10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended December 31, 2021

OR

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

Commission File Number 000-51405

FEDERAL HOME LOAN BANK OF DALLAS

(Exact name of registrant as specified in its charter)

Federally chartered corporation		71-6013989
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification Number)
8500 Freeport Parkway South, Suite 600
Irving,	TX	75063-2547
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: (214) 441-8500

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

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

Securities registered pursuant to Section 12(g) of the Act: Class B Capital Stock, $100 par value per share

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No þ

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes o No þ

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o

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 and post such files). Yes þ No o

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

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

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

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. þ

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

The registrant’s capital stock is not publicly traded and is only issued to members of the registrant. Such stock is issued and redeemed at par value ($100 per share), subject to certain regulatory and statutory requirements. At March 4, 2022, the registrant had 22,501,374 shares of its capital stock outstanding. As of June 30, 2021 (the last business day of the registrant’s most recently completed second fiscal quarter), the aggregate par value of the registrant’s capital stock outstanding was approximately $2.099 billion

Documents Incorporated by Reference: None.

FEDERAL HOME LOAN BANK OF DALLAS

TABLE OF CONTENTS

	Page
PART I
Item 1. Business	1
Item 1A. Risk Factors	22
Item 1B. Unresolved Staff Comments	31
Item 2. Properties	31
Item 3. Legal Proceedings	31
Item 4. Mine Safety Disclosures	31
PART II
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	32
Item 6. Reserved	34
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations	34
Forward-Looking Information	34
Overview	34
Financial Market Conditions	35
2021 in Summary	37
Selected Financial Data	38
Financial Condition	39
Results of Operations	61
Liquidity and Capital Resources	68
Risk-Based Capital Rules and Other Capital Requirements	70
Critical Accounting Policies and Estimates	71
Recently Issued Accounting Guidance	74
Item 7A. Quantitative and Qualitative Disclosures About Market Risk	75
Item 8. Financial Statements and Supplementary Data	79
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	79
Item 9A. Controls and Procedures	79
Item 9B. Other Information	79
PART III
Item 10. Directors, Executive Officers and Corporate Governance	79
Item 11. Executive Compensation	91
Compensation Discussion and Analysis	91
Compensation Committee Report	103
Summary Compensation Table	104
Grants of Plan-Based Awards	105
Pension Benefits	107
Nonqualified Deferred Compensation	110
Potential Payments upon Termination or Change in Control	114
Pay Ratio	119
Director Compensation	119
Compensation Committee Interlocks and Insider Participation	121
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	121
Item 13. Certain Relationships and Related Transactions, and Director Independence	123
Item 14. Principal Accounting Fees and Services	126
PART IV
Item 15. Exhibits, Financial Statement Schedules	127
Item 16. Form 10-K Summary	129
Signatures	S-1
Index to Financial Statements	F-1
EX-4.1
EX-4.2
EX-10.23
EX-14.1
EX-31.1
EX-31.2
EX-32.1
EX-99.1
EX-99.2
EX-101
EX-104

PART I

ITEM 1. BUSINESS

Background

The Federal Home Loan Bank of Dallas (the “Bank”) is one of 11 Federal Home Loan Banks (each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System,” or the “System”). The FHLBanks were created by the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”). Each of the 11 FHLBanks is a member-owned cooperative that operates as a separate federally chartered corporation with its own management, employees and board of directors. Each FHLBank helps finance housing, community lending, and community development needs in the specified states in its respective district. Federally insured commercial banks, savings banks, savings and loan associations, and federally or privately insured credit unions, as well as insurance companies and Community Development Financial Institutions that are certified under the Community Development Banking and Financial Institutions Act of 1994, are all eligible for membership in the FHLBank of the district in which the institution’s principal place of business is located. Housing associates, including state and local housing authorities, that meet certain statutory and regulatory criteria may also borrow from the FHLBanks.

