UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended ~~March 31,~~June 30, 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.

☐

Large accelerated filer

☐

Accelerated filer

☐

Emerging growth company

Non-accelerated Filer

☐

Smaller reporting company

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

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

☐ Yes x No

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


			Shares outstanding as of ~~April 30,~~July 31, 2022
Class A Stock, par value $100			—
Class B Stock, par value $100			~~21,842,468~~23,320,275


Table of Contents		Page
		Number

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

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

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

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

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

	Statements of Cash Flows for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2022 and 2021	89

	Notes to Financial Statements:
	Note 1 - Summary of Significant Accounting Policies	1011
	Note 2 - Recently Adopted and Issued Accounting Guidance	1011
	Note 3 - Investments	1112
	Note 4 - Advances	1415
	Note 5 - Mortgage Loans Held for Portfolio	1516
	Note 6 - Derivatives and Hedging Activities	1617
	Note 7 - Consolidated Obligations	2021
	Note 8 - Affordable Housing Program	2223
	Note 9 - Capital	2223
	Note 10 - Accumulated Other Comprehensive Income	2324
	Note 11 - Segment Information	2426
	Note 12 - Estimated Fair Values	2527
	Note 13 - Commitments and Contingencies	2830
	Note 14 - Related Party and Other Transactions	2931

	Defined Terms	3032

Item 2.	MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
	Presentation	3234
	Executive Summary	3234
	Results of Operations and Changes in Financial Condition	3436
	Operating Segments	3945
	Analysis of Financial Condition	4046
	Liquidity and Capital Resources	4652
	Critical Accounting Estimates	4854
	Recent Accounting and Regulatory Developments	4854
	Risk Management	4955
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	5158
Item 4.	CONTROLS AND PROCEDURES	5460

PART II.	OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	5561
Item 1A.	RISK FACTORS	5561
Item 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	5561
Item 3.	DEFAULTS UPON SENIOR SECURITIES	5561
Item 4.	MINE SAFETY DISCLOSURES	5561
Item 5.	OTHER INFORMATION	5561
Item 6.	EXHIBITS	5562

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

Special Note Regarding Forward-Looking Statements

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

•ability to attract and retain skilled personnel;

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

•nonperformance of counterparties to uncleared and cleared derivative transactions;

•changes in terms of derivative agreements and similar agreements;

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

•changes in or differing interpretations of accounting guidance; and

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

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

Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. FINANCIAL STATEMENTS

Federal Home Loan Bank of Indianapolis

Statements of Condition

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


		March 31, 2022		December 31, 2021			June 30, 2022		December 31, 2021
Assets:	Assets:					Assets:
Cash and due from banks	Cash and due from banks	$	225,842	$	867,880	Cash and due from banks	$	59,596	$	867,880
Interest-bearing deposits (Note 3)	Interest-bearing deposits (Note 3)	100,041		100,041		Interest-bearing deposits (Note 3)	325,041		100,041
Securities purchased under agreements to resell (Note 3)	Securities purchased under agreements to resell (Note 3)	7,600,000		3,500,000		Securities purchased under agreements to resell (Note 3)	4,500,000		3,500,000
Federal funds sold (Note 3)	Federal funds sold (Note 3)	1,640,000		2,580,000		Federal funds sold (Note 3)	2,496,000		2,580,000
Trading securities (Note 3)	Trading securities (Note 3)	4,752,822		3,946,799		Trading securities (Note 3)	4,039,407		3,946,799
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)		4,052,556		4,313,773
Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993)						Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993)	10,196,572		9,159,935
Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157)						Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157)	3,877,299		4,313,773
Advances (Note 4)	Advances (Note 4)	26,588,461		27,497,835		Advances (Note 4)	30,507,462		27,497,835
Mortgage loans held for portfolio, net (Note 5)	Mortgage loans held for portfolio, net (Note 5)	7,701,904		7,616,134		Mortgage loans held for portfolio, net (Note 5)	7,729,642		7,616,134
Accrued interest receivable	Accrued interest receivable	80,400		80,758		Accrued interest receivable	96,937		80,758
Derivative assets, net (Note 6)	Derivative assets, net (Note 6)	270,997		220,202		Derivative assets, net (Note 6)	325,848		220,202
Other assets	Other assets	122,413		121,246		Other assets	112,459		121,246

Total assets	Total assets	$	63,015,214	$	60,004,603	Total assets	$	64,266,263	$	60,004,603

Liabilities:	Liabilities:					Liabilities:
Deposits	Deposits	$	1,237,131	$	1,366,397	Deposits	$	907,525	$	1,366,397
Consolidated obligations (Note 7):	Consolidated obligations (Note 7):					Consolidated obligations (Note 7):
Discount notes	Discount notes	18,173,383		12,116,358		Discount notes	19,587,260		12,116,358
Bonds	Bonds	39,632,188		42,361,572		Bonds	39,462,365		42,361,572
Total consolidated obligations, net	Total consolidated obligations, net	57,805,571		54,477,930		Total consolidated obligations, net	59,049,625		54,477,930
Accrued interest payable	Accrued interest payable	88,889		88,068		Accrued interest payable	124,999		88,068
Affordable Housing Program payable (Note 8)	Affordable Housing Program payable (Note 8)	31,937		31,049		Affordable Housing Program payable (Note 8)	28,953		31,049
Derivative liabilities, net (Note 6)	Derivative liabilities, net (Note 6)	6,645		12,185		Derivative liabilities, net (Note 6)	13,569		12,185
Mandatorily redeemable capital stock (Note 9)	Mandatorily redeemable capital stock (Note 9)	45,591		50,422		Mandatorily redeemable capital stock (Note 9)	45,583		50,422
Other liabilities	Other liabilities	426,180		422,221		Other liabilities	619,298		422,221

Total liabilities	Total liabilities	59,641,944		56,448,272		Total liabilities	60,789,552		56,448,272

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

Capital (Note 9):	Capital (Note 9):					Capital (Note 9):
Capital stock (putable at par value of $100 per share):	Capital stock (putable at par value of $100 per share):					Capital stock (putable at par value of $100 per share):
Class B issued and outstanding shares: 21,215,410 and 22,462,009, respectively		2,121,541		2,246,201
Class B issued and outstanding shares: 22,508,342 and 22,462,009						Class B issued and outstanding shares: 22,508,342 and 22,462,009	2,250,835		2,246,201
Retained earnings:	Retained earnings:					Retained earnings:
Unrestricted	Unrestricted	899,750		889,869		Unrestricted	912,329		889,869
Restricted	Restricted	292,924		287,203		Restricted	299,391		287,203
Total retained earnings	Total retained earnings	1,192,674		1,177,072		Total retained earnings	1,211,720		1,177,072
Total accumulated other comprehensive income (Note 10)	Total accumulated other comprehensive income (Note 10)	59,055		133,058		Total accumulated other comprehensive income (Note 10)	14,156		133,058

Total capital	Total capital	3,373,270		3,556,331		Total capital	3,476,711		3,556,331

Total liabilities and capital	Total liabilities and capital	$	63,015,214	$	60,004,603	Total liabilities and capital	$	64,266,263	$	60,004,603

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

4

Federal Home Loan Bank of Indianapolis

Statements of Income

(Unaudited, $ amounts in thousands)


		Three Months Ended March 31,			Three Months Ended June 30,						Six Months Ended June 30,
			2022			2021			2022		2021		2022		2021
Interest Income:	Interest Income:							Interest Income:
Advances	Advances		$	35,041		$	36,109	Advances	$	67,562	$	28,175	$	102,603	$	64,284
Interest-bearing deposits	Interest-bearing deposits		290			156		Interest-bearing deposits	2,623		121		2,913		277
Securities purchased under agreements to resell	Securities purchased under agreements to resell		905			437		Securities purchased under agreements to resell	6,066		215		6,971		652
Federal funds sold	Federal funds sold		842			803		Federal funds sold	7,682		651		8,524		1,454
Trading securities	Trading securities		5,445			16,170		Trading securities	8,347		14,421		13,792		30,591
Available-for-sale securities	Available-for-sale securities		22,445			29,836		Available-for-sale securities	38,563		21,184		61,008		51,020
Held-to-maturity securities	Held-to-maturity securities		7,511			9,864		Held-to-maturity securities	9,033		7,809		16,544		17,673
Mortgage loans held for portfolio	Mortgage loans held for portfolio		47,801			40,282		Mortgage loans held for portfolio	51,467		40,119		99,268		80,401

Other interest income								Other interest income	22		—		22		—
Total interest income	Total interest income		120,280			133,657		Total interest income	191,365		112,695		311,645		246,352

Interest Expense:	Interest Expense:							Interest Expense:
Consolidated obligation discount notes	Consolidated obligation discount notes		3,653			4,199		Consolidated obligation discount notes	26,535		1,733		30,188		5,932
Consolidated obligation bonds	Consolidated obligation bonds		51,699			53,796		Consolidated obligation bonds	99,192		52,674		150,891		106,470
Deposits	Deposits		99			37		Deposits	1,547		43		1,646		80
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock		245			1,104		Mandatorily redeemable capital stock	269		929		514		2,033

Total interest expense	Total interest expense		55,696			59,136		Total interest expense	127,543		55,379		183,239		114,515

Net interest income	Net interest income		64,584			74,521		Net interest income	63,822		57,316		128,406		131,837
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		(22)			88		Provision for (reversal of) credit losses	(38)		(44)		(60)		44

Net interest income after provision for credit losses	Net interest income after provision for credit losses		64,606			74,433		Net interest income after provision for credit losses	63,860		57,360		128,466		131,793

Other Income:	Other Income:							Other Income:

Net gains (losses) on trading securities	Net gains (losses) on trading securities		(24,195)			(13,628)		Net gains (losses) on trading securities	(14,220)		(13,731)		(38,415)		(27,359)
Net gains (losses) on derivatives	Net gains (losses) on derivatives		19,994			(838)		Net gains (losses) on derivatives	17,203		186		37,197		(652)

Other, net	Other, net		(3,201)			1,490		Other, net	(4,681)		3,775		(7,882)		5,265
Total other income (loss)	Total other income (loss)		(7,402)			(12,976)		Total other income (loss)	(1,698)		(9,770)		(9,100)		(22,746)

Other Expenses:	Other Expenses:							Other Expenses:
Compensation and benefits	Compensation and benefits		12,956			15,758		Compensation and benefits	13,411		14,092		26,367		29,850
Other operating expenses	Other operating expenses		7,094			7,271		Other operating expenses	7,756		7,417		14,850		14,688
Federal Housing Finance Agency	Federal Housing Finance Agency		1,916			1,473		Federal Housing Finance Agency	1,801		1,474		3,717		2,947
Office of Finance	Office of Finance		1,417			1,997		Office of Finance	1,081		1,228		2,498		3,225
Other	Other		2,011			1,631		Other	2,154		4,226		4,165		5,857
Total other expenses	Total other expenses		25,394			28,130		Total other expenses	26,203		28,437		51,597		56,567

Income before assessments	Income before assessments		31,810			33,327		Income before assessments	35,959		19,153		67,769		52,480

Affordable Housing Program assessments	Affordable Housing Program assessments		3,205			3,443		Affordable Housing Program assessments	3,623		2,008		6,828		5,451

Net income	Net income		$	28,605		$	29,884	Net income	$	32,336	$	17,145	$	60,941	$	47,029

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

5

Federal Home Loan Bank of Indianapolis

Statements of Comprehensive Income

(Unaudited, $ amounts in thousands)


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

Net income	Net income		$	28,605		$	29,884	Net income	$	32,336	$	17,145	$	60,941	$	47,029

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

Net change in unrealized gains (losses) on available-for-sale securities	Net change in unrealized gains (losses) on available-for-sale securities		(74,463)			73,529		Net change in unrealized gains (losses) on available-for-sale securities	(45,228)		4,502		(119,691)		78,031

Pension benefits, net	Pension benefits, net		460			996		Pension benefits, net	329		8,995		789		9,991

Total other comprehensive income (loss)	Total other comprehensive income (loss)		(74,003)			74,525		Total other comprehensive income (loss)	(44,899)		13,497		(118,902)		88,022

Total comprehensive income (loss)	Total comprehensive income (loss)		$	(45,398)		$	104,409	Total comprehensive income (loss)	$	(12,563)	$	30,642	$	(57,961)	$	135,051

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

6

Federal Home Loan Bank of Indianapolis

Statements of Capital

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

(Unaudited, $ amounts and shares in thousands)



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

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

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

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









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

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


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

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

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



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





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

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

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, 2022 and 2021

(Unaudited, $ amounts and shares in thousands)



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

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

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

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

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







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

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

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

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

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



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



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

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

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

8

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows

(Unaudited, $ amounts in thousands)


		Three Months Ended March 31,					Six Months Ended June 30,
		2022		2021			2022		2021
Operating Activities:	Operating Activities:					Operating Activities:
Net income	Net income	$	28,605	$	29,884	Net income	$	60,941	$	47,029
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	Adjustments to reconcile net income to net cash provided by (used in) operating activities:					Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Amortization and depreciation	Amortization and depreciation	22,324		24,431		Amortization and depreciation	50,152		42,309
Changes in net derivative and hedging activities	Changes in net derivative and hedging activities	460,458		152,082		Changes in net derivative and hedging activities	751,617		28,776

Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	(22)		88		Provision for (reversal of) credit losses	(60)		44
Net losses on trading securities	Net losses on trading securities	24,195		13,628		Net losses on trading securities	38,415		27,359

Changes in:	Changes in:					Changes in:
Accrued interest receivable	Accrued interest receivable	171		14,518		Accrued interest receivable	(17,495)		11,601
Other assets	Other assets	(3,125)		(5,470)		Other assets	5,955		(12,783)
Accrued interest payable	Accrued interest payable	833		(3,551)		Accrued interest payable	37,075		8,349
Other liabilities	Other liabilities	25,795		13,979		Other liabilities	8,559		1,182
Total adjustments, net	Total adjustments, net	530,629		209,705		Total adjustments, net	874,218		106,837

Net cash provided by operating activities	Net cash provided by operating activities	559,234		239,589		Net cash provided by operating activities	935,159		153,866

Investing Activities:	Investing Activities:					Investing Activities:
Net change in:	Net change in:					Net change in:
Interest-bearing deposits	Interest-bearing deposits	(636,378)		379,297		Interest-bearing deposits	(1,219,223)		452,160
Securities purchased under agreements to resell	Securities purchased under agreements to resell	(4,100,000)		(2,000,000)		Securities purchased under agreements to resell	(1,000,000)		(500,000)
Federal funds sold	Federal funds sold	940,000		(1,615,000)		Federal funds sold	84,000		(1,590,000)
Trading securities:	Trading securities:					Trading securities:
Proceeds from maturities	Proceeds from maturities	1,100,000		500,000		Proceeds from maturities	1,600,000		850,000

Proceeds from sales						Proceeds from sales	200,000		50,006
Purchases	Purchases	(1,930,219)		(950,175)		Purchases	(1,930,219)		(1,649,933)
Available-for-sale securities:	Available-for-sale securities:					Available-for-sale securities:
Proceeds from maturities and paydowns	Proceeds from maturities and paydowns	366,760		343,500		Proceeds from maturities and paydowns	503,910		643,500

Purchases	Purchases	(1,654,878)		(60,290)		Purchases	(2,362,677)		(60,290)
Held-to-maturity securities:	Held-to-maturity securities:					Held-to-maturity securities:
Proceeds from maturities and paydowns	Proceeds from maturities and paydowns	312,678		290,207		Proceeds from maturities and paydowns	630,398		538,805

Purchases	Purchases	(51,312)		(215,269)		Purchases	(51,312)		(584,749)
Advances:	Advances:					Advances:
Principal repayments	Principal repayments	24,653,003		67,477,320		Principal repayments	71,353,438		139,543,669
Disbursements to members	Disbursements to members	(24,118,758)		(66,175,807)		Disbursements to members	(74,888,350)		(136,081,315)
Mortgage loans held for portfolio:	Mortgage loans held for portfolio:					Mortgage loans held for portfolio:
Principal collections	Principal collections	340,010		1,034,979		Principal collections	600,449		1,776,690
Purchases from members	Purchases from members	(460,320)		(610,090)		Purchases from members	(771,838)		(1,145,532)
Purchases of premises, software, and equipment	Purchases of premises, software, and equipment	(571)		(1,171)		Purchases of premises, software, and equipment	(1,989)		(2,520)
Loans to other Federal Home Loan Banks:	Loans to other Federal Home Loan Banks:					Loans to other Federal Home Loan Banks:
Principal repayments	Principal repayments	10,000		10,000		Principal repayments	520,000		20,000
Disbursements	Disbursements	(10,000)		(10,000)		Disbursements	(520,000)		(20,000)

Net cash used in investing activities		(5,239,985)		(1,602,499)
Net cash provided by (used in) investing activities						Net cash provided by (used in) investing activities	(7,253,413)		2,240,491
(continued)	(continued)					(continued)

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

89

Federal Home Loan Bank of Indianapolis

Statements of Cash Flows, continued

(Unaudited, $ amounts in thousands)

Three Months Ended March 31,
2022 2021
Financing Activities:
Net change in deposits (47,339) 475,555
Net proceeds (payments) on derivative contracts with financing elements (776) (4,498)
Net proceeds from issuance of consolidated obligations:
Discount notes 111,826,875 49,078,395
Bonds 7,327,205 11,425,764
Payments for matured and retired consolidated obligations:
Discount notes (105,771,958) (48,118,416)
Bonds (9,152,800) (11,836,850)
Proceeds from issuance of capital stock 37,225 6,622
Payments for redemption/repurchase of capital stock (161,885) —
Payments for redemption/repurchase of mandatorily redeemable capital stock (4,831) (18,073)
Dividend payments on capital stock (13,003) (13,957)
Net cash provided by financing activities 4,038,713 994,542
Net increase (decrease) in cash and due from banks (642,038) (368,368)
Cash and due from banks at beginning of period 867,880 1,811,544
Cash and due from banks at end of period $ 225,842 $ 1,443,176
Supplemental Disclosures:
Cash activities:
Interest payments $ 56,957 $ 84,094
Affordable Housing Program payments 2,317 2,155
Non-cash activities:
Purchases of investment securities, traded but not yet settled — 23,048
Capitalized interest on certain held-to-maturity securities 460 78




	Six Months Ended June 30,
	2022		2021
Financing Activities:
Net change in deposits	(320,726)		222,576
Net proceeds (payments) on derivative contracts with financing elements	(1,118)		(7,551)
Net proceeds from issuance of consolidated obligations:
Discount notes	369,385,849		85,205,681
Bonds	10,677,690		22,129,860
Payments for matured and retired consolidated obligations:
Discount notes	(361,928,027)		(87,373,330)
Bonds	(12,277,200)		(23,000,650)



Proceeds from issuance of capital stock	166,519		26,627

Payments for redemption/repurchase of capital stock	(161,885)		—
Payments for redemption/repurchase of mandatorily redeemable capital stock	(4,839)		(18,156)

Dividend payments on capital stock	(26,293)		(27,946)

Net cash provided by (used in) financing activities	5,509,970		(2,842,889)

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

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

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

Supplemental Disclosures:
Cash activities:
Interest payments	$	99,903	$	139,245
Affordable Housing Program payments	8,924		9,088
Non-cash activities:
Purchases of investment securities, traded but not yet settled	220,413		—
Capitalized interest on certain held-to-maturity securities	855		313
Par value of shares reclassified to mandatorily redeemable capital stock, net	—		281

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

910

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 1 - Summary of Significant Accounting Policies

Unless the context otherwise requires, the terms "Bank", "we," "us," and "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 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 2021 Form 10-K.

