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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, 2025
or
☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from __________ to __________.
Commission File No. 000-51399
FEDERAL HOME LOAN BANK OF CINCINNATI
(Exact name of registrant as specified in its charter)
Federally chartered corporation of the United States
31-6000228
(State or other jurisdiction of
incorporation or organization)		(I.R.S. Employer
Identification No.)
600 Atrium Two, P.O. Box 598, Cincinnati, Ohio
45201-0598
(Address of principal executive offices)
(Zip Code)
(513) 852-7500
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
☒ Yes   ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
☒ Yes   ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated Filer ☐
Accelerated Filer ☐
Non-accelerated Filer☒Smaller reporting company☐
Emerging growth company☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
☐ Yes   ☒ No
The capital stock of the registrant is not listed on any securities exchange or quoted on any automated quotation system, only may be owned by members and former members and is transferable only at its par value of $100 per share. As of April 30, 2025, the registrant had 55,197,376 shares of capital stock outstanding, which included stock classified as mandatorily redeemable.
Page 1 of

Table of Contents
PART I - FINANCIAL INFORMATION
Item 1.Financial Statements (Unaudited):
Statements of Condition - March 31, 2025 and December 31, 2024
Statements of Income - Three months ended March 31, 2025 and 2024
Statements of Comprehensive Income (Loss) - Three months ended March 31, 2025 and 2024
Statements of Capital - Three months ended March 31, 2025 and 2024
Statements of Cash Flows - Three months ended March 31, 2025 and 2024
Notes to Unaudited Financial Statements
Item 2.Management's Discussion and Analysis of Financial Condition and Results of Operations
Item 3.Quantitative and Qualitative Disclosures About Market Risk
Item 4.Controls and Procedures
PART II - OTHER INFORMATION
Item 1.Legal Proceedings
Item 1A.Risk Factors
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
Item 3.Defaults Upon Senior Securities
Item 4.Mine Safety Disclosures
Item 5.Other Information
Item 6.Exhibits
Signatures
2
Table of Contents
PART I – FINANCIAL INFORMATION

Item 1.     Financial Statements.

FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF CONDITION
(Unaudited)

(In thousands, except par value)


 March 31, 2025 December 31, 2024
ASSETS   
Cash and due from banks
$20,404  $28,276 
Interest-bearing deposits2,475,205  2,360,203 
Securities purchased under agreements to resell7,270,725  10,738,637 
Federal funds sold9,555,000  4,900,000 
Investment securities:
Trading securities 2,753,418  2,705,895 
Available-for-sale securities (amortized cost of $9,783,743 and $9,101,909 and includes $855,454 and $838,490 pledged as collateral that may be repledged)
9,744,331  9,062,735 
Held-to-maturity securities (fair value of $15,423,974 and $15,119,557)
15,581,986  15,371,712 
Total investment securities28,079,735 27,140,342 
Advances (includes $288,659 and $281,299 at fair value under fair value option)
78,147,707  79,346,365 
Mortgage loans held for portfolio, net of allowance for credit losses of $351 and $331
7,297,039  7,244,200 
Accrued interest receivable477,257  464,032 
Derivative assets
30,943  65,767 
Other assets, net36,289  39,775 
TOTAL ASSETS$133,390,304  $132,327,597 
LIABILITIES   
Deposits
$979,857  $1,094,313 
Consolidated Obligations:
   
Discount Notes (includes $1,891,318 and $8,670,557 at fair value under fair value option)
16,968,877  19,508,823 
Bonds (includes $8,214,127 and $7,324,443 at fair value under fair value option)
107,408,233  103,817,800 
Total Consolidated Obligations124,377,110  123,326,623 
Mandatorily redeemable capital stock
36,133  14,384 
Accrued interest payable505,982  526,384 
Affordable Housing Program payable
186,033  171,224 
Derivative liabilities 7,970  3,584 
Other liabilities420,862  454,340 
Total liabilities126,513,947  125,590,852 
Commitments and contingencies (Note 13)
CAPITAL
   
Capital stock Class B putable ($100 par value); issued and outstanding shares: 50,350 and 49,358
5,035,049  4,935,775 
Retained earnings:
Unrestricted1,035,320 1,023,841 
Restricted844,355 815,335 
Total retained earnings1,879,675  1,839,176 
Accumulated other comprehensive income (loss)
(38,367) (38,206)
Total capital6,876,357  6,736,745 
TOTAL LIABILITIES AND CAPITAL$133,390,304  $132,327,597 

The accompanying notes are an integral part of these financial statements.
3
Table of Contents
FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF INCOME
(Unaudited)
(In thousands)Three Months Ended March 31,
 2025 2024
INTEREST INCOME:   
Advances$931,011  $1,056,977 
Prepayment fees on Advances, net119  271 
Interest-bearing deposits27,034  24,419 
Securities purchased under agreements to resell32,304  29,780 
Federal funds sold137,934  113,048 
Investment securities:
Trading securities28,914  17,370 
Available-for-sale securities113,111  144,565 
Held-to-maturity securities180,976 224,183 
Total investment securities323,001 386,118 
Mortgage loans held for portfolio63,597  57,962 
Loans to other FHLBanks30  222 
Total interest income1,515,030  1,668,797 
INTEREST EXPENSE:   
Consolidated Obligations:
Discount Notes229,838  260,149 
Bonds1,087,204  1,192,672 
Total Consolidated Obligations1,317,042 1,452,821 
Deposits9,494  14,724 
Loans from other FHLBanks126 — 
Mandatorily redeemable capital stock525  385 
Total interest expense1,327,187  1,467,930 
NET INTEREST INCOME187,843  200,867 
NON-INTEREST INCOME (LOSS):   
Net gains (losses) on trading securities
47,524 (13,794)
Net gains (losses) on sales of available-for-sale securities
— 1,136 
Net gains (losses) on financial instruments held under fair value option
4,708 (8,599)
Net gains (losses) on derivatives(43,072) 20,973 
Other, net7,929  7,794 
Total non-interest income (loss)17,089  7,510 
NON-INTEREST EXPENSE:   
Compensation and benefits15,639  14,688 
Other operating expenses10,590  8,908 
Finance Agency2,817  2,840 
Office of Finance1,874  1,747 
Voluntary housing and community investment
11,498 15,697 
Other1,230  1,701 
Total non-interest expense43,648  45,581 
INCOME BEFORE ASSESSMENTS161,284  162,796 
Affordable Housing Program assessments16,181  16,318 
NET INCOME$145,103  $146,478 
The accompanying notes are an integral part of these financial statements.
4
Table of Contents
FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)

(In thousands)Three Months Ended March 31,
20252024
Net income$145,103 $146,478 
Other comprehensive income (loss) adjustments:
Net unrealized gains (losses) on available-for-sale securities(238)55,584 
Reclassification adjustment for net realized (gains) losses on sale of available-for-sale securities included in net income
— (1,136)
Pension and postretirement benefits77 8 
Total other comprehensive income (loss) adjustments
(161)54,456 
Comprehensive income (loss)$144,942 $200,934 

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

5
Table of Contents
FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF CAPITAL
(Unaudited)
(In thousands)Capital Stock
Class B - Putable		Retained EarningsAccumulated Other Comprehensive Income (Loss)Total
 SharesPar ValueUnrestrictedRestrictedTotalCapital
BALANCE, DECEMBER 31, 202348,459 $4,845,902 $964,436 $693,682 $1,658,118 $(77,337)$6,426,683 
Comprehensive income (loss)117,183 29,295 146,478 54,456 200,934 
Proceeds from issuance of capital stock
3,331 333,136 333,136 
Repurchase of capital stock(5,000)(500,041)(500,041)
Cash dividends on capital stock(111,004)(111,004)(111,004)
BALANCE, MARCH 31, 202446,790 $4,678,997 $970,615 $722,977 $1,693,592 $(22,881)$6,349,708 
BALANCE, DECEMBER 31, 202449,358 $4,935,775 $1,023,841 $815,335 $1,839,176 $(38,206)$6,736,745 
Comprehensive income (loss)  116,083 29,020 145,103 (161)144,942 
Proceeds from issuance of capital stock
10,648 1,064,771  1,064,771 
Repurchase of capital stock(9,283)(928,242)(928,242)
Net stock reclassified to mandatorily redeemable capital stock
(373)(37,255) (37,255)
Cash dividends on capital stock  (104,604)(104,604) (104,604)
BALANCE, MARCH 31, 202550,350 $5,035,049 $1,035,320 $844,355 $1,879,675 $(38,367)$6,876,357 

The accompanying notes are an integral part of these financial statements.
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Table of Contents
FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF CASH FLOWS
(Unaudited)

(In thousands)Three Months Ended March 31,
 2025 2024
OPERATING ACTIVITIES:   
Net income$145,103  $146,478 
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
   
Depreciation and amortization/(accretion)(68,622) (102,516)
Net change in derivative and hedging activities
(308,706) 382,746 
Net change in fair value adjustments on trading securities(47,524) 13,794 
Net realized (gains) losses from sales of available-for-sale securities
— (1,136)
Net change in fair value adjustments on financial instruments held under fair value option
(4,708)8,599 
Other adjustments, net(915) 260 
Net change in:  
Accrued interest receivable(13,131) (875)
Other assets3,671  3,098 
Accrued interest payable(36,172) 62,633 
Other liabilities19,887  22,765 
Total adjustments(456,220) 389,368 
Net cash provided by (used in) operating activities(311,117) 535,846 
INVESTING ACTIVITIES:   
Net change in:   
Interest-bearing deposits(89,498) 223,910 
Securities purchased under agreements to resell3,467,912  3,480,080 
Federal funds sold(4,655,000) 519,000 
Trading securities:   
Proceeds from maturities and paydowns1  250,015 
Purchases— (999,170)
Available-for-sale securities:   
Proceeds from maturities and paydowns—  21,329 
Proceeds from sales
— 966,289 
Purchases(548,498)(132,842)
Held-to-maturity securities:   
Proceeds from maturities and paydowns603,796  556,488 
Purchases(795,767) (216,961)
Advances, net
1,371,743 335,881 
Mortgage loans held for portfolio:   
Principal collected144,888  134,270 
Purchases(201,544) (200,875)
Premises, software, and equipment, net
(986)(2,330)
Net cash provided by (used in) investing activities(702,953) 4,935,084 
The accompanying notes are an integral part of these financial statements.
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(continued from previous page)
FEDERAL HOME LOAN BANK OF CINCINNATI
STATEMENTS OF CASH FLOWS
(Unaudited)
(In thousands)Three Months Ended March 31,
2025 2024
FINANCING ACTIVITIES:   
Net change in deposits
$(141,297) $11,507 
Net proceeds from issuance of Consolidated Obligations:   
Discount Notes33,715,662  19,185,422 
Bonds38,229,356  31,614,919 
Payments for maturing and retiring Consolidated Obligations:   
Discount Notes(36,175,442) (24,528,835)
Bonds(34,638,500) (31,477,000)
Proceeds from issuance of capital stock1,064,771  333,136 
Payments for repurchase of capital stock
(928,242)(500,041)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(15,506) (268)
Cash dividends paid(104,604) (111,004)
Net cash provided by (used in) financing activities1,006,198  (5,472,164)
Net increase (decrease) in cash and due from banks(7,872) (1,234)
Cash and due from banks at beginning of the period28,276  20,824 
Cash and due from banks at end of the period$20,404  $19,590 
Supplemental Disclosures:   
Interest paid$1,414,854  $1,548,543 


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

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FEDERAL HOME LOAN BANK OF CINCINNATI

NOTES TO UNAUDITED FINANCIAL STATEMENTS


Background Information    

The Federal Home Loan Bank of Cincinnati (the FHLB), a federally chartered corporation, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), to serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The FHLB is regulated by the Federal Housing Finance Agency (Finance Agency). The FHLBanks are financial cooperatives that provide a readily available, competitively-priced source of funds to their member institutions.


Note 1 - Basis of Presentation

The accompanying interim financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make assumptions and estimates. These assumptions and estimates affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. The interim financial statements presented are unaudited, but they include all adjustments (consisting of only normal recurring adjustments) which are, in the opinion of management, necessary for a fair presentation of the financial condition, results of operations, and cash flows for such periods. These financial statements do not include all disclosures associated with annual financial statements and accordingly should be read in conjunction with the audited financial statements and notes included in the FHLB's Annual Report on Form 10-K for the year ended December 31, 2024 filed with the Securities and Exchange Commission (SEC) on March 20, 2025. Results for the three months ended March 31, 2025 are not necessarily indicative of operating results for the full year.

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

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 6. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. For more information about the FHLB's investments in securities purchased under agreements to resell, see “Item 8. Financial Statements and Supplementary Data - Note 1 - Summary of Significant Accounting Policies” in the FHLB's 2024 Annual Report on Form 10-K.

Subsequent Events

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


Note 2 - Recently Issued and Adopted Accounting Guidance

Disaggregation of Income Statement Expenses. In November 2024, the Financial Accounting Standards Board (FASB) issued guidance that requires disclosure, in the notes to the financial statements, of specified information about certain costs and expenses on an interim and annual basis. The guidance becomes effective for the FHLB for the annual period ending December 31, 2027 and the interim periods thereafter. Early adoption is permitted. The FHLB does not intend to adopt this guidance early.
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The adoption of this new guidance may impact the FHLB's disclosures, but will not have a material impact on its financial condition, results of operations, and cash flows.


Note 3 - Investments

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

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

The FHLB invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide liquidity.

At March 31, 2025 and December 31, 2024, interest-bearing deposits and Federal funds sold were transacted with counterparties that have received a credit rating of single-A or greater by a nationally recognized statistical rating organization (NRSRO). Finance Agency regulations include a limit on the amount of unsecured credit the FHLB may extend to a counterparty. At March 31, 2025 and December 31, 2024, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to their respective contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2025 and December 31, 2024. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of (in thousands) $9,280 and $1,148 as of March 31, 2025, and $9,154 and $590 as of December 31, 2024.

Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e., subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with counterparties, the FHLB determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2025 and December 31, 2024. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of (in thousands) $899 and $1,319 as of March 31, 2025 and December 31, 2024, respectively.

Debt Securities

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

Trading Securities

Table 3.1 - Trading Securities by Major Security Types (in thousands)
Fair ValueMarch 31, 2025 December 31, 2024
Non-mortgage-backed securities (non-MBS):
U.S. Treasury obligations$1,275,204 $1,248,651 
GSE obligations1,478,214  1,457,242 
Total non-MBS2,753,418 2,705,893 
Mortgage-backed securities (MBS):   
U.S. obligation single-family—  2 
Total MBS— 2 
Total$2,753,418  $2,705,895 

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Table 3.2 - Net Gains (Losses) on Trading Securities (in thousands)
Three Months Ended March 31,
 20252024
Net unrealized gains (losses) on trading securities held at period end$47,524 $(15,106)
Net gains (losses) on trading securities sold/matured during the period— 1,312 
Net gains (losses) on trading securities$47,524 $(13,794)

Available-for-Sale Securities

Table 3.3 - Available-for-Sale Securities by Major Security Types (in thousands)
 March 31, 2025
 
Amortized
Cost (1)
 Gross
Unrealized
Gains		 Gross
Unrealized
Losses		 Fair
Value
Non-MBS:
U.S. Treasury obligations$5,591,588  $2,838  $(1,126)$5,593,300 
GSE obligations120,873 697 — 121,570 
Total non-MBS5,712,461 3,535 (1,126)5,714,870 
MBS:
GSE multi-family4,071,282 1,298 (43,119)4,029,461 
Total MBS4,071,282 1,298 (43,119)4,029,461 
Total$9,783,743 $4,833 $(44,245)$9,744,331 
 December 31, 2024
 
Amortized
Cost (1)
 Gross
Unrealized
Gains		 Gross
Unrealized
Losses		 Fair
Value
Non-MBS:
U.S. Treasury obligations$5,489,303  $1,985  $(2,719)$5,488,569 
GSE obligations119,640 671 — 120,311 
Total non-MBS5,608,943 2,656 (2,719)5,608,880 
MBS:
GSE multi-family3,492,966 1,186 (40,297)3,453,855 
Total MBS3,492,966 1,186 (40,297)3,453,855 
Total$9,101,909 $3,842 $(43,016)$9,062,735 
(1)Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $38,517 and $29,534 at March 31, 2025 and December 31, 2024, respectively.

