrecognized
Amortized Holding Holding Estimated
June 30, 2021
Cost (1)
Gains (2)
Losses (2)
Fair Value
MBS:
Other U.S. obligations - guaranteed MBS $ 2,780,225 $ 9,906 $ (4,292) $ 2,785,839
GSE MBS 1,792,467 20,501 (4,125) 1,808,843
Total HTM securities $ 4,572,692 $ 30,407 $ (8,417) $ 4,594,682
December 31, 2020
MBS:
Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007
GSE MBS 2,078,625 21,640 (1,476) 2,098,789
Total HTM securities $ 4,701,302 $ 28,560 $ (6,066) $ 4,723,796


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

MBS:
Other U.S. obligations - guaranteed single-family	$	2,544,639	$	2,765	$	(19,083)	$	2,528,321
GSE single-family	765,353		6,377		(13,994)		757,736
GSE multifamily	742,564		290		(459)		742,395
Total HTM securities	$	4,052,556	$	9,432	$	(33,536)	$	4,028,452

December 31, 2021

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

(1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 totaled ~~$24,716~~$30,373 and ~~$7,101,~~$28,440, respectively. ~~Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $2,202 and $2,689, respectively.~~

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

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

Allowance for Credit ~~Losses on Investment Securities.~~Losses. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021, 100% of our ~~AFS and~~ HTM securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from our internal ratings of the securities, if applicable.

~~AFS Securities.~~ At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020, certain of our AFS securities were in an unrealized loss position; howev~~er, we did 0t record an allowance for credit losses because those losses were considered temporary and we expected to recover the entire amortized cost basis on these securities based upon the following factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis.

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

1413

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 4 - Advances

The following table presents advances outstanding by redemption term.


		June 30, 2021			December 31, 2020				March 31, 2022			December 31, 2021
Redemption Term	Redemption Term	Amount		WAIR %	Amount		WAIR %	Redemption Term	Amount		WAIR %	Amount		WAIR %
Overdrawn demand and overnight deposit accounts		$	611	2.43	$	0	0

Due in 1 year or less	Due in 1 year or less	7,924,412		0.49	10,115,576		0.51	Due in 1 year or less	$	8,074,521	0.75	$	7,863,703	0.59
Due after 1 year through 2 years		2,599,641		1.78	2,149,839		1.57
Due after 2 years through 3 years		3,545,734		1.60	2,760,624		2.02
Due after 3 years through 4 years		2,348,662		1.45	3,725,103		1.36
Due after 4 years through 5 years		2,542,066		1.26	3,020,039		1.29
Due after 1 through 2 years								Due after 1 through 2 years	2,785,573		2.07	2,684,996		2.02
Due after 2 through 3 years								Due after 2 through 3 years	3,257,497		1.41	3,536,759		1.35
Due after 3 through 4 years								Due after 3 through 4 years	2,929,579		1.34	2,931,260		1.29
Due after 4 through 5 years								Due after 4 through 5 years	1,480,636		1.38	1,908,432		1.34
Thereafter	Thereafter	8,267,380		1.01	8,919,678		1.05	Thereafter	8,247,557		0.88	8,384,458		0.82
Total advances, par value	Total advances, par value	27,228,506		1.07	30,690,859		1.06	Total advances, par value	26,775,363		1.11	27,309,608		1.03

Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	394,134			645,946			Fair-value hedging basis adjustments, net	(195,472)			179,115
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	9,903			10,681			Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	8,570			9,112
Total advances (1)	Total advances (1)	$	27,632,543		$	31,347,486		Total advances (1)	$	26,588,461		$	27,497,835

(1) Carrying value equals amortized cost, which excludes accrued interest receivable at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 of ~~$12,757~~$13,658 and ~~$14,961,~~$13,075, respectively.

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

Earlier of Redemption
or Next Call Date Earlier of Redemption
or Next Put Date
June 30,
2021 December 31,
2020 June 30,
2021 December 31,
2020
Overdrawn demand and overnight deposit accounts $ 611 $ 0 $ 611 $ 0
Due in 1 year or less 12,951,619 15,296,034 12,453,912 14,645,076
Due after 1 year through 2 years 2,238,251 1,797,049 3,425,246 3,107,339
Due after 2 years through 3 years 2,224,234 2,440,024 3,859,734 3,160,729
Due after 3 years through 4 years 1,961,112 2,246,102 2,405,062 3,824,603
Due after 4 years through 5 years 1,548,716 2,076,839 2,029,066 2,585,439
Thereafter 6,303,963 6,834,811 3,054,875 3,367,673
Total advances, par value $ 27,228,506 $ 30,690,859 $ 27,228,506 $ 30,690,859


	Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date
	March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021

Due in 1 year or less	$	12,787,935	$	12,547,866	$	13,614,346	$	13,452,703
Due after 1 through 2 years	2,583,973		2,578,396		2,765,853		3,090,101
Due after 2 through 3 years	1,902,997		2,127,759		3,673,897		3,636,259
Due after 3 through 4 years	1,946,429		1,997,060		2,929,579		3,007,160
Due after 4 through 5 years	1,145,961		1,530,307		1,157,536		1,485,332
Thereafter	6,408,068		6,528,220		2,634,152		2,638,053
Total advances, par value	$	26,775,363	$	27,309,608	$	26,775,363	$	27,309,608

Advance Concentrations. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, our top five borrowers held ~~42% and 44%, respectively,~~43% of total advances outstanding at par.

Allowance for Credit ~~Losses on Advances.~~Losses. Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on advances, we have 0tnot recorded an allowance for credit losses on advances.

1514

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 5 - Mortgage Loans Held for Portfolio

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


Term	Term	June 30, 2021		December 31, 2020		Term	March 31, 2022		December 31, 2021
Fixed-rate long-term mortgages	Fixed-rate long-term mortgages	$	6,465,565	$	7,257,237	Fixed-rate long-term mortgages	$	6,555,478	$	6,417,543
Fixed-rate medium-term (1) mortgages	Fixed-rate medium-term (1) mortgages	1,090,837		1,065,329		Fixed-rate medium-term (1) mortgages	970,851		1,016,851
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	7,556,402		8,322,566		Total mortgage loans held for portfolio, UPB	7,526,329		7,434,394
Unamortized premiums	Unamortized premiums	178,501		187,425		Unamortized premiums	179,876		181,172
Unamortized discounts	Unamortized discounts	(2,224)		(1,638)		Unamortized discounts	(2,766)		(2,389)

Hedging basis adjustments, net	Hedging basis adjustments, net	4,521		7,642		Hedging basis adjustments, net	(1,335)		3,157
Total mortgage loans held for portfolio	Total mortgage loans held for portfolio	7,737,200		8,515,995		Total mortgage loans held for portfolio	7,702,104		7,616,334
Allowance for credit losses	Allowance for credit losses	(325)		(350)		Allowance for credit losses	(200)		(200)
Total mortgage loans held for portfolio, net (2)	Total mortgage loans held for portfolio, net (2)	$	7,736,875	$	8,515,645	Total mortgage loans held for portfolio, net (2)	$	7,701,904	$	7,616,134

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

(2) Excludes accrued interest receivable at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 of ~~$29,342~~$28,540 and ~~$34,151,~~$27,977, respectively.


Type	Type	June 30, 2021		December 31, 2020		Type	March 31, 2022		December 31, 2021
Conventional	Conventional	$	7,346,360	$	8,069,274	Conventional	$	7,357,543	$	7,254,056
Government-guaranteed or -insured	Government-guaranteed or -insured	210,042		253,292		Government-guaranteed or -insured	168,786		180,338
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	$	7,556,402	$	8,322,566	Total mortgage loans held for portfolio, UPB	$	7,526,329	$	7,434,394

Product June 30, 2021 December 31, 2020
MPP $ 7,431,687 $ 8,163,902
MPF Program 124,715 158,664
Total mortgage loans held for portfolio, UPB $ 7,556,402 $ 8,322,566

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

Three Months Ended June 30, Six Months Ended June 30,
LRA Activity 2021 2020 2021 2020
Liability, beginning of period $ 214,264 $ 190,280 $ 207,305 $ 186,585
Additions 6,247 8,060 13,364 12,314
Claims paid (31) (196) (65) (241)
Distributions to PFIs (419) (1,491) (543) (2,005)
Liability, end of period $ 220,061 $ 196,653 $ 220,061 $ 196,653

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics.All qualifying COVID-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, are excluded from TDR classification and existing accounting policies and the loans are returned to current status upon modification. As of June 30, 2021 and December 31, 2020, we had $29,509, or 0.4%, and $12,309, or 0.2%, respectively, of our total conventional loans outstanding with formal modifications.

~~We hav~~e continued to apply our existing accounting policies for past due, non-accrual, and charge-offs resulting from COVID-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on information from our mortgage servicers, as of June 30, 2021 and December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement, including current loans, totaled $55,607 and $111,516, respectively, or 0.8% and 1.4%, respectively, of our total conventional loans outstanding. As of June 30, 2021, ~~0 informal COVID-19-related loan modifications were classified as TDRs.~~

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


		Origination Year							Origination Year
Payment Status as of June 30, 2021		Prior to 2017		2017 to 2021		Total
Payment Status as of March 31, 2022								Payment Status as of March 31, 2022	Prior to 2018		2018 to 2022		Total
Past due:	Past due:							Past due:
30-59 days	30-59 days	$	16,483	$	9,892	$	26,375	30-59 days	$	20,959	$	16,758	$	37,717
60-89 days	60-89 days	4,638		2,234		6,872		60-89 days	3,769		660		4,429
90 days or more	90 days or more	28,469		27,302		55,771		90 days or more	19,163		3,190		22,353
Total past due	Total past due	49,590		39,428		89,018		Total past due	43,891		20,608		64,499
Total current	Total current	2,967,539		4,468,097		7,435,636		Total current	2,739,375		4,727,522		7,466,897
Total conventional mortgage loans, amortized cost	Total conventional mortgage loans, amortized cost	$	3,017,129	$	4,507,525	$	7,524,654	Total conventional mortgage loans, amortized cost	$	2,783,266	$	4,748,130	$	7,531,396

~~As of June 30, 2021, the UPB of conventional loans in an informal forbearance arrangement included amounts~~ ~~30-59 days past~~ ~~due of $4,962, 60-89 days past due of $3,863, and 90 days or more past due of $41,285, for total past due of $50,110.~~


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

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

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

1715

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


Other Delinquency Statistics as of June 30, 2021		Conventional			Government			Total
Other Delinquency Statistics as of March 31, 2022											Other Delinquency Statistics as of March 31, 2022	Conventional			Government			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	1,631		$	0		$	1,631		In process of foreclosure (1)	$	2,659		$	—		$	2,659
Serious delinquency rate (2)	Serious delinquency rate (2)	0.74		%	1.31		%	0.76		%	Serious delinquency rate (2)	0.30		%	1.49		%	0.32		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	24,526		$	2,273		$	26,799		Past due 90 days or more still accruing interest (3)	$	14,551		$	2,305		$	16,856
On non-accrual status (4)	On non-accrual status (4)	$	51,186		$	0		$	51,186		On non-accrual status (4)	$	16,166		$	—		$	16,166

Other Delinquency Statistics as of December 31, 2020
Other Delinquency Statistics as of December 31, 2021											Other Delinquency Statistics as of December 31, 2021
In process of foreclosure (1)	In process of foreclosure (1)	$	2,689		$	0		$	2,689		In process of foreclosure (1)	$	1,999		$	—		$	1,999
Serious delinquency rate (2)	Serious delinquency rate (2)	1.14		%	3.36		%	1.21		%	Serious delinquency rate (2)	0.40		%	0.86		%	0.41		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	36,585		$	7,933		$	44,518		Past due 90 days or more still accruing interest (3)	$	15,725		$	1,364		$	17,089
On non-accrual status (4)	On non-accrual status (4)	$	87,763		$	0		$	87,763		On non-accrual status (4)	$	23,487		$	—		$	23,487

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

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

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

(4) As of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020, $51,131~~2021, $6,250 and ~~$87,708,~~$11,701, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a ~~specifically assigned~~related allowance for credit losses ~~and $29,726 and $59,306, respectively, of UPB of~~because these ~~conventional mortgage~~ loans were ~~in informal forbearance related~~either previously charged off to the ~~COVID-19 pandemic.~~expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans.

Allowance for Credit Losses.

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

Components of Allowance June 30, 2021 December 31, 2020
MPP expected losses remaining after borrower's equity, before credit enhancements $ 3,649 $ 10,305
Portion of expected losses recoverable from credit enhancements:
PMI (976) (2,277)
LRA (1)
(1,767) (6,847)
SMI (688) (963)
Total portion recoverable from credit enhancements (3,431) (10,087)
Allowance for unrecoverable PMI/SMI 32 32
Allowance for MPP credit losses 250 250
Allowance for MPF Program credit losses 75 100
Allowance for credit losses $ 325 $ 350

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

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

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

Three Months Ended June 30, Six Months Ended June 30,
Rollforward of Allowance 2021 2020 2021 2020
Balance, beginning of period $ 350 $ 300 $ 350 $ 300
Charge-offs 0 (29) (92) (42)
Recoveries 19 4 23 20
Provision for (reversal of) credit losses (44) 50 44 47
Balance, end of period $ 325 $ 325 $ 325 $ 325

~~Government-Guaranteed or -Insured Mortgage Loans.~~ Based on the U.S. government guarantee or insurance on these loans, our assessment of our servicers, and the collateral backing the loans, we did 0t record an allowance for credit losses for government-guaranteed or -insured mortgage loans at June 30, 2021 or December 31, 2020. Furthermore, NaN of these mortgage loans have been placed on non-accrual status due to the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.


	Three Months Ended March 31,

Rollforward of Allowance		2022		2021
Balance, beginning of period		$	200	$	350
Charge-offs		—		(92)
Recoveries		22		4
Provision for (reversal of) credit losses		(22)		88
Balance, end of period		$	200	$	350

Note 6 - Derivatives and Hedging Activities

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

Uncleared Derivatives. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. ~~The aggregate estimated fair value of all~~There were no uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at June 30, 2021 was $749, for which we have posted collateral in cash, including accrued interest, of $894 in the normal course of business. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we would not have been required to deliver additional collateral to our uncleared derivative counterparties at June 30, 2021.March 31, 2022.

Cleared Derivatives. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At ~~June 30, 2021,~~March 31, 2022, we were not required by our clearing agents to post any additional margin.

1916

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Financial Statement Effect and Additional Financial Information.

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


				Estimated Fair Value					March 31, 2022						December 31, 2021
		Notional		Derivative		Derivative			Notional		Derivative		Derivative		Notional		Derivative		Derivative
June 30, 2021		Amount		Assets		Liabilities
									Amount		Assets		Liabilities		Amount		Assets		Liabilities
Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:							Derivatives designated as hedging instruments:
Interest-rate swaps	Interest-rate swaps	$	42,631,202	$	64,771	$	391,938	Interest-rate swaps	$	52,555,489	$	341,620	$	1,151,590	$	46,395,451	$	105,446	$	413,324
Total derivatives designated as hedging instruments	Total derivatives designated as hedging instruments	42,631,202		64,771		391,938		Total derivatives designated as hedging instruments	52,555,489		341,620		1,151,590		46,395,451		105,446		413,324
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:							Derivatives not designated as hedging instruments:
Economic hedges:	Economic hedges:							Economic hedges:
Interest-rate swaps	Interest-rate swaps	9,977,000		3,120		16		Interest-rate swaps	10,660,000		2,991		244		8,595,000		357		148

Interest-rate caps/floors	Interest-rate caps/floors	625,500		716		0		Interest-rate caps/floors	625,500		1,250		—		625,500		1,077		—
Interest-rate forwards	Interest-rate forwards	141,800		101		46		Interest-rate forwards	93,100		2,129		5		98,200		1		199
MDCs	MDCs	139,713		118		92		MDCs	86,668		56		1,264		96,424		45		105
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	10,884,013		4,055		154		Total derivatives not designated as hedging instruments	11,465,268		6,426		1,513		9,415,124		1,480		452
Total derivatives before adjustments	Total derivatives before adjustments	$	53,515,215	68,826		392,092		Total derivatives before adjustments	$	64,020,757	348,046		1,153,103		$	55,810,575	106,926		413,776
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			168,345		(381,989)		Netting adjustments and cash collateral (1)			(77,049)		(1,146,458)				113,276		(401,591)
Total derivatives, net	Total derivatives, net			$	237,171	$	10,103	Total derivatives, net			$	270,997	$	6,645			$	220,202	$	12,185

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

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

(1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, including accrued interest, totaled ~~$551,227~~$1,152,241 and ~~$1,003,437,~~$515,761, respectively. Cash collateral received from counterparties and held at both ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, including accrued interest, totaled ~~$894.~~$82,831 and $894, respectively. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020, 0~~2021, no securities were pledged as collateral.