The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of 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 the fair 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 2021 Form 10-K in Note 1 - Summary of Significant Accounting Policies. There have been no significant changes to these policies through ~~March 31,~~June 30, 2022.

Note 2 - Recently Adopted and Issued Accounting Guidance

Recently Issued Accounting Guidance.

Fair-Value Hedging - Portfolio Layer Method (ASU 2022-01). On March 28, 2022, the FASB issued guidance expanding the existing last-of-layer fair-value hedging method by allowing entities to hedge multiple layers of 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~~potentially favorable impact of this guidance on our future financial condition, results of operations, and cash flows.

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

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

1011

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

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

Investment Securities.

Trading Securities.

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


Security Type	Security Type	March 31, 2022		December 31, 2021		Security Type	June 30, 2022		December 31, 2021

U.S. Treasury obligations	U.S. Treasury obligations	$	4,752,822	$	3,946,799	U.S. Treasury obligations	$	4,039,407	$	3,946,799

Total trading securities at estimated fair value	Total trading securities at estimated fair value	$	4,752,822	$	3,946,799	Total trading securities at estimated fair value	$	4,039,407	$	3,946,799

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

Three Months Ended 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)


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

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Available-for-Sale Securities.

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


				Gross		Gross							Gross		Gross
		Amortized		Unrealized		Unrealized		Estimated			Amortized		Unrealized		Unrealized		Estimated
March 31, 2022		Cost (1)		Gains		Losses		Fair Value
June 30, 2022										June 30, 2022	Cost (1)		Gains		Losses		Fair Value
U.S. Treasury obligations	U.S. Treasury obligations	$	1,483,150	$	—	$	(2,521)	$	1,480,629	U.S. Treasury obligations	$	2,110,103	$	—	$	(4,225)	$	2,105,878
GSE and TVA debentures	GSE and TVA debentures	2,209,080		30,727		—		2,239,807		GSE and TVA debentures	2,061,550		24,514		(1)		2,086,063
GSE multifamily MBS	GSE multifamily MBS	6,110,069		62,352		(13,079)		6,159,342		GSE multifamily MBS	5,992,668		35,467		(23,504)		6,004,631
Total AFS securities	Total AFS securities	$	9,802,299	$	93,079	$	(15,600)	$	9,879,778	Total AFS securities	$	10,164,321	$	59,981	$	(27,730)	$	10,196,572

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

GSE and TVA debentures	GSE and TVA debentures	$	2,651,571	$	45,557	$	(12)	$	2,697,116	GSE and TVA debentures	$	2,651,571	$	45,557	$	(12)	$	2,697,116
GSE multifamily MBS	GSE multifamily MBS	6,356,422		109,956		(3,559)		6,462,819		GSE multifamily MBS	6,356,422		109,956		(3,559)		6,462,819
Total AFS securities	Total AFS securities	$	9,007,993	$	155,513	$	(3,571)	$	9,159,935	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. Includes at ~~March 31,~~June 30, 2022 and December 31, 2021 unamortized discounts totaling ~~$69,452~~$150,580 and unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at ~~March 31,~~June 30, 2022 and December 31, 2021 totaled losses of ~~$288,111~~$576,995 and gains of $206,199, respectively. Excludes accrued interest receivable at ~~March 31,~~June 30, 2022 and December 31, 2021 of ~~$28,196~~$35,316 and $32,127, respectively.

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

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


		Less than 12 months				12 months or More				Total					Less than 12 months				12 months or More				Total
		Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized			Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
March 31, 2022		Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
June 30, 2022														June 30, 2022	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
U.S. Treasury obligations	U.S. Treasury obligations	$	1,480,629	$	(2,521)	$	—	$	—	$	1,480,629	$	(2,521)	U.S. Treasury obligations	$	2,105,878	$	(4,225)	$	—	$	—	$	2,105,878	$	(4,225)

GSE and TVA debentures														GSE and TVA debentures	15,000		(1)		—		—		15,000		(1)
GSE multifamily MBS	GSE multifamily MBS	1,131,768		(13,079)		—		—		1,131,768		(13,079)		GSE multifamily MBS	2,496,226		(21,280)		105,536		(2,224)		2,601,762		(23,504)
Total impaired AFS securities	Total impaired AFS securities	$	2,612,397	$	(15,600)	$	—	$	—	$	2,612,397	$	(15,600)	Total impaired AFS securities	$	4,617,104	$	(25,506)	$	105,536	$	(2,224)	$	4,722,640	$	(27,730)

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

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

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
		Amortized		Estimated		Amortized		Estimated			Amortized		Estimated		Amortized		Estimated
Year of Contractual Maturity	Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value		Year of Contractual Maturity	Cost		Fair Value		Cost		Fair Value
Due in 1 year or less	Due in 1 year or less	$	280,160	$	280,582	$	581,801	$	582,240	Due in 1 year or less	$	250,957	$	251,579	$	581,801	$	582,240
Due after 1 through 5 years	Due after 1 through 5 years	1,675,433		1,700,794		1,494,109		1,523,600		Due after 1 through 5 years	1,566,089		1,586,412		1,494,109		1,523,600
Due after 5 through 10 years	Due after 5 through 10 years	1,736,637		1,739,060		575,661		591,276		Due after 5 through 10 years	2,354,607		2,353,950		575,661		591,276

Total non-MBS	Total non-MBS	3,692,230		3,720,436		2,651,571		2,697,116		Total non-MBS	4,171,653		4,191,941		2,651,571		2,697,116
Total MBS	Total MBS	6,110,069		6,159,342		6,356,422		6,462,819		Total MBS	5,992,668		6,004,631		6,356,422		6,462,819
Total AFS securities	Total AFS securities	$	9,802,299	$	9,879,778	$	9,007,993	$	9,159,935	Total AFS securities	$	10,164,321	$	10,196,572	$	9,007,993	$	9,159,935

Allowance for Credit Losses. At ~~March 31,~~June 30, 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,~~June 30, 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.

~~Table of Contents~~

~~Notes to Financial Statements, continued~~

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

Held-to-Maturity Securities.

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


				Gross		Gross							Gross		Gross
				Unrecognized		Unrecognized							Unrecognized		Unrecognized
		Amortized		Holding		Holding		Estimated			Amortized		Holding		Holding		Estimated
March 31, 2022		Cost (1)		Gains		Losses		Fair Value
June 30, 2022										June 30, 2022	Cost (1)		Gains		Losses		Fair Value

MBS:	MBS:									MBS:
Other U.S. obligations - guaranteed single-family	Other U.S. obligations - guaranteed single-family	$	2,544,639	$	2,765	$	(19,083)	$	2,528,321	Other U.S. obligations - guaranteed single-family	$	2,521,513	$	152	$	(35,792)	$	2,485,873
GSE single-family	GSE single-family	765,353		6,377		(13,994)		757,736		GSE single-family	722,385		1,697		(20,401)		703,681
GSE multifamily	GSE multifamily	742,564		290		(459)		742,395		GSE multifamily	633,401		5		(1,018)		632,388
Total HTM securities	Total HTM securities	$	4,052,556	$	9,432	$	(33,536)	$	4,028,452	Total HTM securities	$	3,877,299	$	1,854	$	(57,211)	$	3,821,942

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

MBS:	MBS:									MBS:
Other U.S. obligations - guaranteed single-family	Other U.S. obligations - guaranteed single-family	$	2,626,143	$	7,384	$	(9,238)	$	2,624,289	Other U.S. obligations - guaranteed single-family	$	2,626,143	$	7,384	$	(9,238)	$	2,624,289
GSE single-family	GSE single-family	815,924		14,424		(4,773)		825,575		GSE single-family	815,924		14,424		(4,773)		825,575
GSE multifamily	GSE multifamily	871,706		779		(192)		872,293		GSE multifamily	871,706		779		(192)		872,293
Total HTM securities	Total HTM securities	$	4,313,773	$	22,587	$	(14,203)	$	4,322,157	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 ~~March 31,~~June 30, 2022 and December 31, 2021 totaled ~~$30,373~~$29,144 and $28,440, respectively.

Allowance for Credit Losses. At ~~March 31,~~June 30, 2022 and December 31, 2021, 100% of our 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.

At ~~March 31,~~June 30, 2022 and December 31, 2021, based on our evaluation, we did not record an allowance for credit losses on any of our HTM securities.

1314

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 4 - Advances

The following table presents advances outstanding by redemption term.


		March 31, 2022			December 31, 2021				June 30, 2022			December 31, 2021
Redemption Term	Redemption Term	Amount		WAIR %	Amount		WAIR %	Redemption Term	Amount		WAIR %	Amount		WAIR %

Overdrawn demand and overnight deposit accounts								Overdrawn demand and overnight deposit accounts	$	98,456	3.90	$	—	—
Due in 1 year or less	Due in 1 year or less	$	8,074,521	0.75	$	7,863,703	0.59	Due in 1 year or less	13,371,345		1.44	7,863,703		0.59
Due after 1 through 2 years	Due after 1 through 2 years	2,785,573		2.07	2,684,996		2.02	Due after 1 through 2 years	3,736,129		2.21	2,684,996		2.02
Due after 2 through 3 years	Due after 2 through 3 years	3,257,497		1.41	3,536,759		1.35	Due after 2 through 3 years	2,384,761		1.70	3,536,759		1.35
Due after 3 through 4 years	Due after 3 through 4 years	2,929,579		1.34	2,931,260		1.29	Due after 3 through 4 years	2,563,139		1.82	2,931,260		1.29
Due after 4 through 5 years	Due after 4 through 5 years	1,480,636		1.38	1,908,432		1.34	Due after 4 through 5 years	1,822,975		1.79	1,908,432		1.34
Thereafter	Thereafter	8,247,557		0.88	8,384,458		0.82	Thereafter	6,867,716		1.52	8,384,458		0.82
Total advances, par value	Total advances, par value	26,775,363		1.11	27,309,608		1.03	Total advances, par value	30,844,521		1.63	27,309,608		1.03

Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	(195,472)			179,115			Fair-value hedging basis adjustments, net	(344,955)			179,115
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	8,570			9,112			Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees	7,896			9,112
Total advances (1)	Total advances (1)	$	26,588,461		$	27,497,835		Total advances (1)	$	30,507,462		$	27,497,835

(1) Carrying value equals amortized cost, which excludes accrued interest receivable at ~~March 31,~~June 30, 2022 and December 31, 2021 of ~~$13,658~~$18,542 and $13,075, respectively.

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


		Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date					Earlier of Redemption or Next Call Date				Earlier of Redemption or Next Put Date
		March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021			June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021

Overdrawn demand and overnight deposit accounts										Overdrawn demand and overnight deposit accounts	$	98,456	$	—	$	98,456	$	—
Due in 1 year or less	Due in 1 year or less	$	12,787,935	$	12,547,866	$	13,614,346	$	13,452,703	Due in 1 year or less	18,134,158		12,547,866		16,934,750		13,452,703
Due after 1 through 2 years	Due after 1 through 2 years	2,583,973		2,578,396		2,765,853		3,090,101		Due after 1 through 2 years	2,494,629		2,578,396		4,138,129		3,090,101
Due after 2 through 3 years	Due after 2 through 3 years	1,902,997		2,127,759		3,673,897		3,636,259		Due after 2 through 3 years	2,011,211		2,127,759		2,770,661		3,636,259
Due after 3 through 4 years	Due after 3 through 4 years	1,946,429		1,997,060		2,929,579		3,007,160		Due after 3 through 4 years	1,579,789		1,997,060		2,563,139		3,007,160
Due after 4 through 5 years	Due after 4 through 5 years	1,145,961		1,530,307		1,157,536		1,485,332		Due after 4 through 5 years	1,460,800		1,530,307		1,509,875		1,485,332
Thereafter	Thereafter	6,408,068		6,528,220		2,634,152		2,638,053		Thereafter	5,065,478		6,528,220		2,829,511		2,638,053
Total advances, par value	Total advances, par value	$	26,775,363	$	27,309,608	$	26,775,363	$	27,309,608	Total advances, par value	$	30,844,521	$	27,309,608	$	30,844,521	$	27,309,608

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

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

1415

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 5 - Mortgage Loans Held for Portfolio

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


Term	Term	March 31, 2022		December 31, 2021		Term	June 30, 2022		December 31, 2021
Fixed-rate long-term mortgages	Fixed-rate long-term mortgages	$	6,555,478	$	6,417,543	Fixed-rate long-term mortgages	$	6,633,317	$	6,417,543
Fixed-rate medium-term (1) mortgages	Fixed-rate medium-term (1) mortgages	970,851		1,016,851		Fixed-rate medium-term (1) mortgages	931,310		1,016,851
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	7,526,329		7,434,394		Total mortgage loans held for portfolio, UPB	7,564,627		7,434,394
Unamortized premiums	Unamortized premiums	179,876		181,172		Unamortized premiums	175,372		181,172
Unamortized discounts	Unamortized discounts	(2,766)		(2,389)		Unamortized discounts	(5,687)		(2,389)

Hedging basis adjustments, net	Hedging basis adjustments, net	(1,335)		3,157		Hedging basis adjustments, net	(4,470)		3,157
Total mortgage loans held for portfolio	Total mortgage loans held for portfolio	7,702,104		7,616,334		Total mortgage loans held for portfolio	7,729,842		7,616,334
Allowance for credit losses	Allowance for credit losses	(200)		(200)		Allowance for credit losses	(200)		(200)
Total mortgage loans held for portfolio, net (2)	Total mortgage loans held for portfolio, net (2)	$	7,701,904	$	7,616,134	Total mortgage loans held for portfolio, net (2)	$	7,729,642	$	7,616,134

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

(2) Excludes accrued interest receivable at ~~March 31,~~June 30, 2022 and December 31, 2021 of ~~$28,540~~$29,062 and $27,977, respectively.


Type	Type	March 31, 2022		December 31, 2021		Type	June 30, 2022		December 31, 2021
Conventional	Conventional	$	7,357,543	$	7,254,056	Conventional	$	7,404,571	$	7,254,056
Government-guaranteed or -insured	Government-guaranteed or -insured	168,786		180,338		Government-guaranteed or -insured	160,056		180,338
Total mortgage loans held for portfolio, UPB	Total mortgage loans held for portfolio, UPB	$	7,526,329	$	7,434,394	Total mortgage loans held for portfolio, UPB	$	7,564,627	$	7,434,394

Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. 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 March 31, 2022		Prior to 2018		2018 to 2022		Total
Payment Status as of June 30, 2022								Payment Status as of June 30, 2022	Prior to 2018		2018 to 2022		Total
Past due:	Past due:							Past due:
30-59 days	30-59 days	$	20,959	$	16,758	$	37,717	30-59 days	$	17,062	$	9,822	$	26,884
60-89 days	60-89 days	3,769		660		4,429		60-89 days	2,628		1,055		3,683
90 days or more	90 days or more	19,163		3,190		22,353		90 days or more	14,450		1,630		16,080
Total past due	Total past due	43,891		20,608		64,499		Total past due	34,140		12,507		46,647
Total current	Total current	2,739,375		4,727,522		7,466,897		Total current	2,613,182		4,908,165		7,521,347
Total conventional mortgage loans, amortized cost	Total conventional mortgage loans, amortized cost	$	2,783,266	$	4,748,130	$	7,531,396	Total conventional mortgage loans, amortized cost	$	2,647,322	$	4,920,672	$	7,567,994


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

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


Other Delinquency Statistics as of March 31, 2022		Conventional			Government			Total
Other Delinquency Statistics as of June 30, 2022											Other Delinquency Statistics as of June 30, 2022	Conventional			Government			Total
In process of foreclosure (1)	In process of foreclosure (1)	$	2,659		$	—		$	2,659		In process of foreclosure (1)	$	3,368		$	—		$	3,368
Serious delinquency rate (2)	Serious delinquency rate (2)	0.30		%	1.49		%	0.32		%	Serious delinquency rate (2)	0.21		%	1.05		%	0.23		%
Past due 90 days or more still accruing interest (3)	Past due 90 days or more still accruing interest (3)	$	14,551		$	2,305		$	16,856		Past due 90 days or more still accruing interest (3)	$	11,298		$	1,483		$	12,781
On non-accrual status (4)	On non-accrual status (4)	$	16,166		$	—		$	16,166		On non-accrual status (4)	$	10,788		$	—		$	10,788

Other Delinquency Statistics as of December 31, 2021	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)	$	1,999		$	—		$	1,999		In process of foreclosure (1)	$	1,999		$	—		$	1,999
Serious delinquency rate (2)	Serious delinquency rate (2)	0.40		%	0.86		%	0.41		%	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)	$	15,725		$	1,364		$	17,089		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)	$	23,487		$	—		$	23,487		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 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.

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

(4) As of ~~March 31,~~June 30, 2022 and December 31, 2021, ~~$6,250~~$3,721 and $11,701, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a related allowance for credit losses because these loans were either previously charged off to the 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. The table below presents a rollforward of our allowance for credit losses.


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

Rollforward of Allowance	Rollforward of Allowance		2022		2021			Rollforward of Allowance	2022		2021		2022		2021
Balance, beginning of period	Balance, beginning of period		$	200	$	350		Balance, beginning of period	$	200	$	350	$	200	$	350
Charge-offs(1)	Charge-offs(1)		—		(92)			Charge-offs(1)	7		—		7		(92)
Recoveries	Recoveries		22		4			Recoveries	31		19		53		23
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		(22)		88			Provision for (reversal of) credit losses	(38)		(44)		(60)		44
Balance, end of period	Balance, end of period		$	200	$	350		Balance, end of period	$	200	$	325	$	200	$	325

(1) Includes receipts of LRA funds on certain loans that are recorded as reversals of previous charge-offs.

Note 6 - Derivatives and Hedging Activities

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

Uncleared Derivatives. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. 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 ~~March 31,~~June 30, 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 ~~March 31,~~June 30, 2022, we were not required by our clearing agents to post any ~~additional margin.~~margin in excess of the Clearinghouses' requirements.

1617

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Financial Statement Effect and Additional Financial Information.

