10-Q

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 September 30, 2021

or

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

For the transition period from                                    to                                   

Commission File Number: 000-51395

FEDERAL HOME LOAN BANK OF PITTSBURGH

(Exact name of registrant as specified in its charter) 

Federally Chartered Corporation		25-6001324
(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification No.)
601 Grant Street
Pittsburgh,	PA	15219
(Address of principal executive offices)		(Zip Code)

412 288-3400 

(Registrant’s telephone number, including area code)

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

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
—	—	—

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

o	Large accelerated filer	o	Accelerated filer	☐	Emerging growth company
x	Non-accelerated filer	☐	Smaller reporting company

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

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

There were 11,920,785 shares of common stock with a par value of $100 per share outstanding at October 29, 2021.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

Part I - FINANCIAL INFORMATION	1
Item 1: Financial Statements (unaudited)	39
Notes to Financial Statements (unaudited)	45
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations	1
Risk Management	22
Item 3: Quantitative and Qualitative Disclosures about Market Risk	79
Item 4: Controls and Procedures	79
Part II - OTHER INFORMATION	79
Item 1: Legal Proceedings	79
Item 1A: Risk Factors	79
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds	79
Item 3: Defaults upon Senior Securities	79
Item 4: Mine Safety Disclosures	79
Item 5: Other Information	79
Item 6: Exhibits	80
Signatures	80

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PART I - FINANCIAL INFORMATION

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

Forward-Looking Information

Statements contained in this Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank), may be “forward-looking statements.” These statements may use forward-looking terms, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty and that actual results could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following: economic and market conditions, including, but not limited to real estate, credit and mortgage markets; volatility of market prices, rates, and indices related to financial instruments; including but not limited to, the discontinuance of the London Interbank Offered Rate (LIBOR) and the related effect on the Bank's LIBOR-based financial products, investments and contracts; the occurrence of man-made or natural disasters, endemics, global pandemics, conflicts or terrorist attacks or other geopolitical events; political, legislative, regulatory, litigation, or judicial events or actions; risks related to mortgage-backed securities (MBS); changes in the assumptions used to estimate credit losses; changes in the Bank’s capital structure; changes in the Bank’s capital requirements; changes in expectations regarding the Bank’s payment of dividends; membership changes; changes in the demand by Bank members for Bank advances; an increase in advance prepayments; competitive forces, including the availability of other sources of funding for Bank members; changes in investor demand for consolidated obligations and/or the terms of interest rate exchange agreements and similar agreements; changes in the Federal Home Loan Bank (FHLBank) System’s debt rating or the Bank’s rating; the ability of the Bank to introduce new products and services to meet market demand and to manage successfully the risks associated with new products and services; the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability; applicable Bank policy requirements for retained earnings and the ratio of the market value of equity to par value of capital stock; the Bank’s ability to maintain adequate capital levels (including meeting applicable regulatory capital requirements); business and capital plan adjustments and amendments; technology and cyber-security risks; and timing and volume of market activity.

This Management's Discussion and Analysis (MD&A) should be read in conjunction with the Bank's unaudited interim financial statements and notes and any Risk Factors included in Part II, Item 1A of this Form 10-Q and all risks and uncertainties addressed throughout this report, as well as the Bank's 2020 Form 10-K (2020 Form 10-K), including Risk Factors included in Part I, Item 1A of that report. Information on the Bank's websites referred to in this Form 10-Q is not incorporated in, or a part of, this Form 10-Q.

Executive Summary

Overview. The Bank's financial condition and results of operations are influenced by global and national economies, local economies within its three-state district, and the conditions in the financial, housing and credit markets, all of which impact the interest rate environment.

The interest rate environment significantly impacts the Bank's profitability. Net interest income is affected by several external factors, including market interest rate levels and volatility, credit spreads and the general state of the economy. To manage interest rate risk in connection with advances and debt, the Bank executes interest-rate derivatives. Short-term interest rates also directly affect the Bank's earnings on invested capital. Finally, the Bank's mortgage-related assets make it sensitive to changes in mortgage rates. The Bank earns relatively narrow spreads between yields on assets (particularly advances, its largest asset) and the rates paid on corresponding liabilities.

The Bank's earnings are affected not only by rising or falling interest rates but also by the particular path and volatility of changes in market interest rates and the prevailing shape of the yield curve. The flattening of the yield curve tends to compress the Bank's net interest margin, while steepening of the curve offers better opportunities to purchase assets with wider net interest spreads. The performance of the Bank's mortgage asset portfolios is particularly affected by shifts in the 10-year maturity range of the yield curve, which is the point that heavily influences mortgage rates and potential refinancings. Yield

1

curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products.

The markets continued to improve in the third quarter of 2021, but were tempered by the spread of the COVID-19 delta variant. In its September 2021 meeting, the Federal Reserve Board (Federal Reserve) maintained the Federal funds target range of 0% and 0.25% and signaled that it would likely make an announcement concerning the start of tapering at its next meeting in November. Yields on U.S. Treasuries were generally lower during the third quarter of 2021 relative to the prevailing yields during the second quarter of 2021, with the exception of the very short end of the curve. Term debt spreads relative to U.S. Treasuries remained high but did improve during the quarter due to stronger investor demand.

Results of Operations. The Bank's net income totaled $22.6 million for the third quarter of 2021, compared to $57.4 million for the third quarter of 2020. Lower net interest income was the primary driver for the year-over-year change. The net interest margin was 46 basis points in the third quarter of 2021 and 47 basis points in the third quarter of 2020. The decrease in net interest margin was primarily due to lower spreads on liquidity balances. For the nine months ended September 30, 2021, the Bank’s net income totaled $72.4 million, compared to $153.6 million for the same prior-year period. The $81.2 million decrease was driven primarily by lower net interest income, partially offset by an increase in other noninterest income. The net interest margin was 46 basis points for the first nine months of 2021 and 44 basis points for the first nine months of 2020. The increase in net interest margin was primarily due to advance prepayment fees, along with lower funding costs, and a higher percentage of MBS and Mortgage Partnership Finance® (MPF®) Program assets which have wider spreads.

Financial Condition. Advances. Advances totaled $13.0 billion at September 30, 2021, a decrease of $12.0 billion compared to $25.0 billion at December 31, 2020. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. The federal government liquidity programs continued to contribute to higher deposits at our members and decreased advance levels for the Bank. While the advance portfolio decreased compared to December 31, 2020, the par value of advances that had a remaining maturity of more than one year was relatively unchanged at 37% at September 30, 2021 compared to 40% at December 31, 2020.

The ability to grow and/or maintain the advance portfolio is affected by, among other things, the following: (1) the liquidity demands of the Bank's borrowers; (2) the composition of the Bank's membership; (3) members' regulatory requirements; (4) current and future credit market conditions; (5) housing market trends; (6) the shape of the yield curve and (7) advance pricing.

Liquidity. The Bank maintains liquidity to meet member borrowing needs and regulatory standards. Liquidity is comprised of cash, interest-bearing deposits, certificates of deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or available-for-sale (AFS). At September 30, 2021, the Bank held $9.8 billion of liquid assets compared to $6.1 billion at December 31, 2020. The increase in the Bank's liquidity portfolio helps to optimize financial holdings while maintaining compliance with regulatory standards.

Investments. To enhance earnings, the Bank maintains investments classified as AFS and held-to-maturity (HTM) as well as certain trading securities. The Bank held $9.3 billion in its investment portfolio at September 30, 2021 compared with $11.5 billion at December 31, 2020, a decrease of $2.2 billion. Paydowns associated with the Bank's Agency MBS portfolio contributed to this decline. During 2021, the Bank’s MBS purchases have been restricted by Finance Agency regulations which limit the size of the MBS portfolio based on regulatory capital. In addition, narrow mortgage spreads, driven by the Federal Reserve's quantitative easing, have limited purchase opportunities.

Consolidated Obligations. The Bank's consolidated obligations totaled $33.2 billion at September 30, 2021, a decrease of $10.2 billion from December 31, 2020. At September 30, 2021, bonds represented 64% of the Bank's consolidated obligations, compared with 78% at December 31, 2020. Discount notes represented 36% of the Bank's consolidated obligations at September 30, 2021 compared with 22% at year-end 2020. The overall decrease in consolidated obligations outstanding is consistent with the decreased advances, investments and total asset balances.

Capital Position and Regulatory Requirements. Total capital at September 30, 2021 was $2.7 billion, compared to $3.0 billion at December 31, 2020. The decrease was primarily due to lower capital stock as a result of lower advances. Total retained earnings at September 30, 2021 were $1.4 billion, relatively unchanged from year-end 2020. Accumulated other comprehensive income (AOCI) was $126.3 million at September 30, 2021, a decrease of $11.0 million from December 31, 2020.

In October and July 2021, the Bank paid quarterly dividends of 5.25% annualized on activity stock and 1.25% annualized on membership stock. In April and February 2021, the Bank paid quarterly dividends of 5.75% annualized on activity stock and 2.50% annualized on membership stock. The dividends paid were based on stockholders' average balances for the fourth quarter

2

of 2020 (February dividend), the first quarter of 2021 (April dividend), the second quarter of 2021 (July dividend) and the third quarter of 2021 (October dividend).

The dividend rates based on the first three quarters of 2021 financial results are reflective of, and in line with, the Bank’s performance during the first nine months of the year, particularly given low interest rates, lower member advance levels and lower net income. The dividend rates also demonstrate that the Bank continues to return value to its members. As always, the payment and level of any dividends are subject to changing market and business conditions, which can be unpredictable, on the Bank's financial performance and future dividends. The impact on the Bank's results of operations and financial condition might result in lower dividend levels in future periods.

The Bank met all of its capital requirements as of September 30, 2021, and in the Federal Housing Finance Agency's (Finance Agency) most recent determination, as of June 30, 2021, the Bank was deemed "adequately capitalized."

    COVID-19 Pandemic. During the pandemic, the Bank's leadership and Board of Directors have remained focused on the health and safety of our staff and being a reliable, readily available liquidity provider to our members. The Bank is well-capitalized and has remained fully operational during the pandemic. The Bank continues to monitor guidance from government authorities and is continuing to execute its plan for employees returning to office. In addition, the Bank consistently monitors member credit quality; to date no material deterioration due to the pandemic or other events has occurred.

Financial Highlights

The following are the financial highlights of the Bank. The Condensed Statements of Condition as of December 31, 2020 have been derived from the Bank's audited financial statements. Financial highlights for the other quarter-end periods have been derived from the Bank's unaudited financial statements.

Condensed Statements of Income

	Three months ended
	September 30,			June 30,			March 31,			December 31,			September 30,
(in millions)	2021			2021			2021			2020			2020
Net interest income	$	43.6		$	38.9		$	58.0		$	82.0		$	84.2
Provision (reversal) for credit losses	(0.9)			(0.3)			(1.1)			(1.3)			1.2
Other noninterest income (loss)	3.6			(3.0)			9.4			6.9			5.0
Other expense	22.9			23.1			26.0			26.8			23.8
Income before assessments	25.2			13.1			42.5			63.4			64.2
Affordable Housing Program (AHP) assessment (1)	2.6			1.4			4.4			6.6			6.8
Net income	$	22.6		$	11.7		$	38.1		$	56.8		$	57.4
Dividends (in millions)	$	12.8		$	17.6		$	21.8		$	31.2		$	39.8
Dividends per share	1.08			1.41			1.52			1.83			1.84
Dividend payout ratio (2)	56.49		%	150.15		%	57.31		%	54.90		%	69.30		%
Weighted average dividend rate	4.19		%	5.05		%	5.16		%	5.80		%	5.89		%
Return on average equity	3.32		%	1.70		%	5.21		%	7.05		%	6.29		%
Return on average assets	0.23		%	0.12		%	0.33		%	0.41		%	0.32		%
Net interest margin (3)	0.46		%	0.41		%	0.51		%	0.60		%	0.47		%
Regulatory capital ratio (4)	7.04		%	6.37		%	6.90		%	6.39		%	5.72		%
GAAP capital ratio (5)	7.32		%	6.52		%	6.98		%	6.38		%	5.58		%
Total average equity to average assets	7.01		%	7.11		%	6.32		%	5.82		%	5.05		%

Notes:

(1) Although the Bank is not subject to federal or state income taxes, by regulation, the Bank is required to allocate 10% of its income before assessments to fund the AHP.

(2) Represents dividends paid as a percentage of net income for the respective periods presented.

(3) Net interest margin is net interest income before provision (reversal) for credit losses as a percentage of average interest-earning assets.

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

(5) GAAP capital ratio is the sum of capital stock, retained earnings and AOCI as a percentage of total assets at period-end.

3

	Nine months ended
(in millions)	September 30, 2021			September 30, 2020
Net interest income	$	140.5		$	282.7
Provision (reversal) for credit losses	(2.3)			5.6
Other noninterest income (loss)	10.0			(26.2)
Other expense	72.0			78.7
Income before assessments	80.8			172.2
AHP assessment (1)	8.4			18.6
Net income	$	72.4		$	153.6
Dividends (in millions)	$	52.2		$	137.2
Dividends per share	4.05			5.32
Dividend payout ratio (2)	72.08		%	89.28		%
Weighted average dividend rate	4.85		%	6.49		%
Return on average equity	3.44		%	5.13		%
Return on average assets	0.23		%	0.24		%
Net interest margin (3)	0.46		%	0.44		%
Regulatory capital ratio (4)	7.04		%	5.72		%
GAAP capital ratio (5)	7.32		%	5.58		%
Total average equity to average assets	6.78		%	4.61		%

Notes:

(1) Although the Bank is not subject to federal or state income taxes, by regulation, the Bank is required to allocate 10% of its income before assessments to fund the AHP.

(2) Represents dividends paid as a percentage of net income for the respective periods presented.

(3) Net interest margin is net interest income before provision (reversal) for credit losses as a percentage of average interest-earning assets.

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

(5) GAAP capital ratio is the sum of capital stock, retained earnings and AOCI as a percentage of total assets at period-end.

Condensed Statements of Condition

	September 30,		June 30,		March 31,		December 31,		September 30,
(in millions)	2021		2021		2021		2020		2020
Cash and due from banks	$	1,119.5	$	545.1	$	890.9	$	1,036.5	$	1,386.5
Investments (1)	18,040.6		21,032.5		15,562.1		16,522.7		17,792.1
Advances	12,987.1		14,954.7		19,272.4		24,971.1		35,841.0
Mortgage loans held for portfolio, net	4,780.3		4,774.4		4,866.2		4,886.2		5,089.8
Total assets	37,247.6		41,662.2		40,914.3		47,712.9		60,443.3
Consolidated obligations:
Discount notes	12,108.2		15,112.8		12,209.3		9,510.1		13,995.7
Bonds	21,125.8		22,514.3		24,164.5		33,854.7		41,583.3
Total consolidated obligations	33,234.0		37,627.1		36,373.8		43,364.8		55,579.0
Deposits	965.9		940.9		1,305.7		923.4		990.6
Total liabilities	34,522.6		38,944.7		38,059.3		44,671.0		57,071.3
Capital stock - putable	1,201.7		1,203.0		1,328.7		1,527.8		1,880.4
Retained earnings	1,397.0		1,387.1		1,393.0		1,376.8		1,351.1
Total capital	2,725.0		2,717.5		2,855.0		3,041.9		3,372.0

Notes:

(1) Includes interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and trading, AFS and HTM investment securities.

4

Earnings Performance

    The following is Management's Discussion and Analysis of the Bank's earnings performance for the three and nine months ended September 30, 2021 and 2020, which should be read in conjunction with the Bank's unaudited interim financial statements included in this Form 10-Q as well as the audited financial statements included in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2020 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank's net income totaled $22.6 million for the third quarter of 2021, compared to $57.4 million for the third quarter of 2020. The $34.8 million decrease in net income was driven primarily by the following:

•Net interest income was $43.6 million for the third quarter of 2021, a decline of $40.6 million from $84.2 million during the same period in 2020.

◦Interest income was $98.8 million for the third quarter of 2021, compared to $185.9 million for the third quarter of 2020. This decrease was largely the result of lower average interest-earning asset balances.

◦Interest income also included net prepayment fees on advances of $4.3 million for the third quarter of 2021, compared with $13.8 million for the third quarter of 2020.

◦Interest expense was $55.2 million for the third quarter of 2021, compared to $101.7 million in the same prior-year period. This decrease was primarily the result of lower average consolidated obligations balances

The Bank's return on average equity for the third quarter of 2021 was 3.32% compared to 6.29% for the third quarter of 2020.

The Bank’s net income totaled $72.4 million for the nine months ended September 30, 2021, compared to $153.6 million for the same prior-year period. The $81.2 million decrease was driven primarily by the following:

•Net interest income was $140.5 million for the nine months ended September 30, 2021, a decline of $142.2 million from $282.7 million in the same prior-year period.

◦Interest income was $322.3 million for the nine months ended September 30, 2021, compared with $936.1 million for the same prior-year period. This decrease was the result of lower average interest-earning asset balances as well as lower yields, driven by lower short-term interest rates.

◦Interest income also included net prepayment fees on advances of $13.1 million for the nine months ended September 30, 2021 compared to $17.0 million for the same prior-year period.

◦Interest expense was $181.8 million for the nine months ended September 30, 2021, compared with $653.4 million in the same prior-year period. This decrease was primarily the result of lower average consolidated obligations balances as well as lower rates paid, driven by lower short-term interest rates.

•Other non-interest income was $10.0 million for the nine months ended September 30, 2021, compared with a loss of $26.2 million in the same prior-year period. This $36.2 million increase was due primarily to higher net gains on derivatives and hedging activities, partially offset by higher net losses on investment securities in 2021. The valuation changes of the financial instruments in these portfolios are primarily driven by changes in related interest rates.

    The Bank's return on average equity for the first nine months of 2021 was 3.44% compared to 5.13% for the same prior year period.

5

Net Interest Income

The following table summarizes the yields and rates paid on interest-earning assets and interest-bearing liabilities, respectively, the average balance for each of the primary balance sheet classifications, and the net interest margin for the three and nine months ended September 30, 2021 and 2020.

Average Balances and Interest Yields/Rates Paid

	Three months ended September 30,
	2021					2020
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold (1)	$	3,085.4	$	0.7	0.09	$	4,513.3	$	1.0	0.09
Securities purchased under agreements to resell (1)	763.0		0.2		0.10	1,192.4		0.3		0.10
Interest-bearing deposits (2)	647.2		0.2		0.13	1,469.8		0.6		0.17
Investment securities (3)	14,308.3		34.4		0.96	14,728.0		52.9		1.43
Advances (4)	14,007.1		31.3		0.89	43,729.1		95.2		0.87
Mortgage loans held for portfolio (5)	4,759.7		32.0		2.67	5,178.2		35.9		2.76
Total interest-earning assets	37,570.7		98.8		1.04	70,810.8		185.9		1.04
Other assets (6)	1,047.9					1,057.3
Total assets	$	38,618.6				$	71,868.1
Liabilities and capital:
Deposits (2)	$	958.6	$	0.1	0.05	$	990.2	$	—	—
Consolidated obligation discount notes	12,888.2		1.4		0.04	20,993.1		17.0		0.32
Consolidated obligation bonds (7)	21,346.0		53.0		0.99	45,320.9		80.6		0.71
Other borrowings	51.6		0.7		5.15	251.4		4.1		6.44
Total interest-bearing liabilities	35,244.4		55.2		0.62	67,555.6		101.7		0.60
Other liabilities	666.9					683.3
Total capital	2,707.3					3,629.2
Total liabilities and capital	$	38,618.6				$	71,868.1
Net interest spread					0.42					0.44
Impact of noninterest-bearing funds					0.04					0.03
Net interest income/net interest margin			$	43.6	0.46			$	84.2	0.47

Notes:

(1) The average balance of Federal funds sold and securities purchased under agreements to resell and the related interest income and average yield calculations may include loans to other FHLBanks.

(2) Average balances of deposits (assets and liabilities) include cash collateral received from/paid to counterparties which is reflected in the Statements of Condition as derivative assets/liabilities.

(3) Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

(4) Average balances reflect noninterest-earning hedge accounting adjustments of $130.4 million in 2021and $462.4 million in 2020.

(5) Nonaccrual mortgage loans are included in average balances in determining the average rate.

(6) Other assets include allowance for credit losses on investment securities and MPF.

(7) Average balances reflect noninterest-bearing hedge accounting adjustments of $6.2 million in 2021 and $51.1 million in 2020.

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	Nine months ended September 30,
	2021					2020
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold (1)	$	3,399.4	$	2.0	0.08	$	7,249.5	$	27.4	0.51
Securities purchased under agreements to resell (1)	753.5		0.4		0.08	1,500.1		7.9		0.71
Interest-bearing deposits (2)	778.3		0.8		0.14	1,629.8		6.0		0.49
Investment securities (3)	13,320.0		111.4		1.12	16,026.7		224.3		1.87
Advances (4)	17,355.2		112.6		0.87	54,008.3		549.0		1.36
Mortgage loans held for portfolio (5)	4,814.1		95.1		2.64	5,205.4		121.5		3.12
Total interest-earning assets	40,420.5		322.3		1.07	85,619.8		936.1		1.46
Other assets (6)	1,030.2					1,139.7
Total assets	$	41,450.7				$	86,759.5
Liabilities and capital:
Deposits (2)	$	981.7	$	0.1	0.03	$	812.2	$	1.8	0.3
Consolidated obligation discount notes	12,164.0		5.6		0.06	28,794.1		175.5		0.81
Consolidated obligation bonds (7)	24,754.4		172.7		0.93	52,146.2		462.0		1.18
Other borrowings	81.9		3.4		5.61	297.7		14.1		6.34
Total interest-bearing liabilities	37,982.0		181.8		0.64	82,050.2		653.4		1.06
Other liabilities	656.3					705.5
Total capital	2,812.4					4,003.8
Total liabilities and capital	$	41,450.7				$	86,759.5
Net interest spread					0.43					0.40
Impact of noninterest-bearing funds					0.03					0.04
Net interest income/net interest margin			$	140.5	0.46			$	282.7	0.44

Notes:

(1) The average balance of Federal funds sold and securities purchased under agreements to resell and the related interest income and average yield calculations may include loans to other FHLBanks.

(2) Average balances of deposits (assets and liabilities) include cash collateral received from/paid to counterparties which is reflected in the Statements of Condition as derivative assets/liabilities.

(3) Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

(4) Average balances reflect noninterest-earning hedge accounting adjustments of $168.5 million in 2021 and $409.4 million in 2020.

(5) Nonaccrual mortgage loans are included in average balances in determining the average rate.

(6) Other assets include allowance for credit losses on investment securities and MPF.

(7) Average balances reflect noninterest-bearing hedge accounting adjustments of $14.2 million in 2021 and $56.6 million in 2020.

Net interest income for the third quarter of 2021 decreased $40.6 million from the same prior-year period due to a decrease in interest income, partially offset by lower interest expense. Interest income on all interest-earning assets declined primarily due to lower volumes. Interest-earning assets decreased 47% primarily due to lower average advances. The rate earned on interest-earning assets was consistent with the rate earned from the same prior-year period. Interest-bearing liabilities declined 48% compared with the prior-year period. However, the rate paid on interest-bearing liabilities increased 2 basis points due primarily to higher rates paid on consolidated obligation bonds. In addition, the net interest margin was 46 basis points for the third quarter of 2021 and 47 basis points for the third quarter of 2020. The decrease in net interest margin was primarily due to lower spreads on liquidity balances.

Net interest income for the first nine months of 2021 decreased $142.2 million from the same prior-year period due to a decrease in interest income, partially offset by lower interest expense. Interest income on all interest-earning assets declined primarily due to lower volumes and lower yields across all categories. Interest-earning assets decreased 53% primarily due to lower average advances. The yield earned on interest-earning assets decreased 39 basis points. The rate paid on interest-bearing liabilities decreased 42 basis points due primarily to lower rates paid on consolidated obligation bonds and discount notes. In addition, the net interest margin was 46 basis points for the first nine months of 2021 and 44 basis points for the same prior year period. The increase in net interest margin was primarily due to lower funding costs, impact from prepayment fees and a change in balance sheet mix. Higher yielding MBS and MPF loans now make up a larger percentage of the balance sheet with advance balances down in 2021.

7

Rate/Volume Analysis. Changes in both volume and interest rates influence changes in net interest income and net interest margin. The following table presents and attribution of net interest income between volume and rate for the three and nine months ended September 30, 2021 and 2020.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume 2021 compared to 2020
	Three months ended September 30,						Nine months ended September 30,
(in millions)	Volume		Rate		Total		Volume		Rate		Total
Federal funds sold	$	(0.3)	$	—	$	(0.3)	$	(9.8)	$	(15.6)	$	(25.4)
Securities purchased under agreements to resell	(0.1)		—		(0.1)		(2.7)		(4.8)		(7.5)
Interest-bearing deposits	(0.3)		(0.1)		(0.4)		(2.2)		(3.0)		(5.2)
Investment securities	(1.5)		(17.0)		(18.5)		(33.5)		(79.4)		(112.9)
Advances	(66.1)		2.2		(63.9)		(284.9)		(151.5)		(436.4)
Mortgage loans held for portfolio	(2.7)		(1.2)		(3.9)		(8.7)		(17.7)		(26.4)
Total interest-earning assets	$	(71.0)	$	(16.1)	$	(87.1)	$	(341.8)	$	(272.0)	$	(613.8)
Deposits	$	—	$	0.1	$	0.1	$	0.3	$	(2.0)	$	(1.7)
Consolidated obligation discount notes	(4.8)		(10.8)		(15.6)		(65.3)		(104.6)		(169.9)
Consolidated obligation bonds	(52.2)		24.6		(27.6)		(206.3)		(83.0)		(289.3)
Other borrowings	(2.7)		(0.7)		(3.4)		(9.2)		(1.5)		(10.7)
Total interest-bearing liabilities	$	(59.7)	$	13.2	$	(46.5)	$	(280.5)	$	(191.1)	$	(471.6)
Total decrease in net interest income	$	(11.3)	$	(29.3)	$	(40.6)	$	(61.3)	$	(80.9)	$	(142.2)

Interest income and interest expense both decreased in both quarter-over-quarter and year-over-year comparisons. Lower rates and lower volume drove the decrease in interest income while lower volumes, partially offset by higher rates on consolidated obligations, drove the decrease in interest expense in the quarter-over-quarter comparison. Lower rates and lower volume drove the decreases in both interest income and interest expense in the year-over-year comparison. The rate decrease was primarily due to a decrease in market interest rates as a result of the Federal Reserve lowering the Federal funds target rate in response to the economic impacts of the COVID-19 pandemic. Lower volumes were primarily due to decreases in member advance activity as the federal government liquidity programs continued to contribute to higher deposits at our members and decreased advance levels for the Bank. In addition, Federal funds sold and securities purchased under agreements to resell and investment securities decreased due to a reduction in short-term liquidity balances and paydowns on Agency mortgage-backed securities.

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    Derivative Effects on Net Interest Income. The following tables quantify the effects of the Bank's derivative activities on net interest income for the three and nine months ended September 30, 2021 and 2020.

Three Months Ended September 30, 2021	Advances		Investments		Mortgage Loans		Bonds		Total
Amortization/accretion of hedging activities in net interest income	$	—	$	—	$	(0.8)	$	—	$	(0.8)
Gains (losses) on designated fair value hedges	(0.1)		0.3		—		(0.1)		0.1
Net interest settlements included in net interest income	(33.9)		(14.5)		—		16.0		(32.4)
Total effect on net interest income	$	(34.0)	$	(14.2)	$	(0.8)	$	15.9	$	(33.1)
Nine Months Ended September 30, 2021	Advances		Investments		Mortgage Loans		Bonds		Total
Amortization/accretion of hedging activities in net interest income	$	—	$	(0.1)	$	(2.8)	$	0.1	$	(2.8)
Gains (losses) on designated fair value hedges	(0.1)		1.7		—		(0.1)		1.5
Net interest settlements included in net interest income	(108.7)		(32.6)		—		32.1		(109.2)
Total effect on net interest income	$	(108.8)	$	(31.0)	$	(2.8)	$	32.1	$	(110.5)
Three Months Ended September 30, 2020	Advances		Investments		Mortgage Loans		Bonds		Total
Amortization/accretion of hedging activities in net interest income	$	—	$	—	$	(1.0)	$	(0.1)	$	(1.1)
Gains (losses) on designated fair value hedges	—		0.5		—		0.2		0.7
Net interest settlements included in net interest income	(69.6)		(7.1)		—		21.7		(55.0)
Total effect on net interest income	$	(69.6)	$	(6.6)	$	(1.0)	$	21.8	$	(55.4)
Nine Months Ended September 30, 2020	Advances		Investments		Mortgage Loans		Bonds		Total
Amortization/accretion of hedging activities in net interest income	$	—	$	(0.1)	$	(2.1)	$	—	$	(2.2)
Gains (losses) on designated fair value hedges	(0.1)		(3.1)		—		0.6		(2.6)
Net interest settlements included in net interest income	(136.7)		(13.7)		—		54.4		(96.0)
Total effect on net interest income	$	(136.8)	$	(16.9)	$	(2.1)	$	55.0	$	(100.8)

The variances in the derivative impacts from period to period are driven by the change in the average variable rate, the timing of interest rate resets and the average hedged portfolio balances outstanding during any given period. The Bank uses derivatives to hedge the fair market value changes attributable to the change in the benchmark interest rates. The Bank generally uses interest rate swaps to hedge a portion of fixed rate assets and fixed rate bonds, which convert the interest rates on those instruments from a fixed rate to a variable rate. The purpose of this strategy is to protect the net interest spread. Using derivatives to convert interest rates from fixed to variable can increase or decrease net interest income.

In addition, the Bank uses many different funding and hedging strategies. These strategies involve closely match-funding bullet advances with bullet debt. This is designed in part to avoid the use of derivatives where prudent and reduce the Bank's reliance on short-term funding.

Provision for Credit Losses. The provision (reversal) for credit losses in the third quarter of 2021 was a reversal of $(0.9) million compared with a provision of $1.2 million in the third quarter of 2020. For the nine months ended September 30, 2021, the reversal for credit losses was $(2.3) million compared with a provision of $5.6 million for the same prior-year period. The reversals reflected in the 2021 periods were driven primarily by the MPF portfolio due to improvements in the Bank's assumptions used to estimate expected credit losses, including forecasted housing prices, and a decline in delinquent loan balances.

The Bank's provision for credit losses in 2020 was impacted by the economic conditions resulting from the COVID-19 pandemic and reflected higher expected credit losses primarily driven by lower forecasted housing prices. The provision for the three months ended September 30, 2020 was primarily driven by a provision on the Bank's MPF portfolio. For the nine months

9

ended September 30, 2020, the Bank recorded a provision for credit losses on its MPF portfolio, private label MBS classified as AFS, and the Banking on Business (BOB) loan program.

Other Noninterest Income

	Three months ended September 30,				Nine months ended September 30,
(in millions)	2021		2020		2021		2020
Net gains (losses) on investment securities	$	(3.1)	$	(5.3)	$	(15.8)	$	53.9
Net gains (losses) on derivatives and hedging activities	(0.4)		3.6		5.3		(97.7)
Standby letters of credit fees	5.9		5.4		17.5		16.0
Other, net	1.2		1.3		3.0		1.6
Total other noninterest income (loss)	$	3.6	$	5.0	$	10.0	$	(26.2)

    The Bank's change in total other noninterest income (loss) for the third quarter of 2021 and first nine months of 2021 compared to the same prior year period was primarily due to the net gains (losses) on derivatives and hedging activities and the net gains (losses) on investment securities. The valuation changes of the financial instruments in these portfolios are driven by changes in related interest rates. The activity related to derivatives and hedging is discussed in more detail below. The net gains (losses) on investment securities are primarily due to the fair market value changes on Agency and U.S. Treasury investments held in the Bank's trading portfolio.

Derivatives and Hedging Activities. The Bank enters into interest rate swaps, TBAs, interest rate caps and floors and swaption agreements, referred to as derivatives transactions. The Bank enters into derivatives transactions to offset all or portions of the financial risk exposures inherent in its member lending, investment and funding activities. All derivatives are recorded on the balance sheet at fair value. Changes in derivatives' fair values are recorded in the Statements of Income.

Economic hedges address specific risks inherent in the Bank's balance sheet, but either they do not qualify for hedge accounting or the Bank does not elect to apply hedge accounting. As a result, income recognition on the derivatives in economic hedges may vary considerably compared to the timing of income recognition on the underlying asset or liability. The Bank does not enter into derivatives for speculative purposes nor does it have any cash flow hedges.

Regardless of the hedge strategy employed, the Bank's predominant hedging instrument is an interest rate swap. At the time of inception, the fair market value of an interest rate swap generally equals or is close to zero. Notwithstanding the exchange of interest payments made during the life of the swap, which are recorded as either interest income/expense or as a gain (loss) on derivatives, depending upon the accounting classification of the hedging instrument, the fair value of an interest rate swap returns to zero at the end of its contractual term. Therefore, although the fair value of an interest rate swap is likely to change over the course of its full term, upon maturity any unrealized gains and losses generally net to zero.

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    The following tables detail the net effect of derivatives and hedging activities on noninterest income for the three and nine months ended September 30, 2021 and 2020.

	Three months ended September 30, 2021
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	—	$	0.8	$	(1.6)	$	0.4	$	—	$	—	$	(0.4)
Total net gains (losses) on derivatives and hedging activities	$	—	$	0.8	$	(1.6)	$	0.4	$	—	$	—	$	(0.4)
	Nine months ended September 30, 2021
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	—	$	7.9	$	(2.7)	$	0.1	$	—	$	—	$	5.3
Total net gains (losses) on derivatives and hedging activities	$	—	$	7.9	$	(2.7)	$	0.1	$	—	$	—	$	5.3

	Three months ended September 30, 2020
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	0.1	$	1.4	$	2.1	$	—	$	—	$	—	$	3.6
Total net gains (losses) on derivatives and hedging activities	$	0.1	$	1.4	$	2.1	$	—	$	—	$	—	$	3.6
	Nine months ended September 30, 2020
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	(17.4)	$	(93.8)	$	(10.9)	$	16.4	$	7.7	$	—	$	(98.0)
Other (1)	—		0.1		—		—		—		0.2		0.3
Total net gains (losses) on derivatives and hedging activities	$	(17.4)	$	(93.7)	$	(10.9)	$	16.4	$	7.7	$	0.2	$	(97.7)

Notes:

(1) Represents the price alignment amount on derivatives for which variation margin is characterized as a daily settled contract.

Derivatives not receiving hedge accounting. For derivatives not receiving hedge accounting (i.e., economic hedges and mortgage delivery commitments), the Bank includes the net interest settlements and the fair value changes in the "Net gains (losses) on derivatives and hedging activities" financial statement line item. For economic hedges, the Bank recorded net losses of $(0.4) million in the third quarter of 2021 compared to net gains of $3.6 million for the third quarter of 2020. The higher net losses observed during the third quarter of 2021 were primarily on the Bank’s asset swaps and were attributable to decreases in mid and long term interest rates early in the quarter. The Bank subsequently terminated certain asset swaps which limited the impacts of rising mid and long term rates later in the quarter. The asset swap gains observed during the third quarter of 2020 are reflective of the overall interest rate increases throughout the quarter. For the nine months ended September 30, 2021, the Bank recorded net gains of $5.3 million compared to net losses of $(98.0) million for the same prior-year period. Although there were decreases in mid and long term interest rate during the third quarter of 2021, the overall change for the first nine months of 2021 was a slight increase. These mid and long term rate increases led to overall net gains for the nine month period ended September 30, 2021. In comparison, the significant losses observed during the same nine month period in 2020 were attributed to significant decreases in interest rates during the first quarter of that year in response to the COVID-19 pandemic. The total notional amount of economic hedges, which includes mortgage delivery commitments, decreased to $2.2 billion at September 30, 2021 from $3.1 billion at December 31, 2020.

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Other Expense

The Bank's total other expenses decreased $0.9 million to $22.9 million for the third quarter of 2021, compared with the same prior-year period. The decrease was primarily due to lower compensation and benefits expenses, partially offset by higher technology related costs. Total other expenses for the first nine months of 2021 were $72.0 million, down $6.7 million from the first nine months of 2020. This decline reflected the Bank's voluntary donation to its Home4Good initiative in the second quarter of 2020. The Bank has not yet made a similar donation through September 30, 2021. The Bank expects to make its planned contribution in the fourth quarter of 2021.

Financial Condition

    The following should be read in conjunction with the Bank's unaudited interim financial statements in this Form 10-Q and the audited financial statements in the Bank's 2020 Form 10-K.

Assets

    Total assets were $37.2 billion at September 30, 2021, compared with $47.7 billion at December 31, 2020, a decrease of $10.5 billion. The decrease was primarily due to advances, partially offset by an increase in the liquidity portfolio. Advances totaled $13.0 billion at September 30, 2021, a decrease of $12.0 billion compared to $25.0 billion at December 31, 2020. The federal government liquidity programs continued to contribute to higher deposits at our members and decreased advance levels for the Bank.

    The Bank's core mission activities include the issuance of advances and acquiring member assets through the MPF® program. The core mission asset ratio, defined as the ratio of par amount of advances and MPF loans relative to consolidated obligations adjusted for certain U.S. Treasury securities using full year average balances, was 64.8% as of September 30, 2021 and 74.5% as of December 31, 2020. The decrease in the core mission asset ratio was primarily due to the decrease in average advances.