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
		Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Derivative instruments meeting netting requirements:	Derivative instruments meeting netting requirements:									Derivative instruments meeting netting requirements:
Gross recognized amount	Gross recognized amount									Gross recognized amount
Uncleared	Uncleared	$	65,444	$	381,587	$	13,793	$	755,118	Uncleared	$	342,132	$	1,132,565	$	105,667	$	411,886
Cleared	Cleared	3,163		10,367		5,742		6,393		Cleared	3,729		19,269		1,213		1,586
Total gross recognized amount	Total gross recognized amount	68,607		391,954		19,535		761,511		Total gross recognized amount	345,861		1,151,834		106,880		413,472
Gross amounts of netting adjustments and cash collateral	Gross amounts of netting adjustments and cash collateral									Gross amounts of netting adjustments and cash collateral
Uncleared	Uncleared	(65,194)		(371,622)		(13,793)		(733,625)		Uncleared	(324,577)		(1,127,189)		(105,417)		(400,005)
Cleared	Cleared	233,539		(10,367)		276,318		(6,393)		Cleared	247,528		(19,269)		218,693		(1,586)
Total gross amounts of netting adjustments and cash collateral	Total gross amounts of netting adjustments and cash collateral	168,345		(381,989)		262,525		(740,018)		Total gross amounts of netting adjustments and cash collateral	(77,049)		(1,146,458)		113,276		(401,591)
Net amounts after netting adjustments and cash collateral	Net amounts after netting adjustments and cash collateral									Net amounts after netting adjustments and cash collateral
Uncleared	Uncleared	250		9,965		0		21,493		Uncleared	17,555		5,376		250		11,881
Cleared	Cleared	236,702		0		282,060		0		Cleared	251,257		—		219,906		—
Total net amounts after netting adjustments and cash collateral	Total net amounts after netting adjustments and cash collateral	236,952		9,965		282,060		21,493		Total net amounts after netting adjustments and cash collateral	268,812		5,376		220,156		11,881
Derivative instruments not meeting netting requirements (1)	Derivative instruments not meeting netting requirements (1)	219		138		1,022		1,486		Derivative instruments not meeting netting requirements (1)	2,185		1,269		46		304
Total derivatives, at estimated fair value	Total derivatives, at estimated fair value	$	237,171	$	10,103	$	283,082	$	22,979	Total derivatives, at estimated fair value	$	270,997	$	6,645	$	220,202	$	12,185

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

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

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

Three Months Ended June 30, 2021 Advances Investments CO Bonds Total
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ 10,550 $ 85,804 $ (39,212) $ 57,142
Derivatives (12,105) (87,733) 37,083 (62,755)
Net changes in estimated fair value before price alignment interest (1,555) (1,929) (2,129) (5,613)
Price alignment interest (1)
7 2 (1) 8
Net interest settlements on derivatives (2)
(46,173) (28,327) 22,011 (52,489)
Amortization/accretion of gains (losses) on active hedging relationships 0 3,482 18 3,500
Net gains (losses) on qualifying fair-value hedging relationships (47,721) (26,772) 19,899 (54,594)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (56) (7,403) 0 (7,459)
Net gains (losses) on derivatives and hedging activities in net interest income (3)
$ (47,777) $ (34,175) $ 19,899 $ (62,053)

Three Months Ended June 30, 2020
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ 6,442 $ 40,745 $ 25,337 $ 72,524
Derivatives (23,345) (57,079) (10,892) (91,316)
Net changes in estimated fair value before price alignment interest (16,903) (16,334) 14,445 (18,792)
Price alignment interest (1)
56 44 (5) 95
Net interest settlements on derivatives (2)
(28,409) (27,997) 18,778 (37,628)
Amortization/accretion of gains (losses) on active hedging relationships (7) 337 783 1,113
Net gains (losses) on qualifying fair-value hedging relationships (45,263) (43,950) 34,001 (55,212)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships 0 0 0 0
Net gains (losses) on derivatives and hedging activities in net interest income (3)
$ (45,263) $ (43,950) $ 34,001 $ (55,212)

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Six Months Ended June 30, 2021 Advances Investments CO Bonds Total
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ (232,919) $ (225,999) $ 84,060 $ (374,858)
Derivatives 234,748 234,193 (81,107) 387,834
Net changes in estimated fair value before price alignment interest 1,829 8,194 2,953 12,976
Price alignment interest (1)
36 17 (4) 49
Net interest settlements on derivatives (2)
(91,892) (60,780) 34,237 (118,435)
Amortization/accretion of gains (losses) on active hedging relationships 0 4,160 161 4,321
Net gains (losses) on qualifying fair-value hedging relationships (90,027) (48,409) 37,347 (101,089)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (112) (12,792) 0 (12,904)
Net gains (losses) on derivatives and hedging activities in net interest income (3)
$ (90,139) $ (61,201) $ 37,347 $ (113,993)

Six Months Ended June 30, 2020
Changes in estimated fair value:
Hedged items (attributable to risk being hedged) $ 634,736 $ 640,223 $ (39,452) $ 1,235,507
Derivatives (633,084) (667,567) 42,755 (1,257,896)
Net changes in estimated fair value before price alignment interest 1,652 (27,344) 3,303 (22,389)
Price alignment interest (1)
640 401 (149) 892
Net interest settlements on derivatives (2)
(28,439) (33,681) 28,775 (33,345)
Amortization/accretion of gains (losses) on active hedging relationships (14) 639 1,333 1,958
Net gains (losses) on qualifying fair-value hedging relationships (26,161) (59,985) 33,262 (52,884)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships 0 0 (36) (36)
Net gains (losses) on derivatives and hedging activities in net interest income (3)
$ (26,161) $ (59,985) $ 33,226 $ (52,920)

~~(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.~~

2318

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


Three Months Ended March 31, 2022	Advances		AFS Securities		CO Bonds		Total
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(40,154)	$	(22,465)	$	51,389	$	(11,230)


Net gains (losses) on derivatives (2)	356,634		177,730		(899,714)		(365,350)



Net gains (losses) on hedged items (3)	(352,904)		(191,489)		895,059		350,666
Net impact on net interest income	$	(36,424)	$	(36,224)	$	46,734	$	(25,914)

Total interest income (expense) recorded in the Statement of Income (4)	$	35,041	$	22,445	$	(51,699)	$	5,787


Three Months Ended March 31, 2021
Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	$	(45,719)	$	(32,453)	$	12,226	$	(65,946)


Net gains (losses) on derivatives (2)	246,882		321,941		(118,193)		450,630



Net gains (losses) on hedged items (3)	(243,525)		(316,514)		123,415		(436,624)
Net impact on net interest income	$	(42,362)	$	(27,026)	$	17,448	$	(51,940)

Total interest income (expense) recorded in the Statement of Income (4)	$	36,109	$	29,836	$	(53,796)	$	12,149

(1) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.

(2) Includes for the three months ended March 31, 2022 and 2021, increases (decreases) in estimated fair value totaling $(365,302) and $450,588, respectively, and price alignment interest of $(48) and $42, respectively.

(3) Includes for the three months ended March 31, 2022 and 2021, increases (decreases) in estimated fair value totaling $367,348 and $(432,000), respectively, and amortization of net losses on active and discontinued fair-value hedging relationships of $(16,682) and $(4,624), respectively.

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

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
Type of Hedge	Type of Hedge	2021		2020		2021		2020		Type of Hedge		2022		2021
Net gain (loss) on derivatives not designated as hedging instruments:
Net gains (losses) on derivatives not designated as hedging instruments:										Net gains (losses) on derivatives not designated as hedging instruments:
Economic hedges:	Economic hedges:									Economic hedges:
Interest-rate swaps	Interest-rate swaps	$	4,083	$	20,138	$	8,194	$	(20,281)	Interest-rate swaps		$	22,050	$	4,111
Swaptions		0		(16)		0		(323)

Interest-rate caps/floors	Interest-rate caps/floors	(528)		(28)		(396)		464		Interest-rate caps/floors		173		132
Interest-rate forwards	Interest-rate forwards	(1,344)		(3,544)		2,812		(10,923)		Interest-rate forwards		5,258		4,156
Net interest settlements(1)	Net interest settlements(1)	(3,285)		(20,527)		(8,238)		(28,912)		Net interest settlements(1)		(2,018)		(4,953)
MDCs	MDCs	1,260		3,099		(3,024)		8,148		MDCs		(5,469)		(4,284)
Net gains (losses) on derivatives in other income	Net gains (losses) on derivatives in other income	$	186	$	(878)	$	(652)	$	(51,827)	Net gains (losses) on derivatives in other income		$	19,994	$	(838)

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

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


June 30, 2021		Advances		Investments		CO Bonds
March 31, 2022								March 31, 2022	Advances		AFS Securities		CO Bonds
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	15,724,635	$	9,084,093	$	20,685,126	Amortized cost of hedged items (1)	$	17,166,346	$	9,802,299	$	24,242,856

Cumulative basis adjustments included in amortized cost:	Cumulative basis adjustments included in amortized cost:							Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	For active fair-value hedging relationships (2)	$	393,447	$	49,065	$	(62,473)	For active fair-value hedging relationships (2)	$	(195,987)	$	(662,222)	$	(1,142,758)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	687		299,206		0		For discontinued fair-value hedging relationships	515		374,111		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	394,134	$	348,271	$	(62,473)	Total cumulative fair-value hedging basis adjustments on hedged items	$	(195,472)	$	(288,111)	$	(1,142,758)


December 31, 2020
December 31, 2021								December 31, 2021
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	17,219,312	$	9,882,225	$	17,406,679	Amortized cost of hedged items (1)	$	17,374,515	$	9,007,993	$	20,902,714

Cumulative basis adjustments included in amortized cost:	Cumulative basis adjustments included in amortized cost:							Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	For active fair-value hedging relationships (2)	$	645,146	$	501,865	$	21,605	For active fair-value hedging relationships (2)	$	178,543	$	(184,724)	$	(247,699)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	799		125,754		0		For discontinued fair-value hedging relationships	572		390,923		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	645,945	$	627,619	$	21,605	Total cumulative fair-value hedging basis adjustments on hedged items	$	179,115	$	206,199	$	(247,699)

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

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

Note 7 - Consolidated Obligations

In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 totaled ~~$666.7~~$699.5 billion and ~~$746.8~~$652.9 billion, respectively. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks.

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


Discount Notes	March 31, 2022			December 31, 2021
Book value	$	18,173,383		$	12,116,358
Par value	18,178,364			12,117,846

Weighted average effective interest rate	0.20		%	0.05		%

2420

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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

Discount Notes June 30, 2021 December 31, 2020
Book value $ 14,444,886 $ 16,617,079
Par value $ 14,446,349 $ 16,620,486
Weighted average effective interest rate 0.04 % 0.12 %

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


		June 30, 2021			December 31, 2020				March 31, 2022			December 31, 2021
Year of Contractual Maturity	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%
Due in 1 year or less	Due in 1 year or less	$	21,345,360	0.25	$	31,126,310	0.29	Due in 1 year or less	$	10,574,435	0.66	$	14,357,350	0.29
Due after 1 year through 2 years		4,856,385		0.96	4,109,700		0.70
Due after 2 years through 3 years		1,615,625		0.85	1,753,010		1.34
Due after 3 years through 4 years		2,914,150		0.80	767,250		1.93
Due after 4 years through 5 years		4,697,500		1.08	837,300		1.13
Due after 1 through 2 years								Due after 1 through 2 years	1,774,125		1.26	2,965,510		1.02
Due after 2 through 3 years								Due after 2 through 3 years	9,532,750		0.96	5,797,550		0.76
Due after 3 through 4 years								Due after 3 through 4 years	4,657,800		0.91	3,947,300		0.83
Due after 4 through 5 years								Due after 4 through 5 years	5,560,540		1.41	6,587,600		1.14
Thereafter	Thereafter	6,917,000		2.18	4,652,000		2.91	Thereafter	8,624,820		2.16	8,894,940		2.09
Total CO bonds, par value	Total CO bonds, par value	42,346,020		0.80	43,245,570		0.70	Total CO bonds, par value	40,724,470		1.21	42,550,250		0.96
Unamortized premiums	Unamortized premiums	98,853			87,133			Unamortized premiums	68,520			77,035
Unamortized discounts	Unamortized discounts	(12,063)			(12,703)			Unamortized discounts	(11,023)			(11,268)
Unamortized concessions	Unamortized concessions	(7,212)			(8,659)			Unamortized concessions	(7,021)			(6,746)
Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	(62,473)			21,605			Fair-value hedging basis adjustments, net	(1,142,758)			(247,699)
Total CO bonds	Total CO bonds	$	42,363,125		$	43,332,946		Total CO bonds	$	39,632,188		$	42,361,572

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


Redemption Feature	Redemption Feature	June 30, 2021		December 31, 2020		Redemption Feature	March 31, 2022		December 31, 2021
Non-callable / non-putable	Non-callable / non-putable	$	27,105,520	$	36,809,070	Non-callable / non-putable	$	14,195,970	$	20,346,750
Callable	Callable	15,240,500		6,436,500		Callable	26,528,500		22,203,500
Total CO bonds, par value	Total CO bonds, par value	$	42,346,020	$	43,245,570	Total CO bonds, par value	$	40,724,470	$	42,550,250


Year of Contractual Maturity or Next Call Date	March 31, 2022		December 31, 2021
Due in 1 year or less	$	35,733,935	$	36,028,850
Due after 1 through 2 years	1,438,125		3,122,510
Due after 2 through 3 years	571,750		586,550
Due after 3 through 4 years	747,800		577,300
Due after 4 through 5 years	402,040		415,100
Thereafter	1,830,820		1,819,940
Total CO bonds, par value	$	40,724,470	$	42,550,250

Year of Contractual Maturity or Next Call Date June 30, 2021 December 31, 2020
Due in 1 year or less $ 33,340,860 $ 34,272,810
Due after 1 year through 2 years 5,226,385 4,159,700
Due after 2 years through 3 years 694,625 1,608,010
Due after 3 years through 4 years 681,650 443,750
Due after 4 years through 5 years 470,500 563,300
Thereafter 1,932,000 2,198,000
Total CO bonds, par value $ 42,346,020 $ 43,245,570
The following table presents the par value of our CO bonds outstanding by interest-rate payment type.


Interest-Rate Payment Type	March 31, 2022		December 31, 2021
Fixed-rate	$	33,452,470	$	36,717,750
Step-up	1,883,500		898,500
Simple variable-rate	5,388,500		4,934,000



Total CO bonds, par value	$	40,724,470	$	42,550,250

2521

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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

Interest-Rate Payment Type June 30, 2021 December 31, 2020
Fixed-rate $ 30,948,020 $ 24,750,570
Step-up 315,000 15,000
Simple variable-rate 11,083,000 18,480,000
Total CO bonds, par value $ 42,346,020 $ 43,245,570

Note 8 - Affordable Housing Program

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
AHP Activity	AHP Activity	2021		2020		2021		2020		AHP Activity		2022		2021
Liability at beginning of period	Liability at beginning of period	$	35,690	$	39,423	$	34,402	$	38,084	Liability at beginning of period		$	31,049	$	34,402
Assessment (expense)	Assessment (expense)	2,008		1,775		5,451		5,387		Assessment (expense)		3,205		3,443
Subsidy usage, net (1)	Subsidy usage, net (1)	(6,933)		(4,537)		(9,088)		(6,810)		Subsidy usage, net (1)		(2,317)		(2,155)
Liability at end of period	Liability at end of period	$	30,765	$	36,661	$	30,765	$	36,661	Liability at end of period		$	31,937	$	35,690

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

Note 9 - Capital

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


Capital stock outstanding		June 30, 2021		December 31, 2020
Capital Stock Outstanding						Capital Stock Outstanding	March 31, 2022		December 31, 2021
Class B-1	Class B-1	$	952,690	$	797,196	Class B-1	$	821,860	$	931,517
Class B-2	Class B-2	1,281,226		1,410,374		Class B-2	1,299,681		1,314,684

Total Class B	Total Class B	$	2,233,916	$	2,207,570	Total Class B	$	2,121,541	$	2,246,201

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
MRCS Activity	MRCS Activity	2021		2020		2021		2020		MRCS Activity		2022		2021
Liability at beginning of period	Liability at beginning of period	$	232,695	$	323,125	$	250,768	$	322,902	Liability at beginning of period		$	50,422	$	250,768
Reclassification from capital stock		281		13,115		281		13,347

Redemptions/repurchases	Redemptions/repurchases	(83)		(36,572)		(18,156)		(36,581)		Redemptions/repurchases		(4,831)		(18,073)
Accrued distributions		0		36		0		36

Liability at end of period	Liability at end of period	$	232,893	$	299,704	$	232,893	$	299,704	Liability at end of period		$	45,591	$	232,695

The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the 5-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement.



MRCS Contractual Year of Redemption	March 31, 2022		December 31, 2021
Past contractual redemption date (1)	$	568	$	577
Year 1 (2)	11,835		11,835
Year 2	1,331		471
Year 3	9,004		9,873
Year 4	19,179		23,218
Year 5	3,674		4,448

Total MRCS	$	45,591	$	50,422

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

(2) Balance at March 31, 2022 and December 31, 2021 includes $11,835 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding.

2622

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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

MRCS Contractual Year of Redemption June 30, 2021 December 31, 2020
Year 1 (1)(2)
$ 22,140 $ 9,274
Year 2 23,163 0
Year 3 5,670 26,723
Year 4 162,194 150,957
Year 5 19,726 32,791
Thereafter (3)
0 31,023
Total MRCS $ 232,893 $ 250,768

~~(1)~~ Balances at June 30, 2021 and December 31, 2020 include $915 and $624, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding.

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

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

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
MRCS Distributions	MRCS Distributions	2021		2020		2021		2020		MRCS Distributions		2022		2021
Recorded as interest expense	Recorded as interest expense	$	929	$	2,772	$	2,033	$	5,739	Recorded as interest expense		$	245	$	1,104
Recorded as distributions from retained earnings	Recorded as distributions from retained earnings	1		36		84		36		Recorded as distributions from retained earnings		—		83
Total	Total	$	930	$	2,808	$	2,117	$	5,775	Total		$	245	$	1,187

Capital Requirements. We are subject to 3 capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 12 - Capital in our ~~2020~~2021 Form 10-K. As presented in the following table, we were in compliance with these Finance Agency's capital requirements at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Regulatory Capital Requirements	Regulatory Capital Requirements	Required		Actual		Required		Actual		Regulatory Capital Requirements	Required		Actual		Required		Actual
Risk-based capital	Risk-based capital	$	697,611	$	3,623,222	$	630,661	$	3,595,668	Risk-based capital	$	1,148,940	$	3,359,806	$	1,091,337	$	3,473,695

Total regulatory capital	Total regulatory capital	$	2,510,842	$	3,623,222	$	2,636,990	$	3,595,668	Total regulatory capital	$	2,520,609	$	3,359,806	$	2,400,184	$	3,473,695
Total regulatory capital-to-assets ratio	Total regulatory capital-to-assets ratio	4.00%		5.77%		4.00%		5.45%		Total regulatory capital-to-assets ratio	4.00%		5.33%		4.00%		5.79%

Leverage capital	Leverage capital	$	3,138,553	$	5,434,833	$	3,296,238	$	5,393,502	Leverage capital	$	3,150,761	$	5,039,709	$	3,000,230	$	5,210,543
Leverage ratio	Leverage ratio	5.00%		8.66%		5.00%		8.18%		Leverage ratio	5.00%		8.00%		5.00%		8.69%

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Note 10 - Accumulated Other Comprehensive Income

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

AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI
Balance, March 31, 2021 $ 210,450 $ (30,523) $ 179,927
OCI before reclassifications:
Net change in unrealized gains (losses) 4,502 0 4,502
Reclassifications from OCI to net income:
Pension benefits, net 0 8,995 8,995
Total other comprehensive income 4,502 8,995 13,497
Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424
Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748)
OCI before reclassifications:
Net change in unrealized gains (losses) 79,020 0 79,020
Reclassifications from OCI to net income:
Pension benefits, net 0 (2,381) (2,381)
Total other comprehensive income (loss) 79,020 (2,381) 76,639
Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109)
AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI
Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402
OCI before reclassifications:
Net change in unrealized gains (losses) 78,031 0 78,031
Reclassifications from OCI to net income:
Pension benefits, net 0 9,991 9,991
Total other comprehensive income (loss) 78,031 9,991 88,022
Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424
Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376
OCI before reclassifications:
Net change in unrealized gains (losses) (69,811) 0 (69,811)
Reclassifications from OCI to net income:
Pension benefits, net 0 (1,674) (1,674)
Total other comprehensive income (loss) (69,811) (1,674) (71,485)
Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109)



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

OCI before reclassifications:
Net change in unrealized gains (losses)	(74,463)		—		(74,463)

Reclassifications from OCI to net income:

Pension benefits, net	—		460		460
Total other comprehensive income (loss)	(74,463)		460		(74,003)

Balance, March 31, 2022	$	77,479	$	(18,424)	$	59,055


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

OCI before reclassifications:
Net change in unrealized gains (losses)	73,529		—		73,529


Reclassifications from OCI to net income:

Pension benefits, net	—		996		996
Total other comprehensive income	73,529		996		74,525

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

2823

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 11 - Segment Information

The following table presents our financial performance by operating segment.