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


		March 31, 2022						December 31, 2021							June 30, 2022						December 31, 2021
		Notional		Derivative		Derivative		Notional		Derivative		Derivative			Notional		Derivative		Derivative		Notional		Derivative		Derivative
		Amount		Assets		Liabilities		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	$	52,555,489	$	341,620	$	1,151,590	$	46,395,451	$	105,446	$	413,324	Interest-rate swaps	$	55,010,636	$	493,855	$	1,555,740	$	46,395,451	$	105,446	$	413,324
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	10,660,000		2,991		244		8,595,000		357		148		Interest-rate swaps	9,270,000		1,987		1,363		8,595,000		357		148

Interest-rate caps/floors	Interest-rate caps/floors	625,500		1,250		—		625,500		1,077		—		Interest-rate caps/floors	611,000		1,208		—		625,500		1,077		—
Interest-rate forwards	Interest-rate forwards	93,100		2,129		5		98,200		1		199		Interest-rate forwards	32,200		352		66		98,200		1		199
MDCs	MDCs	86,668		56		1,264		96,424		45		105		MDCs	31,325		108		45		96,424		45		105
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments	11,465,268		6,426		1,513		9,415,124		1,480		452		Total derivatives not designated as hedging instruments	9,944,525		3,655		1,474		9,415,124		1,480		452
Total derivatives before adjustments	Total derivatives before adjustments	$	64,020,757	348,046		1,153,103		$	55,810,575	106,926		413,776		Total derivatives before adjustments	$	64,955,161	497,510		1,557,214		$	55,810,575	106,926		413,776
Netting adjustments and cash collateral (1)	Netting adjustments and cash collateral (1)			(77,049)		(1,146,458)				113,276		(401,591)		Netting adjustments and cash collateral (1)			(171,662)		(1,543,645)				113,276		(401,591)
Total derivatives, net				$	270,997	$	6,645			$	220,202	$	12,185
Total derivatives, net, at estimated fair value														Total derivatives, net, at estimated fair value			$	325,848	$	13,569			$	220,202	$	12,185

(1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at ~~March 31,~~June 30, 2022 and December 31, 2021, including accrued interest, totaled ~~$1,152,241~~$1,511,166 and $515,761, respectively. Cash collateral received from counterparties and held at both ~~March 31,~~June 30, 2022 and December 31, 2021, including accrued interest, totaled ~~$82,831~~$139,183 and $894, respectively. At ~~March 31,~~June 30, 2022 and December 31, 2021, no securities were pledged as collateral.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
		Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Derivative instruments meeting netting requirements:	Derivative instruments meeting netting requirements:									Derivative instruments meeting netting requirements:
Gross recognized amount	Gross recognized amount									Gross recognized amount
Uncleared	Uncleared	$	342,132	$	1,132,565	$	105,667	$	411,886	Uncleared	$	493,033	$	1,482,271	$	105,667	$	411,886
Cleared	Cleared	3,729		19,269		1,213		1,586		Cleared	4,017		74,832		1,213		1,586
Total gross recognized amount	Total gross recognized amount	345,861		1,151,834		106,880		413,472		Total gross recognized amount	497,050		1,557,103		106,880		413,472
Gross amounts of netting adjustments and cash collateral	Gross amounts of netting adjustments and cash collateral									Gross amounts of netting adjustments and cash collateral
Uncleared	Uncleared	(324,577)		(1,127,189)		(105,417)		(400,005)		Uncleared	(408,142)		(1,468,813)		(105,417)		(400,005)
Cleared	Cleared	247,528		(19,269)		218,693		(1,586)		Cleared	236,480		(74,832)		218,693		(1,586)
Total gross amounts of netting adjustments and cash collateral	Total gross amounts of netting adjustments and cash collateral	(77,049)		(1,146,458)		113,276		(401,591)		Total gross amounts of netting adjustments and cash collateral	(171,662)		(1,543,645)		113,276		(401,591)
Net amounts after netting adjustments and cash collateral	Net amounts after netting adjustments and cash collateral									Net amounts after netting adjustments and cash collateral
Uncleared	Uncleared	17,555		5,376		250		11,881		Uncleared	84,891		13,458		250		11,881
Cleared	Cleared	251,257		—		219,906		—		Cleared	240,497		—		219,906		—
Total net amounts after netting adjustments and cash collateral	Total net amounts after netting adjustments and cash collateral	268,812		5,376		220,156		11,881		Total net amounts after netting adjustments and cash collateral	325,388		13,458		220,156		11,881
Derivative instruments not meeting netting requirements (1)	Derivative instruments not meeting netting requirements (1)	2,185		1,269		46		304		Derivative instruments not meeting netting requirements (1)	460		111		46		304
Total derivatives, at estimated fair value		$	270,997	$	6,645	$	220,202	$	12,185
Total derivatives, net, at estimated fair value										Total derivatives, net, at estimated fair value	$	325,848	$	13,569	$	220,202	$	12,185

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

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



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


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



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

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


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


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



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

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

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


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


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



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

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

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
Six Months Ended June 30, 2021										Six Months Ended June 30, 2021
Net impact of fair-value hedging relationships on net interest income:	Net impact of fair-value hedging relationships on net interest income:									Net impact of fair-value hedging relationships on net interest income:
Net interest settlements on derivatives (1)	Net interest settlements on derivatives (1)	$	(45,719)	$	(32,453)	$	12,226	$	(65,946)	Net interest settlements on derivatives (1)	$	(91,892)	$	(60,780)	$	34,237	$	(118,435)

Net gains (losses) on derivatives (2)	Net gains (losses) on derivatives (2)	246,882		321,941		(118,193)		450,630		Net gains (losses) on derivatives (2)	234,784		234,210		(81,111)		387,883

Net gains (losses) on hedged items (3)	Net gains (losses) on hedged items (3)	(243,525)		(316,514)		123,415		(436,624)		Net gains (losses) on hedged items (3)	(233,031)		(234,631)		84,221		(383,441)
Net impact on net interest income	Net impact on net interest income	$	(42,362)	$	(27,026)	$	17,448	$	(51,940)	Net impact on net interest income	$	(90,139)	$	(61,201)	$	37,347	$	(113,993)

Total interest income (expense) recorded in the Statement of Income (4)	Total interest income (expense) recorded in the Statement of Income (4)	$	36,109	$	29,836	$	(53,796)	$	12,149	Total interest income (expense) recorded in the Statement of Income (4)	$	64,284	$	51,020	$	(106,470)	$	8,834

(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,~~June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling ~~$(365,302)~~$(141,004) and ~~$450,588,~~$(62,754), respectively, and price alignment interest of ~~$(48)~~$(1,131) and ~~$42,~~$7, respectively. Includes for the six months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $(506,306) and $387,834, respectively, and price alignment interest of $(1,179) and $49, respectively.

(3) Includes for the three months ended ~~March 31,~~June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling ~~$367,348~~$134,151 and ~~$(432,000)~~$57,142, respectively, and amortization of net losses on ineffective and discontinued fair-value hedging relationships of $(17,066) and $(3,959), respectively. Includes for the six months ended June 30, 2022 and 2021, increases (decreases) in estimated fair value totaling $501,499 and $(374,858), respectively, and amortization of net losses on ~~active~~ineffective and discontinued fair-value hedging relationships of ~~$(16,682)~~$(33,748) and ~~$(4,624)~~$(8,583), respectively.

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

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
Type of Hedge	Type of Hedge		2022		2021			Type of Hedge	2022		2021		2022		2021
Net gains (losses) 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		$	22,050	$	4,111		Interest-rate swaps	$	16,413	$	4,083	$	38,463	$	8,194

Interest-rate caps/floors	Interest-rate caps/floors		173		132			Interest-rate caps/floors	(42)		(528)		131		(396)
Interest-rate forwards	Interest-rate forwards		5,258		4,156			Interest-rate forwards	1,768		(1,344)		7,026		2,812
Net interest settlements (1)	Net interest settlements (1)		(2,018)		(4,953)			Net interest settlements (1)	881		(3,285)		(1,137)		(8,238)
MDCs	MDCs		(5,469)		(4,284)			MDCs	(1,817)		1,260		(7,286)		(3,024)
Net gains (losses) on derivatives in other income	Net gains (losses) on derivatives in other income		$	19,994	$	(838)		Net gains (losses) on derivatives in other income	$	17,203	$	186	$	37,197	$	(652)

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

1920

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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.


March 31, 2022		Advances		AFS Securities		CO Bonds
June 30, 2022								June 30, 2022	Advances		AFS Securities		CO Bonds
Amortized cost of hedged items (1)	Amortized cost of hedged items (1)	$	17,166,346	$	9,802,299	$	24,242,856	Amortized cost of hedged items (1)	$	16,303,974	$	10,164,322	$	26,730,944

Cumulative basis adjustments included in amortized cost:	Cumulative basis adjustments included in amortized cost:							Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	For active fair-value hedging relationships (2)	$	(195,987)	$	(662,222)	$	(1,142,758)	For active fair-value hedging relationships (2)	$	(345,091)	$	(934,237)	$	(1,530,303)
For discontinued fair-value hedging relationships	For discontinued fair-value hedging relationships	515		374,111		—		For discontinued fair-value hedging relationships	136		357,242		—
Total cumulative fair-value hedging basis adjustments on hedged items	Total cumulative fair-value hedging basis adjustments on hedged items	$	(195,472)	$	(288,111)	$	(1,142,758)	Total cumulative fair-value hedging basis adjustments on hedged items	$	(344,955)	$	(576,995)	$	(1,530,303)


December 31, 2021
Amortized cost of hedged items (1)	$	17,374,515	$	9,007,993	$	20,902,714

Cumulative basis adjustments included in amortized cost:
For active fair-value hedging relationships (2)	$	178,543	$	(184,724)	$	(247,699)
For discontinued fair-value hedging relationships	572		390,923		—
Total cumulative fair-value hedging basis adjustments on hedged items	$	179,115	$	206,199	$	(247,699)

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

(2) Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives.

Note 7 - Consolidated Obligations

In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at ~~March 31,~~June 30, 2022 and December 31, 2021 totaled ~~$699.5~~$882.5 billion and $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	Discount Notes	March 31, 2022			December 31, 2021			Discount Notes	June 30, 2022			December 31, 2021
Book value	Book value	$	18,173,383		$	12,116,358		Book value	$	19,587,260		$	12,116,358
Par value	Par value	18,178,364			12,117,846			Par value	19,617,332			12,117,846

Weighted average effective interest rate	Weighted average effective interest rate	0.20		%	0.05		%	Weighted average effective interest rate	1.17		%	0.05		%

2021

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

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


		March 31, 2022			December 31, 2021				June 30, 2022			December 31, 2021
Year of Contractual Maturity	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%	Year of Contractual Maturity	Amount		WAIR%	Amount		WAIR%
Due in 1 year or less	Due in 1 year or less	$	10,574,435	0.66	$	14,357,350	0.29	Due in 1 year or less	$	8,949,535	1.52	$	14,357,350	0.29
Due after 1 through 2 years	Due after 1 through 2 years	1,774,125		1.26	2,965,510		1.02	Due after 1 through 2 years	3,556,625		1.49	2,965,510		1.02
Due after 2 through 3 years	Due after 2 through 3 years	9,532,750		0.96	5,797,550		0.76	Due after 2 through 3 years	9,827,090		1.09	5,797,550		0.76
Due after 3 through 4 years	Due after 3 through 4 years	4,657,800		0.91	3,947,300		0.83	Due after 3 through 4 years	4,878,500		1.26	3,947,300		0.83
Due after 4 through 5 years	Due after 4 through 5 years	5,560,540		1.41	6,587,600		1.14	Due after 4 through 5 years	5,039,820		1.36	6,587,600		1.14
Thereafter	Thereafter	8,624,820		2.16	8,894,940		2.09	Thereafter	8,698,820		2.20	8,894,940		2.09
Total CO bonds, par value	Total CO bonds, par value	40,724,470		1.21	42,550,250		0.96	Total CO bonds, par value	40,950,390		1.51	42,550,250		0.96
Unamortized premiums	Unamortized premiums	68,520			77,035			Unamortized premiums	60,418			77,035
Unamortized discounts	Unamortized discounts	(11,023)			(11,268)			Unamortized discounts	(10,819)			(11,268)
Unamortized concessions	Unamortized concessions	(7,021)			(6,746)			Unamortized concessions	(7,321)			(6,746)
Fair-value hedging basis adjustments, net	Fair-value hedging basis adjustments, net	(1,142,758)			(247,699)			Fair-value hedging basis adjustments, net	(1,530,303)			(247,699)
Total CO bonds	Total CO bonds	$	39,632,188		$	42,361,572		Total CO bonds	$	39,462,365		$	42,361,572

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


Redemption Feature	Redemption Feature	March 31, 2022		December 31, 2021		Redemption Feature	June 30, 2022		December 31, 2021
Non-callable / non-putable	Non-callable / non-putable	$	14,195,970	$	20,346,750	Non-callable / non-putable	$	11,740,890	$	20,346,750
Callable	Callable	26,528,500		22,203,500		Callable	29,209,500		22,203,500
Total CO bonds, par value	Total CO bonds, par value	$	40,724,470	$	42,550,250	Total CO bonds, par value	$	40,950,390	$	42,550,250


Year of Contractual Maturity or Next Call Date	Year of Contractual Maturity or Next Call Date	March 31, 2022		December 31, 2021		Year of Contractual Maturity or Next Call Date	June 30, 2022		December 31, 2021
Due in 1 year or less	Due in 1 year or less	$	35,733,935	$	36,028,850	Due in 1 year or less	$	35,829,035	$	36,028,850
Due after 1 through 2 years	Due after 1 through 2 years	1,438,125		3,122,510		Due after 1 through 2 years	1,374,625		3,122,510
Due after 2 through 3 years	Due after 2 through 3 years	571,750		586,550		Due after 2 through 3 years	997,090		586,550
Due after 3 through 4 years	Due after 3 through 4 years	747,800		577,300		Due after 3 through 4 years	745,500		577,300
Due after 4 through 5 years	Due after 4 through 5 years	402,040		415,100		Due after 4 through 5 years	248,320		415,100
Thereafter	Thereafter	1,830,820		1,819,940		Thereafter	1,755,820		1,819,940
Total CO bonds, par value	Total CO bonds, par value	$	40,724,470	$	42,550,250	Total CO bonds, par value	$	40,950,390	$	42,550,250

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


Interest-Rate Payment Type	Interest-Rate Payment Type	March 31, 2022		December 31, 2021		Interest-Rate Payment Type	June 30, 2022		December 31, 2021
Fixed-rate	Fixed-rate	$	33,452,470	$	36,717,750	Fixed-rate	$	34,548,390	$	36,717,750
Step-up	Step-up	1,883,500		898,500		Step-up	2,233,500		898,500
Simple variable-rate	Simple variable-rate	5,388,500		4,934,000		Simple variable-rate	4,168,500		4,934,000

Total CO bonds, par value	Total CO bonds, par value	$	40,724,470	$	42,550,250	Total CO bonds, par value	$	40,950,390	$	42,550,250

2122

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 8 - Affordable Housing Program

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
AHP Activity	AHP Activity		2022		2021			AHP Activity	2022		2021		2022		2021
Liability at beginning of period	Liability at beginning of period		$	31,049	$	34,402		Liability at beginning of period	$	31,937	$	35,690	$	31,049	$	34,402
Assessment (expense)	Assessment (expense)		3,205		3,443			Assessment (expense)	3,623		2,008		6,828		5,451
Subsidy usage, net (1)	Subsidy usage, net (1)		(2,317)		(2,155)			Subsidy usage, net (1)	(6,607)		(6,933)		(8,924)		(9,088)
Liability at end of period	Liability at end of period		$	31,937	$	35,690		Liability at end of period	$	28,953	$	30,765	$	28,953	$	30,765

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

Note 9 - Capital

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


Capital Stock Outstanding	Capital Stock Outstanding	March 31, 2022		December 31, 2021		Capital Stock Outstanding	June 30, 2022		December 31, 2021
Class B-1	Class B-1	$	821,860	$	931,517	Class B-1	$	765,075	$	931,517
Class B-2	Class B-2	1,299,681		1,314,684		Class B-2	1,485,760		1,314,684

Total Class B	Total Class B	$	2,121,541	$	2,246,201	Total Class B	$	2,250,835	$	2,246,201

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
MRCS Activity	MRCS Activity		2022		2021			MRCS Activity	2022		2021		2022		2021
Liability at beginning of period	Liability at beginning of period		$	50,422	$	250,768		Liability at beginning of period	$	45,591	$	232,695	$	50,422	$	250,768

Reclassification from capital stock								Reclassification from capital stock	—		281		—		281

Redemptions/repurchases	Redemptions/repurchases		(4,831)		(18,073)			Redemptions/repurchases	(8)		(83)		(4,839)		(18,156)

Liability at end of period	Liability at end of period		$	45,591	$	232,695		Liability at end of period	$	45,583	$	232,893	$	45,583	$	232,893

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


MRCS Contractual Year of Redemption	MRCS Contractual Year of Redemption	March 31, 2022		December 31, 2021		MRCS Contractual Year of Redemption	June 30, 2022		December 31, 2021
Past contractual redemption date (1)	Past contractual redemption date (1)	$	568	$	577	Past contractual redemption date (1)	$	560	$	577
Year 1 (2)	Year 1 (2)	11,835		11,835		Year 1 (2)	12,298		11,835
Year 2	Year 2	1,331		471		Year 2	868		471
Year 3	Year 3	9,004		9,873		Year 3	12,124		9,873
Year 4	Year 4	19,179		23,218		Year 4	16,059		23,218
Year 5	Year 5	3,674		4,448		Year 5	3,674		4,448

Total MRCS	Total MRCS	$	45,591	$	50,422	Total MRCS	$	45,583	$	50,422

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

(2) Balance at ~~March 31,~~June 30, 2022 and December 31, 2021 includes $11,835 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding.

2223

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

The following table presents the distributions related to MRCS.