    Advances. Advances (par) totaled $12.9 billion at September 30, 2021 compared to $24.7 billion at December 31, 2020. At September 30, 2021, the Bank had advances to 129 borrowing members, compared to 146 borrowing members at December 31, 2020. Advances outstanding to the Bank’s five largest borrowers decreased to 58.7% of total advances as of September 30, 2021, compared to 61.4% at December 31, 2020.

12

The following table provides information on advances at par by redemption terms at September 30, 2021 and December 31, 2020.

(in millions)	September 30, 2021		December 31, 2020
Fixed-rate
Due in 1 year or less (1)	$	7,210.4	$	6,607.2
Due after 1 year through 3 years	2,995.4		7,182.3
Due after 3 years through 5 years	1,280.9		2,192.5
Thereafter	159.7		169.2
Total par value	$	11,646.4	$	16,151.2
Fixed-rate, callable or prepayable(1)
Due after 1 year through 3 years	$	—	$	50.0
Total par value	$	—	$	50.0
Variable-rate
Due in 1 year or less (1)	$	815.8	$	6,664.6
Due after 1 year through 3 years	100.0		100.0
Due after 3 years through 5 years	3.1		3.1
Total par value	$	918.9	$	6,767.7
Variable-rate, callable or prepayable(2)
Due in 1 year or less	$	10.0	$	1,400.0
Due after 1 year through 3 years	40.0		10.0
Due after 3 years through 5 years	—		40.0
Total par value	$	50.0	$	1,450.0
Other(3)
Due in 1 year or less	$	102.9	$	89.0
Due after 1 year through 3 years	90.8		120.8
Due after 3 years through 5 years	51.8		55.2
Thereafter	27.5		41.0
Total par value	$	273.0	$	306.0
Total par balance	$	12,888.3	$	24,724.9

Notes:

(1) Includes overnight advances.

(2) Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees.

(3) Includes fixed-rate amortizing/mortgage matched, convertible, and other advances.

The Bank had no putable advances at September 30, 2021 or December 31, 2020.

13

The following table provides a distribution of the number of members, categorized by individual member asset size (as reported quarterly), that had an outstanding advance balance during the nine months ended September 30, 2021 and 2020. Commercial Bank, Savings Institution, and Credit Union members are classified by asset size as follows: Super-Regional (over $150 billion), Regional ($25 billion to $150 billion), Mid-size ($1.2 billion to $25 billion) and Community Financial Institutions (CFIs) (under $1.2 billion). Credit Union and Insurance members are classified separately.

Member Classification	September 30, 2021		September 30, 2020
Super-Regional	3		2
Regional	4		3
Mid-size	40		42
CFI	113		111
Credit Union	30		28
Insurance	15		16
Total borrowing members during the period	205		202
Total membership	282		278
Percentage of members borrowing during the period	72.7	%	72.7	%

The following table provides information at par on advances by member classification at September 30, 2021 and December 31, 2020.

(in millions)	September 30, 2021		December 31, 2020
Member Classification
Super-Regional	$	4,650.0	$	9,350.0
Regional	1,980.0		3,366.0
Mid-size	1,966.1		3,938.7
CFI	2,000.1		2,510.9
Credit Union	906.5		1,002.2
Insurance	875.1		1,044.0
Non-member	510.5		3,513.1
Total	$	12,888.3	$	24,724.9

    As of September 30, 2021, total advances decreased 48% compared with balances at December 31, 2020. It is not uncommon for the Bank to experience variances in the overall advance portfolio driven primarily by changes in member needs. The federal government liquidity programs continued to contribute to higher deposits at our members and decreased advance levels for the Bank.

See the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section of this Item 2 for further information on collateral policies and practices and details regarding eligible collateral, including amounts and percentages of eligible collateral securing member advances as of September 30, 2021.

    Allowance for Credit Losses (ACL) - Advances. The Bank evaluates its advances for an allowance for credit losses on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded an ACL at September 30, 2021 or December 31, 2020. For additional information on the allowance methodology, see Note 3 - Advances in this Form 10-Q.

Mortgage Loans Held for Portfolio, Net. Mortgage loans held for portfolio, net of ACL, was $4.8 billion at September 30, 2021 and $4.9 billion at December 31, 2020.

The Bank places conventional mortgage loans that are 90 days or more delinquent on nonaccrual status. In addition, the Bank records cash payments received as a reduction of principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by the recording of interest income. However, government mortgage loans that are 90 days or more delinquent remain in accrual status due to government guarantees or insurance. The Bank has a loan modification program for participating financial institutions (PFIs) under the MPF Program.

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The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged under the MPF Program to be troubled debt restructurings (TDRs), since some form of concession has been made by the Bank.

Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. Despite granting the forbearance period, the Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have been granted a forbearance period, there has been no change in the terms of the loans. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act). For additional information, refer to Note 4 - Mortgage Loans Held for Portfolio in this Form 10-Q.

Foregone interest represents income the Bank would have recorded if the loan was paying according to its contractual terms. Foregone interest was immaterial for both the Bank's mortgage loans and BOB loans for the first nine months of 2021 and 2020. Balances regarding the Bank’s loan products are summarized below.

(in millions)	September 30, 2021		December 31, 2020
Advances (1)	$	12,987.1	$	24,971.1
Mortgage loans held for portfolio, net (2)	4,780.3		4,886.2
Nonaccrual mortgage loans (3)	42.5		90.8
Mortgage loans 90 days or more delinquent and still accruing interest (4)	3.4		5.3
BOB loans, net	23.2		21.2

Notes:

(1) There are no advances which are past due or on nonaccrual status.

(2) All mortgage loans are fixed-rate.

(3) Nonaccrual mortgage loans are reported net of interest applied to principal and do not include performing TDRs. The amounts include approximately $24.9 million and $62.3 million related to loans in forbearance or repayment programs as a result of COVID-19 at September 30, 2021 and December 31, 2020, respectively.

(4) Only government-insured or -guaranteed loans continue to accrue interest after becoming 90 days or more delinquent.

The performance of the mortgage loans in the Bank’s MPF Program improved slightly compared to December 31, 2020, and the MPF Original portfolio continues to outperform the market based on national delinquency statistics. As of September 30, 2021, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.5% of the MPF Original portfolio, 2.2% of the MPF Plus portfolio, and 1.0% of the MPF 35 portfolio, compared with 1.1%, 3.5%, and 2.4%, respectively, at December 31, 2020. The amount of seriously delinquent loans declined across the Bank's MPF portfolio compared to December 31, 2020, as loans continued to exit forbearance and repayment programs related to COVID-19.

    ACL - Conventional MPF. The Bank’s conventional mortgage loan portfolio is comprised of large groups of smaller-balance homogeneous loans made to borrowers of PFIs that are secured by residential real estate. Expected credit losses are evaluated based on either an individual or collective assessment of the loans, depending on whether the loans share similar risk characteristics. The Bank purchases government-guaranteed and/or insured and conventional fixed-rate residential mortgage loans. Because the credit risk on the government-guaranteed/insured loans is predominantly assumed by other entities, only conventional mortgage loans are evaluated for an ACL.

The Bank determines its ACL through consideration of various loan portfolio and collateral-related characteristics, including past performance, current conditions, and reasonable and supportable forecasts of economic conditions. To estimate credit losses, the Bank uses a third-party model which incorporates certain assumptions, including forecasted housing prices and interest rates, as well as historical borrower behavior experience. The estimate of the expected credit losses includes coverage of certain losses by primary mortgage insurance (PMI), if applicable. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results. For loans determined to be collateral dependent, the Bank charges-off the estimated credit loss against the reserve. However, if the estimated loss can be recovered through credit enhancement (CE), a receivable is established, resulting in a net charge-off. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off is equal to the difference between the amortized cost basis of the loan and the estimated fair value of the underlying collateral, less selling costs.

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The Bank recognizes a recovery when expected credit losses, including credit losses charged-off for collateral dependent loans, are less than the amounts previously charged-off. Expected recoveries of prior charge-offs, if any, are included as a reduction to the ACL through the Bank's provision for credit losses. The reduction to the ACL is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's provision for credit losses.

    The Bank's conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. Credit losses on a mortgage loan may only be absorbed by the CE amount in the master commitment related to the loan. In addition, the CE structure of the MPF Program is designed such that initial losses on mortgage loans are incurred by the Bank up to an agreed upon amount, referred to as the First Loss Account (FLA). Additional eligible credit losses are covered by CE provided by PFIs (available CE) until exhausted. Certain losses incurred by the Bank on MPF 35 and MPF Plus can be recaptured by withholding fees paid to the PFI for its retention of credit risk. All additional losses are incurred by the Bank.

The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at September 30, 2021 and December 31, 2020.

	MPF CE structure September 30, 2021				ACL September 30, 2021
(in millions)	FLA		Available CE		Estimate of Credit Loss		Estimate of Recovery (1)		Charge-offs		Reduction to the ACL due to CE		ACL
MPF Original	$	7.2	$	105.3	$	1.6	$	(2.5)	$	(0.3)	$	(0.3)	$	(1.5)
MPF 35	15.7		154.4		2.3		(0.7)		—		(2.3)		(0.7)
MPF Plus	15.0		2.8		7.0		(1.7)		—		(0.2)		5.1
Total	$	37.9	$	262.5	$	10.9	$	(4.9)	$	(0.3)	$	(2.8)	$	2.9

	MPF CE structure December 31, 2020				ACL December 31, 2020
(in millions)	FLA		Available CE		Estimate of Credit Loss		Estimate of Recovery (1)		Charge-offs		Reduction to the ACL due to CE		ACL
MPF Original	$	6.7	$	96.2	$	4.2	$	(2.6)	$	(0.5)	$	(1.9)	$	(0.8)
MPF 35	13.2		130.9		6.2		(0.6)		—		(4.6)		1.0
MPF Plus	15.3		4.4		7.2		(1.9)		—		(0.5)		4.8
Total	$	35.2	$	231.5	$	17.6	$	(5.1)	$	(0.5)	$	(7.0)	$	5.0

Note:

(1) Expected recoveries of amounts previously charged-off based on the Bank's quarterly estimate of expected lifetime credit losses.

    The ACL on mortgage loans decreased $2.1 million during the first nine months of 2021 primarily due to lower estimates of expected credit losses for the MPF Original and MPF 35 products, which were primarily driven by an improvement in forecasted housing prices and a decline in delinquent loan balances.

The Bank continued to consider potential economic impacts resulting from the COVID-19 pandemic when assessing expected credit losses on its MPF portfolio. The Bank continues to monitor developments and assess the impact of the pandemic on the Bank's MPF portfolio, including with respect to market assumptions, borrower performance, and regulatory relief.

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Cash and Investments. The Bank's strategy is to maintain its short-term liquidity position in part to be able to meet members' loan demand and regulatory liquidity requirements. Excess cash is typically invested in overnight investments. The Bank also maintains an investment portfolio to enhance earnings. These investments may be classified as trading, AFS or HTM.

The Bank maintains a liquidity portfolio comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, certificates of deposits and U.S. Treasury obligations classified as trading or AFS. The liquidity portfolio at September 30, 2021 increased by approximately $3.7 billion compared to December 31, 2020. The increase in the Bank's liquidity portfolio helps to optimize financial holdings while maintaining compliance with regulatory standards.

The Bank's investment portfolio is comprised of trading, AFS and HTM investments (excluding those investments included in the liquidity portfolio). The investments must meet the Bank's risk guidelines and certain other requirements, such as yield. The Bank's investment portfolio totaled $9.3 billion at September 30, 2021 and $11.5 billion at December 31, 2020. Paydowns associated with the Bank's Agency MBS portfolio contributed to this decline. In addition, during 2021, the Bank’s MBS purchases have been restricted by Finance Agency regulations which limit the size of the MBS portfolio based on regulatory capital. In addition, narrow mortgage spreads, driven by the Federal Reserve's quantitative easing, have limited purchase opportunities.

Investment securities, including all trading, AFS, and HTM securities, totaled $14.0 billion at September 30, 2021, compared to $13.1 billion at December 31, 2020. Details of the investment securities portfolio follow.

	Carrying Value
(in millions)	September 30, 2021			December 31, 2020
Trading securities:
Non-MBS:
U.S. Treasury obligations	$	261.9		$	899.4
Government-sponsored enterprises (GSE) and Tennessee Valley Authority (TVA) obligations	246.6			256.6
Total trading securities	$	508.5		$	1,156.0
Yield on trading securities	2.95		%	2.31		%
AFS securities:
U.S. Treasury obligations	$	4,405.3		$	—
GSE and TVA obligations	1,519.4			1,643.7
State or local agency obligations	220.9			241.7
MBS:
U.S. obligations single-family MBS	437.3			602.1
GSE single-family MBS	2,303.1			3,262.9
GSE multifamily MBS	3,096.5			3,473.4
Private label MBS	205.7			252.6
Total AFS securities	$	12,188.2		$	9,476.4
Yield on AFS securities	1.24		%	1.56		%
HTM securities:
Certificates of deposit	$	—		$	750.0
MBS:
U.S. obligations single-family MBS	90.6			120.6
GSE single-family MBS	635.5			989.8
GSE multifamily MBS	513.5			530.2
Private label MBS	75.8			93.1
Total HTM securities	$	1,315.4		$	2,483.7
Yield on HTM securities	2.75		%	1.99		%
Total investment securities	$	14,012.1		$	13,116.1
Yield on investment securities	1.44		%	1.70		%

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As of September 30, 2021, the Bank held securities from the following issuers with a book value greater than 10% of Bank total capital.

(in millions)	Total Book Value		Total Fair Value
Fannie Mae	$	4,520.9	$	4,535.7
Freddie Mac	2,052.8		2,081.4
Federal Farm Credit Banks	1,655.8		1,655.8
U.S. Treasury	4,667.2		4,667.2
Ginnie Mae	527.9		529.1
Total	$	13,424.6	$	13,469.2

For additional information on the credit risk of the investment portfolio, see the Credit and Counterparty Risk - Investments discussion in the Risk Management section of this Item 2.

ACL - Investments. The Bank invests in interest-bearing deposits and Federal funds sold which are unsecured investments. The Bank also invests in securities purchased under agreements to resell which are secured investments. At September 30, 2021 and December 31, 2020, these investments were repaid according to the contractual terms. No ACL was recorded for these assets at September 30, 2021 or December 31, 2020.

AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. The allowance is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain, the ACL is zero. The ACL on AFS private label MBS was $2.1 million at September 30, 2021 and $2.4 million at December 31, 2020.

HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. There was no ACL at September 30, 2021 or December 31, 2020.

    For additional information on the allowance methodology, see Note 2 - Investments in this Form 10-Q.

Liabilities and Capital

Deposits. The Bank offers demand, overnight and term deposits for members and qualifying nonmembers. Total deposits at September 30, 2021 increased to $965.9 million from $923.4 million at December 31, 2020.

    Consolidated Obligations. Consolidated obligations consist of bonds and discount notes. The Bank's consolidated obligations totaled $33.2 billion at September 30, 2021, a decrease of $10.2 billion from December 31, 2020. The overall decrease in consolidated obligations outstanding is consistent with the decreased advances and total asset balances. At September 30, 2021, the Bank’s bonds outstanding decreased to $21.1 billion compared to $33.9 billion at December 31, 2020. Discount notes outstanding at September 30, 2021 increased to $12.1 billion from $9.5 billion at December 31, 2020. The increase in discount notes is consistent with the increase in the Bank's liquidity portfolio.

The Bank primarily uses noncallable bonds as a source of funding but also utilizes structured notes such as callable bonds. Unswapped callable bonds primarily fund the Bank’s mortgage portfolio while swapped callable bonds fund other floating rate assets. For additional information on the Bank's consolidated obligations, refer to Note 9 to the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data of the Bank's 2020 Form 10-K.

Commitments and Off-Balance Sheet Items. As of September 30, 2021, the Bank was obligated to fund approximately $1.0 million in additional advances and BOB loans, $65.3 million of mortgage loans, and to issue $1.2 billion in consolidated obligations. In addition, the Bank had $20.4 billion in outstanding standby letters of credit as of September 30, 2021. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

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Capital and Retained Earnings. The Bank's capital stock is owned by its members. The concentration of the Bank's capital stock by institution type is presented below.

(dollars in millions)	September 30, 2021			December 31, 2020
Commercial banks	132	$	941.8	135	$	1,262.3
Savings institutions	51	111.1		51	114.3
Insurance companies	34	83.0		30	83.6
Credit unions	63	65.4		63	67.2
Community Development Financial Institution (CDFI)	2	0.4		2	0.4
Total member institutions / total GAAP capital stock	282	$	1,201.7	281	$	1,527.8
Mandatorily redeemable capital stock		23.3			142.8
Total capital stock		$	1,225.0		$	1,670.6

    The total number of members as of September 30, 2021 increased by one member compared to December 31, 2020. The Bank added four new members and lost three members. Two members merged with other institutions within the Bank's district and one member merged its charter with an entity outside the Banks' district.

The following tables present member holdings of 10% or more of the Bank’s total capital stock, including mandatorily redeemable capital stock, outstanding as of September 30, 2021 and December 31, 2020.

(dollars in millions)	September 30, 2021
Member	Capital Stock		% of Total
Ally Bank, Midvale, UT (1)	$	223.8	18.3	%
TD Bank N.A., Wilmington, DE	154.4		12.6
First National Bank of Pennsylvania, Greenville, PA	135.3		11.0

(dollars in millions)	December 31, 2020
Member	Capital Stock		% of Total
Ally Bank, Midvale, UT (1)	$	276.5	16.6	%
PNC Bank, N.A., Wilmington, DE (1)	185.0		11.1

Note:

(1) For Bank membership purposes, the principal place of business for Ally Bank, is Horsham, PA. For PNC Bank the principal place of business is Pittsburgh, PA.

The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of its retained earnings.

Management monitors capital adequacy, including the level of retained earnings, through the evaluation of market value of equity to par value of capital stock (MV/CS) as well as other risk metrics. Details regarding these metrics are discussed in the Risk Management portion of this Item 2.

Management has developed and adopted a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The framework includes four risk elements that comprise the Bank's total retained earnings target: (1) market risk; (2) credit risk; (3) operational risk; and (4) accounting risk. The retained earnings target generated from this framework is sensitive to changes in the Bank's risk profile, whether favorable or unfavorable. In addition to the retained earnings target for risk, the framework considers the amount of retained earnings needed for compliance with the capital-to-asset ratio regulatory minimum in determining an overall retained earnings need. The framework assists management in its overall analysis of the level of future dividends. The framework generated a retained earnings target of $322 million and an overall retained earnings need of $587 million as of September 30, 2021. The Bank's retained earnings were $1,397.0 million at September 30, 2021.

Retained earnings increased slightly to $1,397.0 million at September 30, 2021, compared to $1,376.8 million at December 31, 2020. The increase reflected net income that was largely offset by dividends paid. Total retained earnings at September 30,

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2021 included unrestricted retained earnings of $939.6 million and restricted retained earnings (RRE) of $457.4 million. At September 30, 2021, the balance in RRE exceeded the threshold for the contribution requirement. Accordingly, no allocation of net income was made to RRE in the first nine months of 2021. For additional information, see Note 7 - Capital in this Form 10-Q.

Capital Resources

The following should be read in conjunction with the unaudited interim financial statements included in this Form 10-Q, the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data and the Capital Resources section of Item 1. Business in the Bank's 2020 Form 10-K.

Risk-Based Capital (RBC)

The Finance Agency’s RBC regulatory framework requires the Bank to maintain sufficient permanent capital, defined as retained earnings plus capital stock, to meet its combined credit risk, market risk and operations risk. Each of these components is computed as specified in regulations and directives issued by the Finance Agency.

(in millions)	September 30, 2021		December 31, 2020
Permanent capital:
Capital stock (1)	$	1,225.0	$	1,670.6
Retained earnings	1,397.0		1,376.8
Total permanent capital	$	2,622.0	$	3,047.4
RBC requirement:
Credit risk capital	$	166.9	$	189.3
Market risk capital	138.3		211.2
Operations risk capital	91.5		120.2
Total RBC requirement	$	396.7	$	520.7
Excess permanent capital over RBC requirement	$	2,225.3	$	2,526.7

Note:

(1) Capital stock includes mandatorily redeemable capital stock.

The decrease in the total RBC requirement as of September 30, 2021 is mainly related to the decrease in the market risk capital requirement. The decrease was primarily driven by changes to the Finance Agency's scenario methodology used to determine the required market risk capital. Despite the decline in permanent capital due to member advance declines and associated reduction in capital stock, the Bank continues to maintain significant excess permanent capital over the RBC requirement.

On September 28, 2021, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2021. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2021.

Critical Accounting Policies and Estimates

The Bank's financial statements are prepared by applying certain accounting policies. Note 1 - Summary of Significant Accounting Policies in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2020 Form 10-K describes the most significant accounting policies used by the Bank. In addition, the Bank's critical accounting policies and estimates are presented in Item 7. Management's Discussion and Analysis in the Bank's 2020 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank's reported results and financial position for the period or in future periods. Management views these policies as critical accounting policies.

The Bank made no changes to its critical accounting policies during the nine months ended September 30, 2021.

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See Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations to the unaudited financial statements in this Form 10-Q for information on new accounting pronouncements impacting the financial statements or becoming effective for the Bank in future periods.

Legislative and Regulatory Developments

FHLBank Membership

On September 9, 2021, the Finance Agency published a Supervisory Letter on FHLBank Membership Issues covering five issues, including (1) Requirements for De Novo Community Development Financial Institutions, (2) Automatic Transfer of Membership, (3) Large Non-Member Institution Merging with a Small Member, (4) Applicant’s Compliance with “Financial Condition” Requirement, and (5) Definition of Insurance Company. The Supervisory Letter is intended to provide uniform guidance to the FHLBanks in the event they encounter similar circumstances. The Bank continues to evaluate the Supervisory Letter and its effect on Bank membership.

Regulatory Interpretation on Eligibility of Mortgage Participations as Collateral for FHLBank Advances

On October 4, 2021, the Finance Agency published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for Federal Home Loan Bank Advances. The Regulatory Interpretation addresses whether an FHLBank can accept as collateral to secure advances mortgage loan participations that cannot be readily liquidated in the form in which they are to be pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet the requirements of Finance Agency regulation 12 CFR 1266.7(a)(4), including the requirement that the collateral can be “liquidated in due course” in order to be eligible to secure FHLBank advances. It further concludes that participations for which there would be a known impediment to liquidation do not meet such requirement and therefore are not eligible collateral for advances. Finally, the Regulatory Interpretation rescinds prior guidance from the Finance Agency and its predecessor agency(ies) that provide mortgage loan participations may be eligible as collateral under regulatory provisions other than 12 CFR 1266.7(a)(4). The Regulatory Interpretation becomes effective on December 13, 2021.

Although the Bank does not currently expect the Regulatory Interpretation to have a material impact on its financial condition or results of operations, this restriction on collateral may negatively impact future borrowing by certain members.

Fair Housing and Fair Lending Enforcement

On July 9, 2021, the Finance Agency published a Policy Statement on Fair Lending to communicate the Finance Agency’s general position on monitoring and information gathering, supervisory examinations, and administrative enforcement related to the Equal Credit Opportunity Act, the Fair Housing Act, and the Federal Housing Enterprises Financial Safety and Soundness Act. The Policy Statement became effective on the date of publication.

On August 12, 2021, the Finance Agency and the U.S. Department of Housing and Urban Development announced they had entered into a Memorandum of Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agencies will focus on enhancing their enforcement of the Fair Housing Act, and their oversight of Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.

The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.

COVID-19 Developments

In light of the COVID-19 pandemic, the Presidents of the United States, through executive orders, governmental agencies, including the SEC, the Office of the Comptroller of the Currency, Federal Reserve, Federal Deposit Insurance Corporation, National Credit Union Administration, Commodity Futures Trading Commission and the Finance Agency, as well as state governments and agencies, have taken, and may continue to take, actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, and the Congress has enacted and may continue to enact pandemic relief legislation, some of which may have a direct or indirect impact on the Bank or its members. Many of these actions are temporary in nature. The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.

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U.S. Treasury and Fannie Mae Preferred Stock Purchase Agreement

On January 14, 2021, the U.S. Treasury and Fannie Mae entered into a letter agreement amending the terms of their Preferred Stock Purchase Agreement, which could impact PFIs that participate in the MPF Program’s MPF Xtra product (where MPF loans acquired are concurrently sold to Fannie Mae). Under the Preferred Stock Purchase Agreement, the U.S. Treasury provides liquidity to Fannie Mae in exchange for senior preferred stock. Under the Preferred Stock Purchase Agreement amendment, which was to take effect January 1, 2022, the Finance Agency (acting as conservator for Fannie Mae) and the U.S. Treasury agreed to limit the dollar volume of loans Fannie Mae could purchase from a single seller through Fannie Mae’s cash window to $1.5 billion per year. As administrator of the MPF Program, the FHLBank of Chicago purchases MPF Xtra loans from PFIs and sells them to Fannie Mae via the cash window process. Based on volumes for the MPF Xtra product program, the Preferred Stock Purchase Agreement amendment would significantly curtail MPF Xtra cash window sales. On September 14, 2021, the Finance Agency and the U.S. Treasury temporarily suspended certain provisions of the Preferred Stock Purchase Agreement, including limits on Fannie Mae’s cash window limits, until at least September 14, 2022.

Although the Bank does not currently expect the cash window limits to have a material impact on its financial condition or results of operations, they may negatively impact the volume of loans that PFIs are able to sell through the MPF Program.

Other Legislative Matters

As previously disclosed, legislation has been introduced in the U.S. Senate and House of Representatives that, if enacted in its proposed form, would require that the FHLBanks set aside higher percentages of their earnings for their affordable housing and community investment programs than is required under the current law. As part of the Congressional budget reconciliation process, a legislative proposal is under consideration to set aside fifteen percent of an FHLBank’s net income, in each year from 2022 to 2027, for its affordable housing program. The FHLBanks continue to closely monitor these proposals and developments.

Risk Management

    The Bank employs a corporate governance and internal control framework designed to support the effective management of the Bank’s business activities and the related inherent risks. As part of this framework, the Board has approved a Risk Governance Policy and a Member Products Policy, both of which are reviewed regularly and re-approved at least annually. The Risk Governance Policy establishes risk guidelines, limits (if applicable), and standards for credit risk, market risk, liquidity risk, business risk and various forms of operational and technology risk, in accordance with Finance Agency regulations and consistent with the Bank’s risk appetite. The Member Products Policy establishes the eligibility and authorization requirements, policy limits and restrictions, and the terms applicable to each type of Bank product or service, as well as collateral requirements. The risk appetite is established by the Board, as are other applicable guidelines in connection with the Bank’s Capital Plan and overall risk management.

Risk Governance

The Bank’s lending, investment and funding activities and use of derivative instruments expose the Bank to a number of risks that include, market and interest rate risk, credit and counterparty risk, liquidity and funding risk, and operational and business risks. These include risks such as use and reliance on models and end-user computing tools, technology and information security risk, among others. In addition, the Bank’s risks are affected by current and projected financial and residential mortgage market trends, including those described in Item 1A. Risk Factors in the Bank's 2020 Form 10-K. Details regarding the Bank's risk governance framework and processes are included in the "Risk Governance" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2020 Form 10-K.

COVID-19 Pandemic Related Risk Impacts. Severe market volatility also impacts the Bank’s ability to model and manage market and other risks, along with determining collateral values. While the Bank has been able to manage these risks, they could affect the Bank’s ability to make business decisions and limit members’ ability to do business with the Bank. Similarly, because of changing economic and market conditions affecting the Bank’s investments, the Bank may be required to recognize further impairments on securities held, which may result in additional provision for credit losses on private label MBS or reduced comprehensive income depending on the classification of the investment. Additionally, the Bank continues to monitor the Bank's members, counterparties and MPF portfolio, as further and material credit deterioration could occur.

Capital Adequacy Measures. MV/CS provides a current assessment of the liquidation value of the balance sheet and measures the Bank's current ability to honor the par put redemption feature of its capital stock. This is one of the risk metrics

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used to evaluate the adequacy of retained earnings, which is used to develop dividend payment recommendations and support the repurchase of excess capital stock.

The current Board-approved floor for MV/CS is 90.0%. MV/CS is measured against the floor monthly. When MV/CS is below the established floor, excess capital stock repurchases and dividend payouts are restricted. See the “Capital and Retained Earnings” discussion in Financial Condition in this Item 2 for details regarding the Bank’s retained earnings policy.
The MV/CS ratio was 224.6% at September 30, 2021 and 188.2% at December 31, 2020. The increase was primarily due to the decrease in capital stock as a result of lower advances.

Qualitative and Quantitative Disclosures Regarding Market Risk

Managing Market Risk. The Bank's market risk management objective is to protect member/shareholder and bondholder value consistent with the Bank's housing mission and safe and sound operations across a wide range of interest rate environments. Management believes that a disciplined approach to market risk management is essential to maintaining a strong capital base and uninterrupted access to the capital markets.

The Bank's Market Risk Model. Significant resources are devoted to ensuring that the level of market risk in the balance sheet is accurately measured, thus allowing management to monitor the risk against policy and regulatory limits. The Bank uses externally developed models to evaluate its financial position and market risk. One of the most critical market-based models relates to the prepayment of principal on mortgage-related instruments. Management regularly reviews the major assumptions and methodologies used in its models, as well as the performance of the models relative to empirical results, so that appropriate changes to the models can be made. During the third quarter of 2021, prepayment model changes were made which increased projected prepayment speeds and aligned modeled prepayments more closely with actual portfolio experience. As the COVID-19 pandemic and associated economic impact continues to evolve, including actions taken by governmental authorities, the performance of the Bank's models used to measure market risk will likely continue to be affected. Management will consider the additional impact of the pandemic on key market risk measures and may make further changes as deemed appropriate in future periods.

The Bank regularly validates the models used to measure market risk. Such model validations are performed by the Bank's model risk management department, which is separate from the model owner. These model validations may include third-party specialists when appropriate. The model validations are supplemented by performance monitoring by the model owner which is reported to the Bank's model risk management department. In addition, the Bank benchmarks model-derived fair values to those provided by third-party services or alternative internal valuation models. The benchmarking analysis is performed by a group that is separate from the model owner. Results of the model validations and benchmarking analysis, as well as any changes to the valuation methodologies and inputs, are reported to the Bank's Asset and Liability Committee (ALCO) (or subcommittee of), which is responsible for overseeing market risk.

Duration of Equity. One key risk metric used by the Bank is duration. Duration is a measure of the sensitivity of a financial instrument's value, or the value of a portfolio of instruments, to a 100 basis point parallel shift in interest rates. Duration (typically expressed in years) is commonly used by investors throughout the fixed income securities market as a measure of financial instrument price sensitivity.

The Bank's asset/liability management policy approved by the Board calls for actual duration of equity to be maintained within a + 4.5 year range in the base case. In addition, the duration of equity exposure limit in an instantaneous parallel interest rate shock of + 200 basis points is + 7 years. Management analyzes the duration of equity exposure against this policy limit on a daily basis and regularly evaluates its market risk management strategies.

The following table presents the Bank's duration of equity exposure at September 30, 2021 and December 31, 2020. Given the low level of interest rates, an instantaneous parallel interest rate shock of "down 200 basis points" and "down 100 basis points" could not be meaningfully measured for these periods and therefore is not presented.

(in years)	Base Case	Up 100  basis points	Up 200  basis points
Actual Duration of Equity:
September 30, 2021	(0.5)	0.5	1.5
December 31, 2020	(0.9)	0.9	3.2

    Duration of equity changes in the first nine months of 2021 were mainly the result of funding actions, primarily the issuance of discount notes and prepayment model changes noted above, which outweighed the impact of the increase in long-

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term interest rates. The Bank continues to monitor the mortgage and related fixed-income markets, including the impact that changes in the market or anticipated modeling changes may have on duration of equity and other market risk measures and may take actions to reduce market risk exposures as needed. Management believes that the Bank's current market risk profile is reasonable given the current market conditions.

Return on Equity (ROE) Spread Volatility. Interest rate risk is also measured based on the volatility in the Bank’s projected return on capital in excess of the return of an established benchmark market index. ROE spread is defined as the Bank's return on average equity, including capital stock and retained earnings, in excess of the average of the projected Federal funds rate.

ROE spread volatility is a measure of the variability of the Bank’s projected ROE spread in response to shifts in interest rates and represents the change in ROE spread compared to an ROE spread that is generated by the Bank in its base forecasting scenario. ROE spread volatility is measured over a rolling forward 12 month period for selected interest rate scenarios and excludes the income sensitivity resulting from mark-to-market changes, which are separately described below.

        The ROE spread volatility presented in the table below reflects spreads relative to the projected Federal funds rate. Management uses both parallel and non-parallel rate scenarios to assess interest rate risk. The steeper and flatter yield curve shift scenarios are represented by appropriate increases and decreases in short-term and long-term interest rates using the three-year point on the yield curve as the pivot point. Given the low rate environment, management replaced a "down 200 basis points parallel rate" scenario with a "down 100 basis points longer term rate shock" as an additional non-parallel rate scenario that reflects a decline in longer-term rates and temporarily suspended the “down 100 basis points parallel” and “100 basis point steeper” shocks.

ROE Spread Volatility Increase/(Decline)
(in basis points)	Down 100 bps Longer Term Rate Shock	100 bps Flatter	Up 200 bps Parallel Shock
September 30, 2021	(58)	34	82
December 31, 2020	(32)	40	118

    Changes in ROE spread volatility in the first nine months of 2021 primarily reflect the impact of funding actions, mainly the issuance of discount notes and prepayment model changes noted above, which outweighed the impact of the increase in long-term interest rates. For each scenario, the Board's limit on the decline in ROE spread is set at no greater than 100 basis points. The Bank was in compliance with the ROE spread volatility limit across all selected interest rate shock scenarios at September 30, 2021 and December 31, 2020.

    Mark-to-Market Risk. The Bank measures earnings risk associated with certain mark-to-market positions, including economic hedges. This framework measures forward-looking, scenario-based exposure based on interest rate and volatility shocks that are applied to any existing transaction that is marked to market through the income statement without an offsetting mark arising from a qualifying hedge relationship. In addition, the Bank's Capital Markets and Corporate Risk Management departments monitor the actual profit/loss change on a daily, monthly cumulative, and quarterly cumulative basis. The Bank's ALCO monitors mark-to-market risk through a daily exposure guideline and quarterly profit/loss reporting trigger.

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Credit and Counterparty Risk - Total Credit Exposure (TCE) and Collateral

TCE. The Bank manages the credit risk of each member on the basis of the member’s total credit exposure (TCE) to the Bank, which includes advances and related accrued interest, fees, basis adjustments and estimated prepayment fees; letters of credit; forward-dated advance commitments; and MPF credit enhancement and related obligations. This credit risk is managed by monitoring the financial condition of borrowers and by requiring all borrowers (and, where applicable in connection with member affiliate pledge arrangements approved by the Bank, their affiliates) to pledge sufficient eligible collateral for all borrower obligations to the Bank to ensure that all potential forms of credit-related exposures are covered by sufficient eligible collateral. At September 30, 2021, aggregate TCE was $36.1 billion, comprised of approximately $12.9 billion in advance principal outstanding, $22.8 billion in letters of credit (including forward commitments), and $353.7 million in accrued interest, prepayment fees, MPF credit enhancement obligations and other fees.

The Bank establishes a maximum borrowing capacity (MBC) for each member based on collateral weightings applied to eligible collateral as described in the Bank’s Member Products Policy. Details regarding this policy are available in the Advance Products discussion in Item 1. Business in the Bank's 2020 Form 10-K. According to the Policy, eligible collateral is weighted to help ensure that the collateral value will exceed the amount that may be owed to the Bank in the event of a default. The Bank also has the ability to call for additional or substitute collateral while any indebtedness is outstanding to protect the Bank’s fully secured position. At September 30, 2021 and December 31, 2020, on a borrower-by-borrower basis, the Bank had a perfected security interest in eligible collateral with an estimated collateral value (after collateral weightings) in excess of the book value of all members’ and nonmember housing associates’ obligations to the Bank.

The financial condition of all members and eligible non-member housing associates is closely monitored for compliance with financial criteria as set forth in the Bank’s credit policies. The Bank has developed an internal credit rating (ICR) system that calculates financial scores and rates member institutions on a quarterly basis using a numerical rating scale from one to ten, with one being the best rating. Generally, scores are objectively calculated based on financial ratios computed from publicly available data. The scoring system gives the highest weighting to the member’s asset quality and capitalization. Other key factors include earnings and balance sheet composition. Operating results which include net income, capital levels, reserve coverage and other factors for the previous four quarters are used. The most recent quarter’s results are given a higher weighting. Additionally, a member’s credit score can be adjusted for various qualitative factors, such as the financial condition of the member’s holding company. A rating in one of the higher number (i.e., worse) categories indicates that a member exhibits well defined financial weaknesses as described in the Bank's policy. Members in these categories are reviewed for potential collateral delivery status. Other uses of the ICR include the scheduling of on-site collateral reviews. Insurance company members are rated on the same numerical rating scale as depository institutions, but the analysis includes both quantitative and qualitative factors. While depository institution member analysis is based on standardized regulatory Call Report data and risk modeling, insurance company credit risk analysis is based on various forms of financial data, including, but not limited to, statutory reporting filed by insurance companies with state insurance regulators, which requires specialized methodologies and dedicated underwriting resources.