		Three Months Ended June 30, 2021						Three Months Ended June 30, 2020							Three Months Ended March 31, 2022						Three Months Ended March 31, 2021
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total			Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income	Net interest income	$	53,952	$	3,364	$	57,316	$	62,177	$	5,285	$	67,462	Net interest income	$	52,674	$	11,910	$	64,584	$	74,185	$	336	$	74,521
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	0		(44)		(44)		0		50		50		Provision for (reversal of) credit losses	—		(22)		(22)		—		88		88
Other income (loss)	Other income (loss)	(9,734)		(36)		(9,770)		(25,179)		(367)		(25,546)		Other income (loss)	(7,210)		(192)		(7,402)		(12,877)		(99)		(12,976)
Other expenses	Other expenses	24,221		4,216		28,437		22,845		4,047		26,892		Other expenses	21,766		3,628		25,394		24,118		4,012		28,130
Income (loss) before assessments	Income (loss) before assessments	19,997		(844)		19,153		14,153		821		14,974		Income (loss) before assessments	23,698		8,112		31,810		37,190		(3,863)		33,327
Affordable Housing Program assessments (credits)	Affordable Housing Program assessments (credits)	2,093		(85)		2,008		1,693		82		1,775		Affordable Housing Program assessments (credits)	2,394		811		3,205		3,829		(386)		3,443
Net income (loss)	Net income (loss)	$	17,904	$	(759)	$	17,145	$	12,460	$	739	$	13,199	Net income (loss)	$	21,304	$	7,301	$	28,605	$	33,361	$	(3,477)	$	29,884

		Six Months Ended June 30, 2021						Six Months Ended June 30, 2020
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income		$	128,137	$	3,700	$	131,837	$	112,252	$	18,361	$	130,613
Provision for (reversal of) credit losses		0		44		44		0		47		47
Other income (loss)		(22,611)		(135)		(22,746)		(27,291)		(2,635)		(29,926)
Other expenses		48,339		8,228		56,567		44,609		7,899		52,508
Income (loss) before assessments		57,187		(4,707)		52,480		40,352		7,780		48,132
Affordable Housing Program assessments (credits)		5,922		(471)		5,451		4,609		778		5,387
Net income (loss)		$	51,265	$	(4,236)	$	47,029	$	35,743	$	7,002	$	42,745

The following table presents our asset balances by operating segment.

By Date Traditional Mortgage Loans Total
June 30, 2021 $ 55,034,183 $ 7,736,875 $ 62,771,058
December 31, 2020 57,409,111 8,515,645 65,924,756


By Date	Traditional		Mortgage Loans		Total
March 31, 2022	$	55,313,310	$	7,701,904	$	63,015,214
December 31, 2021	52,388,469		7,616,134		60,004,603

2924

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 12 - Estimated Fair Values

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


		June 30, 2021													March 31, 2022
				Estimated Fair Value													Estimated Fair Value
		Carrying										Netting			Carrying										Netting
Financial Instruments	Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)		Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	1,363,012	$	1,363,012	$	1,363,012	$	0	$	0	$	—	Cash and due from banks	$	225,842	$	225,842	$	225,842	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,041		100,041		100,000		41		0		—		Interest-bearing deposits	100,041		100,041		100,000		41		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	3,000,000		3,000,000		0		3,000,000		0		—		Securities purchased under agreements to resell	7,600,000		7,600,000		—		7,600,000		—		—
Federal funds sold	Federal funds sold	2,805,000		2,805,000		0		2,805,000		0		—		Federal funds sold	1,640,000		1,640,000		—		1,640,000		—		—
Trading securities	Trading securities	5,817,270		5,817,270		0		5,817,270		0		—		Trading securities	4,752,822		4,752,822		—		4,752,822		—		—
AFS securities	AFS securities	9,299,045		9,299,045		0		9,299,045		0		—		AFS securities	9,879,778		9,879,778		—		9,879,778		—		—
HTM securities	HTM securities	4,572,692		4,594,682		0		4,594,682		0		—		HTM securities	4,052,556		4,028,452		—		4,028,452		—		—
Advances	Advances	27,632,543		27,602,974		0		27,602,974		0		—		Advances	26,588,461		26,452,108		—		26,452,108		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,736,875		8,021,392		0		7,980,633		40,759		—		Mortgage loans held for portfolio, net	7,701,904		7,506,375		—		7,488,897		17,478		—
Accrued interest receivable	Accrued interest receivable	91,123		91,123		0		91,123		0		—		Accrued interest receivable	80,400		80,400		—		80,400		—		—
Derivative assets, net	Derivative assets, net	237,171		237,171		0		68,826		0		168,345		Derivative assets, net	270,997		270,997		—		348,046		—		(77,049)
Grantor trust assets (2)	Grantor trust assets (2)	59,973		59,973		59,973		0		0		—		Grantor trust assets (2)	58,322		58,322		58,322		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,597,781		1,597,781		0		1,597,781		0		—		Deposits	1,237,131		1,237,131		—		1,237,131		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	14,444,886		14,444,674		0		14,444,674		0		—		Discount notes	18,173,383		18,168,642		—		18,168,642		—		—
Bonds	Bonds	42,363,125		42,790,064		0		42,790,064		0		—		Bonds	39,632,188		39,331,968		—		39,331,968		—		—
Accrued interest payable	Accrued interest payable	71,930		71,930		0		71,930		0		—		Accrued interest payable	88,889		88,889		—		88,889		—		—
Derivative liabilities, net	Derivative liabilities, net	10,103		10,103		0		392,092		0		(381,989)		Derivative liabilities, net	6,645		6,645		—		1,153,103		—		(1,146,458)
MRCS	MRCS	232,893		232,893		232,893		0		0		—		MRCS	45,591		45,591		45,591		—		—		—
Other liabilities														Other liabilities	10,000		10,000		—		10,000		—		—

3025

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


		December 31, 2020													December 31, 2021
				Estimated Fair Value													Estimated Fair Value
		Carrying										Netting			Carrying										Netting
Financial Instruments	Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)		Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	1,811,544	$	1,811,544	$	1,811,544	$	0	$	0	$	—	Cash and due from banks	$	867,880	$	867,880	$	867,880	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,026		100,026		100,000		26		0		—		Interest-bearing deposits	100,041		100,041		100,000		41		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	2,500,000		2,500,000		0		2,500,000		0		—		Securities purchased under agreements to resell	3,500,000		3,500,000		—		3,500,000		—		—
Federal funds sold	Federal funds sold	1,215,000		1,215,000		0		1,215,000		0		—		Federal funds sold	2,580,000		2,580,000		—		2,580,000		—		—
Trading securities	Trading securities	5,094,703		5,094,703		0		5,094,703		0		—		Trading securities	3,946,799		3,946,799		—		3,946,799		—		—
AFS securities	AFS securities	10,144,899		10,144,899		0		10,144,899		0		—		AFS securities	9,159,935		9,159,935		—		9,159,935		—		—
HTM securities	HTM securities	4,701,302		4,723,796		0		4,723,796		0		—		HTM securities	4,313,773		4,322,157		—		4,322,157		—		—
Advances	Advances	31,347,486		31,290,664		0		31,290,664		0		—		Advances	27,497,835		27,462,295		—		27,462,295		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	8,515,645		8,922,185		0		8,860,853		61,332		—		Mortgage loans held for portfolio, net	7,616,134		7,810,378		—		7,787,334		23,044		—
Accrued interest receivable	Accrued interest receivable	103,076		103,076		0		103,076		0		—		Accrued interest receivable	80,758		80,758		—		80,758		—		—
Derivative assets, net	Derivative assets, net	283,082		283,082		0		20,557		0		262,525		Derivative assets, net	220,202		220,202		—		106,926		—		113,276
Grantor trust assets (2)	Grantor trust assets (2)	51,032		51,032		51,032		0		0		—		Grantor trust assets (2)	62,640		62,640		62,640		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,375,206		1,375,206		0		1,375,206		0		—		Deposits	1,366,397		1,366,397		—		1,366,397		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	16,617,079		16,617,976		0		16,617,976		0		—		Discount notes	12,116,358		12,115,318		—		12,115,318		—		—
Bonds	Bonds	43,332,946		43,952,206		0		43,952,206		0		—		Bonds	42,361,572		42,643,536		—		42,643,536		—		—
Accrued interest payable	Accrued interest payable	63,581		63,581		0		63,581		0		—		Accrued interest payable	88,068		88,068		—		88,068		—		—
Derivative liabilities, net	Derivative liabilities, net	22,979		22,979		0		762,997		0		(740,018)		Derivative liabilities, net	12,185		12,185		—		413,776		—		(401,591)
MRCS	MRCS	250,768		250,768		250,768		0		0		—		MRCS	50,422		50,422		50,422		—		—		—

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

Summary of Valuation Techniques and Significant Inputs. A description of the valuation techniques, significant inputs, and levels of fair value hierarchy is disclosed in Note 16 - Estimated Fair Values in our ~~2020~~2021 Form 10-K. No significant changes have been made in the current year.

3126

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


										Netting											Netting
June 30, 2021		Total		Level 1		Level 2		Level 3		Adjustments (1)
March 31, 2022												March 31, 2022	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities	U.S. Treasury securities	$	5,817,270	$	0	$	5,817,270	$	0	$	—	U.S. Treasury securities	$	4,752,822	$	—	$	4,752,822	$	—	$	—
Total trading securities	Total trading securities	5,817,270		0		5,817,270		0		—		Total trading securities	4,752,822		—		4,752,822		—		—
AFS securities:	AFS securities:											AFS securities:
U.S. Treasury securities												U.S. Treasury securities	1,480,629		—		1,480,629		—		—
GSE and TVA debentures	GSE and TVA debentures	2,818,052		0		2,818,052		0		—		GSE and TVA debentures	2,239,807		—		2,239,807		—		—
GSE MBS		6,480,993		0		6,480,993		0		—

GSE multifamily MBS												GSE multifamily MBS	6,159,342		—		6,159,342		—		—
Total AFS securities	Total AFS securities	9,299,045		0		9,299,045		0		—		Total AFS securities	9,879,778		—		9,879,778		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	237,053		0		68,708		0		168,345		Interest-rate related	270,941		—		347,990		—		(77,049)
MDCs	MDCs	118		0		118		0		0		MDCs	56		—		56		—		—
Total derivative assets, net	Total derivative assets, net	237,171		0		68,826		0		168,345		Total derivative assets, net	270,997		—		348,046		—		(77,049)
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	59,973		59,973		0		0		—		Grantor trust assets	58,322		58,322		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	15,413,459	$	59,973	$	15,185,141	$	0	$	168,345	Total assets at recurring estimated fair value	$	14,961,919	$	58,322	$	14,980,646	$	—	$	(77,049)

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	10,011	$	0	$	392,000	$	0	$	(381,989)	Interest-rate related	$	5,381	$	—	$	1,151,839	$	—	$	(1,146,458)
MDCs	MDCs	92		0		92		0		0		MDCs	1,264		—		1,264		—		—
Total derivative liabilities, net	Total derivative liabilities, net	10,103		0		392,092		0		(381,989)		Total derivative liabilities, net	6,645		—		1,153,103		—		(1,146,458)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	10,103	$	0	$	392,092	$	0	$	(381,989)	Total liabilities at recurring estimated fair value	$	6,645	$	—	$	1,153,103	$	—	$	(1,146,458)

Mortgage loans held for portfolio (2)	Mortgage loans held for portfolio (2)	$	1,141	$	0	$	0	$	1,141	$	—	Mortgage loans held for portfolio (2)	$	1,059	$	—	$	—	$	1,059	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,141	$	0	$	0	$	1,141	$	—	Total assets at non-recurring estimated fair value	$	1,059	$	—	$	—	$	1,059	$	—

3227

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


										Netting											Netting
December 31, 2020		Total		Level 1		Level 2		Level 3		Adjustments (1)
December 31, 2021												December 31, 2021	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities	U.S. Treasury securities	$	5,094,703	$	0	$	5,094,703	$	0	$	—	U.S. Treasury securities	$	3,946,799	$	—	$	3,946,799	$	—	$	—
Total trading securities	Total trading securities	5,094,703		0		5,094,703		0		—		Total trading securities	3,946,799		—		3,946,799		—		—
AFS securities:	AFS securities:											AFS securities:

GSE and TVA debentures	GSE and TVA debentures	3,503,137		0		3,503,137		0		—		GSE and TVA debentures	2,697,116		—		2,697,116		—		—
GSE MBS	GSE MBS	6,641,762		0		6,641,762		0		—		GSE MBS	6,462,819		—		6,462,819		—		—
Total AFS securities	Total AFS securities	10,144,899		0		10,144,899		0		—		Total AFS securities	9,159,935		—		9,159,935		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	282,060		0		19,535		0		262,525		Interest-rate related	220,157		—		106,881		—		113,276
MDCs	MDCs	1,022		0		1,022		0		—		MDCs	45		—		45		—		—
Total derivative assets, net	Total derivative assets, net	283,082		0		20,557		0		262,525		Total derivative assets, net	220,202		—		106,926		—		113,276
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	51,032		51,032		0		0		—		Grantor trust assets	62,640		62,640		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	15,573,716	$	51,032	$	15,260,159	$	0	$	262,525	Total assets at recurring estimated fair value	$	13,389,576	$	62,640	$	13,213,660	$	—	$	113,276

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	22,979	$	0	$	762,997	$	0	$	(740,018)	Interest-rate related	$	12,080	$	—	$	413,671	$	—	$	(401,591)
MDCs	MDCs	0		0		0		0		0		MDCs	105		—		105		—		—
Total derivative liabilities, net	Total derivative liabilities, net	22,979		0		762,997		0		(740,018)		Total derivative liabilities, net	12,185		—		413,776		—		(401,591)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	22,979	$	0	$	762,997	$	0	$	(740,018)	Total liabilities at recurring estimated fair value	$	12,185	$	—	$	413,776	$	—	$	(401,591)

Mortgage loans held for portfolio (3)		$	1,460	$	0	$	0	$	1,460	$	—
Mortgage loans held for portfolio (2)												Mortgage loans held for portfolio (2)	$	1,141	$	—	$	—	$	1,141	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,460	$	0	$	0	$	1,460	$	—	Total assets at non-recurring estimated fair value	$	1,141	$	—	$	—	$	1,141	$	—

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

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

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Note 13 - Commitments and Contingencies

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


		June 30, 2021							March 31, 2022
Type of Commitment	Type of Commitment	Expire within one year		Expire after one year		Total		Type of Commitment	Expire within one year		Expire after one year		Total
Standby letters of credit outstanding	Standby letters of credit outstanding	$	60,405	$	304,577	$	364,982	Standby letters of credit outstanding	$	49,567	$	414,902	$	464,469
Unused lines of credit (1)	Unused lines of credit (1)	813,721		0		813,721		Unused lines of credit (1)	876,080		—		876,080
Commitments to fund additional advances (2)	Commitments to fund additional advances (2)	4,000		0		4,000		Commitments to fund additional advances (2)	38,000		—		38,000
Commitments to fund or purchase mortgage loans, net (3)	Commitments to fund or purchase mortgage loans, net (3)	139,713		0		139,713		Commitments to fund or purchase mortgage loans, net (3)	86,668		—		86,668
Unsettled CO bonds, at par	Unsettled CO bonds, at par	453,000		0		453,000		Unsettled CO bonds, at par	555,000		—		555,000

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

(2) Generally for periods up to six months.

(3) Generally for periods up to 91 days.

~~Liability for Credit Losses.~~

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Pledged Collateral. ~~We monitor the creditworthiness~~At March 31, 2022 and December 31, 2021, we had pledged cash collateral of ~~our members that have standby letters of credit~~$1,152,117 and ~~lines of credit. As standby letters of credit~~$515,740, respectively, to counterparties and ~~lines of credit are subject to the same collateralization~~clearing agents. At March 31, 2022 and ~~borrowing limits that apply to advances and are fully collateralized at the time of issuance,~~December 31, 2021, we ~~have 0t recorded a liability for credit losses on these credit products.~~had not pledged any securities as collateral.

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

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

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Note 14 - Related Party and Other Transactions

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

June 30, 2021 December 31, 2020
Balances with Directors' Financial Institutions Par value % of Total Par value % of Total
Capital stock $ 433,736 18 % $ 426,003 17 %
Advances 3,387,988 12 % 5,397,433 18 %

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

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


Transactions with Directors' Financial Institutions	Transactions with Directors' Financial Institutions	Three Months Ended June 30,				Six Months Ended June 30,				Transactions with Directors' Financial Institutions	Three Months Ended March 31,
		2021		2020		2021		2020				2022		2021
Net capital stock issuances (redemptions and repurchases)	Net capital stock issuances (redemptions and repurchases)	$	0	$	71,775	$	0	$	77,621	Net capital stock issuances (redemptions and repurchases)		$	(50,420)	$	—
Net advances (repayments)	Net advances (repayments)	(993,987)		(2,757,963)		(2,043,264)		(720,232)		Net advances (repayments)		(1,800,285)		(1,049,277)
Mortgage loan purchases	Mortgage loan purchases	16,745		14,512		29,622		26,864		Mortgage loan purchases		8,722		12,877

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


	March 31, 2022				December 31, 2021
Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total
Capital stock	$	377,624	17	%	$	440,949	19	%
Advances	1,916,176		7	%	3,854,856		14	%

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

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

Three Months Ended June 30, Six Months Ended June 30,
Loans to other FHLBanks 2021 2020 2021 2020
Principal repayments $ 10,000 $ 10,000 $ 20,000 $ 20,000
Disbursements (10,000) (10,000) (20,000) (20,000)

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

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~~Notes to Financial Statements, continued~~

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

DEFINED TERMS

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

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

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

AFS: Available-for-Sale

Agency: GSE and Ginnie Mae

AHP: Affordable Housing Program

AMA: Acquired Member Assets

AOCI: Accumulated Other Comprehensive Income (Loss)

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

bps: basis points

~~CARES Act:~~ ~~Coronavirus Aid, Relief and Economic Security Act~~

CDFI: Community Development Financial Institution

~~CE:~~ ~~Credit Enhancement~~

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

CFPB: Bureau of Consumer Financial Protection

CFTC: United States Commodity Futures Trading Commission

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

CME: CME Clearing

CMO: Collateralized Mortgage Obligation

CO bond: Consolidated Obligation bond

COVID-19: Coronavirus Disease 2019 and its variants

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

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

DDCP: Directors' Deferred Compensation Plan

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

EFFR: Effective Federal Funds Rate

Exchange Act: Securities Exchange Act of 1934, as amended

Fannie Mae: Federal National Mortgage Association

FASB: Financial Accounting Standards Board

FCA: United Kingdom Financial Conduct Authority

FDIC: Federal Deposit Insurance Corporation

FHA: Federal Housing Administration

FHLBank: A Federal Home Loan Bank

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

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

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

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

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

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

FLA: First Loss Account

FOMC: Federal Open Market Committee

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

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

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

Freddie Mac: Federal Home Loan Mortgage Corporation

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

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

Ginnie Mae: Government National Mortgage Association

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

GSE: United States Government-Sponsored Enterprise

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

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

~~Table of Contents~~

HTM: Held-to-Maturity

~~HUD:~~ ~~United States Department of Housing and Urban Development~~

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

~~KESP:~~ ~~Key Employee Severance Policy~~

LCH: LCH.Clearnet LLC

LIBOR: London Interbank Offered Rate

Table of Contents

LRA: Lender Risk Account

LTV: Loan-to-Value

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

MBS: Mortgage-Backed Securities

MCC: Master Commitment Contract

MDC: Mandatory Delivery Commitment

Moody's: Moody's Investor Services

MPF: Mortgage Partnership Finance®

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

MRCS: Mandatorily Redeemable Capital Stock

MVE: Market Value of Equity

NRSRO: Nationally Recognized Statistical Rating Organization

OCC: Office of the Comptroller of the Currency

OCI: Other Comprehensive Income (Loss)

OIS: Overnight-Indexed Swap

ORERC: Other Real Estate-Related Collateral

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

PFI: Participating Financial Institution

PMI: Primary Mortgage Insurance

~~REMIC:~~ ~~Real Estate Mortgage Investment Conduit~~

REO: Real Estate Owned

RMBS: Residential Mortgage-Backed Securities

S&P: Standard & Poor's Rating Service

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

SBA: Small Business Administration

SEC: Securities and Exchange Commission

Securities Act: Securities Act of 1933, as amended

SERP: Collectively, the 2005 SERP and the Frozen SERP

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

SMI: Supplemental Mortgage Insurance

SOFR: Secured Overnight Financing Rate

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

TDR: Troubled Debt Restructuring

TVA: Tennessee Valley Authority

UPB: Unpaid Principal Balance

VaR: Value at Risk

WAIR: Weighted-Average Interest Rate

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

Presentation

This discussion and analysis by management of the Bank's financial condition and results of operations should be read in conjunction with our ~~2020~~2021 Form 10-K and the interim Financial Statements and related Notes to Financial Statements contained in Item 1. Financial Statements.