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
MRCS Distributions	MRCS Distributions		2022		2021			MRCS Distributions	2022		2021		2022		2021
Recorded as interest expense	Recorded as interest expense		$	245	$	1,104		Recorded as interest expense	$	269	$	929	$	514	$	2,033
Recorded as distributions from retained earnings	Recorded as distributions from retained earnings		—		83			Recorded as distributions from retained earnings	—		1		—		84
Total	Total		$	245	$	1,187		Total	$	269	$	930	$	514	$	2,117

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
Regulatory Capital Requirements	Regulatory Capital Requirements	Required		Actual		Required		Actual		Regulatory Capital Requirements	Required		Actual		Required		Actual
Risk-based capital	Risk-based capital	$	1,148,940	$	3,359,806	$	1,091,337	$	3,473,695	Risk-based capital	$	1,217,930	$	3,508,138	$	1,091,337	$	3,473,695

Total regulatory capital	Total regulatory capital	$	2,520,609	$	3,359,806	$	2,400,184	$	3,473,695	Total regulatory capital	$	2,570,651	$	3,508,138	$	2,400,184	$	3,473,695
Total regulatory capital-to-assets ratio	Total regulatory capital-to-assets ratio	4.00%		5.33%		4.00%		5.79%		Total regulatory capital-to-assets ratio	4.00%		5.46%		4.00%		5.79%

Leverage capital	Leverage capital	$	3,150,761	$	5,039,709	$	3,000,230	$	5,210,543	Leverage capital	$	3,213,313	$	5,262,207	$	3,000,230	$	5,210,543
Leverage ratio	Leverage ratio	5.00%		8.00%		5.00%		8.69%		Leverage ratio	5.00%		8.19%		5.00%		8.69%

Note 10 - Accumulated Other Comprehensive Income

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


AOCI Rollforward	AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI		AOCI Rollforward	Unrealized Gains (Losses) on AFS Securities		Pension Benefits		Total AOCI
Balance, December 31, 2021		$	151,942	$	(18,884)	$	133,058
Balance, March 31, 2022								Balance, March 31, 2022	$	77,479	$	(18,424)	$	59,055

OCI before reclassifications:	OCI before reclassifications:							OCI before reclassifications:
Net change in unrealized gains (losses)	Net change in unrealized gains (losses)	(74,463)		—		(74,463)		Net change in unrealized gains (losses)	(45,228)		—		(45,228)

Reclassifications from OCI to net income:	Reclassifications from OCI to net income:							Reclassifications from OCI to net income:

Pension benefits, net	Pension benefits, net	—		460		460		Pension benefits, net	—		329		329
Total other comprehensive income (loss)	Total other comprehensive income (loss)	(74,463)		460		(74,003)		Total other comprehensive income (loss)	(45,228)		329		(44,899)

Balance, March 31, 2022		$	77,479	$	(18,424)	$	59,055
Balance, June 30, 2022								Balance, June 30, 2022	$	32,251	$	(18,095)	$	14,156

Balance, December 31, 2020		$	136,921	$	(31,519)	$	105,402
Balance, March 31, 2021								Balance, March 31, 2021	$	210,450	$	(30,523)	$	179,927

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

Net change in unrealized gains								Net change in unrealized gains	4,502		—		4,502

Reclassifications from OCI to net income:	Reclassifications from OCI to net income:							Reclassifications from OCI to net income:

Pension benefits, net	Pension benefits, net	—		996		996		Pension benefits, net	—		8,995		8,995
Total other comprehensive income	Total other comprehensive income	73,529		996		74,525		Total other comprehensive income	4,502		8,995		13,497

Balance, March 31, 2021		$	210,450	$	(30,523)	$	179,927
Balance, June 30, 2021								Balance, June 30, 2021	$	214,952	$	(21,528)	$	193,424

Table of Contents

Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)



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

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

Reclassifications from OCI to net income:

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

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


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

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

Reclassifications from OCI to net income:

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

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

2325

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 11 - Segment Information

The following table presents our financial performance by operating segment.


		Three Months Ended March 31, 2022						Three Months Ended March 31, 2021							Three Months Ended June 30, 2022						Three Months Ended June 30, 2021
		Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total			Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income	Net interest income	$	52,674	$	11,910	$	64,584	$	74,185	$	336	$	74,521	Net interest income	$	50,671	$	13,151	$	63,822	$	53,952	$	3,364	$	57,316
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	—		(22)		(22)		—		88		88		Provision for (reversal of) credit losses	—		(38)		(38)		—		(44)		(44)
Other income (loss)	Other income (loss)	(7,210)		(192)		(7,402)		(12,877)		(99)		(12,976)		Other income (loss)	(1,732)		34		(1,698)		(9,734)		(36)		(9,770)
Other expenses	Other expenses	21,766		3,628		25,394		24,118		4,012		28,130		Other expenses	22,436		3,767		26,203		24,221		4,216		28,437
Income (loss) before assessments	Income (loss) before assessments	23,698		8,112		31,810		37,190		(3,863)		33,327		Income (loss) before assessments	26,503		9,456		35,959		19,997		(844)		19,153
Affordable Housing Program assessments (credits)	Affordable Housing Program assessments (credits)	2,394		811		3,205		3,829		(386)		3,443		Affordable Housing Program assessments (credits)	2,677		946		3,623		2,093		(85)		2,008
Net income (loss)	Net income (loss)	$	21,304	$	7,301	$	28,605	$	33,361	$	(3,477)	$	29,884	Net income (loss)	$	23,826	$	8,510	$	32,336	$	17,904	$	(759)	$	17,145

															Six Months Ended June 30, 2022						Six Months Ended June 30, 2021
															Traditional		Mortgage Loans		Total		Traditional		Mortgage Loans		Total
Net interest income														Net interest income	$	103,361	$	25,045	$	128,406	$	128,137	$	3,700	$	131,837
Provision for (reversal of) credit losses														Provision for (reversal of) credit losses	—		(60)		(60)		—		44		44
Other income (loss)														Other income (loss)	(8,942)		(158)		(9,100)		(22,611)		(135)		(22,746)
Other expenses														Other expenses	44,202		7,395		51,597		48,339		8,228		56,567
Income (loss) before assessments														Income (loss) before assessments	50,217		17,552		67,769		57,187		(4,707)		52,480
Affordable Housing Program assessments (credits)														Affordable Housing Program assessments (credits)	5,073		1,755		6,828		5,922		(471)		5,451
Net income (loss)														Net income (loss)	$	45,144	$	15,797	$	60,941	$	51,265	$	(4,236)	$	47,029

The following table presents our asset balances by operating segment.


By Date	By Date	Traditional		Mortgage Loans		Total		By Date	Traditional		Mortgage Loans		Total
March 31, 2022		$	55,313,310	$	7,701,904	$	63,015,214
June 30, 2022								June 30, 2022	$	56,536,621	$	7,729,642	$	64,266,263
December 31, 2021	December 31, 2021	52,388,469		7,616,134		60,004,603		December 31, 2021	52,388,469		7,616,134		60,004,603

2426

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Note 12 - Estimated Fair Values

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


		March 31, 2022													June 30, 2022
				Estimated Fair Value													Estimated Fair Value
		Carrying										Netting			Carrying										Netting
Financial Instruments	Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)		Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:	Assets:													Assets:
Cash and due from banks	Cash and due from banks	$	225,842	$	225,842	$	225,842	$	—	$	—	$	—	Cash and due from banks	$	59,596	$	59,596	$	59,596	$	—	$	—	$	—
Interest-bearing deposits	Interest-bearing deposits	100,041		100,041		100,000		41		—		—		Interest-bearing deposits	325,041		325,041		325,000		41		—		—
Securities purchased under agreements to resell	Securities purchased under agreements to resell	7,600,000		7,600,000		—		7,600,000		—		—		Securities purchased under agreements to resell	4,500,000		4,500,000		—		4,500,000		—		—
Federal funds sold	Federal funds sold	1,640,000		1,640,000		—		1,640,000		—		—		Federal funds sold	2,496,000		2,496,000		—		2,496,000		—		—
Trading securities	Trading securities	4,752,822		4,752,822		—		4,752,822		—		—		Trading securities	4,039,407		4,039,407		—		4,039,407		—		—
AFS securities	AFS securities	9,879,778		9,879,778		—		9,879,778		—		—		AFS securities	10,196,572		10,196,572		—		10,196,572		—		—
HTM securities	HTM securities	4,052,556		4,028,452		—		4,028,452		—		—		HTM securities	3,877,299		3,821,942		—		3,821,942		—		—
Advances	Advances	26,588,461		26,452,108		—		26,452,108		—		—		Advances	30,507,462		30,354,762		—		30,354,762		—		—
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,701,904		7,506,375		—		7,488,897		17,478		—		Mortgage loans held for portfolio, net	7,729,642		7,213,065		—		7,199,864		13,201		—
Accrued interest receivable	Accrued interest receivable	80,400		80,400		—		80,400		—		—		Accrued interest receivable	96,937		96,937		—		96,937		—		—
Derivative assets, net	Derivative assets, net	270,997		270,997		—		348,046		—		(77,049)		Derivative assets, net	325,848		325,848		—		497,510		—		(171,662)
Grantor trust assets (2)	Grantor trust assets (2)	58,322		58,322		58,322		—		—		—		Grantor trust assets (2)	52,400		52,400		52,400		—		—		—

Liabilities:	Liabilities:													Liabilities:
Deposits	Deposits	1,237,131		1,237,131		—		1,237,131		—		—		Deposits	907,525		907,525		—		907,525		—		—
Consolidated obligations:	Consolidated obligations:													Consolidated obligations:
Discount notes	Discount notes	18,173,383		18,168,642		—		18,168,642		—		—		Discount notes	19,587,260		19,579,547		—		19,579,547		—		—
Bonds	Bonds	39,632,188		39,331,968		—		39,331,968		—		—		Bonds	39,462,365		38,768,013		—		38,768,013		—		—
Accrued interest payable	Accrued interest payable	88,889		88,889		—		88,889		—		—		Accrued interest payable	124,999		124,999		—		124,999		—		—
Derivative liabilities, net	Derivative liabilities, net	6,645		6,645		—		1,153,103		—		(1,146,458)		Derivative liabilities, net	13,569		13,569		—		1,557,214		—		(1,543,645)
MRCS	MRCS	45,591		45,591		45,591		—		—		—		MRCS	45,583		45,583		45,583		—		—		—
Other liabilities		10,000		10,000		—		10,000		—		—

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


	December 31, 2021
			Estimated Fair Value
	Carrying										Netting
Financial Instruments	Value		Total		Level 1		Level 2		Level 3		Adjustments (1)
Assets:
Cash and due from banks	$	867,880	$	867,880	$	867,880	$	—	$	—	$	—
Interest-bearing deposits	100,041		100,041		100,000		41		—		—
Securities purchased under agreements to resell	3,500,000		3,500,000		—		3,500,000		—		—
Federal funds sold	2,580,000		2,580,000		—		2,580,000		—		—
Trading securities	3,946,799		3,946,799		—		3,946,799		—		—
AFS securities	9,159,935		9,159,935		—		9,159,935		—		—
HTM securities	4,313,773		4,322,157		—		4,322,157		—		—
Advances	27,497,835		27,462,295		—		27,462,295		—		—
Mortgage loans held for portfolio, net	7,616,134		7,810,378		—		7,787,334		23,044		—
Accrued interest receivable	80,758		80,758		—		80,758		—		—
Derivative assets, net	220,202		220,202		—		106,926		—		113,276
Grantor trust assets (2)	62,640		62,640		62,640		—		—		—

Liabilities:
Deposits	1,366,397		1,366,397		—		1,366,397		—		—
Consolidated obligations:
Discount notes	12,116,358		12,115,318		—		12,115,318		—		—
Bonds	42,361,572		42,643,536		—		42,643,536		—		—
Accrued interest payable	88,068		88,068		—		88,068		—		—
Derivative liabilities, net	12,185		12,185		—		413,776		—		(401,591)
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 2021 Form 10-K. No significant changes have been made in the current year.

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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
March 31, 2022		Total		Level 1		Level 2		Level 3		Adjustments (1)
June 30, 2022												June 30, 2022	Total		Level 1		Level 2		Level 3		Adjustments (1)
Trading securities:	Trading securities:											Trading securities:
U.S. Treasury securities		$	4,752,822	$	—	$	4,752,822	$	—	$	—
U.S. Treasury obligations												U.S. Treasury obligations	$	4,039,407	$	—	$	4,039,407	$	—	$	—
Total trading securities	Total trading securities	4,752,822		—		4,752,822		—		—		Total trading securities	4,039,407		—		4,039,407		—		—
AFS securities:	AFS securities:											AFS securities:
U.S. Treasury securities		1,480,629		—		1,480,629		—		—
U.S. Treasury obligations												U.S. Treasury obligations	2,105,878		—		2,105,878		—		—
GSE and TVA debentures	GSE and TVA debentures	2,239,807		—		2,239,807		—		—		GSE and TVA debentures	2,086,063		—		2,086,063		—		—
GSE multifamily MBS	GSE multifamily MBS	6,159,342		—		6,159,342		—		—		GSE multifamily MBS	6,004,631		—		6,004,631		—		—
Total AFS securities	Total AFS securities	9,879,778		—		9,879,778		—		—		Total AFS securities	10,196,572		—		10,196,572		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	270,941		—		347,990		—		(77,049)		Interest-rate related	325,740		—		497,402		—		(171,662)
MDCs	MDCs	56		—		56		—		—		MDCs	108		—		108		—		—
Total derivative assets, net	Total derivative assets, net	270,997		—		348,046		—		(77,049)		Total derivative assets, net	325,848		—		497,510		—		(171,662)
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	58,322		58,322		—		—		—		Grantor trust assets	52,400		52,400		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	14,961,919	$	58,322	$	14,980,646	$	—	$	(77,049)	Total assets at recurring estimated fair value	$	14,614,227	$	52,400	$	14,733,489	$	—	$	(171,662)

Derivative liabilities:	Derivative liabilities:											Derivative liabilities:
Interest-rate related	Interest-rate related	$	5,381	$	—	$	1,151,839	$	—	$	(1,146,458)	Interest-rate related	$	13,524	$	—	$	1,557,169	$	—	$	(1,543,645)
MDCs	MDCs	1,264		—		1,264		—		—		MDCs	45		—		45		—		—
Total derivative liabilities, net	Total derivative liabilities, net	6,645		—		1,153,103		—		(1,146,458)		Total derivative liabilities, net	13,569		—		1,557,214		—		(1,543,645)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	6,645	$	—	$	1,153,103	$	—	$	(1,146,458)	Total liabilities at recurring estimated fair value	$	13,569	$	—	$	1,557,214	$	—	$	(1,543,645)

Mortgage loans held for portfolio (2)	Mortgage loans held for portfolio (2)	$	1,059	$	—	$	—	$	1,059	$	—	Mortgage loans held for portfolio (2)	$	970	$	—	$	—	$	970	$	—
Total assets at non-recurring estimated fair value	Total assets at non-recurring estimated fair value	$	1,059	$	—	$	—	$	1,059	$	—	Total assets at non-recurring estimated fair value	$	970	$	—	$	—	$	970	$	—

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)


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

GSE and TVA debentures	GSE and TVA debentures	2,697,116		—		2,697,116		—		—		GSE and TVA debentures	2,697,116		—		2,697,116		—		—
GSE MBS	GSE MBS	6,462,819		—		6,462,819		—		—		GSE MBS	6,462,819		—		6,462,819		—		—
Total AFS securities	Total AFS securities	9,159,935		—		9,159,935		—		—		Total AFS securities	9,159,935		—		9,159,935		—		—
Derivative assets:	Derivative assets:											Derivative assets:
Interest-rate related	Interest-rate related	220,157		—		106,881		—		113,276		Interest-rate related	220,157		—		106,881		—		113,276
MDCs	MDCs	45		—		45		—		—		MDCs	45		—		45		—		—
Total derivative assets, net	Total derivative assets, net	220,202		—		106,926		—		113,276		Total derivative assets, net	220,202		—		106,926		—		113,276
Other assets:	Other assets:											Other assets:
Grantor trust assets	Grantor trust assets	62,640		62,640		—		—		—		Grantor trust assets	62,640		62,640		—		—		—
Total assets at recurring estimated fair value	Total assets at recurring estimated fair value	$	13,389,576	$	62,640	$	13,213,660	$	—	$	113,276	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	$	12,080	$	—	$	413,671	$	—	$	(401,591)	Interest-rate related	$	12,080	$	—	$	413,671	$	—	$	(401,591)
MDCs	MDCs	105		—		105		—		—		MDCs	105		—		105		—		—
Total derivative liabilities, net	Total derivative liabilities, net	12,185		—		413,776		—		(401,591)		Total derivative liabilities, net	12,185		—		413,776		—		(401,591)
Total liabilities at recurring estimated fair value	Total liabilities at recurring estimated fair value	$	12,185	$	—	$	413,776	$	—	$	(401,591)	Total liabilities at recurring estimated fair value	$	12,185	$	—	$	413,776	$	—	$	(401,591)

Mortgage loans held for portfolio (2)	Mortgage loans held for portfolio (2)	$	1,141	$	—	$	—	$	1,141	$	—	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	$	1,141	$	—	$	—	$	1,141	$	—	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.

Note 13 - Commitments and Contingencies

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


		March 31, 2022							June 30, 2022
Type of Commitment	Type of Commitment	Expire within one year		Expire after one year		Total		Type of Commitment	Expire within one year		Expire after one year		Total
Standby letters of credit outstanding	Standby letters of credit outstanding	$	49,567	$	414,902	$	464,469	Standby letters of credit outstanding	$	48,363	$	616,213	$	664,576
Unused lines of credit (1)	Unused lines of credit (1)	876,080		—		876,080		Unused lines of credit (1)	906,668		—		906,668
Commitments to fund additional advances (2)	Commitments to fund additional advances (2)	38,000		—		38,000		Commitments to fund additional advances (2)	68,000		—		68,000
Commitments to fund or purchase mortgage loans, net (3)	Commitments to fund or purchase mortgage loans, net (3)	86,668		—		86,668		Commitments to fund or purchase mortgage loans, net (3)	31,325		—		31,325
Unsettled CO bonds, at par	Unsettled CO bonds, at par	555,000		—		555,000		Unsettled CO bonds, at par	43,800		—		43,800

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

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

(2) Generally for periods up to six months.

(3) Generally for periods up to 91 days.

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Notes to Financial Statements, continued

(Unaudited, $ amounts in thousands unless otherwise indicated)

Pledged Collateral. At ~~March 31,~~June 30, 2022 and December 31, 2021, we had pledged cash collateral of ~~$1,152,117~~$1,509,963 and $515,740, respectively, to counterparties and clearing agents. At ~~March 31,~~June 30, 2022 and December 31, 2021, we 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 is not aware of any such proceedings where the ultimate liability, if any, 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.

Note 14 - Related Party and Other Transactions

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


Transactions with Directors' Financial Institutions	Transactions with Directors' Financial Institutions	Three Months Ended March 31,			Transactions with Directors' Financial Institutions			Three Months Ended June 30,				Six Months Ended June 30,
			2022			2021			Transactions with Directors' Financial Institutions	2022		2021		2022		2021
Net capital stock issuances (redemptions and repurchases)	Net capital stock issuances (redemptions and repurchases)		$	(50,420)		$	—			$	3,437	$	—	$	(46,983)	$	—
Net advances (repayments)	Net advances (repayments)		(1,800,285)			(1,049,277)			Net advances (repayments)	3,034,988		(993,987)		1,234,703		(2,043,264)
Mortgage loan purchases	Mortgage loan purchases		8,722			12,877			Mortgage loan purchases	4,025		16,745		12,747		29,622

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
Balances with Directors' Financial Institutions	Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total		Balances with Directors' Financial Institutions	Par value		% of Total		Par value		% of Total
Capital stock	Capital stock	$	377,624	17	%	$	440,949	19	%	Capital stock	$	381,061	17	%	$	440,949	19	%
Advances	Advances	1,916,176		7	%	3,854,856		14	%	Advances	4,695,040		16	%	3,854,856		14	%

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

Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. There were 0 loans to or borrowings from other ~~FHLBanks~~FHLBanks that remained outstanding at ~~March 31,~~June 30, 2022 or December 31, 2021.