As noted above, the Bank monitors member credit quality on a regular basis. To date, no material deterioration due to the COVID-19 pandemic has occurred. Management believes that it has adequate policies and procedures in place to effectively manage credit risk exposure related to member TCE. These credit and collateral policies balance the Bank’s dual goals of meeting members’ needs as a reliable source of liquidity and limiting credit loss by adjusting the credit and collateral terms in response to deterioration in creditworthiness. The Bank has never experienced a loss on its advance exposure.

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The following table presents the Bank’s top five financial entities with respect to their TCE at September 30, 2021.

	September 30, 2021
(dollars in millions)	TCE		% of Total
TD Bank, National Association, DE	$	15,275.6	42.4	%
Ally Bank, UT (1)	4,664.6		12.9
Fulton Bank, N.A., PA	1,689.7		4.7
First National Bank of Pennsylvania, PA	1,593.7		4.4
Univest Bank & Trust Co., PA	1,032.6		2.9
	24,256.2		67.3
Other financial institutions	11,797.6		32.7
Total TCE outstanding	$	36,053.8	100.0	%

Notes:

(1) For Bank membership purposes, principal place of business is Horsham, PA.

    Member Advance Concentration Risk. The following table lists the Bank’s top five borrowers based on advance balances at par as of September 30, 2021.

	September 30, 2021
(dollars in millions)	Advance Balance		% of Total
Ally Bank, UT (1)	$	4,650.0	36.1	%
First National Bank of Pennsylvania, PA	1,230.0		9.6
Santander Bank, National Association, DE (2)	750.0		5.8
Brighthouse Life Insurance Company, DE (3)	500.0		3.9
American Heritage Federal Credit Union, PA	430.0		3.3
	7,560.0		58.7
Other borrowers	5,328.3		41.3
Total advances	$	12,888.3	100.0	%

Notes:

(1) For Bank membership purposes, principal place of business is Horsham, PA.

(2) Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

(3) In 2018, Brighthouse Life Insurance Company relocated its principal place of business and became a member of another FHLBank.

The average year-to-date September 30, 2021 balances for the five largest borrowers totaled $9.8 billion, or 56.8% of total average advances outstanding. The advances made by the Bank to each of these borrowers are secured by collateral with an estimated value, after collateral weightings, in excess of the book value of the advances. The Bank has implemented specific credit and collateral review monitoring for these members.

Letters of Credit. The letter of credit product is collateralized under the same policies, procedures and guidelines that apply to advances. Outstanding letters of credit totaled $20.4 billion at September 30, 2021 and $19.7 billion at December 31, 2020, primarily related to public unit deposits. Available master standby letters of credit of $2.2 billion at September 30, 2021 and $1.2 billion at December 31, 2020 are not included in these totals. The Bank had a concentration of letters of credit with one member (TD Bank) of $14.3 billion or 70% of the total at September 30, 2021 and $12.6 billion or 64% of the total at December 31, 2020.

Collateral Policies and Practices. All members are required to maintain eligible collateral to secure their TCE. Refer to the Risk Management section of the Bank's 2020 Form 10-K for additional information related to the Bank’s Collateral Policy. Beginning in the first quarter of 2021, the Bank accepts certain electronic mortgage notes (eNotes) that comply with the Bank’s Collateral Policy. Consistent with recent regulatory guidance, the Bank has made collateral policy changes associated with LIBOR-linked collateral that are effective January 2022.

Collateral Agreements and Valuation. The Bank provides members with two types of collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement. Under a blanket lien agreement, the Bank obtains a lien against all of the member’s unencumbered eligible collateral assets and most ineligible assets to secure the member’s obligations with the Bank. Under a specific collateral pledge agreement, the Bank obtains a lien against specific eligible

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collateral assets of the member or its affiliate (if applicable) to secure the member’s obligations with the Bank. The member provides a detailed listing, as an addendum to the specific collateral agreement, identifying those assets pledged as collateral or delivered to the Bank or its third party custodian. Details regarding average lending values provided under both blanket liens and specific liens and delivery arrangements are available in the "Credit and Counterparty Risk - TCE and Collateral" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2020 Form 10-K.

Consistent with previous policy stipulations, high quality investment securities are defined as U.S. Treasury and U.S. Agency securities, REFCORP bonds, GSE MBS, commercial and residential private label MBS with a minimum credit rating of single A-minus, which the Bank considers as part of its evaluation of the collateral. In addition, municipal securities (or portions thereof) with a real estate nexus (e.g. proceeds primarily used for real estate development) with a minimum credit rating of single A-minus are included. Members have the option to deliver such high-quality investment securities to the Bank to increase their maximum borrowing capacity. Upon delivery, these securities are valued daily and all non-government or agency securities are subject to weekly ratings reviews. Reported amount also includes pledged FHLBank cash deposits with the Bank.

    For member borrowers, the following tables present information on a combined basis regarding the type of collateral securing their outstanding credit exposure and the collateral status as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	93,274.0	47.2	%	$	139.0	8.9	%	$	8.2	0.7	%	$	93,421.2	46.6	%
High quality investment securities	1,185.0		0.6		1,240.5		79.0		1,068.6		95.4		3,494.1		1.7
ORERC/CFI eligible collateral	84,894.5		42.9		169.5		10.8		43.9		3.9		85,107.9		42.5
Multi-family residential mortgage   loans	18,389.0		9.3		20.9		1.3		—		—		18,409.9		9.2
Total eligible collateral value	$	197,742.5	100.0	%	$	1,569.9	100.0	%	$	1,120.7	100.0	%	$	200,433.1	100.0	%
Total TCE	$	34,449.1	95.6	%	$	919.1	2.5	%	$	685.6	1.9	%	$	36,053.8	100.0	%
Number of members	159		85.5	%	13		7.0	%	14		7.5	%	186		100.0	%

	December 31, 2020
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential   mortgage loans	$	94,362.6	45.7	%	$	211.7	12.2	%	$	5,211.0	77.6	%	$	99,785.3	46.4	%
High quality investment securities	1,485.9		0.7		1,376.5		79.2		1,475.5		21.9		4,337.9		2.0
ORERC/CFI eligible collateral	89,983.1		43.5		136.3		7.8		35.6		0.5		90,155.0		41.9
Multi-family residential mortgage   loans	20,852.3		10.1		13.8		0.8		—		—		20,866.1		9.7
Total eligible collateral value	$	206,683.9	100.0	%	$	1,738.3	100.0	%	$	6,722.1	100.0	%	$	215,144.3	100.0	%
Total TCE	$	41,277.4	89.7	%	$	980.2	2.1	%	$	3,783.4	8.2	%	$	46,041.0	100.0	%
Number of members	167		85.6	%	14		7.2	%	14		7.2	%	195		100.0	%

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Credit and Counterparty Risk - Investments

    The Bank is also subject to credit risk on investments consisting of money market investments and investment securities. The Bank considers a variety of credit quality factors when analyzing potential investments, including collateral performance, marketability, asset class or sector considerations, local and regional economic conditions, NRSROs credit ratings and/or the financial health of the underlying issuer.

Investment Quality and External Credit Ratings. The following tables present the Bank’s investment carrying values as of September 30, 2021 and December 31, 2020, based on the lowest credit rating from the NRSROs (Moody’s, S&P and Fitch).

	September 30, 2021(1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	342.9	$	205.1	$	—	$	—	$	548.0
Securities purchased under agreements to resell	—		—		1,000.0		—		—		—		1,000.0
Federal funds sold	—		425.0		2,050.0		—		—		—		2,475.0
Total money market investments	—		425.0		3,392.9		205.1		—		—		4,023.0
Investment securities:
U.S. Treasury obligations	—		4,667.2		—		—		—		—		4,667.2
GSE and TVA obligations	—		1,766.0		—		—		—		—		1,766.0
State or local agency obligations	21.3		199.6		—		—		—		—		220.9
Total non-MBS	21.3		6,632.8		—		—		—		—		6,654.1
U.S. obligations single-family MBS	—		527.9		—		—		—		—		527.9
GSE single-family MBS	—		2,938.6		—		—		—		—		2,938.6
GSE multifamily MBS	—		3,610.0		—		—		—		—		3,610.0
Private label MBS	—		7.7		26.1		19.5		87.7		140.5		281.5
Total MBS	—		7,084.2		26.1		19.5		87.7		140.5		7,358.0
Total investments	$	21.3	$	14,142.0	$	3,419.0	$	224.6	$	87.7	$	140.5	$	18,035.1

	December 31, 2020 (1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	—	$	950.8	$	—	$	—	$	—	$	950.8
Securities purchased under agreements to resell	—		—		500.0		100.0		—		—		600.0
Federal funds sold	—		—		1,850.0		—		—		—		1,850.0
Total money market investments	—		—		3,300.8		100.0		—		—		3,400.8
Investment securities:
U.S. Treasury obligations	—		899.4		—		—		—		—		899.4
Certificates of deposit	—		250.0		500.0		—		—		—		750.0
GSE and TVA obligations	—		1,900.3		—		—		—		—		1,900.3
State or local agency obligations	26.0		215.7		—		—		—		—		241.7
Total non-MBS	26.0		3,265.4		500.0		—		—		—		3,791.4
U.S. obligations single-family MBS	—		722.7		—		—		—		—		722.7
GSE single-family MBS	—		4,252.7		—		—		—		—		4,252.7
GSE multifamily MBS	—		4,003.6		—		—		—		—		4,003.6
Private label MBS	—		14.6		18.5		14.2		111.3		187.1		345.7
Total MBS	—		8,993.6		18.5		14.2		111.3		187.1		9,324.7
Total investments	$	26.0	$	12,259.0	$	3,819.3	$	114.2	$	111.3	$	187.1	$	16,516.9

Notes:

(1) Balances exclude total accrued interest of $29.4 million for September 30, 2021 and $28.2 million for December 31, 2020.

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The Bank also manages credit risk based on an internal credit rating system. For purposes of determining the internal credit rating, the Bank measures credit exposure through a process which includes internal credit review and various external factors including NRSRO analysis. The Bank does not rely solely on any NRSRO rating in deriving its final internal credit rating.

Short-term Investments. Within the portfolio of short-term investments, the Bank faces credit risk from unsecured exposures. The Bank's unsecured investments have maturities generally ranging between overnight and six months and may include the following types:

•Interest-bearing deposits. Primarily consists of unsecured deposits that earn interest;

•Federal funds sold. Unsecured loans of reserve balances at the Federal Reserve Banks between financial institutions that are made on an overnight and term basis; and

•Certificates of deposit. Unsecured negotiable promissory notes issued by banks and payable to the bearer at maturity or on demand.

Under the Bank’s Risk Governance Policy, the Bank can place money market investments, which include those investment types listed above, on an unsecured basis with large financial institutions with long-term credit ratings no lower than BBB. Management actively monitors the credit quality of these counterparties. The Bank also invests in securities purchased under agreements to resell which are secured investments.

As of September 30, 2021, the Bank had unsecured exposure to 10 counterparties totaling $3.0 billion, with six counterparties each exceeding 10% of the total exposure. The following table presents the Bank's unsecured credit exposure with non-governmental counterparties by investment type at September 30, 2021 and December 31, 2020. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions)
Carrying Value (1) (2)	September 30, 2021		December 31, 2020
Interest-bearing deposits	$	548.0	$	950.8
Certificates of deposit	—		750.0
Federal funds sold	2,475.0		1,850.0
Total	$	3,023.0	$	3,550.8

Note:

(1) Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

(2) Excludes a $339.8 million compensating balance account with a counterparty which is non-interest bearing.

    As of September 30, 2021, 81.9% of the Bank’s unsecured investment credit exposures were to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing counterparties.

    Finance Agency regulations include limits on the amount of unsecured credit the Bank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty's overall internal credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of the Bank's total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. This percentage is 1% to 15% and is based on the counterparty's internal credit rating. The calculation of term extensions of unsecured credit includes on-balance sheet transactions, off-balance sheet commitments, and derivative transactions.

    Finance Agency regulation also permits the Bank to extend additional unsecured credit for overnight transactions and for sales of Federal funds subject to continuing contracts that renew automatically. For overnight exposures only, the Bank's total unsecured exposure to a counterparty may not exceed twice the applicable regulatory limit, or a total of 2% to 30% of the eligible amount of regulatory capital, based on the counterparty's internal credit rating. As of September 30, 2021, the Bank was in compliance with the regulatory limits established for unsecured credit.

    The Bank's unsecured credit exposures to U.S. branches and agency offices of foreign commercial banks include the risk that, as a result of political or economic conditions in a country, the counterparty may be unable to meet their contractual

29

repayment obligations. The Bank's unsecured credit exposures to domestic counterparties and U.S. subsidiaries of foreign commercial banks include the risk that these counterparties have extended credit to foreign counterparties.

    The following table presents the long-term credit ratings of the unsecured investment credit exposures by the domicile of the counterparty or the domicile of the counterparty's immediate parent for U.S. subsidiaries or branches and agency offices of foreign commercial banks based on the NRSROs used. This table does not reflect the foreign sovereign government's credit rating.

(in millions)
September 30, 2021 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3) (4)
	AA		A		BBB		Total
Domestic	$	—	$	342.9	$	205.1	$	548.0
U.S. branches and agency offices of foreign commercial banks:
Australia	—		675.0		—		675.0
Canada	—		425.0		—		425.0
Finland	425.0		—		—		425.0
France	—		100.0		—		100.0
Germany	—		425.0		—		425.0
Netherlands	—		425.0		—		425.0
Total U.S. branches and agency offices of foreign commercial banks	425.0		2,050.0		—		2,475.0
Total unsecured investment credit exposure	$	425.0	$	2,392.9	$	205.1	$	3,023.0

(in millions)
December 31, 2020 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3) (4)
	AA		A		Total
Domestic	$	—	$	950.8	$	950.8
U.S. branches and agency offices of foreign commercial banks:
Australia	—		750.0		750.0
Canada	250.0		1,100.0		1,350.0
Netherlands	—		500.0		500.0
Total U.S. branches and agency offices of foreign commercial banks	250.0		2,350.0		2,600.0
Total unsecured investment credit exposure	$	250.0	$	3,300.8	$	3,550.8

Notes:

(1) Ratings are as of the respective dates.

(2) These ratings represent the lowest rating available for each security owned by the Bank based on the NRSROs used by the Bank. The Bank’s internal ratings may differ from those obtained from the NRSROs.

(3) Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

(4) Represents the NRSRO rating of the counterparty not the country.

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    The following table presents the remaining contractual maturity of the Bank's unsecured investment credit exposure by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. subsidiaries or branches and agency offices of foreign commercial banks. The Bank also mitigates the credit risk on investments by generally investing in investments that have short-term maturities.

(in millions)
September 30, 2021
Carrying Value
Domicile of Counterparty	Overnight		Due 2 days through 30 days		Due 31 days through 90 days		Total
Domestic	$	548.0	$	—	$	—	$	548.0
U.S. branches and agency offices of foreign commercial banks:
Australia	675.0		—		—		675.0
Canada	425.0		—		—		425.0
Finland	425.0		—		—		425.0
France	100.0		—		—		100.0
Germany	425.0		—		—		425.0
Netherlands	425.0		—		—		425.0
Total U.S. branches and agency offices of foreign commercial banks	2,475.0		—		—		2,475.0
Total unsecured investment credit exposure	$	3,023.0	$	—	$	—	$	3,023.0

(in millions)
December 31, 2020
Carrying Value
Domicile of Counterparty	Overnight		Due 2 days through 30 days		Due 31 days through 90 days		Total
Domestic	$	950.8	$	—	$	—	$	950.8
U.S. branches and agency offices of foreign commercial banks:
Australia	750.0		—		—		750.0
Canada	600.0		500.0		250.0		1,350.0
Netherlands	500.0		—		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	1,850.0		500.0		250.0		2,600.0
Total unsecured investment credit exposure	$	2,800.8	$	500.0	$	250.0	$	3,550.8

U.S. Treasury Obligations. The Bank invests in U.S. Treasury obligations that are explicitly fully guaranteed by the U.S. government. This portfolio totaled $4.7 billion at September 30, 2021 and $0.9 billion at December 31, 2020.

Agency/GSE Securities and Agency/GSE MBS. The Bank invests in and is subject to credit risk related to securities issued by Federal Agencies or U.S. government corporations. In addition, the Bank invests in MBS issued by these same entities that are directly supported by underlying mortgage loans. Both the securities and MBS are either explicitly or implicitly guaranteed by the U.S. government. These portfolios totaled $8.8 billion at September 30, 2021 and $10.9 billion at December 31, 2020.

State and Local Agency Obligations. The Bank invests in and is subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans. These portfolios totaled $220.9 million at September 30, 2021 and $241.7 million at December 31, 2020.

Private Label MBS. The Bank also holds investments in private label MBS, which are supported by underlying mortgage loans. The Bank made investments in private label MBS that were rated AAA at the time of purchase with the exception of one, which was rated AA at the time of purchase. However, since the time of purchase, there have been significant ratings downgrades. In 2007, the Bank discontinued the purchase of private label MBS. The carrying value of the Bank’s private label MBS portfolio was $281.5 million at September 30, 2021 and $345.7 million at December 31, 2020.

Credit Losses. The Bank evaluates its private label MBS for expected credit losses quarterly, based on whether there is an expectation of a shortfall in receiving all cash flows contractually due. The Bank expects to receive all cash flows contractually due with respect to its HTM private label MBS and therefore has no ACL related to this portfolio. With respect to its AFS private label MBS, the Bank has an ACL of $2.1 million and $2.4 million as of September 30, 2021 and December 31, 2020,

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respectively. For its AFS private label MBS for which the Bank expects a shortfall, an ACL is recorded, limited to the amount of a security's unrealized loss, if any. If the security is in an unrealized gain position, the ACL is zero.

The Bank recorded a reversal for credit losses of $0.5 million on its AFS private label MBS for the third quarter of 2021 and an immaterial provision for credit losses for the third quarter of 2020. For the nine months ended September 30, 2021, the Bank recorded a reversal for credit losses of $0.3 million and a provision for credit losses of $1.7 million for the same prior-year period. Because the Bank does not intend to sell and will not be required to sell its AFS private label MBS with recorded credit losses before anticipated recovery of their amortized cost basis, the Bank did not write down any of its AFS private label MBS securities amortized cost basis for the difference between amortized cost and fair value.

For those AFS private label MBS with a credit loss previously recorded, when the Bank projects an increase in cash flows during its quarterly assessment of expected credit losses, the Bank will first reverse the ACL by recognizing a reversal for credit losses up to the amount of the ACL, if any. If the Bank projects a significant increase in cash flows, the Bank adjusts the accretable yield prospectively. Credit losses recovered through interest income on these securities was $3.2 million and $4.1 million for the third quarter of 2021 and 2020, respectively, and $10.2 million and $12.2 million for the first nine months of 2021 and 2020, respectively.

Management will continue to evaluate its private label MBS. Material credit losses have occurred on AFS private label MBS and may occur in the future. The specific amount of credit losses will depend on the actual performance of the underlying loan collateral, payments received on the securities themselves, as well as the Bank’s future modeling assumptions. Declines in the fair values of AFS private label MBS with expected credit losses may result in the Bank recording an ACL. Those AFS private label MBS for which the Bank is recognizing recovery of credit losses through interest income may be more likely to incur additional credit losses due to the nature of the historic OTTI accounting model.

Credit and Counterparty Risk - Mortgage Loans, BOB Loans and Derivatives

Mortgage Loans. The Finance Agency has authorized the Bank to hold mortgage loans under the MPF Program whereby the Bank acquires mortgage loans from participating members in a shared credit risk structure. These assets carry CEs on any conventional mortgage loans acquired such that the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions. Loans are assessed by a third-party credit model at acquisition, and a CE is calculated based on loan attributes and the Bank’s risk tolerance with respect to its MPF portfolio. The Bank had net mortgage loans held for portfolio of $4.8 billion at September 30, 2021 and $4.9 billion at December 31, 2020, after an allowance for credit losses of $2.9 million at September 30, 2021 and $5.0 million at December 31, 2020.

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to nine mortgage insurance companies which provide PMI and/or Supplemental Mortgage Insurance (SMI) for the Bank’s various products. To be active, the mortgage insurance company must be approved as a qualified insurer in accordance with the AMA regulation. Every two years, the Bank reviews the qualified insurers to determine if they continue to meet the financial and operational standards set by the Bank.

When a conventional mortgage loan requires PMI, the MPF Program modeling applied to the Bank’s acquisitions requires additional CE from the PFI to compensate for the mortgage insurer rating when it is below BBB+.

The MPF Plus product required SMI under the MPF Program when each pool was established. At September 30, 2021, five of the 14 MPF Plus pools still have SMI policies in place. The Bank does not currently offer the MPF Plus product and has not purchased loans under MPF Plus Commitments since July 2006. Per MPF Program guidelines, the existing MPF Plus product exposure is required to be secured by the PFI once the SMI company is rated below AA-. As of September 30, 2021, all of the SMI exposure is fully collateralized.

The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of September 30, 2021 was $14.8 million and $4.6 million, respectively. The corresponding amounts at December 31, 2020 were $30.0 million and $8.9 million.

    BOB Loans. See Note 1 - Summary of Significant Accounting Policies in Item 8 in the Bank's 2020 Form 10-K for a description of the BOB program. The allowance for credit losses on BOB loans was $3.3 million at September 30, 2021 and $3.1 million at December 31, 2020.

Derivative Counterparties. To manage interest rate risk, the Bank enters into derivative contracts. Derivative transactions may be either executed with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission

32

Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). For uncleared derivatives, the Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

    The Bank uses either CME Clearing or LCH Ltd. as the Clearing House for its cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral. The Bank is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions. The amount of credit risk on derivatives depends on the extent to which netting procedures, collateral requirements, daily settlement and other credit enhancements are used and are effective in mitigating the risk. The Bank manages credit risk through credit analysis, collateral management, and other credit enhancements.

Uncleared Derivatives. The Bank is subject to non-performance by counterparties to its uncleared derivative transactions. The Bank requires collateral on uncleared derivative transactions. The amount of net unsecured credit exposure that is permissible with respect to each counterparty depends on the credit rating of that counterparty. A counterparty must deliver collateral to the Bank if the total market value of the Bank's exposure to that counterparty rises above a specific trigger point. As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its uncleared derivative transactions with counterparties as of September 30, 2021. The Bank’s total net credit exposure to uncleared derivative counterparties is immaterial.

    Cleared Derivatives. The Bank is subject to credit risk exposure to the Clearing Houses and clearing agent. The requirement that the Bank post initial margin and exchange variation margin settlement payments, through the clearing agent, to the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount accumulated through daily settlement of the current exposure arising from changes in the market value of the position since the trade was executed. The Bank's use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral postings and variation margin settlement payments are made daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of September 30, 2021.

    The contractual or notional amount of derivative transactions reflects the involvement of the Bank in the various classes of financial instruments. The maximum credit risk of the Bank with respect to derivative transactions is the estimated cost of replacing the derivative transactions if there is a default, minus the value of any related collateral, including initial margin and variation margin settlements on cleared derivatives. In determining maximum credit risk, the Bank considers accrued interest receivables and payables as well as the netting requirements to net assets and liabilities. The following table presents the derivative positions with non-member counterparties and member institutions to which the Bank has credit exposure at September 30, 2021 and December 31, 2020.

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(in millions)	September 30, 2021
Credit Rating (1)	Notional Amount		Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	680.0	$	0.1	$	—	$	0.1
Cleared derivatives	15,926.0		—		172.7		172.7
Liability positions with credit exposure:
Uncleared derivatives
A	1,770.0		(1.2)		2.4		1.2
BBB	3,435.3		(4.0)		6.0		2.0
Total derivative positions with credit exposure to non-member counterparties	21,811.3		(5.1)		181.1		176.0
Member institutions (2)	65.3		—		—		—
Total	$	21,876.6	$	(5.1)	$	181.1	$	176.0
Derivative positions without credit exposure	2,319.2
Total notional	$	24,195.8

(in millions)	December 31, 2020
Credit Rating (1)	Notional Amount		Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit exposure:
Uncleared derivatives
A	$	805.0	$	0.3	$	—	$	0.3
Cleared derivatives	16,077.1		—		135.6		135.6
Liability positions with credit exposure:
Uncleared derivatives
A	27.3		(0.3)		0.5		0.2
BBB	234.2		(1.0)		1.2		0.2
Total derivative positions with credit exposure to non-member counterparties	17,143.6		(1.0)		137.3		136.3
Member institutions (2)	60.6		0.7		—		0.7
Total	$	17,204.2	$	(0.3)	$	137.3	$	137.0
Derivative positions without credit exposure	237.8
Total notional	$	17,442.0

Notes:

(1) This table does not reflect any changes in rating, outlook or watch status occurring after September 30, 2021. The ratings presented in this table represent the lowest long-term counterparty credit rating available for each counterparty based on the NRSROs used by the Bank.

(2) Member institutions include mortgage delivery commitments.

    The Bank annually underwrites each counterparty and country and regularly monitors NRSRO rating actions and other publications to assess credit risk and determine if there have been any changes to credit quality. This includes actively monitoring counterparties with an elevated risk profile and assessing approximate indirect exposure to foreign sovereign debt.

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Liquidity and Funding Risk

As a wholesale bank, the Bank employs financial strategies which enable it to expand and contract its assets, liabilities and capital in response to changes in member credit demand, membership composition and other market factors. In addition, the Bank is required to maintain a level of liquidity in accordance with the FHLBank Act, Finance Agency regulations and policies established by its management and board of directors. The Bank’s liquidity resources are designed to support these strategies and requirements through a focus on maintaining a liquidity and funding balance between its financial assets and financial liabilities.

Asset/Liability Maturity Profile. The Bank is focused on maintaining adequate liquidity and funding balances with its financial assets and financial liabilities, and the FHLBanks work collectively to manage system-wide liquidity and funding needs. The FHLBanks jointly monitor the combined risks, primarily by tracking the maturities of financial assets and financial liabilities. The Bank also monitors the funding balance between financial assets and financial liabilities and is committed to prudent risk management practices. External factors including member borrowing needs, supply and demand in the debt markets, and other factors may affect liquidity balances and the funding balances between financial assets and financial liabilities.

Sources of Liquidity. The Bank's primary sources of liquidity are proceeds from the issuance of consolidated obligations and a liquidity investment portfolio, as well as proceeds from the issuance of capital stock.

Consolidated Obligations. The Bank’s ability to operate its business, meet its obligations and generate net interest income depends primarily on the ability to issue large amounts of various debt structures at attractive rates. Consolidated obligation bonds and discount notes, along with member deposits and capital, represent the primary funding sources used by the Bank to support its asset base. Consolidated obligations benefit from the Bank’s GSE status; however, they are not obligations of the U.S., and the U.S. government does not guarantee them. Consolidated obligation bonds and discount notes are rated Aaa with stable outlook/P-1 by Moody’s and AA+ with stable outlook/A-1+ by S&P, as of September 30, 2021. These ratings measure the likelihood of timely payment of principal and interest. Note 6 - Consolidated Obligations to the unaudited financial statements in this Form 10-Q provides additional information regarding the Bank’s consolidated obligations.

Liquidity Investment Portfolio. The Bank’s liquidity for regulatory purposes is comprised of cash, interest-bearing deposits, certificates of deposit, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or AFS.

Contingency Liquidity. The Bank’s access to the capital markets has never been interrupted to the extent the Bank’s ability to meet its membership needs and obligations was compromised, and the Bank currently has no reason to believe that its ability to issue consolidated obligations will be impeded to that extent. Specifically, the Bank's sources of contingency liquidity include maturing overnight and short-term investments, maturing advances, unencumbered repurchase-eligible assets, trading securities, AFS securities, certificates of deposits and MBS repayments. Uses of contingency liquidity include net settlements of consolidated obligations, member loan commitments, mortgage loan purchase commitments, deposit outflows and maturing other borrowed funds. Excess contingency liquidity is calculated as the difference between sources and uses of contingency liquidity. Excess contingency liquidity was approximately $16.7 billion at September 30, 2021 and $15.7 billion at December 31, 2020.

    Funding and Debt Issuance. Changes or disruptions in the capital markets could limit the Bank’s ability to issue consolidated obligations, which could impact the Bank's liquidity and cost of funds. During the first nine months of 2021, the Bank maintained continual access to funding. Access to short-term debt markets has been reliable because investors, driven by increased liquidity preferences and risk aversion have sought the FHLBank’s short-term debt as an asset of choice, including funding indexed to Secured Overnight Financing Rate (SOFR). This has led to advantageous funding opportunities and increased utilization of debt maturing in one year or less. The FHLBanks have maintained comparatively stable access to funding through a diverse investor base at relatively favorable spreads to U.S. Treasury rates.

    Refinancing Risk. There are inherent risks in utilizing short-term funding to support longer-dated assets and the Bank may be exposed to refinancing and investor concentration risks (collectively, refinancing risk). Refinancing risk includes the risk the Bank could have difficulty in rolling over short-term obligations when market conditions change. In managing and monitoring the amounts of financial assets that require refinancing, the Bank considers their contractual maturities, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments, embedded call optionality, and scheduled amortizations). The Bank and the Office of Finance (OF) jointly monitor the combined refinancing risk of the FHLBank system. In managing and monitoring the amounts of assets that require refunding, the Bank may consider contractual maturities

35

of the financial assets, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments and scheduled amortizations).

    Interest Rate Risk. The Bank may use a portion of the short-term consolidated obligations issued to fund both short- and long-term variable rate-indexed assets. However, funding longer-term variable rate-indexed assets with shorter-term liabilities generally does not expose the Bank to interest rate risk because the rates on the variable rate-indexed assets reset similar to the liabilities. The Bank measures and monitors interest rate-risk with commonly used methods and metrics, which include the calculations of market value of equity, duration of equity, and duration gap.

    Regulatory Liquidity Requirements. The Bank is required to maintain a level of liquidity in accordance with certain Finance Agency guidance. Under these policies and guidelines, the Bank is required to maintain contingency liquidity to meet liquidity needs in an amount at least equal to its anticipated net cash outflows under certain scenarios. One scenario assumes that the Bank cannot access the capital markets for a period of 20 days and during that time members would renew any maturing, prepaid or called advances. In addition, the Bank is required to perform and report to the Finance Agency the results of an annual liquidity stress test. The Bank was in compliance with these requirements at September 30, 2021. Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2020 Form 10-K for additional information.

    Joint and Several Liability. Although the Bank is primarily liable for its portion of consolidated obligations (i.e., those issued on its behalf), the Bank is also jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on consolidated obligations of all the FHLBanks. The Finance Agency, in its discretion and notwithstanding any other provisions, may at any time order any FHLBank to make principal or interest payments due on any consolidated obligation, even in the absence of default by the primary obligor. To the extent that an FHLBank makes any payment on a consolidated obligation on behalf of another FHLBank, the paying FHLBank shall be entitled to reimbursement from the non-paying FHLBank, which has a corresponding obligation to reimburse the FHLBank to the extent of such assistance and other associated costs. However, if the Finance Agency determines that the non-paying FHLBank is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis the Finance Agency may determine. Finance Agency regulations govern the issuance of debt on behalf of the FHLBanks and authorize the FHLBanks to issue consolidated obligations, through the OF as its agent. The Bank is not permitted to issue individual debt without Finance Agency approval. See Note 6 - Consolidated Obligations of the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2020 Form 10-K for additional information.

Operational and Business Risks

    Operational Risk. Operational Risk is defined as the potential for loss resulting from inadequate or failed internal processes, people, and systems, or from external events and encompasses risks related to housing mission-related activities, including activities associated with affordable housing programs or goals. The Bank considers various sources of risk of unexpected loss, including human error, fraud, unenforceability of legal contracts, deficiencies in internal controls and/or information systems, or damage from fire, theft, natural disaster or acts of terrorism. Generally, the category of operational risk includes loss exposures of a physical or procedural nature. Specifically, operational risk includes compliance, fraud, information/transaction, legal, cyber, vendor, people, succession and model risk. The Bank has established policies and procedures to manage each of the specific operational risks.

    While the Bank’s business operations have not been significantly disrupted to date, they may be disrupted if significant portions of the Bank’s workforce are unable to work effectively due to illness, quarantines, government actions, or other restrictions in connection with the COVID-19 pandemic. The Bank is reliant on third-party vendors who are also impacted by the COVID-19 pandemic. Vendor personnel may be working remotely and/or the vendors could have a shortage of personnel. While the Bank has not materially experienced this during the pandemic to date and the Bank continues to monitor vendors, a disruption, delay or failure of a critical third-party vendor’s services as a result of these factors could impact the Bank’s operating results, and the Bank’s ability to provide services to the membership.

    Business Risk. Business risk is the possibility of an adverse impact on the Bank’s profitability or financial or business strategies resulting from external factors that may occur in the short-term and/or long-term. This risk includes the potential for strategic business constraints to be imposed through regulatory, legislative or political changes. The Bank’s Risk Management Committee monitors economic indicators and the external environment in which the Bank operates for alignment with the Bank's risk appetite.

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    The Bank continues to evaluate its risks and monitor the changes in the market as it relates to the cessation of LIBOR and the transition to an alternative rate (e.g., SOFR).  In March 2021, the FCA confirmed that key LIBOR settings will cease as of June 30, 2023. The Bank has developed a LIBOR transition plan which addresses considerations such as: exposure, fallback language, systems preparation, and balance sheet management. In addition, the Bank has changed the index upon which it bases risk measures and executive compensation from LIBOR to average Federal funds rate.

The Bank has assessed its exposure to LIBOR by developing an inventory of impacted financial instruments. The Bank manages interest rate risk between its assets and liabilities by entering into derivatives to preserve the value of and earn stable returns on its assets. These instruments may have different fallback features when LIBOR ceases. The following table presents the Bank’s LIBOR-indexed financial instruments, excluding interest rate caps, by contractual maturity as of September 30, 2021.

(in millions)	Prior to June 30, 2023		Thereafter		Total
Assets Indexed to LIBOR
Principal Amount:
Advances	$	785.0	$	93.1	$	878.1
Investments:
MBS	13.6		5,007.2		5,020.8
Derivatives Hedging Assets (Receive Leg LIBOR)
Notional Amount:
Cleared	3,921.0		1,976.4		5,897.4
Uncleared	24.5		26.0		50.5
Total Principal/Notional Amounts	$	4,744.1	$	7,102.7	$	11,846.8
Liabilities Indexed to LIBOR
Principal Amount:
Consolidated Obligations	$	545.0	$	—	$	545.0
Derivatives Hedging Liabilities (Pay Leg LIBOR)
Notional Amount:
Cleared	968.3		60.0		1,028.3
Uncleared	25.0		—		25.0
Total Principal/Notional Amounts	$	1,538.3	$	60.0	$	1,598.3

To assess trigger events requiring potential fallback language, the Bank has evaluated its contracts. As to advance contracts with its members, the Bank has added or adjusted fallback language. Similarly, fallback language has been added to consolidated obligation agreements. For derivatives, refer to Legislative and Regulatory Developments in Item 7 in the Bank's 2020 Form 10-K for more information on LIBOR transition ISDA fallbacks protocol. As to investments held by the Bank that are tied to LIBOR, the Bank is monitoring market-wide efforts to enhance fallback language for new activity and develop frameworks to address existing transactions. The operational impact of adjusting terms and conditions to reflect the fallback language may be impacted by the number of financial instruments and counterparties.

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The Bank continues to execute certain variable rate instruments that are indexed to LIBOR. The Bank is assessing its operational readiness including potential effects on core Bank systems.  From a balance sheet management perspective, the Bank has issued SOFR-indexed debt and SOFR-indexed advance products. Additionally, the Bank has been executing Overnight Index Swap (OIS) and SOFR indexed derivatives as alternative interest rate hedging strategies. The following table presents the Bank’s variable rate financial instruments, excluding interest rate caps, by index as of September 30, 2021.

(in millions)	LIBOR		SOFR		OIS		Other		Total
Assets Indexed to a Variable Rate
Principal Amount:
Advances	$	878.1	$	50.7	$	—	$	40.1	$	968.9
Investments:
MBS	5,020.8		223.4		—		74.4		5,318.6
Derivatives Hedging Assets (Receive Leg Variable Rate)
Notional Amount	5,947.9		6,802.4		1,031.9		—		13,782.2
Total Principal/Notional Amounts	$	11,846.8	$	7,076.5	$	1,031.9	$	114.5	$	20,069.7
Liabilities Indexed to a Variable Rate
Principal Amount:
Consolidated Obligations	$	545.0	$	1,125.0	$	—	$	—	$	1,670.0
Derivatives Hedging Liabilities (Pay Leg Variable Rate)
Notional Amount	1,053.3		7,370.0		900.0		—		9,323.3
Total Principal/Notional Amounts	$	1,598.3	$	8,495.0	$	900.0	$	—	$	10,993.3

On July 1, 2021, the Finance Agency issued a Supervisory Letter to the FHLBanks regarding its expectations regarding an FHLBank’s use of alternative rates other than SOFR or other rates currently used by the Bank. The Supervisory Letter provides guidance on considerations, such as volume of underlying transactions, credit sensitivity, modeling risk and others, that an FHLBank should take into account prior to employing an alternative reference rate. In addition, if the Bank intends to use an alternative rate not already used, it needs to provide notice to the Finance Agency.

For additional information on operating and business risks to the Bank associated with the LIBOR transition, including those items that are dependent actions by third parties and developments in the market, see Risk Factors in Item 1A and the "Operating and Business Risks" discussion in the Risk Management section and Legislative and Regulatory Developments of Item 7. in the Bank's 2020 Form 10-K as well as Legislative and Regulatory Developments in Item 2. in this Form 10-Q.