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

Table 3.4 - Available-for-Sale Securities in a Continuous Gross Unrealized Loss Position (in thousands)
March 31, 2025
Less than 12 Months12 Months or moreTotal
 Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Non-MBS:
U.S. Treasury obligations$1,479,545 $(354)$845,401 $(772)$2,324,946 $(1,126)
Total non-MBS1,479,545 (354)845,401 (772)2,324,946 (1,126)
MBS:
GSE multi-family MBS1,943,426 (10,656)1,584,307 (32,463)3,527,733 (43,119)
Total MBS1,943,426 (10,656)1,584,307 (32,463)3,527,733 (43,119)
Total$3,422,971 $(11,010)$2,429,708 $(33,235)$5,852,679 $(44,245)
December 31, 2024
Less than 12 Months12 Months or moreTotal
Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Non-MBS:
U.S. Treasury obligations$2,034,543 $(1,456)$918,782 $(1,263)$2,953,325 $(2,719)
Total non-MBS2,034,543 (1,456)918,782 (1,263)2,953,325 (2,719)
MBS:
GSE multi-family MBS1,590,377 (7,822)1,457,592 (32,475)3,047,969 (40,297)
Total MBS1,590,377 (7,822)1,457,592 (32,475)3,047,969 (40,297)
Total$3,624,920 $(9,278)$2,376,374 $(33,738)$6,001,294 $(43,016)

Table 3.5 - Available-for-Sale Securities by Contractual Maturity (in thousands)
 March 31, 2025 December 31, 2024
Year of MaturityAmortized
Cost		 Fair
Value		 Amortized
Cost		 Fair
Value
Non-MBS:
Due in 1 year or less$75,931  $76,168  $9,900  $9,924 
Due after 1 year through 5 years5,626,369 5,628,389 5,589,159 5,588,968 
Due after 5 years through 10 years10,161 10,313 9,884 9,988 
Due after 10 years— — — — 
Total non-MBS5,712,461 5,714,870 5,608,943 5,608,880 
MBS (1)
4,071,282 4,029,461 3,492,966 3,453,855 
Total$9,783,743 $9,744,331 $9,101,909 $9,062,735 
(1)MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Table 3.6 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)
 March 31, 2025 December 31, 2024
Amortized cost of non-MBS:   
Fixed-rate$5,712,461  $5,608,943 
Total amortized cost of non-MBS5,712,461 5,608,943 
Amortized cost of MBS:
Fixed-rate4,071,282 3,492,966 
Total amortized cost of MBS4,071,282 3,492,966 
Total$9,783,743 $9,101,909 

Realized Gains and Losses. During the three months ended March 31, 2025 the FHLB did not sell any available-for-sale securities. During the three months ended March 31, 2024, for strategic and economic reasons, the FHLB sold a portion of available-for-sale securities. These securities had an amortized cost (determined by the specific identification method) of (in thousands) $965,153. During the three months ended March 31, 2024, proceeds from the sales totaled (in thousands) $966,289, resulting in realized gains (losses) of (in thousands) $1,136.

Held-to-Maturity Securities

Table 3.7 - Held-to-Maturity Securities by Major Security Types (in thousands)
March 31, 2025
Amortized Cost (1)
Gross Unrecognized Holding
Gains		Gross Unrecognized Holding LossesFair Value
Non-MBS:
U.S. Treasury obligations
$49,243 $— $(4)$49,239 
Total non-MBS49,243 — (4)49,239 
MBS:    
U.S. obligation single-family973,247 — (124,090)849,157 
GSE single-family3,999,627 46,912 (54,822)3,991,717 
GSE multi-family10,559,869 2,789 (28,797)10,533,861 
Total MBS15,532,743 49,701 (207,709)15,374,735 
Total$15,581,986 $49,701 $(207,713)$15,423,974 
 
 December 31, 2024
 
Amortized Cost (1)
Gross Unrecognized Holding
Gains		Gross Unrecognized Holding LossesFair Value
Non-MBS:
U.S. Treasury obligations$49,948 $17 $— $49,965 
Total non-MBS49,948 17 — 49,965 
MBS:   
U.S. obligation single-family997,725 — (146,742)850,983 
GSE single-family3,626,755 11,048 (83,441)3,554,362 
GSE multi-family10,697,284 3,836 (36,873)10,664,247 
Total MBS15,321,764 14,884 (267,056)15,069,592 
Total$15,371,712 $14,901 $(267,056)$15,119,557 
 
(1)Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $54,412 and $56,118 at March 31, 2025 and December 31, 2024, respectively.

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Table 3.8 - Held-to-Maturity Securities by Contractual Maturity (in thousands)
March 31, 2025December 31, 2024
Year of Maturity
Amortized Cost (1)
Fair Value
Amortized Cost (1)
Fair Value
Non-MBS:    
Due in 1 year or less$49,243 $49,239 $49,948 $49,965 
Due after 1 year through 5 years— — — — 
Due after 5 years through 10 years— — — — 
Due after 10 years— — — — 
Total non-MBS49,243 49,239 49,948 49,965 
MBS (2)
15,532,743 15,374,735 15,321,764 15,069,592 
Total$15,581,986 $15,423,974 $15,371,712 $15,119,557 
(1)Carrying value equals amortized cost.
(2)MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Table 3.9 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)
 March 31, 2025December 31, 2024
Amortized cost of non-MBS:   
Fixed-rate$49,243  $49,948 
Total amortized cost of non-MBS49,243  49,948 
Amortized cost of MBS:   
Fixed-rate4,853,095  4,501,701 
Variable-rate10,679,648  10,820,063 
Total amortized cost of MBS15,532,743  15,321,764 
Total$15,581,986  $15,371,712 

For the three months ended March 31, 2025 and 2024, the FHLB did not sell any held-to-maturity securities.
Allowance for Credit Losses on Available-for-Sale and Held-to-Maturity Securities

The FHLB evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. The FHLB’s available-for-sale and held-to-maturity securities are U.S. Treasury obligations, GSE obligations, and MBS issued by Fannie Mae, Freddie Mac and Ginnie Mae that are backed by single-family or multi-family mortgage loans. As of March 31, 2025 and December 31, 2024, the FHLB had no allowance for credit loss on any available-for-sale or held-to-maturity securities. For additional information on the FHLB's methodology and evaluation of credit losses on its available-for-sale and held-to-maturity investment securities, see Note 4 - Investments in the FHLB's 2024 Annual Report on Form 10-K.


Note 4 - Advances

The following table presents Advance redemptions by contractual maturity, including index-amortizing Advances, which are presented according to their predetermined amortization schedules.

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Table 4.1 - Advances by Redemption Term (dollars in thousands)
March 31, 2025December 31, 2024
Redemption TermAmountWeighted Average Interest
Rate		AmountWeighted Average Interest
Rate
Overdrawn demand deposit accounts$— — %$53 4.51 %
Due in 1 year or less35,492,641 4.63 32,217,458 4.59 
Due after 1 year through 2 years26,808,708 4.72 28,816,073 4.81 
Due after 2 years through 3 years8,122,563 4.02 8,625,464 4.08 
Due after 3 years through 4 years5,940,176 4.64 7,977,928 4.51 
Due after 4 years through 5 years1,104,201 2.69 635,321 3.57 
Thereafter705,117 3.12 1,272,852 2.54 
Total principal amount78,173,406 4.56 79,545,149 4.57 
Commitment fees(64) (65) 
Discounts(2,150) (2,738) 
Fair value hedging adjustments(27,053) (197,188) 
Fair value option valuation adjustments and accrued interest
3,568 1,207 
Total (1)
$78,147,707  $79,346,365  
(1)Carrying values exclude accrued interest receivable of (in thousands) $318,072 and $314,958 at March 31, 2025 and December 31, 2024, respectively.

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

Table 4.2 - Advances by Redemption Term or Next Call Date (in thousands)
Redemption Term or Next Call DateMarch 31, 2025December 31, 2024
Overdrawn demand deposit accounts$— $53 
Due in 1 year or less47,511,613 45,727,929 
Due after 1 year through 2 years14,827,828 15,343,693 
Due after 2 years through 3 years12,104,639 12,616,040 
Due after 3 years through 4 years1,921,056 3,950,308 
Due after 4 years through 5 years1,103,153 634,274 
Thereafter705,117 1,272,852 
Total principal amount$78,173,406 $79,545,149 

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

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Table 4.3 - Advances by Redemption Term or Next Put Date for Putable Advances (in thousands)
Redemption Term or Next Put DateMarch 31, 2025December 31, 2024
Overdrawn demand deposit accounts$— $53 
Due in 1 year or less36,037,641 32,757,458 
Due after 1 year through 2 years26,803,708 28,816,073 
Due after 2 years through 3 years8,092,563 8,590,464 
Due after 3 years through 4 years5,850,176 7,897,928 
Due after 4 years through 5 years1,084,201 605,321 
Thereafter305,117 877,852 
Total principal amount$78,173,406 $79,545,149 

Table 4.4 - Advances by Interest Rate Payment Terms (in thousands)                    
March 31, 2025December 31, 2024
Total fixed-rate (1)
$49,262,029 $49,338,992 
Total variable-rate (1)
28,911,377 30,206,157 
Total principal amount$78,173,406 $79,545,149 
(1)Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance.

Credit Risk Exposure and Security Terms

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

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

▪one-to-four family mortgage loans (delinquent for no more than 60 days) and multi-family mortgage loans (delinquent for no more than 30 days) and securities representing such mortgages;
▪loans and securities issued and insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae);
▪cash or deposits in the FHLB;
▪certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value, can be reliably discounted to account for liquidation and other risks, can be liquidated in due course and the FHLB can perfect a security interest in it; and
▪certain qualifying securities representing undivided equity interests in eligible Advance collateral.

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

Members experiencing financial difficulties are subject to FHLB-performed “stress tests” to evaluate the impact of poorly performing assets on the member’s capital and loss reserve positions. Depending on the results of these tests, a member may be allowed to maintain pledged loan assets in its custody, may be required to deliver those loans into the custody of the FHLB or its agent, or may be required to provide details on those loans to facilitate an estimate of their fair value. The FHLB perfects its
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security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the FHLB by a member priority over the claims or rights of any other party except for claims or rights of a third party that would otherwise be entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

The FHLB considers each borrower's ability to repay, payment status, as well as the types and levels of collateral to be the primary indicators of credit quality for its credit products. At March 31, 2025 and December 31, 2024, the FHLB did not have any Advances that were past due, in non-accrual status or considered impaired. In addition, there were no modifications of Advances with borrowers experiencing financial difficulty during the three months ended March 31, 2025 or 2024. At March 31, 2025 and December 31, 2024, the FHLB had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of its outstanding extensions of credit.

Based upon the collateral held as security, its credit extension and collateral policies and the repayment history on Advances, the FHLB did not expect any credit losses on Advances as of March 31, 2025 and, therefore, no allowance for credit losses on Advances was recorded. For the same reasons, the FHLB did not record any allowance for credit losses on Advances at December 31, 2024.

Advance Concentrations. Advance balances, as well as the associated interest income earned, are concentrated among a small number of members. Interest income from Advances is a significant source of total revenues, and a member's Advance borrowings at a point in time generally represent its portion of the FHLB's Advance interest income.

Table 4.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions)
March 31, 2025 December 31, 2024
 Principal% of Total Principal Amount of Advances  Principal% of Total Principal Amount of Advances
JPMorgan Chase Bank, N.A.$20,000 26 %JPMorgan Chase Bank, N.A.$20,000 25 %
U.S. Bank, N.A.13,500 17 U.S. Bank, N.A.14,500 18 
Fifth Third Bank6,601 8 Fifth Third Bank5,601 7 
Third Federal Savings and Loan Association4,569 6 Third Federal Savings and Loan Association4,637 6 
The Huntington National Bank4,501 6 The Huntington National Bank4,501 6 
Total$49,171 63 %Total$49,239 62 %


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Note 5 - Mortgage Loans

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

Table 5.1 - Mortgage Loans Held for Portfolio (in thousands)
 March 31, 2025December 31, 2024
Fixed rate medium-term single-family mortgage loans (1)
$559,298 $542,802 
Fixed rate long-term single-family mortgage loans (2)
6,583,980 6,550,097 
Total unpaid principal balance7,143,278 7,092,899 
Premiums153,497 151,414 
Discounts(3,604)(3,683)
Hedging basis adjustments (3)
4,219 3,901 
Total mortgage loans held for portfolio (4)
7,297,390 7,244,531 
Allowance for credit losses on mortgage loans(351)(331)
Mortgage loans held for portfolio, net
$7,297,039 $7,244,200 
(1)Medium-term is defined as an original term of 15 years or less.
(2)Long-term is defined as an original term of greater than 15 years up to 30 years.
(3)Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly.
(4)Excludes accrued interest receivable of (in thousands) $26,545 and $25,903 at March 31, 2025 and December 31, 2024, respectively.

Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands)
 March 31, 2025December 31, 2024
Conventional mortgage loans$7,063,672 $7,009,800 
Federal Housing Administration (FHA) mortgage loans79,606 83,099 
Total unpaid principal balance$7,143,278 $7,092,899 

Table 5.3 - Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (dollars in millions)
 March 31, 2025 December 31, 2024
 Principal% of Total Principal% of Total
Union Savings Bank$1,459 20 %Union Savings Bank$1,472 21 %
FirstBank686 10 FirstBank688 10 
LCNB National Bank442 6 LCNB National Bank441 6 
Guardian Savings Bank FSB402 6 Guardian Savings Bank FSB402 6 
The Huntington National Bank388 5 The Huntington National Bank389 5 

Credit Risk Exposure

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

Credit Enhancements. The conventional mortgage loans under the MPP are primarily supported by some combination of credit enhancements (primary mortgage insurance (PMI) and the Lender Risk Account (LRA), including pooled LRA for those members participating in an aggregated MPP pool). These credit enhancements apply after a homeowner’s equity is exhausted. The LRA is funded by the FHLB upfront as a portion of the purchase proceeds to cover potential credit losses. The LRA is recorded in other liabilities in the Statements of Condition. Excess funds from the LRA are distributed to Participating Financial Institutions in accordance with the terms of the Master Commitment Contract, which is typically after five years, subject to performance of the related loan pool. Because the FHA makes an explicit guarantee on FHA mortgage loans, the FHLB does not require any credit enhancements on these loans beyond primary mortgage insurance.
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Table 5.4 - Changes in the LRA (in thousands)
Three Months Ended
March 31, 2025
LRA at beginning of year$239,751 
Additions4,699 
Claims(6)
Distributions to Participating Financial Institutions
(2,397)
LRA at end of period$242,047 

Payment Status of Mortgage Loans. The key credit quality indicator for conventional mortgage loans is payment status, which allows the FHLB to monitor borrower performance. Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. Table 5.5 presents the payment status of conventional mortgage loans.