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DEFINED TERMS

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

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

CDFI: Community Development Financial Institution

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

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

FINRA: 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

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

HTM: Held-to-Maturity

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

LCH: LCH.Clearnet LLC

LIBOR: London Interbank Offered Rate

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LRA: Lender Risk Account

LTV: Loan-to-Value

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

REO: Real Estate Owned

RMBS: Residential Mortgage-Backed Securities

S&P: Standard & Poor's Rating Service

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 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 may 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 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. U.S. real gross domestic product ("GDP") decreased at an annual inflation and seasonally-adjusted rate of ~~1.4%~~0.9% in the ~~first~~second quarter of 2022, according to the advance estimate reported by the Bureau of Economic Analysis (BEA), ~~a sharp reversal compared to~~following an ~~increased annual rate~~annualized decrease of ~~6.9%~~1.6% in the ~~fourth~~first quarter of ~~2021,~~2022, as revised by the BEA. The first quarter GDP was the weakest since the spring of 2020, when the COVID-19 pandemic and related shutdowns drove the U.S. economy into a deep-albeit short-recession. In the second quarter, the housing market rapidly cooled under rising interest rates and high inflation took steam out of business and consumer spending. The ~~drop stemmed primarily from~~two straight quarters of declining economic output met a ~~widening trade deficit. Imports to the U.S. surged and exports fell, dynamics reflecting pandemic-related supply-chain constraints. A slower pace~~commonly used definition 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.~~recession.

~~The~~However, the labor market isremained very tight and a key source of economic ~~strength currently.~~strength. Hiring gains in June held near the previous three months. Jobless ~~claims-a~~claims - a proxy for ~~layoffs-have been~~layoffs - ticked up in recent months but remained near historic lows as employers clung to employees amid a shortage of available workers. In ~~April~~July 2022, the Bureau of Labor Statistics reported that the U.S. unemployment rate ~~was~~remained at 3.6% in ~~March~~June 2022, down from 3.9% in December ~~2021.~~2021, but still just slightly above the half-century low reached before the pandemic hit in early 2020. High inflation, though, ~~is cutting~~cut into households' purchasing power. Consumer prices rose ~~8.5%~~9.1% in ~~March~~June from a year earlier, a four-decade ~~high.~~high, driven by a big jump in gasoline prices, while increases in shelter and food prices were also major contributors.

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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.

In the second quarter 2022, the housing market rapidly cooled as record prices and higher mortgage rates weighed on home sales. Existing-home sales decreased in ~~March~~June 2022, marking ~~two~~five consecutive months of declines, according to the National Association of Realtors. Year-over-year sales in June fell ~~4.5%~~14.2%. The median sales price of an existing home climbed in June by 13.4% from a year earlier, reaching the highest level since related records began in 1999. Home prices consistently moved upward as supply remained tight. Total housing ~~market is starting~~inventory at the end of June was enough to ~~feel~~cover three months of sales, the ~~impact of sharply rising mortgage rates and higher inflation.~~highest in nearly two years but still historically low. According to Freddie Mac, the average commitment rate for a 30-year, conventional, fixed-rate mortgage was ~~4.17%~~5.52% in ~~March. The average commitment rate across all of 2021 was 2.96%. Total housing inventory at the end of March was down 9.5% from one year ago. The median existing home price for all housing types~~June 2022, compared to 2.98% in ~~March was up 15.0% from March~~June 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~~continued to be a challenge for potential home buyers. Residential construction in the ~~first quarter.~~

U.S. slowed, as housing starts ~~unexpectedly rose~~fell in ~~March 2022 to~~June for the fastest rate since 2006. The jump was fueled by faster construction of 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 volatilesecond straight month and the ~~pace~~number of construction could quickly reverse course, the increase hints builders are rushing to meet demand. Rising mortgage rates will almost surely slow the construction boom later in the year as contractors aim to keep the supply-demand balance in their favor. But the March building ~~data suggests supply is bouncing back.~~permits issued declined.

Interest Rate Levels and Volatility. At its meeting in January 2022, the FOMC maintained the federal funds target range, and signaled that it would continue the process of gradually tapering its purchases of Treasury securities and Agency MBS. However, in response to inflation concerns, the FOMC indicated that it expected to raise the target range for the federal funds rate beginning in March.

At its March 2022 meeting, the FOMC stated that indicators of economic activity and employment have continued to strengthen and it raised the target range of the federal funds rate from 0.25% to 0.50%, anticipating that ongoing increases in the target range will be appropriate. In addition, the FOMC expected to begin reducing its holdings of Treasury securities and Agency debt and Agency MBS at a coming meeting.

~~The following table presents certain key interest rates.~~

Average for Three Months Ended Period End
March 31, March 31, December 31,
2022 2021 2022 2021
Federal Funds Effective 0.12 % 0.08 % 0.33 % 0.07 %
SOFR 0.09 % 0.04 % 0.29 % 0.05 %
Overnight LIBOR 0.12 % 0.08 % 0.33 % 0.06 %
1-week OIS 0.15 % 0.07 % 0.34 % 0.08 %
3-month LIBOR 0.53 % 0.20 % 0.96 % 0.21 %
3-month U.S. Treasury yield 0.29 % 0.04 % 0.50 % 0.04 %
2-year U.S Treasury yield 1.45 % 0.13 % 2.34 % 0.73 %
10-year U.S. Treasury yield 1.95 % 1.32 % 2.34 % 1.51 %

The level and volatility of interest rates during the three months ended 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~~meetings on May 4, 2022 ~~meeting,~~and June 15, 2022, the FOMC noted that inflation ~~remains~~remained elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures. To achieve its goals of maximum employment and inflation at the rate of ~~2 percent~~2% over the longer run, the FOMC decided to raise the target range for the federal funds rate in March 2022 to 0.75% to 1.0% and ~~anticipates that ongoing increases~~ in ~~the target range will be appropriate.~~June to 1.50% to 1.75%. In addition, the FOMC ~~decided to begin~~began reducing its holdings of Treasury securities and Agency debt and Agency MBS on June 1, 2022.

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The following table presents certain key interest rates.



	Average for Three Months Ended				Six-Month Average				Period End
	June 30,				June 30,				June 30,		December 31,
	2022		2021		2022		2021		2022		2021
Federal Funds Effective	0.76	%	0.07	%	0.44	%	0.07	%	1.58	%	0.07	%
SOFR	0.71	%	0.02	%	0.40	%	0.03	%	1.50	%	0.05	%
Overnight LIBOR	0.77	%	0.07	%	0.44	%	0.07	%	1.58	%	0.06	%
1-week OIS	0.84	%	0.07	%	0.49	%	0.07	%	1.59	%	0.08	%
3-month LIBOR	1.54	%	0.16	%	1.02	%	0.18	%	2.29	%	0.21	%
3-month U.S. Treasury yield	1.07	%	0.02	%	0.69	%	0.03	%	1.67	%	0.04	%
2-year U.S Treasury yield	2.72	%	0.17	%	2.09	%	0.15	%	2.96	%	0.73	%
10-year U.S. Treasury yield	2.93	%	1.58	%	2.44	%	1.45	%	3.02	%	1.51	%

The level and volatility of interest rates during the three and six months ended June 30, 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 meeting on July 27, 2022, the FOMC again indicated that inflation remained elevated, reflecting supply and demand imbalances. It also noted that Russia's war with Ukraine and related events were creating additional upward pressure on inflation and were weighing on global economic activity. Therefore, it remains highly attentive to inflation risks. To achieve its goals, the FOMC decided to raise the target range for the federal funds rate to 2.25% to 2.50%. It anticipated that ongoing increases in the target range will be appropriate.

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

Lending and investing activity by our member institutions is a key driver for our balance sheet and income growth. Such activity is a function of both prevailing interest rates and economic activity, including local economic factors, particularly relating to the housing and mortgage markets. Positive economic trends can drive interest rates higher, which can impair growth of the mortgage market. A less active mortgage market 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.

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Results of Operations and Changes in Financial Condition

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


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

Condensed Statements of Comprehensive Income	Condensed Statements of Comprehensive Income		2022		2021			$ Change		% Change		Condensed Statements of Comprehensive Income	2022		2021		$ Change		% Change		2022		2021		$ Change		% Change
Net interest income	Net interest income		$	65	$	74		$	(9)	(13)	%	Net interest income	$	64	$	57	$	7	11	%	$	128	$	132	$	(4)	(3)	%
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			—				Provision for (reversal of) credit losses	—		—		—				—		—		—
Net interest income after provision for credit losses	Net interest income after provision for credit losses		65		74			(9)		(13)	%	Net interest income after provision for credit losses	64		57		7		11	%	128		132		(4)		(3)	%
Other income (loss)	Other income (loss)		(7)		(13)			6				Other income (loss)	(2)		(10)		8				(9)		(23)		14
Other expenses	Other expenses		26		28			(2)				Other expenses	26		28		(2)				51		57		(6)
Income before assessments	Income before assessments		32		33			(1)		(5)	%	Income before assessments	36		19		17		88	%	68		52		16		29	%
AHP assessments	AHP assessments		3		3			—				AHP assessments	4		2		2				7		5		2
Net income	Net income		29		30			(1)		(4)	%	Net income	32		17		15		89	%	61		47		14		30	%
Total other comprehensive income (loss)	Total other comprehensive income (loss)		(74)		74			(148)				Total other comprehensive income (loss)	(45)		13		(58)				(119)		88		(207)

Total comprehensive income (loss)	Total comprehensive income (loss)		$	(45)	$	104		$	(149)	(143)	%	Total comprehensive income (loss)	$	(13)	$	30	$	(43)	(141)	%	$	(58)	$	135	$	(193)	(143)	%

The ~~decrease~~increase in net income for the three months ended ~~March 31,~~June 30, 2022 compared to the corresponding period in the prior year was primarily due to lower ~~net hedging gains~~amortization of mortgage purchase premiums, resulting from lower prepayments, and higher earnings on ~~qualifying fair-value hedging relationships, substantially~~the portion of the Bank's assets funded by its capital, each driven by the increase in market interest rates, partially offset by declines in the fair values of the investments indirectly funding certain employee benefit plans.

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

The decrease in total OCI for the three and six months ended ~~March 31,~~June 30, 2022 compared to the corresponding ~~period~~periods in the prior year was substantially due to unrealized losses on AFS ~~securities.~~securities, in particular investments in MBS, driven by the increase in market interest rates. However, our AFS securities remained in ana net unrealized gain position at ~~March 31,~~June 30, 2022.

The following table presents return on average assets and return on average ~~equity for the~~ ~~three months ended March 31, 2022~~ ~~was 0.20% and 3.26%, respectively, compared to 0.18% and 3.40%, respectively, for the three months ended March 31, 2021.~~equity.


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

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

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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. As a result, the Bank is reporting adjusted net income as a non-GAAP financial measure.

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Adjusted net income represents GAAP net income adjusted to exclude: (i) the mark-to-market adjustments and other transitory effects from derivatives and trading/hedging activities, (ii) interest expense on MRCS, (iii) realized gains and losses on sales of investment securities, and (iv) at the discretion of management, other eligible non-routine transactions. These adjustments reflect (i) the temporary nature of fair-value and certain other hedging gains (losses) due to the Bank's practice of holding its financial instruments to maturity, (ii) the ~~treatment~~reclassification of interest on MRCS as dividends, (iii) ~~the 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.

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

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


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

Reconciliation of Net Income	Reconciliation of Net Income	2022		2021			Reconciliation of Net Income	2022		2021		2022		2021
GAAP net income	GAAP net income	$	28.6	$	29.9		GAAP net income	$	32.3	$	17.1	$	60.9	$	47.0
Adjustments to exclude:	Adjustments to exclude:						Adjustments to exclude:
Fair-value hedging (gains) losses (1)	Fair-value hedging (gains) losses (1)	(2.0)		(18.6)			Fair-value hedging (gains) losses (1)	6.8		5.6		4.8		(13.0)
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2)		16.8		5.4
Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2)							Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2)	17.3		7.5		34.1		12.9
Trading (gains) losses, net of economic hedging gains (losses) (3)	Trading (gains) losses, net of economic hedging gains (losses) (3)	0.1		9.0			Trading (gains) losses, net of economic hedging gains (losses) (3)	(0.8)		10.1		(0.7)		19.1
Net unrealized (gains) losses on other economic hedges	Net unrealized (gains) losses on other economic hedges	1.8		0.4			Net unrealized (gains) losses on other economic hedges	(1.5)		0.1		0.3		0.5
Interest expense on MRCS	Interest expense on MRCS	0.2		1.1			Interest expense on MRCS	0.3		0.9		0.5		2.0

Total adjustments	Total adjustments	16.9		(2.7)			Total adjustments	22.1		24.2		39.0		21.5

AHP assessments (credits) on adjustments		(1.6)		0.4
AHP assessments on adjustments							AHP assessments on adjustments	(2.2)		(2.3)		(3.8)		(1.9)

Adjusted net income (non-GAAP measure)	Adjusted net income (non-GAAP measure)	$	43.9	$	27.6		Adjusted net income (non-GAAP measure)	$	52.2	$	39.0	$	96.1	$	66.6

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

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

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

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

Adjusted net income for the ~~three~~six months ended ~~March 31,~~June 30, 2022 was ~~$43.9~~$96.1 million, an increase of ~~$16.3~~$29.5 million compared to the corresponding ~~quarter~~period in the prior year. The increase was primarily due to lower accelerated amortization of mortgage purchase premiums, resulting from lower prepayments, and higher interest spreads, partially offset by declines in the fair values of the investments indirectly funding certain employee benefit plans and lower earnings ~~(excluding net gains)~~ on trading securities.

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Changes in Financial Condition for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 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	March 31, 2022		December 31, 2021		$ Change		% Change		Condensed Statements of Condition	June 30, 2022		December 31, 2021		$ Change		% Change
Advances	Advances	$	26,588	$	27,498	$	(910)	(3)	%	Advances	$	30,507	$	27,498	$	3,009	11	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,702		7,616		86		1	%	Mortgage loans held for portfolio, net	7,730		7,616		114		1	%
Cash and short-term investments (1)	Cash and short-term investments (1)	9,566		7,048		2,518		36	%	Cash and short-term investments (1)	7,381		7,048		333		5	%
Investment securities and other assets (2)	Investment securities and other assets (2)	19,159		17,843		1,316		7	%	Investment securities and other assets (2)	18,648		17,843		805		5	%
Total assets	Total assets	$	63,015	$	60,005	$	3,010	5	%	Total assets	$	64,266	$	60,005	$	4,261	7	%

Consolidated obligations	Consolidated obligations	$	57,805	$	54,478	$	3,327	6	%	Consolidated obligations	$	59,050	$	54,478	$	4,572	8	%
MRCS	MRCS	46		50		(4)		(10)	%	MRCS	46		50		(4)		(10)	%
Other liabilities	Other liabilities	1,791		1,921		(130)		(7)	%	Other liabilities	1,693		1,921		(228)		(12)	%
Total liabilities	Total liabilities	59,642		56,449		3,193		6	%	Total liabilities	60,789		56,449		4,340		8	%

Capital stock	Capital stock	2,122		2,246		(124)		(6)	%	Capital stock	2,251		2,246		5		—	%
Retained earnings (3)	Retained earnings (3)	1,192		1,177		15		1	%	Retained earnings (3)	1,212		1,177		35		3	%
AOCI	AOCI	59		133		(74)		(56)	%	AOCI	14		133		(119)		(89)	%
Total capital	Total capital	3,373		3,556		(183)		(5)	%	Total capital	3,477		3,556		(79)		(2)	%

Total liabilities and capital	Total liabilities and capital	$	63,015	$	60,005	$	3,010	5	%	Total liabilities and capital	$	64,266	$	60,005	$	4,261	7	%

Total regulatory capital (4)	Total regulatory capital (4)	$	3,360	$	3,473	$	(113)	(3)	%	Total regulatory capital (4)	$	3,509	$	3,473	$	36	1	%

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

(2) Includes trading, AFS and HTM securities.

(3) Includes restricted retained earnings at ~~March 31,~~June 30, 2022 and December 31, 2021 of $~~292~~299 million and $287 million, respectively.

(4) Total capital less AOCI plus MRCS.

Total assets at ~~March 31,~~June 30, 2022 were ~~$63.0~~$64.3 billion, a net increase of ~~$3.0~~$4.3 billion, or 5%7%, from December 31, 2021, driven primarily by a net increase in ~~cash and short-term investments.~~advances outstanding.

Advances outstanding at ~~March 31,~~June 30, 2022, at carrying value, totaled ~~$26.6~~$30.5 billion, a net ~~decrease~~increase of ~~$910 million,~~$3.0 billion, or 3%11%, from December 31, 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%~~16% and 9%, respectively.

Mortgage loans held for portfolio at ~~March 31,~~June 30, 2022 totaled $7.7 billion, a net increase of ~~$86~~$114 million, or 1%, from December 31, 2021, as the Bank's purchases exceeded principal repayments by borrowers.

The liquidity portfolio, which consists of cash and short-term investments as well as U.S. Treasury ~~securities held for trading purposes,~~obligations, at ~~March 31,~~June 30, 2022 totaled ~~$14.3~~$11.4 billion, a net increase of ~~$3.3 billion,~~$425 million, or ~~30%~~4%, from December 31, 2021. Cash and short-term investments increased by ~~$2.5 billion,~~$333 million, or ~~36%~~5%, to ~~$9.6~~$7.4 billion. U.S. Treasury ~~securities,~~obligations, classified as trading securities, increased by ~~$806~~$92 million, or ~~20%~~2%, to ~~$4.7~~$4.0 billion. As a result, cash and short-term investments represented ~~67%~~65% of the liquidity portfolio at ~~March 31,~~June 30, 2022, while U.S. Treasury ~~securities~~obligations represented ~~33%~~35%.

FHLBank Indianapolis' consolidated obligations outstanding at ~~March 31,~~June 30, 2022 totaled ~~$57.8~~$59.0 billion, a net increase of ~~$3.3~~$4.6 billion, or 6%8%, from December 31, 2021, which reflected ~~higher~~increased funding needs associated with the net increase in the Bank's total assets.

Total capital at ~~March 31,~~June 30, 2022 was ~~$3.4~~$3.5 billion, a net decrease of ~~$183~~$79 million, or 5%2%, from December 31, 2021, primarily due to ~~repurchases of capital stock.~~other comprehensive losses.

The Bank's regulatory capital-to-assets ratio at ~~March 31,~~June 30, 2022 was ~~5.33%~~5.46%, which exceeds all applicable regulatory capital requirements.