The public purpose of the Bank is to promote housing, jobs and general prosperity through products and services that assist its members in providing affordable credit in their communities. The Bank’s primary business is to serve as a financial intermediary between the capital markets and its members. In its most basic form, this intermediation process involves raising funds by issuing debt in the capital markets and lending the proceeds to member institutions (in the form of loans known as advances) at rates that are slightly higher than the cost of the debt. The interest spread between the cost of the Bank’s liabilities and the yield on its assets, combined with the earnings on its invested capital, are the Bank’s primary sources of earnings. The Bank endeavors to manage its assets and liabilities in such a way that its net interest spread (excluding fair value hedge ineffectiveness) is consistent across a wide range of interest rate environments. The intermediation of its members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate exchange agreements. These agreements, commonly referred to as derivatives or derivative instruments, are discussed below in the section entitled “Use of Interest Rate Exchange Agreements.”

The Bank’s principal source of funds is debt issued in the capital markets. All 11 FHLBanks issue debt in the form of consolidated obligations through the Office of Finance as their agent, and each FHLBank uses these funds to make loans to its members, invest in debt securities, or for other business purposes. Generally, consolidated obligations are traded in the over-the-counter market. All 11 FHLBanks are jointly and severally liable for the repayment of all consolidated obligations. Although consolidated obligations are not obligations of or guaranteed by the U.S. government, FHLBanks are considered to be government-sponsored enterprises (“GSEs”) and thus have historically been able to borrow at the more favorable rates generally available to GSEs. Consolidated obligations are currently rated Aaa/P-1 by Moody’s Investors Service (“Moody’s”) and AA+/A-1+ by S&P Global Ratings (“S&P”). In the application of S&P's Government Related Entities criteria, the ratings of the FHLBanks are constrained by the long-term sovereign credit rating of the United States. These ratings indicate that each of these nationally recognized statistical rating organizations ("NRSROs") has concluded that the FHLBanks have a very strong capacity to meet their financial commitments on consolidated obligations. The ratings also reflect the FHLBank System’s status as a GSE. Historically, the FHLBanks' GSE status and very high credit ratings on consolidated obligations have provided the FHLBanks with excellent capital markets access. Deposits, other borrowings and the proceeds from the issuance of capital stock to members are also sources of funds for the Bank.

In addition to the ratings on the FHLBanks’ consolidated obligations, each FHLBank is rated individually by both S&P and Moody’s. These individual FHLBank ratings apply to the individual obligations of the respective FHLBanks, such as interest rate derivatives, deposits, and letters of credit. As of December 31, 2021, Moody’s had assigned a deposit rating of Aaa/P-1 to each of the FHLBanks and S&P had rated each of the FHLBanks AA+/A-1+.

Current and prospective shareholders and debtholders should understand that these credit ratings are not a recommendation to buy, hold or sell securities and they may be revised or withdrawn at any time by the NRSRO. The ratings from each of the NRSROs should be evaluated independently.

All members of the Bank are required to purchase capital stock in the Bank as a condition of membership and in proportion to their asset size and business activity with the Bank. The Bank’s capital stock is not publicly traded and all stock is owned by members of the Bank, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other obligations that remain outstanding or until any applicable stock redemption or withdrawal notice period expires.

The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, is responsible for supervising and regulating the FHLBanks and the Office of Finance. The Finance Agency’s

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stated mission is to ensure that the housing GSEs, including the FHLBanks, operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Consistent with this mission, the Finance Agency establishes policies and regulations covering the operations of the FHLBanks.

The Bank’s debt and equity securities are exempt from registration under the Securities Act of 1933 and are “exempted securities” under the Securities Exchange Act of 1934 (the “Exchange Act”). As required by the Housing and Economic Recovery Act of 2008 (the “HER Act”), each FHLBank has voluntarily registered a class of its equity securities with the Securities and Exchange Commission (“SEC”) under Section 12(g) of the Exchange Act. As a registrant, the Bank is subject to the periodic reporting and disclosure regime as administered and interpreted by the SEC. The SEC maintains an Internet site (https://www.sec.gov) that contains reports and other information filed with the SEC. Reports and other information that the Bank files with the SEC are also available free of charge through the Bank’s website at www.fhlb.com. To access these reports and other information through the Bank’s website, click on "About Us," then “Investor Relations,” and then “SEC” under the heading SEC Filings. The information on the Bank's website is not, and shall not be deemed to be, a part hereof or incorporated into this or any of the Bank's other filings with the SEC.

Membership

The Bank’s members are financial institutions with their principal place of business in the Ninth Federal Home Loan Bank District, which consists of Arkansas, Louisiana, Mississippi, New Mexico and Texas (the "Ninth District"). The following table summarizes the Bank’s membership, by type of institution, as of December 31, 2021, 2020 and 2019.