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Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statements of Income (unaudited)

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Interest income:
Advances	$	31,298	$	95,201	$	112,582	$	548,953
Interest-bearing deposits	214		638		800		6,005
Securities purchased under agreements to resell	185		294		449		7,923
Federal funds sold	692		1,000		2,004		27,454
Trading securities	2,972		9,055		11,548		41,786
Available-for-sale (AFS) securities	23,769		31,996		74,066		138,565
Held-to-maturity (HTM) securities	7,746		11,816		25,871		43,932
Mortgage loans held for portfolio	31,996		35,932		95,114		121,561
Total interest income	98,872		185,932		322,434		936,179
Interest expense:
Consolidated obligations - discount notes	1,378		16,980		5,473		175,414
Consolidated obligations - bonds	53,035		80,579		172,777		462,006
Deposits	122		26		186		1,827
Mandatorily redeemable capital stock and other borrowings	670		4,072		3,437		14,127
Total interest expense	55,205		101,657		181,873		653,374
Net interest income	43,667		84,275		140,561		282,805
Provision (reversal) for credit losses	(874)		1,243		(2,292)		5,635
Net interest income after provision (reversal) for credit losses	44,541		83,032		142,853		277,170
Other noninterest income (loss):
Net gains (losses) on investment securities (Note 2)	(3,113)		(5,323)		(15,827)		53,868
Net gains (losses) on derivatives and hedging activities (Note 5)	(411)		3,589		5,323		(97,685)
Standby letters of credit fees	5,905		5,407		17,465		16,019
Other, net	1,240		1,405		3,078		1,688
Total other noninterest income (loss)	3,621		5,078		10,039		(26,110)
Other expense:
Compensation and benefits	11,220		12,844		38,431		39,190
Other operating	8,939		7,871		25,312		29,869
Finance Agency	1,617		1,894		4,852		5,688
Office of Finance	1,133		1,243		3,434		3,995
Total other expense	22,909		23,852		72,029		78,742
Income before assessments	25,253		64,258		80,863		172,318
Affordable Housing Program (AHP) assessment	2,592		6,833		8,430		18,644
Net income	$	22,661	$	57,425	$	72,433	$	153,674

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

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Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income (unaudited)

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Net income	$	22,661	$	57,425	$	72,433	$	153,674
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities	(1,284)		26,384		(13,058)		47,574
Reclassification of net (gains) included in net income relating to hedging activities	—		—		—		(149)
Pension and post-retirement benefits	196		171		2,048		1,208
Total other comprehensive income (loss)	(1,088)		26,555		(11,010)		48,633
Total comprehensive income	$	21,573	$	83,980	$	61,423	$	202,307

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

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Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)

(in thousands)	September 30, 2021		December 31, 2020
ASSETS
Cash and due from banks	$	1,119,508	$	1,036,459
Interest-bearing deposits (Note 2)	553,458		956,628
Federal funds sold (Note 2)	2,475,000		1,850,000
Securities purchased under agreements to resell (Note 2)	1,000,000		600,000
Investment securities: (Note 2)
Trading securities	508,517		1,156,003
AFS securities, net; amortized cost of $12,059,746 and $9,335,210, respectively	12,188,192		9,476,385
HTM securities; fair value of $1,360,318 and $2,557,128, respectively	1,315,420		2,483,730
Total investment securities	14,012,129		13,116,118
Advances (Note 3)	12,987,117		24,971,119
Mortgage loans held for portfolio, net (Note 4)	4,780,274		4,886,207
Banking on Business (BOB) loans, net	23,227		21,236
Accrued interest receivable	77,573		90,702
Derivative assets (Note 5)	176,035		137,042
Other assets	43,251		47,380
Total assets	$	37,247,572	$	47,712,891

LIABILITIES AND CAPITAL
Liabilities
Deposits	$	965,933	$	923,371
Consolidated obligations: (Note 6)
Discount notes	12,108,212		9,510,085
Bonds	21,125,761		33,854,754
Total consolidated obligations	33,233,973		43,364,839
Mandatorily redeemable capital stock (Note 7)	23,273		142,807
Accrued interest payable	64,787		64,950
AHP payable	86,856		102,186
Derivative liabilities (Note 5)	12,585		4,459
Other liabilities	135,177		68,361
Total liabilities	34,522,584		44,670,973
Commitments and contingencies (Note 10)
Capital (Note 7)
Capital stock - putable ($100 par value) issued and outstanding      12,017 and 15,278 shares, respectively	1,201,698		1,527,841
Retained earnings:
Unrestricted	939,596		919,373
Restricted	457,378		457,378
Total retained earnings	1,396,974		1,376,751
Accumulated Other Comprehensive Income (AOCI)	126,316		137,326
Total capital	2,724,988		3,041,918
Total liabilities and capital	$	37,247,572	$	47,712,891

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

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Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows (unaudited)

	Nine months ended September 30,
(in thousands)	2021		2020
OPERATING ACTIVITIES
Net income	$	72,433	$	153,674
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	9,175		(36,491)
Net change in derivatives and hedging activities	196,913		(281,783)
Net change in fair value adjustments on trading securities	15,827		—
Other adjustments, net	(846)		7,148
Net change in:
Trading securities	—		2,344,102
Accrued interest receivable	13,138		88,926
Other assets	2,060		(203)
Accrued interest payable	(163)		(111,764)
Other liabilities	(26,849)		(9,368)
Net cash provided by (used in) operating activities	$	281,688	$	2,154,241
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $353 and $(2,118) from (to) other FHLBanks)	$	357,530	$	370,279
Federal funds sold	(625,000)		1,820,000
Securities purchased under agreements to resell	(400,000)		850,000
Trading securities:
Proceeds	1,026,553		—
Purchases	(399,875)		—
AFS securities:
Proceeds	1,841,239		1,756,311
Purchases	(4,550,532)		(643,733)
HTM securities:
Proceeds	1,663,579		1,155,297
Purchases	(500,000)		(728,986)
Advances:
Repaid	24,135,278		318,795,536
Originated	(12,301,266)		(288,839,498)
Mortgage loans held for portfolio:
Proceeds	1,209,685		1,073,253
Purchases	(1,128,656)		(1,067,877)
Other investing activities, net	(1,631)		(295)
Net cash provided by (used in) investing activities	$	10,326,904	$	34,540,287
The accompanying notes are an integral part of these financial statements.

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Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited)
(continued)
	Nine months ended September 30,
(in thousands)	2021		2020
FINANCING ACTIVITIES
Net change in deposits	$	42,840	$	411,903
Net proceeds from issuance of consolidated obligations:
Discount notes	97,758,921		201,685,063
Bonds	17,583,228		35,760,761
Payments for maturing and retiring consolidated obligations:
Discount notes	(95,159,250)		(210,792,258)
Bonds	(30,253,395)		(60,971,215)
Proceeds from issuance of capital stock	560,153		2,706,902
Payments for repurchase/redemption of capital stock	(885,227)		(3,842,070)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(120,603)		(159,980)
Cash dividends paid	(52,210)		(137,194)
Partial recovery of prior capital distribution to Financing Corporation	—		8,541
Net cash provided by (used in) financing activities	$	(10,525,543)	$	(35,329,547)
Net increase (decrease) in cash and due from banks	$	83,049	$	1,364,981
Cash and due from banks at beginning of the period	1,036,459		21,490
Cash and due from banks at end of the period	$	1,119,508	$	1,386,471
Supplemental disclosures:
Interest paid	$	211,473	$	795,385
AHP payments	23,761		23,791
Non-cash activities:
Capital stock reclassified to mandatorily redeemable capital stock	1,069		39,457

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

43

Federal Home Loan Bank of Pittsburgh

Statements of Changes in Capital (unaudited)

	Capital Stock - Putable			Retained Earnings
(in thousands)	Shares	Par Value		Unrestricted		Restricted		Total		AOCI		Total Capital
June 30, 2020	23,714	$	2,371,420	$	898,980	$	434,538	$	1,333,518	$	113,904	$	3,818,842
Comprehensive income	—	—		45,940		11,485		57,425		26,555		83,980
Issuance of capital stock	2,256	225,546		—		—		—		—		225,546
Repurchase/redemption of capital stock	(7,166)	(716,595)		—		—		—		—		(716,595)
Cash dividends	—	—		(39,795)		—		(39,795)		—		(39,795)
September 30, 2020	18,804	$	1,880,371	$	905,125	$	446,023	$	1,351,148	$	140,459	$	3,371,978
June 30, 2021	12,030	$	1,202,989	$	929,737	$	457,378	$	1,387,115	$	127,404	$	2,717,508
Comprehensive income	—	—		22,661		—		22,661		(1,088)		21,573
Issuance of capital stock	1,928	192,791		—		—		—		—		192,791
Repurchase/redemption of capital stock	(1,930)	(193,013)		—		—		—		—		(193,013)
Shares reclassified to mandatorily     redeemable capital stock	(11)	(1,069)		—		—		—		—		(1,069)
Cash dividends	—	—		(12,802)		—		(12,802)		—		(12,802)
September 30, 2021	12,017	$	1,201,698	$	939,596	$	457,378	$	1,396,974	$	126,316	$	2,724,988
	Capital Stock - Putable			Retained Earnings
(in thousands)	Shares	Par Value		Unrestricted		Restricted		Total		AOCI		Total Capital
December 31, 2019	30,550	$	3,054,996	$	910,726	$	415,288	$	1,326,014	$	91,826	$	4,472,836
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13	—	—		113		—		113		—		113
Comprehensive income	—	—		122,939		30,735		153,674		48,633		202,307
Issuance of capital stock	27,069	2,706,902		—		—		—		—		2,706,902
Repurchase/redemption of capital stock	(38,421)	(3,842,070)		—		—		—		—		(3,842,070)
Shares reclassified to mandatorily    redeemable capital stock	(394)	(39,457)		—		—		—		—		(39,457)
Partial recovery of prior capital distribution to Financing Corporation	—	—		8,541		—		8,541		—		8,541
Cash dividends	—	—		(137,194)		—		(137,194)		—		(137,194)
September 30, 2020	18,804	$	1,880,371	$	905,125	$	446,023	$	1,351,148	$	140,459	$	3,371,978
December 31, 2020	15,278	$	1,527,841	$	919,373	$	457,378	$	1,376,751	$	137,326	$	3,041,918
Comprehensive income	—	—		72,433		—		72,433		(11,010)		61,423
Issuance of capital stock	5,602	560,153		—		—		—		—		560,153
Repurchase/redemption of capital stock	(8,852)	(885,227)		—		—		—		—		(885,227)
Shares reclassified to mandatorily     redeemable capital stock	(11)	(1,069)		—		—		—		—		(1,069)
Cash dividends	—	—		(52,210)		—		(52,210)		—		(52,210)
September 30, 2021	12,017	$	1,201,698	$	939,596	$	457,378	$	1,396,974	$	126,316	$	2,724,988

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

44

Federal Home Loan Bank of Pittsburgh

Notes to Unaudited Financial Statements

Background Information

The Bank, a federally chartered corporation, is one of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock.

All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 8 - Transactions with Related Parties for additional information.

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits.

As provided by the Federal Home Loan Bank Act (FHLBank Act) or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF® Program and purchase certain investments. See Note 6 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2020 included in the Bank's 2020 Form 10-K.

45

Notes to Unaudited Financial Statements (continued)

Note 1 – Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

    The Bank adopted the following new accounting standards during the nine months ended September 30, 2021.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2020-08: Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs	This ASU clarifies that an entity should reevaluate for each reporting period whether a callable debt security is within the scope of certain guidance in ASC 310-20 that was issued in ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities	This ASU was effective for the Bank beginning January 1, 2021 and will be applied on a prospective basis for existing or newly purchased callable debt securities.	The adoption of this ASU did not have a significant impact on the Bank's financial statements.

    The Bank did not have any recently issued accounting standards which may have an impact on the Bank for the nine months ended September 30, 2021.

Note 2 – Investments

The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below.

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

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO.

Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2021 and December 31, 2020, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day.

At September 30, 2021 and December 31, 2020, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Debt Securities

The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank is prohibited by Finance Agency regulations from

46

Notes to Unaudited Financial Statements (continued)

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.

    Trading Securities. The following table presents trading securities as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
U.S. Treasury obligations	$	261,870	$	899,421
GSE and TVA obligations	246,647		256,582
Total	$	508,517	$	1,156,003

The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2021 and 2020.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Net unrealized gains (losses) on trading securities held at period-end	$	(2,979)	$	(3,447)	$	(13,087)	$	28,640
Net gains (losses) on trading securities sold/matured during the period	(134)		(1,876)		(2,740)		25,228
Net gains (losses) on trading securities	$	(3,113)	$	(5,323)	$	(15,827)	$	53,868

AFS Securities. The following tables present AFS securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	4,396,710	$	—	$	8,691	$	(44)	$	4,405,357
GSE and TVA obligations	1,473,234		—		46,122		—		1,519,356
State or local agency obligations	212,164		—		8,766		—		220,930
Total non-MBS	$	6,082,108	$	—	$	63,579	$	(44)	$	6,145,643
MBS:
U.S. obligations single-family MBS	$	431,963	$	—	$	5,382	$	(51)	$	437,294
GSE single-family MBS	2,281,070		—		22,269		(260)		2,303,079
GSE multifamily MBS	3,091,172		—		6,708		(1,407)		3,096,473
Private label MBS	173,433		(2,088)		34,445		(87)		205,703
Total MBS	$	5,977,638	$	(2,088)	$	68,804	$	(1,805)	$	6,042,549
Total AFS securities	$	12,059,746	$	(2,088)	$	132,383	$	(1,849)	$	12,188,192

47

Notes to Unaudited Financial Statements (continued)

	December 31, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
GSE and TVA obligations	$	1,590,661	$	—	$	53,072	$	—	$	1,643,733
State or local agency obligations	227,248		—		14,382		—		241,630
Total non-MBS	$	1,817,909	$	—	$	67,454	$	—	$	1,885,363
MBS:
U.S. obligations single-family MBS	$	595,215	$	—	$	6,994	$	(61)	$	602,148
GSE single-family MBS	3,237,124		—		25,969		(213)		3,262,880
GSE multifamily MBS	3,466,937		—		10,235		(3,778)		3,473,394
Private label MBS	218,025		(2,417)		37,149		(157)		252,600
Total MBS	$	7,517,301	$	(2,417)	$	80,347	$	(4,209)	$	7,591,022
Total AFS securities	$	9,335,210	$	(2,417)	$	147,801	$	(4,209)	$	9,476,385

Notes:

(1) 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

The following tables summarize the AFS securities with unrealized losses as of September 30, 2021 and December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2021
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	99,418	$	(44)	$	—	$	—	$	99,418	$	(44)
MBS:
U.S. obligations single-family MBS	$	21,512	$	(51)	$	—	$	—	$	21,512	$	(51)
GSE single-family MBS	149,651		(260)		—		—		149,651		(260)
GSE multifamily MBS	467,068		(555)		524,485		(852)		991,553		(1,407)
Private label MBS	70		(1)		2,463		(86)		2,533		(87)
Total MBS	$	638,301	$	(867)	$	526,948	$	(938)	$	1,165,249	$	(1,805)
Total	$	737,719	$	(911)	$	526,948	$	(938)	$	1,264,667	$	(1,849)

	December 31, 2020
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	8,591	$	(17)	$	25,713	$	(44)	$	34,304	$	(61)
GSE single-family MBS	54,657		(21)		217,942		(192)		272,599		(213)
GSE multifamily MBS	156,006		(70)		2,276,207		(3,708)		2,432,213		(3,778)
Private label MBS	1,767		(10)		2,631		(147)		4,398		(157)
Total MBS	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)
Total	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)

48

Notes to Unaudited Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	196,493	$	198,694	$	73,115	$	73,276
Due after one year through five years	3,031,519		3,041,043		570,540		581,853
Due after five years through ten years	2,590,569		2,629,311		789,408		820,239
Due after ten years	263,527		276,595		384,846		409,995
Total non-MBS	6,082,108		6,145,643		1,817,909		1,885,363
MBS	5,977,638		6,042,549		7,517,301		7,591,022
Total AFS securities	$	12,059,746	$	12,188,192	$	9,335,210	$	9,476,385

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of AFS non-MBS:
Fixed-rate	$	6,082,108	$	1,817,909
Variable-rate	—		—
Total non-MBS	$	6,082,108	$	1,817,909
Amortized cost of AFS MBS:
Fixed-rate	$	887,774	$	1,382,062
Variable-rate	5,089,864		6,135,239
Total MBS	$	5,977,638	$	7,517,301
Total amortized cost of AFS securities	$	12,059,746	$	9,335,210

    HTM Securities. The following tables present HTM securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
MBS:
U.S. obligations single-family MBS	$	90,598	$	1,218	$	—	$	91,816
GSE single-family MBS	635,540		10,776		(6,925)		639,391
GSE multifamily MBS	513,475		39,514		—		552,989
Private label MBS	75,807		814		(499)		76,122
Total MBS	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318
Total HTM securities (2)	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318

49

Notes to Unaudited Financial Statements (continued)

	December 31, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
Non-MBS:
Certificates of deposit	$	750,000	$	77	$	—	$	750,077
MBS:
U.S. obligations single-family MBS	$	120,539	$	1,213	$	—	$	121,752
GSE single-family MBS	989,824		20,337		(1,053)		1,009,108
GSE multifamily MBS	530,240		53,555		—		583,795
Private label MBS	93,127		582		(1,313)		92,396
Total MBS	$	1,733,730	$	75,687	$	(2,366)	$	1,807,051
Total HTM securities (2)	$	2,483,730	$	75,764	$	(2,366)	$	2,557,128

Notes:

(1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

(2) No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020.

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	750,000	$	750,077
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		—		—
Due after ten years	—		—		—		—
Total non-MBS	—		—		750,000		750,077
MBS	1,315,420		1,360,318		1,733,730		1,807,051
Total HTM securities	$	1,315,420	$	1,360,318	$	2,483,730	$	2,557,128

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	750,000
Variable-rate	—		—
Total non-MBS	$	—	$	750,000
Amortized cost of HTM MBS:
Fixed-rate	$	1,129,418	$	1,493,149
Variable-rate	186,002		240,581
Total MBS	$	1,315,420	$	1,733,730
Total HTM securities	$	1,315,420	$	2,483,730

    Debt Securities ACL. For HTM securities, there was no ACL at September 30, 2021 and December 31, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at September 30, 2021 and December 31, 2020.

50

Notes to Unaudited Financial Statements (continued)

AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the three and nine months ended September 30, 2021 and 2020.

	Private label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	2,624	$	1,574	$	2,417	$	—
Increases (decreases) for securities in which a previous ACL or OTTI was recorded	(536)		117		(329)		1,691
Balance, end of period	$	2,088	$	1,691	$	2,088	$	1,691

Debt Securities ACL Methodology. To evaluate investment securities for credit losses at September 30, 2021, the Bank employs the following methodologies by major security type.

Certificates of Deposits. The Bank invests in short-term investments, such as certificates of deposits, primarily to manage liquidity. The Bank’s certificates of deposits, which are unsecured, have original contractual maturities of one year or less. The Bank only purchases certificates of deposits considered investment quality. The Bank did not own certificates of deposits at September 30, 2021. Due to their short duration, high credit quality, and insignificant expected credit losses, no ACL was recorded on certificates of deposits at December 31, 2020.

GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at September 30, 2021 or December 31, 2020.

The Bank only purchases GSE and other U.S. obligations considered investment quality. At September 30, 2021, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments.

    The Bank only purchases state or local agency obligations considered investment quality. At September 30, 2021, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At September 30, 2021 and December 31, 2020, the Bank expected to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations.

    Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of September 30, 2021, 21.4% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses.

The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as:

•the remaining payment terms for the security;

•prepayment speeds based on underlying loan-level borrower and loan characteristics;

•expected default rates based on underlying borrower and loan characteristics;

•expected loss severity based on underlying borrower and loan characteristics;

51

Notes to Unaudited Financial Statements (continued)

•expected housing price changes; and

•expected interest-rate assumptions.

The Bank performed a cash flow analysis using a third-party model to assess whether the entire amortized cost basis of its private label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of the model can vary with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast.

Note 3 – Advances

    General Terms. The Bank offers a wide-range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from overnight to 30 years. Variable-rate advances generally have maturities ranging up to five years, and the interest rates reset periodically at a fixed spread to LIBOR or SOFR.

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021				December 31, 2020
Year of Redemption	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	8,139,089	1.54	%	$	14,760,790	0.84	%
Due after 1 year through 2 years	2,194,831		2.29		5,878,635		2.25
Due after 2 years through 3 years	1,031,406		1.79		1,584,471		2.08
Due after 3 years through 4 years	1,116,493		2.02		1,126,992		1.85
Due after 4 years through 5 years	219,231		1.09		1,163,781		1.91
Thereafter	187,205		2.54		210,220		2.55
Total par value	12,888,255		1.74	%	24,724,889		1.37	%
Deferred prepayment fees	(1,035)				(3,673)
Hedging adjustments	99,897				249,903
Total book value (1)	$	12,987,117			$	24,971,119

Notes:

(1) Amounts exclude accrued interest receivable of $25.4 million and $36.6 million at September 30, 2021 and December 31, 2020.

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity, fixed-rate advance without the conversion feature. In addition, the Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances).

At September 30, 2021 and December 31, 2020, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

52

Notes to Unaudited Financial Statements (continued)

The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2021 and December 31, 2020.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Due in 1 year or less	$	8,179,089	$	14,860,790	$	8,159,089	$	14,780,790
Due after 1 year through 2 years	2,194,831		5,818,635		2,188,831		5,878,635
Due after 2 years through 3 years	991,406		1,584,471		1,031,406		1,578,471
Due after 3 years through 4 years	1,116,493		1,086,992		1,102,493		1,121,992
Due after 4 years through 5 years	219,231		1,163,781		219,231		1,154,781
Thereafter	187,205		210,220		187,205		210,220
Total par value	$	12,888,255	$	24,724,889	$	12,888,255	$	24,724,889

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate – overnight	$	239,667	$	37,225
Fixed-rate – term:
Due in 1 year or less	7,073,579		6,658,991
Thereafter	4,606,066		9,810,998
Total fixed-rate	11,919,312		16,507,214
Variable-rate:
Due in 1 year or less	825,843		8,064,575
Thereafter	143,100		153,100
Total variable-rate	968,943		8,217,675
Total par value	$	12,888,255	$	24,724,889

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of September 30, 2021, the Bank had advances of $7.6 billion outstanding to the five largest borrowers, which represented 58.7% of the total principal amount of advances outstanding. Of these five, one had outstanding advance balances that were in excess of 10% of the total portfolio at September 30, 2021.

As of December 31, 2020, the Bank had advances of $15.2 billion outstanding to the five largest borrowers, which represented 61.4% of the total principal amount of advances outstanding. Of these five, three had outstanding advance balances that were in excess of 10% of the total portfolio at December 31, 2020.

Advances ACL. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower and an ongoing review of each borrower’s financial condition in conjunction with the Bank's collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs.

In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank primarily accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower.

53

Notes to Unaudited Financial Statements (continued)

The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products.

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member's financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party, except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At September 30, 2021 and December 31, 2020, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit.

    The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At September 30, 2021 and December 31, 2020, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs.

The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at September 30, 2021 or December 31, 2020.

54

Notes to Unaudited Financial Statements (continued)

Note 4 – Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 8 for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2021 and December 31, 2020 for mortgage loans held for portfolio.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate long-term single-family mortgages (1)	$	4,512,619	$	4,610,761
Fixed-rate medium-term single-family mortgages (1)	177,370		181,535
Total par value	4,689,989		4,792,296
Premiums	87,316		87,424
Discounts	(1,907)		(2,439)
Hedging adjustments	7,749		13,898
Total mortgage loans held for portfolio (2)	$	4,783,147	$	4,891,179
Allowance for credit losses on mortgage loans	(2,873)		(4,972)
Mortgage loans held for portfolio, net	$	4,780,274	$	4,886,207

Note:

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

(2) Amounts exclude accrued interest receivable of $22.6 million at September 30, 2021 and $25.7 million at December 31, 2020.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Conventional loans	$	4,552,754	$	4,633,848
Government-guaranteed/insured loans	137,235		158,448
Total par value	$	4,689,989	$	4,792,296

Purchases, Sales and Reclassifications. During the nine months ended September 30, 2021 and 2020, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.

55

Notes to Unaudited Financial Statements (continued)

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2017		2017 to 2021		Total
Past due 30-59 days	$	11,005	$	16,002	$	27,007
Past due 60-89 days	2,245		3,591		5,836
Past due 90 days or more	13,853		23,800		37,653
Total past due loans	$	27,103	$	43,393	$	70,496
Current loans	1,209,257		3,362,793		4,572,050
Total conventional loans (2)	$	1,236,360	$	3,406,186	$	4,642,546
	December 31, 2020
	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	14,211	$	26,825	$	41,036
Past due 60-89 days	5,719		10,950		16,669
Past due 90 days or more	18,070		61,185		79,255
Total past due loans	$	38,000	$	98,960	$	136,960
Current loans	1,132,774		3,458,941		4,591,715
Total conventional loans (3)	$	1,170,774	$	3,557,901	$	4,728,675

Note:

(1) The amortized cost at September 30, 2021 and December 31, 2020 excludes accrued interest receivable.

(2) Includes approximately $32.6 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $0.9 million was current, $4.3 million was 30-59 days past due, $2.5 million was 60-89 days past due, and $24.9 million was 90 days or more past due at September 30, 2021.

(3) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	2,094		$	516		$	2,610
Serious delinquency rate (2)	0.8		%	2.5		%	0.9		%
Past due 90 days or more still accruing interest	$	—		$	3,502		$	3,502
Loans on nonaccrual status (3)	$	42,112		$	—		$	42,112
	December 31, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	8,238		$	1,667		$	9,905
Serious delinquency rate (2)	1.7		%	3.7		%	1.8		%
Past due 90 days or more still accruing interest	$	—		$	5,483		$	5,483
Loans on nonaccrual status (3)	$	91,201		$	—		$	91,201

Note:

56

Notes to Unaudited Financial Statements (continued)

(1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

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

(3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Mortgage Loans Held for Portfolio ACL. Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results.

The estimated credit loss on collateral dependent loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral is determined based on a value provided by a third-party’s retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. Expected recoveries of prior charge-offs, as determined by a third-party model, if any, are included in the allowance for credit losses.

Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Summary of Significant Accounting Policies in the Bank's 2020 Form 10-K.

The par value of conventional loans in a forbearance or repayment plan as a result of the COVID-19 pandemic was $32.6 million at September 30, 2021 and $83.9 million at December 31, 2020. These amounts represented 0.7% of mortgage loans held for portfolio at September 30, 2021 and 1.8% at December 31, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 89% and 93% of the loans were not deemed to be collateral dependent and not charged-off as of September 30, 2021 and December 31, 2020, respectively.

Conventional MPF - Expected Recoveries. The Bank recognizes a recovery through the provision for credit losses when expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition.

Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment.

57

Notes to Unaudited Financial Statements (continued)

Conventional MPF - Rollforward of ACL

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	3,225	$	5,900	$	4,972	$	7,832
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—		—		(3,875)
(Charge-offs) Recoveries, net (2)	27		(584)		533		(428)
Provision (reversal) for credit losses	(379)		1,338		(2,632)		3,125
Balance, September 30	$	2,873	$	6,654	$	2,873	$	6,654

Note:

(1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

(2) Net charge-offs that the Bank does not expect to recover through CE receivable.

Government-Guaranteed or Insured Mortgage Loans. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed or insured mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or insured mortgage loans at September 30, 2021 or December 31, 2020. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

Real Estate Owned (REO). The Bank had $0.4 million and $0.8 million of REO reported in Other assets on the Statement of Condition at September 30, 2021 and December 31, 2020, respectively.

58

Notes to Unaudited Financial Statements (continued)

Note 5 – Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank'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 Bank has established policies and procedures that include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. For additional information on the Bank's derivative transactions, see Note 7 - Derivatives and Hedging Activities to the audited financial statements in the Bank's 2020 Form 10-K.

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 Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives 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.

	September 30, 2021
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	21,953,509	$	3,965	$	22,074
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,151,988	$	710	$	2,163
Interest rate caps or floors	1,025,000		1,243		—
Mortgage delivery commitments	65,331		1		359
Total derivatives not designated as hedging instruments:	$	2,242,319	$	1,954	$	2,522
Total derivatives before netting and collateral adjustments	$	24,195,828	$	5,919	$	24,596
Netting adjustments and cash collateral (1)			170,116		(12,011)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	176,035	$	12,585

	December 31, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	14,307,383	$	1,494	$	5,193
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,868,988	$	71	$	2,386
Interest rate caps or floors	1,205,000		1,173		—
Mortgage delivery commitments	60,622		675		11
Total derivatives not designated as hedging instruments:	$	3,134,610	$	1,919	$	2,397
Total derivatives before netting and collateral adjustments	$	17,441,993	$	3,413	$	7,590
Netting adjustments and cash collateral (1)			133,629		(3,131)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	137,042	$	4,459

Note:

59

Notes to Unaudited Financial Statements (continued)

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $183.5 million for September 30, 2021 and $137.9 million for December 31, 2020. Cash collateral received was $1.4 million for September 30, 2021 and $1.1 million for December 31, 2020.

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2021
Hedged item type:
Advances	$	34,946	$	(35,065)	$	(33,835)	$	(33,954)	$	31,298
AFS securities	26,630		(26,434)		(14,422)		(14,226)		23,769
Mortgage loans held for portfolio	—		(823)		—		(823)		31,996
Consolidated obligations – bonds	(15,405)		15,370		15,950		15,915		(53,035)
Total	$	46,171	$	(46,952)	$	(32,307)	$	(33,088)
Nine months ended September 30, 2021
Hedged item type:
Advances	$	149,894	$	(150,010)	$	(108,662)	$	(108,778)	$	112,582
AFS securities	66,531		(65,003)		(32,560)		(31,032)		74,066
Mortgage loans held for portfolio	—		(2,844)		—		(2,844)		95,114
Consolidated obligations – bonds	(35,880)		35,904		32,093		32,117		(172,777)
Total	$	180,545	$	(181,953)	$	(109,129)	$	(110,537)

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2020
Hedged item type:
Advances	$	124,582	$	(124,569)	$	(69,603)	$	(69,590)	$	95,201
AFS securities	9,402		(8,918)		(7,070)		(6,586)		31,996
Mortgage loans held for portfolio	—		(1,035)		—		(1,035)		35,932
Consolidated obligations – bonds	(21,443)		21,693		21,635		21,885		(80,579)
Total	$	112,541	$	(112,829)	$	(55,038)	$	(55,326)
Nine months ended September 30, 2020
Hedged item type:
Advances	$	(188,539)	$	188,424	$	(136,712)	$	(136,827)	$	548,953
AFS securities	(103,292)		100,135		(13,734)		(16,891)		138,565
Mortgage loans held for portfolio	—		(2,118)		—		(2,118)		121,561
Consolidated obligations – bonds	4,938		(4,287)		54,393		55,044		(462,006)
	$	(286,893)	$	282,154	$	(96,053)	$	(100,792)

60

Notes to Unaudited Financial Statements (continued)

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2021
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	7,545,407	$	99,918	$	(21)	$	99,897
AFS securities	5,783,783		66,484		1,047		67,531
Consolidated obligations – bonds	8,762,313		(11,098)		180		(10,918)

(in thousands)	December 31, 2020
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	10,369,813	$	249,927	$	(24)	$	249,903
AFS securities	1,507,492		131,386		1,148		132,534
Consolidated obligations – bonds	2,838,505		24,701		284		24,985

Note:

(1) Includes carrying value of hedged items in current fair value hedging relationships.

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	348	$	4,588	$	14,021	$	(92,864)
Interest rate caps or floors	227		(57)		69		578
Net interest settlements	(640)		(1,726)		(4,860)		(8,891)
To Be Announced (TBA)	—		—		—		38
Mortgage delivery commitments	(349)		772		(3,916)		3,138
Other	—		(1)		—		148
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(414)	$	3,576	$	5,314	$	(97,853)
Other - price alignment amount on cleared derivatives (1)	3		13		9		168
Net gains (losses) on derivatives and hedging activities	$	(411)	$	3,589	$	5,323	$	(97,685)

Notes:

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

The Bank had no active cash flow hedging relationships during the first nine months of 2021 or 2020.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.

Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives.

61

Notes to Unaudited Financial Statements (continued)

Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at September 30, 2021 was $0.7 million. The Bank had no collateral posted against this position and even if the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would not have been required to deliver additional collateral to its derivative counterparties at September 30, 2021.

    Cleared Derivatives. For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing Houses notify the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses either CME Clearing or LCH Ltd. as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as settled to market, rather than collateral. Initial margin is considered collateralized to market.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 9 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

    For cleared derivatives, the Clearing House 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. The Bank was not required by its clearing agents to post additional initial margin at September 30, 2021.

    Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

62

Notes to Unaudited Financial Statements (continued)

    The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,680	$	2,355
Cleared derivatives	238		383
Total gross recognized amount	5,918		2,738
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(2,384)		(1,632)
Cleared derivatives	172,500		135,261
Total gross amounts of netting adjustments and cash collateral	170,116		133,629
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	3,296		723
Cleared derivatives	172,738		135,644
Total net amounts after netting adjustments and cash collateral	176,034		136,367
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	1		675
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	1		675
Total derivative assets:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total derivative assets as reported in the Statement of Condition	176,035		137,042
Net unsecured amount:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total net unsecured amount	$	176,035	$	137,042

63

Notes to Unaudited Financial Statements (continued)

	Derivative Liabilities
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,405	$	4,282
Cleared derivatives	10,832		3,297
Total gross recognized amount	24,237		7,579
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(11,773)		(2,748)
Cleared derivatives	(238)		(383)
Total gross amounts of netting adjustments and cash collateral	(12,011)		(3,131)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,632		1,534
Cleared derivatives	10,594		2,914
Total net amounts after netting adjustments and cash collateral	12,226		4,448
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	359		11
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	359		11
Total derivative liabilities
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total derivative liabilities as reported in the Statement of Condition	12,585		4,459
Net unsecured amount:
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total net unsecured amount	$	12,585	$	4,459

Note:

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

64

Notes to Unaudited Financial Statements (continued)

Note 6 – Consolidated Obligations

Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor.

Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. If the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. However, the Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations was $641.4 billion at September 30, 2021 and $746.8 billion at December 31, 2020. Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 9 to the audited financial statements in the Bank's 2020 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Par value of consolidated bonds:
Fixed-rate	$	18,288,620	$	17,148,965
Step-up	1,146,000		40,000
Floating-rate	1,645,000		16,561,250
Total par value	21,079,620		33,750,215
Bond premiums	69,081		91,225
Bond discounts	(7,943)		(7,524)
Concession fees	(4,079)		(4,147)
Hedging adjustments	(10,918)		24,985
Total book value	$	21,125,761	$	33,854,754

65

Notes to Unaudited Financial Statements (continued)

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2021 and December 31, 2020.

	September 30, 2021				December 31, 2020
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	7,240,445	1.23	%	$	24,233,615	0.49	%
Due after 1 year through 2 years	2,251,650		1.83		3,024,625		2.19
Due after 2 years through 3 years	1,804,625		1.77		1,545,000		2.33
Due after 3 years through 4 years	1,477,625		1.41		1,164,475		2.41
Due after 4 years through 5 years	4,553,300		1.03		961,725		1.69
Thereafter	3,751,975		1.87		2,820,775		2.05
Total par value	$	21,079,620	1.42	%	$	33,750,215	0.96	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Noncallable	$	13,542,620	$	28,583,715
Callable	7,537,000		5,166,500
Total par value	$	21,079,620	$	33,750,215

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2021 and December 31, 2020.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2021		December 31, 2020
Due in 1 year or less	$	14,436,445	$	25,737,615
Due after 1 year through 2 years	2,449,650		3,038,625
Due after 2 years through 3 years	1,217,625		1,602,000
Due after 3 years through 4 years	864,625		1,089,475
Due after 4 years through 5 years	601,300		759,725
Thereafter	1,509,975		1,522,775
Total par value	$	21,079,620	$	33,750,215

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021			December 31, 2020
Book value	$	12,108,212		$	9,510,085
Par value	12,109,109			9,512,324
Weighted average interest rate (1)	0.03		%	0.11		%

Note:

(1) Represents an implied rate.

66

Notes to Unaudited Financial Statements (continued)

Note 7 – Capital

    The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 11 to the audited financial statements in the Bank’s 2020 Form 10-K. At September 30, 2021, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion in B1 membership stock and $0.9 billion in B2 activity stock at September 30, 2021. The Bank had $0.3 billion in B1 membership stock and $1.2 billion in B2 activity stock at December 31, 2020.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2021 and December 31, 2020.

	September 30, 2021						December 31, 2020
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	396,746		$	2,621,946		$	520,696		$	3,047,399
Total capital-to-asset ratio	4.0		%	7.0		%	4.0		%	6.4		%
Total regulatory capital	1,489,903			2,621,946			1,908,516			3,047,399
Leverage ratio	5.0		%	10.6		%	5.0		%	9.6		%
Leverage capital	1,862,379			3,932,918			2,385,645			4,571,099

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 28, 2021, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2021. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2021.

Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the relevant Bank's issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares' par value of $100, as mandated by the Bank's capital plan.

