Table 6.1 presents outstanding notional amounts and fair values of the derivatives outstanding by type of derivative and by hedge designation as of June 30, 2024 and December 31, 2023 (in thousands). Total derivative assets and liabilities include the effect of netting adjustments and cash collateral.


	06/30/2024						12/31/2023
	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	40,379,766	$	128,645	$	356,687	$	44,804,870	$	116,352	$	410,595
Total derivatives designated as hedging relationships	40,379,766		128,645		356,687		44,804,870		116,352		410,595
Derivatives not designated as hedging instruments:
Interest rate swaps	6,607,099		19,451		90		6,383,296		22,072		152
Interest rate caps/floors	1,804,000		4,194		—		304,000		698		—
Mortgage delivery commitments	62,180		64		30		41,641		133		5

Total derivatives not designated as hedging instruments	8,473,279		23,709		120		6,728,937		22,903		157
TOTAL	$	48,853,045	152,354		356,807		$	51,533,807	139,255		410,752
Netting adjustments and cash collateral1			164,176		(355,856)				211,112		(409,892)
DERIVATIVE ASSETS AND LIABILITIES			$	316,530	$	951			$	350,367	$	860

1 Amounts represent the application of the netting requirements that allow FHLBank to settle positive and negative positions and cash collateral, including accrued interest, held or placed with the same clearing agent and/or derivative counterparty. Cash collateral posted was $581,618,000 and $649,456,000 as of June 30, 2024 and December 31, 2023, respectively. Cash collateral received was $61,586,000 and $28,452,000 as of June 30, 2024 and December 31, 2023, respectively.

FHLBank carries derivative instruments at fair value on its Statements of Condition. Changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item.

Gains (losses) on fair value hedges include unrealized changes in fair value as well as net interest settlements. For the three months ended June 30, 2024 and 2023, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.2 (in thousands):


	Three Months Ended
	06/30/2024
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	634,504	$	193,900	$	233,774	$	669,999
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	57,347	$	42,784	$	(3,609)	$	(29,912)
Hedged items2	17,281		13,646		1,640		(42,552)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	74,628	$	56,430	$	(1,969)	$	(72,464)


	Three Months Ended
	06/30/2023
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	613,730	$	144,744	$	288,183	$	539,939
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	241,132	$	155,006	$	(19,567)	$	(169,181)
Hedged items2	(179,348)		(100,723)		8,142		95,419
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	61,784	$	54,283	$	(11,425)	$	(73,762)

For the six months ended June 30, 2024 and 2023, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.3 (in thousands):



	Six Months Ended
	06/30/2024
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	1,226,491	$	383,959	$	461,315	$	1,293,539
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	252,237	$	188,471	$	(6,663)	$	(114,399)
Hedged items2	(99,758)		(74,607)		2,353		(35,509)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	152,479	$	113,864	$	(4,310)	$	(149,908)



	Six Months Ended
	06/30/2023
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	1,150,324	$	261,580	$	551,704	$	1,001,821
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	162,326	$	83,788	$	(2,909)	$	(114,280)
Hedged items2	(60,907)		10,777		(17,749)		(28,759)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	101,419	$	94,565	$	(20,658)	$	(143,039)


06/30/2024
Line Item in Statements of Condition of Hedged Item	Carrying Value of Hedged Asset/(Liability)1		Basis Adjustments for Active Hedging Relationships2		Basis Adjustments for Discontinued Hedging Relationships2		Cumulative Amount of Fair Value Hedging Basis Adjustments2
Advances	$	14,400,473	$	(307,745)	$	(7,269)	$	(315,014)
Available-for-sale securities	7,172,766		(331,365)		—		(331,365)
Consolidated obligation discount notes	(4,699,519)		4,665		—		4,665
Consolidated obligation bonds	(13,227,169)		330,478		(5,744)		324,734

12/31/2023
Line Item in Statements of Condition of Hedged Item	Carrying Value of Hedged Asset/(Liability)1		Basis Adjustments for Active Hedging Relationships2		Basis Adjustments for Discontinued Hedging Relationships2		Cumulative Amount of Fair Value Hedging Basis Adjustments2
Advances	$	13,545,019	$	(206,332)	$	(8,924)	$	(215,256)
Available-for-sale securities	6,367,691		(256,757)		—		(256,757)
Consolidated discount notes	(3,874,550)		2,313		—		2,313
Consolidated obligation bonds	(20,374,603)		366,180		(5,937)		360,243

1 Includes only the portion of carrying value representing the hedged items in fair value hedging relationships. For available-for-sale securities, amortized cost is considered to be carrying value (i.e., the fair value adjustment recorded in accumulated other comprehensive income (AOCI) is excluded).



	Three Months Ended				Six Months Ended
	06/30/2024		06/30/2023		06/30/2024		06/30/2023
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(5,118)	$	11,371	$	(4,344)	$	3,084
Interest rate caps/floors	(1,192)		475		(1,796)		125
Net interest settlements	8,282		9,257		16,820		17,555
Price alignment interest	(117)		(182)		(242)		(391)
Mortgage delivery commitments	(177)		(627)		(232)		(604)
NET GAINS (LOSSES) ON DERIVATIVES	$	1,678	$	20,294	$	10,206	$	19,769

For uncleared derivative transactions, FHLBank has entered into bilateral security agreements with its counterparties with bilateral-collateral-exchange provisions that require all credit exposures be collateralized, subject to minimum transfer amounts.

Bilateral derivative transactions executed on or after September 1, 2022, are subject to two-way initial margin requirements if aggregate uncleared derivative exposure to a counterparty exceeds a specified threshold. The initial margin is required to be held at a third-party custodian, and the secured party can only take ownership upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of June 30, 2024, FHLBank was not required to pledge to or receive initial margin from bilateral derivative counterparties.

FHLBank utilizes two Derivative Clearing Organizations (Clearinghouse) for all cleared derivative transactions, LCH Limited and CME Clearing. At both Clearinghouses, initial margin is considered cash collateral. For cleared derivatives, the Clearinghouse determines initial margin requirements and generally, credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. FHLBank was not required to post additional initial margin by its clearing agents as of June 30, 2024 and December 31, 2023.