Table 5.5 - Credit Quality Indicator of Conventional Mortgage Loans (in thousands)
March 31, 2025
Origination Year
Payment status, at amortized cost:
Prior to 2021
2021 to March 31, 2025
Total
Past due 30-59 days$19,005 $11,648 $30,653 
Past due 60-89 days3,827 2,458 6,285 
Past due 90 days or more6,133 2,000 8,133 
Total past due mortgage loans28,965 16,106 45,071 
Current mortgage loans3,859,734 3,312,457 7,172,191 
Total conventional mortgage loans$3,888,699 $3,328,563 $7,217,262 
December 31, 2024
Origination Year
Payment status, at amortized cost:
Prior to 2020
2020 to 2024
Total
Past due 30-59 days$16,518 $15,639 $32,157 
Past due 60-89 days4,560 3,370 7,930 
Past due 90 days or more4,968 1,478 6,446 
Total past due mortgage loans26,046 20,487 46,533 
Current mortgage loans2,804,549 4,309,801 7,114,350 
Total conventional mortgage loans$2,830,595 $4,330,288 $7,160,883 

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

Table 5.6 - Other Delinquency Statistics (dollars in thousands)
March 31, 2025
Amortized Cost:Conventional MPP LoansFHA LoansTotal
In process of foreclosure (1)
$3,414 $25 $3,439 
Serious delinquency rate (2)
0.12 %0.78 %0.12 %
Past due 90 days or more still accruing interest (3)
$7,376 $626 $8,002 
Loans on non-accrual status (4)
$1,405 $— $1,405 
December 31, 2024
Amortized Cost:Conventional MPP LoansFHA LoansTotal
In process of foreclosure (1)
$2,323 $25 $2,348 
Serious delinquency rate (2)
0.09 %0.84 %0.10 %
Past due 90 days or more still accruing interest (3)
$5,745 $702 $6,447 
Loans on non-accrual status (4)
$1,409 $— $1,409 
(1)Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported.
(2)Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class.
(3)Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status.
(4)At March 31, 2025 and December 31, 2024, (in thousands) $1,405 and $1,409, respectively, of conventional MPP loans on non-accrual status do not have a related allowance because these loans were either previously charged off to their expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.

The FHLB did not have any real estate owned at March 31, 2025 or December 31, 2024.

Mortgage Loan Modifications. Under certain circumstances, the FHLB offers loan modifications within its MPP. Most commonly, loan modifications consist of capitalization of any past due interest with a corresponding increase in unpaid principal and a recast of the monthly principal and interest payment. Less frequently, loan modifications may include interest rate reductions, term extensions, balloon payments, or a combination of these types. The amortized cost basis of mortgage loans modified with borrowers experiencing financial difficulty during the three months ended March 31, 2025 and 2024 was (in thousands) $244 and $895, respectively. The financial effect of the modifications was not material to the FHLB’s financial condition or results of operations.

Allowance for Credit Losses. At March 31, 2025 and December 31, 2024 the FHLB's allowance for credit losses on its conventional mortgage loans held for portfolio was (in thousands) $351 and $331, respectively. For additional information on the FHLB's methodology to determine current expected credit losses, see Note 6 - Mortgage Loans in the FHLB's 2024 Annual Report on Form 10-K.



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Note 6 - Derivatives and Hedging Activities

Nature of Business Activity

The FHLB is exposed to interest rate risk primarily from the effect of changes in interest rates. The goal of the FHLB's interest-rate risk management strategy is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the FHLB has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the FHLB monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. The FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives. See Note 7 - Derivatives and Hedging Activities in the FHLB's 2024 Annual Report on Form 10-K for additional information on the FHLB's derivative transactions.

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

Financial Statement Effect and Additional Financial Information

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

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

Table 6.1 - Fair Value of Derivative Instruments (in thousands)
 March 31, 2025
 Notional Amount of DerivativesDerivative AssetsDerivative Liabilities
Derivatives designated as fair value hedging instruments:   
Interest rate swaps$45,452,672 $8,732 $18,482 
Derivatives not designated as hedging instruments:   
Interest rate swaps13,031,388 19,798 13,459 
Interest rate swaptions650,000 8,451 — 
Mortgage delivery commitments95,033 314 19 
Total derivatives not designated as hedging instruments13,776,421 28,563 13,478 
Total derivatives before adjustments$59,229,093 37,295 31,960 
Netting adjustments and cash collateral (1)
 (6,352)(23,990)
Total derivative assets and total derivative liabilities $30,943 $7,970 
 December 31, 2024
 Notional Amount of DerivativesDerivative AssetsDerivative Liabilities
Derivatives designated as fair value hedging instruments:   
Interest rate swaps$45,388,585 $9,101 $13,995 
Derivatives not designated as hedging instruments:
Interest rate swaps19,966,198 52,099 8,776 
Interest rate swaptions350,000 7,521 — 
Mortgage delivery commitments26,193 7 121 
Total derivatives not designated as hedging instruments20,342,391 59,627 8,897 
Total derivatives before adjustments$65,730,976 68,728 22,892 
Netting adjustments and cash collateral (1)
 (2,961)(19,308)
Total derivative assets and total derivative liabilities $65,767 $3,584 
 
(1)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $35,367 and $60,978 at March 31, 2025 and December 31, 2024, respectively. Cash collateral received, including accrued interest, was (in thousands) $17,729 and $44,631 at March 31, 2025 and December 31, 2024, respectively.

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

Table 6.2 - Impact of Fair Value Hedging Relationships on Net Interest Income (in thousands)
 
Three Months Ended March 31, 2025
AdvancesAvailable-for-Sale SecuritiesConsolidated Bonds
Total interest income (expense) recorded in the Statements of Income
$931,011 $113,111 $(1,087,204)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements$37,472 $59,724 $(1,904)
Gain (loss) on derivatives(169,788)(185,879)12,107 
Gain (loss) on hedged items 170,134 188,042 (12,443)
Price alignment amount (1)
(1,826)(8,416)(62)
Effect on net interest income$35,992 $53,471 $(2,302)

Three Months Ended March 31, 2024
AdvancesAvailable-for-Sale SecuritiesConsolidated Bonds
Total interest income (expense) recorded in the Statements of Income
$1,056,977 $144,565 $(1,192,672)
Impact of Fair Value Hedging Relationships
Interest rate swaps:
Net interest settlements$107,259 $96,968 $(9,088)
Gain (loss) on derivatives292,032 159,858 (16,491)
Gain (loss) on hedged items(292,222)(159,049)16,438 
Price alignment amount (1)
(4,377)(13,143)(25)
Effect on net interest income$102,692 $84,634 $(9,166)
(1)    This amount is for derivatives for which variation margin is characterized as a daily settled contract.

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

Table 6.3 - Cumulative Basis Adjustments for Fair Value Hedges (in thousands)
March 31, 2025
AdvancesAvailable-for-Sale SecuritiesConsolidated Bonds
Amortized cost of hedged asset or liability (1)
$32,535,277 $9,751,338 $2,579,350 
Fair value hedging adjustments
Basis adjustments for active hedging relationships included in amortized cost$(28,122)$(576,261)$7,057 
Basis adjustments for discontinued hedging relationships included in amortized cost1,069 15,978 — 
Total amount of fair value hedging basis adjustments$(27,053)$(560,283)$7,057 
December 31, 2024
AdvancesAvailable-for-Sale SecuritiesConsolidated Bonds
Amortized cost of hedged asset or liability (1)
$32,954,860 $9,070,467 $2,399,539 
Fair value hedging adjustments
Basis adjustments for active hedging relationships included in amortized cost$(198,618)$(764,833)$(5,386)
Basis adjustments for discontinued hedging relationships included in amortized cost1,430 14,429 — 
Total amount of fair value hedging basis adjustments$(197,188)$(750,404)$(5,386)
(1)     Includes only the portion of amortized cost representing the hedged items in active or discontinued fair value hedging relationships. Amortized cost includes fair value hedging adjustments.

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

Table 6.4 - Net Gains (Losses) Recorded in Non-interest Income (Loss) on Derivatives Not Designated as Hedging Instruments (in thousands)
Three Months Ended March 31,
20252024
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps$(50,051)$18,166 
Interest rate swaptions(3,990)(657)
Net interest settlements10,995 5,367 
Mortgage delivery commitments924 (361)
Total net gains (losses) related to derivatives not designated as hedging instruments
(42,122)22,515 
Price alignment amount (1)
(950)(1,542)
Net gains (losses) on derivatives$(43,072)$20,973 
(1)    This amount is for derivatives for which variation margin is characterized as a daily settled contract.

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Credit Risk on Derivatives

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

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

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

For cleared derivatives, the Clearinghouse determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. At March 31, 2025, the FHLB was not required to post additional initial margin by its clearing agents based on credit considerations.

Offsetting of Derivative Assets and Derivative Liabilities

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

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

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Table 6.5 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral. Any over-collateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount.

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

March 31, 2025
Derivative Instruments Meeting Netting Requirements
Non-cash Collateral Not Offset
Gross Recognized AmountGross Amount of Netting Adjustments and Cash Collateral
Derivative Instruments Not Meeting Netting Requirements (1)
Total Derivative Assets and Total Derivative Liabilities
Can Be Sold or Repledged
Net Amount (2)
Derivative Assets:
Uncleared$35,052 $(27,612)$314 $7,754 $— $7,754 
Cleared1,929 21,260 — 23,189 — 23,189 
Total$30,943 $30,943 
Derivative Liabilities:
Uncleared$17,563 $(16,697)$19 $885 $— $885 
Cleared14,378 (7,293)— 7,085 7,085 — 
Total$7,970 $885 
December 31, 2024
Derivative Instruments Meeting Netting Requirements
Non-cash Collateral Not Offset
Gross Recognized AmountGross Amount of Netting Adjustments and Cash Collateral
Derivative Instruments Not Meeting Netting Requirements (1)
Total Derivative Assets and Total Derivative Liabilities
Can Be Sold or Repledged
Net Amount (2)
Derivative Assets:
Uncleared$62,243 $(60,404)$7 $1,846 $— $1,846 
Cleared6,478 57,443 — 63,921 — 63,921 
Total$65,767 $65,767 
Derivative Liabilities:
Uncleared$21,598 $(18,135)$121 $3,584 $— $3,584 
Cleared1,173 (1,173)— — — — 
Total$3,584 $3,584 
(1)    Includes mortgage delivery commitments that are not subject to an enforceable netting agreement.
(2)    Any over-collateralization at the individual clearing agent and/or counterparty level is not included in the determination of the net amount. At March 31, 2025 and December 31, 2024, the FHLB had additional net credit exposure of (in thousands) $848,369 and $838,490, respectively, due to instances where the FHLB's non-cash collateral to a counterparty exceeded the FHLB's net derivative position.

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Note 7- Consolidated Obligations

Consolidated Obligations consist of Consolidated Bonds and Discount Notes. The 11 FHLBanks have joint and several liability for the par amount of all of the Consolidated Obligations issued on their behalves. The par amount of the outstanding Consolidated Obligations for all of the FHLBanks was (in billions) $1,154.9 and $1,193.0 at March 31, 2025 and December 31, 2024, respectively.

Table 7.1 - Consolidated Discount Notes Outstanding (dollars in thousands)
 Carrying Value Principal Amount 
Weighted Average Interest Rate (1)
March 31, 2025$16,968,877  $17,040,356  4.21 %
December 31, 2024$19,508,823  $19,602,106  4.45 %
(1)Represents an implied rate without consideration of concessions.

Table 7.2 - Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands)
 March 31, 2025 December 31, 2024
Year of Original Contractual MaturityAmountWeighted Average Interest Rate AmountWeighted Average Interest Rate
Due in 1 year or less$75,457,155 4.28 % $66,507,655 4.32 %
Due after 1 year through 2 years22,286,350 4.36  27,564,000 4.45 
Due after 2 years through 3 years1,513,300 2.04  2,129,300 2.64 
Due after 3 years through 4 years1,552,000 3.72  1,544,500 3.42 
Due after 4 years through 5 years1,147,000 4.02  1,028,000 4.01 
Thereafter5,379,140 4.09  4,969,140 3.99 
Total principal amount107,334,945 4.25  103,742,595 4.29 
Premiums43,696   44,607  
Discounts(29,837)  (29,804) 
Fair value hedging adjustments7,057   (5,386) 
Fair value option valuation adjustment and accrued interest52,372 65,788 
Total
$107,408,233   $103,817,800  


Table 7.3 - Consolidated Bonds Outstanding by Call Features (in thousands)
 March 31, 2025 December 31, 2024
Principal Amount of Consolidated Bonds:   
Non-callable$76,680,140  $67,952,140 
Callable30,654,805  35,790,455 
Total principal amount$107,334,945  $103,742,595 

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

Year of Original Contractual Maturity or Next Call DateMarch 31, 2025 December 31, 2024
Due in 1 year or less$97,811,805  $94,002,455 
Due after 1 year through 2 years3,364,500  3,602,000 
Due after 2 years through 3 years544,500  700,500 
Due after 3 years through 4 years1,182,000  1,119,500 
Due after 4 years through 5 years812,000  823,000 
Thereafter3,620,140  3,495,140 
Total principal amount$107,334,945  $103,742,595 

Table 7.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands)
 March 31, 2025 December 31, 2024
Principal Amount of Consolidated Bonds:   
Fixed-rate$22,815,945  $21,438,595 
Variable-rate84,519,000 82,304,000 
Total principal amount$107,334,945 $103,742,595 


Note 8 - Affordable Housing Program (AHP) and Voluntary Contributions

The FHLBank Act requires each FHLBank to establish an AHP. Each FHLBank provides direct grants or below-market interest rate subsidies on Advances to members who provide the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Each FHLBank recognizes AHP assessment expense equal to the greater of 10 percent of its annual income subject to assessment or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year. For purposes of the statutory AHP calculation, income subject to assessment is defined as net income before AHP assessments, plus interest expense related to mandatorily redeemable capital stock. The FHLB accrues AHP expense monthly based on its income subject to assessment.

In addition to the statutory AHP assessment, the Board of Directors may elect to make voluntary contributions to the AHP or other housing and community investment activities, which are recorded as other non-interest expense. The FHLB's voluntary contributions reduce net income before assessments, which, in turn, reduces the statutory AHP assessment each year. As such, the FHLB has committed to make supplemental voluntary contributions to AHP by an amount that equals what the statutory AHP assessment would be in the absence of these effects.

Statutory AHP assessments and all voluntary contributions to the AHP are recorded in the AHP liability on the Statements of Condition. Statutory AHP assessments and supplemental voluntary AHP expenses recorded in the current year are generally awarded in the subsequent year and may be disbursed over several years. The FHLB reduces the AHP liability when it makes grant disbursements or as members use Advance subsidies.

Table 8.1 - Rollforward of the AHP Liability (in thousands)
AHP liability balance, at December 31, 2024
$171,224 
Statutory AHP assessment
16,181 
Supplemental voluntary AHP expense
1,000 
Direct grant subsidy disbursements, net (1)
(2,372)
AHP liability balance, at March 31, 2025
$186,033 
(1)     Includes disbursements for both statutory and voluntary AHP grant subsidies.

Voluntary contributions to support other housing and community investments (non-AHP) are recorded within Other Liabilities on the Statements of Condition.

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Table 8.2 - Rollforward of the Voluntary Contribution Liability (Non-AHP) (in thousands)
Voluntary contribution liability balance, at December 31, 2024
$543 
Voluntary other housing and community investment expenses (non-AHP)
10,498 
Voluntary grants and donations, net
(226)
Voluntary contribution liability balance, at March 31, 2025
$10,815 


Note 9 - Capital

Table 9.1 - Capital Requirements (dollars in thousands)
 March 31, 2025December 31, 2024
 Minimum RequirementActualMinimum RequirementActual
Risk-based capital$947,234 $6,950,857 $1,319,952 $6,789,335 
Capital-to-assets ratio (regulatory)4.00 %5.21 %4.00 %5.13 %
Regulatory capital$5,335,612 $6,950,857 $5,293,104 $6,789,335 
Leverage capital-to-assets ratio (regulatory)5.00 %7.82 %5.00 %7.70 %
Leverage capital$6,669,515 $10,426,286 $6,616,380 $10,184,003 

Restricted Retained Earnings. At March 31, 2025 and December 31, 2024 the FHLB had (in thousands) $844,355 and $815,335, respectively, in restricted retained earnings. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that an FHLBank may experience.

Table 9.2 - Rollforward of Mandatorily Redeemable Capital Stock (in thousands)
Balance, December 31, 2024
$14,384 
Capital stock subject to mandatory redemption reclassified from equity
37,255 
Repurchase/redemption of mandatorily redeemable capital stock
(15,506)
Balance, March 31, 2025
$36,133 

Table 9.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands)
Contractual Year of RedemptionMarch 31, 2025 December 31, 2024
Year 1$—  $— 
Year 2 4,943  4,170 
Year 3479  2,696 
Year 4 994  1,466 
Year 5 24,272  331 
Past contractual redemption date due to remaining activity (1)
5,445 5,721 
Total$36,133  $14,384 
(1)Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates.