At September 30, 2021 and December 31, 2020, the Bank had $23.3 million and $142.8 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $0.7 million and $3.4 million during the three and nine months ended September 30, 2021, respectively. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $4.1 million and $14.1 million during the three and nine months ended September 30, 2020, respectively.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2021 and 2020.

	Nine months ended September 30,
(in thousands)	2021		2020
Balance, beginning of the period	$	142,807	$	343,575
Capital stock subject to mandatory redemption reclassified from capital	1,069		39,457
Redemption/repurchase of mandatorily redeemable stock	(120,603)		(159,980)
Balance, end of the period	$	23,273	$	223,052

    As of September 30, 2021, the total mandatorily redeemable capital stock reflected the balance for seven institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated.  Two other institutions have notified the Bank of their intention to voluntarily redeem their capital stock and withdraw from membership. These institutions will continue to be members of the Bank until the withdrawal period is completed.

67

Notes to Unaudited Financial Statements (continued)

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	20,020		21
Due after 2 years through 3 years	—		20,000
Due after 3 years through 4 years	26		120,000
Due after 4 years through 5 years	1,069		19
Past contractual redemption date due to remaining activity	2,158		2,767
Total	$	23,273	$	142,807

Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding.

Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings.

FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 approximated $8.5 million based on its share of the $680.0 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account.

Dividends and Retained Earnings. In accordance with the Joint Capital Enhancement Agreement (JCEA), entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings account (RRE) until the account balance equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the current quarter. These RRE are not available to pay dividends and are presented separately from other retained earnings on the Statement of Condition. At September 30, 2021, the balance in RRE exceeded the threshold for the contribution requirement. Accordingly, no allocation of net income was made to RRE in the first nine months of 2021. At September 30, 2021, retained earnings were $1,397.0 million, including $939.6 million of unrestricted retained earnings and $457.4 million of RRE.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid through the third quarter of 2021 and 2020 are presented in the table below.

	Dividend - Annual Yield
	2021				2020
	Membership		Activity		Membership		Activity
February	2.50	%	5.75	%	4.50	%	7.75	%
April	2.50	%	5.75	%	3.00	%	6.25	%
July	1.25	%	5.25	%	3.00	%	6.25	%

68

Notes to Unaudited Financial Statements (continued)

    In October 2021, the Bank paid a quarterly dividend equal to an annual yield of 1.25% on membership stock and 5.25% on activity stock.

The following table summarizes the changes in AOCI for the three and nine months ended September 30, 2021 and 2020.

(in thousands)	Net Unrealized Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on AFS		Net Unrealized Gains (Losses) on Hedging Activities		Pension and Post-Retirement Plans		Total
June 30, 2020	$	118,049	$	—	$	—	$	(4,145)	$	113,904
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	26,384		—		—		—		26,384
Pension and post-retirement	—		—		—		171		171
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
June 30, 2021	$	131,818	$	—	$	—	$	(4,414)	$	127,404
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(1,284)		—		—		—		(1,284)
Pension and post-retirement	—		—		—		196		196
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316
December 31, 2019	$	45,155	$	51,704	$	149	$	(5,182)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU 2016-13	51,704		(51,704)		—		—		—
Net unrealized gains (losses)	47,574				—		—		47,574
Amortization on hedging activities	—		—		(149)		—		(149)
Pension and post-retirement	—		—		—		1,208		1,208
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
December 31, 2020	$	143,592	$	—	$	—	$	(6,266)	$	137,326
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(13,058)		—		—		—		(13,058)
Pension and post-retirement	—		—		—		2,048		2,048
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316

69

Notes to Unaudited Financial Statements (continued)

Note 8 – Transactions with Related Parties

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2021		December 31, 2020
Advances	$	6,595,309	$	10,856,363
Letters of credit (1)	16,167,276		2,730,541
MPF loans	1,872,702		483,983
Deposits	112,280		31,269
Capital stock	580,814		573,392

Note:

(1) Letters of credit are off-balance sheet commitments.

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Interest income on advances (1)	$	37,102	$	91,749	$	119,556	$	362,346
Interest income on MPF loans	15,429		6,101		48,865		19,021
Letters of credit fees	4,652		797		13,707		2,209

Note:

(1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included.

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Servicing fee expense	$	916	$	988	$	2,748	$	2,958

(in thousands)	September 30, 2021		December 31, 2020
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,503	$	5,856

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three and nine months ended September 30, 2021, the Bank borrowed and repaid $5.0 million. During the three and nine months ended September 30, 2020, the Bank borrowed and repaid $25.0 million. There was no lending activity during the nine months ended September 30, 2021 and September 30, 2020.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During the nine months ended September 30, 2021 and 2020, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2021 and 2020.

    In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations. Additional discussions regarding related party transactions can be found in Note 13 to the audited financial statements in the Bank's 2020 Form 10-K.

70

Notes to Unaudited Financial Statements (continued)

Note 9 – Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and 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). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2021 and December 31, 2020. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2021 and December 31, 2020 are presented in the table below.

Fair Value Summary Table
	September 30, 2021
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,119,508	$	1,119,508	$	—	$	—	$	—	$	1,119,508
Interest-bearing deposits	553,458		547,955		5,503		—		—		553,458
Federal funds sold	2,475,000		—		2,475,002		—		—		2,475,002
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,001		—		—		1,000,001
Trading securities	508,517		—		508,517		—		—		508,517
AFS securities	12,188,192		—		11,982,489		205,703		—		12,188,192
HTM securities	1,315,420		—		1,284,196		76,122		—		1,360,318
Advances	12,987,117		—		13,066,795		—		—		13,066,795
Mortgage loans held for portfolio, net	4,780,274		—		4,885,125		—		—		4,885,125
BOB loans, net	23,227		—		—		23,227		—		23,227
Accrued interest receivable	77,573		—		77,573		—		—		77,573
Derivative assets	176,035		—		5,919		—		170,116		176,035
Liabilities:
Deposits	$	965,933	$	—	$	965,933	$	—	$	—	$	965,933
Discount notes	12,108,212		—		12,108,390		—		—		12,108,390
Bonds	21,125,761		—		21,343,528		—		—		21,343,528
Mandatorily redeemable capital stock (3)	23,273		23,943		—		—		—		23,943
Accrued interest payable (3)	64,787		—		64,118		—		—		64,118
Derivative liabilities	12,585		—		24,596		—		(12,011)		12,585

71

Notes to Unaudited Financial Statements (continued)

	December 31, 2020
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,036,459	$	1,036,459	$	—	$	—	$	—	$	1,036,459
Interest-bearing deposits	956,628		950,772		5,856		—		—		956,628
Federal funds sold	1,850,000		—		1,850,009		—		—		1,850,009
Securities purchased under agreement to resell (2)	600,000		—		600,003		—		—		600,003
Trading securities	1,156,003		—		1,156,003		—		—		1,156,003
AFS securities	9,476,385		—		9,223,785		252,600		—		9,476,385
HTM securities	2,483,730		—		2,464,732		92,396		—		2,557,128
Advances	24,971,119		—		25,097,529		—		—		25,097,529
Mortgage loans held for portfolio, net	4,886,207		—		5,084,683		—		—		5,084,683
BOB loans, net	21,236		—		—		21,236		—		21,236
Accrued interest receivable	90,702		—		90,702		—		—		90,702
Derivative assets	137,042		—		3,413		—		133,629		137,042
Liabilities:
Deposits	$	923,371	$	—	$	923,371	$	—	$	—	$	923,371
Discount notes	9,510,085		—		9,510,584		—		—		9,510,584
Bonds	33,854,754		—		34,282,476		—		—		34,282,476
Mandatorily redeemable capital stock (3)	142,807		145,282		—		—		—		145,282
Accrued interest payable (3)	64,950		—		62,475		—		—		62,475
Derivative liabilities	4,459		—		7,590		—		(3,131)		4,459

Notes:

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

(2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight.

(3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

    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 or in which little information is released publicly; (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 - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques.

72

Notes to Unaudited Financial Statements (continued)

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities.

Summary of Valuation Methodologies and Primary Inputs

    The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below.

    Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

    For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

•U.S. Treasury curve: certificates of deposit

•CO curve: GSE and other U.S. obligations

    The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach.

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from multiple third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes.

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

As of September 30, 2021, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. Based on the Bank's reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, the Bank classified private label MBS as Level 3.

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar

73

Notes to Unaudited Financial Statements (continued)

instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

    The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

    Interest-rate related:

•Discount rate assumption. SOFR curve for cleared derivatives. Overnight Index Swap (OIS) curve for uncleared derivatives.

•Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

•Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

    Mortgage delivery commitments:

•TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market.

The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME Clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability.

    Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

    Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

74

Notes to Unaudited Financial Statements (continued)

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at September 30, 2021 and December 31, 2020. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	September 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	261,870	$	—	$	—	$	261,870
GSE and TVA obligations	—		246,647		—		—		246,647
Total trading securities	$	—	$	508,517	$	—	$	—	$	508,517
AFS securities:
Non MBS:
U.S. Treasury obligations	$	—	$	4,405,357	$	—	$	—	$	4,405,357
GSE and TVA obligations	—		1,519,356		—		—		1,519,356
State or local agency obligations	—		220,930		—		—		220,930
MBS:
U.S. obligations single-family MBS	—		437,294		—		—		437,294
GSE single-family MBS	—		2,303,079		—		—		2,303,079
GSE multifamily MBS	—		3,096,473		—		—		3,096,473
Private label MBS	—		—		205,703		—		205,703
Total AFS securities	$	—	$	11,982,489	$	205,703	$	—	$	12,188,192
Derivative assets:
Interest rate related	$	—	$	5,918	$	—	$	170,116	$	176,034
Mortgage delivery commitments	—		1		—		—		1
Total derivative assets	$	—	$	5,919	$	—	$	170,116	$	176,035
Total recurring assets at fair value	$	—	$	12,496,925	$	205,703	$	170,116	$	12,872,744
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	24,237	$	—	$	(12,011)	$	12,226
Mortgage delivery commitments	—		359		—		—		359
Total recurring liabilities at fair value (2)	$	—	$	24,596	$	—	$	(12,011)	$	12,585
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	9,018	$	—	$	9,018
REO	—		—		356		—		356
Total non-recurring assets at fair value	$	—	$	—	$	9,374	$	—	$	9,374

75

Notes to Unaudited Financial Statements (continued)

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	899,421	$	—	$	—	$	899,421
GSE and TVA obligations	—		256,582		—		—		256,582
Total trading securities	$	—	$	1,156,003	$	—	$	—	$	1,156,003
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,643,733	$	—	$	—	1,643,733
State or local agency obligations	—		241,630		—		—		241,630
MBS:
U.S. obligations single-family MBS	—		602,148		—		—		602,148
GSE single-family MBS	—		3,262,880		—		—		3,262,880
GSE multifamily MBS	—		3,473,394		—		—		3,473,394
Private label MBS	—		—		252,600		—		252,600
Total AFS securities	$	—	$	9,223,785	$	252,600	$	—	$	9,476,385
Derivative assets:
Interest rate related	$	—	$	2,738	$	—	$	133,629	$	136,367
Mortgage delivery commitments	—		675		—		—		675
Total derivative assets	$	—	$	3,413	$	—	$	133,629	$	137,042
Total recurring assets at fair value	$	—	$	10,383,201	$	252,600	$	133,629	$	10,769,430
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	7,579	$	—	$	(3,131)	$	4,448
Mortgage delivery commitments	—		11		—		—		11
Total recurring liabilities at fair value (2)	$	—	$	7,590	$	—	$	(3,131)	$	4,459
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	18,382	$	—	$	18,382
REO	—		—		1,270		—		1,270
Total non-recurring assets at fair value	$	—	$	—	$	19,652	$	—	$	19,652

Notes:

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

(2) Derivative liabilities represent the total liabilities at fair value.

76

Notes to Unaudited Financial Statements (continued)

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2021 and 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2021 or 2020.

	AFS Private Label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	220,558	$	280,882	$	252,600	$	326,146
Total gains (losses) (realized/unrealized) included in:
(Provision) reversal for credit losses	536		(117)		329		(1,691)
Accretion of credit losses in interest income	2,522		3,000		7,719		8,938
Net unrealized gains (losses) on AFS in OCI	(728)		1,400		(2,633)		(15,114)
Purchases, issuances, sales, and settlements:
Settlements	(17,185)		(17,541)		(52,312)		(50,655)
Balance at September 30	$	205,703	$	267,624	$	205,703	$	267,624
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30	$	3,059	$	2,883	$	7,823	$	7,247
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30	$	(728)	$	1,400	$	(2,633)	$	(15,114)

77

Notes to Unaudited Financial Statements (continued)

Note 10 – Commitments and Contingencies

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	September 30, 2021						December 31, 2020
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	20,403,323	$	—	$	20,403,323	$	19,723,286
Commitments to fund additional advances and BOB loans	1,043		—		1,043		760
Commitments to purchase mortgage loans	65,331		—		65,331		60,622
Unsettled consolidated obligation bonds, at par	1,169,000		—		1,169,000		15,000
Unsettled consolidated obligation discount notes, at par	—		—		—		950

Notes:

(1) Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020.

(2) Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance.

    Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.3 million at September 30, 2021 and $3.9 million at December 31, 2020. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 3 - Advances.

Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at September 30, 2021 or December 31, 2020. However, within the Bank's Rollover (weekly/monthly) advance product, there were conditional lines of credit outstanding of $12.3 billion at both September 30, 2021 and December 31, 2020.

Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 5 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

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

Notes 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.

78

Item 3: Quantitative and Qualitative Disclosures about Market Risk

See the Risk Management section in Part I, Item 2. Management’s Discussion and Analysis in this Form 10-Q.

Item 4: Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer, chief operating officer (principal financial officer), and chief accounting officer, the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended (the 1934 Act). Based on this evaluation, the Bank’s chief executive officer, chief operating officer (principal financial officer), and chief accounting officer concluded that the Bank’s disclosure controls and procedures were effective as of September 30, 2021.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the third quarter of 2021 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

    The Bank may be subject to various legal proceedings arising in the normal course of business. After consultation with legal counsel, management is not aware of any such proceedings that might result in the Bank’s ultimate liability in an amount that will have a material effect on the Bank’s financial condition or results of operations.

Item 1A: Risk Factors

    There are no material changes in the Bank's Risk Factors from those previously disclosed in Part I, Item 1A. Risk Factors in the Bank’s 2020 Form 10-K.

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

Not applicable.

Item 3: Defaults upon Senior Securities

None.

Item 4: Mine Safety Disclosures

Not applicable.

Item 5: Other Information

    None.

79

Item 6: Exhibits

Exhibit No.	Description	Method of Filing
31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Filed herewith.
31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer	Filed herewith.
31.3	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer	Filed herewith.
32.1	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Furnished herewith.
32.2	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer	Furnished herewith.
32.3	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer	Furnished herewith.
101.INS	Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	Filed herewith.
101.SCH	Inline XBRL Taxonomy Extension Schema Document	Filed herewith.
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	Filed herewith.
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	Filed herewith.
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	Filed herewith.
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	Filed herewith.
104	Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)	Filed herewith.

SIGNATURES

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

Federal Home Loan Bank of Pittsburgh

(Registrant)

By: /s/ David G. Paulson

David G. Paulson

Chief Operating Officer

(Principal Financial Officer and Authorized Officer)

By: /s/ Edward V. Weller

Edward V. Weller

Chief Accounting Officer

(Authorized Officer)

Date: November 9, 2021

80

EX-31.1

Exhibit 31.1

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Executive Officer

I, Winthrop Watson, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     November 9, 2021                 /s/ Winthrop Watson

                                Name:    Winthrop Watson

                                Title:    President & Chief Executive Officer

EX-31.2

Exhibit 31.2

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Principal Financial Officer

I, David G. Paulson, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     November 9, 2021                  /s/ David G. Paulson

                                Name:    David G. Paulson

                                Title:    Chief Operating Officer

                                    (Principal Financial Officer)

EX-31.3

Exhibit 31.3

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Accounting Officer

I, Edward V. Weller, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     November 9, 2021                     /s/ Edward V. Weller

                                Name:    Edward V. Weller

                                Title:    Chief Accounting Officer

EX-32.1

Exhibit 32.1

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer

I, Winthrop Watson, state and attest that:

1. I am the Chief Executive Officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     November 9, 2021                     /s/ Winthrop Watson

                                Name:    Winthrop Watson

                                Title:    President & Chief Executive Officer

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

Exhibit 32.2

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer

I, David G. Paulson, state and attest that:

1. I am the Chief Operating Officer and principal financial officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     November 9, 2021                    /s/ David G. Paulson

                                Name:    David G. Paulson

                                Title:    Chief Operating Officer

                                    (Principal Financial Officer)

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.3

Exhibit 32.3

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer

I, Edward V. Weller, state and attest that:

1. I am the Chief Accounting Officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     November 9, 2021                    /s/ Edward V. Weller

                                Name:    Edward V. Weller

                                Title:    Chief Accounting Officer

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Cover Page - shares	9 Months Ended
	Sep. 30, 2021	Oct. 29, 2021
Document Information [Line Items]
Document Period End Date	Sep. 30, 2021
Entity Tax Identification Number	25-6001324
Document Type	10-Q
Document Quarterly Report	true
Document Transition Report	false
Entity File Number	000-51395
Entity Registrant Name	FEDERAL HOME LOAN BANK OF PITTSBURGH
Entity Address, Address Line One	601 Grant Street
Entity Address, City or Town	Pittsburgh,
Entity Address, State or Province	PA
Entity Address, Postal Zip Code	15219
City Area Code	412
Local Phone Number	288-3400
Entity Central Index Key	0001330399
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Entity Interactive Data Current	Yes
Entity Current Reporting Status	Yes
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q3
Amendment Flag	false
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		11,920,785
Entity Home Country ISO Code	X1

XML

Statements of Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Interest income:
Advances	$ 31,298	$ 95,201	$ 112,582	$ 548,953
Interest-bearing deposits	214	638	800	6,005
Securities purchased under agreements to resell	185	294	449	7,923
Federal funds sold	692	1,000	2,004	27,454
Trading securities	2,972	9,055	11,548	41,786
Available-for-sale (AFS) securities	23,769	31,996	74,066	138,565
Held-to-maturity (HTM) securities	7,746	11,816	25,871	43,932
Mortgage loans held for portfolio	31,996	35,932	95,114	121,561
Total interest income	98,872	185,932	322,434	936,179
Interest expense:
Consolidated obligations - discount notes	1,378	16,980	5,473	175,414
Consolidated obligations - bonds	53,035	80,579	172,777	462,006
Deposits	122	26	186	1,827
Mandatorily redeemable capital stock and other borrowings	670	4,072	3,437	14,127
Total interest expense	55,205	101,657	181,873	653,374
Net interest income	43,667	84,275	140,561	282,805
Provision (reversal) for credit losses	(874)	1,243	(2,292)	5,635
Net interest income after provision (reversal) for credit losses	44,541	83,032	142,853	277,170
Other noninterest income (loss):
Net gains (losses) on investment securities (Note 2)	(3,113)	(5,323)	(15,827)	53,868
Net gains (losses) on derivatives and hedging activities (Note 5)	(411)	3,589	5,323	(97,685)
Standby letters of credit fees	5,905	5,407	17,465	16,019
Other, net	1,240	1,405	3,078	1,688
Total other noninterest income (loss)	3,621	5,078	10,039	(26,110)
Other Expense
Compensation and benefits	11,220	12,844	38,431	39,190
Other operating	8,939	7,871	25,312	29,869
Finance Agency	1,617	1,894	4,852	5,688
Office of Finance	1,133	1,243	3,434	3,995
Total other expense	22,909	23,852	72,029	78,742
Income before assessments	25,253	64,258	80,863	172,318
Affordable Housing Program (AHP) assessment	2,592	6,833	8,430	18,644
Net Income	$ 22,661	$ 57,425	$ 72,433	$ 153,674

XML

Statements of Comprehensive Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Net Income	$ 22,661	$ 57,425	$ 72,433	$ 153,674
Other comprehensive income (loss):
Net unrealized gains (losses) on AFS securities	(1,284)	26,384	(13,058)	47,574
Reclassification of net (gains) included in net income relating to hedging activities	0	0	0	(149)
Pension and post-retirement benefits	196	171	2,048	1,208
Total other comprehensive income (loss)	(1,088)	26,555	(11,010)	48,633
Total comprehensive income	$ 21,573	$ 83,980	$ 61,423	$ 202,307

XML

Statements of Condition - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
ASSETS
Cash and due from banks	$ 1,119,508	$ 1,036,459
Interest-bearing deposits (Note 2)	553,458	956,628
Federal funds sold (Note 2)	2,475,000	1,850,000
Securities purchased under agreements to resell (Note 2)	1,000,000	600,000
Investment securities: (Note 2)
Trading securities	508,517	1,156,003
AFS securities, net; amortized cost of $12,059,746 and $9,335,210, respectively	12,188,192	9,476,385
HTM securities; fair value of $1,360,318 and $2,557,128, respectively	1,315,420	2,483,730
Total investment securities	14,012,129	13,116,118
Advances (Note 3)	12,987,117	24,971,119
Mortgage loans held for portfolio, net (Note 4)	4,780,274	4,886,207
Banking on Business (BOB) loans, net	23,227	21,236
Accrued interest receivable	77,573	90,702
Derivative assets (Note 5)	176,035	137,042
Other assets	43,251	47,380
Total assets	37,247,572	47,712,891
Liabilities
Deposits	965,933	923,371
Consolidated obligations: (Note 6)
Discount notes	12,108,212	9,510,085
Bonds	21,125,761	33,854,754
Total consolidated obligations	33,233,973	43,364,839
Mandatorily redeemable capital stock (Note 7)	23,273	142,807
Accrued interest payable	64,787	64,950
AHP payable	86,856	102,186
Derivative liabilities (Note 5)	12,585	4,459
Other liabilities	135,177	68,361
Total liabilities	34,522,584	44,670,973
Commitments and contingencies (Note 10)
Capital (Note 7)
Capital stock - putable ($100 par value) issued and outstanding 12,017 and 15,278 shares, respectively	1,201,698	1,527,841
Retained earnings:
Unrestricted	939,596	919,373
Restricted	457,378	457,378
Total retained earnings	1,396,974	1,376,751
Accumulated Other Comprehensive Income (AOCI)	126,316	137,326
Total capital	2,724,988	3,041,918
Total liabilities and capital	$ 37,247,572	$ 47,712,891

XML

Statement of Condition (Parenthetical) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
ASSETS
AFS Securities, Amortized Cost	[1]	$ 12,059,746	$ 9,335,210
HTM securities - fair value		$ 1,360,318	$ 2,557,128
Stockholders' Equity Attributable to Parent [Abstract]
Capital Stock, Par value Per Share		$ 100	$ 100
Capital Stock, Shares, Issued and Outstanding		12,017,000	15,278,000

[1] 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

XML

Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020
OPERATING ACTIVITIES
Net income	$ 72,433	$ 153,674
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	9,175	(36,491)
Net change in derivatives and hedging activities	196,913	(281,783)
Net change in fair value adjustments on trading securities	15,827
Other adjustments	(846)	7,148
Net change in:
Trading securities	0	2,344,102
Accrued interest receivable	13,138	88,926
Other assets	2,060	(203)
Accrued interest payable	(163)	(111,764)
Other liabilities	(26,849)	(9,368)
Net cash provided by (used in) operating activities	281,688	2,154,241
Net change in:
Interest-bearing deposits (including $353 and $(2,118) from (to) other FHLBanks)	357,530	370,279
Federal funds sold	(625,000)	1,820,000
Securities purchased under agreements to resell	(400,000)	850,000
Trading Securities :
Proceeds	1,026,553
Purchases	(399,875)
AFS securities:
Proceeds	1,841,239	1,756,311
Payments to Acquire Debt Securities, Available-for-sale	4,550,532	643,733
HTM securities:
Proceeds	1,663,579	1,155,297
Purchases	(500,000)	(728,986)
Advances:
Repaid	24,135,278	318,795,536
Originated	(12,301,266)	(288,839,498)
Mortgage loans held for portfolio:
Proceeds	1,209,685	1,073,253
Purchases	(1,128,656)	(1,067,877)
Other investing activities, net	(1,631)	(295)
Net cash provided by (used in) investing activities	10,326,904	34,540,287
FINANCING ACTIVITIES
Net change in deposits	42,840	411,903
Net proceeds from issuance of consolidated obligations:
Discount notes	97,758,921	201,685,063
Bonds	17,583,228	35,760,761
Payments for maturing and retiring consolidated obligations
Discount notes	(95,159,250)	(210,792,258)
Bonds	(30,253,395)	(60,971,215)
Proceeds from issuance of capital stock	560,153	2,706,902
Payments for repurchase/redemption of capital stock	(885,227)	(3,842,070)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(120,603)	(159,980)
Cash dividends paid	(52,210)	(137,194)
Partial Recovery Of Prior Capital Distribution To Financing Corporation		8,541
Net cash provided by (used in) financing activities	(10,525,543)	(35,329,547)
Net increase (decrease) in cash and due from banks	83,049	1,364,981
Cash and due from banks at beginning of the period	1,036,459	21,490
Cash and due from banks at end of the period	1,119,508	1,386,471
Supplemental disclosures:
Interest paid	211,473	795,385
AHP payments	23,761	23,791
Capital stock reclassified to mandatorily redeemable capital stock	$ 1,069	$ 39,457

XML

Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020
Statement of Cash Flows [Abstract]
Interest-bearing deposits (including $353 and $(2,118) from (to) other FHLBanks)	$ 353	$ (2,118)

XML

Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	$ 2,717,508	$ 3,818,842	$ 3,041,918	$ 4,472,836
Comprehensive Income	21,573	83,980	61,423	202,307
Issuance of capital stock	192,791	225,546	560,153	2,706,902
Repurchase/redemption of capital stock	(193,013)	(716,595)	(885,227)	(3,842,070)
Capital stock reclassified to mandatorily redeemable capital stock	(1,069)		(1,069)	(39,457)
Partial Recovery Of Prior Capital Distribution To Financing Corporation		8,500		8,541
Cash dividends	(12,802)	(39,795)	(52,210)	(137,194)
Total capital, ending balance	$ 2,724,988	$ 3,371,978	$ 2,724,988	$ 3,371,978
Capital Stock - Putable
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Balance, shares beginning balance	12,030	23,714	15,278	30,550
Total capital, beginning balance	$ 1,202,989	$ 2,371,420	$ 1,527,841	$ 3,054,996
Issuance of capital stock, shares	1,928	2,256	5,602	27,069
Issuance of capital stock	$ 192,791	$ 225,546	$ 560,153	$ 2,706,902
Repurchase/redemption of capital stock, shares	(1,930)	(7,166)	(8,852)	(38,421)
Repurchase/redemption of capital stock	$ (193,013)	$ (716,595)	$ (885,227)	$ (3,842,070)
Net shares reclassified to mandatorily redeemable capital stock, shares	(11)		(11)	(394)
Capital stock reclassified to mandatorily redeemable capital stock	$ (1,069)		$ (1,069)	$ (39,457)
Balance, shares ending balance	12,017	18,804	12,017	18,804
Total capital, ending balance	$ 1,201,698	$ 1,880,371	$ 1,201,698	$ 1,880,371
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	929,737	898,980	919,373	910,726
Comprehensive Income	22,661	45,940	72,433	122,939
Partial Recovery Of Prior Capital Distribution To Financing Corporation				8,541
Cash dividends	(12,802)	(39,795)	(52,210)	(137,194)
Total capital, ending balance	939,596	905,125	939,596	905,125
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	457,378	434,538	457,378	415,288
Comprehensive Income	0	11,485	0	30,735
Total capital, ending balance	457,378	446,023	457,378	446,023
Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	1,387,115	1,333,518	1,376,751	1,326,014
Comprehensive Income	22,661	57,425	72,433	153,674
Partial Recovery Of Prior Capital Distribution To Financing Corporation				8,541
Cash dividends	(12,802)	(39,795)	(52,210)	(137,194)
Total capital, ending balance	1,396,974	1,351,148	1,396,974	1,351,148
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	127,404	113,904	137,326	91,826
Comprehensive Income	(1,088)	26,555	(11,010)	48,633
Total capital, ending balance	$ 126,316	140,459	126,316	140,459
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance			$ 100
Total capital, ending balance		113		113
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance		113		113
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, ending balance		$ 113		$ 113

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Background Information

9 Months Ended

Sep. 30, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Background Information

Background Information

The Bank, a federally chartered corporation, is one of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock.

All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 8 - Transactions with Related Parties for additional information.

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits.

As provided by the Federal Home Loan Bank Act (FHLBank Act) or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF® Program and purchase certain investments. See Note 6 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2020 included in the Bank's 2020 Form 10-K.

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Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

9 Months Ended

Sep. 30, 2021

Accounting Standards Update and Change in Accounting Principle [Abstract]

Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

    The Bank adopted the following new accounting standards during the nine months ended September 30, 2021.

Standard	Description	Adoption Date and Transition	Effect on the Financial Statements or Other Significant Matters
ASU 2020-08: Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs	This ASU clarifies that an entity should reevaluate for each reporting period whether a callable debt security is within the scope of certain guidance in ASC 310-20 that was issued in ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities	This ASU was effective for the Bank beginning January 1, 2021 and will be applied on a prospective basis for existing or newly purchased callable debt securities.	The adoption of this ASU did not have a significant impact on the Bank's financial statements.

    The Bank did not have any recently issued accounting standards which may have an impact on the Bank for the nine months ended September 30, 2021.

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Investments

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Investments

Investments

The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below.

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

The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO.

Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2021 and December 31, 2020, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day.

At September 30, 2021 and December 31, 2020, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable.

Debt Securities

The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank 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.

    Trading Securities. The following table presents trading securities as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
U.S. Treasury obligations	$	261,870	$	899,421
GSE and TVA obligations	246,647		256,582
Total	$	508,517	$	1,156,003

The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2021 and 2020.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Net unrealized gains (losses) on trading securities held at period-end	$	(2,979)	$	(3,447)	$	(13,087)	$	28,640
Net gains (losses) on trading securities sold/matured during the period	(134)		(1,876)		(2,740)		25,228
Net gains (losses) on trading securities	$	(3,113)	$	(5,323)	$	(15,827)	$	53,868

AFS Securities. The following tables present AFS securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	4,396,710	$	—	$	8,691	$	(44)	$	4,405,357
GSE and TVA obligations	1,473,234		—		46,122		—		1,519,356
State or local agency obligations	212,164		—		8,766		—		220,930
Total non-MBS	$	6,082,108	$	—	$	63,579	$	(44)	$	6,145,643
MBS:
U.S. obligations single-family MBS	$	431,963	$	—	$	5,382	$	(51)	$	437,294
GSE single-family MBS	2,281,070		—		22,269		(260)		2,303,079
GSE multifamily MBS	3,091,172		—		6,708		(1,407)		3,096,473
Private label MBS	173,433		(2,088)		34,445		(87)		205,703
Total MBS	$	5,977,638	$	(2,088)	$	68,804	$	(1,805)	$	6,042,549
Total AFS securities	$	12,059,746	$	(2,088)	$	132,383	$	(1,849)	$	12,188,192

	December 31, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
GSE and TVA obligations	$	1,590,661	$	—	$	53,072	$	—	$	1,643,733
State or local agency obligations	227,248		—		14,382		—		241,630
Total non-MBS	$	1,817,909	$	—	$	67,454	$	—	$	1,885,363
MBS:
U.S. obligations single-family MBS	$	595,215	$	—	$	6,994	$	(61)	$	602,148
GSE single-family MBS	3,237,124		—		25,969		(213)		3,262,880
GSE multifamily MBS	3,466,937		—		10,235		(3,778)		3,473,394
Private label MBS	218,025		(2,417)		37,149		(157)		252,600
Total MBS	$	7,517,301	$	(2,417)	$	80,347	$	(4,209)	$	7,591,022
Total AFS securities	$	9,335,210	$	(2,417)	$	147,801	$	(4,209)	$	9,476,385

Notes:

(1) 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

The following tables summarize the AFS securities with unrealized losses as of September 30, 2021 and December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2021
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	99,418	$	(44)	$	—	$	—	$	99,418	$	(44)
MBS:
U.S. obligations single-family MBS	$	21,512	$	(51)	$	—	$	—	$	21,512	$	(51)
GSE single-family MBS	149,651		(260)		—		—		149,651		(260)
GSE multifamily MBS	467,068		(555)		524,485		(852)		991,553		(1,407)
Private label MBS	70		(1)		2,463		(86)		2,533		(87)
Total MBS	$	638,301	$	(867)	$	526,948	$	(938)	$	1,165,249	$	(1,805)
Total	$	737,719	$	(911)	$	526,948	$	(938)	$	1,264,667	$	(1,849)

	December 31, 2020
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	8,591	$	(17)	$	25,713	$	(44)	$	34,304	$	(61)
GSE single-family MBS	54,657		(21)		217,942		(192)		272,599		(213)
GSE multifamily MBS	156,006		(70)		2,276,207		(3,708)		2,432,213		(3,778)
Private label MBS	1,767		(10)		2,631		(147)		4,398		(157)
Total MBS	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)
Total	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	196,493	$	198,694	$	73,115	$	73,276
Due after one year through five years	3,031,519		3,041,043		570,540		581,853
Due after five years through ten years	2,590,569		2,629,311		789,408		820,239
Due after ten years	263,527		276,595		384,846		409,995
Total non-MBS	6,082,108		6,145,643		1,817,909		1,885,363
MBS	5,977,638		6,042,549		7,517,301		7,591,022
Total AFS securities	$	12,059,746	$	12,188,192	$	9,335,210	$	9,476,385

Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of AFS non-MBS:
Fixed-rate	$	6,082,108	$	1,817,909
Variable-rate	—		—
Total non-MBS	$	6,082,108	$	1,817,909
Amortized cost of AFS MBS:
Fixed-rate	$	887,774	$	1,382,062
Variable-rate	5,089,864		6,135,239
Total MBS	$	5,977,638	$	7,517,301
Total amortized cost of AFS securities	$	12,059,746	$	9,335,210

    HTM Securities. The following tables present HTM securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
MBS:
U.S. obligations single-family MBS	$	90,598	$	1,218	$	—	$	91,816
GSE single-family MBS	635,540		10,776		(6,925)		639,391
GSE multifamily MBS	513,475		39,514		—		552,989
Private label MBS	75,807		814		(499)		76,122
Total MBS	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318
Total HTM securities (2)	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318

	December 31, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
Non-MBS:
Certificates of deposit	$	750,000	$	77	$	—	$	750,077
MBS:
U.S. obligations single-family MBS	$	120,539	$	1,213	$	—	$	121,752
GSE single-family MBS	989,824		20,337		(1,053)		1,009,108
GSE multifamily MBS	530,240		53,555		—		583,795
Private label MBS	93,127		582		(1,313)		92,396
Total MBS	$	1,733,730	$	75,687	$	(2,366)	$	1,807,051
Total HTM securities (2)	$	2,483,730	$	75,764	$	(2,366)	$	2,557,128

Notes:

(1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

(2) No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020.

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	750,000	$	750,077
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		—		—
Due after ten years	—		—		—		—
Total non-MBS	—		—		750,000		750,077
MBS	1,315,420		1,360,318		1,733,730		1,807,051
Total HTM securities	$	1,315,420	$	1,360,318	$	2,483,730	$	2,557,128

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	750,000
Variable-rate	—		—
Total non-MBS	$	—	$	750,000
Amortized cost of HTM MBS:
Fixed-rate	$	1,129,418	$	1,493,149
Variable-rate	186,002		240,581
Total MBS	$	1,315,420	$	1,733,730
Total HTM securities	$	1,315,420	$	2,483,730

    Debt Securities ACL. For HTM securities, there was no ACL at September 30, 2021 and December 31, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at September 30, 2021 and December 31, 2020.

AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the three and nine months ended September 30, 2021 and 2020.

	Private label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	2,624	$	1,574	$	2,417	$	—
Increases (decreases) for securities in which a previous ACL or OTTI was recorded	(536)		117		(329)		1,691
Balance, end of period	$	2,088	$	1,691	$	2,088	$	1,691

Debt Securities ACL Methodology. To evaluate investment securities for credit losses at September 30, 2021, the Bank employs the following methodologies by major security type.

Certificates of Deposits. The Bank invests in short-term investments, such as certificates of deposits, primarily to manage liquidity. The Bank’s certificates of deposits, which are unsecured, have original contractual maturities of one year or less. The Bank only purchases certificates of deposits considered investment quality. The Bank did not own certificates of deposits at September 30, 2021. Due to their short duration, high credit quality, and insignificant expected credit losses, no ACL was recorded on certificates of deposits at December 31, 2020.

GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at September 30, 2021 or December 31, 2020.

The Bank only purchases GSE and other U.S. obligations considered investment quality. At September 30, 2021, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments.

    The Bank only purchases state or local agency obligations considered investment quality. At September 30, 2021, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable.

The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At September 30, 2021 and December 31, 2020, the Bank expected to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations.

    Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of September 30, 2021, 21.4% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses.

The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as:

•the remaining payment terms for the security;

•prepayment speeds based on underlying loan-level borrower and loan characteristics;

•expected default rates based on underlying borrower and loan characteristics;

•expected loss severity based on underlying borrower and loan characteristics;

•expected housing price changes; and

•expected interest-rate assumptions.

The Bank performed a cash flow analysis using a third-party model to assess whether the entire amortized cost basis of its private label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of the model can vary with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast.