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

Executive Summary

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

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

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

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

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

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

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

Economy and Financial Markets. ~~The federal government has enacted several financial relief programs~~U.S. real gross domestic product ("GDP") decreased at an annual rate of 1.4% in the first quarter of 2022, according to ~~help offset declines~~the advance estimate reported by the Bureau of Economic Analysis (BEA), a sharp reversal compared to an increased annual rate of 6.9% in ~~business and family incomes. The American Rescue Plan Act~~the fourth quarter of 2021, ~~the third major COVID-19 relief bill, was passed~~as revised by the ~~U.S. Congress in March 2021. This legislation and presidential initiatives provide significant financial relief to businesses and individuals affected by~~BEA. The first quarter was the weakest since the spring of 2020, when the COVID-19 pandemic ~~including extending unemployment assistance programs~~and related shutdowns drove the U.S. economy into a deep-albeit short-recession. The drop stemmed primarily from a widening trade deficit. Imports to ~~September 6, 2021.~~the U.S. surged and exports fell, dynamics reflecting pandemic-related supply-chain constraints. A slower pace of inventory investment by businesses in the first quarter-compared with a rapid buildup of inventories at the end of last year-also pushed growth down. However, household spending remained strong.

The labor market is very tight and a key source of economic strength currently. Jobless claims-a proxy for layoffs-have been near historic lows as employers clung to employees amid a shortage of available workers. In ~~July 2021,~~April 2022, the Bureau of Labor Statistics reported that the U.S. unemployment rate ~~had declined to 5.9% in June 2021,~~

~~compared to 6.0%~~was 3.6% in March ~~2021 and 6.7%~~2022, down from 3.9% in December ~~2020. If COVID-19 vaccines continue to be successfully administered and the virus, along with its variants,~~2021. High inflation, though, is ~~effectively contained, business conditions are expected to continue to improve and the unemployment rate could continue to decline~~cutting into households' purchasing power. Consumer prices rose 8.5% in ~~the United States.~~March from a year earlier, a four-decade high.

~~U.S. real gross domestic product ("GDP") increased at an annual rate of 6.3% and~~ ~~6.5% in~~ the first and second quarters of 2021, according to the revised and advance estimates, respectively, reported by the Bureau of Economic Analysis, compared to the revised annual rates of (5.1)% and (31.2)% in the first and second quarters of 2020. Improvements in unemployment rates and GDP during 2021 reflect the continued economic recovery, reopening of establishments, and continued government response related to the COVID-19 pandemic. However, the recent increase in the number of COVID-19 cases could impede future economic growth.

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In late February 2022, Russia invaded Ukraine, which led to increased price volatility across financial markets. The implications for the U.S. economy remain uncertain, but in the near term the invasion and related events (including sanctions) will likely create additional upward pressure on inflation and weigh on economic activity.

Conditions in U.S. Housing Markets. Conditions in the U.S. housing markets primarily affect the Bank through the creation of demand for, and yield on, advances and mortgage loans, as well as the yield on investments in MBS. Existing-home sales decreased in March 2022, marking two consecutive months of declines, according to the National Association of Realtors. Year-over-year sales fell 4.5%. The ~~seasonally adjusted annual~~housing market is starting to feel the impact of sharply rising mortgage rates and higher inflation. According to Freddie Mac, the average commitment rate for a 30-year, conventional, fixed-rate mortgage was 4.17% in March. The average commitment rate across all of ~~U.S.~~2021 was 2.96%. Total housing inventory at the end of March was down 9.5% from one year ago. The median existing home ~~sales increased~~price for all housing types in March was up 15.0% from March 2021. This marks 121 consecutive months of year-over-year increases, the longest-running streak on record. Home prices have consistently moved upward as supply remains tight. With sustained price appreciation and higher mortgage rates, affordability worsened in the ~~second quarter of 2021, compared~~first quarter.

U.S. housing starts unexpectedly rose in March 2022 to the ~~second quarter~~fastest rate since 2006. The jump was fueled by faster construction of ~~2020, driven primarily by low~~multifamily units. Single-family construction slowed, though still showed the second-fastest pace of construction since March 2021. The acceleration in home construction is the latest signal the market is on the mend. While the reading is somewhat volatile and the pace of construction could quickly reverse course, the increase hints builders are rushing to meet demand. Rising mortgage ~~interest rates. However, low housing inventory levels and higher home prices~~rates will almost surely slow the construction boom later in the ~~second quarter of 2021 continued~~year as contractors aim to ~~constrain sales growth.~~keep the supply-demand balance in their favor. But the March building data suggests supply is bouncing back.

Interest Rate Levels and Volatility. ~~The level~~At its meeting in January 2022, the FOMC maintained the federal funds target range, and ~~volatility~~signaled that it would continue the process of ~~interest rates~~gradually tapering its purchases of Treasury securities and ~~credit spreads were affected by several factors during the three and six months ended June 30, 2021, principally the continued economic recovery from the COVID-19 pandemic and efforts~~Agency MBS. However, in response byto inflation concerns, the ~~Federal Reserve~~FOMC indicated that it expected to ~~maintain low short-term interest rates and facilitate liquidity. Overall economic conditions and financial regulation also continue to be influencing factors.~~raise the target range for the federal funds rate beginning in March.

OnAt its March 15, 2020, the FOMC lowered the federal funds rate in an unscheduled meeting to a target range of 0.0% to 0.25%, noting that the COVID-19 pandemic had harmed communities and disrupted economic activity in many countries, including the United States. In its ~~July~~ ~~2021~~2022 meeting, the FOMC stated that ~~the path~~indicators of ~~the U.S. economy will depend significantly on the course of the COVID-19 pandemic, including progress on vaccinations,~~economic activity and ~~that~~employment have continued to strengthen and it ~~is committed to using its full range of tools to support the U.S. economy in this challenging time. As a result, the FOMC decided to maintain~~raised the target range of the federal funds rate ~~at 0.0%~~from 0.25% to ~~0.25% and continue~~0.50%, anticipating that ongoing increases in the target range will be appropriate. In addition, the FOMC expected to begin reducing its ~~purchasing~~holdings of Treasury securities and Agency ~~MBS.~~debt and Agency MBS at a coming meeting.

The following table presents certain key interest rates.


		Three-Month Average				Six-Month Average				Period End					Average for Three Months Ended				Period End
		June 30,				June 30,				June 30,		December 31,			March 31,				March 31,	December 31,
		2021		2020		2021		2020		2021		2020			2022		2021			2022		2021
Federal Funds Effective	Federal Funds Effective	0.07	%	0.06	%	0.07	%	0.64	%	0.08	%	0.09	%	Federal Funds Effective	0.12	%	0.08	%		0.33	%	0.07	%
SOFR	SOFR	0.02	%	0.05	%	0.03	%	0.63	%	0.05	%	0.07	%	SOFR	0.09	%	0.04	%		0.29	%	0.05	%
Overnight LIBOR	Overnight LIBOR	0.07	%	0.07	%	0.07	%	0.65	%	0.09	%	0.08	%	Overnight LIBOR	0.12	%	0.08	%		0.33	%	0.06	%
1-week OIS	1-week OIS	0.07	%	0.06	%	0.07	%	0.63	%	0.10	%	0.09	%	1-week OIS	0.15	%	0.07	%		0.34	%	0.08	%
3-month LIBOR	3-month LIBOR	0.16	%	0.60	%	0.18	%	1.07	%	0.15	%	0.24	%	3-month LIBOR	0.53	%	0.20	%		0.96	%	0.21	%
3-month U.S. Treasury yield	3-month U.S. Treasury yield	0.02	%	0.13	%	0.03	%	0.62	%	0.04	%	0.07	%	3-month U.S. Treasury yield	0.29	%	0.04	%		0.50	%	0.04	%
2-year U.S Treasury yield	2-year U.S Treasury yield	0.17	%	0.19	%	0.15	%	0.64	%	0.25	%	0.12	%	2-year U.S Treasury yield	1.45	%	0.13	%		2.34	%	0.73	%
10-year U.S. Treasury yield	10-year U.S. Treasury yield	1.58	%	0.68	%	1.45	%	1.03	%	1.47	%	0.92	%	10-year U.S. Treasury yield	1.95	%	1.32	%		2.34	%	1.51	%

The ~~averages~~level and volatility of ~~short-term~~ interest rates ~~remained low and were little changed in~~during the three months ended ~~June 30, 2021, compared~~March 31, 2022 were affected by several factors, principally efforts by the Federal Reserve to raise interest rates and tighten monetary policy to combat high inflation.

At its May 4, 2022 meeting, the FOMC noted that inflation remains elevated, reflecting supply and demand imbalances related to the ~~same period in 2020; however, average 3-month LIBOR~~pandemic, higher energy prices, and ~~3-month U.S. Treasury rates were lower~~broader price pressures. To achieve its goals of maximum employment and inflation at the rate of 2 percent over the longer run, the FOMC decided to raise the target range for the federal funds rate to 0.75% to 1.0% and anticipates that ongoing increases in the second quarter of 2021. The averages of short-term interest rates were significantly lower during the six months ended June 30, 2021, compared to the same period in 2020, impacting the Bank's results of operations, primarily by decreasing both interest income and interest expense.target range will be appropriate. In addition, ~~changes in~~ the ~~short-~~FOMC decided to begin reducing its holdings of Treasury securities and ~~long-term interest rates impacted the fair values~~Agency debt and Agency MBS on June 1, 2022.

Table of certain assets and liabilities. The prevailing expectation of prolonged low interest rates will likely continue to be a significant factor driving the Bank's results of operations and changes in its financial condition.Contents

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

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

~~Table of Contents~~

~~Selected Financial Data~~

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

As of and for the Three Months Ended
June 30,
2021 March 31, 2021 December 31, 2020 September 30,
2020 June 30,
2020
Statement of Condition:
Advances $ 27,633 $ 29,784 $ 31,347 $ 31,264 $ 34,848
Mortgage loans held for portfolio, net 7,737 8,057 8,516 9,237 10,083
Cash and short-term investments 7,268 8,873 5,627 5,639 5,791
Investment securities 19,689 19,480 19,941 19,695 19,817
Total assets 62,771 66,680 65,925 66,342 71,070
Discount notes 14,445 17,573 16,617 19,462 28,234
CO bonds 42,363 42,794 43,333 41,148 36,973
Total consolidated obligations 56,808 60,367 59,950 60,610 65,207
MRCS 233 233 251 262 300
Capital stock 2,234 2,214 2,208 2,224 2,194
Retained earnings 1,157 1,153 1,137 1,124 1,128
AOCI 193 180 105 74 (4)
Total capital 3,584 3,547 3,450 3,422 3,318
Statement of Income:
Net interest income $ 57 $ 75 $ 72 $ 61 $ 67
Provision for (reversal of) credit losses — — — — —
Other income (loss) (10) (13) (9) (17) (25)
Other expenses 28 29 30 27 26
AHP assessments 2 3 4 2 2
Net income $ 17 $ 30 $ 29 $ 15 $ 14
Selected Financial Ratios:
Net interest margin (1)
0.36 % 0.44 % 0.43 % 0.35 % 0.37 %
Return on average equity (2)
1.94 % 3.40 % 3.49 % 1.70 % 1.64 %
Return on average assets (2)
0.11 % 0.18 % 0.18 % 0.08 % 0.07 %
Weighted average dividend rate (3)
2.57 % 2.50 % 3.00 % 3.50 % 4.00 %
Dividend payout ratio (4)
81.59 % 46.70 % 55.32 % 126.01 % 150.84 %
Average equity to average assets 5.47 % 5.24 % 5.19 % 4.86 % 4.39 %
Total capital ratio (5)
5.71 % 5.32 % 5.23 % 5.16 % 4.67 %
Total regulatory capital ratio (6)
5.77 % 5.40 % 5.45 % 5.44 % 5.10 %

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

~~(2)~~ ~~Annualized, as appropriate.~~

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

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

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

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

~~Table of Contents~~

Results of Operations and Changes in Financial Condition

Results of Operations for the Three ~~and Six~~ Months Ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021. The following table presents the comparative highlights of our results of operations ($ amounts in millions).


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

Condensed Statements of Comprehensive Income	Condensed Statements of Comprehensive Income	2021		2020		$ Change		% Change		2021		2020		$ Change		% Change		Condensed Statements of Comprehensive Income		2022		2021		$ Change		% Change
Net interest income	Net interest income	$	57	$	67	$	(10)	(15)	%	$	132	$	131	$	1	1	%	Net interest income		$	65	$	74	$	(9)	(13)	%
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		—		—				—		—		—				Provision for (reversal of) credit losses		—		—		—
Net interest income after provision for credit losses	Net interest income after provision for credit losses	57		67		(10)		(15)	%	132		131		1		1	%	Net interest income after provision for credit losses		65		74		(9)		(13)	%
Other income (loss)	Other income (loss)	(10)		(25)		15				(23)		(30)		7				Other income (loss)		(7)		(13)		6
Other expenses	Other expenses	28		27		1				57		53		4				Other expenses		26		28		(2)
Income before assessments	Income before assessments	19		15		4		28	%	52		48		4		9	%	Income before assessments		32		33		(1)		(5)	%
AHP assessments	AHP assessments	2		2		—				5		5		—				AHP assessments		3		3		—
Net income	Net income	17		13		4		30	%	47		43		4		10	%	Net income		29		30		(1)		(4)	%
Total other comprehensive income (loss)	Total other comprehensive income (loss)	13		77		(64)				88		(72)		160				Total other comprehensive income (loss)		(74)		74		(148)

Total comprehensive income (loss)	Total comprehensive income (loss)	$	30	$	90	$	(60)	(66)	%	$	135	$	(29)	$	164	570	%	Total comprehensive income (loss)		$	(45)	$	104	$	(149)	(143)	%

~~Net~~The decrease in net income for the three months ended ~~June 30, 2021 was $17.1 million, an increase of $3.9 million~~March 31, 2022 compared to the corresponding period in the prior ~~year. The~~ ~~increase~~ year was primarily due to lower net hedging losses on qualifying fair-value hedging relationships, lower accelerated amortization of purchase premium resulting from lower prepayments on mortgage loans, and an increase in net earnings on trading securities, partially offset by lower net interest income resulting from narrower interest spreads and the decline in average asset balances.

~~Net income for the six months ended June 30, 2021 was $47.0 million, an~~ ~~increase~~ ~~of $4.3 million compared to the corresponding period in the prior year. The~~ ~~increase~~ ~~was primarily due to~~ net hedging gains on qualifying fair-value hedging relationships, substantially offset by lower ~~earnings on the portion~~amortization of ~~the Bank's assets funded by its capital and lower net interest income~~mortgage purchase premiums resulting from ~~narrower interest spreads and the decline in average asset balances.~~lower prepayments.

~~Total other comprehensive income~~The decrease in total OCI for the three months ended ~~June 30, 2021 was $13.4 million, a decrease of $64.0 million~~March 31, 2022 compared to the corresponding period in the prior ~~year. The decrease~~year was substantially due to ~~lower net~~ unrealized ~~gains~~losses on AFS securities. However, our AFS securities remained in an unrealized gain position at March 31, 2022.

~~Total other comprehensive income~~The return on average assets and return on average equity for the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 was ~~$88.0 million, an increase of $159.5 million~~0.20% and 3.26%, respectively, compared to 0.18% and 3.40%, respectively, for the ~~corresponding period in the prior year. The increase was due to net unrealized gains on AFS securities in~~three months ended March 31, 2021.

~~Non-GAAP Financial Measure~~

Table of Contents

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

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

~~Table of Contents~~

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

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


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

Reconciliation of Net Income	Reconciliation of Net Income	2021		2020		2021		2020		Reconciliation of Net Income	2022		2021
GAAP net income	GAAP net income	$	17.1	$	13.2	$	47.0	$	42.7	GAAP net income	$	28.6	$	29.9
Adjustments to exclude:	Adjustments to exclude:									Adjustments to exclude:
Fair-value hedging (gains) losses (1)	Fair-value hedging (gains) losses (1)	5.6		18.8		(13.0)		22.4		Fair-value hedging (gains) losses (1)	(2.0)		(18.6)
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	7.5		(0.7)		12.9		(1.2)		Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)	16.8		5.4
Trading (gains) losses, net of economic hedging gains (losses)(3)	Trading (gains) losses, net of economic hedging gains (losses)(3)	10.1		8.9		19.1		(0.7)		Trading (gains) losses, net of economic hedging gains (losses)(3)	0.1		9.0
Net unrealized (gains) losses on other economic hedges	Net unrealized (gains) losses on other economic hedges	0.1		(0.5)		0.5		(0.7)		Net unrealized (gains) losses on other economic hedges	1.8		0.4
Interest expense on MRCS										Interest expense on MRCS	0.2		1.1

Interest expense on MRCS		0.9		2.8		2.0		5.7
Total adjustments	Total adjustments	24.2		29.3		21.5		25.5		Total adjustments	16.9		(2.7)

AHP assessments on adjustments		(2.3)		(2.7)		(1.9)		(1.9)
AHP assessments (credits) on adjustments										AHP assessments (credits) on adjustments	(1.6)		0.4

Adjusted net income (non-GAAP measure)	Adjusted net income (non-GAAP measure)	$	39.0	$	39.8	$	66.6	$	66.3	Adjusted net income (non-GAAP measure)	$	43.9	$	27.6

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

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

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

Adjusted net income for the three months ended ~~June 30, 2021~~March 31, 2022 was ~~$39.0~~$43.9 million, ~~a decrease~~an increase of ~~$0.8~~$16.3 million compared to the corresponding period in the prior year. The decrease was primarily due to lower net interest income resulting from narrower interest spreads and the decline in average asset balances, substantially offset by higher earnings (excluding net gains and losses) on trading securities and lower accelerated amortization of purchase premium resulting from lower prepayments on mortgage loans.

~~Adjusted net income for the~~ ~~six months ended June 30, 2021~~ ~~was $66.6 million, an increase of $0.3 million compared to the corresponding period~~quarter in the prior year. The increase was primarily due to lower accelerated amortization of mortgage purchase premiums, resulting from lower prepayments, and higher ~~earnings (excluding net gains and losses) on trading securities, substantially~~interest spreads, partially offset by lower earnings (excluding net gains) on ~~the portion of the Bank's assets funded by its capital and lower net interest income resulting from narrower interest spreads and the decline in average asset balances~~trading securities.