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Note 10 - Accumulated Other Comprehensive Income (Loss)

The following tables summarize the changes in accumulated other comprehensive income (loss) for the three months ended March 31, 2025 and 2024.

Table 10.1 - Accumulated Other Comprehensive Income (Loss) (in thousands)
Net unrealized gains (losses) on available-for-sale securitiesPension and postretirement benefitsTotal accumulated other comprehensive income (loss)
BALANCE, DECEMBER 31, 2023$(75,997)$(1,340)$(77,337)
Other comprehensive income before reclassification:
Net unrealized gains (losses)55,584 — 55,584 
Reclassifications from other comprehensive income (loss) to net income:
Net realized (gains) losses from sale of available-for-sale securities
(1,136)— (1,136)
Amortization - pension and postretirement benefits (1)
— 8 8 
Net current period other comprehensive income (loss)
54,448 8 54,456 
BALANCE, MARCH 31, 2024$(21,549)$(1,332)$(22,881)
BALANCE, DECEMBER 31, 2024$(39,174)$968 $(38,206)
Other comprehensive income before reclassification:
Net unrealized gains (losses)(238)— (238)
Net actuarial gains (losses)— 174 174 
Reclassifications from other comprehensive income (loss) to net income:
Amortization - pension and postretirement benefits (1)
— (97)(97)
Net current period other comprehensive income (loss)(238)77 (161)
BALANCE, MARCH 31, 2025$(39,412)$1,045 $(38,367)
(1)Included in Non-Interest Expense - Other in the Statements of Income.


Note 11 - Segment Information

The FHLB has identified two primary segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and identify the principal ways the FHLB provides services to member stockholders. The FHLB's chief operating decision maker (CODM) is the President and Chief Executive Officer. The CODM primarily considers each segment's net interest income, non-interest expenses and, ultimately, net income when evaluating segment performance. The CODM uses the reported segments' financial performance as shown in Table 11.1 to manage the development, product delivery, resource allocation, pricing, and operational administration of the FHLB's Mission Assets and Activities. When making resource allocation decisions, the CODM considers these profitability measures in the context of the historical, current and expected risk profile of each segment and the FHLB's entire balance sheet.

Overall financial performance and risk management are dynamically managed primarily at the level of, and within the context of, the FHLB's entire balance sheet rather than at the level of individual business segments or product lines. Also, the FHLB hedges specific asset purchases and specific subportfolios in the context of its entire mortgage asset portfolio and its entire balance sheet. Under this holistic approach, the market risk/return profile of each business segment does not correspond, in general, to the performance that each segment would generate if it were completely managed on a separate basis, and it is not possible to accurately determine what the performance would be if the two business segments were managed on a stand-alone basis. Further, because financial and risk management is a dynamic process, the performance of a segment over a single identified period may not reflect the long-term expected or actual future trends for the segment.

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The Traditional Member Finance segment includes products such as Advances and investments and the borrowing costs related to those assets. The FHLB assigns its investments to this segment primarily because they historically have been used to provide liquidity for Advances and to support the level and volatility of earnings from Advances. All interest rate swaps, which are used in the management of market risk, and their corresponding market value adjustments, are allocated to the Traditional Member Finance segment.

Income from the MPP is derived primarily from the difference, or spread, between the yield on mortgage loans and the borrowing cost of Consolidated Obligations outstanding allocated to this segment at the time debt is issued. MPP income also considers the market value gains (losses) on swaptions, which are used in managing prepayment risks, mortgage delivery commitments and forward rate agreements.

Both segments also earn income from investment of interest-free capital. Capital is allocated proportionate to each segment's average assets based on the total balance sheet's average capital-to-assets ratio. Expenses are allocated based on cost accounting techniques such as direct usage, time allocations and square footage of space used. AHP assessments are calculated using the current assessment rates based on the income before assessments for each segment.

Table 11.1 - Financial Performance by Operating Segment (in thousands)
 Three Months Ended March 31,
 Traditional Member
Finance		MPPTotal
2025   
Total interest income$1,447,251 $67,779 $1,515,030 
Total interest expense1,278,084 49,103 1,327,187 
Net interest income (loss)169,167 18,676 187,843 
Non-interest income (loss)20,155 (3,066)17,089 
Non-interest expense:
Operating expenses
23,495 2,734 26,229 
Voluntary housing and community investment
10,672 826 11,498 
Other
5,454 467 5,921 
Total non-interest expense
39,621 4,027 43,648 
Income (loss) before assessments149,701 11,583 161,284 
Affordable Housing Program assessments15,023 1,158 16,181 
Net income (loss)$134,678 $10,425 $145,103 
2024   
Total interest income$1,609,259 $59,538 $1,668,797 
Total interest expense1,431,638 36,292 1,467,930 
Net interest income (loss)177,621 23,246 200,867 
Non-interest income (loss)8,527 (1,017)7,510 
Non-interest expense:
Operating expenses20,984 2,612 23,596 
Voluntary housing and community investment
13,980 1,717 15,697 
Other6,192 96 6,288 
Total non-interest expense
41,156 4,425 45,581 
Income (loss) before assessments144,992 17,804 162,796 
Affordable Housing Program assessments14,538 1,780 16,318 
Net income (loss)$130,454 $16,024 $146,478 
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Table 11.2 - Asset Balances by Operating Segment (in thousands)
Assets
Traditional Member
Finance		MPPTotal
March 31, 2025$125,675,195 $7,715,109 $133,390,304 
December 31, 2024124,721,757 7,605,840 132,327,597 


Note 12 - Fair Value Disclosures

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

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

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

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

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

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

The FHLB reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain financial assets or liabilities. The FHLB did not have any transfers of assets or liabilities into or out of Level 3 of the fair value hierarchy during the three months ended March 31, 2025 or 2024.

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

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Table 12.1 - Fair Value Summary (in thousands)
March 31, 2025
Fair Value
Financial Instruments
Carrying Value (1)
TotalLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral (2)
Assets:  
Cash and due from banks$20,404 $20,404 $20,404 $— $— $— 
Interest-bearing deposits2,475,205 2,475,205 — 2,475,205 — — 
Securities purchased under agreements to resell
7,270,725 7,270,726 — 7,270,726 — — 
Federal funds sold9,555,000 9,555,000 — 9,555,000 — — 
Trading securities2,753,418 2,753,418 — 2,753,418 — — 
Available-for-sale securities9,744,331 9,744,331 — 9,744,331 — — 
Held-to-maturity securities15,581,986 15,423,974 — 15,423,974 — — 
Advances (3)
78,147,707 78,265,121 — 78,265,121 — — 
Mortgage loans held for portfolio
7,297,039 6,571,194 — 6,562,883 8,311 — 
Accrued interest receivable477,257 477,257 — 477,257 — — 
Derivative assets30,943 30,943 — 37,295 — (6,352)
Liabilities:  
Deposits979,857 979,926 — 979,926 — — 
Consolidated Obligations: 
Discount Notes (4)
16,968,877 16,970,110 — 16,970,110 — — 
Bonds (5)
107,408,233 106,986,349 — 106,986,349 — — 
Mandatorily redeemable capital stock
36,133 36,133 36,133 — — — 
Accrued interest payable505,982 505,982 — 505,982 — — 
Derivative liabilities7,970 7,970 — 31,960 — (23,990)
(1)For certain financial instruments, the amounts represent net carrying value, which include an allowance for credit losses.
(2)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.
(3)Includes (in thousands) $288,659 of Advances recorded under the fair value option at March 31, 2025.
(4)Includes (in thousands) $1,891,318 of Consolidated Obligation Discount Notes recorded under the fair value option at March 31, 2025.
(5)Includes (in thousands) $8,214,127 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2025.

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December 31, 2024
Fair Value
Financial Instruments
Carrying Value (1)
TotalLevel 1Level 2Level 3
Netting Adjustments and Cash Collateral (2)
Assets:  
Cash and due from banks$28,276 $28,276 $28,276 $— $— $— 
Interest-bearing deposits2,360,203 2,360,203 — 2,360,203 — — 
Securities purchased under agreements to resell
10,738,637 10,738,639 — 10,738,639 — — 
Federal funds sold4,900,000 4,900,000 — 4,900,000 — — 
Trading securities2,705,895 2,705,895 — 2,705,895 — — 
Available-for-sale securities9,062,735 9,062,735 — 9,062,735 — — 
Held-to-maturity securities15,371,712 15,119,557 — 15,119,557 — — 
Advances (3)
79,346,365 79,394,645 — 79,394,645 — — 
Mortgage loans held for portfolio7,244,200 6,400,342 — 6,393,934 6,408 — 
Accrued interest receivable464,032 464,032 — 464,032 — — 
Derivative assets65,767 65,767 — 68,728 — (2,961)
Liabilities:  
Deposits1,094,313 1,094,460 — 1,094,460 — — 
Consolidated Obligations:  
Discount Notes (4)
19,508,823 19,510,279 — 19,510,279 — — 
Bonds (5)
103,817,800 103,212,752 — 103,212,752 — — 
Mandatorily redeemable capital stock
14,384 14,384 14,384 — — — 
Accrued interest payable526,384 526,384 — 526,384 — — 
Derivative liabilities3,584 3,584 — 22,892 — (19,308)
(1)For certain financial instruments, the amounts represent net carrying value, which include an allowance for credit losses.
(2)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.
(3)Includes (in thousands) $281,299 of Advances recorded under the fair value option at December 31, 2024.
(4)Includes (in thousands) $8,670,557 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2024.
(5)Includes (in thousands) $7,324,443 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2024.

Summary of Valuation Methodologies and Primary Inputs.

The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition are disclosed in Note 15 - Fair Value Disclosures in the FHLB's 2024 Annual Report on Form 10-K. There have been no significant changes in the valuation methodologies during the three months ended March 31, 2025.
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Fair Value Measurements.

Table 12.2 presents the fair value of financial assets and liabilities that are recorded on a recurring basis at March 31, 2025 and December 31, 2024, by level within the fair value hierarchy.

Table 12.2 - Fair Value Measurements (in thousands)
Fair Value Measurements at March 31, 2025
 Total  Level 1Level 2Level 3
Netting Adjustments and Cash Collateral (1)
Recurring fair value measurements - Assets
     
Trading securities:     
U.S. Treasury obligations$1,275,204 $— $1,275,204 $— $— 
GSE obligations
1,478,214 — 1,478,214 — — 
Total trading securities2,753,418 — 2,753,418 — — 
Available-for-sale securities:     
U.S. Treasury obligations5,593,300 — 5,593,300 — — 
GSE obligations121,570 — 121,570 — — 
GSE multi-family MBS4,029,461 — 4,029,461 — — 
Total available-for-sale securities9,744,331 — 9,744,331 — — 
Advances288,659 — 288,659 — — 
Derivative assets:     
Interest rate related30,629 — 36,981 — (6,352)
Mortgage delivery commitments314 — 314 — — 
Total derivative assets30,943 — 37,295 — (6,352)
Total assets at fair value$12,817,351 $— $12,823,703 $— $(6,352)
Recurring fair value measurements - Liabilities
     
Consolidated Obligations:
Discount Notes$1,891,318 $— $1,891,318 $— $— 
Bonds8,214,127 — 8,214,127 — — 
Total Consolidated Obligations10,105,445 — 10,105,445 — — 
Derivative liabilities:     
Interest rate related7,951 — 31,941 — (23,990)
Mortgage delivery commitments19 — 19 — — 
Total derivative liabilities7,970 — 31,960 — (23,990)
Total liabilities at fair value$10,113,415 $— $10,137,405 $— $(23,990)
(1)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.

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Fair Value Measurements at December 31, 2024
 Total  Level 1Level 2Level 3
Netting Adjustments and Cash Collateral (1)
Recurring fair value measurements - Assets
     
Trading securities:     
U.S. Treasury obligations$1,248,651 $— $1,248,651 $— $— 
GSE obligations
1,457,242 — 1,457,242 — — 
U.S. obligation single-family MBS
2 — 2 — — 
Total trading securities2,705,895 — 2,705,895 — — 
Available-for-sale securities:     
U.S. Treasury obligations5,488,569 — 5,488,569 — — 
GSE obligations120,311 — 120,311 — — 
GSE multi-family MBS3,453,855 — 3,453,855 — — 
Total available-for-sale securities9,062,735 — 9,062,735 — — 
Advances281,299 — 281,299 — — 
Derivative assets:     
Interest rate related65,760 — 68,721 — (2,961)
Mortgage delivery commitments7 — 7 — — 
Total derivative assets65,767 — 68,728 — (2,961)
Total assets at fair value$12,115,696 $— $12,118,657 $— $(2,961)
Recurring fair value measurements - Liabilities
     
Consolidated Obligations:
Discount Notes
$8,670,557 $— $8,670,557 $— $— 
   Bonds7,324,443 — 7,324,443 — — 
Total Consolidated Obligations15,995,000 — 15,995,000 — — 
Derivative liabilities:     
Interest rate related3,463 — 22,771 — (19,308)
Mortgage delivery commitments121 — 121 — — 
Total derivative liabilities3,584 — 22,892 — (19,308)
Total liabilities at fair value$15,998,584 $— $16,017,892 $— $(19,308)
(1)Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.

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

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

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Table 12.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the three months ended March 31, 2025 and 2024.

Table 12.3 – Fair Value Option - Financial Assets and Liabilities (in thousands)
Three Months Ended March 31,
Net Gains (Losses) from Changes in Fair Value Recognized in Earnings
20252024
Advances
$2,347 $(4,504)
Consolidated Discount Notes
4,653 1,414 
Consolidated Bonds
(2,292)(5,509)
Total net gains (losses)
$4,708 $(8,599)

For instruments recorded under the fair value option, the related contractual interest income, contractual interest expense and the discount amortization on Discount Notes are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments in which the fair value option has been elected are recorded as “Net gains (losses) on financial instruments held under fair value option” in the Statements of Income, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income (loss) in the Statements of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three months ended March 31, 2025 or 2024. In determining that there has been no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors:

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

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

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

Table 12.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands)
March 31, 2025December 31, 2024
Aggregate Unpaid Principal BalanceAggregate Fair ValueAggregate Fair Value Over/(Under) Aggregate Unpaid Principal BalanceAggregate Unpaid Principal BalanceAggregate Fair ValueAggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance
Advances
$285,091 $288,659 $3,568 $280,092 $281,299 $1,207 
Consolidated Discount Notes
1,899,778 1,891,318 (8,460)8,717,688 8,670,557 (47,131)
Consolidated Bonds
8,161,755 8,214,127 52,372 7,258,655 7,324,443 65,788 

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Note 13 - Commitments and Contingencies

Off-Balance Sheet Commitments. Table 13.1 represents off-balance sheet commitments at March 31, 2025 and December 31, 2024. The FHLB has deemed it unnecessary to record any liabilities for credit losses on these commitments at March 31, 2025 and December 31, 2024, based on its credit extension and collateral policies.

Table 13.1 - Off-Balance Sheet Commitments (in thousands)
March 31, 2025December 31, 2024
Notional AmountExpire within one yearExpire after one yearTotalExpire within one yearExpire after one yearTotal
Letters of Credit$45,208,508 $455,784 $45,664,292 $48,399,746 $514,758 $48,914,504 
Commitments to purchase mortgage loans95,033 — 95,033 26,193 — 26,193 
Unsettled Consolidated Bonds, principal amount (1)
55,000 — 55,000 1,025,000 — 1,025,000 
Unsettled Consolidated Discount Notes, principal amount (1)
— — — 131,561 — 131,561 
(1)Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations.

The carrying value of guarantees related to Letters of Credit are recorded in other liabilities and were (in thousands) $12,870 and $12,276 at March 31, 2025 and December 31, 2024.