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Advances

9 Months Ended

Sep. 30, 2021

Advances [Abstract]

Advances

Advances

    General Terms. The Bank offers a wide-range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from overnight to 30 years. Variable-rate advances generally have maturities ranging up to five years, and the interest rates reset periodically at a fixed spread to LIBOR or SOFR.

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021				December 31, 2020
Year of Redemption	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	8,139,089	1.54	%	$	14,760,790	0.84	%
Due after 1 year through 2 years	2,194,831		2.29		5,878,635		2.25
Due after 2 years through 3 years	1,031,406		1.79		1,584,471		2.08
Due after 3 years through 4 years	1,116,493		2.02		1,126,992		1.85
Due after 4 years through 5 years	219,231		1.09		1,163,781		1.91
Thereafter	187,205		2.54		210,220		2.55
Total par value	12,888,255		1.74	%	24,724,889		1.37	%
Deferred prepayment fees	(1,035)				(3,673)
Hedging adjustments	99,897				249,903
Total book value (1)	$	12,987,117			$	24,971,119

Notes:

(1) Amounts exclude accrued interest receivable of $25.4 million and $36.6 million at September 30, 2021 and December 31, 2020.

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity, fixed-rate advance without the conversion feature. In addition, the Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances).

At September 30, 2021 and December 31, 2020, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2021 and December 31, 2020.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Due in 1 year or less	$	8,179,089	$	14,860,790	$	8,159,089	$	14,780,790
Due after 1 year through 2 years	2,194,831		5,818,635		2,188,831		5,878,635
Due after 2 years through 3 years	991,406		1,584,471		1,031,406		1,578,471
Due after 3 years through 4 years	1,116,493		1,086,992		1,102,493		1,121,992
Due after 4 years through 5 years	219,231		1,163,781		219,231		1,154,781
Thereafter	187,205		210,220		187,205		210,220
Total par value	$	12,888,255	$	24,724,889	$	12,888,255	$	24,724,889

Interest Rate Payment Terms.  The following table details interest rate payment terms by year of redemption for advances as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate – overnight	$	239,667	$	37,225
Fixed-rate – term:
Due in 1 year or less	7,073,579		6,658,991
Thereafter	4,606,066		9,810,998
Total fixed-rate	11,919,312		16,507,214
Variable-rate:
Due in 1 year or less	825,843		8,064,575
Thereafter	143,100		153,100
Total variable-rate	968,943		8,217,675
Total par value	$	12,888,255	$	24,724,889

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of September 30, 2021, the Bank had advances of $7.6 billion outstanding to the five largest borrowers, which represented 58.7% of the total principal amount of advances outstanding. Of these five, one had outstanding advance balances that were in excess of 10% of the total portfolio at September 30, 2021.

As of December 31, 2020, the Bank had advances of $15.2 billion outstanding to the five largest borrowers, which represented 61.4% of the total principal amount of advances outstanding. Of these five, three had outstanding advance balances that were in excess of 10% of the total portfolio at December 31, 2020.

Advances ACL. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower and an ongoing review of each borrower’s financial condition in conjunction with the Bank's collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs.

In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank primarily accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower.

The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products.

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member's financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party, except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At September 30, 2021 and December 31, 2020, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit.

    The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At September 30, 2021 and December 31, 2020, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs.

The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at September 30, 2021 or December 31, 2020.

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Mortgage Loans Held for Portfolio

9 Months Ended

Sep. 30, 2021

Receivables [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 8 for further information regarding transactions with related parties.

The following table presents balances as of September 30, 2021 and December 31, 2020 for mortgage loans held for portfolio.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate long-term single-family mortgages (1)	$	4,512,619	$	4,610,761
Fixed-rate medium-term single-family mortgages (1)	177,370		181,535
Total par value	4,689,989		4,792,296
Premiums	87,316		87,424
Discounts	(1,907)		(2,439)
Hedging adjustments	7,749		13,898
Total mortgage loans held for portfolio (2)	$	4,783,147	$	4,891,179
Allowance for credit losses on mortgage loans	(2,873)		(4,972)
Mortgage loans held for portfolio, net	$	4,780,274	$	4,886,207

Note:

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

(2) Amounts exclude accrued interest receivable of $22.6 million at September 30, 2021 and $25.7 million at December 31, 2020.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Conventional loans	$	4,552,754	$	4,633,848
Government-guaranteed/insured loans	137,235		158,448
Total par value	$	4,689,989	$	4,792,296

Purchases, Sales and Reclassifications. During the nine months ended September 30, 2021 and 2020, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2017		2017 to 2021		Total
Past due 30-59 days	$	11,005	$	16,002	$	27,007
Past due 60-89 days	2,245		3,591		5,836
Past due 90 days or more	13,853		23,800		37,653
Total past due loans	$	27,103	$	43,393	$	70,496
Current loans	1,209,257		3,362,793		4,572,050
Total conventional loans (2)	$	1,236,360	$	3,406,186	$	4,642,546
	December 31, 2020
	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	14,211	$	26,825	$	41,036
Past due 60-89 days	5,719		10,950		16,669
Past due 90 days or more	18,070		61,185		79,255
Total past due loans	$	38,000	$	98,960	$	136,960
Current loans	1,132,774		3,458,941		4,591,715
Total conventional loans (3)	$	1,170,774	$	3,557,901	$	4,728,675

Note:

(1) The amortized cost at September 30, 2021 and December 31, 2020 excludes accrued interest receivable.

(2) Includes approximately $32.6 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $0.9 million was current, $4.3 million was 30-59 days past due, $2.5 million was 60-89 days past due, and $24.9 million was 90 days or more past due at September 30, 2021.

(3) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	2,094		$	516		$	2,610
Serious delinquency rate (2)	0.8		%	2.5		%	0.9		%
Past due 90 days or more still accruing interest	$	—		$	3,502		$	3,502
Loans on nonaccrual status (3)	$	42,112		$	—		$	42,112
	December 31, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	8,238		$	1,667		$	9,905
Serious delinquency rate (2)	1.7		%	3.7		%	1.8		%
Past due 90 days or more still accruing interest	$	—		$	5,483		$	5,483
Loans on nonaccrual status (3)	$	91,201		$	—		$	91,201

Note:

(1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

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

(3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Mortgage Loans Held for Portfolio ACL. Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results.

The estimated credit loss on collateral dependent loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral is determined based on a value provided by a third-party’s retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. Expected recoveries of prior charge-offs, as determined by a third-party model, if any, are included in the allowance for credit losses.

Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Summary of Significant Accounting Policies in the Bank's 2020 Form 10-K.

The par value of conventional loans in a forbearance or repayment plan as a result of the COVID-19 pandemic was $32.6 million at September 30, 2021 and $83.9 million at December 31, 2020. These amounts represented 0.7% of mortgage loans held for portfolio at September 30, 2021 and 1.8% at December 31, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 89% and 93% of the loans were not deemed to be collateral dependent and not charged-off as of September 30, 2021 and December 31, 2020, respectively.

Conventional MPF - Expected Recoveries. The Bank recognizes a recovery through the provision for credit losses when expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition.

Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment.

Conventional MPF - Rollforward of ACL

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	3,225	$	5,900	$	4,972	$	7,832
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—		—		(3,875)
(Charge-offs) Recoveries, net (2)	27		(584)		533		(428)
Provision (reversal) for credit losses	(379)		1,338		(2,632)		3,125
Balance, September 30	$	2,873	$	6,654	$	2,873	$	6,654

Note:

(1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

(2) Net charge-offs that the Bank does not expect to recover through CE receivable.

Government-Guaranteed or Insured Mortgage Loans. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed or insured mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or insured mortgage loans at September 30, 2021 or December 31, 2020. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

Real Estate Owned (REO). The Bank had $0.4 million and $0.8 million of REO reported in Other assets on the Statement of Condition at September 30, 2021 and December 31, 2020, respectively.

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank'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 Bank has established policies and procedures that include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. For additional information on the Bank's derivative transactions, see Note 7 - Derivatives and Hedging Activities to the audited financial statements in the Bank's 2020 Form 10-K.

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 Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives 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.

	September 30, 2021
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	21,953,509	$	3,965	$	22,074
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,151,988	$	710	$	2,163
Interest rate caps or floors	1,025,000		1,243		—
Mortgage delivery commitments	65,331		1		359
Total derivatives not designated as hedging instruments:	$	2,242,319	$	1,954	$	2,522
Total derivatives before netting and collateral adjustments	$	24,195,828	$	5,919	$	24,596
Netting adjustments and cash collateral (1)			170,116		(12,011)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	176,035	$	12,585

	December 31, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	14,307,383	$	1,494	$	5,193
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,868,988	$	71	$	2,386
Interest rate caps or floors	1,205,000		1,173		—
Mortgage delivery commitments	60,622		675		11
Total derivatives not designated as hedging instruments:	$	3,134,610	$	1,919	$	2,397
Total derivatives before netting and collateral adjustments	$	17,441,993	$	3,413	$	7,590
Netting adjustments and cash collateral (1)			133,629		(3,131)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	137,042	$	4,459

Note:

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $183.5 million for September 30, 2021 and $137.9 million for December 31, 2020. Cash collateral received was $1.4 million for September 30, 2021 and $1.1 million for December 31, 2020.

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2021
Hedged item type:
Advances	$	34,946	$	(35,065)	$	(33,835)	$	(33,954)	$	31,298
AFS securities	26,630		(26,434)		(14,422)		(14,226)		23,769
Mortgage loans held for portfolio	—		(823)		—		(823)		31,996
Consolidated obligations – bonds	(15,405)		15,370		15,950		15,915		(53,035)
Total	$	46,171	$	(46,952)	$	(32,307)	$	(33,088)
Nine months ended September 30, 2021
Hedged item type:
Advances	$	149,894	$	(150,010)	$	(108,662)	$	(108,778)	$	112,582
AFS securities	66,531		(65,003)		(32,560)		(31,032)		74,066
Mortgage loans held for portfolio	—		(2,844)		—		(2,844)		95,114
Consolidated obligations – bonds	(35,880)		35,904		32,093		32,117		(172,777)
Total	$	180,545	$	(181,953)	$	(109,129)	$	(110,537)

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2020
Hedged item type:
Advances	$	124,582	$	(124,569)	$	(69,603)	$	(69,590)	$	95,201
AFS securities	9,402		(8,918)		(7,070)		(6,586)		31,996
Mortgage loans held for portfolio	—		(1,035)		—		(1,035)		35,932
Consolidated obligations – bonds	(21,443)		21,693		21,635		21,885		(80,579)
Total	$	112,541	$	(112,829)	$	(55,038)	$	(55,326)
Nine months ended September 30, 2020
Hedged item type:
Advances	$	(188,539)	$	188,424	$	(136,712)	$	(136,827)	$	548,953
AFS securities	(103,292)		100,135		(13,734)		(16,891)		138,565
Mortgage loans held for portfolio	—		(2,118)		—		(2,118)		121,561
Consolidated obligations – bonds	4,938		(4,287)		54,393		55,044		(462,006)
	$	(286,893)	$	282,154	$	(96,053)	$	(100,792)

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2021
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	7,545,407	$	99,918	$	(21)	$	99,897
AFS securities	5,783,783		66,484		1,047		67,531
Consolidated obligations – bonds	8,762,313		(11,098)		180		(10,918)

(in thousands)	December 31, 2020
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	10,369,813	$	249,927	$	(24)	$	249,903
AFS securities	1,507,492		131,386		1,148		132,534
Consolidated obligations – bonds	2,838,505		24,701		284		24,985

Note:

(1) Includes carrying value of hedged items in current fair value hedging relationships.

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	348	$	4,588	$	14,021	$	(92,864)
Interest rate caps or floors	227		(57)		69		578
Net interest settlements	(640)		(1,726)		(4,860)		(8,891)
To Be Announced (TBA)	—		—		—		38
Mortgage delivery commitments	(349)		772		(3,916)		3,138
Other	—		(1)		—		148
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(414)	$	3,576	$	5,314	$	(97,853)
Other - price alignment amount on cleared derivatives (1)	3		13		9		168
Net gains (losses) on derivatives and hedging activities	$	(411)	$	3,589	$	5,323	$	(97,685)

Notes:

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

The Bank had no active cash flow hedging relationships during the first nine months of 2021 or 2020.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.

Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives.

Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at September 30, 2021 was $0.7 million. The Bank had no collateral posted against this position and even if the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would not have been required to deliver additional collateral to its derivative counterparties at September 30, 2021.

    Cleared Derivatives. For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing Houses notify the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses either CME Clearing or LCH Ltd. as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as settled to market, rather than collateral. Initial margin is considered collateralized to market.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 9 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

    For cleared derivatives, the Clearing House 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. The Bank was not required by its clearing agents to post additional initial margin at September 30, 2021.

    Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

    The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,680	$	2,355
Cleared derivatives	238		383
Total gross recognized amount	5,918		2,738
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(2,384)		(1,632)
Cleared derivatives	172,500		135,261
Total gross amounts of netting adjustments and cash collateral	170,116		133,629
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	3,296		723
Cleared derivatives	172,738		135,644
Total net amounts after netting adjustments and cash collateral	176,034		136,367
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	1		675
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	1		675
Total derivative assets:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total derivative assets as reported in the Statement of Condition	176,035		137,042
Net unsecured amount:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total net unsecured amount	$	176,035	$	137,042

	Derivative Liabilities
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,405	$	4,282
Cleared derivatives	10,832		3,297
Total gross recognized amount	24,237		7,579
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(11,773)		(2,748)
Cleared derivatives	(238)		(383)
Total gross amounts of netting adjustments and cash collateral	(12,011)		(3,131)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,632		1,534
Cleared derivatives	10,594		2,914
Total net amounts after netting adjustments and cash collateral	12,226		4,448
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	359		11
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	359		11
Total derivative liabilities
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total derivative liabilities as reported in the Statement of Condition	12,585		4,459
Net unsecured amount:
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total net unsecured amount	$	12,585	$	4,459

Note:

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

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Consolidated Obligations

9 Months Ended

Sep. 30, 2021

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor.

Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. If the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. However, the Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations was $641.4 billion at September 30, 2021 and $746.8 billion at December 31, 2020. Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 9 to the audited financial statements in the Bank's 2020 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Par value of consolidated bonds:
Fixed-rate	$	18,288,620	$	17,148,965
Step-up	1,146,000		40,000
Floating-rate	1,645,000		16,561,250
Total par value	21,079,620		33,750,215
Bond premiums	69,081		91,225
Bond discounts	(7,943)		(7,524)
Concession fees	(4,079)		(4,147)
Hedging adjustments	(10,918)		24,985
Total book value	$	21,125,761	$	33,854,754

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2021 and December 31, 2020.

	September 30, 2021				December 31, 2020
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	7,240,445	1.23	%	$	24,233,615	0.49	%
Due after 1 year through 2 years	2,251,650		1.83		3,024,625		2.19
Due after 2 years through 3 years	1,804,625		1.77		1,545,000		2.33
Due after 3 years through 4 years	1,477,625		1.41		1,164,475		2.41
Due after 4 years through 5 years	4,553,300		1.03		961,725		1.69
Thereafter	3,751,975		1.87		2,820,775		2.05
Total par value	$	21,079,620	1.42	%	$	33,750,215	0.96	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Noncallable	$	13,542,620	$	28,583,715
Callable	7,537,000		5,166,500
Total par value	$	21,079,620	$	33,750,215

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2021 and December 31, 2020.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2021		December 31, 2020
Due in 1 year or less	$	14,436,445	$	25,737,615
Due after 1 year through 2 years	2,449,650		3,038,625
Due after 2 years through 3 years	1,217,625		1,602,000
Due after 3 years through 4 years	864,625		1,089,475
Due after 4 years through 5 years	601,300		759,725
Thereafter	1,509,975		1,522,775
Total par value	$	21,079,620	$	33,750,215

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021			December 31, 2020
Book value	$	12,108,212		$	9,510,085
Par value	12,109,109			9,512,324
Weighted average interest rate (1)	0.03		%	0.11		%

Note:

(1) Represents an implied rate.

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Capital

9 Months Ended

Sep. 30, 2021

Banking Regulation, Total Capital [Abstract]

Capital

Capital

    The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 11 to the audited financial statements in the Bank’s 2020 Form 10-K. At September 30, 2021, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion in B1 membership stock and $0.9 billion in B2 activity stock at September 30, 2021. The Bank had $0.3 billion in B1 membership stock and $1.2 billion in B2 activity stock at December 31, 2020.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2021 and December 31, 2020.

	September 30, 2021						December 31, 2020
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	396,746		$	2,621,946		$	520,696		$	3,047,399
Total capital-to-asset ratio	4.0		%	7.0		%	4.0		%	6.4		%
Total regulatory capital	1,489,903			2,621,946			1,908,516			3,047,399
Leverage ratio	5.0		%	10.6		%	5.0		%	9.6		%
Leverage capital	1,862,379			3,932,918			2,385,645			4,571,099

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 28, 2021, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2021. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2021.

Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the relevant Bank's issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares' par value of $100, as mandated by the Bank's capital plan.

At September 30, 2021 and December 31, 2020, the Bank had $23.3 million and $142.8 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $0.7 million and $3.4 million during the three and nine months ended September 30, 2021, respectively. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $4.1 million and $14.1 million during the three and nine months ended September 30, 2020, respectively.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2021 and 2020.

	Nine months ended September 30,
(in thousands)	2021		2020
Balance, beginning of the period	$	142,807	$	343,575
Capital stock subject to mandatory redemption reclassified from capital	1,069		39,457
Redemption/repurchase of mandatorily redeemable stock	(120,603)		(159,980)
Balance, end of the period	$	23,273	$	223,052

    As of September 30, 2021, the total mandatorily redeemable capital stock reflected the balance for seven institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated.  Two other institutions have notified the Bank of their intention to voluntarily redeem their capital stock and withdraw from membership. These institutions will continue to be members of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	20,020		21
Due after 2 years through 3 years	—		20,000
Due after 3 years through 4 years	26		120,000
Due after 4 years through 5 years	1,069		19
Past contractual redemption date due to remaining activity	2,158		2,767
Total	$	23,273	$	142,807

Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding.

Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings.

FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 approximated $8.5 million based on its share of the $680.0 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account.

Dividends and Retained Earnings. In accordance with the Joint Capital Enhancement Agreement (JCEA), entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings account (RRE) until the account balance equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the current quarter. These RRE are not available to pay dividends and are presented separately from other retained earnings on the Statement of Condition. At September 30, 2021, the balance in RRE exceeded the threshold for the contribution requirement. Accordingly, no allocation of net income was made to RRE in the first nine months of 2021. At September 30, 2021, retained earnings were $1,397.0 million, including $939.6 million of unrestricted retained earnings and $457.4 million of RRE.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid through the third quarter of 2021 and 2020 are presented in the table below.

	Dividend - Annual Yield
	2021				2020
	Membership		Activity		Membership		Activity
February	2.50	%	5.75	%	4.50	%	7.75	%
April	2.50	%	5.75	%	3.00	%	6.25	%
July	1.25	%	5.25	%	3.00	%	6.25	%

    In October 2021, the Bank paid a quarterly dividend equal to an annual yield of 1.25% on membership stock and 5.25% on activity stock.

The following table summarizes the changes in AOCI for the three and nine months ended September 30, 2021 and 2020.

(in thousands)	Net Unrealized Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on AFS		Net Unrealized Gains (Losses) on Hedging Activities		Pension and Post-Retirement Plans		Total
June 30, 2020	$	118,049	$	—	$	—	$	(4,145)	$	113,904
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	26,384		—		—		—		26,384
Pension and post-retirement	—		—		—		171		171
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
June 30, 2021	$	131,818	$	—	$	—	$	(4,414)	$	127,404
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(1,284)		—		—		—		(1,284)
Pension and post-retirement	—		—		—		196		196
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316
December 31, 2019	$	45,155	$	51,704	$	149	$	(5,182)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU 2016-13	51,704		(51,704)		—		—		—
Net unrealized gains (losses)	47,574				—		—		47,574
Amortization on hedging activities	—		—		(149)		—		(149)
Pension and post-retirement	—		—		—		1,208		1,208
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
December 31, 2020	$	143,592	$	—	$	—	$	(6,266)	$	137,326
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(13,058)		—		—		—		(13,058)
Pension and post-retirement	—		—		—		2,048		2,048
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316

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Transactions with Related Parties

9 Months Ended

Sep. 30, 2021

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2021		December 31, 2020
Advances	$	6,595,309	$	10,856,363
Letters of credit (1)	16,167,276		2,730,541
MPF loans	1,872,702		483,983
Deposits	112,280		31,269
Capital stock	580,814		573,392

Note:

(1) Letters of credit are off-balance sheet commitments.

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Interest income on advances (1)	$	37,102	$	91,749	$	119,556	$	362,346
Interest income on MPF loans	15,429		6,101		48,865		19,021
Letters of credit fees	4,652		797		13,707		2,209

Note:

(1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included.

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Servicing fee expense	$	916	$	988	$	2,748	$	2,958

(in thousands)	September 30, 2021		December 31, 2020
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,503	$	5,856

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three and nine months ended September 30, 2021, the Bank borrowed and repaid $5.0 million. During the three and nine months ended September 30, 2020, the Bank borrowed and repaid $25.0 million. There was no lending activity during the nine months ended September 30, 2021 and September 30, 2020.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During the nine months ended September 30, 2021 and 2020, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2021 and 2020.

    In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations. Additional discussions regarding related party transactions can be found in Note 13 to the audited financial statements in the Bank's 2020 Form 10-K.

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Estimated Fair Values

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Estimated Fair Values

Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and 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). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2021 and December 31, 2020. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2021 and December 31, 2020 are presented in the table below.

Fair Value Summary Table
	September 30, 2021
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,119,508	$	1,119,508	$	—	$	—	$	—	$	1,119,508
Interest-bearing deposits	553,458		547,955		5,503		—		—		553,458
Federal funds sold	2,475,000		—		2,475,002		—		—		2,475,002
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,001		—		—		1,000,001
Trading securities	508,517		—		508,517		—		—		508,517
AFS securities	12,188,192		—		11,982,489		205,703		—		12,188,192
HTM securities	1,315,420		—		1,284,196		76,122		—		1,360,318
Advances	12,987,117		—		13,066,795		—		—		13,066,795
Mortgage loans held for portfolio, net	4,780,274		—		4,885,125		—		—		4,885,125
BOB loans, net	23,227		—		—		23,227		—		23,227
Accrued interest receivable	77,573		—		77,573		—		—		77,573
Derivative assets	176,035		—		5,919		—		170,116		176,035
Liabilities:
Deposits	$	965,933	$	—	$	965,933	$	—	$	—	$	965,933
Discount notes	12,108,212		—		12,108,390		—		—		12,108,390
Bonds	21,125,761		—		21,343,528		—		—		21,343,528
Mandatorily redeemable capital stock (3)	23,273		23,943		—		—		—		23,943
Accrued interest payable (3)	64,787		—		64,118		—		—		64,118
Derivative liabilities	12,585		—		24,596		—		(12,011)		12,585

	December 31, 2020
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,036,459	$	1,036,459	$	—	$	—	$	—	$	1,036,459
Interest-bearing deposits	956,628		950,772		5,856		—		—		956,628
Federal funds sold	1,850,000		—		1,850,009		—		—		1,850,009
Securities purchased under agreement to resell (2)	600,000		—		600,003		—		—		600,003
Trading securities	1,156,003		—		1,156,003		—		—		1,156,003
AFS securities	9,476,385		—		9,223,785		252,600		—		9,476,385
HTM securities	2,483,730		—		2,464,732		92,396		—		2,557,128
Advances	24,971,119		—		25,097,529		—		—		25,097,529
Mortgage loans held for portfolio, net	4,886,207		—		5,084,683		—		—		5,084,683
BOB loans, net	21,236		—		—		21,236		—		21,236
Accrued interest receivable	90,702		—		90,702		—		—		90,702
Derivative assets	137,042		—		3,413		—		133,629		137,042
Liabilities:
Deposits	$	923,371	$	—	$	923,371	$	—	$	—	$	923,371
Discount notes	9,510,085		—		9,510,584		—		—		9,510,584
Bonds	33,854,754		—		34,282,476		—		—		34,282,476
Mandatorily redeemable capital stock (3)	142,807		145,282		—		—		—		145,282
Accrued interest payable (3)	64,950		—		62,475		—		—		62,475
Derivative liabilities	4,459		—		7,590		—		(3,131)		4,459

Notes:

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

(2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight.

(3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

    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 or in which little information is released publicly; (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 - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques.

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities.

Summary of Valuation Methodologies and Primary Inputs

    The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below.

    Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

    For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

•U.S. Treasury curve: certificates of deposit

•CO curve: GSE and other U.S. obligations

    The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach.

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from multiple third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes.

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

As of September 30, 2021, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. Based on the Bank's reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, the Bank classified private label MBS as Level 3.

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar

instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

    The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

    Interest-rate related:

•Discount rate assumption. SOFR curve for cleared derivatives. Overnight Index Swap (OIS) curve for uncleared derivatives.

•Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

•Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

    Mortgage delivery commitments:

•TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market.

The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME Clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability.

    Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

    Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at September 30, 2021 and December 31, 2020. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	September 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	261,870	$	—	$	—	$	261,870
GSE and TVA obligations	—		246,647		—		—		246,647
Total trading securities	$	—	$	508,517	$	—	$	—	$	508,517
AFS securities:
Non MBS:
U.S. Treasury obligations	$	—	$	4,405,357	$	—	$	—	$	4,405,357
GSE and TVA obligations	—		1,519,356		—		—		1,519,356
State or local agency obligations	—		220,930		—		—		220,930
MBS:
U.S. obligations single-family MBS	—		437,294		—		—		437,294
GSE single-family MBS	—		2,303,079		—		—		2,303,079
GSE multifamily MBS	—		3,096,473		—		—		3,096,473
Private label MBS	—		—		205,703		—		205,703
Total AFS securities	$	—	$	11,982,489	$	205,703	$	—	$	12,188,192
Derivative assets:
Interest rate related	$	—	$	5,918	$	—	$	170,116	$	176,034
Mortgage delivery commitments	—		1		—		—		1
Total derivative assets	$	—	$	5,919	$	—	$	170,116	$	176,035
Total recurring assets at fair value	$	—	$	12,496,925	$	205,703	$	170,116	$	12,872,744
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	24,237	$	—	$	(12,011)	$	12,226
Mortgage delivery commitments	—		359		—		—		359
Total recurring liabilities at fair value (2)	$	—	$	24,596	$	—	$	(12,011)	$	12,585
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	9,018	$	—	$	9,018
REO	—		—		356		—		356
Total non-recurring assets at fair value	$	—	$	—	$	9,374	$	—	$	9,374

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	899,421	$	—	$	—	$	899,421
GSE and TVA obligations	—		256,582		—		—		256,582
Total trading securities	$	—	$	1,156,003	$	—	$	—	$	1,156,003
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,643,733	$	—	$	—	1,643,733
State or local agency obligations	—		241,630		—		—		241,630
MBS:
U.S. obligations single-family MBS	—		602,148		—		—		602,148
GSE single-family MBS	—		3,262,880		—		—		3,262,880
GSE multifamily MBS	—		3,473,394		—		—		3,473,394
Private label MBS	—		—		252,600		—		252,600
Total AFS securities	$	—	$	9,223,785	$	252,600	$	—	$	9,476,385
Derivative assets:
Interest rate related	$	—	$	2,738	$	—	$	133,629	$	136,367
Mortgage delivery commitments	—		675		—		—		675
Total derivative assets	$	—	$	3,413	$	—	$	133,629	$	137,042
Total recurring assets at fair value	$	—	$	10,383,201	$	252,600	$	133,629	$	10,769,430
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	7,579	$	—	$	(3,131)	$	4,448
Mortgage delivery commitments	—		11		—		—		11
Total recurring liabilities at fair value (2)	$	—	$	7,590	$	—	$	(3,131)	$	4,459
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	18,382	$	—	$	18,382
REO	—		—		1,270		—		1,270
Total non-recurring assets at fair value	$	—	$	—	$	19,652	$	—	$	19,652

Notes:

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

(2) Derivative liabilities represent the total liabilities at fair value.

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2021 and 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2021 or 2020.

	AFS Private Label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	220,558	$	280,882	$	252,600	$	326,146
Total gains (losses) (realized/unrealized) included in:
(Provision) reversal for credit losses	536		(117)		329		(1,691)
Accretion of credit losses in interest income	2,522		3,000		7,719		8,938
Net unrealized gains (losses) on AFS in OCI	(728)		1,400		(2,633)		(15,114)
Purchases, issuances, sales, and settlements:
Settlements	(17,185)		(17,541)		(52,312)		(50,655)
Balance at September 30	$	205,703	$	267,624	$	205,703	$	267,624
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30	$	3,059	$	2,883	$	7,823	$	7,247
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30	$	(728)	$	1,400	$	(2,633)	$	(15,114)

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2021

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	September 30, 2021						December 31, 2020
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	20,403,323	$	—	$	20,403,323	$	19,723,286
Commitments to fund additional advances and BOB loans	1,043		—		1,043		760
Commitments to purchase mortgage loans	65,331		—		65,331		60,622
Unsettled consolidated obligation bonds, at par	1,169,000		—		1,169,000		15,000
Unsettled consolidated obligation discount notes, at par	—		—		—		950

Notes:

(1) Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020.

(2) Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance.

    Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.3 million at September 30, 2021 and $3.9 million at December 31, 2020. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 3 - Advances.

Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at September 30, 2021 or December 31, 2020. However, within the Bank's Rollover (weekly/monthly) advance product, there were conditional lines of credit outstanding of $12.3 billion at both September 30, 2021 and December 31, 2020.

Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 5 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

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

Notes 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.

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Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2021

Credit Loss, Financial Instrument [Policy Text Block]

Derivatives, Policy

The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives.Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero.

Fair Value Measurement, Policy

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

    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 or in which little information is released publicly; (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 - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques.

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities.

Fair Value of Financial Instruments, Policy

Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities.

    For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows:

•U.S. Treasury curve: certificates of deposit

•CO curve: GSE and other U.S. obligations

    The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach.

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from multiple third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar

instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature.

    The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

    Interest-rate related:

•Discount rate assumption. SOFR curve for cleared derivatives. Overnight Index Swap (OIS) curve for uncleared derivatives.

•Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve.

•Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

    Mortgage delivery commitments:

•TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market.

The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary.

The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME Clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately.

The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability.

    Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation.

    Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

Fair Value Transfer, Policy

For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur.

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Investments (Tables)

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Schedule of Trading Securities

The following table presents trading securities as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
U.S. Treasury obligations	$	261,870	$	899,421
GSE and TVA obligations	246,647		256,582
Total	$	508,517	$	1,156,003

Net Gains (Losses) on Trading Securities

The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2021 and 2020.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Net unrealized gains (losses) on trading securities held at period-end	$	(2,979)	$	(3,447)	$	(13,087)	$	28,640
Net gains (losses) on trading securities sold/matured during the period	(134)		(1,876)		(2,740)		25,228
Net gains (losses) on trading securities	$	(3,113)	$	(5,323)	$	(15,827)	$	53,868

Schedule of Available-for-sale Securities Reconciliation [Table Text Block]

The following tables present AFS securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	4,396,710	$	—	$	8,691	$	(44)	$	4,405,357
GSE and TVA obligations	1,473,234		—		46,122		—		1,519,356
State or local agency obligations	212,164		—		8,766		—		220,930
Total non-MBS	$	6,082,108	$	—	$	63,579	$	(44)	$	6,145,643
MBS:
U.S. obligations single-family MBS	$	431,963	$	—	$	5,382	$	(51)	$	437,294
GSE single-family MBS	2,281,070		—		22,269		(260)		2,303,079
GSE multifamily MBS	3,091,172		—		6,708		(1,407)		3,096,473
Private label MBS	173,433		(2,088)		34,445		(87)		205,703
Total MBS	$	5,977,638	$	(2,088)	$	68,804	$	(1,805)	$	6,042,549
Total AFS securities	$	12,059,746	$	(2,088)	$	132,383	$	(1,849)	$	12,188,192

	December 31, 2020
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
GSE and TVA obligations	$	1,590,661	$	—	$	53,072	$	—	$	1,643,733
State or local agency obligations	227,248		—		14,382		—		241,630
Total non-MBS	$	1,817,909	$	—	$	67,454	$	—	$	1,885,363
MBS:
U.S. obligations single-family MBS	$	595,215	$	—	$	6,994	$	(61)	$	602,148
GSE single-family MBS	3,237,124		—		25,969		(213)		3,262,880
GSE multifamily MBS	3,466,937		—		10,235		(3,778)		3,473,394
Private label MBS	218,025		(2,417)		37,149		(157)		252,600
Total MBS	$	7,517,301	$	(2,417)	$	80,347	$	(4,209)	$	7,591,022
Total AFS securities	$	9,335,210	$	(2,417)	$	147,801	$	(4,209)	$	9,476,385

Notes:

(1) 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block]

The following tables summarize the AFS securities with unrealized losses as of September 30, 2021 and December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	September 30, 2021
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	99,418	$	(44)	$	—	$	—	$	99,418	$	(44)
MBS:
U.S. obligations single-family MBS	$	21,512	$	(51)	$	—	$	—	$	21,512	$	(51)
GSE single-family MBS	149,651		(260)		—		—		149,651		(260)
GSE multifamily MBS	467,068		(555)		524,485		(852)		991,553		(1,407)
Private label MBS	70		(1)		2,463		(86)		2,533		(87)
Total MBS	$	638,301	$	(867)	$	526,948	$	(938)	$	1,165,249	$	(1,805)
Total	$	737,719	$	(911)	$	526,948	$	(938)	$	1,264,667	$	(1,849)

	December 31, 2020
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
MBS:
U.S. obligations single-family MBS	$	8,591	$	(17)	$	25,713	$	(44)	$	34,304	$	(61)
GSE single-family MBS	54,657		(21)		217,942		(192)		272,599		(213)
GSE multifamily MBS	156,006		(70)		2,276,207		(3,708)		2,432,213		(3,778)
Private label MBS	1,767		(10)		2,631		(147)		4,398		(157)
Total MBS	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)
Total	$	221,021	$	(118)	$	2,522,493	$	(4,091)	$	2,743,514	$	(4,209)

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	196,493	$	198,694	$	73,115	$	73,276
Due after one year through five years	3,031,519		3,041,043		570,540		581,853
Due after five years through ten years	2,590,569		2,629,311		789,408		820,239
Due after ten years	263,527		276,595		384,846		409,995
Total non-MBS	6,082,108		6,145,643		1,817,909		1,885,363
MBS	5,977,638		6,042,549		7,517,301		7,591,022
Total AFS securities	$	12,059,746	$	12,188,192	$	9,335,210	$	9,476,385

The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	September 30, 2021				December 31, 2020
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	—	$	—	$	750,000	$	750,077
Due after one year through five years	—		—		—		—
Due after five years through ten years	—		—		—		—
Due after ten years	—		—		—		—
Total non-MBS	—		—		750,000		750,077
MBS	1,315,420		1,360,318		1,733,730		1,807,051
Total HTM securities	$	1,315,420	$	1,360,318	$	2,483,730	$	2,557,128

Debt Securities, Held-to-maturity [Table Text Block]

The following tables present HTM securities as of September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
MBS:
U.S. obligations single-family MBS	$	90,598	$	1,218	$	—	$	91,816
GSE single-family MBS	635,540		10,776		(6,925)		639,391
GSE multifamily MBS	513,475		39,514		—		552,989
Private label MBS	75,807		814		(499)		76,122
Total MBS	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318
Total HTM securities (2)	$	1,315,420	$	52,322	$	(7,424)	$	1,360,318

	December 31, 2020
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
Non-MBS:
Certificates of deposit	$	750,000	$	77	$	—	$	750,077
MBS:
U.S. obligations single-family MBS	$	120,539	$	1,213	$	—	$	121,752
GSE single-family MBS	989,824		20,337		(1,053)		1,009,108
GSE multifamily MBS	530,240		53,555		—		583,795
Private label MBS	93,127		582		(1,313)		92,396
Total MBS	$	1,733,730	$	75,687	$	(2,366)	$	1,807,051
Total HTM securities (2)	$	2,483,730	$	75,764	$	(2,366)	$	2,557,128

Notes:

(1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

(2) No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020.

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

The following table details interest payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of AFS non-MBS:
Fixed-rate	$	6,082,108	$	1,817,909
Variable-rate	—		—
Total non-MBS	$	6,082,108	$	1,817,909
Amortized cost of AFS MBS:
Fixed-rate	$	887,774	$	1,382,062
Variable-rate	5,089,864		6,135,239
Total MBS	$	5,977,638	$	7,517,301
Total amortized cost of AFS securities	$	12,059,746	$	9,335,210

The following table details interest rate payment terms at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Amortized cost of HTM non-MBS:
Fixed-rate	$	—	$	750,000
Variable-rate	—		—
Total non-MBS	$	—	$	750,000
Amortized cost of HTM MBS:
Fixed-rate	$	1,129,418	$	1,493,149
Variable-rate	186,002		240,581
Total MBS	$	1,315,420	$	1,733,730
Total HTM securities	$	1,315,420	$	2,483,730

Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block]

The following table presents a rollforward of the ACL on AFS securities for the three and nine months ended September 30, 2021 and 2020.