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Changes in Financial Condition for the ~~Six~~Three Months Ended ~~June 30, 2021.~~March 31, 2022. The following table presents the comparative

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


Condensed Statements of Condition	Condensed Statements of Condition	June 30, 2021		December 31, 2020		$ Change		% Change		Condensed Statements of Condition	March 31, 2022		December 31, 2021		$ Change		% Change
Advances	Advances	$	27,633	$	31,347	$	(3,714)	(12)	%	Advances	$	26,588	$	27,498	$	(910)	(3)	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,737		8,516		(779)		(9)	%	Mortgage loans held for portfolio, net	7,702		7,616		86		1	%
Cash and short-term investments (1)	Cash and short-term investments (1)	7,268		5,627		1,641		29	%	Cash and short-term investments (1)	9,566		7,048		2,518		36	%
Investment securities and other assets (2)	Investment securities and other assets (2)	20,133		20,435		(302)		(1)	%	Investment securities and other assets (2)	19,159		17,843		1,316		7	%
Total assets	Total assets	$	62,771	$	65,925	$	(3,154)	(5)	%	Total assets	$	63,015	$	60,005	$	3,010	5	%

Consolidated obligations	Consolidated obligations	$	56,808	$	59,950	$	(3,142)	(5)	%	Consolidated obligations	$	57,805	$	54,478	$	3,327	6	%
MRCS	MRCS	233		251		(18)		(7)	%	MRCS	46		50		(4)		(10)	%
Other liabilities	Other liabilities	2,146		2,274		(128)		(6)	%	Other liabilities	1,791		1,921		(130)		(7)	%
Total liabilities	Total liabilities	59,187		62,475		(3,288)		(5)	%	Total liabilities	59,642		56,449		3,193		6	%

Capital stock	Capital stock	2,234		2,208		26		1	%	Capital stock	2,122		2,246		(124)		(6)	%
Retained earnings (3)	Retained earnings (3)	1,157		1,137		20		2	%	Retained earnings (3)	1,192		1,177		15		1	%
AOCI	AOCI	193		105		88		84	%	AOCI	59		133		(74)		(56)	%
Total capital	Total capital	3,584		3,450		134		4	%	Total capital	3,373		3,556		(183)		(5)	%

Total liabilities and capital	Total liabilities and capital	$	62,771	$	65,925	$	(3,154)	(5)	%	Total liabilities and capital	$	63,015	$	60,005	$	3,010	5	%

Total regulatory capital (4)	Total regulatory capital (4)	$	3,624	$	3,596	$	28	1	%	Total regulatory capital (4)	$	3,360	$	3,473	$	(113)	(3)	%

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

(2) Includes trading, AFS and HTM securities.

(3) Includes restricted retained earnings at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 of $~~278~~292 million and ~~$268~~$287 million, respectively.

(4) Total capital less AOCI plus MRCS.

Total assets at ~~June 30, 2021~~March 31, 2022 were ~~$62.8~~$63.0 billion,, a net ~~decrease~~increase of ~~$3.2~~$3.0 billion, or 5%, from December 31, ~~2020,~~2021, driven primarily b~~y a net decrease in advances, partially offset~~ by a net increase in ~~the liquidity portfolio.~~cash and short-term investments.

Advances outstanding at ~~June 30, 2021,~~March 31, 2022, at carrying value,, totaled ~~$27.6~~$26.6 billion, a net decrease of ~~$3.7 billion,~~$910 million, or ~~12%~~3%, from December 31, ~~2020.~~2021. The par value of advances to depository institutions - comprising commercial banks, savings institutions and credit unions - and insurance companies decreased by 12% and increased by 10%, respectively.

Mortgage loans held for portfolio at ~~June 30, 2021~~March 31, 2022 totaled $7.7 billion,, a net ~~decrease~~increase of ~~$779~~$86 million, or 9%1%, from December 31, ~~2020,~~2021, as the Bank's purchases exceeded principal repayments by ~~borrowers significantly outpaced the Bank's purchases during the period.~~borrowers.

The liquidity portfolio, which consists of cash and short-term investments as well as U.S. Treasury securities held for trading purposes, at ~~June 30, 2021~~March 31, 2022 totaled ~~$13.1~~$14.3 billion, a net increase of ~~$2.4~~$3.3 billion, or ~~22%~~30%, from December 31, ~~2020~~.2021. Cash and short-term investments increased by ~~$1.6~~$2.5 billion, or ~~29%~~36%, to ~~$7.3 billion~~.$9.6 billion. U.S. Treasury securities, classified as trading securities, increased by ~~$722~~$806 million, or ~~14%~~20%, to ~~$5.8~~$4.7 billion. As a result, cash and short-term investments represented ~~56%~~67% of the liquidity portfolio at ~~June 30, 2021,~~March 31, 2022, while U.S. Treasury securities represented ~~44%~~33%.

FH~~LBank~~FHLBank Indianapolis' consolidated obligations outstanding at ~~June 30, 2021~~March 31, 2022 totaled ~~$56.8~~$57.8 billion,, a net ~~decrease~~increase of ~~$3.1~~$3.3 billion, or 5%6%, from December 31, ~~2020,~~2021, which reflected higher funding needs associated with the net ~~decrease~~increase in the Bank's total assets.

Total capital at ~~June 30, 2021~~March 31, 2022 was ~~$3.6~~$3.4 billion, a net ~~increase~~decrease of ~~$134~~$183 million, or 4%5%, from December 31, ~~2020, substantially~~2021, primarily due to ~~an increase in unrealized gains on our AFS securities.~~repurchases of capital stock.

The Bank's regulatory capital-to-assets ratio at ~~June 30, 2021~~March 31, 2022 was ~~5.77%~~5.33%, which exceeds all applicable regulatory capital requirements.

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Analysis of Results of Operations for the Three ~~and Six~~ Months Ended ~~June 30, 2021~~March 31, 2022 and ~~2020.~~2021.

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



	Three Months Ended March 31,
	2022						2021
	Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell	$	6,046	$	2	0.12	%	$	8,301	$	1	0.06	%
Investment securities (3)	16,986		35		0.84	%	20,029		56		1.13	%
Advances (4)	26,464		35		0.54	%	29,627		36		0.49	%
Mortgage loans held for portfolio (4) (5)	7,658		48		2.53	%	8,282		40		1.97	%
Other assets (interest-earning) (6)	810		—		0.15	%	903		—		0.07	%
Total interest-earning assets	57,964		120		0.84	%	67,142		133		0.81	%
Other assets (7)	881						916
Total assets	$	58,845					$	68,058

Liabilities and Capital:
Interest-bearing deposits	$	1,347	—		0.03	%	$	1,511	—		0.01	%
Discount notes	12,830		4		0.12	%	18,773		4		0.09	%
CO bonds (4)	40,430		51		0.52	%	43,225		54		0.50	%
MRCS	48		—		2.05	%	243		1		1.85	%

Total interest-bearing liabilities	54,655		55		0.41	%	63,752		59		0.38	%
Other liabilities	633						738
Total capital	3,557						3,568
Total liabilities and capital	$	58,845					$	68,058

Net interest income			$	65					$	74

Net spread on interest-earning assets less interest-bearing liabilities					0.43	%					0.43	%

Net interest margin (8)					0.45	%					0.44	%

Average interest-earning assets to interest-bearing liabilities	1.06						1.05

Three Months Ended June 30,
2021 2020
Average
Balance
Interest
Income/
Expense (1)
Average
Yield (1) (2)
Average
Balance
Interest
Income/
Expense (1)
Average
Yield (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell $ 7,219 $ 1 0.05 % $ 4,608 $ 1 0.05 %
Investment securities (3)
19,607 43 0.89 % 20,248 59 1.17 %
Advances (4)
29,010 28 0.39 % 36,207 77 0.85 %
Mortgage loans held for portfolio (4) (5)
7,875 40 2.04 % 10,423 58 2.28 %
Other assets (interest-earning) (6)
731 — 0.07 % 1,555 — 0.08 %
Total interest-earning assets 64,442 112 0.70 % 73,041 195 1.07 %
Other assets (7)
571 831
Total assets $ 65,013 $ 73,872
Liabilities and Capital:
Interest-bearing deposits $ 1,694 — 0.01 % $ 1,560 — 0.01 %
Discount notes 16,497 2 0.04 % 29,757 28 0.37 %
CO bonds (4)
42,319 52 0.50 % 38,139 97 1.03 %
MRCS 233 1 1.60 % 305 3 3.66 %
Total interest-bearing liabilities 60,743 55 0.37 % 69,761 128 0.74 %
Other liabilities 716 867
Total capital 3,554 3,244
Total liabilities and capital $ 65,013 $ 73,872
Net interest income $ 57 $ 67
Net spread on interest-earning assets less interest-bearing liabilities (2)
0.33 % 0.33 %
Net interest margin (8)
0.36 % 0.37 %
Average interest-earning assets to interest-bearing liabilities 1.06 1.05

~~Table of Contents~~

Six Months Ended June 30,
2021 2020

Average
Balance
Interest
Income/
Expense (1)
Average
Yield/ Cost of Funds (1) (2)
Average
Balance
Interest
Income/
Expense (1)
Average
Yield/Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell $ 7,757 $ 2 0.05 % $ 5,200 $ 20 0.76 %
Investment securities (3)
19,817 99 1.01 % 19,940 148 1.50 %
Advances (4)
29,317 65 0.44 % 34,476 246 1.43 %
Mortgage loans held for portfolio (4) (5)
8,077 80 2.01 % 10,583 141 2.68 %
Other assets (interest-earning) (6)
816 — 0.07 % 1,581 5 0.64 %
Total interest-earning assets 65,784 246 0.76 % 71,780 560 1.57 %
Other assets (7)
743 405
Total assets $ 66,527 $ 72,185
Liabilities and Capital:
Interest-bearing deposits $ 1,602 — 0.01 % $ 1,457 2 0.39 %
Discount notes 17,629 6 0.07 % 24,920 100 0.81 %
CO bonds (4)
42,770 106 0.50 % 41,280 321 1.56 %
MRCS 238 2 1.73 % 314 6 3.68 %
Total interest-bearing liabilities 62,239 114 0.37 % 67,971 429 1.27 %
Other liabilities 727 1,031
Total capital 3,561 3,183
Total liabilities and capital $ 66,527 $ 72,185
Net interest income $ 132 $ 131
Net spread on interest-earning assets less interest-bearing liabilities (2)
0.39 % 0.30 %
Net interest margin (8)
0.40 % 0.36 %
Average interest-earning assets to interest-bearing liabilities 1.06 1.06

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

(2) Annualized.

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

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

(5) Includes non-accrual loans.

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

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

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

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The decrease in net interest income for the three months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding period in ~~2020~~2021 was primarily due to ~~narrower interest spreads and the decline in average asset balances, partially offset by~~ lower net hedging ~~losses~~gains on qualifying fair-value hedging relationships as well as lower net interest income on trading securities, partially offset by lower amortization of mortgage purchase premium resulting from lower prepayments. Net interest income for the three months ended March 31, 2022 included net hedging gains of $2 million, compared to net hedging gains for the corresponding period in 2021 of $19 million.

Yields/Cost of Funds.The average yield on total interest-earning assets, including the impact of hedging gains/losses but excluding certain impacts of trading securities, for the three months ended March 31, 2022 was 0.84%, an increase of 3 bps compared to the corresponding period in 2021. The yield on investment securities decreased due primarily to a lower average coupon on the trading securities and lower ~~accelerated~~net hedging gains. The yield on mortgage loans held for portfolio increased due to lower amortization of purchase premium resulting from lower prepayments on mortgage loans. ~~Net interest income for the three months ended June 30, 2021 included net hedging losses of $6 million, compared to net hedging losses for the corresponding period in 2020 of $19 million.~~

The increase in net interest income for the six months ended June 30, 2021 compared to the corresponding period in 2020 was due to net hedging gains on qualifying fair-value hedging relationships, substantially offset by lower interest income on the portion of the Bank's assets funded by its capital, narrower interest spreads, and the decline in average asset balances. Net interest income for the six months ended June 30, 2021 included net hedging gains of $13 million, compared to net hedging losses for corresponding period in 2020 of $22 million.

~~Yields/Cost of Funds.~~ The average yield on total interest-earning assets for the three months ended June 30, 2021, including the impact of hedging gains and losses, was 0.70%, a decrease of 37 bps compared to the corresponding period in 2020, resulting primarily from decreases in market interest rates that led to lower yields on all of our interest-earning assets. The average cost of funds of total interest-bearing liabilities, ~~for the three months ended June 30, 2021,~~ including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the three months ended March 31, 2022 was ~~0.37%~~0.41%, ~~a decrease~~an increase of 373 bps due primarily to ~~lower funding costs~~net hedging losses on our consolidated obligations. The net effect was no change in the overall net interest spread ~~between the two periods.~~

~~The average yield on total interest-earning assets for the six months ended June 30, 2021, including the impact of hedging gains and losses, was 0.76%, a decrease of 81 bps~~under GAAP compared to the corresponding period in 2020, resulting primarily from decreases in market interest rates that led to lower yields on all of our interest-earning assets. The average cost of funds of total interest-bearing liabilities for the six months ended June 30, 2021, including the impact of hedging gains and losses, was 0.37%, a decrease of 90 bps due to lower funding costs on our consolidated obligations. The net effect was an increase in the overall net interest spread of 9 bps to 0.39% from 0.30% for the corresponding period in 2020.2021.

Average Balances. The average balances outstanding of interest-earning assets for the three months ended ~~June 30, 2021~~March 31, 2022 decreased by ~~12%~~14% compared to the corresponding period in ~~2020.~~2021. The average balances of advances and mortgage loans decreased by ~~20%~~11% and 24%, respectively, reflecting paydowns by our borrowers. The decrease in average interest-bearing liabilities reflected the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, increased by 13%.

~~The average balances outstanding of interest-earning assets for the six months ended June 30, 2021 decreased by~~ 8% ~~compared to the corresponding period in 2020. The average balances of advances and mortgage loans decreased by 15% and 24%~~, respectively, reflecting paydowns by our borrowers. The decrease in average interest-bearing liabilities reflected the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, decreased by 7%2%.

Provision for Credit Losses. The change in the provisions for (reversal of) credit losses for the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding ~~periods~~period in ~~2020~~2021 was insignificant.

~~Table of Contents~~

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


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

Net unrealized gains (losses) on trading securities (1)	Net unrealized gains (losses) on trading securities (1)	$	(13)	$	(40)	$	(29)	$	8	Net unrealized gains (losses) on trading securities (1)		$	(7)	$	(16)
Net realized gains (losses) on trading securities (1)		(1)		11		2		13
Net realized gains (losses) on trading securities (2)										Net realized gains (losses) on trading securities (2)		(17)		3
Net gains (losses) on trading securities										Net gains (losses) on trading securities		(24)		(13)

Net gains (losses) on derivatives hedging trading securities	Net gains (losses) on derivatives hedging trading securities	3		19		8		(21)		Net gains (losses) on derivatives hedging trading securities		24		5
Net gains (losses) on trading securities, net of associated derivatives		(11)		(10)		(19)		—
Net interest settlements on derivatives		(3)		(20)		(8)		(29)
Net interest settlements on derivatives (3)										Net interest settlements on derivatives (3)		(2)		(5)
Net gains (losses) on other derivatives not designated as hedging instruments	Net gains (losses) on other derivatives not designated as hedging instruments	—		—		(1)		(2)		Net gains (losses) on other derivatives not designated as hedging instruments		(2)		(1)
Net gains (losses) on derivatives										Net gains (losses) on derivatives		20		(1)

Change in fair value of investments indirectly funding our SERP	Change in fair value of investments indirectly funding our SERP	3		3		4		(1)		Change in fair value of investments indirectly funding our SERP		(4)		1

Other, net	Other, net	1		2		1		2		Other, net		1		—

Total other income (loss)	Total other income (loss)	$	(10)	$	(25)	$	(23)	$	(30)	Total other income (loss)		$	(7)	$	(13)

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

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

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

The ~~decreases~~decrease in total other loss for the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding ~~periods~~period in ~~2020 were~~2021 was primarily due to ~~lower~~increases in the fair values of swaps hedging trading securities, partially offset by higher net losses on trading securities.

Table of Contents

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


	Three Months Ended March 31,
Earnings Components of Trading Securities	2022		2021
Net interest income (1)	$	5	$	15

Other income:
Net unrealized gains (losses)	(7)		(16)
Net realized gains (losses)	(17)		3
Net interest settlements on derivatives	(2)		(5)
Change in fair value of derivatives	24		4

Other income (loss), net	(2)		(14)

Net impact of trading securities on income before assessments	$	3	$	1

(1) Includes an estimated allocation of interest ~~settlement expense on derivatives.~~expense.

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
Components	Components	2021		2020		2021		2020		Components		2022		2021
Compensation and benefits	Compensation and benefits	$	14	$	15	$	30	$	30	Compensation and benefits		$	13	$	16
Other operating expenses	Other operating expenses	7		8		15		15		Other operating expenses		7		7
Finance Agency and Office of Finance	Finance Agency and Office of Finance	3		2		6		5		Finance Agency and Office of Finance		3		3
Other	Other	4		2		6		3		Other		3		2

Total other expenses	Total other expenses	$	28	$	27	$	57	$	53	Total other expenses		$	26	$	28

The ~~increases~~net decrease in total other expenses for the three ~~and six~~ months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding ~~periods~~period in ~~2020 were~~2021 was primarily due to ~~higher non-service costs associated~~excise tax refunds received in the first quarter of 2022 and a decrease in post-retirement benefits resulting from changes in market conditions. However, the latter impact was fully offset by a corresponding change in fair value recorded in other income.

AHP Assessments. For the three months ended March 31, 2022, our AHP expense was $3 million. Our AHP expense fluctuates in accordance with our ~~non-qualified defined benefit supplemental retirement plan.~~net earnings.

Total Other Comprehensive Income (Loss). Total OCI for the three months ended ~~June 30, 2021~~March 31, 2022 consisted primarily of ~~a change in~~ net ~~pension benefits,~~unrealized losses on AFS securities, compared to net unrealized gains on AFS securities for the corresponding period in ~~2020.~~

Total OCI for the six months ended June 30, 2021 consisted substantially of net unrealized gains on AFS securities, compared to net unrealized losses on AFS securities for the corresponding period in 2020.2021. These amounts were primarily impacted by changes in interest rates, credit spreads and ~~volatility, which were magnified by the disruptions in the financial markets during 2020.~~

volatility.

~~Table of Contents~~

Operating Segments

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

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
Traditional	Traditional	2021		2020		2021		2020		Traditional		2022		2021
Net interest income	Net interest income	$	53	$	62	$	128	$	113	Net interest income		$	53	$	74
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		—		—		—		Provision for (reversal of) credit losses		—		—
Other income (loss)	Other income (loss)	(10)		(25)		(23)		(27)		Other income (loss)		(7)		(13)
Other expenses	Other expenses	24		23		49		45		Other expenses		22		24
Income before assessments	Income before assessments	19		14		56		41		Income before assessments		24		37
AHP assessments	AHP assessments	2		2		5		5		AHP assessments		2		3

Net income	Net income	$	17	$	12	$	51	$	36	Net income		$	22	$	34

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The ~~increase~~decrease in net income for the traditional segment for the three months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding period in ~~2020~~2021 was primarily due to lower net hedging losses on qualifying fair-value hedging relationships and an increase in net earnings on trading securities, partially offset by lower net interest income resulting from narrower spreads and the decline in average asset balances.

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

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


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
Mortgage Loans	Mortgage Loans	2021		2020		2021		2020		Mortgage Loans		2022		2021
Net interest income	Net interest income	$	4	$	5	$	4	$	18	Net interest income		$	12	$	—
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		—		—		—		Provision for (reversal of) credit losses		—		—
Other income (loss)	Other income (loss)	—		—		—		(3)		Other income (loss)		—		—
Other expenses	Other expenses	4		4		8		8		Other expenses		4		4
Income (loss) before assessments	Income (loss) before assessments	—		1		(4)		7		Income (loss) before assessments		8		(4)
AHP assessments (credits)	AHP assessments (credits)	—		—		—		—		AHP assessments (credits)		1		—

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

The ~~decrease~~increase in net income for the mortgage loans segment for the three months ended ~~June 30, 2021~~March 31, 2022 compared to the corresponding period in ~~2020~~2021 was primarily due to lower ~~net interest income~~amortization of mortgage purchase premiums resulting from ~~narrower interest spreads and the decline in the average asset balance, substantially offset by~~ lower ~~accelerated amortization of purchase premium resulting from lower MPP loan~~ prepayments.