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

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

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

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

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Analysis of Results of Operations for the Three and Six Months Ended ~~March 31,~~June 30, 2022 and 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,													Three Months Ended June 30,
		2022						2021							2022						2021
		Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)			Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)
Assets:	Assets:													Assets:
Federal funds sold and securities purchased under agreements to resell	Federal funds sold and securities purchased under agreements to resell	$	6,046	$	2	0.12	%	$	8,301	$	1	0.06	%	Federal funds sold and securities purchased under agreements to resell	$	7,223	$	14	0.76	%	$	7,219	$	1	0.05	%
Investment securities (3)	Investment securities (3)	16,986		35		0.84	%	20,029		56		1.13	%	Investment securities (3)	18,060		56		1.24	%	19,607		43		0.89	%
Advances (4)	Advances (4)	26,464		35		0.54	%	29,627		36		0.49	%	Advances (4)	27,455		68		0.99	%	29,010		28		0.39	%
Mortgage loans held for portfolio (4) (5)	Mortgage loans held for portfolio (4) (5)	7,658		48		2.53	%	8,282		40		1.97	%	Mortgage loans held for portfolio (4) (5)	7,736		51		2.67	%	7,875		40		2.04	%
Other assets (interest-earning) (6)	Other assets (interest-earning) (6)	810		—		0.15	%	903		—		0.07	%	Other assets (interest-earning) (6)	1,458		3		0.73	%	731		—		0.07	%
Total interest-earning assets	Total interest-earning assets	57,964		120		0.84	%	67,142		133		0.81	%	Total interest-earning assets	61,932		192		1.24	%	64,442		112		0.70	%
Other assets (7)	Other assets (7)	881						916						Other assets (7)	(413)						571
Total assets	Total assets	$	58,845					$	68,058					Total assets	$	61,519					$	65,013

Liabilities and Capital:	Liabilities and Capital:													Liabilities and Capital:
Interest-bearing deposits	Interest-bearing deposits	$	1,347	—		0.03	%	$	1,511	—		0.01	%	Interest-bearing deposits	$	1,215	2		0.51	%	$	1,694	—		0.01	%
Discount notes	Discount notes	12,830		4		0.12	%	18,773		4		0.09	%	Discount notes	17,102		27		0.62	%	16,497		2		0.04	%
CO bonds (4)	CO bonds (4)	40,430		51		0.52	%	43,225		54		0.50	%	CO bonds (4)	39,146		99		1.02	%	42,319		52		0.50	%
MRCS	MRCS	48		—		2.05	%	243		1		1.85	%	MRCS	46		—		2.37	%	233		1		1.60	%

Total interest-bearing liabilities	Total interest-bearing liabilities	54,655		55		0.41	%	63,752		59		0.38	%	Total interest-bearing liabilities	57,509		128		0.89	%	60,743		55		0.37	%
Other liabilities	Other liabilities	633						738						Other liabilities	512						716
Total capital	Total capital	3,557						3,568						Total capital	3,498						3,554
Total liabilities and capital	Total liabilities and capital	$	58,845					$	68,058					Total liabilities and capital	$	61,519					$	65,013

Net interest income	Net interest income			$	65					$	74			Net interest income			$	64					$	57

Net spread on interest-earning assets less interest-bearing liabilities(2)	Net spread on interest-earning assets less interest-bearing liabilities(2)					0.43	%					0.43	%	Net spread on interest-earning assets less interest-bearing liabilities(2)					0.35	%					0.33	%

Net interest margin (8)	Net interest margin (8)					0.45	%					0.44	%	Net interest margin (8)					0.41	%					0.36	%

Average interest-earning assets to interest-bearing liabilities	Average interest-earning assets to interest-bearing liabilities	1.06						1.05						Average interest-earning assets to interest-bearing liabilities	1.08						1.06

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	Six Months Ended June 30,
	2022						2021
	Average Balance		Interest Income/ Expense (1)		Average Yield/ Cost of Funds (1) (2)		Average Balance		Interest Income/ Expense (1)		Average Yield/Cost of Funds (1) (2)
Assets:
Federal funds sold and securities purchased under agreements to resell	$	6,638	$	15	0.47	%	$	7,757	$	2	0.05	%
Investment securities (3)	17,826		92		1.03	%	19,817		99		1.01	%
Advances (4)	26,963		102		0.77	%	29,317		65		0.44	%
Mortgage loans held for portfolio (4) (5)	7,697		99		2.60	%	8,077		80		2.01	%
Other assets (interest-earning) (6)	1,136		3		0.52	%	816		—		0.07	%
Total interest-earning assets	60,260		311		1.04	%	65,784		246		0.76	%
Other assets (7)	(71)						743
Total assets	$	60,189					$	66,527

Liabilities and Capital:
Interest-bearing deposits	$	1,281	1		0.26	%	$	1,602	—		0.01	%
Discount notes	14,978		30		0.41	%	17,629		6		0.07	%
CO bonds (4)	39,785		151		0.76	%	42,770		106		0.50	%
MRCS	47		1		2.20	%	238		2		1.73	%

Total interest-bearing liabilities	56,091		183		0.66	%	62,239		114		0.37	%
Other liabilities	571						727
Total capital	3,527						3,561
Total liabilities and capital	$	60,189					$	66,527

Net interest income			$	128					$	132

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

Net interest margin (8)					0.43	%					0.40	%

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

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

(2) Annualized.

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

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

(5) Includes non-accrual loans.

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

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

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

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The ~~decrease~~increase in net interest income for the three months ended ~~March 31,~~June 30, 2022 compared to the corresponding period in 2021 was primarily due to lower ~~net hedging gains~~amortization of mortgage purchase premium, resulting from lower prepayments, and higher earnings on ~~qualifying fair-value hedging relationships as well as~~the portion of the Bank's assets funded by its capital, partially offset by lower net interest income on trading securities. Net interest income for the three months ended June 30, 2022 included net hedging losses of $7 million, compared to net hedging losses for the corresponding period in 2021 of $6 million.

The decrease in net interest income for the six months ended June 30, 2022 compared to the corresponding period in 2021 was primarily due to lower net interest income on trading securities and net hedging losses partially offset by lower amortization of mortgage purchase premium, resulting from lower ~~prepayments.~~prepayments, and higher earnings on the portion of the Bank's assets funded by its capital. Net interest income for the ~~three~~six months ended ~~March 31,~~June 30, 2022 included net hedging ~~gains~~losses of $2$5 million, compared to net hedging gains for the corresponding period in 2021 of ~~$19~~$13 million.

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

Yields/Cost of Funds. The average yield on total interest-earning assets, including the impact of hedging gains/losses but excluding certain impacts of trading securities, for the three months ended ~~March 31,~~June 30, 2022 was ~~0.84%~~1.24%, an increase of 354 bps compared to the corresponding period in 2021. The yield on advances and investment securities ~~decreased~~increased due primarily to ~~a lower average coupon on the trading securities and lower net hedging gains.~~increasing market interest rates. The yield on mortgage loans held for portfolio increased due to lower amortization of purchase premium resulting from lower prepayments on mortgage loans. The average cost of funds of total interest-bearing liabilities, including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the three months ended ~~March 31,~~June 30, 2022 was ~~0.41%~~0.89%, an increase of 352 bps due primarily to an increase in market interest rates. The net effect was a slight increase in the overall net interest spread under GAAP compared to the corresponding period in 2021.

The average yield on total interest-earning assets, including the impact of hedging gains/losses but excluding certain impacts of trading securities, for the six months ended June 30, 2022 was 1.04%, an increase of 28 bps compared to the corresponding period in 2021. The yield on advances and investment securities increased due primarily to an increase in market interest rates. The yield on mortgage loans held for portfolio increased due to lower amortization of purchase premium resulting from lower prepayments on mortgage loans. The average cost of funds of total interest-bearing liabilities, including the impact of hedging gains and losses but excluding certain impacts of trading securities, for the six months ended June 30, 2022 was 0.66%, an increase of 29 bps due primarily to an increase in market interest rates, and hedging losses, on our consolidated obligations. The net effect was ~~no change~~a slight decrease in the overall net interest spread under GAAP compared to the corresponding period in 2021.

Average Balances. The average balances outstanding of interest-earning assets for the three months ended ~~March 31,~~June 30, 2022 decreased by ~~14%~~4% compared to the corresponding period in 2021. The average balances of ~~advances~~investment securities and ~~mortgage loans~~advances decreased by ~~11%~~8% and 8%5%, respectively, reflecting ~~paydowns by our borrowers.~~net principal paydowns. The decrease in average interest-bearing liabilities ~~reflected~~exceeded the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, increased by 20%.

The average balances outstanding of interest-earning assets for the six months ended June 30, 2022decreased by 2%8% compared to the corresponding period in 2021. The average balances of investment securities and advances decreased by 10% and 8%, respectively, reflecting net principal paydowns. The decrease in average interest-bearing liabilities exceeded the decrease in average interest-earning assets. The average balances of total interest-earning assets, net of interest-bearing liabilities, increased by 18%.

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

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


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

Net unrealized gains (losses) on trading securities (1)	Net unrealized gains (losses) on trading securities (1)		$	(7)	$	(16)		Net unrealized gains (losses) on trading securities (1)	$	(11)	$	(13)	$	(18)	$	(29)
Net realized gains (losses) on trading securities (2)	Net realized gains (losses) on trading securities (2)		(17)		3			Net realized gains (losses) on trading securities (2)	(3)		(1)		(20)		2
Net gains (losses) on trading securities	Net gains (losses) on trading securities		(24)		(13)			Net gains (losses) on trading securities	(14)		(14)		(38)		(27)

Net gains (losses) on derivatives hedging trading securities	Net gains (losses) on derivatives hedging trading securities		24		5			Net gains (losses) on derivatives hedging trading securities	17		3		41		8
Net interest settlements on derivatives (3)	Net interest settlements on derivatives (3)		(2)		(5)			Net interest settlements on derivatives (3)	1		(3)		(1)		(8)
Net gains (losses) on other derivatives not designated as hedging instruments	Net gains (losses) on other derivatives not designated as hedging instruments		(2)		(1)			Net gains (losses) on other derivatives not designated as hedging instruments	(1)		—		(3)		(1)
Net gains (losses) on derivatives	Net gains (losses) on derivatives		20		(1)			Net gains (losses) on derivatives	17		—		37		(1)

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

Total other income (loss)	Total other income (loss)		$	(7)	$	(13)		Total other income (loss)	$	(2)	$	(10)	$	(9)	$	(23)

(1) 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 decrease in total other loss for the three and six months ended ~~March 31,~~June 30, 2022 compared to the corresponding ~~period~~periods in 2021 was primarily due to increases in the fair values of swaps hedging trading securities, partially offset by ~~higher net losses on trading securities.~~declines in the fair values of the investments indirectly funding certain employee benefit plans.

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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,					Three Months Ended June 30,				Six Months Ended June 30,
Earnings Components of Trading Securities	Earnings Components of Trading Securities	2022		2021		Earnings Components of Trading Securities	2022		2021		2022		2021
Net interest income (1)	Net interest income (1)	$	5	$	15	Net interest income (1)	$	1	$	14	$	5	$	28

Other income:	Other income:					Other income:
Net unrealized gains (losses)	Net unrealized gains (losses)	(7)		(16)		Net unrealized gains (losses)	(11)		(13)		(18)		(29)
Net realized gains (losses)	Net realized gains (losses)	(17)		3		Net realized gains (losses)	(3)		(1)		(20)		2
Net interest settlements on derivatives	Net interest settlements on derivatives	(2)		(5)		Net interest settlements on derivatives	2		(2)		—		(8)
Change in fair value of derivatives	Change in fair value of derivatives	24		4		Change in fair value of derivatives	17		3		41		8

Other income (loss), net	Other income (loss), net	(2)		(14)		Other income (loss), net	5		(13)		3		(27)

Net impact of trading securities on income before assessments	Net impact of trading securities on income before assessments	$	3	$	1	Net impact of trading securities on income before assessments	$	6	$	1	$	8	$	1

(1) Includes an estimated allocation of interest expense.

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
Components	Components		2022		2021			Components	2022		2021		2022		2021
Compensation and benefits	Compensation and benefits		$	13	$	16		Compensation and benefits	$	13	$	14	$	26	$	30
Other operating expenses	Other operating expenses		7		7			Other operating expenses	8		7		15		15
Finance Agency and Office of Finance	Finance Agency and Office of Finance		3		3			Finance Agency and Office of Finance	3		3		6		6
Other			3		2
Other, net								Other, net	2		4		4		6

Total other expenses	Total other expenses		$	26	$	28		Total other expenses	$	26	$	28	$	51	$	57

The net decrease in total other expenses for the three months ended ~~March 31,~~June 30, 2022 compared to the corresponding period in 2021 was primarily due to ~~excise tax refunds received~~a decrease in other net expenses, primarily due to lower non-service costs associated with our SERP.

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

AHP Assessments. For the three and six months ended ~~March 31,~~June 30, 2022, our required AHP expense was ~~$3 million.~~$4 million and $7 million, respectively. Our AHP expense fluctuates in accordance with our net earnings.

Total Other Comprehensive Income (Loss). Total OCI for the three and six months ended ~~March 31,~~June 30, 2022 consisted primarily of net unrealized losses on AFS securities, compared to net unrealized gains on AFS securities for the corresponding ~~period~~periods in 2021. These amounts were primarily impacted by changes in interest rates, credit spreads and volatility.

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Operating Segments

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

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
Traditional	Traditional		2022		2021			Traditional	2022		2021		2022		2021
Net interest income	Net interest income		$	53	$	74		Net interest income	$	51	$	53	$	103	$	128
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)		(7)		(13)			Other income (loss)	(2)		(10)		(9)		(23)
Other expenses	Other expenses		22		24			Other expenses	22		24		44		49
Income before assessments	Income before assessments		24		37			Income before assessments	27		19		50		56
AHP assessments	AHP assessments		2		3			AHP assessments	3		2		5		5

Net income	Net income		$	22	$	34		Net income	$	24	$	17	$	45	$	51

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

The decrease in net income for the traditional segment for the ~~three~~six months ended ~~March 31,~~June 30, 2022 compared to the corresponding period in 2021 was primarily due to ~~lower~~ net hedging ~~gains~~losses on qualifying fair-value hedging ~~relationships.~~relationships and declines in the fair values of investments indirectly funding certain employee benefit plans, partially offset by higher earnings on the portion of the Bank's assets funded by its capital, driven by the increase in market interest rates.

Interest income on trading securities is recorded in net interest income, while the impact of purchase discount (premium) is recorded in other income through mark-to-market gains (losses) on trading securities. Net interest settlements on derivatives hedging trading securities are also recorded in other income.

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


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
Mortgage Loans	Mortgage Loans		2022		2021			Mortgage Loans	2022		2021		2022		2021
Net interest income	Net interest income		$	12	$	—		Net interest income	$	13	$	4	$	25	$	4
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses		—		—			Provision for (reversal of) credit losses	—		—		—		—
Other income (loss)	Other income (loss)		—		—			Other income (loss)	—		—		—		—
Other expenses	Other expenses		4		4			Other expenses	4		4		7		8
Income (loss) before assessments	Income (loss) before assessments		8		(4)			Income (loss) before assessments	9		—		18		(4)
AHP assessments (credits)	AHP assessments (credits)		1		—			AHP assessments (credits)	1		—		2		—

Net income (loss)	Net income (loss)		$	7	$	(4)		Net income (loss)	$	8	$	—	$	16	$	(4)

The increase in net income for the mortgage loans segment for the three and six months ended ~~March 31,~~June 30, 2022 compared to the corresponding ~~period~~periods in 2021 was ~~primarily~~substantially due to lower amortization of mortgage purchase premiums resulting from lower prepayments.

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Analysis of Financial Condition

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
Major Asset Categories	Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total		Major Asset Categories	Carrying Value		% of Total		Carrying Value		% of Total
Advances	Advances	$	26,588	42	%	$	27,498	46	%	Advances	$	30,507	47	%	$	27,498	46	%
Mortgage loans held for portfolio, net	Mortgage loans held for portfolio, net	7,702		12	%	7,616		13	%	Mortgage loans held for portfolio, net	7,730		12	%	7,616		13	%
Cash and short-term investments	Cash and short-term investments	9,566		15	%	7,048		12	%	Cash and short-term investments	7,381		12	%	7,048		12	%
Trading securities	Trading securities	4,753		8	%	3,947		7	%	Trading securities	4,039		6	%	3,947		7	%
Other investment securities	Other investment securities	13,933		22	%	13,474		22	%	Other investment securities	14,074		22	%	13,474		22	%
Other assets (1)	Other assets (1)	473		1	%	422		—	%	Other assets (1)	535		1	%	422		—	%

Total assets	Total assets	$	63,015	100	%	$	60,005	100	%	Total assets	$	64,266	100	%	$	60,005	100	%

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

Total assets as of ~~March 31,~~June 30, 2022 were ~~$63.0~~$64.3 billion, a net increase of ~~$3.0~~$4.3 billion, or 5%7%, compared to December 31, 2021, primarily driven by a net increase in ~~cash and short-term investments.~~advances outstanding. The mix of our assets at ~~March 31,~~June 30, 2022 changed slightly compared to December 31, 2021 in that advances as a percent of total assets ~~declined~~increased from ~~46%~~46% to ~~42% while cash and short-term investments increased from~~ ~~12% to 15%~~47%, reflecting primarily the ~~paydowns~~increased use of short-term advances ~~and the availability of short-term investments at attractive interest rates relative to~~by our ~~cost of funds.~~members.

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

Advances at ~~March 31,~~June 30, 2022 at carrying value totaled ~~$26.6~~$30.5 billion, a net ~~decrease~~increase of ~~$910 million,~~$3.0 billion, or 3%11%, compared to December 31, 2021. ~~The unprecedented level of liquidity injected by the Federal Reserve, excess deposits held~~This increase reflects higher demand by our members ~~alternative sources~~for advances in response to their loan growth significantly outpacing their deposit growth, rising market interest rates, and the availability of ~~wholesale funds available~~suitable products to assist our members ~~continued consolidation~~in managing their balance sheets in the ~~financial services industry involving our members, and the impacts of governmental relief efforts in response to the COVID-19 pandemic continue to dampen overall demand for advances.~~current economic environment.

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Our advances portfolio is well-diversified with advances to commercial banks and savings institutions, credit unions, and insurance companies. Advances to depository institutions, as a percent of total advances outstanding at par value, were ~~48%~~55% at ~~March 31,~~June 30, 2022, while advances to insurance companies were ~~52%~~45%.