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


Note 14 - Transactions with Other FHLBanks

The FHLB notes transactions with other FHLBanks on the face of its financial statements. Occasionally, the FHLB loans short-term funds to and borrows short-term funds from other FHLBanks. These loans and borrowings are transacted at current market rates when traded. There were no such loans or borrowings outstanding at March 31, 2025 or December 31, 2024. The following table details the average daily balance of lending and borrowing between the FHLB and other FHLBanks for the three months ended March 31, 2025 and 2024.

Table 14.1 - Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands)
Average Daily Balances for the Three Months Ended March 31,
 2025 2024
Loans to other FHLBanks$2,778  $16,484 
Borrowings from other FHLBanks11,667  — 

In addition, from time to time, one FHLBank may transfer to another FHLBank the Consolidated Obligations (at current market rates on the day when the transfer is traded) for which the transferring FHLBank was originally the primary obligor but upon transfer the assuming FHLBank becomes the primary obligor. There were no Consolidated Obligations transferred to the FHLB during the three months ended March 31, 2025 or 2024. The FHLB had no Consolidated Obligations transferred to other FHLBanks during these periods.

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Note 15 - Transactions with Stockholders

As a cooperative, the FHLB's capital stock is owned by its members, by former members that retain the stock as provided in the FHLB's Capital Plan and by nonmember institutions that have acquired members and must retain the stock to support Advances or other capital-requiring activities with the FHLB. All Advances were issued to members and all mortgage loans held for portfolio were purchased from members during the three months ended March 31, 2025 and 2024. The FHLB also maintains demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to Advances and mortgage loan purchases. Additionally, the FHLB may enter into interest rate swaps with its stockholders. The FHLB may not invest in any equity securities issued by its stockholders. At March 31, 2025 and December 31, 2024, the FHLB did not own any MBS securitized by, or other direct long-term investments issued by its stockholders.

For financial statement purposes, the FHLB defines related parties as those members with more than 10 percent of the voting interests of the FHLB capital stock outstanding. Given statutory limitations, no member owned more than 10 percent of the voting interests of the FHLB at March 31, 2025 or December 31, 2024. Specifically, federal statute prescribes the voting rights of members in the election of both Member and Independent directors. For Member directorships, the Finance Agency designates the number of Member directorships in a given year and an eligible voting member may vote only for candidates seeking election in its respective state. For Independent directors, the FHLB's Board of Directors nominates candidates to be placed on the ballot in an at-large election. For both Member and Independent director elections, a member is entitled to vote one share of required capital stock, subject to a statutory limitation, for each applicable directorship. Under this limitation, the total number of votes that a member may cast is limited to the average number of shares of the FHLB's capital stock that were required to be held by all members in that state as of the record date for voting. Nonmember stockholders are not eligible to vote in director elections.

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

Transactions with Directors' Financial Institutions. In the ordinary course of its business, the FHLB provides products and services to members whose officers or directors serve as directors of the FHLB (Directors' Financial Institutions). Finance Agency regulations require that transactions with Directors' Financial Institutions be made on the same terms as those with any other member. The following table reflects balances with Directors' Financial Institutions for the items indicated below. The FHLB had no MBS or derivatives transactions with Directors' Financial Institutions at March 31, 2025 or December 31, 2024.
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Table 15.1 - Transactions with Directors' Financial Institutions (dollars in millions)
 March 31, 2025December 31, 2024
 Balance
% of Total (1)
Balance
% of Total (1)
Advances$10,897 13.9 %$9,157 11.5 %
MPP129 1.8 109 1.5 
Regulatory capital stock573 11.3 497 10.0 
(1)Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock.

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

Table 15.2 - Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions)
Regulatory Capital StockAdvanceMPP Unpaid
March 31, 2025Balance% of Total PrincipalPrincipal Balance
JPMorgan Chase Bank, N.A.$946 19 %$20,000 $— 
U.S. Bank, N.A.926 18 13,500 5 
Fifth Third Bank321 6 6,601 79 
Regulatory Capital StockAdvanceMPP Unpaid
December 31, 2024Balance% of TotalPrincipalPrincipal Balance
JPMorgan Chase Bank, N.A.$946 19 %$20,000 $— 
U.S. Bank, N.A.763 15 14,500 6 
Fifth Third Bank275 6 5,601 60 
Keybank, N.A.261 5 1,329 — 

Nonmember Housing Associates. The FHLB has relationships with three nonmember housing associates, the Kentucky Housing Corporation, the Ohio Housing Finance Agency and the Tennessee Housing Development Agency. The FHLB had no investments in or borrowings to any of these nonmember housing associates at March 31, 2025 or December 31, 2024.


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

This report contains forward-looking statements that describe the objectives, expectations, estimates, and assessments of the Federal Home Loan Bank of Cincinnati (the FHLB). These statements use words such as “anticipates,” “expects,” “believes,” “could,” “estimates,” “may,” and “should.” By their nature, forward-looking statements relate to matters involving risks or uncertainties, including the risk factors set forth in Part I, Item 1A. "Risk Factors" in our 2024 Annual Report on Form 10-K, some of which we may not be able to know, control, or completely manage. Actual future results could differ materially from those expressed or implied in forward-looking statements or could affect the extent to which we are able to realize an objective, expectation, estimate, or assessment. These risks and uncertainties include, among others, the following:

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

▪national or world events, acts of war, civil unrest, terrorism, natural disasters, climate change, pandemics, or other unanticipated or catastrophic events;

▪political events, including legislative, regulatory, judicial or other developments that affect us, our members, counterparties, or investors in the Federal Home Loan Bank System's (FHLBank System or System) unsecured debt
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securities, which are called Consolidated Obligations (or Obligations), such as any government-sponsored enterprise (GSE) reforms, any changes resulting from the Federal Housing Finance Agency's (Finance Agency) review and analysis of the FHLBank System, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the Federal Home Loan Banks (FHLBanks);

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

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

▪changes in the credit ratings or outlook assigned to FHLBank System Obligations or the FHLB;

▪changes in investor demand for Obligations;

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

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

▪the ability to develop, secure and support technology and information systems that help effectively manage the risks we face (including cybersecurity risks), and keep pace with technological changes and innovation such as artificial intelligence;

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

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

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

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


EXECUTIVE OVERVIEW
During the first three months of 2025, we delivered on our dual mission of providing access to ongoing liquidity funding to member financial institutions and supporting affordable housing and community investment. We continue to monitor the changing economic landscape and are committed to assisting members in meeting their funding needs.

We maintained strong profitability, which enabled us to bolster capital adequacy by increasing retained earnings, to pay a competitive dividend rate to stockholders, and to make meaningful contributions to affordable housing. We exceeded all minimum regulatory capital and liquidity requirements, and we were able to fund operations through the issuance of Consolidated Obligations at acceptable interest costs. Additionally, overall residual credit risk exposure from our Credit Services, mortgage loan portfolio, investments, and derivative transactions has remained de minimis. Likewise, our market risk measures continue to be within our risk appetite.

Mission Assets and Activities

Primary Mission Assets (i.e., principal balances of Advances and mortgage loans held for portfolio) and Supplemental Mission Activities (i.e., Letters of Credit, Mandatory Delivery Contracts and standby bond purchase agreements) are the principal business activities by which we fulfill our mission with direct connections to members and what we refer to as Mission Assets and Activities. We regularly monitor our level of Mission Assets and Activities. One measure we use to assess mission achievement is our Primary Mission Asset ratio, which measures the sum of average Advances and mortgage loans as a percentage of average Consolidated Obligations (adjusted for certain high-quality liquid assets, as permitted by regulation). In the first three months of 2025, the Primary Mission Asset ratio averaged 74 percent, above the Finance Agency's preferred ratio
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of 70 percent. In assessing overall mission achievement, we also consider supplemental sources of Mission Assets and Activities, the most significant of which is Letters of Credit issued for the benefit of members.

The following table summarizes our Mission Assets and Activities.
 Ending BalancesAverage Balances
March 31,December 31,Three Months Ended March 31,Year Ended December 31,
(In millions)202520242024 202520242024
Primary Mission Assets (1):
Advances$78,173 $73,302 $79,545 $79,327 $74,209 $74,669 
Mortgage loans held for portfolio7,143 7,023 7,093 7,114 6,993 7,032 
Total Primary Mission Assets$85,316 $80,325 $86,638 $86,441 $81,202 $81,701 
Supplemental Mission Activities (2):
Letters of Credit (notional)$45,664 $49,618 $48,915 $47,596 $46,528 $47,458 
Mandatory Delivery Contracts (notional)95 66 26 73 75 60 
Total Supplemental Mission Activities$45,759 $49,684 $48,941 $47,669 $46,603 $47,518 
(1)Amounts represent principal balances.
(2)Amounts represent off-balance sheet commitments.

Advance principal balances at March 31, 2025 decreased only $1.4 billion (two percent) from year-end 2024. Average principal Advance balances for the three months ended March 31, 2025 increased $5.1 billion (seven percent) compared to the same period of 2024 as depository members' continued to have strong demand for liquidity.

Advance balances are often volatile given our members' ability to quickly, normally on the same day, increase or decrease the amount of their Advances. We believe that a key benefit of membership comes from our business model as a wholesale lender GSE, which provides members flexibility in their Advance funding levels and helps support their asset-liability management needs. We act as a reliable source of funding for our members. Our business model is designed to support significant changes in asset levels without having to undergo material changes in staffing, operations, risk practices, or general resource needs. A key reason for this scalability is that our Capital Plan provides for additional capital when Advances grow and the opportunity for us to retire capital when Advances decline, thereby acting to preserve competitive profitability.

MPP principal balances increased $0.1 billion (one percent) from the year-end 2024 balance. During the first three months of 2025, we purchased $0.2 billion of mortgage loans, while principal reductions were $0.1 billion. Principal purchases and reductions in the first quarter of 2025 were limited due in large part to the elevated mortgage rate environment.

Letters of Credit decreased $3.3 billion (seven percent) from year-end 2024. Letters of Credit balances are primarily used by members to secure public unit deposits. We normally earn fees on Letters of Credit based on the actual average amount of the Letters utilized, which generally is less than the notional amount issued.

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Affordable Housing and Community Investment

In addition to providing readily-available, competitively-priced sources of funds to members, one of our core missions is to support affordable housing and community investment. We are statutorily required to set aside a portion of our profits to support affordable housing each year. These funds assist members in serving very low-, low-, and moderate-income households and community economic development. Our net income for the first three months of 2025 resulted in a statutory assessment of $16 million to the AHP pool of funds available to members in 2026.

In addition to the statutory AHP assessment, the Board of Directors may elect to make voluntary contributions to the AHP or other housing and community investment activities. In 2025, we are committed to making voluntary contributions of $36 million, representing five percent of our 2024 earnings. In the first three months of 2025, we partially fulfilled our commitment by contributing over $10 million to our various voluntary housing and community investment programs. These contributions are recorded in non-interest expense on the Statements of Income, which reduces net income before assessments, and, in turn, reduces the statutory AHP assessment each year. As such, in 2025, we are committed to making supplemental voluntary contributions to the AHP of approximately $4 million to make the total AHP contributions equal to what the statutory AHP assessment would have been in the absence of these effects. Through the first three months of 2025, we made a $1 million supplemental voluntary AHP contribution.

Results of Operations

Our earnings over time reflect the combination of a stable business model and conservative management of risk. Key market driven factors that can cause significant periodic volatility in our profitability include changes in Mission Assets and Activities, the level of interest rates, changes in spreads between benchmark interest rates and our short-term funding costs, recognition of net amortization from accelerated prepayments of mortgage assets, fair value adjustments related to the use of derivatives and the associated hedged items, and general economic conditions. The table below summarizes our results of operations.
 Three Months Ended March 31,Year Ended December 31,
(Dollars in millions)202520242024
Net income$145 $146 $608 
Return on average equity (ROE)8.76 %9.30 %9.48 %
Return on average assets0.44 0.48 0.49 
Weighted average dividend rate9.00 9.00 9.00 
Dividend payout ratio (1)
72.1 75.8 70.2 
Average Secured Overnight Financing Rate (SOFR)
4.33 5.31 5.14 
ROE spread to average SOFR
4.43 3.99 4.34 
Dividend rate spread to average SOFR
4.67 3.69 3.86 
(1)Dividend payout ratio is dividends declared in the period as a percentage of net income.

Our profitability was strong in the first three months of 2025, which enabled us to pay a competitive return to stockholders, make meaningful contributions to support affordable housing and community investment and grow capital by increasing retained earnings. Net income decreased only $1 million in the first three months of 2025 compared to the same period of 2024 primarily due to lower average interest rates, which decreased the earnings generated from investing our capital, and lower spreads earned on mortgage loans held for portfolio. However, these factors were partially offset by net gains on derivatives and related financial instruments carried at fair value in the first three months of 2025 compared to net losses in the same period of 2024, as well as higher average Advance balances.

We strive to provide a competitive return on members' capital investment in our company through quarterly dividend payments. In March 2025, we paid stockholders a quarterly dividend at a 9.00 percent annualized rate on their capital investment in our company, which was 4.67 percentage points above the first quarter average SOFR. After we paid our quarterly dividend, retained earnings totaled $1.9 billion on March 31, 2025, an increase of two percent from year-end 2024. We believe the amount of retained earnings is sufficient to protect against members' impairment risk of their capital stock investment in the FHLB and to provide the opportunity to stabilize or increase future dividends.

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Effect of Interest Rate Environment

Trends in market interest rates and the resulting shapes of the market yield curves strongly influence our results of operations and profitability because of how they affect members' demand for Mission Assets and Activities, spreads on assets, funding costs and decisions in managing the tradeoffs in our market risk/return profile. The following tables present key market interest rates (obtained from Bloomberg L.P.).
Quarter 1 2025
Year 2024
Quarter 1 2024
 EndingAverageEndingAverageEndingAverage
Federal funds effective
4.33 %4.33 %4.33 %5.14 %5.33 %5.33 %
SOFR4.41 4.33 4.49 5.14 5.34 5.31 
2-year U.S. Treasury3.89 4.16 4.24 4.38 4.62 4.49 
10-year U.S. Treasury
4.21 4.46 4.57 4.21 4.20 4.15 
15-year mortgage current coupon (1)
4.76 4.97 5.11 4.95 4.96 5.03 
30-year mortgage current coupon (1)
5.51 5.71 5.83 5.59 5.60 5.61 
(1)     Current coupon rate of Fannie Mae par mortgage-backed securities (MBS) indications.

On March 31, 2025, the target overnight Federal funds rate was in the range of 4.25 to 4.50 percent, unchanged from the range on December 31, 2024.

Average overnight rates were approximately 100 basis points lower in the first three months of 2025 compared to the same period of 2024. Our earnings from capital decreased $8 million in the first three months of 2025 compared to the same period of 2024 because of the lower average short-term rates.

During the first three months of 2025 and throughout 2024, the market risk exposure to changing interest rates was low and within policy limits. We believe that longer-term profitability will be competitive, unless interest rates were to increase significantly for a sustained period of time.

Legislative and Regulatory Developments

The FHLBanks are subject to various legal and regulatory requirements and priorities. Certain actions by the current federal executive administration are changing the regulatory environment. Changes in the regulatory environment, including regulatory priorities and areas of focus such as deregulation, have affected, and likely will continue to affect, certain aspects of the FHLBanks’ business operations, and could have impacts on the FHLBanks’ results of operations and reputation. For example, on January 20, 2025, the federal executive administration ordered all executive departments and agencies to, among other things, not propose or issue any rule until a department or agency head appointed or designated by the president reviews and approves the rule.

Beginning in March 2025, the Finance Agency has rescinded several advisory bulletins applicable to the FHLBanks, including the advisory bulletins that had set out expectations related to: (i) fair lending and fair housing compliance, (ii) unfair or deceptive acts or practices compliance, (iii) climate-related risk management, (iv) diversity and inclusion examination ratings, (v) Board diversity and (vi) Board diversity data collection.

Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate result of future regulatory actions and their ultimate impact on us and the FHLBank System. See Part I, Item 1A. "Risk Factors" in our 2024 Annual Report on Form 10-K for more discussion.
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ANALYSIS OF FINANCIAL CONDITION

Credit Services

Credit Activity and Advance Composition
The table below shows trends in Advance balances by major programs and in the notional amount of Letters of Credit.
(Dollars in millions)March 31, 2025December 31, 2024
 Balance
Percent(1)
Balance
Percent(1)
Adjustable/Variable-Rate Indexed:
  
SOFR$27,635 35 %$27,745 35 %
Other1,276 2 2,461 3 
Total28,911 37 30,206 38 
Fixed-Rate:  
Repurchase based (REPO)6,351 8 7,384 9 
Regular Fixed-Rate39,287 50 39,637 50 
Putable (2)
620 1 615 1 
Amortizing/Mortgage Matched
958 1 1,015 1 
Other2,046 3 688 1 
Total49,262 63 49,339 62 
Total Advances Principal$78,173 100 %$79,545 100 %
Letters of Credit (notional) (3)
$45,664 $48,915 
(1)As a percentage of total Advances principal.    
(2)Excludes Putable Advances where the related put options have expired or where the Advance is indexed to a variable-rate. These Advances are classified based on their current terms.
(3)Represents the amount of an off-balance sheet commitment.

Advance principal balances on March 31, 2025 decreased $1.4 billion compared to year-end 2024. Although there was a slight decrease in Advances, depository members continued to have a strong demand for liquidity. The future levels of Advance balances are difficult to predict and depend on many factors, including changes in the level of liquidity in the financial markets, changes in our members' deposit levels compared to loan growth and the general health of the economy.

Letters of Credit are issued on behalf of members to support certain obligations of members (or members' customers) to third-party beneficiaries. Letters of Credit decreased $3.3 billion (seven percent) in the first three months of 2025. Letters of Credit usually expire without being drawn upon.
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The following tables present principal balances for the five members with the largest Advance borrowings.

(Dollars in millions)
March 31, 2025 December 31, 2024
NamePrincipal Amount of AdvancesPercent of Total Principal Amount of Advances NamePrincipal Amount of AdvancesPercent of Total Principal Amount of Advances
JPMorgan Chase Bank, N.A.$20,000 26 % JPMorgan Chase Bank, N.A.$20,000 25 %
U.S. Bank, N.A.13,500 17  U.S. Bank, N.A.14,500 18 
Fifth Third Bank6,601 8  Fifth Third Bank5,601 7 
Third Federal Savings and Loan Association4,569 6  Third Federal Savings and Loan Association4,637 6 
The Huntington National Bank4,501 6  The Huntington National Bank4,501 6 
Total of Top 5$49,171 63 % Total of Top 5$49,239 62 %

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

MPP balances are influenced by conditions in the housing and mortgage markets, the competitiveness of prices we offer to purchase loans, as well as program features and activity from our largest sellers. We manage purchases and balances at a prudent level relative to capital and total assets to effectively manage market and credit risks consistent with our risk appetite.

The table below shows principal purchases and collections of loans in the MPP for the first three months of 2025. All loans acquired in the first three months of 2025 were conventional loans.
(In millions)MPP Principal
Balance, December 31, 2024
$7,093 
Principal purchases195 
Principal collections
(145)
Balance, March 31, 2025
$7,143 

We closely track the refinancing incentives of our mortgage assets (including loans in the MPP and MBS) because the option for homeowners to change their principal payments normally represents the largest portion of our market risk exposure and can affect MPP balances. MPP principal paydowns decreased in the first three months of 2025 to a four percent annual constant prepayment rate, compared to the six percent rate during 2024. Mortgage prepayment rates have remained low due to the elevated mortgage rate environment. Likewise, elevated mortgage rates and low housing inventories have substantially eliminated borrower incentive to refinance and have slowed mortgage purchase originations, which in turn contributed to the continued slow pace of our purchases of new MPP loans in the first three months of 2025.

Overall, MPP yields on new purchases and existing portfolio balances, relative to their market and credit risks, are expected to continue to generate a profitable long-term return.

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Investments

The table below presents the ending and average balances of our investment portfolio.
Three Months EndedYear Ended
(In millions)March 31, 2025 December 31, 2024
 Ending Balance Average Balance Ending Balance Average Balance
Liquidity investments$27,819  $26,591  $26,363  $23,998 
MBS19,562  19,115  18,776  18,973 
Other investments (1)
— 45 —67 
Total investments$47,381 $45,751 $45,139 $43,038 
(1)The average balance includes the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end.

Liquidity investments are either short-term (primarily overnight), or longer-term investments that consist of U.S. Treasury and GSE obligations. These longer-term investments may be pledged or sold and converted to cash. It is normal for liquidity investments to vary by up to several billion dollars on a daily basis. Liquidity investment levels can vary significantly based on changes in the amount of actual Advances, anticipated demand for Advances, regulatory liquidity requirements, the availability of acceptable net spreads, and the number of eligible counterparties that meet our unsecured credit risk criteria.

Our overarching strategy for balances of MBS is to keep holdings as close as possible to the regulatory maximum. Finance Agency regulations prohibit us from purchasing MBS if our investment in these securities exceeds three times regulatory capital on the day we intend to purchase the securities. The ratio of MBS to regulatory capital was 2.84 on March 31, 2025. The balance of MBS at March 31, 2025 consisted of $18.6 billion of securities issued by Fannie Mae or Freddie Mac (of which $10.7 billion were floating-rate securities), and $1.0 billion of securities issued by Ginnie Mae (which are fixed rate).
The table below shows principal purchases and paydowns of our MBS for the first three months of 2025.
(In millions)MBS Principal
Balance at December 31, 2024
$19,020 
Principal purchases1,246 
Principal paydowns(554)
Balance at March 31, 2025
$19,712 

MBS principal paydowns decreased to an 11 percent annual constant prepayment rate in the first three months of 2025 from the 14 percent rate experienced in all of 2024.

Consolidated Obligations

We generally fund variable-rate assets with Discount Notes (a portion of which may be swapped), adjustable-rate Bonds, and fixed-rate Bonds that have been swapped to a variable rate because they give us the ability to effectively match the underlying rate reset periods embedded in these assets. Total Consolidated Obligations on March 31, 2025 were $124.4 billion, an increase of $1.1 billion compared to the balance at year-end 2024. The balances and composition of our Consolidated Obligations tend to fluctuate with changes in the balances and composition of our assets. In addition, changes in the amount and composition of our funding may be necessary from time to time to meet the days of positive liquidity and asset/liability maturity funding gap requirements discussed in the "Liquidity Risk" section of "Quantitative and Qualitative Disclosures About Risk Management."
Deposits

Total deposits with us are normally a relatively minor source of funding. Deposits with us are not insured, but are subject to statutory deposit reserve requirements. Total interest-bearing deposits on March 31, 2025 were $1.0 billion, a decrease of 10 percent compared to the balance at year-end 2024.

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Derivatives Hedging Activity and Liquidity

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

Capital Resources

The following tables present capital amounts and capital-to-assets ratios, on both a GAAP and regulatory basis. We consider the regulatory ratio to be a better representation of financial leverage than the GAAP ratio because, although the GAAP ratio treats mandatorily redeemable capital stock as a liability, it protects investors in our debt in the same manner as GAAP capital stock and retained earnings.
Three Months EndedYear Ended
(In millions)March 31, 2025 December 31, 2024
Period End Average Period End Average
GAAP and Regulatory Capital
GAAP Capital Stock$5,035  $4,844  $4,936  $4,676 
Mandatorily Redeemable Capital Stock36  24  14  16 
Regulatory Capital Stock5,071  4,868  4,950  4,692 
Retained Earnings1,880  1,898  1,839  1,784 
Regulatory Capital$6,951  $6,766  $6,789  $6,476 
Three Months EndedYear Ended
March 31, 2025 December 31, 2024
 Period EndAverage Period EndAverage
GAAP and Regulatory Capital-to-Assets Ratio
GAAP5.16 % 5.06 % 5.09 % 5.12 %
Regulatory (1)
5.21  5.09  5.13  5.17 
(1)    At all times, the FHLB must maintain at least a four percent minimum regulatory capital-to-assets ratio.
Our business model is structured to be able to absorb sharp changes in assets because we can execute commensurate changes in liability and capital stock balances. For example, in the first three months of 2025, we issued $1.1 billion of capital stock to members primarily in support of Advance borrowings, while repurchasing $0.9 billion of excess capital stock no longer supporting Mission Assets and Activities. Excess capital stock is the amount of stock held by a member (or former member) in excess of that institution's minimum stock ownership requirement. Excess capital stock provides a base of capital to manage financial leverage at prudent levels, augments loss protections for bondholders, and may be used by a member to capitalize additional Mission Assets and Activities, before purchasing activity stock.

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








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RESULTS OF OPERATIONS

Components of Earnings and Return on Equity

The following table is a summary income statement for the three months ended March 31, 2025 and 2024. Each ROE percentage is computed by dividing income or expense for the category by the average amount of stockholders' equity for the period.

Three Months Ended March 31,
(Dollars in millions)20252024
 Amount
ROE (1)
Amount
ROE (1)
Net interest income$188 11.35 %$201 12.76 %
Non-interest income (loss):
Net gains (losses) on trading securities
47 2.87 (14)(0.88)
Net gains (losses) on sales of available-for-sale securities— — 1 0.08 
Net gains (losses) on derivatives(43)(2.60)21 1.33 
Net gains (losses) on financial instruments held under fair value option5 0.28 (9)(0.55)
Other non-interest income, net8 0.48 8 0.50 
Total non-interest income (loss)
17 1.03 7 0.48 
Total income205 12.38 208 13.24 
Non-interest expense44 2.64 45 2.90 
Affordable Housing Program assessments
16 0.98 17 1.04 
Net income$145 8.76 %$146 9.30 %
(1)The ROE amounts have been computed using dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may produce nominally different results.

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

Net Interest Income

Components of Net Interest Income

The following table shows selected components of net interest income.
Three Months Ended March 31,
(Dollars in millions)20252024
 Amount% of Earning AssetsAmount% of Earning Assets
Components of net interest rate spread:
Net (amortization)/accretion (1) (2)
$(7)(0.02)%$(7)(0.02)%
Other components of net interest rate spread
115 0.35 120 0.39 
Total net interest rate spread108 0.33 113 0.37 
Earnings from funding assets with interest-free capital
80 0.25 88 0.29 
Total net interest income/net interest margin (3)
$188 0.58 %$201 0.66 %
(1)Includes monthly recognition of premiums and discounts paid on purchases of mortgage assets, premiums, discounts and concessions paid on Consolidated Obligations and other hedging basis adjustments.
(2)This component of net interest rate spread has been segregated to display its relative impact.
(3)Net interest margin is net interest income as a percentage of average total interest-earning assets.

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Net Amortization/Accretion (generally referred to as amortization): Net amortization can become substantial and volatile with changes in interest rates, especially for mortgage assets. For example, when mortgage rates decrease, premium amortization of mortgage assets generally increases, which reduces net interest income. In the first three months of 2025 and 2024, mortgage rates were relatively stable and remained at elevated levels, keeping mortgage refinance activity low and amortization relatively modest.

Other Components of Net Interest Rate Spread: The total other components of net interest rate spread decreased $5 million in the first three months of 2025 compared to the same period of 2024. The net decrease was primarily due to the factors below.

▪Lower net interest rate spreads earned on Advances-Unfavorable: Lower spreads earned on Advances decreased net interest income by an estimated $10 million. However, the decrease in net interest income was mostly offset by net interest settlements received on related derivatives not receiving hedge accounting, as discussed below.
▪Lower net interest rate spreads earned on mortgage loans held for portfolio-Unfavorable: Lower spreads on mortgage loans held for portfolio decreased net interest income by an estimated $5 million. Spreads declined primarily because of the maturity of lower-cost debt and the issuance of longer-term replacement debt to decrease market risk exposure to rising interest rates.
▪Lower net interest rate spreads earned on liquidity investments-Unfavorable: Lower spreads earned on liquidity investments decreased net interest income by an estimated $5 million.
▪Lower price alignment amounts paid on derivatives-Favorable: Lower price alignment amounts paid improved net interest income by $7 million. Price alignment amounts approximate the interest that we would pay to counterparties if the variation margin payments for derivative contracts were characterized as collateral pledged to secure outstanding credit exposure.
▪Higher average Advance balances-Favorable: An increase of $5.2 billion in average Advance balances increased net interest income by an estimated $4 million.
▪Higher net interest rate spreads earned on MBS-Favorable: Higher spreads earned on MBS increased net interest income by an estimated $3 million. The higher spreads were driven by widening market spreads, which benefited new MBS purchases.

Earnings from Capital: Earnings from capital decreased $8 million in the three months ended March 31, 2025 compared to the same period of 2024 because of lower average short-term rates.

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

In addition, the net interest settlements of interest receivables or payables and the price alignment amount associated with derivatives in a fair value hedge relationship are included in net interest income and interest rate spread. The price alignment amount approximates the amount of interest that we would receive or pay if the variation margin payments were characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. However, if the derivatives do not qualify for fair value hedge accounting, the related net interest settlements of interest receivables or payables and the price alignment amount are recorded in “Non-interest income (loss)” as “Net gains (losses) on derivatives” and therefore are excluded from the calculation of net interest rate spread. Amortization associated with some hedging-related basis adjustments is also reflected in net interest income, which affects interest rate spread.
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(Dollars in millions)Three Months EndedThree Months Ended
March 31, 2025March 31, 2024
 Average Balance Interest 
Average Rate (1)
Average Balance Interest 
Average Rate (1)
Assets:     
Advances (2)
$79,178 $931 4.77 %$74,006  $1,057  5.75 %
Mortgage loans held for portfolio (3)
7,266 64 3.55 7,141  58  3.26 
Securities purchased under agreements to resell2,993 32 4.38 2,216 30 5.40 
Federal funds sold12,746 138 4.39 8,395  113  5.42 
Interest-bearing deposits in banks (4)
2,480 27 4.42 1,802  24  5.45 
MBS (5)
19,147 228 4.83 19,058  261  5.50 
Other investments (5)
8,413 95 4.58 9,415  126  5.36 
Loans to other FHLBanks3 — 4.38 17  —  5.42 
Total interest-earning assets132,226 1,515 4.65 122,050  1,669  5.50 
Other assets595 710     
Total assets$132,821 $122,760     
Liabilities and Capital:     
Term deposits$131 1 4.61 $133  2  5.25 
Other interest bearing deposits (4)
843 8 3.85 1,059  13  4.93 
Discount Notes21,242 230 4.39 19,629  260  5.33 
Unswapped fixed-rate Bonds11,984 92 3.12 11,272  72  2.58 
Unswapped adjustable-rate Bonds80,646 889 4.47 64,353  881  5.50 
Swapped Bonds9,796 106 4.38 18,668  240  5.17 
Mandatorily redeemable capital stock24 1 8.85 17  —  9.01 
Other borrowings12 — 4.38 —  —  — 
Total interest-bearing liabilities124,678 1,327 4.32 115,131  1,468  5.13 
Other liabilities1,428 1,297     
Total capital6,715 6,332     
Total liabilities and capital$132,821 $122,760     
Net interest rate spread0.33 %   0.37 %
Net interest income and net interest margin (6)
$188 0.58 %  $201  0.66 %
Average interest-earning assets to interest-bearing liabilities
106.05 %    106.01 %
(1)Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results.
(2)Interest on Advances includes prepayment fees. Advances prepayments fees for the three months ended March 31, 2025 and 2024 totaled less than $1 million.
(3)Non-accrual loans are included in average balances used to determine average rate.
(4)The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end.
(5)Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities.
(6)Net interest margin is net interest income as a percentage of average total interest-earning assets.
Rates on our interest-bearing assets and liabilities generally decreased in the three months ended March 31, 2025 compared to the same period of 2024, as these assets and liabilities have repriced to the lower interest rates.