The decrease in net income for the mortgage loans segment for the six months ended June 30, 2021 compared to the corresponding period in 2020 was due to lower net interest income resulting from narrower interest spreads and the decline in the average asset balance.

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Analysis of Financial Condition

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Major Asset Categories	Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total		Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total
Advances	Advances	$	27,633	44	%	$	31,347	48	%	Advances	$	26,588	42	%	$	27,498	46	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,737		12	%	8,516		13	%	Mortgage loans held for portfolio, net	7,702		12	%	7,616		13	%
Cash and short-term investments	Cash and short-term investments	7,268		12	%	5,627		9	%	Cash and short-term investments	9,566		15	%	7,048		12	%
Trading securities	Trading securities	5,817		9	%	5,095		8	%	Trading securities	4,753		8	%	3,947		7	%
Other investment securities	Other investment securities	13,872		22	%	14,846		22	%	Other investment securities	13,933		22	%	13,474		22	%
Other assets (1)	Other assets (1)	444		1	%	494		—	%	Other assets (1)	473		1	%	422		—	%

Total assets	Total assets	$	62,771	100	%	$	65,925	100	%	Total assets	$	63,015	100	%	$	60,005	100	%

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

Total assets as of March 31, 2022 were $63.0 billion, a net increase of $3.0 billion, or 5%, compared to December 31, 2021, primarily driven by a net increase in cash and short-term investments. The mix of our assets at ~~June 30, 2021~~March 31, 2022 changed compared to December 31, ~~2020~~2021 in that advances as a percent of total assets declined fro~~declined~~m 46% ~~from 48%~~ to ~~44%~~42% while cash andand short-term investments increased from 9%12% to ~~12%~~15%, reflecting primarily the paydowns of short-term ~~advances.~~advances and the availability of short-term investments at attractive interest rates relative to our cost of funds.

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

Advances at ~~June 30, 2021~~March 31, 2022 at carrying value totaled ~~$27.6~~$26.6 billion, a net decrease of ~~$3.7 billion,~~$910 million, or ~~12%~~3%, compared to December 31, ~~2020.~~ 2021. The ~~high levels~~unprecedented level of liquidity injected by the Federal Reserve, ~~and~~excess deposits held by our members, ~~as deposits accompanied by their low loan demand,~~ alternative sources of wholesale funds available to our members, continued consolidation in the financial services industry involving our members, and the impacts of governmental relief efforts in response to the COVID-19 pandemic continue to ~~pressure~~dampen overall ~~advance levels.~~demand for advances.

~~The par value~~

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Our advances portfolio is well-diversified with advances to ~~depository institutions - comprising~~ commercial banks and savings institutions, ~~and~~ credit unions, - and insurance ~~companies decreased by 19% and 1%, respectively.~~companies. Advances to depository institutions, as a percent of total advances outstanding at par value, were ~~52%~~48% at ~~June 30, 2021,~~March 31, 2022, while advances to insurance companies were ~~48%~~52%.

~~Table of Contents~~

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Borrower Type	Borrower Type	Par Value		% of Total		Par Value		% of Total		Borrower Type	Par Value		% of Total		Par Value		% of Total
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions ~~(1)~~	Commercial banks and savings institutions ~~(1)~~	$	11,715	43	%	$	14,749	48	%	Commercial banks and savings institutions ~~(1)~~	$	10,418	39	%	$	12,199	45	%
Credit unions	Credit unions	2,318		8	%	2,548		8	%	Credit unions	2,167		8	%	2,199		8	%
Former members - depositories	Former members - depositories	226		1	%	268		1	%	Former members - depositories	224		1	%	225		1	%
Total depository institutions	Total depository institutions	14,259		52	%	17,565		57	%	Total depository institutions	12,809		48	%	14,623		54	%

Insurance companies:	Insurance companies:									Insurance companies:

Insurance companies		12,677		47	%	12,832		42	%
Former members - insurance		293		1	%	294		1	%
Captive insurance companies (1)										Captive insurance companies (1)	263		1	%	263		1	%
Other insurance companies										Other insurance companies	13,698		51	%	12,419		45	%
Former members - other insurance companies										Former members - other insurance companies	5		—	%	5		—	%
Total insurance companies	Total insurance companies	12,970		48	%	13,126		43	%	Total insurance companies	13,966		52	%	12,687		46	%

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

Total advances outstanding	Total advances outstanding	$	27,229	100	%	$	30,691	100	%	Total advances outstanding	$	26,775	100	%	$	27,310	100	%

(1) ~~Includes advances outstanding at June 30, 2021 and December 31, 2020 of $2.6 billion, or 10%, an~~d $4.6 billion, or 15%, of total advances outstanding, respectively, to Flagstar Bank, FSB ("Flagstar"). The parent company of Flagstar announced a merger pursuant to which Flagstar would merge with a non-member depository. On the effective date of Flagstar's merger, any outstanding advances will be required to be repaid at their respective maturity dates. For more information, see ~~Item 1A. Risk Factors~~.

Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and did not meet the definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership under the Final Membership Rule, had their memberships terminated on February 19, 2021. The outstanding advances to one captive insurer ~~at June 30, 2021 totaling $288 million~~ are not required to be repaid prior to their various maturity dates through ~~2024.~~2024.

5041

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
Product Type and Redemption Term	Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total		Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total
Fixed-rate:	Fixed-rate:									Fixed-rate:
Fixed-rate (1)
Without call or put options										Without call or put options
Due in 1 year or less	Due in 1 year or less	$	7,453	28	%	$	10,023	33	%	Due in 1 year or less	$	7,843	29	%	$	7,670	29	%
Due after 1 year		6,978		26	%	7,998		26	%
Due after 1 through 5 years										Due after 1 through 5 years	5,086		19	%	5,708		21	%
Due after 5 through 15 years										Due after 5 through 15 years	743		3	%	752		3	%
Thereafter										Thereafter	2		—	%	2		—	%
Total	Total	14,431		54	%	18,021		59	%	Total	13,674		51	%	14,132		53	%

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

Putable	Putable									Putable
Due in 1 year or less	Due in 1 year or less	—		—	%	—		—	%	Due in 1 year or less	—		—	%	—		—	%
Due after 1 year		7,165		26	%	7,252		24	%
Due after 1 through 5 years										Due after 1 through 5 years	2,256		8	%	2,289		8	%
Due after 5 through 15 years										Due after 5 through 15 years	5,613		21	%	5,747		21	%
Thereafter										Thereafter	—		—	%	—		—	%
Total	Total	7,165		26	%	7,252		24	%	Total	7,869		29	%	8,036		29	%

Other (2)
Other (1)										Other (1)
Due in 1 year or less	Due in 1 year or less	23		—	%	32		—	%	Due in 1 year or less	49		—	%	50		—	%
Due after 1 year		135		—	%	147		—	%
Due after 1 through 5 years										Due after 1 through 5 years	65		—	%	64		—	%
Due after 5 through 15 years										Due after 5 through 15 years	34		—	%	24		—	%
Thereafter										Thereafter	16		—	%	3		—	%
Total	Total	158		—	%	179		—	%	Total	164		—	%	141		—	%

Total fixed-rate	Total fixed-rate	21,754		80	%	25,452		83	%	Total fixed-rate	21,714		80	%	22,316		82	%

Variable-rate:	Variable-rate:									Variable-rate:
Variable-rate (1)
Without call or put options										Without call or put options
Due in 1 year or less	Due in 1 year or less	370		1	%	24		—	%	Due in 1 year or less	9		—	%	18		—	%
Due after 1 year		—		—	%	—		—	%
Due after 1 through 5 years										Due after 1 through 5 years	167		1	%	167		1	%
Due after 5 through 15 years										Due after 5 through 15 years	—		—	%	—		—	%
Thereafter										Thereafter	—		—	%	—		—	%
Total	Total	370		1	%	24		—	%	Total	176		1	%	185		1	%

Callable or prepayable	Callable or prepayable									Callable or prepayable
Due in 1 year or less	Due in 1 year or less	78		—	%	36		—	%	Due in 1 year or less	171		1	%	126		—	%
Due after 1 year		5,026		19	%	5,179		17	%
Due after 1 through 5 years										Due after 1 through 5 years	2,879		11	%	2,831		10	%
Due after 5 through 15 years										Due after 5 through 15 years	1,480		6	%	1,297		5	%
Thereafter										Thereafter	355		1	%	555		2	%
Total	Total	5,104		19	%	5,215		17	%	Total	4,885		19	%	4,809		17	%

Total variable-rate	Total variable-rate	5,474		20	%	5,239		17	%	Total variable-rate	5,061		20	%	4,994		18	%

Overdrawn demand and overnight deposit accounts		1		—	%	—		—	%

Total advances	Total advances	$	27,229	100	%	$	30,691	100	%	Total advances	$	26,775	100	%	$	27,310	100	%

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

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

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During the ~~six~~three months ended ~~June 30, 2021, t~~heMarch 31, 2022, the par value of advances due in one year or less ~~decreased~~increased by ~~22%~~3%, while advances due after one year decreased by 6%4%. As a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled ~~29%~~30% at ~~June 30, 2021, a decrease~~March 31, 2022, an increase from ~~33%~~29% at December 31, ~~2020. F~~or2021. For additional information, see Notes to Financial Statements - Note 4 - Advances.

~~Table of Contents~~

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio at ~~June 30, 2021,~~March 31, 2022, at carrying value, totaled $7.7 billion, a net ~~decrease~~increase of $~~779~~86 million, or 9%1%, from December 31, ~~2020,~~2021, as the Bank's purchases exceeded principal repayments by borrowers ~~significantly outpaced the Bank's purchases.~~. For the ~~six~~three months ended ~~June 30, 2021,~~March 31, 2022, purchases of mortgage loans ~~from the Bank's members~~ under Advantage MPP totaled ~~$1.1 billion~~$460 million, while MPP and MPF program repayments totaled ~~$1.8 billion.~~ ~~In addition to low interest rates, ongoing Federal Reserve purchases of Fannie Mae and Freddie Mac MBS encourage continuing refinancing activity by borrowers.~~$340 million.

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

June 30, 2021 December 31, 2020
Product Type UPB % of Total UPB % of Total
MPP:
Conventional Advantage $ 6,900 91 % $ 7,529 90 %
Conventional Original 351 5 % 417 5 %
FHA 180 2 % 218 3 %
Total MPP 7,431 98 % 8,164 98 %
MPF Program:
Conventional 95 2 % 123 2 %
Government 30 — % 36 — %
Total MPF Program 125 2 % 159 2 %
Total mortgage loans held for portfolio $ 7,556 100 % $ 8,323 100 %

W~~e maintain an allowance for credit losses based on our best esti~~mate of expected losses over the remaining life of each loan. Our estimate of MPP losses remaining after borrower's equity, but before credit enhancements, was $4 million and $10 million at June 30, 2021 and December 31, 2020, respectively. After consideration of the portion recoverable under the associated credit enhancements, the resulting allowance was less than $1 million at June 30, 2021 and December 31, 2020. For more information, see ~~Notes to Financial Statements - Note 5 - Mortgage Loans Held for Portfolio~~.

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

~~The UPB of our conventional mortgage loans in COVID-19-related informal forbearance programs declined by $56 million from $112 million at~~ ~~December 31, 2020~~ ~~to $56 million at~~ ~~June 30, 2021 as a result of borrowers becoming current, repaying their loans in full, or moving to a COVID-19-related formal forbearance program. The UPB of loans in COVID-19-related formal forbearance programs increased by $18 million from $12 million at~~ ~~December 31, 2020~~ ~~to $30 million at~~ ~~June 30, 2021~~.

~~Table of Contents~~

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


Components	Components	June 30, 2021		December 31, 2020		Change		Components	March 31, 2022		December 31, 2021
Cash and short-term investments:	Cash and short-term investments:							Cash and short-term investments:
Cash and due from banks	Cash and due from banks	$	1,363	$	1,812	$	(449)	Cash and due from banks	$	226	$	868
Interest-bearing deposits	Interest-bearing deposits	100		100		—		Interest-bearing deposits	100		100
Securities purchased under agreements to resell	Securities purchased under agreements to resell	3,000		2,500		500		Securities purchased under agreements to resell	7,600		3,500
Federal funds sold	Federal funds sold	2,805		1,215		1,590		Federal funds sold	1,640		2,580
Total cash and short-term investments	Total cash and short-term investments	7,268		5,627		1,641		Total cash and short-term investments	9,566		7,048

Trading securities:	Trading securities:							Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	5,817		5,095		722		U.S. Treasury obligations	4,753		3,947
Total trading securities	Total trading securities	5,817		5,095		722		Total trading securities	4,753		3,947

Other investment securities:	Other investment securities:							Other investment securities:
AFS securities:	AFS securities:							AFS securities:
U.S. Treasury obligations								U.S. Treasury obligations	1,481		—
GSE and TVA debentures	GSE and TVA debentures	2,818		3,503		(685)		GSE and TVA debentures	2,240		2,697
GSE MBS		6,481		6,642		(161)
GSE multifamily MBS								GSE multifamily MBS	6,159		6,463
Total AFS securities	Total AFS securities	9,299		10,145		(846)		Total AFS securities	9,880		9,160

HTM securities:	HTM securities:							HTM securities:

Other U.S. obligations - guaranteed MBS		2,781		2,623		158
GSE MBS		1,792		2,078		(286)
Other U.S. obligations single-family MBS								Other U.S. obligations single-family MBS	2,545		2,626
GSE single-family MBS								GSE single-family MBS	765		816
GSE multifamily MBS								GSE multifamily MBS	743		872
Total HTM securities	Total HTM securities	4,573		4,701		(128)		Total HTM securities	4,053		4,314

Total investment securities	Total investment securities	19,689		19,941		(252)		Total investment securities	18,686		17,421

Total cash and investments, carrying value	Total cash and investments, carrying value	$	26,957	$	25,568	$	1,389	Total cash and investments, carrying value	$	28,252	$	24,469

Cash and Short-Term Investments. Cash and short-term investments at ~~June 30, 2021~~March 31, 2022 totaled ~~$7.3~~$9.6 billion, an increase of ~~$1.6~~$2.5 billion, or ~~29%~~36%, from December 31, ~~2020.~~ 2021. Cash and short-term investments as a percent of total assets at March 31, 2022 and December 31, 2021 totaled 15% and 12%, respectively. The total outstanding balance and composition of our short-term investments are influenced by our liquidity needs, regulatory requirements, actual and anticipated member advance activity, market conditions and, in particular at March 31, 2022, the availability of short-term investments at attractive interest rates, relative to our cost of funds.

Trading Securities. ~~The Bank purchases~~We purchase U.S. Treasury securities as trading securities to enhance ~~its~~the Bank's liquidity. Such securities outstanding at ~~June 30, 2021~~March 31, 2022 totaled ~~$5.8~~$4.7 billion, an increase of $806 million, or 20%, from December 31, 2021. As a result, the liquidity portfolio at March 31, 2022 totaled $14.3 billion, an increase of ~~$722 million,~~$3.3 billion, or ~~14%~~30%, from December 31, ~~2020.~~2021.

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Other Investment Securities. AFS securities at ~~June 30, 2021~~March 31, 2022 totaled ~~$9.3~~$9.9 billion, a net ~~decrease~~increase of ~~$846~~$720 million, or 8%, from December 31, ~~2020.~~2021. The ~~decrease~~increase resulted from ~~changes in the fair-value hedging basis adjustments associated with these securities and~~purchases of U.S. Treasury obligations, partially offset by principal payments on ~~GSE~~Agency debentures and ~~TVA debentures.~~MBS.

Net unrealized gains on AFS securities at ~~June 30, 2021~~March 31, 2022 totaled ~~$215~~$77 million, a net ~~increase~~decrease of ~~$78~~$74 million compared to December 31, ~~2020,~~2021, primarily due to changes in interest rates, credit spreads and volatility.

HTM securities at ~~June 30, 2021~~March 31, 2022 totaled ~~$4.6~~$4.1 billion, a net decrease of ~~$128~~$261 million, or 3%6%, from December 31, ~~2020.~~ 2021. The decrease resulted from principal payments on these securities.

~~Table of Contents~~

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

June 30, 2021 December 31, 2020
Interest-Rate Payment Terms Estimated Fair Value % of Total Estimated Fair Value % of Total
Trading Securities:
U.S. Treasury obligations fixed-rate $ 5,817 100 % $ 5,095 100 %
Total trading securities $ 5,817 100 % $ 5,095 100 %
Amortized Cost % of Total Amortized Cost % of Total
AFS Securities:
Total non-MBS fixed-rate $ 2,770 30 % $ 3,463 35 %
Total MBS fixed-rate 6,314 70 % 6,545 65 %
Total AFS securities $ 9,084 100 % $ 10,008 100 %
HTM Securities:
MBS:
Fixed-rate $ 240 5 % $ 283 6 %
Variable-rate 4,333 95 % 4,418 94 %
Total MBS 4,573 100 % 4,701 100 %
Total HTM securities $ 4,573 100 % $ 4,701 100 %
Total AFS and HTM securities:
Total fixed-rate $ 9,324 68 % $ 10,291 70 %
Total variable-rate 4,333 32 % 4,418 30 %
Total AFS and HTM securities $ 13,657 100 % $ 14,709 100 %


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



Total fixed-rate trading securities	$	4,753	100	%	$	3,947	100	%

	Amortized Cost		% of Total		Amortized Cost		% of Total














AFS (1) and HTM securities:
Total fixed-rate	$	10,015	72	%	$	9,226	69	%
Total variable-rate	3,839		28	%	4,096		31	%

Total AFS and HTM securities	$	13,854	100	%	$	13,322	100	%

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

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

Total Liabilities.Total liabilities at March 31, 2022 were $59.6 billion, a net increase of $3.2 billion, or 6%, from December 31, 2021, substantially due to an increase in consolidated obligations.

Deposits (Liabilities). Total deposits at ~~June 30, 2021~~March 31, 2022 were ~~$1.6~~$1.2 billion, a net ~~increase~~decrease of ~~$223~~$129 million, or ~~16%~~9%, from December 31, ~~2020.~~2021. These deposits ~~represent~~provide a relatively small portion of our funding. The balances of these accounts can fluctuate from period to period and vary depending upon such factors as the attractiveness of our deposit pricing relative to the rates available on alternative money market instruments, members' preferences with respect to the maturity of their investments, and members' liquidity.

Consolidated Obligations. The overall balance of our consolidated obligations fluctuates in relation to our total assets and the availability of alternative sources of funds. The carrying value of consolidated obligations outstanding at ~~June 30, 2021~~March 31, 2022 totaled ~~$56.8~~$57.8 billion, a net ~~decrease~~increase of ~~$3.1~~$3.3 billion, or 5%6%, from December 31, ~~2020. Such decrease~~2021, which reflected increased funding needs associated with the net ~~decrease~~increase in the Bank's total assets.