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
Borrower Type	Borrower Type	Par Value		% of Total		Par Value		% of Total		Borrower Type	Par Value		% of Total		Par Value		% of Total
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions	Commercial banks and savings institutions	$	10,418	39	%	$	12,199	45	%	Commercial banks and savings institutions	$	14,055	46	%	$	12,199	45	%
Credit unions	Credit unions	2,167		8	%	2,199		8	%	Credit unions	2,674		9	%	2,199		8	%
Former members - depositories	Former members - depositories	224		1	%	225		1	%	Former members - depositories	224		—	%	225		1	%
Total depository institutions	Total depository institutions	12,809		48	%	14,623		54	%	Total depository institutions	16,953		55	%	14,623		54	%

Insurance companies:	Insurance companies:									Insurance companies:
Captive insurance companies (1)	Captive insurance companies (1)	263		1	%	263		1	%	Captive insurance companies (1)	263		1	%	263		1	%
Other insurance companies	Other insurance companies	13,698		51	%	12,419		45	%	Other insurance companies	13,624		44	%	12,419		45	%
Former members - other insurance companies	Former members - other insurance companies	5		—	%	5		—	%	Former members - other insurance companies	5		—	%	5		—	%
Total insurance companies	Total insurance companies	13,966		52	%	12,687		46	%	Total insurance companies	13,892		45	%	12,687		46	%

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

Total advances outstanding	Total advances outstanding	$	26,775	100	%	$	27,310	100	%	Total advances outstanding	$	30,845	100	%	$	27,310	100	%

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

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
Product Type and Redemption Term	Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total		Product Type and Redemption Term	Par Value		% of Total		Par Value		% of Total
Fixed-rate:	Fixed-rate:									Fixed-rate:
Without call or put options	Without call or put options									Without call or put options
Due in 1 year or less	Due in 1 year or less	$	7,843	29	%	$	7,670	29	%	Due in 1 year or less	$	12,593	41	%	$	7,670	29	%
Due after 1 through 5 years	Due after 1 through 5 years	5,086		19	%	5,708		21	%	Due after 1 through 5 years	5,437		18	%	5,708		21	%
Due after 5 through 15 years	Due after 5 through 15 years	743		3	%	752		3	%	Due after 5 through 15 years	978		3	%	752		3	%
Thereafter	Thereafter	2		—	%	2		—	%	Thereafter	2		—	%	2		—	%
Total	Total	13,674		51	%	14,132		53	%	Total	19,010		62	%	14,132		53	%

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

Putable	Putable									Putable
Due in 1 year or less	Due in 1 year or less	—		—	%	—		—	%	Due in 1 year or less	250		1	%	—		—	%
Due after 1 through 5 years	Due after 1 through 5 years	2,256		8	%	2,289		8	%	Due after 1 through 5 years	1,883		6	%	2,289		8	%
Due after 5 through 15 years	Due after 5 through 15 years	5,613		21	%	5,747		21	%	Due after 5 through 15 years	4,038		13	%	5,747		21	%
Thereafter	Thereafter	—		—	%	—		—	%	Thereafter	—		—	%	—		—	%
Total	Total	7,869		29	%	8,036		29	%	Total	6,171		20	%	8,036		29	%

Other (1)	Other (1)									Other (1)
Due in 1 year or less	Due in 1 year or less	49		—	%	50		—	%	Due in 1 year or less	50		—	%	50		—	%
Due after 1 through 5 years	Due after 1 through 5 years	65		—	%	64		—	%	Due after 1 through 5 years	54		—	%	64		—	%
Due after 5 through 15 years	Due after 5 through 15 years	34		—	%	24		—	%	Due after 5 through 15 years	32		—	%	24		—	%
Thereafter	Thereafter	16		—	%	3		—	%	Thereafter	16		—	%	3		—	%
Total	Total	164		—	%	141		—	%	Total	152		—	%	141		—	%

Total fixed-rate	Total fixed-rate	21,714		80	%	22,316		82	%	Total fixed-rate	25,340		82	%	22,316		82	%

Variable-rate:	Variable-rate:									Variable-rate:
Without call or put options	Without call or put options									Without call or put options
Due in 1 year or less	Due in 1 year or less	9		—	%	18		—	%	Due in 1 year or less	256		1	%	18		—	%
Due after 1 through 5 years	Due after 1 through 5 years	167		1	%	167		1	%	Due after 1 through 5 years	167		1	%	167		1	%
Due after 5 through 15 years	Due after 5 through 15 years	—		—	%	—		—	%	Due after 5 through 15 years	—		—	%	—		—	%
Thereafter	Thereafter	—		—	%	—		—	%	Thereafter	—		—	%	—		—	%
Total	Total	176		1	%	185		1	%	Total	423		2	%	185		1	%

Callable or prepayable	Callable or prepayable									Callable or prepayable
Due in 1 year or less	Due in 1 year or less	171		1	%	126		—	%	Due in 1 year or less	221		1	%	126		—	%
Due after 1 through 5 years	Due after 1 through 5 years	2,879		11	%	2,831		10	%	Due after 1 through 5 years	2,965		9	%	2,831		10	%
Due after 5 through 15 years	Due after 5 through 15 years	1,480		6	%	1,297		5	%	Due after 5 through 15 years	1,443		5	%	1,297		5	%
Thereafter	Thereafter	355		1	%	555		2	%	Thereafter	355		1	%	555		2	%
Total	Total	4,885		19	%	4,809		17	%	Total	4,984		16	%	4,809		17	%

Total variable-rate	Total variable-rate	5,061		20	%	4,994		18	%	Total variable-rate	5,407		18	%	4,994		18	%

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

Total advances	Total advances	$	26,775	100	%	$	27,310	100	%	Total advances	$	30,845	100	%	$	27,310	100	%

(1) Includes fixed-rate amortizing/mortgage matched advances.

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During the ~~three~~six months ended ~~March 31,~~June 30, 2022, the par value of advances due in one year or less increased by 3%71%, while advances due after one year decreased by 4%11%. As a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled ~~30%~~44% at ~~March 31,~~June 30, 2022, an increase from 29% at December 31, 2021. However, during the three months ended June 30, 2022, in response to the Bank exercising its option on certain long-term putable advances, several members replaced that funding with short-term advances without put options. Based on the earlier of the redemption date or the next put date, advances due in one year or less increased by 27%, while advances due after one year decreased by less than 1%. As a result, advances due in one year or less, as a percentage of the total outstanding at par, totaled 55% at June 30, 2022, an increase from 49% at December 31, 2021. For additional information, see Notes to Financial Statements - Note 4 - Advances.

Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio at ~~March 31,~~June 30, 2022, at carrying value, totaled $7.7 billion, a net increase of $86114 million, or 1%, from December 31, 2021, as the Bank's purchases exceeded principal repayments ~~by borrowers~~. For the ~~three~~six months ended ~~March 31,~~June 30, 2022, purchases of mortgage loans under Advantage MPP totaled ~~$460~~$772 million, while MPP and MPF program repayments totaled ~~$340~~$600 million.

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


Components	Components	March 31, 2022		December 31, 2021		Components	June 30, 2022		December 31, 2021		Change
Cash and short-term investments:	Cash and short-term investments:					Cash and short-term investments:
Cash and due from banks	Cash and due from banks	$	226	$	868	Cash and due from banks	$	60	$	868	$	(808)
Interest-bearing deposits	Interest-bearing deposits	100		100		Interest-bearing deposits	325		100		225
Securities purchased under agreements to resell	Securities purchased under agreements to resell	7,600		3,500		Securities purchased under agreements to resell	4,500		3,500		1,000
Federal funds sold	Federal funds sold	1,640		2,580		Federal funds sold	2,496		2,580		(84)
Total cash and short-term investments	Total cash and short-term investments	9,566		7,048		Total cash and short-term investments	7,381		7,048		333

Trading securities:	Trading securities:					Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	4,753		3,947		U.S. Treasury obligations	4,039		3,947		92
Total trading securities	Total trading securities	4,753		3,947		Total trading securities	4,039		3,947		92

Other investment securities:	Other investment securities:					Other investment securities:
AFS securities:	AFS securities:					AFS securities:
U.S. Treasury obligations	U.S. Treasury obligations	1,481		—		U.S. Treasury obligations	2,106		—		2,106
GSE and TVA debentures	GSE and TVA debentures	2,240		2,697		GSE and TVA debentures	2,086		2,697		(611)
GSE multifamily MBS	GSE multifamily MBS	6,159		6,463		GSE multifamily MBS	6,005		6,463		(458)
Total AFS securities	Total AFS securities	9,880		9,160		Total AFS securities	10,197		9,160		1,037

HTM securities:	HTM securities:					HTM securities:

Other U.S. obligations single-family MBS	Other U.S. obligations single-family MBS	2,545		2,626		Other U.S. obligations single-family MBS	2,522		2,626		(104)
GSE single-family MBS	GSE single-family MBS	765		816		GSE single-family MBS	722		816		(94)
GSE multifamily MBS	GSE multifamily MBS	743		872		GSE multifamily MBS	633		872		(239)
Total HTM securities	Total HTM securities	4,053		4,314		Total HTM securities	3,877		4,314		(437)

Total investment securities	Total investment securities	18,686		17,421		Total investment securities	18,113		17,421		692

Total cash and investments, carrying value	Total cash and investments, carrying value	$	28,252	$	24,469	Total cash and investments, carrying value	$	25,494	$	24,469	$	1,025

Cash and Short-Term Investments. Cash and short-term investments at ~~March 31,~~June 30, 2022 totaled ~~$9.6~~$7.4 billion, an increase of ~~$2.5 billion,~~$333 million, or ~~36%~~5%, from December 31, 2021. Cash and short-term investments as a percent of total assets at ~~March 31,~~June 30, 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,~~June 30, 2022, the availability of short-term investments at attractive interest rates, relative to our cost of funds.

Trading Securities. We purchase U.S. Treasury ~~securities~~obligations as trading securities to enhance the Bank's liquidity. Such securities outstanding at ~~March 31,~~June 30, 2022 totaled $~~4.7~~4.0 billion, an increase of ~~$806~~$92 million, or ~~20%~~2%, from December 31, 2021.

As a result, the liquidity portfolio at ~~March 31,~~June 30, 2022 totaled $~~14.3~~11.4 billion, an increase of ~~$3.3 billion,~~$425 million, or ~~30%~~4%, from December 31, 2021.

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Other Investment Securities. AFS securities at ~~March 31,~~June 30, 2022 totaled ~~$9.9~~$10.2 billion, a net increase of ~~$720 million,~~$1.0 billion, or 8%11%, from December 31, 2021. The increase resulted from purchases of longer-term U.S. Treasury obligations, partially offset by principal payments on Agency debentures and MBS.

Net unrealized gains on AFS securities at ~~March 31,~~June 30, 2022 totaled ~~$77~~$32 million, a net decrease of ~~$74~~$120 million compared to December 31, 2021, primarily due to changes in interest rates, credit spreads and volatility.

HTM securities at ~~March 31,~~June 30, 2022 totaled ~~$4.1~~$3.9 billion, a net decrease of ~~$261~~$436 million, or 6%10%, from December 31, 2021. The decrease resulted from principal payments on these ~~securities.~~securities, partially offset by purchases of MBS.

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


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

Total fixed-rate trading securities	Total fixed-rate trading securities	$	4,753	100	%	$	3,947	100	%	Total fixed-rate trading securities	$	4,039	100	%	$	3,947	100	%

		Amortized Cost		% of Total		Amortized Cost		% of Total			Amortized Cost		% of Total		Amortized Cost		% of Total

AFS (1) and HTM securities:	AFS (1) and HTM securities:									AFS (1) and HTM securities:
Total fixed-rate	Total fixed-rate	$	10,015	72	%	$	9,226	69	%	Total fixed-rate	$	10,375	74	%	$	9,226	69	%
Total variable-rate	Total variable-rate	3,839		28	%	4,096		31	%	Total variable-rate	3,667		26	%	4,096		31	%

Total AFS and HTM securities	Total AFS and HTM securities	$	13,854	100	%	$	13,322	100	%	Total AFS and HTM securities	$	14,042	100	%	$	13,322	100	%

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

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

Total Liabilities. Total liabilities at ~~March 31,~~June 30, 2022 were $~~59.6~~60.8 billion, a net increase of ~~$3.2~~$4.3 billion, or 6%8%, from December 31, 2021, substantially due to an increase in consolidated obligations.

Deposits (Liabilities). Total deposits at ~~March 31,~~June 30, 2022 were ~~$1.2 billion,~~$908 million, a net decrease of ~~$129~~$459 million, or 9%34%, from December 31, 2021. These deposits 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 ~~March 31,~~June 30, 2022 totaled ~~$57.8~~$59.0 billion, a net increase of ~~$3.3~~$4.6 billion, or 6%8%, from December 31, 2021, which reflected increased funding needs associated with the net 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).


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
By Term	By Term	Par Value		% of Total		Par Value		% of Total		By Term	Par Value		% of Total		Par Value		% of Total
Consolidated obligations due in 1 year or less:	Consolidated obligations due in 1 year or less:									Consolidated obligations due in 1 year or less:
Discount notes	Discount notes	$	18,178	31	%	$	12,118	22	%	Discount notes	$	19,617	32	%	$	12,118	22	%
CO bonds	CO bonds	10,574		18	%	14,357		26	%	CO bonds	8,950		15	%	14,357		26	%
Total due in 1 year or less	Total due in 1 year or less	28,752		49	%	26,475		48	%	Total due in 1 year or less	28,567		47	%	26,475		48	%
Long-term CO bonds	Long-term CO bonds	30,150		51	%	28,193		52	%	Long-term CO bonds	32,001		53	%	28,193		52	%

Total consolidated obligations	Total consolidated obligations	$	58,902	100	%	$	54,668	100	%	Total consolidated obligations	$	60,568	100	%	$	54,668	100	%

The mix of our funding due in 1 year or less changed as discount notes increased and CO bonds ~~decreased.~~decreased, partially due to the increase in short-term advances. We continue to seek to maintain a sufficient liquidity and funding balance between our financial assets and financial liabilities.

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


Hedged Item	Hedged Item	March 31, 2022		December 31, 2021		Hedged Item	June 30, 2022		December 31, 2021
Advances	Advances	$	22,450	$	21,084	Advances	$	21,037	$	21,084
Investments		15,553		13,356
AFS securities						AFS securities	15,570		13,356
Mortgage loans MDCs	Mortgage loans MDCs	180		194		Mortgage loans MDCs	64		194
CO bonds	CO bonds	25,838		21,177		CO bonds	28,284		21,177

Total notional		$	64,021	$	55,811
Total notional outstanding						Total notional outstanding	$	64,955	$	55,811

The increase in the total notional amount outstanding during the ~~three~~six months ended ~~March 31,~~June 30, 2022 of ~~$8.2~~$9.1 billion, or ~~15%~~16%, 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 an increase in long-term callable CO bonds, ~~outstanding.~~and an increase in fixed-rate AFS securities, driven primarily by the purchase of U.S. Treasury obligations.

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


March 31, 2022		Advances		AFS Securities		CO Bonds		Total
June 30, 2022										June 30, 2022	Advances		AFS Securities		CO Bonds		Total
Cumulative fair-value hedging basis adjustments on hedged items	Cumulative fair-value hedging basis adjustments on hedged items	$	(195)	$	(288)	$	1,143	$	660	Cumulative fair-value hedging basis adjustments on hedged items	$	(345)	$	(577)	$	1,530	$	608
Estimated fair value of associated derivatives, net	Estimated fair value of associated derivatives, net	199		596		(1,149)		(354)		Estimated fair value of associated derivatives, net	344		869		(1,539)		(326)

Net cumulative fair-value hedging basis adjustments	Net cumulative fair-value hedging basis adjustments	$	4	$	308	$	(6)	$	306	Net cumulative fair-value hedging basis adjustments	$	(1)	$	292	$	(9)	$	282

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,~~June 30, 2022 was ~~$3.4~~$3.5 billion, a net decrease of ~~$183~~$79 million, or 5%2%, from December 31, 2021, primarily due to ~~repurchases of capital stock.~~other comprehensive losses, which substantially resulted from unrealized losses on investments in MBS, driven by the increase in market interest rates.

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


Components	Components	March 31, 2022		December 31, 2021		Components	June 30, 2022		December 31, 2021
Capital stock	Capital stock	63	%	63	%	Capital stock	65	%	63	%
Retained earnings	Retained earnings	35	%	33	%	Retained earnings	35	%	33	%
AOCI	AOCI	2	%	4	%	AOCI	—	%	4	%
Total GAAP capital	Total GAAP capital	100	%	100	%	Total GAAP capital	100	%	100	%

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

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


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

Total GAAP capital	Total GAAP capital	$	3,373	$	3,556	Total GAAP capital	$	3,477	$	3,556
Exclude: AOCI	Exclude: AOCI	(59)		(133)		Exclude: AOCI	(14)		(133)
Add: MRCS	Add: MRCS	46		50		Add: MRCS	46		50
Total regulatory capital	Total regulatory capital	$	3,360	$	3,473	Total regulatory capital	$	3,509	$	3,473

Liquidity and Capital Resources

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

Our cash and short-term investments at ~~March 31,~~June 30, 2022 totaled ~~$9.6~~$7.4 billion. Our short-term investments generally consist of high-quality financial instruments, many of which mature overnight. Our trading securities at ~~March 31,~~June 30, 2022 totaled ~~$4.7~~$4.0 billion and consisted solely of U.S. Treasury ~~securities.~~obligations. As a result, our liquidity portfolio at ~~March 31,~~June 30, 2022 totaled ~~$14.3~~$11.4 billion, or ~~23%~~18% of total assets. The level of our liquidity fluctuates and is influenced by regulatory requirements, actual and anticipated member advance activity and market conditions and opportunities.

During the ~~three~~six months ended ~~March 31,~~June 30, 2022, we maintained sufficient access to funding; our net proceeds from the issuance of consolidated obligations totaled ~~$119.2~~$380.1 billion.

Changes in Cash Flow. Net cash provided by operating activities for the ~~three~~six months ended ~~March 31,~~June 30, 2022 was ~~$559~~$935 million, compared to net cash provided by operating activities for the ~~three~~six months ended ~~March 31,~~June 30, 2021 of ~~$240~~$154 million. The net change in cash provided by operating activities of ~~$319~~$777 million was substantially due to the fluctuation in variation margin payments on cleared derivatives. Such payments are treated by the ~~clearinghouses~~Clearinghouses as daily settled contracts.

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Capital Resources.

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


		March 31, 2022				December 31, 2021					June 30, 2022				December 31, 2021
By Type of Member Institution	By Type of Member Institution	Amount		% of Total		Amount		% of Total		By Type of Member Institution	Amount		% of Total		Amount		% of Total
Capital Stock:	Capital Stock:									Capital Stock:
Depository institutions:	Depository institutions:									Depository institutions:
Commercial banks and savings institutions	Commercial banks and savings institutions	$	1,046	48	%	$	1,126	49	%	Commercial banks and savings institutions	$	1,110	48	%	$	1,126	49	%
Credit unions	Credit unions	288		13	%	309		13	%	Credit unions	332		15	%	309		13	%
Total depository institutions	Total depository institutions	1,334		61	%	1,435		62	%	Total depository institutions	1,442		63	%	1,435		62	%
Insurance companies	Insurance companies	788		36	%	811		35	%	Insurance companies	809		35	%	811		35	%
CDFIs	CDFIs	—		—	%	—		—	%	CDFIs	—		—	%	—		—	%
Total capital stock, putable at par value	Total capital stock, putable at par value	2,122		97	%	2,246		97	%	Total capital stock, putable at par value	2,251		98	%	2,246		97	%

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

Total MRCS	Total MRCS	46		3	%	50		3	%	Total MRCS	46		2	%	50		3	%

Total regulatory capital stock	Total regulatory capital stock	$	2,168	100	%	$	2,296	100	%	Total regulatory capital stock	$	2,297	100	%	$	2,296	100	%

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

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


Components	Components	March 31, 2022			December 31, 2021			Components	June 30, 2022			December 31, 2021
Member capital stock not subject to outstanding redemption requests	Member capital stock not subject to outstanding redemption requests	$	705		$	798		Member capital stock not subject to outstanding redemption requests	$	636		$	798
Member capital stock subject to outstanding redemption requests	Member capital stock subject to outstanding redemption requests	—			14			Member capital stock subject to outstanding redemption requests	—			14
MRCS	MRCS	23			28			MRCS	23			28

Total excess capital stock	Total excess capital stock	$	728		$	840		Total excess capital stock	$	659		$	840

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

The decrease in excess stock during the ~~three~~six months ended ~~March 31,~~June 30, 2022 resulted from repurchases totaling $167 million to comply with our capital plan as a result of our regulatory capital ratio exceeding 6.0% at January 31, 2022.