	Private label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	2,624	$	1,574	$	2,417	$	—
Increases (decreases) for securities in which a previous ACL or OTTI was recorded	(536)		117		(329)		1,691
Balance, end of period	$	2,088	$	1,691	$	2,088	$	1,691

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Advances (Tables)

9 Months Ended

Sep. 30, 2021

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date

The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021				December 31, 2020
Year of Redemption	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	8,139,089	1.54	%	$	14,760,790	0.84	%
Due after 1 year through 2 years	2,194,831		2.29		5,878,635		2.25
Due after 2 years through 3 years	1,031,406		1.79		1,584,471		2.08
Due after 3 years through 4 years	1,116,493		2.02		1,126,992		1.85
Due after 4 years through 5 years	219,231		1.09		1,163,781		1.91
Thereafter	187,205		2.54		210,220		2.55
Total par value	12,888,255		1.74	%	24,724,889		1.37	%
Deferred prepayment fees	(1,035)				(3,673)
Hedging adjustments	99,897				249,903
Total book value (1)	$	12,987,117			$	24,971,119

The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2021 and December 31, 2020.

	Year of Redemption or Next Call Date				Year of Redemption or Next Convertible Date
(in thousands)	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Due in 1 year or less	$	8,179,089	$	14,860,790	$	8,159,089	$	14,780,790
Due after 1 year through 2 years	2,194,831		5,818,635		2,188,831		5,878,635
Due after 2 years through 3 years	991,406		1,584,471		1,031,406		1,578,471
Due after 3 years through 4 years	1,116,493		1,086,992		1,102,493		1,121,992
Due after 4 years through 5 years	219,231		1,163,781		219,231		1,154,781
Thereafter	187,205		210,220		187,205		210,220
Total par value	$	12,888,255	$	24,724,889	$	12,888,255	$	24,724,889

The following table details interest rate payment terms by year of redemption for advances as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate – overnight	$	239,667	$	37,225
Fixed-rate – term:
Due in 1 year or less	7,073,579		6,658,991
Thereafter	4,606,066		9,810,998
Total fixed-rate	11,919,312		16,507,214
Variable-rate:
Due in 1 year or less	825,843		8,064,575
Thereafter	143,100		153,100
Total variable-rate	968,943		8,217,675
Total par value	$	12,888,255	$	24,724,889

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Mortgage Loans Held for Portfolio (Tables)

9 Months Ended

Sep. 30, 2021

Receivables [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of September 30, 2021 and December 31, 2020 for mortgage loans held for portfolio.

(in thousands)	September 30, 2021		December 31, 2020
Fixed-rate long-term single-family mortgages (1)	$	4,512,619	$	4,610,761
Fixed-rate medium-term single-family mortgages (1)	177,370		181,535
Total par value	4,689,989		4,792,296
Premiums	87,316		87,424
Discounts	(1,907)		(2,439)
Hedging adjustments	7,749		13,898
Total mortgage loans held for portfolio (2)	$	4,783,147	$	4,891,179
Allowance for credit losses on mortgage loans	(2,873)		(4,972)
Mortgage loans held for portfolio, net	$	4,780,274	$	4,886,207

Note:

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

(2) Amounts exclude accrued interest receivable of $22.6 million at September 30, 2021 and $25.7 million at December 31, 2020.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Conventional loans	$	4,552,754	$	4,633,848
Government-guaranteed/insured loans	137,235		158,448
Total par value	$	4,689,989	$	4,792,296

Financing Receivable Credit Quality Indicators [Table Text Block]

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2017		2017 to 2021		Total
Past due 30-59 days	$	11,005	$	16,002	$	27,007
Past due 60-89 days	2,245		3,591		5,836
Past due 90 days or more	13,853		23,800		37,653
Total past due loans	$	27,103	$	43,393	$	70,496
Current loans	1,209,257		3,362,793		4,572,050
Total conventional loans (2)	$	1,236,360	$	3,406,186	$	4,642,546
	December 31, 2020
	Origination Year
Payment Status, at amortized cost (1)	Prior to 2016		2016 to 2020		Total
Past due 30-59 days	$	14,211	$	26,825	$	41,036
Past due 60-89 days	5,719		10,950		16,669
Past due 90 days or more	18,070		61,185		79,255
Total past due loans	$	38,000	$	98,960	$	136,960
Current loans	1,132,774		3,458,941		4,591,715
Total conventional loans (3)	$	1,170,774	$	3,557,901	$	4,728,675

Note:

(1) The amortized cost at September 30, 2021 and December 31, 2020 excludes accrued interest receivable.

(2) Includes approximately $32.6 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $0.9 million was current, $4.3 million was 30-59 days past due, $2.5 million was 60-89 days past due, and $24.9 million was 90 days or more past due at September 30, 2021.

(3) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	2,094		$	516		$	2,610
Serious delinquency rate (2)	0.8		%	2.5		%	0.9		%
Past due 90 days or more still accruing interest	$	—		$	3,502		$	3,502
Loans on nonaccrual status (3)	$	42,112		$	—		$	42,112
	December 31, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	8,238		$	1,667		$	9,905
Serious delinquency rate (2)	1.7		%	3.7		%	1.8		%
Past due 90 days or more still accruing interest	$	—		$	5,483		$	5,483
Loans on nonaccrual status (3)	$	91,201		$	—		$	91,201

Note:

(1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

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

(3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Financing Receivable, Past Due [Table Text Block]

The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.

	September 30, 2021
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	2,094		$	516		$	2,610
Serious delinquency rate (2)	0.8		%	2.5		%	0.9		%
Past due 90 days or more still accruing interest	$	—		$	3,502		$	3,502
Loans on nonaccrual status (3)	$	42,112		$	—		$	42,112
	December 31, 2020
(dollars in thousands)	Conventional MPF Loans			Government-Guaranteed or Insured Loans (2)			Total
In process of foreclosures, included above (1)	$	8,238		$	1,667		$	9,905
Serious delinquency rate (2)	1.7		%	3.7		%	1.8		%
Past due 90 days or more still accruing interest	$	—		$	5,483		$	5,483
Loans on nonaccrual status (3)	$	91,201		$	—		$	91,201

Note:

(1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

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

(3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.

Financing Receivable, Allowance for Credit Loss [Table Text Block]

ollforward of ACL

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	3,225	$	5,900	$	4,972	$	7,832
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)	—		—		—		(3,875)
(Charge-offs) Recoveries, net (2)	27		(584)		533		(428)
Provision (reversal) for credit losses	(379)		1,338		(2,632)		3,125
Balance, September 30	$	2,873	$	6,654	$	2,873	$	6,654

Note:

(1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million.

(2) Net charge-offs that the Bank does not expect to recover through CE receivable.

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables summarize the notional amount and fair value of derivative instruments and total derivatives 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.

	September 30, 2021
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	21,953,509	$	3,965	$	22,074
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,151,988	$	710	$	2,163
Interest rate caps or floors	1,025,000		1,243		—
Mortgage delivery commitments	65,331		1		359
Total derivatives not designated as hedging instruments:	$	2,242,319	$	1,954	$	2,522
Total derivatives before netting and collateral adjustments	$	24,195,828	$	5,919	$	24,596
Netting adjustments and cash collateral (1)			170,116		(12,011)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	176,035	$	12,585

	December 31, 2020
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	14,307,383	$	1,494	$	5,193
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,868,988	$	71	$	2,386
Interest rate caps or floors	1,205,000		1,173		—
Mortgage delivery commitments	60,622		675		11
Total derivatives not designated as hedging instruments:	$	3,134,610	$	1,919	$	2,397
Total derivatives before netting and collateral adjustments	$	17,441,993	$	3,413	$	7,590
Netting adjustments and cash collateral (1)			133,629		(3,131)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	137,042	$	4,459

Note:

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $183.5 million for September 30, 2021 and $137.9 million for December 31, 2020. Cash collateral received was $1.4 million for September 30, 2021 and $1.1 million for December 31, 2020.

Derivative Instruments, Gain (Loss)

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2021
Hedged item type:
Advances	$	34,946	$	(35,065)	$	(33,835)	$	(33,954)	$	31,298
AFS securities	26,630		(26,434)		(14,422)		(14,226)		23,769
Mortgage loans held for portfolio	—		(823)		—		(823)		31,996
Consolidated obligations – bonds	(15,405)		15,370		15,950		15,915		(53,035)
Total	$	46,171	$	(46,952)	$	(32,307)	$	(33,088)
Nine months ended September 30, 2021
Hedged item type:
Advances	$	149,894	$	(150,010)	$	(108,662)	$	(108,778)	$	112,582
AFS securities	66,531		(65,003)		(32,560)		(31,032)		74,066
Mortgage loans held for portfolio	—		(2,844)		—		(2,844)		95,114
Consolidated obligations – bonds	(35,880)		35,904		32,093		32,117		(172,777)
Total	$	180,545	$	(181,953)	$	(109,129)	$	(110,537)

(in thousands)	Gains/(Losses) on Derivative		Gains/ (Losses) on Hedged Item		Net Interest Settlements		Effect of Derivatives on Net Interest Income		Total Interest Income/ (Expense) Recorded in the Statement of Income
Three months ended September 30, 2020
Hedged item type:
Advances	$	124,582	$	(124,569)	$	(69,603)	$	(69,590)	$	95,201
AFS securities	9,402		(8,918)		(7,070)		(6,586)		31,996
Mortgage loans held for portfolio	—		(1,035)		—		(1,035)		35,932
Consolidated obligations – bonds	(21,443)		21,693		21,635		21,885		(80,579)
Total	$	112,541	$	(112,829)	$	(55,038)	$	(55,326)
Nine months ended September 30, 2020
Hedged item type:
Advances	$	(188,539)	$	188,424	$	(136,712)	$	(136,827)	$	548,953
AFS securities	(103,292)		100,135		(13,734)		(16,891)		138,565
Mortgage loans held for portfolio	—		(2,118)		—		(2,118)		121,561
Consolidated obligations – bonds	4,938		(4,287)		54,393		55,044		(462,006)
	$	(286,893)	$	282,154	$	(96,053)	$	(100,792)

The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	348	$	4,588	$	14,021	$	(92,864)
Interest rate caps or floors	227		(57)		69		578
Net interest settlements	(640)		(1,726)		(4,860)		(8,891)
To Be Announced (TBA)	—		—		—		38
Mortgage delivery commitments	(349)		772		(3,916)		3,138
Other	—		(1)		—		148
Total net gains (losses) related to derivatives not designated as hedging instruments	$	(414)	$	3,576	$	5,314	$	(97,853)
Other - price alignment amount on cleared derivatives (1)	3		13		9		168
Net gains (losses) on derivatives and hedging activities	$	(411)	$	3,589	$	5,323	$	(97,685)

Notes:

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

Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.

(in thousands)	September 30, 2021
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	7,545,407	$	99,918	$	(21)	$	99,897
AFS securities	5,783,783		66,484		1,047		67,531
Consolidated obligations – bonds	8,762,313		(11,098)		180		(10,918)

(in thousands)	December 31, 2020
Hedged item type	Carrying Amount of Hedged Assets/Liabilities (1)		Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities		Fair Value Hedging Adjustments for Discontinued Hedging Relationships		Total Amount of Fair Value Hedging Adjustments
Advances	$	10,369,813	$	249,927	$	(24)	$	249,903
AFS securities	1,507,492		131,386		1,148		132,534
Consolidated obligations – bonds	2,838,505		24,701		284		24,985

Note:

(1) Includes carrying value of hedged items in current fair value hedging relationships.

Offsetting Assets

When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure.  Initial margin posted to the clearing house is presented as a derivative asset.

    The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	5,680	$	2,355
Cleared derivatives	238		383
Total gross recognized amount	5,918		2,738
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(2,384)		(1,632)
Cleared derivatives	172,500		135,261
Total gross amounts of netting adjustments and cash collateral	170,116		133,629
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	3,296		723
Cleared derivatives	172,738		135,644
Total net amounts after netting adjustments and cash collateral	176,034		136,367
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	1		675
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	1		675
Total derivative assets:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total derivative assets as reported in the Statement of Condition	176,035		137,042
Net unsecured amount:
Uncleared derivatives	3,297		1,398
Cleared derivatives	172,738		135,644
Total net unsecured amount	$	176,035	$	137,042

	Derivative Liabilities
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,405	$	4,282
Cleared derivatives	10,832		3,297
Total gross recognized amount	24,237		7,579
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(11,773)		(2,748)
Cleared derivatives	(238)		(383)
Total gross amounts of netting adjustments and cash collateral	(12,011)		(3,131)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,632		1,534
Cleared derivatives	10,594		2,914
Total net amounts after netting adjustments and cash collateral	12,226		4,448
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	359		11
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	359		11
Total derivative liabilities
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total derivative liabilities as reported in the Statement of Condition	12,585		4,459
Net unsecured amount:
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total net unsecured amount	$	12,585	$	4,459

Note:

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

Offsetting Liabilities

	Derivative Liabilities
(in thousands)	September 30, 2021		December 31, 2020
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	13,405	$	4,282
Cleared derivatives	10,832		3,297
Total gross recognized amount	24,237		7,579
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives	(11,773)		(2,748)
Cleared derivatives	(238)		(383)
Total gross amounts of netting adjustments and cash collateral	(12,011)		(3,131)
Net amounts after netting adjustments and cash collateral
Uncleared derivatives	1,632		1,534
Cleared derivatives	10,594		2,914
Total net amounts after netting adjustments and cash collateral	12,226		4,448
Derivative instruments not meeting netting requirements: (1)
Uncleared derivatives	359		11
Cleared derivatives	—		—
Total derivative instruments not meeting netting requirements:	359		11
Total derivative liabilities
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total derivative liabilities as reported in the Statement of Condition	12,585		4,459
Net unsecured amount:
Uncleared derivatives	1,991		1,545
Cleared derivatives	10,594		2,914
Total net unsecured amount	$	12,585	$	4,459

Note:

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

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Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of Short-term and Long-term Debt [Line Items]

Schedule of Maturities of Debt

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2021 and December 31, 2020.

	September 30, 2021				December 31, 2020
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	7,240,445	1.23	%	$	24,233,615	0.49	%
Due after 1 year through 2 years	2,251,650		1.83		3,024,625		2.19
Due after 2 years through 3 years	1,804,625		1.77		1,545,000		2.33
Due after 3 years through 4 years	1,477,625		1.41		1,164,475		2.41
Due after 4 years through 5 years	4,553,300		1.03		961,725		1.69
Thereafter	3,751,975		1.87		2,820,775		2.05
Total par value	$	21,079,620	1.42	%	$	33,750,215	0.96	%

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2021 and December 31, 2020.

(in thousands) Year of Contractual Maturity or Next Call Date	September 30, 2021		December 31, 2020
Due in 1 year or less	$	14,436,445	$	25,737,615
Due after 1 year through 2 years	2,449,650		3,038,625
Due after 2 years through 3 years	1,217,625		1,602,000
Due after 3 years through 4 years	864,625		1,089,475
Due after 4 years through 5 years	601,300		759,725
Thereafter	1,509,975		1,522,775
Total par value	$	21,079,620	$	33,750,215

Schedule of Long-term Debt by Call Feature

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Par value of consolidated bonds:
Fixed-rate	$	18,288,620	$	17,148,965
Step-up	1,146,000		40,000
Floating-rate	1,645,000		16,561,250
Total par value	21,079,620		33,750,215
Bond premiums	69,081		91,225
Bond discounts	(7,943)		(7,524)
Concession fees	(4,079)		(4,147)
Hedging adjustments	(10,918)		24,985
Total book value	$	21,125,761	$	33,854,754

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Noncallable	$	13,542,620	$	28,583,715
Callable	7,537,000		5,166,500
Total par value	$	21,079,620	$	33,750,215

Schedule of Short-term Debt

The following table details the Bank’s consolidated obligation discount notes as of September 30, 2021 and December 31, 2020.

(dollars in thousands)	September 30, 2021			December 31, 2020
Book value	$	12,108,212		$	9,510,085
Par value	12,109,109			9,512,324
Weighted average interest rate (1)	0.03		%	0.11		%

Note:

(1) Represents an implied rate.

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Capital (Tables)

9 Months Ended

Sep. 30, 2021

Banking Regulation, Total Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2021 and December 31, 2020.

	September 30, 2021						December 31, 2020
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	396,746		$	2,621,946		$	520,696		$	3,047,399
Total capital-to-asset ratio	4.0		%	7.0		%	4.0		%	6.4		%
Total regulatory capital	1,489,903			2,621,946			1,908,516			3,047,399
Leverage ratio	5.0		%	10.6		%	5.0		%	9.6		%
Leverage capital	1,862,379			3,932,918			2,385,645			4,571,099

Schedule of Dividends Paid [Table Text Block]

Dividends paid through the third quarter of 2021 and 2020 are presented in the table below.

	Dividend - Annual Yield
	2021				2020
	Membership		Activity		Membership		Activity
February	2.50	%	5.75	%	4.50	%	7.75	%
April	2.50	%	5.75	%	3.00	%	6.25	%
July	1.25	%	5.25	%	3.00	%	6.25	%

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2021 and 2020.

	Nine months ended September 30,
(in thousands)	2021		2020
Balance, beginning of the period	$	142,807	$	343,575
Capital stock subject to mandatory redemption reclassified from capital	1,069		39,457
Redemption/repurchase of mandatorily redeemable stock	(120,603)		(159,980)
Balance, end of the period	$	23,273	$	223,052

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2021 and December 31, 2020.

(in thousands)	September 30, 2021		December 31, 2020
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	20,020		21
Due after 2 years through 3 years	—		20,000
Due after 3 years through 4 years	26		120,000
Due after 4 years through 5 years	1,069		19
Past contractual redemption date due to remaining activity	2,158		2,767
Total	$	23,273	$	142,807

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for the three and nine months ended September 30, 2021 and 2020.

(in thousands)	Net Unrealized Gains(Losses) on AFS		Non-credit OTTI Gains(Losses) on AFS		Net Unrealized Gains (Losses) on Hedging Activities		Pension and Post-Retirement Plans		Total
June 30, 2020	$	118,049	$	—	$	—	$	(4,145)	$	113,904
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	26,384		—		—		—		26,384
Pension and post-retirement	—		—		—		171		171
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
June 30, 2021	$	131,818	$	—	$	—	$	(4,414)	$	127,404
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(1,284)		—		—		—		(1,284)
Pension and post-retirement	—		—		—		196		196
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316
December 31, 2019	$	45,155	$	51,704	$	149	$	(5,182)	$	91,826
Other comprehensive income (loss) before reclassification:
Adoption of ASU 2016-13	51,704		(51,704)		—		—		—
Net unrealized gains (losses)	47,574				—		—		47,574
Amortization on hedging activities	—		—		(149)		—		(149)
Pension and post-retirement	—		—		—		1,208		1,208
September 30, 2020	$	144,433	$	—	$	—	$	(3,974)	$	140,459
December 31, 2020	$	143,592	$	—	$	—	$	(6,266)	$	137,326
Other comprehensive income (loss) before reclassification:
Net unrealized gains (losses)	(13,058)		—		—		—		(13,058)
Pension and post-retirement	—		—		—		2,048		2,048
September 30, 2021	$	130,534	$	—	$	—	$	(4,218)	$	126,316

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Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2021

Related Party Transaction [Line Items]

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member-activity balances.

(in thousands)	September 30, 2021		December 31, 2020
Advances	$	6,595,309	$	10,856,363
Letters of credit (1)	16,167,276		2,730,541
MPF loans	1,872,702		483,983
Deposits	112,280		31,269
Capital stock	580,814		573,392

Note:

(1) Letters of credit are off-balance sheet commitments.

Related Party Transactions, Income Statement

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Interest income on advances (1)	$	37,102	$	91,749	$	119,556	$	362,346
Interest income on MPF loans	15,429		6,101		48,865		19,021
Letters of credit fees	4,652		797		13,707		2,209

Note:

(1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included.

FHLBank of Chicago [Member]

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Servicing fee expense	$	916	$	988	$	2,748	$	2,958

(in thousands)	September 30, 2021		December 31, 2020
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,503	$	5,856

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Estimated Fair Values (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2021 and December 31, 2020 are presented in the table below.

Fair Value Summary Table
	September 30, 2021
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,119,508	$	1,119,508	$	—	$	—	$	—	$	1,119,508
Interest-bearing deposits	553,458		547,955		5,503		—		—		553,458
Federal funds sold	2,475,000		—		2,475,002		—		—		2,475,002
Securities purchased under agreement to resell (2)	1,000,000		—		1,000,001		—		—		1,000,001
Trading securities	508,517		—		508,517		—		—		508,517
AFS securities	12,188,192		—		11,982,489		205,703		—		12,188,192
HTM securities	1,315,420		—		1,284,196		76,122		—		1,360,318
Advances	12,987,117		—		13,066,795		—		—		13,066,795
Mortgage loans held for portfolio, net	4,780,274		—		4,885,125		—		—		4,885,125
BOB loans, net	23,227		—		—		23,227		—		23,227
Accrued interest receivable	77,573		—		77,573		—		—		77,573
Derivative assets	176,035		—		5,919		—		170,116		176,035
Liabilities:
Deposits	$	965,933	$	—	$	965,933	$	—	$	—	$	965,933
Discount notes	12,108,212		—		12,108,390		—		—		12,108,390
Bonds	21,125,761		—		21,343,528		—		—		21,343,528
Mandatorily redeemable capital stock (3)	23,273		23,943		—		—		—		23,943
Accrued interest payable (3)	64,787		—		64,118		—		—		64,118
Derivative liabilities	12,585		—		24,596		—		(12,011)		12,585

	December 31, 2020
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	1,036,459	$	1,036,459	$	—	$	—	$	—	$	1,036,459
Interest-bearing deposits	956,628		950,772		5,856		—		—		956,628
Federal funds sold	1,850,000		—		1,850,009		—		—		1,850,009
Securities purchased under agreement to resell (2)	600,000		—		600,003		—		—		600,003
Trading securities	1,156,003		—		1,156,003		—		—		1,156,003
AFS securities	9,476,385		—		9,223,785		252,600		—		9,476,385
HTM securities	2,483,730		—		2,464,732		92,396		—		2,557,128
Advances	24,971,119		—		25,097,529		—		—		25,097,529
Mortgage loans held for portfolio, net	4,886,207		—		5,084,683		—		—		5,084,683
BOB loans, net	21,236		—		—		21,236		—		21,236
Accrued interest receivable	90,702		—		90,702		—		—		90,702
Derivative assets	137,042		—		3,413		—		133,629		137,042
Liabilities:
Deposits	$	923,371	$	—	$	923,371	$	—	$	—	$	923,371
Discount notes	9,510,085		—		9,510,584		—		—		9,510,584
Bonds	33,854,754		—		34,282,476		—		—		34,282,476
Mandatorily redeemable capital stock (3)	142,807		145,282		—		—		—		145,282
Accrued interest payable (3)	64,950		—		62,475		—		—		62,475
Derivative liabilities	4,459		—		7,590		—		(3,131)		4,459

Notes:

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

(2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight.

(3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

Fair Value Measurements

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at September 30, 2021 and December 31, 2020. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.

	September 30, 2021
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	261,870	$	—	$	—	$	261,870
GSE and TVA obligations	—		246,647		—		—		246,647
Total trading securities	$	—	$	508,517	$	—	$	—	$	508,517
AFS securities:
Non MBS:
U.S. Treasury obligations	$	—	$	4,405,357	$	—	$	—	$	4,405,357
GSE and TVA obligations	—		1,519,356		—		—		1,519,356
State or local agency obligations	—		220,930		—		—		220,930
MBS:
U.S. obligations single-family MBS	—		437,294		—		—		437,294
GSE single-family MBS	—		2,303,079		—		—		2,303,079
GSE multifamily MBS	—		3,096,473		—		—		3,096,473
Private label MBS	—		—		205,703		—		205,703
Total AFS securities	$	—	$	11,982,489	$	205,703	$	—	$	12,188,192
Derivative assets:
Interest rate related	$	—	$	5,918	$	—	$	170,116	$	176,034
Mortgage delivery commitments	—		1		—		—		1
Total derivative assets	$	—	$	5,919	$	—	$	170,116	$	176,035
Total recurring assets at fair value	$	—	$	12,496,925	$	205,703	$	170,116	$	12,872,744
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	24,237	$	—	$	(12,011)	$	12,226
Mortgage delivery commitments	—		359		—		—		359
Total recurring liabilities at fair value (2)	$	—	$	24,596	$	—	$	(12,011)	$	12,585
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	9,018	$	—	$	9,018
REO	—		—		356		—		356
Total non-recurring assets at fair value	$	—	$	—	$	9,374	$	—	$	9,374

	December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral(1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non MBS:
U.S. Treasury obligations	$	—	$	899,421	$	—	$	—	$	899,421
GSE and TVA obligations	—		256,582		—		—		256,582
Total trading securities	$	—	$	1,156,003	$	—	$	—	$	1,156,003
AFS securities:
Non MBS:
GSE and TVA obligations	$	—	$	1,643,733	$	—	$	—	1,643,733
State or local agency obligations	—		241,630		—		—		241,630
MBS:
U.S. obligations single-family MBS	—		602,148		—		—		602,148
GSE single-family MBS	—		3,262,880		—		—		3,262,880
GSE multifamily MBS	—		3,473,394		—		—		3,473,394
Private label MBS	—		—		252,600		—		252,600
Total AFS securities	$	—	$	9,223,785	$	252,600	$	—	$	9,476,385
Derivative assets:
Interest rate related	$	—	$	2,738	$	—	$	133,629	$	136,367
Mortgage delivery commitments	—		675		—		—		675
Total derivative assets	$	—	$	3,413	$	—	$	133,629	$	137,042
Total recurring assets at fair value	$	—	$	10,383,201	$	252,600	$	133,629	$	10,769,430
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	7,579	$	—	$	(3,131)	$	4,448
Mortgage delivery commitments	—		11		—		—		11
Total recurring liabilities at fair value (2)	$	—	$	7,590	$	—	$	(3,131)	$	4,459
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	18,382	$	—	$	18,382
REO	—		—		1,270		—		1,270
Total non-recurring assets at fair value	$	—	$	—	$	19,652	$	—	$	19,652

Notes:

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

(2) Derivative liabilities represent the total liabilities at fair value.

Rollforward of Level 3 Assets and Liabilities

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2021 and 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2021 or 2020.

	AFS Private Label MBS
	Three months ended September 30,				Nine months ended September 30,
(in thousands)	2021		2020		2021		2020
Balance, beginning of period	$	220,558	$	280,882	$	252,600	$	326,146
Total gains (losses) (realized/unrealized) included in:
(Provision) reversal for credit losses	536		(117)		329		(1,691)
Accretion of credit losses in interest income	2,522		3,000		7,719		8,938
Net unrealized gains (losses) on AFS in OCI	(728)		1,400		(2,633)		(15,114)
Purchases, issuances, sales, and settlements:
Settlements	(17,185)		(17,541)		(52,312)		(50,655)
Balance at September 30	$	205,703	$	267,624	$	205,703	$	267,624
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30	$	3,059	$	2,883	$	7,823	$	7,247
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30	$	(728)	$	1,400	$	(2,633)	$	(15,114)

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2021

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

Commitments and Contingencies

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	September 30, 2021						December 31, 2020
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	20,403,323	$	—	$	20,403,323	$	19,723,286
Commitments to fund additional advances and BOB loans	1,043		—		1,043		760
Commitments to purchase mortgage loans	65,331		—		65,331		60,622
Unsettled consolidated obligation bonds, at par	1,169,000		—		1,169,000		15,000
Unsettled consolidated obligation discount notes, at par	—		—		—		950

Notes:

(1) Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020.

(2) Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.

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Background Information (Details)	Sep. 30, 2021 Banks
Nature of Operations [Line Items]
Number of Federal Home Loan Banks	11
Minimum
Nature of Operations [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%

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Investments Narrative (Details) - USD ($)	Sep. 30, 2021	Dec. 31, 2020
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for credit losses - HTM	$ 0	$ 0
PLMBS - AFS HTM - Amortized Cost, Percentage Rated BBB Or Above	21.40%
Interest-Bearing Deposits and Federal Funds Sold, Percentage Rated Below Triple-B	0.00%
Securities Purchased Under Agreement to Resell, Percentage Rated Below Triple-B	0.00%
Securities Purchased under Agreements to Resell, Allowance for Credit Loss	$ 0	0
AFS HTM - GSE and Other US Obligations [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for Credit Loss	0	0
Certificates of Deposit [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for Credit Loss		0
Interest Bearing Deposits and Federal Funds Sold
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for Credit Loss	0	0
State or local agency obligations [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance for Credit Loss	$ 0	$ 0

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Trading Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Investments, Debt and Equity Securities [Line Items]
Trading securities	$ 508,517	$ 1,156,003
U.S. Treasury obligations
Investments, Debt and Equity Securities [Line Items]
Trading securities	261,870	899,421
GSE and TVA obligations
Investments, Debt and Equity Securities [Line Items]
Trading securities	$ 246,647	$ 256,582

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]
Net unrealized gains (losses) on trading securities held at period-end	$ (2,979)	$ (3,447)	$ (13,087)	$ 28,640
Net gains (losses) on trading securities sold/matured during the period	(134)	(1,876)	(2,740)	25,228
Net gains (losses) on trading securities	$ (3,113)	$ (5,323)	$ (15,827)	$ 53,868

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Investments AFS - Schedule of Reconciliation Table (Details) - USD ($)		Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	$ 12,059,746,000		$ 9,335,210,000
Allowance for Credit Losses		(2,088,000)	$ (2,624,000)	(2,417,000)	$ (1,691,000)	$ (1,574,000)	$ 0
Gross Unrealized Gains		132,383,000		147,801,000
Gross Unrealized Losses		(1,849,000)		(4,209,000)
AFS Securities		12,188,192,000		9,476,385,000
Available-for-Sale - Accrued Interest		24,600,000		16,900,000
GSE and TVA obligations
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	1,473,234,000		1,590,661,000
Allowance for Credit Losses		0		0
Gross Unrealized Gains		46,122,000		53,072,000
Gross Unrealized Losses		0		0
AFS Securities		1,519,356,000		1,643,733,000
State or local agency obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	212,164,000		227,248,000
Allowance for Credit Losses		0		0
Gross Unrealized Gains		8,766,000		14,382,000
Gross Unrealized Losses		0		0
AFS Securities		220,930,000		241,630,000
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	6,082,108,000		1,817,909,000
Allowance for Credit Losses		0		0
Gross Unrealized Gains		63,579,000		67,454,000
Gross Unrealized Losses		(44,000)		0
AFS Securities		6,145,643,000		1,885,363,000
U.S. obligations single-family MBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	431,963,000		595,215,000
Allowance for Credit Losses		0		0
Gross Unrealized Gains		5,382,000		6,994,000
Gross Unrealized Losses		(51,000)		(61,000)
AFS Securities		437,294,000		602,148,000
Private label MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	173,433,000		218,025,000
Allowance for Credit Losses		(2,088,000)		(2,417,000)
Gross Unrealized Gains		34,445,000		37,149,000
Gross Unrealized Losses		(87,000)		(157,000)
AFS Securities		205,703,000		252,600,000
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	5,977,638,000		7,517,301,000
Allowance for Credit Losses		(2,088,000)		(2,417,000)
Gross Unrealized Gains		68,804,000		80,347,000
Gross Unrealized Losses		(1,805,000)		(4,209,000)
AFS Securities		6,042,549,000		7,591,022,000
U.S. Treasury obligations
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	4,396,710,000
Allowance for Credit Losses		0
Gross Unrealized Gains		8,691,000
Gross Unrealized Losses		(44,000)
AFS Securities		4,405,357,000
Single Family [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	2,281,070,000		3,237,124,000
Allowance for Credit Losses				0
Gross Unrealized Gains		22,269,000		25,969,000
Gross Unrealized Losses		(260,000)		(213,000)
AFS Securities		2,303,079,000		3,262,880,000
Multifamily [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	3,091,172,000		3,466,937,000
Allowance for Credit Losses				0
Gross Unrealized Gains		6,708,000		10,235,000
Gross Unrealized Losses		(1,407,000)		(3,778,000)
AFS Securities		$ 3,096,473,000		$ 3,473,394,000

[1] 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

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Investments AFS - Unrealized Loss Position Table (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	$ 737,719	$ 221,021
AFS - Unrealized Losses - Less than 12 months	(911)	(118)
AFS - Fair Value - 12 months or longer	526,948	2,522,493
AFS - Unrealized Losses - 12 months or longer	(938)	(4,091)
AFS - Fair Value - Total in Continuous Loss Position	1,264,667	2,743,514
AFS - Unrealized Losses - Total in Continuous Loss Position	(1,849)	(4,209)
U.S. obligations single-family MBS
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	21,512	8,591
AFS - Unrealized Losses - Less than 12 months	(51)	(17)
AFS - Fair Value - 12 months or longer	0	25,713
AFS - Unrealized Losses - 12 months or longer	0	(44)
AFS - Fair Value - Total in Continuous Loss Position	21,512	34,304
AFS - Unrealized Losses - Total in Continuous Loss Position	(51)	(61)
Private label MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	70	1,767
AFS - Unrealized Losses - Less than 12 months	(1)	(10)
AFS - Fair Value - 12 months or longer	2,463	2,631
AFS - Unrealized Losses - 12 months or longer	(86)	(147)
AFS - Fair Value - Total in Continuous Loss Position	2,533	4,398
AFS - Unrealized Losses - Total in Continuous Loss Position	(87)	(157)
MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	638,301	221,021
AFS - Unrealized Losses - Less than 12 months	(867)	(118)
AFS - Fair Value - 12 months or longer	526,948	2,522,493
AFS - Unrealized Losses - 12 months or longer	(938)	(4,091)
AFS - Fair Value - Total in Continuous Loss Position	1,165,249	2,743,514
AFS - Unrealized Losses - Total in Continuous Loss Position	(1,805)	(4,209)
U.S. Treasury obligations
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	99,418
AFS - Unrealized Losses - Less than 12 months	(44)
AFS - Fair Value - 12 months or longer	0
AFS - Unrealized Losses - 12 months or longer	0
AFS - Fair Value - Total in Continuous Loss Position	99,418
AFS - Unrealized Losses - Total in Continuous Loss Position	(44)
Single Family [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	149,651	54,657
AFS - Unrealized Losses - Less than 12 months	(260)	(21)
AFS - Fair Value - 12 months or longer	0	217,942
AFS - Unrealized Losses - 12 months or longer	0	(192)
AFS - Fair Value - Total in Continuous Loss Position	149,651	272,599
AFS - Unrealized Losses - Total in Continuous Loss Position	(260)	(213)
Multifamily [Member] | GSE MBS [Member]
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items]
AFS - Fair Value - Less than 12 Months	467,068	156,006
AFS - Unrealized Losses - Less than 12 months	(555)	(70)
AFS - Fair Value - 12 months or longer	524,485	2,276,207
AFS - Unrealized Losses - 12 months or longer	(852)	(3,708)
AFS - Fair Value - Total in Continuous Loss Position	991,553	2,432,213
AFS - Unrealized Losses - Total in Continuous Loss Position	$ (1,407)	$ (3,778)

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Investments AFS - Contractual Maturities Table (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	$ 12,059,746	$ 9,335,210
AFS Securities		12,188,192	9,476,385
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS - Non-MBS - Due in one year or less - Amortized Cost		196,493	73,115
AFS - Non-MBS - Due after one year through five years - Amortized Cost		3,031,519	570,540
AFS - Non-MBS - Due after five through ten years - Amortized Cost		2,590,569	789,408
AFS - Non-MBS - Due after 10 years - Amortized Cost		263,527	384,846
Amortized Cost (1)	[1]	6,082,108	1,817,909
AFS - Non-MBS - Due in one year or less - Fair Value		198,694	73,276
AFS - Non-MBS - Due after one year through five years - Fair Value		3,041,043	581,853
AFS - Non-MBS - Due after five through ten years - Fair Value		2,629,311	820,239
AFS - Non-MBS - Due after 10 years - Fair Value		276,595	409,995
AFS Securities		6,145,643	1,885,363
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
Amortized Cost (1)	[1]	5,977,638	7,517,301
AFS Securities		$ 6,042,549	$ 7,591,022

[1] 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

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Investments AFS - Interest Rate Payment Terms Table (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost	[1]	$ 12,059,746	$ 9,335,210
Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost	[1]	6,082,108	1,817,909
MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost	[1]	5,977,638	7,517,301
Fixed Interest Rate [Member] | Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		6,082,108	1,817,909
Fixed Interest Rate [Member] | MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		887,774	1,382,062
Variable interest rate [Member] | Non-MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		0	0
Variable interest rate [Member] | MBS [Member]
Debt Securities, Available-for-sale [Line Items]
AFS Securities, Amortized Cost		$ 5,089,864	$ 6,135,239

[1] 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 $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.