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Volume/Rate Analysis
Changes in both average balances (volume) and interest rates influence changes in net interest income, as shown in the following table.
(In millions)
Three Months Ended
March 31, 2025 over 2024
 
Volume (1)(3)
Rate (2)(3)
Total
Increase (decrease) in interest income   
Advances$70 $(196)$(126)
Mortgage loans held for portfolio1 5 6 
Securities purchased under agreements to resell9 (7)2 
Federal funds sold51 (26)25 
Interest-bearing deposits in banks8 (5)3 
MBS1 (34)(33)
Other investments(13)(18)(31)
Total127 (281)(154)
Increase (decrease) in interest expense   
Term deposits(1)— (1)
Other interest-bearing deposits(2)(3)(5)
Discount Notes20 (50)(30)
Unswapped fixed-rate Bonds
5 15 20 
Unswapped adjustable-rate Bonds
198 (190)8 
Swapped Bonds(100)(34)(134)
Mandatorily redeemable capital stock
1 — 1 
Total121 (262)(141)
Increase (decrease) in net interest income
$6 $(19)$(13)
(1)Volume changes are calculated as the change in volume multiplied by the prior year rate.
(2)Rate changes are calculated as the change in rate multiplied by the prior year average balance.
(3)Changes that are not identifiable as either volume-related or rate-related, but rather are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

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Effect of the Use of Derivatives on Net Interest Income
The following table shows the impact on net interest income from the effect of derivatives and hedging activities. As noted above, gains (losses) on hedged items and derivatives in qualifying fair value hedge relationships are recorded in interest income or expense. In addition, for derivatives designated as a fair value hedge, the net interest settlements of interest receivables or payables and the price alignment amount related to such derivatives are recognized as adjustments to the interest income or expense of the designated hedged item. As such, all the effects on earnings of derivatives qualifying for fair value hedge accounting are reflected in net interest income. The effect on earnings from derivatives not receiving fair value hedge accounting is provided in the “Non-Interest Income (Loss)” section below.
(In millions)AdvancesInvestment SecuritiesBonds
Three Months Ended March 31, 2025
(Amortization)/accretion of hedging activities in net interest income$— $(1)$— 
Gains (losses) on designated fair value hedges1 2 — 
Net interest settlements included in net interest income37 60 (2)
Price alignment amount (1)
(2)(8)— 
Increase (decrease) to net interest income$36 $53 $(2)
Three Months Ended March 31, 2024
(Amortization)/accretion of hedging activities in net interest income$— $(2)$— 
Gains (losses) on designated fair value hedges— 2 — 
Net interest settlements included in net interest income107 97 (9)
Price alignment amount (1)
(4)(13)— 
Increase (decrease) to net interest income$103 $84 $(9)
(1) This amount is for derivatives for which variation margin is characterized as a daily settled contract.

We primarily use derivatives to more closely match actual cash flows between assets and liabilities by synthetically converting the fixed interest rates on certain Advances, investments and Consolidated Obligations to adjustable rates tied to an eligible benchmark rate (e.g., the Federal funds effective rate or SOFR). The decrease in average short-term interest rates reduced net interest income in the first three months of 2025 as the conversion of certain Advances' and investment securities' fixed interest rates to adjustable-coupon rates resulted in a lower amount of net interest settlements being received. The fluctuation in net interest income from the use of derivatives was acceptable because it enabled us to lower market risk exposure.

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Non-Interest Income (Loss)

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

(In millions)AdvancesInvestment SecuritiesMortgage LoansBondsDiscount NotesOtherTotal
Three Months Ended March 31, 2025
Net effect of derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting
$(2)$(47)$(3)$1 $(2)$— $(53)
Net interest settlements on derivatives not receiving hedge accounting
1 9 — (1)2 — 11 
Price alignment amount (1)
— — — — — (1)(1)
Net gains (losses) on derivatives(1)(38)(3)— — (1)(43)
Gains (losses) on trading securities (2)
— 47 — — — — 47 
Gains (losses) on financial instruments held under fair value option (3)
2 — — (2)5 — 5 
Total net effect on non-interest income (loss)
$1 $9 $(3)$(2)$5 $(1)$9 
Three Months Ended March 31, 2024
Net effect of derivatives and hedging activities
Gains (losses) on derivatives not receiving hedge accounting
$4 $19 $(1)$(1)$(4)$— $17 
Net interest settlements on derivatives not receiving hedge accounting
2 13 — (7)(2)— 6 
Price alignment amount (1)
— — — — — (2)(2)
Net gains (losses) on derivatives6 32 (1)(8)(6)(2)21 
Gains (losses) on trading securities (2)
— (13)— — — — (13)
Gains (losses) on financial instruments held under fair value option (3)
(5)— — (6)2 — (9)
Total net effect on non-interest income (loss)
$1 $19 $(1)$(14)$(4)$(2)$(1)
(1)This amount is for derivatives for which variation margin is characterized as a daily settled contract.
(2)Includes only those gains (losses) on trading securities that have an assigned economic derivative; therefore, this line item may not agree to the Statements of Income.
(3)Includes only those gains or losses on financial instruments held at fair value that have an economic derivative "assigned."

The increase in earnings from the net effect of derivatives and hedging activities in the three months ended March 31, 2025 compared to the same period of 2024 was primarily due to net interest settlements being received rather than paid on derivatives related to Consolidated Obligations where the fixed interest rates were converted to adjustable-coupon rates.

We elect to use the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. Because we intend to hold these derivatives and the related financial instruments to maturity, any unrealized gains or losses are expected to reverse in future periods.

In the tables above, "Gains (losses) on trading securities" consist of fixed-rate U.S. Treasury and GSE obligations that have been swapped to a variable rate. Trading securities are recorded at fair value, with changes in fair value reported in non-interest income (loss). There are a number of factors that affect the fair value of these securities, such as changes in interest rates, the passage of time, and volatility. By hedging these trading securities, the gains or losses on these trading securities will generally be offset by the gains or losses on the associated interest rate swaps.
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As noted above, the fluctuation in earnings from the use of derivatives was acceptable because it enabled us to lower market risk exposure.

Non-Interest Expense

The following table presents non-interest expense.

Three Months Ended March 31,
(In millions)2025 2024
Non-interest expense  
Compensation and benefits$16 $14 
Other operating expense11 9 
Finance Agency3 3 
Office of Finance2 2 
Voluntary housing and community investment
11 16 
Other1 1 
Total non-interest expense$44 $45 

Our business is designed to support significant changes in asset levels without having to undergo material changes in staffing, operations, risk practices, or general resource needs. Total non-interest expense decreased slightly in the first three months of 2025 compared to the same period of 2024 primarily as a result of lower voluntary housing contributions. These voluntary contributions help address affordable housing needs and community investment in our District and are in addition to the 10 percent of earnings that are required to be set aside as statutory AHP assessments.
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Segment Information

Note 11 of the Notes to Unaudited Financial Statements presents information on our two business segments. We manage financial operations and market risk exposure primarily at the macro level, and within the context of the entire balance sheet, rather than exclusively at the level of individual segments. Under this approach, the market risk/return profile of each segment may not match, or possibly even have the same trends as, what would occur if we managed each segment on a stand-alone basis. The table below summarizes each segment's operating results for the periods shown.
(Dollars in millions)Traditional Member Finance MPP Total
Three Months Ended March 31, 2025
     
Net interest income (loss)$169  $19  $188 
Net income (loss)$135  $10  $145 
Average assets$125,140  $7,681  $132,821 
Assumed average capital allocation$6,326  $389  $6,715 
Return on average assets (1)
0.44 % 0.55 % 0.44 %
Return on average equity (1)
8.63 % 10.88 % 8.76 %
      
Three Months Ended March 31, 2024
     
Net interest income (loss)$178  $23  $201 
Net income (loss)$130 $16 $146 
Average assets$115,476  $7,284  $122,760 
Assumed average capital allocation$5,956  $376  $6,332 
Return on average assets (1)
0.45 % 0.88 % 0.48 %
Return on average equity (1)
8.81 % 17.15 % 9.30 %
(1)Amounts used to calculate returns are based on numbers in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results.

Traditional Member Finance Segment
Net income increased in the first three months of 2025 compared to the same period of 2024 largely because of net gains on derivatives and related financial instruments carried at fair value in the first three months of 2025 compared to net losses in the same period of 2024. These increases in net income were partially offset by lower earnings generated from investing our capital.

MPP Segment
Earnings from the MPP segment decreased in the first three months of 2025 compared to the same period of 2024 primarily because of the maturity of lower-cost debt and the issuance of longer-term replacement debt to decrease market risk exposure to rising interest rates, which lowered the spreads earned.

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QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT RISK MANAGEMENT

Market Risk

Market Value of Equity and Duration of Equity
Two key measures of long-term market risk exposure are the sensitivities of the market value of equity and the duration of equity to changes in interest rates and other variables, as presented in the following tables for various instantaneous and permanent interest rate shocks (in basis points). Market value of equity represents the difference between the market value of total assets and the market value of total liabilities, including off-balance sheet items. The duration of equity provides an estimate of the change in market value of equity to further changes in interest rates. We compiled average results using data for each month end.

Market Value of Equity
Interest Rate Scenarios
(Dollars in millions)Down 300Down 200Down 100Flat RatesUp 100Up 200Up 300
Average Results       
2025 Year-to-Date
       
Market Value of Equity$6,458 $6,513 $6,519 $6,476 $6,414 $6,344 $6,273 
% Change from Flat Case(0.3)%0.6 %0.7 %— (1.0)%(2.0)%(3.1)%
2024 Full Year
       
Market Value of Equity$6,087 $6,117 $6,106 $6,055 $5,980 $5,896 $5,811 
% Change from Flat Case0.5 %1.0 %0.8 %— (1.2)%(2.6)%(4.0)%
Month-End Results
March 31, 2025
Market Value of Equity$6,506 $6,557 $6,559 $6,513 $6,449 $6,382 $6,316 
% Change from Flat Case(0.1)%0.7 %0.7 %— (1.0)%(2.0)%(3.0)%
December 31, 2024
Market Value of Equity$6,261 $6,298 $6,289 $6,237 $6,168 $6,091 $6,014 
% Change from Flat Case0.4 %1.0 %0.8 %— (1.1)%(2.3)%(3.6)%
Duration of Equity
 
Interest Rate Scenarios
(In years)Down 300Down 200Down 100Flat RatesUp 100Up 200Up 300
Average Results       
2025 Year-to-Date
(1.2)(0.4)0.4 0.9 1.1 1.2 1.2 
2024 Full Year
(0.6)— 0.7 1.2 1.4 1.5 1.5 
Month-End Results       
March 31, 2025(1.0)(0.3)0.4 1.0 1.1 1.1 1.0 
December 31, 2024(1.0)(0.2)0.6 1.1 1.3 1.3 1.3 

The mortgage assets portfolio normally accounts for almost all market risk exposure because of prepayment volatility that we cannot completely hedge while maintaining sufficient net spreads. The overall market risk exposure to changing interest rates was well within policy limits during the periods presented. At March 31, 2025, market risk exposure to falling and rising rate shocks remained stable.

Based on the totality of our risk analysis, we expect that overall profitability, defined as the level of ROE compared with short-term market rates, will be competitive over the long term unless interest rates increase by large amounts in a short period of time. Substantial declines in long-term interest rates could decrease income temporarily before reverting to average levels. This temporary reduction in income would be driven by additional recognition of mortgage asset premiums as the incentive for borrowers to refinance results in faster than anticipated repayments of those mortgage assets. However, we believe the mortgage assets portfolio will continue to provide an acceptable risk-adjusted return consistent with our risk appetite philosophy.
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Capital Adequacy

Retained Earnings
We must hold sufficient capital to protect against exposure to various risks, including market, credit, and operational risks. We regularly conduct a variety of measurements and assessments for capital adequacy. At March 31, 2025, our capital management policy set forth approximately $770 million as the minimum amount of retained earnings we believe is necessary to mitigate impairment risk.

The following table presents retained earnings.

(In millions)March 31, 2025December 31, 2024
Unrestricted retained earnings$1,035 $1,024 
Restricted retained earnings (1)
845 815 
Total retained earnings$1,880 $1,839 
(1)     Pursuant to the FHLBank System's Joint Capital Enhancement Agreement we are not permitted to distribute as dividends.

As indicated in the table above, our current balance of retained earnings exceeds the policy minimum, which we expect will continue to be the case as we bolster capital adequacy over time by allocating a portion of earnings to the restricted retained earnings account.
Market Capitalization Ratios
We measure two sets of market capitalization ratios. One measures the market value of equity (i.e., total capital) relative to the par value of regulatory capital stock (which is GAAP capital stock and mandatorily redeemable capital stock). The other measures the market value of total capital relative to the book value of total capital, which includes all components of capital, and mandatorily redeemable capital stock. The measures provide a point-in-time indication of the FHLB's liquidation or franchise value and can also serve as a measure of realized or potential market risk exposure.

The following table presents the market value of equity to regulatory capital stock (excluding retained earnings) for several interest rate environments.
March 31, 2025December 31, 2024
Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario
128 %126 %
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1)
129 127 
Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2)
126 123 
(1)    Represents a down shock of 200 basis points.
(2)    Represents an up shock of 200 basis points.

A base case value below 100 percent could indicate that, in the remote event of an immediate liquidation scenario involving redemption of all capital stock, capital stock may be returned to stockholders at a value below par. This could be due to experiencing risks that lower the market value of capital and/or to having an insufficient amount of retained earnings. In the first three months of 2025, the market capitalization ratios in the scenarios presented continued to be above our policy requirements. The base case ratio at March 31, 2025 was still well above 100 percent because retained earnings were 37 percent of regulatory capital stock and we maintained stable market risk exposure.

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The following table presents the market value of equity to the book value of total capital and mandatorily redeemable capital stock.
March 31, 2025December 31, 2024
Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1)
94 %92 %
Market Value of Equity to Book Value of Capital - Down Shock (1)(2)
95 93 
Market Value of Equity to Book Value of Capital - Up Shock (1)(3)
92 90 
(1)    Capital includes total capital and mandatorily redeemable capital stock.
(2)    Represents a down shock of 200 basis points.
(3)    Represents an up shock of 200 basis points.

A base-case value below 100 percent can indicate that we have realized or could realize risks (especially market risk), such that the market value of total capital owned by stockholders is below the book value of total capital. The base-case ratio at March 31, 2025 indicates that the market value of total capital is $399 million below the book value of total capital. In a scenario in which interest rates increase 200 basis points, the market value of total capital would be $530 million below the book value of total capital. This indicates that in a liquidation scenario, stockholders would not receive the full sum of their total equity ownership in the FHLB. We believe the likelihood of a liquidation scenario is extremely remote.

Credit Risk

Overview
We believe our risk management practices, discussed below, minimize residual credit risk levels. At March 31, 2025, we had no loan loss reserves or impairment recorded for Credit Services, investments and derivatives and had a minimal amount of credit risk exposure in the MPP.

Credit Services
Overview: The objective of our credit risk management activities is to equalize risk exposure across members and counterparties to a zero level of expected losses. This approach is consistent with our conservative risk management principles and desire to have no residual credit risk related to Advances and Letters of Credit.

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

Collateral: We require each member to provide a security interest in eligible collateral before it can undertake any secured borrowing. Eligible loan collateral types include the following: single- and multi-family residential, home equity, commercial real estate, government guaranteed and farm real estate. Eligible security types include those that are government or agency backed, highly-rated municipal securities, and highly-rated private-label residential and commercial mortgage-backed securities. We have conservative eligibility criteria within each of the above asset types. The estimated value of pledged collateral is discounted in order to offset market, credit, and liquidity risks that may affect the collateral's realizable value in the event it must be liquidated. At March 31, 2025, total eligible pledged collateral of $514.6 billion resulted in total borrowing capacity of $370.8 billion of which $123.8 billion was used to support outstanding Advances and Letters of Credit. Borrowers often pledge collateral in excess of their collateral requirement to demonstrate access to liquidity and to have the ability to borrow additional amounts in the future. Over-collateralization by one member is not applied to another member.