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
By Term	By Term	Par Value		% of Total		Par Value		% of Total		By Term	Par Value		% of Total		Par Value		% of Total
Consolidated obligations due in 1 year or less:	Consolidated obligations due in 1 year or less:									Consolidated obligations due in 1 year or less:
Discount notes	Discount notes	$	14,446	25	%	$	16,620	28	%	Discount notes	$	18,178	31	%	$	12,118	22	%
CO bonds	CO bonds	21,345		38	%	31,127		52	%	CO bonds	10,574		18	%	14,357		26	%
Total due in 1 year or less	Total due in 1 year or less	35,791		63	%	47,747		80	%	Total due in 1 year or less	28,752		49	%	26,475		48	%
Long-term CO bonds	Long-term CO bonds	21,001		37	%	12,119		20	%	Long-term CO bonds	30,150		51	%	28,193		52	%

Total consolidated obligations	Total consolidated obligations	$	56,792	100	%	$	59,866	100	%	Total consolidated obligations	$	58,902	100	%	$	54,668	100	%

The ~~percentage~~mix of ~~consolidated obligations~~our funding due in 1 year or less ~~decreased from 80% at December 31, 2020 to 63% at June 30, 2021~~changed as ~~the Bank took advantage of market opportunities to replace maturing short-term debt with long-term callable debt at favorable terms. As a result, long-term~~discount notes increased and CO bonds ~~increased from 20% of total consolidated obligations at December 31, 2020 to 37% at June 30, 2021.~~decreased. We continue to seek to maintain a sufficient liquidity and funding balance between our financial assets and financial liabilities.

Derivatives. The volume of derivative hedges is often expressed in terms of notional amounts, which is the amount upon which interest payments are calculated. The following table presents the notional amounts by type of hedged item regardless of whether it is in a qualifying hedge relationship ($ amounts in millions).


Hedged Item	Hedged Item	June 30, 2021		December 31, 2020		Hedged Item	March 31, 2022		December 31, 2021
Advances	Advances	$	15,330	$	16,573	Advances	$	22,450	$	21,084
Investments	Investments	15,140		15,035		Investments	15,553		13,356
Mortgage loans		282		361
Mortgage loans MDCs						Mortgage loans MDCs	180		194
CO bonds	CO bonds	21,163		17,473		CO bonds	25,838		21,177
Discount notes		1,600		950

Total notional	Total notional	$	53,515	$	50,392	Total notional	$	64,021	$	55,811

The increase in the total notional amount during the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 of ~~$3.1~~$8.2 billion, or 6%15%, was substantially due to an increase in derivatives hedging investments, driven primarily by the purchase of AFS Treasury securities, and CO bonds, driven primarily by ~~the~~an increase in long-term callable CO bonds outstanding.

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


June 30, 2021		Advances		Investments		CO Bonds		Total
March 31, 2022										March 31, 2022	Advances		AFS Securities		CO Bonds		Total
Cumulative fair-value hedging basis adjustments on hedged items	Cumulative fair-value hedging basis adjustments on hedged items	$	394	$	348	$	62	$	804	Cumulative fair-value hedging basis adjustments on hedged items	$	(195)	$	(288)	$	1,143	$	660
Estimated fair value of associated derivatives, net	Estimated fair value of associated derivatives, net	(388)		(75)		(57)		(520)		Estimated fair value of associated derivatives, net	199		596		(1,149)		(354)

Net cumulative fair-value hedging basis adjustments	Net cumulative fair-value hedging basis adjustments	$	6	$	273	$	5	$	284	Net cumulative fair-value hedging basis adjustments	$	4	$	308	$	(6)	$	306

The large amount of net cumulative basis adjustments on AFS securities resulted substantially from re-hedging our MBS DUS portfolio in 2020 - 2021 as part of our transition from LIBOR. These amounts will continue to be amortized over the lives of the financial instruments.

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Total Capital. Total capital at March 31, 2022 was $3.4 billion, a net decrease of $183 million, or 5%, from December 31, 2021, primarily due to repurchases of capital stock.

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


Components	Components	June 30, 2021		December 31, 2020		Components	March 31, 2022		December 31, 2021
Capital stock	Capital stock	63	%	64	%	Capital stock	63	%	63	%
Retained earnings	Retained earnings	32	%	33	%	Retained earnings	35	%	33	%
AOCI	AOCI	5	%	3	%	AOCI	2	%	4	%
Total GAAP capital	Total GAAP capital	100	%	100	%	Total GAAP capital	100	%	100	%

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

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


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

Total GAAP capital	Total GAAP capital	$	3,584	$	3,450	Total GAAP capital	$	3,373	$	3,556
Exclude: AOCI	Exclude: AOCI	(193)		(105)		Exclude: AOCI	(59)		(133)
Add: MRCS	Add: MRCS	233		251		Add: MRCS	46		50
Total regulatory capital	Total regulatory capital	$	3,624	$	3,596	Total regulatory capital	$	3,360	$	3,473

Liquidity and Capital Resources

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

Our cash and short-term investments at ~~June 30, 2021~~March 31, 2022 totaled ~~$7.3~~$9.6 billion. Our short-term investments generally consist of high-quality financial instruments, many of which mature overnight. Our trading securities at ~~June 30, 2021~~March 31, 2022 totaled ~~$5.8~~$4.7 billion and consisted solely of U.S. Treasury securities. As a result, our liquidity portfolio at ~~June 30, 2021~~March 31, 2022 totaled ~~$13.1~~$14.3 billion, or ~~21%~~23% of total assets. The level of our liquidity fluctuates and is influenced by regulatory requirements, actual and anticipated member advance activity and market conditions and opportunities.

During the ~~six~~three months ended ~~June 30, 2021,~~March 31, 2022, we maintained sufficient access to funding; our net proceeds from the issuance of consolidated obligations totaled ~~$107.3~~$119.2 billion.

Changes in Cash Flow. Net cash provided by operating activities for the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 was ~~$154~~$559 million, compared to net cash ~~used in~~provided by operating activities for the ~~six~~three months ended ~~June 30, 2020~~March 31, 2021 of ~~$503~~$240 million. The net ~~increase~~change in cash provided by operating activities of ~~$657~~$319 million was substantially due to the fluctuation in variation margin payments on cleared derivatives. Such payments are treated by the clearinghouses as daily settled contracts.

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Capital Resources.

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


		June 30, 2021				December 31, 2020					March 31, 2022				December 31, 2021
By Type of Member Institution	By Type of Member Institution	Amount		% of Total		Amount		% of Total		By Type of Member Institution	Amount		% of Total		Amount		% of Total
Capital Stock:	Capital Stock:									Capital Stock:
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions	Commercial banks and savings institutions	$	1,119	45	%	$	1,108	45	%	Commercial banks and savings institutions	$	1,046	48	%	$	1,126	49	%
Credit unions	Credit unions	301		12	%	298		12	%	Credit unions	288		13	%	309		13	%
Total depository institutions	Total depository institutions	1,420		57	%	1,406		57	%	Total depository institutions	1,334		61	%	1,435		62	%
Insurance companies	Insurance companies	814		33	%	802		33	%	Insurance companies	788		36	%	811		35	%
CDFIs	CDFIs	—		—	%	—		—	%	CDFIs	—		—	%	—		—	%
Total capital stock, putable at par value	Total capital stock, putable at par value	2,234		90	%	2,208		90	%	Total capital stock, putable at par value	2,122		97	%	2,246		97	%

MRCS:	MRCS:									MRCS:
Captive insurance companies (1)	Captive insurance companies (1)	13		1	%	31		1	%	Captive insurance companies (1)	12		1	%	12		1	%
Former members		220		9	%	220		9	%
Other former members										Other former members	34		2	%	38		2	%

Total MRCS	Total MRCS	233		10	%	251		10	%	Total MRCS	46		3	%	50		3	%

Total regulatory capital stock	Total regulatory capital stock	$	2,467	100	%	$	2,459	100	%	Total regulatory capital stock	$	2,168	100	%	$	2,296	100	%

(1) Represents captive insurance companies whose membership was terminated on February 19, 2021. On that date, we repurchased their excess stock of ~~$18.1~~$18 million. The remaining balance will not be redeemed until the associated credit products and other obligations are no longer outstanding.

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


Components	Components	June 30, 2021			December 31, 2020			Components	March 31, 2022			December 31, 2021
Member capital stock not subject to outstanding redemption requests	Member capital stock not subject to outstanding redemption requests	$	822		$	605		Member capital stock not subject to outstanding redemption requests	$	705		$	798
Member capital stock subject to outstanding redemption requests	Member capital stock subject to outstanding redemption requests	18			—			Member capital stock subject to outstanding redemption requests	—			14
MRCS	MRCS	209			225			MRCS	23			28

Total excess capital stock	Total excess capital stock	$	1,049		$	830		Total excess capital stock	$	728		$	840

Excess stock as a percentage of regulatory capital stock	Excess stock as a percentage of regulatory capital stock	43		%	34		%	Excess stock as a percentage of regulatory capital stock	34		%	37		%

The ~~increase~~decrease in excess stock during the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 resulted from ~~advance activity.~~

~~Finance Agency rules limit the ability of an FHLBank~~repurchases totaling $167 million to ~~pay dividends in the form of additional shares of~~comply with our capital stock or otherwise issue excess stock under certain circumstances, including when its total excess stock exceeds 1% of total assets or if the issuance of excess stock would cause total excess stock to exceed 1% of total assets. Our excess stock at June 30, 2021 was 1.67% of our total assets. Therefore,plan as a result of ~~these~~our regulatory ~~limitations, we are currently not permitted to distribute stock dividends or issue excess stock to our members, should we choose to do so.~~capital ratio exceeding 6.0% at January 31, 2022.

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

~~In addition, we expect to repurchase up to $11.3 million par value of excess stock subject to outstanding redemption requests on or about September 2, 2021.~~

~~Table of Contents~~

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


	Three Months Ended March 31,
		2022		2021
Weighted-average dividend rate (1)		2.31	%	2.50	%
Dividend payout ratio (2)		45.46	%	46.70	%

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

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

On ~~July 29, 2021,~~April 28, 2022, our board of directors declared a cash dividend on Class B-2 activity-based stock at an annualized rate of ~~3.25%~~3.50% and on Class B-1 non-activity-based stock at an annualized rate of 1.00%, resulting in a spread between the rates of 2.50 percentage points. The overall weighted-average annualized rate paid was 2.47%. The dividends were paid in cash on ~~July 30, 2021.~~April 29, 2022.

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Adequacy of Capital. We must maintain sufficient permanent capital to meet the combined credit risk, market risk and operations risk components of the risk-based capital requirement. ~~As presented in the~~The following table presents our ~~we were in compliance with the~~ risk-based capital requirement in relation to our permanent capital at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 ($ amounts in millions).


Risk-Based Capital Components	Risk-Based Capital Components	June 30, 2021		December 31, 2020		Risk-Based Capital Components	March 31, 2022		December 31, 2021
Credit risk	Credit risk	$	153	$	158	Credit risk	$	170	$	155
Market risk	Market risk	384		327		Market risk	714		684
Operations risk		161		146
Operational risk						Operational risk	265		252

Total risk-based capital requirement	Total risk-based capital requirement	$	698	$	631	Total risk-based capital requirement	$	1,149	$	1,091

Permanent capital	Permanent capital	$	3,624	$	3,596	Permanent capital	$	3,360	$	3,473

The increase in our total risk-based capital requirement was primarily caused by an increase in the market risk component due to changes in the market environment, including changes in interest rates, ~~and option adjusted~~CO bond-swap basis, volatility, option-adjusted spreads and ~~changes in~~balance sheet composition. The operational risk component is calculated as 30% of the ~~composition of our balance sheet.~~ credit and market risk components. Our permanent capital at ~~June 30, 2021~~March 31, 2022 remained well in excess of our total risk-based capital requirement.

~~Off-Balance Sheet Arrangements~~

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

Critical Accounting ~~Policies and~~ Estimates

A full discussion of our critical accounting ~~policies and~~ estimates is included in Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies and Estimates in our ~~2020~~2021 Form 10-K.

Recent Accounting and Regulatory Developments

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

Legislative and Regulatory Developments.

Adjustable Interest Rate (LIBOR) Act. On March 15, 2022, President Biden signed into law the Economic Continuity and Stability Act, which act includes the Adjustable Interest Rate (LIBOR) Act (the "LIBOR Act"). The LIBOR ~~Transition.~~Act addresses certain issues of contractual uncertainty arising from the phase out of the publication of LIBOR. The LIBOR Act provides a national, uniform approach to legacy contracts with inadequate or unworkable fallback provisions commencing from the LIBOR replacement date. The LIBOR replacement date is the first London banking date after June 30, 2023 or such other date as the Federal Reserve Board may designate. For relevant contracts, the LIBOR Act will automatically impose a rate selected by the Federal Reserve Board based upon SOFR including any applicable tenor spread adjustment. The legislation also includes a safe harbor against liability for parties with contractual discretion who choose the Federal Reserve Board's SOFR-based rate to replace LIBOR. Notwithstanding enactment of the LIBOR Act, the contractual consequences of LIBOR cessation for some existing LIBOR-indexed instruments may still be unclear. Accordingly, we continue to take steps to mitigate the risks that arise from the phase out of LIBOR, as discussed in Item 3. Quantitative and Qualitative Disclosures about Market Risk - Replacement of the LIBOR Benchmark Interest Rate.

~~2021 ISDA Interest Rate Derivatives Definitions~~Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions.. On ~~June 11, 2021, ISDA published 2021 ISDA Interest Rate Derivatives Definitions ("2021 ISDA Definitions"),~~February 25, 2022, FINRA extended the implementation date of its amendments to FINRA Rule 4210 delaying the effectiveness of margining requirements for covered agency transactions until October 26, 2022. Once the margining requirements are effective, we may be required to collateralize our transactions that are covered agency transactions, which ~~will update and consolidate~~include TBAs. These collateralization requirements could have the ~~frequently supplemented 2006 ISDA Definitions as~~effect of reducing the ~~standard definitions for cleared and uncleared interest rate derivatives. The 2021 ISDA Definitions incorporate prior supplements~~overall profitability of engaging in covered agency transactions, including TBAs. Further, any collateralization requirements would expose the Bank to ~~the 2006 ISDA Definitions in addition~~credit risk from our counterparties to other changes made to conform to updates in market practice and regulation. Both the 2006 ISDA Definitions as supplemented effective January 25, 2021, and the 2021 ISDA Definitions contain ISDA-recommended fallbacks for interest rate derivatives referencing an Interbank Offered Rate, including U.S. Dollar LIBOR. ISDA has announced that implementation of the 2021 ISDA Definitions is expected to take place for clearing houses, trading venues and other market infrastructures between October 1-4, 2021. While the FHLBanks may continue to use the current 2006 ISDA Definitions, ISDA will not incorporate any further supplements following implementation of the 2021 ISDA Definitions.such transactions.

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Proposed SEC Rule on Climate-Related Disclosures.

~~The Bank is considering using~~ On March 21, 2022, the ~~2021 ISDA Definitions for future derivatives transactions,~~SEC issued a proposed rule on climate-related disclosures that would require us to expand the breadth, specificity and ~~does not expect~~rigor of climate-related disclosures in the ~~implementation of~~Bank's periodic reports. More specifically, the ~~2021 ISDA Definitions~~proposed rule would require us to ~~have a material effect on its results of operations or financial condition.~~

~~COVID-19 Developments.~~

~~Federal Reserve Extension of Paycheck Protection Program Liquidity Facility~~. On June 25, 2021, the Federal Reserve announced a final extension of its Paycheck Protection Program Liquidity Facility ("PPPLF") by an additional month to July 30, 2021. The PPPLF provides collateralized Paycheck Protection Program ("PPP") loan liquidity to eligible Federal Reserve member financial institutions to facilitate PPP loan originations at such financial institutions. The extension allowed additional processing time for banks, community development financial institutions, and other financial institutions to pledge to the facility any PPP loans approved by the SBA through the June 30, 2021 expiration of the PPP program.disclose our:

~~Additional COVID-19 Presidential, Legislative~~•direct ("Scope One") and ~~Regulatory Developments.~~ certain indirect ("Scope Two") greenhouse gas emissions;

•~~In light~~indirect greenhouse gas emissions ("Scope Three") that are not within Scope Two if such emissions are material or if we set a target that includes Scope Three;

•climate transition plan, climate-related targets and progress toward such plan or targets;

•climate-related risks over short, medium and long-term horizons and their impacts on our business;

•climate-related risks in qualitative and quantitative terms in the notes to our audited financial statements, with information required to be presented on a disaggregated basis if the aggregated impact is 1% or more of the ~~COVID-19 pandemic, the former~~total line item; and ~~current Presidents~~

•corporate governance of ~~the United States, through executive orders, governmental agencies, including the SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC, Centers for Disease Control~~climate-related risks and Prevention, and the Finance Agency, as well as state governments and agencies, have taken, and may continue to take, actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, and the Congress has and may continue to enact pandemic relief legislation, some of which may have a direct or indirect impact on the Bank or its members. Many of these actions are temporary in nature. The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.risk management processes.

~~Affordable Housing~~Compliance would be phased in with us becoming subject to all non-Scope Three disclosure requirements for the Bank's annual report for 2024 and ~~Community Investment.~~Scope Three disclosure requirements for the Bank's annual report for 2025.

~~Legislation has been introduced~~

The proposed rule would result in a significant increase in the ~~U.S. Senate~~cost and ~~House~~complexity of ~~Representatives~~our SEC reporting. While we are unable to quantify the anticipated costs at this time, we anticipate that ~~if enacted~~compliance would involve extensive efforts with considerable operational burdens impacting every level of our business and associated costs. Such efforts would likely entail significant:

•advance, multi-year planning with the close involvement and continuing oversight of the board of directors and senior management;

•interdisciplinary cooperation in ~~its~~implementing and maintaining the necessary data collection procedures, including from third parties in the Bank's value chain; and

•costs to add the necessary resources both in terms of human capital and systems.

We are unable to predict:

•whether the SEC will finalize the proposed ~~form,~~rule;

•the extent to which any final rule will conform with or deviate from the requirements of the proposed rule; and

•whether, when or the extent to which we would ~~require that the FHLBanks set aside higher percentages of their earnings, and higher annual minimum amounts, for their affordable housing and community investment programs than is currently~~be required ~~under law. The FHLBanks are actively monitoring these proposals.~~to comply with any final rule.

Risk Management

We have exposure to a number of risks in pursuing our business objectives. These risks may be broadly classified as market, credit, liquidity, operational, and business. Market risk is discussed in Item 3. Quantitative and Qualitative Disclosures about Market Risk. For more information, see Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations - Risk Management in our ~~2020~~2021 Form 10-K.

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

Advances and Other Credit Products.

Concentration.Our credit risk is magnified due to the concentration of advances in a few borrowers. As of ~~June 30, 2021,~~March 31, 2022, our top borrower held ~~13%~~14% of total advances outstanding, at par, and our top five borrowers held ~~42%~~43% of total advances outstanding, at par. As a result of this concentration, we perform frequent credit and collateral reviews on our largest borrowers.

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

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


June 30, 2021		AA		A		Total
March 31, 2022								March 31, 2022	AA		A		Total
Domestic	Domestic	$	—	$	100	$	100	Domestic	$	—	$	100	$	100
Australia	Australia	960		—		960		Australia	875		—		875
Canada	Canada	—		1,230		1,230		Canada	—		765		765

Netherlands		—		615		615

Total unsecured credit exposure	Total unsecured credit exposure	$	960	$	1,945	$	2,905	Total unsecured credit exposure	$	875	$	865	$	1,740

A Finance Agency regulation provides that the total amount of our investments in MBS, ~~and ABS,~~ calculated using amortized historical cost excluding the impact of certain derivatives adjustments, must not exceed 300% of our total regulatory capital, as of the day we purchase the securities, based on the capital amount most recently reported to the Finance Agency. ~~At June 30, 2021,~~If our outstanding investments in MBS exceed the limitation at any time, but were in compliance at the time we purchased the investments, we would not be considered out of compliance with the regulation, but we would not be permitted to purchase additional investments in MBS until these outstanding investments ~~totaled 294% of total regulatory capital.~~were within the limitation. Generally, our goal is to maintain these investments near the 300% limit in order to enhance earnings and capital for our members and diversify our revenue stream. However, when our ratio exceeds 300%, as it did on March 31, 2022, the opportunity to further enhance our earnings will not be available until we are again permitted to purchase these investments.