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Investments HTM - Securities by Major Security Type Table (Details) - USD ($) $ in Thousands		Sep. 30, 2021		Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)	[1]	$ 1,315,420		$ 2,483,730	[2]
Gross Unrealized Holding Gains		52,322		75,764
Gross Unrealized Holding Losses		(7,424)		(2,366)
HTM securities - fair value		1,360,318		2,557,128
HTM - Accrued Interest		2,900		4,100
U.S. obligations single-family MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		90,598	[1]	120,539
Gross Unrealized Holding Gains		1,218		1,213
Gross Unrealized Holding Losses		0		0
HTM securities - fair value		91,816		121,752
Private label MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		75,807	[1]	93,127
Gross Unrealized Holding Gains		814		582
Gross Unrealized Holding Losses		(499)		(1,313)
HTM securities - fair value		76,122		92,396
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		1,315,420	[1]	1,733,730
Gross Unrealized Holding Gains		52,322		75,687
Gross Unrealized Holding Losses		(7,424)		(2,366)
HTM securities - fair value		1,360,318		1,807,051
Certificates of Deposit [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)				750,000
Gross Unrealized Holding Gains				77
Gross Unrealized Holding Losses				0
HTM securities - fair value				750,077
Single Family [Member] | GSE MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		635,540	[1]	989,824
Gross Unrealized Holding Gains		10,776		20,337
Gross Unrealized Holding Losses		(6,925)		(1,053)
HTM securities - fair value		639,391		1,009,108
Multifamily [Member] | GSE MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost (1)		513,475	[1]	530,240
Gross Unrealized Holding Gains		39,514		53,555
Gross Unrealized Holding Losses		0		0
HTM securities - fair value		$ 552,989		$ 583,795

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

[2] No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020

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Investments HTM - Contractual Maturity Table (Details) - USD ($) $ in Thousands		Sep. 30, 2021		Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost	[1]	$ 1,315,420		$ 2,483,730	[2]
HTM securities		1,360,318		2,557,128
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Non-MBS - Due in one year or less - Amortized Cost		0		750,000
HTM - Non-MBS - Due after one through five years - Amortized Cost		0		0
HTM - Non-MBS - Due after five years through ten years - Amortized Cost		0		0
HTM - Non-MBS - Due after ten years - Amortized Cost		0		0
HTM - Amortized Cost		0		750,000
HTM - Non-MBS - Due in one year or less - Fair Value		0		750,077
HTM- Non-MBS - Due after one year through five years - Fair Value		0		0
HTM - Non-MBS - Due after five years through ten years - Fair Value		0		0
HTM - Non-MBS - Due after ten years - Fair Value		0		0
HTM securities		0		750,077
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,315,420	[1]	1,733,730
HTM securities		$ 1,360,318		$ 1,807,051

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

[2] No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020

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Investments HTM - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands		Sep. 30, 2021		Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost	[1]	$ 1,315,420		$ 2,483,730	[2]
Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		750,000
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,315,420	[1]	1,733,730
Fixed Interest Rate [Member] | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		750,000
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		1,129,418		1,493,149
Variable interest rate [Member] | Non-MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		0		0
Variable interest rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
HTM - Amortized Cost		$ 186,002		$ 240,581

[1] Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020.

[2] No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020

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Investments AFS - Allowance Rollforward Table (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Balance, beginning of period	$ 2,624	$ 1,574	$ 2,417	$ 0
Increases (decreases) for securities in which a previous ACL or OTTI was recorded	(536)	117	(329)	1,691
Balance, end of period	$ 2,088	$ 1,691	$ 2,088	$ 1,691

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Advances (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
Federal Home Loan Bank Advances
Total Par Value	$ 12,888,255	$ 24,724,889
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	$ 7,600,000	$ 15,200,000
Number Of Top Advances Borrowers	5	5
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	58.70%	61.40%
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent	1	3
Maximum
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate	30 years
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	5 years

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Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract]
Due in 1 year or less	1.54%	0.84%
Due after 1 year through 2 years	2.29%	2.25%
Due after 2 years through 3 years	1.79%	2.08%
Due after 3 years through 4 years	2.02%	1.85%
Due after 4 years through 5 years	1.09%	1.91%
Thereafter	2.54%	2.55%
Total par value, Weighted Average Interest Rate	1.74%	1.37%
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract]
Due in 1 year or less	$ 8,139,089	$ 14,760,790
Due after 1 year through 2 years	2,194,831	5,878,635
Due after 2 years through 3 years	1,031,406	1,584,471
Due after 3 years through 4 years	1,116,493	1,126,992
Due after 4 years through 5 years	219,231	1,163,781
Thereafter	187,205	210,220
Total Par Value	12,888,255	24,724,889
Deferred prepayment fees	(1,035)	(3,673)
Hedging adjustments	99,897	249,903
Total book value	12,987,117	24,971,119
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances [Line Items]
Accrued Interest - Advances	$ 25,400	$ 36,600

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Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Advances [Abstract]
Due in 1 year or less	$ 8,179,089	$ 14,860,790
Due after 1 year through 2 years	2,194,831	5,818,635
Due after 2 years through 3 years	991,406	1,584,471
Due after 3 years through 4 years	1,116,493	1,086,992
Due after 4 years through 5 years	219,231	1,163,781
Thereafter	187,205	210,220
Due in 1 year or less	8,159,089	14,780,790
Due after 1 year through 2 years	2,188,831	5,878,635
Due after 2 years through 3 years	1,031,406	1,578,471
Due after 3 years through 4 years	1,102,493	1,121,992
Due after 4 years through 5 years	219,231	1,154,781
Thereafter	187,205	210,220
Total Par Value	$ 12,888,255	$ 24,724,889

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Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed rate – overnight	$ 239,667	$ 37,225
Due in 1 year or less	7,073,579	6,658,991
Thereafter	4,606,066	9,810,998
Total Fixed Rate	11,919,312	16,507,214
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Due in 1 year or less	825,843	8,064,575
Thereafter	143,100	153,100
Total Variable Rate	968,943	8,217,675
Total Par Value	$ 12,888,255	$ 24,724,889

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Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Mortgage Loans held for portfolio [Line Items]
Fixed-rate single-family mortgages	$ 4,689,989		$ 4,792,296
Premiums	87,316		87,424
Discounts	(1,907)		(2,439)
Hedging adjustments	7,749		13,898
Loans and Leases Receivable, Net of Deferred Income, Total	4,783,147		4,891,179
Allowance for credit losses on mortgage loans	(2,873)		(4,972)
Mortgage loans held for portfolio, net	4,780,274		4,886,207
Government-guaranteed/insured loans
Mortgage Loans held for portfolio [Line Items]
Fixed-rate single-family mortgages	137,235		158,448
Conventional MPF Loan [Member]
Mortgage Loans held for portfolio [Line Items]
Fixed-rate single-family mortgages	4,552,754		4,633,848
Loans and Leases Receivable, Net of Deferred Income, Total	4,642,546		4,728,675
Allowance for credit losses on mortgage loans	(2,873)	$ (3,225)	(4,972)	$ (6,654)	$ (5,900)	$ (7,832)
Single Family [Member] | Fixed-rate long-term single-family mortgages (1)
Mortgage Loans held for portfolio [Line Items]
Fixed-rate single-family mortgages	4,512,619		4,610,761
Single Family [Member] | Fixed-rate medium-term single-family mortgages (1)
Mortgage Loans held for portfolio [Line Items]
Fixed-rate single-family mortgages	177,370		181,535
Real Estate Loan [Member]
Mortgage Loans held for portfolio [Line Items]
Accrued Interest - Mortgage loans held for portfolio	$ 22,600		$ 25,700

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Mortgage Loans Held for Portfolio Credit Quality Indicators (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Financing Receivable, Credit Quality Indicator [Line Items]
Loans and Leases Receivable, Net of Deferred Income	$ 4,783,147	$ 4,891,179
Mortgage Loans in Process of Foreclosure, Amount	$ 2,610	$ 9,905
Loans and Leases Receivable, Serious Delinquencies Ratio	0.90%	1.80%
Financing Receivable, 90 Days or More Past Due, Still Accruing	$ 3,502	$ 5,483
Financing Receivable, Nonaccrual	42,112	91,201
Government-guaranteed/insured loans
Financing Receivable, Credit Quality Indicator [Line Items]
Mortgage Loans in Process of Foreclosure, Amount	$ 516	$ 1,667
Loans and Leases Receivable, Serious Delinquencies Ratio	2.50%	3.70%
Financing Receivable, 90 Days or More Past Due, Still Accruing	$ 3,502	$ 5,483
Financing Receivable, Nonaccrual	0	0
Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	1,236,360	1,170,774
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	3,406,186	3,557,901
Loans and Leases Receivable, Net of Deferred Income	4,642,546	4,728,675
- Financing Receivable placed in a forbearance program as a result of COVID-19	32,600	83,900
Mortgage Loans in Process of Foreclosure, Amount	$ 2,094	$ 8,238
Loans and Leases Receivable, Serious Delinquencies Ratio	0.80%	1.70%
Financing Receivable, 90 Days or More Past Due, Still Accruing	$ 0	$ 0
Financing Receivable, Nonaccrual	42,112	91,201
Conventional MPF Loan [Member] | Nonperforming Financial Instruments [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	27,103	38,000
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	43,393	98,960
Loans and Leases Receivable, Net of Deferred Income	70,496	136,960
Conventional MPF Loan [Member] | Performing Financial Instruments [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	1,209,257	1,132,774
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	3,362,793	3,458,941
Loans and Leases Receivable, Net of Deferred Income	4,572,050	4,591,715
- Financing Receivable placed in a forbearance program as a result of COVID-19	900	1,700
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	11,005	14,211
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	16,002	26,825
Loans and Leases Receivable, Net of Deferred Income	27,007	41,036
- Financing Receivable placed in a forbearance program as a result of COVID-19	4,300	10,300
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	2,245	5,719
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	3,591	10,950
Loans and Leases Receivable, Net of Deferred Income	5,836	16,669
- Financing Receivable placed in a forbearance program as a result of COVID-19	2,500	9,600
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional MPF Loan [Member]
Financing Receivable, Credit Quality Indicator [Line Items]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	13,853	18,070
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years	23,800	61,185
Loans and Leases Receivable, Net of Deferred Income	37,653	79,255
- Financing Receivable placed in a forbearance program as a result of COVID-19	$ 24,900	$ 62,300

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Mortgage Loans Held for Portfolio MPF -Allowance Roll Forward Table (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Allowance for Credit Loss [Line Items]
Loans and Leases Receivable, Allowance, Beginning Balance			$ 4,972
Loans and Leases Receivable, Allowance, Ending Balance	$ 2,873		2,873
Credit Enhancement Fees Receivable						$ 3,800
Impact on adoption -CECL	2,724,988	$ 3,371,978	2,724,988	$ 3,371,978	$ 2,717,508	3,041,918	$ 3,818,842	$ 4,472,836
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1)		0		(3,875)
Conventional MPF Loan [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Loans and Leases Receivable, Allowance, Beginning Balance	3,225	5,900	4,972	7,832
(Charge-offs) Recoveries, net (2)	27	(584)	533	(428)
Provision (reversal) for credit losses	(379)	1,338	(2,632)	3,125
Loans and Leases Receivable, Allowance, Ending Balance	$ 2,873	6,654	$ 2,873	6,654
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
Impact on adoption -CECL		$ 113		$ 113		$ 100

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Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Financing Receivable, Allowance for Credit Loss [Line Items]
Percentage of MPF loans in forbearance to total MPF loans	0.70%	1.80%
Percentage of loans in forbearance not collateral dependant	89.00%	93.00%
Real Estate Acquired Through Foreclosure	$ 400	$ 800
Conventional MPF Loan [Member]
Financing Receivable, Allowance for Credit Loss [Line Items]
- Financing Receivable placed in a forbearance program as a result of COVID-19	$ 32,600	$ 83,900

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 24,195,828	$ 17,441,993
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		5,919	3,413
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		24,596	7,590
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1]	170,116	133,629
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(12,011)	(3,131)
Derivative assets		176,035	137,042
Derivative liabilities		12,585	4,459
Cash Collateral posted		183,500	137,900
Cash Collateral received		1,400	1,100
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		21,953,509	14,307,383
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		3,965	1,494
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		22,074	5,193
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		2,242,319	3,134,610
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		1,954	1,919
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		2,522	2,397
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		1,151,988	1,868,988
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		710	71
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		2,163	2,386
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		1,025,000	1,205,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		1,243	1,173
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		0	0
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		65,331	60,622
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		1	675
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		$ 359	$ 11

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ 46,171	$ 112,541	$ 180,545	$ (286,893)
Gains/(Losses) on Hedged Item	(46,952)	(112,829)	(181,953)	282,154
Net Interest Settlements on FV Hedges	(32,307)	(55,038)	(109,129)	(96,053)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(33,088)	(55,326)	(110,537)	(100,792)
Interest income on advances (1)	31,298	95,201	112,582	548,953
Available-for-sale (AFS) securities	23,769	31,996	74,066	138,565
Interest Income on MPF loans	31,996	35,932	95,114	121,561
Interest Expense on Consolidated obligation - bonds	(53,035)	(80,579)	(172,777)	(462,006)
Interest Income [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	34,946	124,582	149,894	(188,539)
Gains/(Losses) on Hedged Item	(35,065)	(124,569)	(150,010)	188,424
Net Interest Settlements on FV Hedges	(33,835)	(69,603)	(108,662)	(136,712)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(33,954)	(69,590)	(108,778)	(136,827)
Interest Income [Member] | Interest Rate Swap [Member] | Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	26,630	9,402	66,531	(103,292)
Gains/(Losses) on Hedged Item	(26,434)	(8,918)	(65,003)	100,135
Net Interest Settlements on FV Hedges	(14,422)	(7,070)	(32,560)	(13,734)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(14,226)	(6,586)	(31,032)	(16,891)
Interest Income [Member] | Interest Rate Swap [Member] | Mortgage Receivable [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	0	0	0	0
Gains/(Losses) on Hedged Item	(823)	(1,035)	(2,844)	(2,118)
Net Interest Settlements on FV Hedges	0	0	0	0
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(823)	(1,035)	(2,844)	(2,118)
Interest Expense [Member] | Interest Rate Swap [Member] | Consolidated Obligations Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(15,405)	(21,443)	(35,880)	4,938
Gains/(Losses) on Hedged Item	15,370	21,693	35,904	(4,287)
Net Interest Settlements on FV Hedges	15,950	21,635	32,093	54,393
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	$ 15,915	$ 21,885	$ 32,117	$ 55,044

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Fair Value Measures and Disclosures (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Advances [Member]
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	[1]	$ 7,545,407	$ 10,369,813
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)		99,918	249,927
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		(21)	(24)
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)		99,897	249,903
Available-for-sale Securities
Derivative [Line Items]
Hedged Asset, Fair Value Hedge	[1]	5,783,783	1,507,492
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease)		66,484	131,386
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		1,047	1,148
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)		67,531	132,534
Consolidated Obligations Bonds [Member]
Derivative [Line Items]
Hedged Liability, Fair Value Hedge	[1]	8,762,313	2,838,505
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)		(11,098)	24,701
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		180	284
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)		$ (10,918)	$ 24,985

[1] Includes carrying value of hedged items in current fair value hedging relationships.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivatives and hedging activities		$ (411)	$ 3,589	$ 5,323	$ (97,685)
Gain (Loss) on Derivative Instruments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(414)	3,576	5,314	(97,853)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments, Other Gain (Loss)	[1]	3	13	9	168
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		348	4,588	14,021	(92,864)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		227	(57)	69	578
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		(640)	(1,726)	(4,860)	(8,891)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA's [Member] [Domain]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		0	0	0	38
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivatives and hedging activities		(411)	3,589	5,323	(97,685)
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		0	(1)	0	148
Gain (Loss) on Derivative Instruments [Member] | Mortgage Receivable [Member] | Forward Contracts [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments		$ (349)	$ 772	$ (3,916)	$ 3,138

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

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Sep. 30, 2021 USD ($)
Derivative [Line Items]
Derivative, Net Liability Position, Aggregate Fair Value	$ 0.7

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Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		$ 5,918	$ 2,738
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	170,116	133,629
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		176,034	136,367
Derivative Asset, Not Subject to Master Netting Arrangement	[2]	1	675
Derivative assets		176,035	137,042
Derivative Asset, Fair Value, Amount Offset Against Collateral		176,035	137,042
Over the Counter [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		5,680	2,355
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(2,384)	(1,632)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		3,296	723
Derivative Asset, Not Subject to Master Netting Arrangement		1	675
Derivative assets		3,297	1,398
Derivative Asset, Fair Value, Amount Offset Against Collateral		3,297	1,398
Exchange Cleared [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset		238	383
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		172,500	135,261
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment		172,738	135,644
Derivative Asset, Not Subject to Master Netting Arrangement		0	0
Derivative assets		172,738	135,644
Derivative Asset, Fair Value, Amount Offset Against Collateral		$ 172,738	$ 135,644

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

[2] Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

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Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		$ 24,237	$ 7,579
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(12,011)	(3,131)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		12,226	4,448
Derivative Liability, Not Subject to Master Netting Arrangement	[2]	359	11
Derivative liabilities		12,585	4,459
Derivative Liability, Fair Value, Amount Offset Against Collateral		12,585	4,459
Over the Counter [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		13,405	4,282
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(11,773)	(2,748)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		1,632	1,534
Derivative Liability, Not Subject to Master Netting Arrangement		359	11
Derivative liabilities		1,991	1,545
Derivative Liability, Fair Value, Amount Offset Against Collateral		1,991	1,545
Exchange Cleared [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability		10,832	3,297
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(238)	(383)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment		10,594	2,914
Derivative Liability, Not Subject to Master Netting Arrangement		0	0
Derivative liabilities		10,594	2,914
Derivative Liability, Fair Value, Amount Offset Against Collateral		$ 10,594	$ 2,914

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

[2] Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

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Schedule of Long-term Debt by Call Feature (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Schedule of Short-term and Long-term Debt [Line Items]
Par amounts for the FHLBanks' outstanding Consolidated Obligation	$ 641,400,000	$ 746,800,000
Bond premiums	69,081	91,225
Bond discounts	(7,943)	(7,524)
Concession fees	(4,079)	(4,147)
Hedging adjustments	(10,918)	24,985
Total book value	21,125,761	33,854,754
Long-term Debt, Gross	21,079,620	33,750,215
Fixed Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	18,288,620	17,148,965
Step-up Interest Rate [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	1,146,000	40,000
Variable interest rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 1,645,000	$ 16,561,250

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Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 7,240,445	$ 24,233,615
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate	1.23%	0.49%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	$ 2,251,650	$ 3,024,625
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate	1.83%	2.19%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	$ 1,804,625	$ 1,545,000
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate	1.77%	2.33%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	$ 1,477,625	$ 1,164,475
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate	1.41%	2.41%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	$ 4,553,300	$ 961,725
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate	1.03%	1.69%
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 3,751,975	$ 2,820,775
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate	1.87%	2.05%
Long-term Debt, Gross	$ 21,079,620	$ 33,750,215
Long-term Debt, Weighted Average Interest Rate, at Point in Time	1.42%	0.96%
Earlier of Contractual Maturity or Next Call Date [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 14,436,445	$ 25,737,615
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	2,449,650	3,038,625
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	1,217,625	1,602,000
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	864,625	1,089,475
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	601,300	759,725
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 1,509,975	$ 1,522,775

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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 21,079,620	$ 33,750,215
Non Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	13,542,620	28,583,715
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Gross	$ 7,537,000	$ 5,166,500

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 7,240,445	$ 24,233,615
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	2,251,650	3,024,625
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	1,804,625	1,545,000
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	1,477,625	1,164,475
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	4,553,300	961,725
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	3,751,975	2,820,775
Long-term Debt, Gross	21,079,620	33,750,215
Earlier of Contractual Maturity or Next Call Date [Member] [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	14,436,445	25,737,615
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	2,449,650	3,038,625
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	1,217,625	1,602,000
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	864,625	1,089,475
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	601,300	759,725
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 1,509,975	$ 1,522,775

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Short-term Debt [Line Items]
Discount Notes, Book value		$ 12,108,212	$ 9,510,085
Discount Notes, Weighted Average Interest Rate	[1]	0.03%	0.11%
Short-term Debt [Member]
Short-term Debt [Line Items]
Debt Instrument, Face Amount		$ 12,109,109	$ 9,512,324

[1] Represents an implied rate.

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Capital (Capital Requirements) (Details) $ in Thousands	Sep. 30, 2021 USD ($) numberOfRegulatoryRequirements	Dec. 31, 2020 USD ($)
Banking Regulation, Total Capital [Abstract]
Number of Finance Agency Regulatory Capital Requirements | numberOfRegulatoryRequirements	3
Number Of Subclasses Of Capital Stock	2
Risk-Based Capital, Required	$ 396,746	$ 520,696
Risk-Based Capital, Actual	$ 2,621,946	$ 3,047,399
Total capital-to-asset ratio, Required	4.00%	4.00%
Total capital-to-asset ratio, Actual	7.00%	6.40%
Total regulatory capital, Required	$ 1,489,903	$ 1,908,516
Total regulatory capital, Actual	$ 2,621,946	$ 3,047,399
Leverage ratio - Required	5.00%	5.00%
Leverage ratio, Actual	10.60%	9.60%
Leverage capital, Required	$ 1,862,379	$ 2,385,645
Leverage capital, Actual	$ 3,932,918	$ 4,571,099

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Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021 USD ($) Institutions $ / shares	Sep. 30, 2020 USD ($)	Sep. 30, 2021 USD ($) Institutions $ / shares	Sep. 30, 2020 USD ($)	Dec. 31, 2020 $ / shares
Banking Regulation, Total Capital [Abstract]
Interest Expense, Capital Securities	$ 700	$ 4,100	$ 3,400	$ 14,100
Balance, beginning of the period			142,807	343,575
Capital stock subject to mandatory redemption reclassified from capital	1,069		1,069	39,457
Redemption/repurchase of mandatorily redeemable stock			(120,603)	(159,980)
Balance, end of the period	$ 23,273	$ 223,052	$ 23,273	$ 223,052
Capital stock, Par value Per Share | $ / shares	$ 100		$ 100		$ 100
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions	7		7
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions	4		4
Financial instruments subject to mandatory redemption, due to relocation | Institutions	1		1
Financial Instruments Subject to Mandatory Redemption, Number of Institutions, Voluntary Withdrawls | Institutions	2		2

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020	Sep. 30, 2020	Dec. 31, 2019
Banking Regulation, Total Capital [Abstract]
Due in 1 year or less	$ 0	$ 0
Due after 1 year through 2 years	20,020	21
Due after 2 years through 3 years	0	20,000
Due after 3 years through 4 years	26	120,000
Due after 4 years through 5 years	1,069	19
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five	2,158	2,767
Total	$ 23,273	$ 142,807	$ 223,052	$ 343,575

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Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands								3 Months Ended	9 Months Ended
	Oct. 29, 2021	Jul. 30, 2021	Apr. 30, 2021	Feb. 26, 2021	Jul. 30, 2020	Apr. 30, 2020	Feb. 21, 2020	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Capital [Line Items]
Joint Capital Enhancement Agreement Percentage									20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter									1.00%
Unrestricted									$ 939,596		$ 919,373
Restricted									457,378		457,378
Retained Earnings (Accumulated Deficit)									1,396,974		1,376,751
Partial Recovery Of Prior Capital Distribution To Financing Corporation								$ 8,500		$ 8,541
FICO Funds Available for Distribution to Stockholders								200,000		200,000
Capital Distribution by the FHLBanks to FICO								$ 680,000		$ 680,000
Subclass B1 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding									300,000		300,000
Dividends Cash, Annualized Rate		1.25%	2.50%	2.50%	3.00%	3.00%	4.50%
Subclass B1 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	1.25%
Subclass B2 [Member]
Capital [Line Items]
Common Stock, Value, Outstanding									$ 900,000		$ 1,200,000
Dividends Cash, Annualized Rate		5.25%	5.75%	5.75%	6.25%	6.25%	7.75%
Subclass B2 [Member] | Subsequent Event [Member]
Capital [Line Items]
Dividends Cash, Annualized Rate	5.25%

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020	Dec. 31, 2019
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	$ 2,724,988	$ 3,371,978	$ 2,724,988	$ 3,371,978	$ 2,717,508	$ 3,041,918	$ 3,818,842	$ 4,472,836
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	196	171	2,048	1,208
Net Unrealized Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	130,534	144,433	130,534	144,433	131,818	143,592	118,049	45,155
Net unrealized gains (losses)	(1,284)	26,384	(13,058)	47,574
Net Unrealized Gains on Hedging Activities[Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	0	0	0	0	0	0	0	149
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax				149
Pension and Post Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	(4,218)	(3,974)	(4,218)	(3,974)	(4,414)	(6,266)	(4,145)	(5,182)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	196	171	2,048	1,208
AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	126,316	140,459	126,316	140,459	127,404	137,326	113,904	91,826
Net unrealized gains (losses)	(1,284)	26,384	(13,058)	47,574
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax				149
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent	196	171	2,048	1,208
Available-for-sale Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance	$ 0	0	$ 0	0	$ 0	0	$ 0	$ 51,704
Net unrealized gains (losses)		0
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance		$ 113		$ 113		100
Accounting Standards Update 2016-13 [Member] | Net Unrealized Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance						51,704
Accounting Standards Update 2016-13 [Member] | Available-for-sale Securities | AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
AOCI balance						$ (51,704)

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Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Related Party Transaction [Line Items]
Advances		$ 12,987,117	$ 24,971,119
Capital stock		1,201,698	1,527,841
Principal Owner [Member]
Related Party Transaction [Line Items]
Advances		6,595,309	10,856,363
Letters of credit	[1]	16,167,276	2,730,541
MPF loans		1,872,702	483,983
Deposits		112,280	31,269
Capital stock		$ 580,814	$ 573,392

[1] Letters of credit are off-balance sheet commitments.

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Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Related Party Transaction [Line Items]
Interest income on advances (1)	$ 31,298	$ 95,201	$ 112,582	$ 548,953
Interest Income on MPF loans	31,996	35,932	95,114	121,561
Letters of credit fees	5,905	5,407	17,465	16,019
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances (1)	37,102	91,749	119,556	362,346
Interest Income on MPF loans	15,429	6,101	48,865	19,021
Letters of credit fees	$ 4,652	$ 797	$ 13,707	$ 2,209

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Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Related Party Transaction [Line Items]
Proceeds from FHLBank Borrowings, Financing Activities	$ 5,000	$ 25,000	$ 5,000	$ 25,000
Payments of FHLBank Borrowings, Financing Activities	5,000	25,000	5,000	25,000
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	916	$ 988	2,748	$ 2,958
Interest-bearing deposits maintained with FHLBank of Chicago	$ 5,503		$ 5,503		$ 5,856

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Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Sep. 30, 2021		Dec. 31, 2020	Sep. 30, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		$ 1,119,508		$ 1,036,459
Trading securities		508,517		1,156,003
AFS Securities		12,188,192		9,476,385
Held-to-maturity -		1,315,420		2,483,730
HTM securities		1,360,318		2,557,128
Accrued interest receivable		77,573		90,702
Derivative assets		176,035		137,042
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1]	170,116		133,629
Mandatorily redeemable capital stock (Note 7)		23,273		142,807	$ 223,052	$ 343,575
Accrued interest payable		64,787		64,950
Derivative liabilities		12,585		4,459
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(12,011)		(3,131)
Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		1,119,508		1,036,459
Interest-bearing deposits		547,955		950,772
Federal funds sold		0		0
Securities purchased under agreement to resell (2)		0	[2]	0
Trading securities		0		0
AFS Securities		0		0
HTM securities		0		0
Advances		0		0
Accrued interest receivable		0		0
Derivative assets		0		0
Deposits		0		0
Mandatorily redeemable capital stock (Note 7)		23,943		145,282
Accrued interest payable		0		0
Derivative liabilities		0		0
Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		0		0
Interest-bearing deposits		5,503		5,856
Federal funds sold		2,475,002		1,850,009
Securities purchased under agreement to resell (2)	[2]	1,000,001		600,003
Trading securities		508,517		1,156,003
AFS Securities		11,982,489		9,223,785
HTM securities		1,284,196		2,464,732
Advances		13,066,795		25,097,529
Accrued interest receivable		77,573		90,702
Derivative assets		5,919		3,413
Deposits		965,933		923,371
Mandatorily redeemable capital stock (Note 7)		0		0
Accrued interest payable		64,118		62,475
Derivative liabilities		24,596		7,590
Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		0		0
Interest-bearing deposits		0		0
Federal funds sold		0		0
Securities purchased under agreement to resell (2)	[2]	0		0
Trading securities		0		0
AFS Securities		205,703		252,600
HTM securities		76,122		92,396
Advances		0		0
Accrued interest receivable		0		0
Derivative assets		0		0
Deposits		0		0
Mandatorily redeemable capital stock (Note 7)		0		0
Accrued interest payable		0		0
Derivative liabilities		0		0
Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		1,119,508		1,036,459
Interest-bearing deposits		553,458		956,628
Federal funds sold		2,475,002		1,850,009
Securities purchased under agreement to resell (2)	[2]	1,000,001		600,003
Trading securities		508,517		1,156,003
AFS Securities		12,188,192		9,476,385
HTM securities		1,360,318		2,557,128
Advances		13,066,795		25,097,529
Accrued interest receivable		77,573		90,702
Derivative assets		176,035		137,042
Deposits		965,933		923,371
Mandatorily redeemable capital stock (Note 7)	[3]	23,943		145,282
Accrued interest payable	[3]	64,118		62,475
Derivative liabilities		12,585		4,459
Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks		1,119,508		1,036,459
Interest-bearing deposits		553,458		956,628
Federal funds sold		2,475,000		1,850,000
Securities purchased under agreement to resell (2)		1,000,000		600,000
Trading securities		508,517		1,156,003
AFS Securities		12,188,192		9,476,385
Held-to-maturity -		1,315,420		2,483,730
Advances		12,987,117		24,971,119
Accrued interest receivable		77,573		90,702
Derivative assets		176,035		137,042
Deposits		965,933		923,371
Mandatorily redeemable capital stock (Note 7)		23,273		142,807
Accrued interest payable		64,787		64,950
Derivative liabilities		12,585		4,459
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0		0
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		12,108,390		9,510,584
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		0		0
Consolidated Obligations, Discount Notes | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		12,108,390		9,510,584
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes		12,108,212		9,510,085
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0		0
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		21,343,528		34,282,476
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		0		0
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		21,343,528		34,282,476
Consolidated Obligation Bonds | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds		21,125,761		33,854,754
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0		0
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		4,885,125		5,084,683
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0		0
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		4,885,125		5,084,683
Mortgage loans held for portfolio, net | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		4,780,274		4,886,207
Banking on Business Loans | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0		0
Banking on Business Loans | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		0		0
Banking on Business Loans | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		23,227		21,236
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		23,227		21,236
Banking on Business Loans | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance		$ 23,227		$ 21,236

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

[2] Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight.

[3] The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

XML

Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($)		Sep. 30, 2021		Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		$ 508,517,000		$ 1,156,003,000
AFS Securities		12,188,192,000		9,476,385,000
Derivative assets		176,035,000		137,042,000
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1]	170,116,000		133,629,000
Derivative liabilities		12,585,000		4,459,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(12,011,000)		(3,131,000)
Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
Derivative assets		0		0
Derivative liabilities		0		0
Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		508,517,000		1,156,003,000
AFS Securities		11,982,489,000		9,223,785,000
Derivative assets		5,919,000		3,413,000
Derivative liabilities		24,596,000		7,590,000
Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		205,703,000		252,600,000
Derivative assets		0		0
Derivative liabilities		0		0
Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		170,116,000		133,629,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[2]	(12,011,000)	[1]	(3,131,000)
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
Derivative assets		0		0
Derivative liabilities		0
Total assets at fair value		0		0
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		508,517,000		1,156,003,000
AFS Securities		11,982,489,000		9,223,785,000
Derivative assets		5,919,000		3,413,000
Derivative liabilities	[2]	24,596,000		7,590,000
Total assets at fair value		12,496,925,000		10,383,201,000
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		205,703,000		252,600,000
Derivative assets		0		0
Derivative liabilities		0
Total assets at fair value		205,703,000		252,600,000
Fair Value, Nonrecurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Mortgage loans held for portfolio		9,018,000		18,382,000
REO - FV		356,000		1,270,000
Total assets at fair value		9,374,000		19,652,000
Interest Rate Swap [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		170,116,000		133,629,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(12,011,000)		(3,131,000)
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0		0
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		5,918,000		2,738,000
Derivative liabilities		24,237,000		7,579,000
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0		0
U.S. Treasury obligations
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		261,870,000		899,421,000
AFS Securities		4,405,357,000
U.S. Treasury obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities				0
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		261,870,000		899,421,000
AFS Securities		4,405,357,000
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
GSE and TVA obligations
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		246,647,000		256,582,000
AFS Securities		1,519,356,000		1,643,733,000
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		246,647,000		256,582,000
AFS Securities		1,519,356,000		1,643,733,000
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		0		0
AFS Securities		0		0
State or local agency obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		220,930,000		241,630,000
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		220,930,000		241,630,000
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
U.S. obligations single-family MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		437,294,000		602,148,000
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		437,294,000		602,148,000
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		205,703,000		252,600,000
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		205,703,000		252,600,000
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		0		0
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		1,000		675,000
Derivative liabilities		359,000		11,000
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		0		0
Derivative liabilities		0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		508,517,000		1,156,003,000
AFS Securities		12,188,192,000		9,476,385,000
Derivative assets		176,035,000		137,042,000
Derivative liabilities		12,585,000		4,459,000
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		508,517,000		1,156,003,000
AFS Securities		12,188,192,000		9,476,385,000
Derivative assets		176,035,000		137,042,000
Derivative liabilities	[2]	12,585,000		4,459,000
Total assets at fair value		12,872,744,000		10,769,430,000
Estimate of Fair Value Measurement [Member] | Fair Value, Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Mortgage loans held for portfolio		9,018,000		18,382,000
REO - FV		356,000		1,270,000
Total assets at fair value		9,374,000		19,652,000
Estimate of Fair Value Measurement [Member] | Interest Rate Swap [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		176,034,000		136,367,000
Derivative liabilities		12,226,000		4,448,000
Estimate of Fair Value Measurement [Member] | U.S. Treasury obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		261,870,000		899,421,000
AFS Securities		4,405,357,000
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities		246,647,000		256,582,000
AFS Securities		1,519,356,000		1,643,733,000
Estimate of Fair Value Measurement [Member] | State or local agency obligations [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		220,930,000		241,630,000
Estimate of Fair Value Measurement [Member] | U.S. obligations single-family MBS | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		437,294,000		602,148,000
Estimate of Fair Value Measurement [Member] | Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets		1,000		675,000
Derivative liabilities		359,000		11,000
Single Family [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		2,303,079,000		3,262,880,000
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		2,303,079,000		3,262,880,000
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Single Family [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		2,303,079,000		3,262,880,000
Multifamily [Member] | GSE MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,096,473,000		3,473,394,000
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,096,473,000		3,473,394,000
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		0		0
Multifamily [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		3,096,473,000		3,473,394,000
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | Private label MBS [Member] | Fair Value, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS Securities		$ 205,703,000		$ 252,600,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.

[2] Derivative liabilities represent the total liabilities at fair value.

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Estimated Fair Values (Level 3 Reconciliation) (Details) - Private label MBS [Member] - Fair Value, Recurring [Member] - Fair Value, Inputs, Level 3 - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Purchases, issuances, sales, and settlements:
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30	$ (728)	$ 1,400	$ (2,633)	$ (15,114)
Available-for-sale Securities
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of period	220,558	280,882	252,600	326,146
(Provision) benefit for credit losses	536	(117)	329	(1,691)
Accretion of credit losses in interest income	2,522	3,000	7,719	8,938
Net unrealized gains (losses) on AFS in OCI	(728)	1,400	(2,633)	(15,114)
Purchases, issuances, sales, and settlements:
Settlements	(17,185)	(17,541)	(52,312)	(50,655)
Balance at September 30	205,703	267,624	205,703	267,624
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30	$ 3,059	$ 2,883	$ 7,823	$ 7,247

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Commitments and Contingencies (Details) - USD ($) $ in Thousands		9 Months Ended
		Sep. 30, 2021	Dec. 31, 2020
Loss Contingencies [Line Items]
Off-balance Sheet Risks, with annual renewal option		$ 4,200,000	$ 5,000,000
Maximum Commitment Period		60 days
Other liabilities		$ 135,177	68,361
Rollover (weekly/monthly) advance Product
Loss Contingencies [Line Items]
Rollover -weekly/monthly advance product Outstanding		$ 12,300,000	12,300,000
Maximum
Loss Contingencies [Line Items]
Letter of Credit Renewal Period		5 years
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Total		$ 245,400	30,900
Standby letters of credit outstanding (1) (2)
Loss Contingencies [Line Items]
Expiration Date Within One Year	[1],[2]	20,403,323
Expiration Date After One Year	[1],[2]	0
Total	[1],[2]	20,403,323	19,723,286
Other liabilities		3,300	3,900
Commitments to fund additional advances and BOB loans
Loss Contingencies [Line Items]
Expiration Date Within One Year		1,043
Expiration Date After One Year		0
Total		1,043	760
Commitments to purchase mortgage loans | Mortgage Receivable [Member]
Loss Contingencies [Line Items]
Expiration Date Within One Year		65,331
Expiration Date After One Year		0
Total		65,331	60,622
Unsettled consolidated obligation bonds, at par
Loss Contingencies [Line Items]
Expiration Date Within One Year		1,169,000
Expiration Date After One Year		0
Total		1,169,000	15,000
Unsettled consolidated obligation discount notes, at par [Member]
Loss Contingencies [Line Items]
Expiration Date Within One Year		0
Expiration Date After One Year		0
Total		$ 0	$ 950

[1] Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020.

[2] Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.

XML

Label	Element	Value
Net change in fair value adjustments on trading securities	fhlbpgh_NetChangeInFairValueAdjustmentsOnTradingSecurities	$ 0