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


		Three Months Ended March 31,				Three Months Ended June 30,				Six Months Ended June 30,
			2022		2021			2022		2021		2022		2021
Weighted-average dividend rate (1)	Weighted-average dividend rate (1)		2.31	%	2.50	%	Weighted-average dividend rate (1)	2.47	%	2.57	%	2.39	%	2.53	%
Dividend payout ratio (2)	Dividend payout ratio (2)		45.46	%	46.70	%	Dividend payout ratio (2)	41.10	%	81.59	%	43.15	%	59.42	%

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

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

On ~~April~~July 28, 2022, our board of directors declared a cash dividend on Class B-2 activity-based stock at an an~~nualized~~annualized rate of ~~3.50%~~4.75% and on Class B-1 non-activity-based stock at an annualized rate of ~~1.00%~~1.25%, resulting in a spread between the rates of ~~2.50~~3.50 percentage points. The overall weighted-average annualized rate paid was ~~2.47%~~3.42%. The dividends were paid in cash on ~~April~~July 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. The following table presents our risk-based capital requirement in relation to our permanent capital at ~~March 31,~~June 30, 2022 and December 31, 2021 ($ amounts in millions).


Risk-Based Capital Components	Risk-Based Capital Components	March 31, 2022		December 31, 2021		Risk-Based Capital Components	June 30, 2022		December 31, 2021
Credit risk	Credit risk	$	170	$	155	Credit risk	$	160	$	155
Market risk	Market risk	714		684		Market risk	777		684
Operational risk	Operational risk	265		252		Operational risk	281		252

Total risk-based capital requirement	Total risk-based capital requirement	$	1,149	$	1,091	Total risk-based capital requirement	$	1,218	$	1,091

Permanent capital	Permanent capital	$	3,360	$	3,473	Permanent capital	$	3,509	$	3,473

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

Critical Accounting Estimates

A full discussion of our critical accounting 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 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.

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



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

Total directors	17	15

Finance Agency Director's Testimony to the House Financial Services Committee on a Planned Review of the FHLBank System. On July 20, 2022, Finance Agency Director Thompson gave testimony to the House Financial Services Committee indicating that the Finance Agency intends to review the FHLBank System. Director Thompson's testimony indicated that the Finance Agency plans to engage a variety of stakeholders in addition to holding public listening sessions throughout the country as part of the review. The Director's testimony also indicated that the review would examine matters ranging from the FHLBank System's membership base, operational efficiency, and effectiveness to more foundational questions about mission, purpose and organization. At this time, it is not possible to determine when these events will occur, whether any actions will result from these events, and how these events will ultimately impact us or the FHLBank System as a whole.

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Proposed Rule Implementing the Adjustable Interest Rate (LIBOR) Act. On ~~March 15,~~July 28, 2022, ~~President Biden signed into law~~ the ~~Economic Continuity and Stability Act, which act includes~~Board of Governors of the Federal Reserve System ("Board") published a proposed rule with a comment deadline of August 29, 2022 that would implement the Adjustable Interest Rate (LIBOR) ~~Act (the "LIBOR Act").~~Act. The proposed rule would provide default rules for certain contracts ("covered contracts") that: reference LIBOR, ~~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~~are governed by U.S. law, do not mature on or ~~unworkable fallback provisions commencing from~~before the LIBOR replacement ~~date.~~date, and lack adequate provisions to identify a replacement rate for LIBOR. The LIBOR replacement date is currently July 3, 2023. The proposed rule identifies separate Board-selected replacement rates for derivatives transactions, covered GSE contracts, and all other covered contracts. The proposed rule defines covered GSE contracts to include FHLBank advances. We are reviewing the ~~first London banking date after June 30, 2023 or such other date~~proposed rule, however it is not possible to determine the extent to which the rule will be adopted as proposed and, as a result, the ~~Federal Reserve Board~~impact the final rule 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 LI~~BOR, as discussed in~~ ~~Item 3. Quantitative and Qualitative Disclosures about Market Risk - Replacement of the LIBOR Benchmark Interest Rate~~.have on us.

Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions. On ~~February 25,~~July 29, 2022, FINRA ~~extended~~filed a proposed rule with the SEC that will extend the implementation date of its amendments to FINRA Rule 4210 delaying the effectiveness of margining requirements for covered agency transactions ~~until~~from October 26, ~~2022.~~2022 until at least April 24, 2023. Once the margining requirements are effective, we may be required to collateralize our transactions that are covered agency transactions, which include TBAs. These collateralization requirements could have the effect of reducing the overall profitability of engaging in covered agency transactions, including TBAs. ~~Further, any collateralization requirements would expose the Bank to credit risk from our counterparties to such transactions.~~

~~Table of Contents~~

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

•~~direct ("Scope One") and certain indirect ("Scope Two") greenhouse gas emissions;~~

•~~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 total line item; and

•~~corporate governance of climate-related risks and risk management processes.~~

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 Scope Three disclosure requirements for the Bank's annual report for 2025.

The proposed rule would result in a significant increase in the cost and complexity of our SEC reporting. While we are unable to quantify the anticipated costs at this time, we anticipate that 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 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 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 be required 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 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 ~~March 31,~~June 30, 2022, our top borrower held ~~14%~~13% of total advances outstanding, at par, and our top five borrowers held ~~43%~~47% of total advances outstanding, at par. As a result of this concentration, we perform frequent credit and collateral reviews on our largest borrowers.

~~Table of Contents~~

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

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


March 31, 2022		AA		A		Total
June 30, 2022								June 30, 2022	AA		A		Total
Domestic	Domestic	$	—	$	100	$	100	Domestic	$	—	$	910	$	910
Australia	Australia	875		—		875		Australia	1,110		—		1,110
Canada	Canada	—		765		765		Canada	—		801		801

Total unsecured credit exposure	Total unsecured credit exposure	$	875	$	865	$	1,740	Total unsecured credit exposure	$	1,110	$	1,711	$	2,821

A Finance Agency regulation provides that the total amount of our investments in MBS, calculated using amortized historical cost excluding the impact of certain derivatives adjustments, must not exceed 300% of our total regulatory capital, as of the day we purchase the securities, based on the capital amount most recently reported to the Finance Agency. If our outstanding investments in MBS 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 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,~~At June 30, 2022,~~, the opportunity to further enhance our earnings will not be available until we are again permitted to purchase~~ these ~~investments.~~investments totaled 293% of total regulatory capital.

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


March 31, 2022		AA			A			Total
June 30, 2022											June 30, 2022	AA			A			Total
Short-term investments:	Short-term investments:										Short-term investments:
Interest-bearing deposits	Interest-bearing deposits	$	—		$	100		$	100		Interest-bearing deposits	$	—		$	325		$	325
Securities purchased under agreements to resell	Securities purchased under agreements to resell	7,600			—			7,600			Securities purchased under agreements to resell	4,500			—			4,500
Federal funds sold	Federal funds sold	875			765			1,640			Federal funds sold	1,110			1,386			2,496
Total short-term investments	Total short-term investments	8,475			865			9,340			Total short-term investments	5,610			1,711			7,321

Trading securities:	Trading securities:										Trading securities:
U.S. Treasury obligations	U.S. Treasury obligations	4,753			—			4,753			U.S. Treasury obligations	4,039			—			4,039
Total trading securities	Total trading securities	4,753			—			4,753			Total trading securities	4,039			—			4,039

Other investment securities:	Other investment securities:										Other investment securities:
U.S. Treasury obligations	U.S. Treasury obligations	1,481			—			1,481			U.S. Treasury obligations	2,106			—			2,106
GSE and TVA debentures	GSE and TVA debentures	2,240			—			2,240			GSE and TVA debentures	2,086			—			2,086
GSE MBS	GSE MBS	7,667			—			7,667			GSE MBS	7,360			—			7,360
Other U.S. obligations - guaranteed RMBS	Other U.S. obligations - guaranteed RMBS	2,545			—			2,545			Other U.S. obligations - guaranteed RMBS	2,522			—			2,522
Total other investment securities	Total other investment securities	13,933			—			13,933			Total other investment securities	14,074			—			14,074

Total investments, carrying value	Total investments, carrying value	$	27,161		$	865		$	28,026		Total investments, carrying value	$	23,723		$	1,711		$	25,434

Percentage of total	Percentage of total	97		%	3		%	100		%	Percentage of total	93		%	7		%	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, 2022						Six Months Ended June 30, 2022
LRA Activity	Original		Advantage		Total		Original		Advantage		Total
Liability, beginning of period	$	4	$	232	$	236	$	4	$	227	$	231
Additions	—		4		4		—		9		9
Claims paid	—		—		—		—		—		—
Distributions to PFIs	(2)		(3)		(5)		(2)		(3)		(5)
Liability, end of period	$	2	$	233	$	235	$	2	$	233	$	235

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


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

Uncleared derivatives - A	Uncleared derivatives - A	$	91	$	2	$	—	$	2	Uncleared derivatives - A	$	89	$	1	$	—	$	1
Uncleared derivatives - BBB		5		—		—		—

Liability positions with credit exposure	Liability positions with credit exposure									Liability positions with credit exposure

Uncleared derivatives - A	Uncleared derivatives - A	24,369		(732)		747		15		Uncleared derivatives - A	31,712		(1,012)		1,088		76
Uncleared derivatives - BBB	Uncleared derivatives - BBB	3,314		(82)		84		2		Uncleared derivatives - BBB	2,801		(102)		111		9
Cleared derivatives (1)	Cleared derivatives (1)	26,517		(15)		267		252		Cleared derivatives (1)	26,918		(71)		311		240
Total derivative positions with credit exposure to non-member counterparties	Total derivative positions with credit exposure to non-member counterparties	54,296		(827)		1,098		271		Total derivative positions with credit exposure to non-member counterparties	61,520		(1,184)		1,510		326
Total derivative positions with credit exposure to member institutions (2)	Total derivative positions with credit exposure to member institutions (2)	16		—		—		—		Total derivative positions with credit exposure to member institutions (2)	19		—		—		—
Subtotal - derivative positions with credit exposure	Subtotal - derivative positions with credit exposure	54,312		$	(827)	$	1,098	$	271	Subtotal - derivative positions with credit exposure	61,539		$	(1,184)	$	1,510	$	326
Derivative positions without credit exposure	Derivative positions without credit exposure	9,709								Derivative positions without credit exposure	3,416

Total derivative positions	Total derivative positions	$	64,021							Total derivative positions	$	64,955

(1) Represents derivative transactions cleared by two ~~clearinghouses~~Clearinghouses (one rated AA- and the other unrated). The net credit exposure to the ~~clearinghouse~~Clearinghouse rated AA- is ~~$247~~$237 million. The net credit exposure to the unrated ~~clearinghouse~~Clearinghouse is $5$3 million.

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

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Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Measuring Market Risks

To evaluate market risk, we utilize multiple risk measurements, including VaR, duration of equity, convexity, changes in MVE, duration gap, and earnings at 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.

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


March 31, 2022		Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
June 30, 2022																	June 30, 2022	Down 200 (1)			Down 100 (1)			Base			Up 100			Up 200
MVE	MVE	$	3,271		$	3,272		$	3,275		$	3,250		$	3,219		MVE	$	3,375		$	3,352		$	3,311		$	3,275		$	3,249
Percent change in MVE from base	Percent change in MVE from base	(0.1)		%	(0.1)		%	—		%	(0.8)		%	(1.7)		%	Percent change in MVE from base	1.9		%	1.2		%	—		%	(1.1)		%	(1.9)		%
MVE/book value of equity	MVE/book value of equity	95.7		%	95.7		%	95.8		%	95.1		%	94.2		%	MVE/book value of equity	95.8		%	95.2		%	94.0		%	93.0		%	92.2		%
Duration of equity	Duration of equity	2.8			(0.7)			0.5			0.9			0.9			Duration of equity	0.3			1.0			1.2			1.0			0.7


December 31, 2021	December 31, 2021																December 31, 2021
MVE	MVE	$	3,599		$	3,485		$	3,530		$	3,556		$	3,543		MVE	$	3,599		$	3,485		$	3,530		$	3,556		$	3,543
Percent change in MVE from base	Percent change in MVE from base	2.0		%	(1.3)		%	0		%	0.7		%	0.4		%	Percent change in MVE from base	2.0		%	(1.3)		%	—		%	0.7		%	0.4		%
MVE/book value of equity	MVE/book value of equity	99.8		%	96.6		%	97.9		%	98.6		%	98.2		%	MVE/book value of equity	99.8		%	96.6		%	97.9		%	98.6		%	98.2		%
Duration of equity	Duration of equity	0.9			1.7			(1.3)			(0.1)			0.6			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, 2021 resulted primarily from the ~~change~~changes in market ~~value~~values of the Bank's assets and liabilities in response to changes in the market environment, changes in portfolio composition ~~upgrading the prepayment model~~ and our hedging strategies.

Duration Gap. The base case duration gap at ~~March 31,~~June 30, 2022 and December 31, 2021 was ~~(0.01)%~~0.03% and (0.11)% , respectively.

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

Replacement of the LIBOR Benchmark Interest Rate

We continue to take steps to adopt SOFR, the alternative to U.S. dollar LIBOR 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 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 has yet to develop.

~~We continue to~~ implement our transition plan that has reduced our exposure to the ~~transition~~risks arising from the cessation of the publication of LIBOR and has the flexibility to evolve with market developments and standards, member needs, and guidance provided by the issuers of Agency securities. As a result, we do not expect the ~~complete transition~~replacement of LIBOR 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 the Replacement of the LIBOR Benchmark Interest Rate Could Adversely Affect Our Business, Financial Condition and Results of Operations. and Item 7A. Quantitative and Qualitative Disclosures About Market Risk in our 2021 Form 10-K.

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


LIBOR-Indexed Financial Instruments	LIBOR-Indexed Financial Instruments	Year of Maturity										LIBOR-Indexed Financial Instruments	Year of Maturity
March 31, 2022		2022		Through June 30, 2023		Thereafter		Total		% of Total Outstanding
June 30, 2022												June 30, 2022	2022		Through June 30, 2023		Thereafter		Total		% of Total Outstanding
Assets:	Assets:											Assets:
Advances, par value (1)	Advances, par value (1)	$	124	$	48	$	2,249	$	2,421	9	%	Advances, par value (1)	$	24	$	48	$	2,240	$	2,312	7	%
MBS, par value (2)	MBS, par value (2)	—		—		2,495		2,495		25	%	MBS, par value (2)	—		—		2,306		2,306		22	%
Total	Total	$	124	$	48	$	4,744	$	4,916			Total	$	24	$	48	$	4,546	$	4,618

Interest-rate swaps - receive leg, notional (2):	Interest-rate swaps - receive leg, notional (2):											Interest-rate swaps - receive leg, notional (2):
Cleared	Cleared	$	1,046	$	767	$	2,320	$	4,133	16	%	Cleared	$	648	$	760	$	2,196	$	3,604	13	%
Uncleared	Uncleared	105		314		5,570		5,989		16	%	Uncleared	105		314		3,308		3,727		10	%
Total	Total	$	1,151	$	1,081	$	7,890	$	10,122			Total	$	753	$	1,074	$	5,504	$	7,331

Liabilities:	Liabilities:											Liabilities:

Interest-rate swaps - pay leg, notional (2):	Interest-rate swaps - pay leg, notional (2):											Interest-rate swaps - pay leg, notional (2):
Cleared	Cleared	$	2,930	$	2,200	$	300	$	5,430	20	%	Cleared	$	2,230	$	2,200	$	300	$	4,730	18	%

Total	Total	$	2,930	$	2,200	$	300	$	5,430			Total	$	2,230	$	2,200	$	300	$	4,730

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


December 31, 2021
Assets:
Advances, par value (1)	$	134	$	48	$	2,259	$	2,441	9	%
MBS, par value (2)	—		—		2,669		2,669		25	%
Total	$	134	$	48	$	4,928	$	5,110

Interest-rate swaps - receive leg, notional (2):
Cleared	$	1,366	$	767	$	2,336	$	4,469	20	%
Uncleared	320		314		6,176		6,810		21	%
Total	$	1,686	$	1,081	$	8,512	$	11,279

Liabilities:


Interest-rate swaps - pay leg, notional (2):
Cleared	$	3,134	$	1,150	$	—	$	4,284	19	%

Total	$	3,134	$	1,150	$	—	$	4,284

Other derivatives, notional:
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 and interest-rate caps is based on contractual maturity. The actual maturities on MBS will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.

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Item 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

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

As of ~~March 31,~~June 30, 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, our 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 ~~March 31,~~June 30, 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.

Item 1A. RISK FACTORS

There have been no material changes in the risk factors described in Item 1A. Risk Factors of our 2021 Form 10-K.

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

Not applicable.

Item 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

Item 5. OTHER INFORMATION

None.

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Item 6. EXHIBITS

Exhibit Index


Exhibit Number						Description



10.1*+						Federal Home Loan Bank of Indianapolis Incentive Plan, effective January 1, 2012, as updated on April 28, 2022, effective as of January 1, 2022, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K (Commission File No. 000-51404) filed on May 3, 2022

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

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

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

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

101.INS						XBRL Instance Document

101.SCH						XBRL Taxonomy Extension Schema Document

101.CAL						XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB						XBRL Taxonomy Extension Label Linkbase Document

101.PRE						XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF						XBRL Taxonomy Extension Definition Linkbase Document

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

* These documents are incorporated by reference.

+ Management contract or compensatory plan or arrangement.

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SIGNATURES

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


	FEDERAL HOME LOAN BANK OF INDIANAPOLIS

~~May 12,~~August 10, 2022	By:	/s/ K. LOWELL SHORT, JR.
	Name:	K. Lowell Short, Jr.
	Title:	Senior Vice President - Chief Accounting Officer

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	Average for Three Months Ended				Period End
	March 31,				March 31,	December 31,
	2022		2021			2022		2021
Federal Funds Effective	0.12	%	0.08	%		0.33	%	0.07	%
SOFR	0.09	%	0.04	%		0.29	%	0.05	%
Overnight LIBOR	0.12	%	0.08	%		0.33	%	0.06	%
1-week OIS	0.15	%	0.07	%		0.34	%	0.08	%
3-month LIBOR	0.53	%	0.20	%		0.96	%	0.21	%
3-month U.S. Treasury yield	0.29	%	0.04	%		0.50	%	0.04	%
2-year U.S Treasury yield	1.45	%	0.13	%		2.34	%	0.73	%
10-year U.S. Treasury yield	1.95	%	1.32	%		2.34	%	1.51	%