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

Below
Investment
June 30, 2021 AAA AA A BBB Grade
Total
Short-term investments:
Interest-bearing deposits $ — $ — $ 100 $ — $ — $ 100
Securities purchased under agreements to resell — 3,000 — — — 3,000
Federal funds sold — 960 1,845 — — 2,805
Total short-term investments — 3,960 1,945 — — 5,905
Trading securities:
U.S. Treasury obligations — 5,817 — — — 5,817
Total trading securities — 5,817 — — — 5,817
Other investment securities:
GSE and TVA debentures — 2,818 — — — 2,818
GSE MBS — 8,273 — — — 8,273
Other U.S. obligations - guaranteed RMBS — 2,781 — — — 2,781
Total other investment securities — 13,872 — — — 13,872
Total investments, carrying value $ — $ 23,649 $ 1,945 $ — $ — $ 25,594
Percentage of total — % 92 % 8 % — % — % 100 %


March 31, 2022	AA			A			Total
Short-term investments:
Interest-bearing deposits	$	—		$	100		$	100
Securities purchased under agreements to resell	7,600			—			7,600
Federal funds sold	875			765			1,640
Total short-term investments	8,475			865			9,340

Trading securities:
U.S. Treasury obligations	4,753			—			4,753
Total trading securities	4,753			—			4,753

Other investment securities:
U.S. Treasury obligations	1,481			—			1,481
GSE and TVA debentures	2,240			—			2,240
GSE MBS	7,667			—			7,667
Other U.S. obligations - guaranteed RMBS	2,545			—			2,545
Total other investment securities	13,933			—			13,933

Total investments, carrying value	$	27,161		$	865		$	28,026

Percentage of total	97		%	3		%	100		%

~~Table of Contents~~

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

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

Three Months Ended June 30, 2021
LRA Activity Original Advantage Total
Liability, beginning of period $ 4 $ 210 $ 214
Additions — 6 6
Claims paid — — —
Distributions to PFIs — — —
Liability, end of period $ 4 $ 216 $ 220

Six Months Ended June 30, 2021
LRA Activity Original Advantage Total
Liability, beginning of period $ 4 $ 203 $ 207
Additions — 13 13
Claims paid — — —
Distributions to PFIs — — —
Liability, end of period $ 4 $ 216 $ 220

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


June 30, 2021		Notional Amount		Net Estimated Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure
March 31, 2022										March 31, 2022	Notional Amount		Net Estimated Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure
Non-member counterparties:	Non-member counterparties:									Non-member counterparties:
Asset positions with credit exposure	Asset positions with credit exposure									Asset positions with credit exposure

Uncleared derivatives - A	Uncleared derivatives - A	$	119	$	—	$	—	$	—	Uncleared derivatives - A	$	91	$	2	$	—	$	2
Uncleared derivatives - BBB										Uncleared derivatives - BBB	5		—		—		—

Cleared derivatives (1)		13,772		1		96		97
Liability positions with credit exposure	Liability positions with credit exposure									Liability positions with credit exposure
Uncleared derivatives - AA		200		(13)		13		—

Uncleared derivatives - A	Uncleared derivatives - A	8,264		(136)		136		—		Uncleared derivatives - A	24,369		(732)		747		15

Uncleared derivatives - BBB										Uncleared derivatives - BBB	3,314		(82)		84		2
Cleared derivatives (1)	Cleared derivatives (1)	14,050		(8)		148		140		Cleared derivatives (1)	26,517		(15)		267		252
Total derivative positions with credit exposure to non-member counterparties	Total derivative positions with credit exposure to non-member counterparties	36,405		(156)		393		237		Total derivative positions with credit exposure to non-member counterparties	54,296		(827)		1,098		271
Total derivative positions with credit exposure to member institutions (2)	Total derivative positions with credit exposure to member institutions (2)	71		—		—		—		Total derivative positions with credit exposure to member institutions (2)	16		—		—		—
Subtotal - derivative positions with credit exposure	Subtotal - derivative positions with credit exposure	36,476		$	(156)	$	393	$	237	Subtotal - derivative positions with credit exposure	54,312		$	(827)	$	1,098	$	271
Derivative positions without credit exposure	Derivative positions without credit exposure	17,039								Derivative positions without credit exposure	9,709

Total derivative positions	Total derivative positions	$	53,515							Total derivative positions	$	64,021

(1) Represents derivative transactions cleared by two clearinghouses (one rated AA- and the other unrated). The net exposure to the clearinghouse rated AA- is $247 million. The net exposure to the unrated clearinghouse is $5 million.

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

Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Measuring Market Risks

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

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

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

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

~~Table of Contents~~

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


June 30, 2021		Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
March 31, 2022																	March 31, 2022	Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
MVE	MVE	$	3,860		$	3,773		$	3,753		$	3,769		$	3,754		MVE	$	3,271		$	3,272		$	3,275		$	3,250		$	3,219
Percent change in MVE from base	Percent change in MVE from base	2.8		%	0.5		%	—		%	0.4		%	—		%	Percent change in MVE from base	(0.1)		%	(0.1)		%	—		%	(0.8)		%	(1.7)		%
MVE/book value of equity	MVE/book value of equity	101.1		%	98.8		%	98.3		%	98.8		%	98.4		%	MVE/book value of equity	95.7		%	95.7		%	95.8		%	95.1		%	94.2		%
Duration of equity	Duration of equity	1.1			1.6			(0.1)			(0.1)			0.9			Duration of equity	2.8			(0.7)			0.5			0.9			0.9


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

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

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The changes in those key metrics from December 31, ~~2020~~2021 resulted primarily from the change in market value of the Bank's assets and liabilities in response to changes in the market environment, changes in portfolio composition, upgrading the prepayment model and our hedging strategies.

Duration Gap. The base case duration gap ~~was (0.04)% and 0.01%~~ at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021 was (0.01)% and (0.11)% , respectively.

For information about our use of derivative hedges, see Item 7A. Quantitative and Qualitative Disclosures About Market Risk - Use of Derivative Hedges in our ~~2020~~2021 Form 10-K.

Replacement of the LIBOR Benchmark Interest Rate

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

~~Most~~recommended by the Alternative Reference Rates Committee, for our relevant products, services and financial instruments. Since 2018, market activity in SOFR-linked financial instruments has continued to develop; however, the market transition from LIBOR to SOFR or another alternate reference rate has been complicated, including the development of ~~our~~term and credit adjustments to accommodate differences between LIBOR and SOFR or any other alternate reference rate as well as other market conventions. In addition, the overnight Treasury repurchase market underlying SOFR has experienced disruptions from time to time, which has resulted in unexpected fluctuations in SOFR. The introduction of alternate reference rates also creates challenges in hedging and asset-liability management and additional basis risk and increased volatility. While market activity in SOFR- linked financial instruments has continued to develop, the progress has been uneven. Further, a robust member demand for SOFR-linked advances ~~investments, CO bonds, derivative assets, derivative liabilities, and related collateral are directly or indirectly indexed~~has yet to ~~LIBOR. Some of these assets and liabilities and related collateral have maturity dates that extend beyond the date in which the applicable LIBOR setting ceases to be provided or to be representative.~~develop.

We continue to implement our transition plan that has reduced our exposure to the transition and has the flexibility to evolve with market developments and standards, member needs, and guidance provided by the issuers of Agency securities. As a result, we do not expect the complete transition by June 30, 2023 to have a material adverse impact on the Bank's business, results of operations or financial condition.

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

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

LIBOR-Indexed Financial Instruments Year of Maturity
June 30, 2021 2021 2022 Through June 30, 2023 Thereafter Total
Assets:
Advances, par value (1)
$ — $ 277 $ 93 $ 2,344 $ 2,714
Mortgage-backed securities, par value (2)
— — — 3,096 3,096
Total $ — $ 277 $ 93 $ 5,440 $ 5,810
Interest-rate swaps - receive leg, notional (2):
Cleared $ 277 $ 1,452 $ 770 $ 4,195 $ 6,694
Uncleared 95 320 316 7,261 7,992
Total $ 372 $ 1,772 $ 1,086 $ 11,456 $ 14,686
Liabilities:
CO bonds, par value (2)
$ 1,950 $ — $ — $ — $ 1,950
Interest-rate swaps - pay leg, notional (2):
Cleared $ 7,997 $ 234 $ 200 $ — $ 8,431
Uncleared 2,650 — — 69 2,719
Total $ 10,647 $ 234 $ 200 $ 69 $ 11,150
Other derivatives, notional:
Interest-rate caps held (2)
$ — $ 15 $ — $ 611 $ 626


LIBOR-Indexed Financial Instruments	Year of Maturity
March 31, 2022	2022		Through June 30, 2023		Thereafter		Total		% of Total Outstanding
Assets:
Advances, par value (1)	$	124	$	48	$	2,249	$	2,421	9	%
MBS, par value (2)	—		—		2,495		2,495		25	%
Total	$	124	$	48	$	4,744	$	4,916

Interest-rate swaps - receive leg, notional (2):
Cleared	$	1,046	$	767	$	2,320	$	4,133	16	%
Uncleared	105		314		5,570		5,989		16	%
Total	$	1,151	$	1,081	$	7,890	$	10,122

Liabilities:


Interest-rate swaps - pay leg, notional (2):
Cleared	$	2,930	$	2,200	$	300	$	5,430	20	%

Total	$	2,930	$	2,200	$	300	$	5,430

Other derivatives, notional:
Interest-rate caps held (2)	$	15	$	—	$	611	$	626	100	%


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

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

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

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

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

Other derivatives, notional:	Other derivatives, notional:											Other derivatives, notional:
Interest-rate caps held (2)	Interest-rate caps held (2)	$	—	$	15	$	—	$	611	$	626	Interest-rate caps held (2)	$	15	$	—	$	611	$	626	100	%

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

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

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Item 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

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

As of ~~June 30, 2021,~~March 31, 2022, we conducted an evaluation, under the supervision and with the participation of our management, including our Chief Executive Officer (the principal executive officer), Chief Financial Officer (the principal financial officer) and Chief Accounting Officer (the principal accounting officer), of the effectiveness of the design and operation of our disclosure controls and procedures pursuant to Rule 13a-15 of the Exchange Act. In making this evaluation, weour management used the criteria established in Internal Control — Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on that evaluation, our Chief Executive Officer, Chief Financial Officer and Chief Accounting Officer concluded that our disclosure controls and procedures were effective as of ~~June 30, 2021.~~March 31, 2022.

Internal Control Over Financial Reporting

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

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

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Part II. OTHER INFORMATION

Item 1. LEGAL PROCEEDINGS

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

~~Table of Contents~~

Item 1A. RISK FACTORS

~~Except as noted below, th~~There have been no material changes in the risk factors described in Item 1A. Risk Factors of our ~~2020~~2021 Form 10-K.

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

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

On April 26, 2021, Flagstar Bancorp, Inc., the parent company of Flagstar Bank, FSB ("Flagstar"), historically one of our largest and most active borrowers, announced it had reached an agreement to merge with another institution and, pursuant to the agreement, Flagstar would merge with a non-member depository. At June 30, 2021, Flagstar had advances outsta~~nding totaling $2.6 billion or 10% of the~~ Bank's total advances outstanding, at par. Flagstar has not been an active PFI seller since 2011. The parties have stated that they currently expect that the Flagstar parent company merger will close early in the fourth quarter of 2021, with Flagstar's merger expected to close thereafter. On the effective date of the Flagstar merger, the successor bank would not be eligible for membership in our Bank. As a result, as with any loss of a large borrower, the consummation of the expected Flagstar merger could have a material adverse effect upon our future results of operations and financial condition.

As the financial industry continues to consolidate into a smaller number of institutions, this could lead to further loss of large members and a related decrease in our membership and significant loss of business. Our largest borrower had advances outstanding at June 30, 2021 totaling ~~$3.6 billion, or~~ ~~13%~~ of the Bank's total advances outstanding, at par. If advances are concentrated in a smaller number of members, our risk of loss resulting from a single event could become greater. Loss of other large advance borrowers, without replacement of such advances by existing or new members, would be expected to reduce our interest income and profitability accordingly.

~~During the six months ended June 30, 2021, our top-selling PFI sold us mortgage loans totaling $152 million, or 14% of the total mortgage loans purchased by the Bank.~~ Our larger PFIs originate mortgages on properties in several states. We also purchase mortgage loans from many smaller PFIs that predominantly originate mortgage loans on properties in Michigan and Indiana. Our concentration of MPP loans on properties in Michigan and Indiana could continue to increase over time, as we do not currently limit such concentration.

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

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

~~Table of Contents~~

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

Not applicable.

Item 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

Item 5. OTHER INFORMATION

None.

~~Table of Contents~~

Item 6. EXHIBITS

~~EXHIBIT INDEX~~Exhibit Index


Exhibit Number						Description

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

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

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

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

10.2*						~~Severance and Release Agreement, dated~~ April 2, 2021, between Federal Home Loan Bank of Indianapolis and William D. Miller, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K/A (Commission File No. 00051404) filed on April 7, 2021

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

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

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

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

101.INS						XBRL Instance Document

101.SCH						XBRL Taxonomy Extension Schema Document

101.CAL						XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB						XBRL Taxonomy Extension Label Linkbase Document

101.PRE						XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF						XBRL Taxonomy Extension Definition Linkbase Document

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

* These documents are incorporated by reference.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


	FEDERAL HOME LOAN BANK OF INDIANAPOLIS

~~August 11, 2021~~	~~By:~~	~~/s/ CINDY L. KONICH~~
	~~Name:~~	~~Cindy L. Konich~~
	~~Title:~~	~~President - Chief Executive Officer~~

~~August 11, 2021~~	~~By:~~	~~/s/ GREGORY L. TEARE~~
	~~Name:~~	~~Gregory L. Teare~~
	~~Title:~~	~~Executive Vice President - Chief Financial Officer~~

~~August 11, 2021~~May 12, 2022	By:	/s/ K. LOWELL SHORT, JR.
	Name:	K. Lowell Short, Jr.
	Title:	Senior Vice President - Chief Accounting Officer

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

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

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

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



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





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

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

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

Total comprehensive income				10,559		2,640		13,199		76,639		89,838

Proceeds from issuance of capital stock	1,092	109,212										109,212



Shares reclassified to mandatorily redeemable capital stock, net	(131)	(13,115)										(13,115)

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



Cash dividends on capital stock (4.00% annualized)				(19,946)		—		(19,946)				(19,946)

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


	Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Overdrawn demand and overnight deposit accounts	$	611	$	0	$	611	$	0
Due in 1 year or less	12,951,619		15,296,034		12,453,912		14,645,076
Due after 1 year through 2 years	2,238,251		1,797,049		3,425,246		3,107,339
Due after 2 years through 3 years	2,224,234		2,440,024		3,859,734		3,160,729
Due after 3 years through 4 years	1,961,112		2,246,102		2,405,062		3,824,603
Due after 4 years through 5 years	1,548,716		2,076,839		2,029,066		2,585,439
Thereafter	6,303,963		6,834,811		3,054,875		3,367,673
Total advances, par value	$	27,228,506	$	30,690,859	$	27,228,506	$	30,690,859


Product	June 30, 2021		December 31, 2020
MPP	$	7,431,687	$	8,163,902
MPF Program	124,715		158,664
Total mortgage loans held for portfolio, UPB	$	7,556,402	$	8,322,566


	Three Months Ended June 30,				Six Months Ended June 30,
LRA Activity	2021		2020		2021		2020
Liability, beginning of period	$	214,264	$	190,280	$	207,305	$	186,585
Additions	6,247		8,060		13,364		12,314
Claims paid	(31)		(196)		(65)		(241)
Distributions to PFIs	(419)		(1,491)		(543)		(2,005)
Liability, end of period	$	220,061	$	196,653	$	220,061	$	196,653


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


Components of Allowance	June 30, 2021		December 31, 2020
MPP expected losses remaining after borrower's equity, before credit enhancements	$	3,649	$	10,305
Portion of expected losses recoverable from credit enhancements:
PMI	(976)		(2,277)
LRA (1)	(1,767)		(6,847)
SMI	(688)		(963)
Total portion recoverable from credit enhancements	(3,431)		(10,087)
Allowance for unrecoverable PMI/SMI	32		32
Allowance for MPP credit losses	250		250
Allowance for MPF Program credit losses	75		100
Allowance for credit losses	$	325	$	350



Three Months Ended June 30, 2020
Changes in estimated fair value:
Hedged items (attributable to risk being hedged)	$	6,442	$	40,745	$	25,337	$	72,524
Derivatives	(23,345)		(57,079)		(10,892)		(91,316)
Net changes in estimated fair value before price alignment interest	(16,903)		(16,334)		14,445		(18,792)
Price alignment interest (1)	56		44		(5)		95
Net interest settlements on derivatives (2)	(28,409)		(27,997)		18,778		(37,628)
Amortization/accretion of gains (losses) on active hedging relationships	(7)		337		783		1,113
Net gains (losses) on qualifying fair-value hedging relationships	(45,263)		(43,950)		34,001		(55,212)
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships	0		0		0		0
Net gains (losses) on derivatives and hedging activities in net interest income (3)	$	(45,263)	$	(43,950)	$	34,001	$	(55,212)



	Three Months Ended June 30,				Six Months Ended June 30,
Loans to other FHLBanks	2021		2020		2021		2020
Principal repayments	$	10,000	$	10,000	$	20,000	$	20,000
Disbursements	(10,000)		(10,000)		(20,000)		(20,000)


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

Discount notes	14,445			17,573			16,617			19,462			28,234
CO bonds	42,363			42,794			43,333			41,148			36,973
Total consolidated obligations	56,808			60,367			59,950			60,610			65,207

MRCS	233			233			251			262			300

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

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

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

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

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


	June 30, 2021				December 31, 2020
Product Type	UPB		% of Total		UPB		% of Total
MPP:
Conventional Advantage	$	6,900	91	%	$	7,529	90	%
Conventional Original	351		5	%	417		5	%
FHA	180		2	%	218		3	%
Total MPP	7,431		98	%	8,164		98	%

MPF Program:
Conventional	95		2	%	123		2	%
Government	30		—	%	36		—	%
Total MPF Program	125		2	%	159		2	%

Total mortgage loans held for portfolio	$	7,556	100	%	$	8,323	100	%


													Below
													Investment
June 30, 2021	AAA			AA			A			BBB			Grade			Total
Short-term investments:
Interest-bearing deposits	$	—		$	—		$	100		$	—		$	—		$	100
Securities purchased under agreements to resell	—			3,000			—			—			—			3,000
Federal funds sold	—			960			1,845			—			—			2,805
Total short-term investments	—			3,960			1,945			—			—			5,905

Trading securities:
U.S. Treasury obligations	—			5,817			—			—			—			5,817
Total trading securities	—			5,817			—			—			—			5,817

Other investment securities:
GSE and TVA debentures	—			2,818			—			—			—			2,818
GSE MBS	—			8,273			—			—			—			8,273
Other U.S. obligations - guaranteed RMBS	—			2,781			—			—			—			2,781
Total other investment securities	—			13,872			—			—			—			13,872

Total investments, carrying value	$	—		$	23,649		$	1,945		$	—		$	—		$	25,594

Percentage of total	—		%	92		%	8		%	—		%	—		%	100		%



	Three Months Ended June 30, 2021
LRA Activity	Original		Advantage		Total
Liability, beginning of period	$	4	$	210	$	214
Additions	—		6		6
Claims paid	—		—		—
Distributions to PFIs	—		—		—
Liability, end of period	$	4	$	216	$	220