Borrowing Capacity/Lendable Value: Lendable Value Rates (LVRs) represent the percent of collateral value net of the discount, or haircut, we apply for purposes of determining borrowing capacity. LVRs are derived using scenario analysis, statistical analysis and management assumptions relating to historical price volatility, inherent credit risks, liquidation costs, and the current credit and economic environment. We apply LVR results to the estimated values of pledged assets. LVRs vary among pledged assets and members based on the member institution type, the financial strength of the member institution, the form of valuation, lien position, the issuer of bond collateral or the quality of securitized assets, the quality of the loan collateral as reflected in the manner in which it was underwritten, and the marketability of the pledged assets.
 
MPP
Overview: The residual amount of credit risk exposure to loans in the MPP is minimal, based on the same factors described in the 2024 Annual Report on Form 10-K.
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Conventional Loan Portfolio Characteristics: At March 31, 2025, the weighted average loan-to-value ratios for conventional loans based on origination values and estimated current values were 73 percent and 46 percent, respectively. The estimated weighted average current loan-to-value ratio at March 31, 2025 decreased two percent from the ratio at December 31, 2024 as overall home values have returned to normal growth rates.

Credit Performance: The table below provides an analysis of conventional loans that are seriously delinquent or in the process of foreclosure, along with the national average serious delinquency rate.
Conventional Loan Delinquencies
(Dollars in millions)March 31, 2025 December 31, 2024
Serious delinquencies - unpaid principal balance (1)
$8  $7 
Serious delinquency rate (2)
0.1 % 0.1 %
National average serious delinquency rate (3)
1.1 % 1.1 %
(1)Includes conventional loans that are 90 days or more past due or where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported.
(2)Serious delinquencies expressed as a percentage of the total conventional loan portfolio.
(3)National average number of fixed-rate prime and subprime conventional loans that are 90 days or more past due or in the process of foreclosure is based on the most recent national delinquency data available. The March 31, 2025 rate is based on December 31, 2024 data.

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

Credit Enhancements: Conventional mortgage loans are primarily supported against credit losses by some combination of credit enhancements (primary mortgage insurance (PMI) and the Lender Risk Account (LRA)). The LRA is a hold back of a portion of the initial purchase price to cover potential credit losses. Starting after five years from the loan purchase date, we may return the hold back to Participating Financial Institutions (PFIs) if they manage credit risk to predefined acceptable levels of exposure on the pools of loans they sell to us. As a result, some pools of loans may have sufficient credit enhancements to recapture all losses while other pools of loans may not. The LRA had a balance of $242 million and $240 million at March 31, 2025 and December 31, 2024, respectively. For more information, see Note 5 of the Notes to Unaudited Financial Statements.

Credit Losses: Residual credit risk exposure depends on the actual and potential credit performance of the loans in each pool compared to the pool's equity (on individual loans) and credit enhancements. Our available credit enhancements at March 31, 2025 were able to cover nearly all of the estimated gross credit losses. As a result, estimated credit losses at March 31, 2025 were less than $1 million. Estimated credit losses, after credit enhancements, are accounted for in the allowance for credit losses or as a charge off (i.e., a reduction to the principal of mortgage loans held for portfolio).
Separate from our allowance for credit losses analysis, we regularly analyze potential adverse scenarios of lifetime credit risk exposure for the loans in the MPP. Even under severely adverse macroeconomic scenarios, we expect credit losses to remain low.

Investments
Liquidity Investments: We hold liquidity investments that can be converted to cash and may be unsecured, guaranteed or supported by the U.S. government, or secured (i.e., collateralized). For unsecured liquidity investments, we invest in the instruments of investment-grade rated institutions, have appropriate and conservative limits on dollar and maturity exposure to each institution, and have strong credit underwriting practices, including active monitoring of credit quality of our counterparties and of the environment in which they operate. In addition, we believe the portion of our liquidity investments for which the investments are secured with collateral (secured resale agreements) present no credit risk exposure to us. Liquidity investments generally fluctuate because of changes in the amount of actual Advances, anticipated demand for Advances, regulatory liquidity requirements, the availability of acceptable net spreads, and the number of eligible counterparties that meet our unsecured credit risk criteria.

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

(In millions)March 31, 2025
Long-Term Rating
AAATotal
Unsecured Liquidity Investments
Interest-bearing deposits$— $2,475 $2,475 
Federal funds sold3,755 5,800 9,555 
Total unsecured liquidity investments3,755 8,275 12,030 
Guaranteed/Secured Liquidity Investments
Securities purchased under agreements to resell9 7,262 7,271 
U.S. Treasury obligations6,918 — 6,918 
GSE obligations1,600 — 1,600 
Total guaranteed/secured liquidity investments8,527 7,262 15,789 
Total liquidity investments$12,282 $15,537 $27,819 
From time to time, some counterparties used to transact our securities purchased under agreements to resell are not rated by an NRSRO because they are not issuers of debt or are otherwise not required to be rated by an NRSRO. However, each of the counterparties are considered to have the equivalent of at least an investment grade rating based on our internal ratings resulting from a fundamental credit analysis. Securities purchased under agreements to resell are secured by the following types of collateral: U.S. Treasury obligations, U.S. agency/GSE obligations, or U.S. agency/GSE MBS. At March 31, 2025, the collateral received had long-term credit ratings of AA, based on the lowest long-term credit ratings of the issuer as provided by Standard & Poor’s, Moody’s, and/or Fitch Advisory Services. The terms of our securities purchased under agreements to resell are structured such that if the fair value of the underlying securities decreases below the fair value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Additionally, these investments primarily mature overnight.

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

(In millions)March 31, 2025
Counterparty Rating
Domicile of CounterpartyAAATotal
Domestic$— $2,825 $2,825 
U.S. branches and agency offices of foreign commercial banks:
Canada1,400 1,500 2,900 
Belgium— 1,150 1,150 
Sweden500 500 1,000 
Germany— 800 800 
Norway800 — 800 
Netherlands— 700 700 
Australia650 — 650 
France— 500 500 
Finland405 — 405 
United Kingdom— 300 300 
Total U.S. branches and agency offices of foreign commercial banks
3,755 5,450 9,205 
Total unsecured investment credit exposure$3,755 $8,275 $12,030 
We are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities. Furthermore, we restrict a significant portion of unsecured lending to overnight maturities, which further limits credit risk exposure.

MBS:
GSE MBS
At March 31, 2025, $18.6 billion of MBS held were GSE securities issued by Fannie Mae and Freddie Mac, which provide credit safeguards by guaranteeing either timely or ultimate payments of principal and interest. We believe that the conservatorships of Fannie Mae and Freddie Mac lower the chance that they would not be able to fulfill their credit guarantees.

MBS Issued by Other Government Agencies
We also invest in MBS issued and guaranteed by Ginnie Mae. These investments totaled $1.0 billion at March 31, 2025. We believe that the strength of Ginnie Mae's guarantee and backing by the full faith and credit of the U.S. government is sufficient to protect us against credit losses on these securities.

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Derivatives
Credit Risk Exposure: We mitigate most of the credit risk exposure resulting from derivative transactions through collateralization or use of daily settled contracts. The table below presents the lowest long-term counterparty credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services for derivative positions to which we had credit risk exposure at March 31, 2025. The ratings displayed in this table should not be taken as an indication of future ratings.
(In millions)
Total NotionalNet Derivatives Fair Value Before CollateralCash Collateral Pledged to (from) Counterparties
Non-cash Collateral Pledged to (from) Counterparties
Net Credit Exposure to Counterparties
Nonmember counterparties:
Asset positions with credit exposure:
Uncleared derivatives:
AA-rated$30 $— $— $— $— 
A-rated3,450 18 (13)— 5 
BBB-rated2,241 5 (4)— 1 
Total uncleared derivatives5,721 23 (17)— 6 
Liability positions with credit exposure:
Uncleared derivatives:
A-rated4,958 (6)7 — 1 
Total uncleared derivatives4,958 (6)7 — 1 
Cleared derivatives (1)
48,405 (12)29 855 872 
Total derivative positions with credit exposure to nonmember counterparties
59,084 5 19 855 879 
Member institutions (2)
79 — — — — 
Total$59,163 $5 $19 $855 $879 
(1)Represents derivative transactions cleared with LCH Ltd. and CME Clearing, the FHLB's clearinghouses. LCH Ltd. is rated AA- by Standard & Poor's, and CME Clearing is not rated, but its parent company, CME Group Inc., is rated AA- by Standard & Poor's and Fitch Ratings.
(2)Represents Mandatory Delivery Contracts.

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

Our net exposure to uncleared derivatives is managed to acceptable credit risk levels due to the contractual collateral provisions in these derivatives.
Although we cannot predict if we will realize credit risk losses from any of our derivatives counterparties, we believe that all of the counterparties will be able to continue making timely interest payments and satisfy the terms and conditions of their derivative contracts with us. As of March 31, 2025, we had a $30 million notional amount of interest rate swaps with a subsidiary of our member, JPMorgan Chase Bank, N.A., which also had outstanding credit services with us. We had a de minimis amount of outstanding credit exposure to this counterparty related to interest rate swaps outstanding.

Liquidity Risk

Liquidity Overview
We strive to be in a liquidity position at all times to meet the borrowing needs of our members and to meet all current and future financial commitments. This objective is achieved by managing liquidity positions to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand, and the maturity profile of assets and liabilities. At March 31, 2025, our liquidity position complied with the FHLBank Act, Finance Agency regulations, and internal policies.
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The FHLBank System's primary source of funds is the sale of Consolidated Obligations in the capital markets. Our ability to obtain funds through the sale of Consolidated Obligations at acceptable interest costs depends on the financial market's perception of the riskiness of the Obligations and on prevailing conditions in the capital markets, particularly the short-term capital markets. The System's favorable debt ratings, which take into account our status as a GSE, and our effective risk management practices are instrumental in ensuring stable and satisfactory access to the capital markets.

We believe our liquidity position, as well as that of the System, continued to be strong during the first three months of 2025. Our overall ability to effectively fund our operations through debt issuances remained sufficient. Investor demand for System debt was robust in the first three months of 2025, as investors continued to prefer high-quality money market instruments. We believe there is a low probability of a liquidity or funding crisis in the System that would impair our ability to participate, on a cost-effective basis, in issuances of debt, service outstanding debt, maintain adequate capitalization, or pay competitive dividends.

The System works collectively to manage and monitor the System-wide liquidity and funding risks. Liquidity risk includes the risk that the System could have difficulty rolling over short-term Obligations when market conditions change, also called refinancing risk. The System has a large reliance on short-term funding; therefore, it has a sharp focus on managing liquidity risk to very low levels. As shown on the Unaudited Statements of Cash Flows, in the first three months of 2025, our portion of the System's debt issuances totaled $33.7 billion for Discount Notes and $38.2 billion for Bonds. Access to short-term debt markets has been reliable because investors, driven by liquidity preferences and risk aversion, have sought the System’s short-term debt, which has resulted in strong demand for debt maturing in one year or less.

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

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

The Finance Agency establishes the expectations with respect to the maintenance of sufficient liquidity without access to the capital markets for a specified number of days, which was set as a period of between 10 to 30 calendar days in the base case. Under these expectations, all Advance maturities are assumed to renew, unless the Advances relate to former members who are ineligible to borrow new Advances. The maintenance of sufficient liquidity each day is intended to provide additional assurance that we can continue to provide Advances and Letters of Credit to members over an extended period without access to the capital markets. We were in compliance with these liquidity requirements at all times during the first three months of 2025.

The Finance Agency also provides guidance related to asset/liability maturity funding gap limits. Funding gap metrics measure the difference between assets and liabilities that are scheduled to mature during a specified period of time and are expressed as a percentage of total assets. Although subject to change depending on conditions in the financial markets, the current regulatory requirement for funding gaps is between -10 percent to -20 percent for the three-month maturity horizon and is between -25 percent to -35 percent for the one-year maturity horizon. During the three months ended March 31, 2025, we operated within those limits.

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

(In millions)March 31, 2025December 31, 2024
Deposit Reserve Requirement
Total Eligible Deposit Reserves$96,622 $92,794 
Total Member Deposits(985)(1,099)
Excess Deposit Reserves$95,637 $91,695 

Member Concentration Risk

We regularly assess concentration risks from business activity. We believe the effect on credit risk exposure from borrower concentration is minimal because of our application of credit risk mitigations, specifically credit underwriting of our members and the over-collateralization of borrowings. Advance concentration has a minimal effect on market risk exposure because Advances are largely funded by Consolidated Obligations and interest rate swaps that have similar interest rate characteristics. Furthermore, additional increases in Advance concentration would not materially affect capital adequacy because Advance growth is supported by new purchases of capital stock as required by the Capital Plan.

Operational Risks

There were no material developments regarding our operational risk exposure during the first three months of 2025.


CRITICAL ACCOUNTING ESTIMATES

There have been no material changes in the first three months of 2025 to our critical accounting estimates. Our critical accounting estimates are described in detail in our 2024 Annual Report on Form 10-K.

Item 3.    Quantitative and Qualitative Disclosures About Market Risk.

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

Item 4.    Controls and Procedures.


DISCLOSURE CONTROLS AND PROCEDURES

The FHLB's management, including its principal executive officer and principal financial officer, evaluate the effectiveness of the FHLB's disclosure controls and procedures as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, these two officers each concluded that, as of March 31, 2025, the FHLB maintained effective disclosure controls and procedures designed to ensure that information required to be disclosed in the reports that it files under the Exchange Act is (1) accumulated and communicated to management as appropriate to allow timely decisions regarding disclosure and (2) recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.


CHANGES IN INTERNAL CONTROL OVER FINANCIAL REPORTING

The FHLB's management, including its principal executive officer and principal financial officer, evaluate the FHLB's internal control over financial reporting. Based upon that evaluation, these two officers each concluded that there were no changes in the FHLB's internal control over financial reporting that occurred during the quarter ended March 31, 2025 that materially affected, or are reasonably likely to materially affect, the FHLB's internal control over financial reporting.

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PART II - OTHER INFORMATION

Item 1.    Legal Proceedings.

Information regarding legal proceedings is set forth in Note 13 - Commitments and Contingencies in Part I, Item 1, of this Report.

Item 1A.    Risk Factors.        

For a discussion of our risk factors, see Part I, Item 1A. "Risk Factors" in our 2024 Annual Report on Form 10-K. There have been no material changes from the risk factors in our 2024 Annual Report on Form 10-K.

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

From time to time the FHLB provides Letters of Credit in the ordinary course of business to support members' obligations issued in support of unaffiliated, third-party offerings of notes, bonds or other securities. The FHLB provided $1.1 million of such credit support during the three months ended March 31, 2025. To the extent that these Letters of Credit are securities for purposes of the Securities Act of 1933, their issuance is exempt from registration pursuant to Section 3(a)(2) thereof.

Item 3.    Defaults Upon Senior Securities.

None.

Item 4.    Mine Safety Disclosures.

Not applicable.

Item 5.    Other Information.

None.
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Item 6.    Exhibits.
Exhibit
Number (1)
 Description of exhibit Document filed or
furnished, as indicated below
Form 8-K, filed April 22, 2025
  Filed Herewith
     
  Filed Herewith
     
  Furnished Herewith
101.INSXBRL Instance DocumentThe instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document
101.SCHXBRL Taxonomy Extension Schema DocumentFiled Herewith
101.CALXBRL Taxonomy Extension Calculation Linkbase DocumentFiled Herewith
101.LABXBRL Taxonomy Extension Label Linkbase DocumentFiled Herewith
101.PREXBRL Taxonomy Extension Presentation Linkbase DocumentFiled Herewith
101.DEFXBRL Taxonomy Extension Definition Linkbase DocumentFiled Herewith
104Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)Filed Herewith
(1)     Numbers coincide with Item 601 of Regulation S-K.

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, as of the 8th day of May 2025.

FEDERAL HOME LOAN BANK OF CINCINNATI
(Registrant)

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

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