MEMBERSHIP SUMMARY

	December 31,
	2021	2020	2019
Commercial banks	552	557	565
Credit unions	126	127	122
Insurance companies	59	52	47
Savings institutions	54	55	54
Community Development Financial Institutions	7	7	7
Total members	798	798	795
Housing associates	8	8	8
Non-member borrowers	2	3	4
Total	808	809	807
Community Financial Institutions (“CFIs”) (1)	521	537	551

(1)The figures presented above reflect the number of members that were CFIs as of December 31, 2021, 2020 and 2019 based upon the definitions of CFIs that applied as of those dates.

As of December 31, 2021, approximately 65 percent of the Bank’s members were Community Financial Institutions ("CFIs"). CFIs are defined by the FHLB Act (as amended by the HER Act) to include all institutions insured by the Federal Deposit Insurance Corporation (“FDIC”) with average total assets over the three-year period preceding measurement of less than $1.0 billion, as adjusted annually for inflation. For 2021, CFIs were FDIC-insured institutions with average total assets as of December 31, 2020, 2019 and 2018 of less than $1.239 billion. For 2020 and 2019, the asset cap was $1.224 billion and $1.199 billion, respectively. For 2022, the asset cap is $1.323 billion.

As of December 31, 2021, 2020 and 2019, approximately 41.7 percent, 44.2 percent and 48.2 percent, respectively, of the Bank’s members had outstanding advances from the Bank. These usage rates are calculated excluding housing associates and non-member borrowers. While eligible to borrow, housing associates are not members of the Bank and, as such, are not required to hold capital stock. Non-member borrowers consist of institutions that have acquired former members and assumed the advances and/or other extensions of credit of those former members and former members who have withdrawn from membership but that continue to have advances and/or other extensions of credit outstanding. Non-member borrowers are required to hold capital stock to support outstanding advances or other extensions of credit until the time when those advances have been repaid or the extensions of credit have expired, as applicable. During the period that their obligations remain outstanding, non-member borrowers may not request new extensions of credit, nor are they permitted to extend or renew the assumed extensions of credit.

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The Bank’s membership currently includes the majority of commercial banks and savings institutions in its district that are eligible to become members. Eligible non-members are primarily insurance companies, credit unions and smaller commercial banks that have thus far elected not to join the Bank. While the Bank anticipates that some number of these eligible non-member institutions will apply for membership each year, the Bank also anticipates that some number of its existing members will be acquired or merge with other institutions and it does not currently anticipate a substantial increase in the number of member institutions.

As a cooperative, the Bank is managed with the primary objectives of enhancing the value of membership for member institutions and fulfilling its public purpose. The value of membership includes access to readily available credit and other services from the Bank, the value of the cost differential between Bank advances and other potential sources of funds, and the dividends paid on members’ investments in the Bank’s capital stock.

Business Segments

The Bank manages its operations as one business segment. Management and the Bank’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. All of the Bank’s revenues are derived from U.S. operations.

Interest Income

The Bank’s interest income is derived from advances, investment activities and mortgage loans held for portfolio. Each of these revenue sources is more fully described below. During the years ended December 31, 2021, 2020 and 2019, interest income derived from each of these sources (expressed as a percentage of the Bank’s total interest income) was as follows:

	Year Ended December 31,
	2021			2020			2019
Advances (including prepayment fees)	34.3		%	46.4		%	50.3		%
Investments	45.1			40.6			43.5
Mortgage loans held for portfolio	20.6			13.0			6.2
Total	100.0		%	100.0		%	100.0		%
Total interest income (in thousands)	$	377,684		$	791,313		$	1,805,705

Substantially all of the Bank’s interest income from advances is derived from financial institutions domiciled in the Bank’s five-state district.

Products and Services

Advances. The Bank’s primary function is to provide its members with a reliable source of secured credit in the form of loans known as advances. The Bank offers advances to its members with a wide variety of terms designed to meet members’ business and risk management needs. Standard offerings include the following types of advances:

Fixed-rate, fixed-term advances. The Bank offers fixed-rate, fixed-term advances with maturities ranging from overnight to 20 years, and with maturities as long as 30 years for Community Investment advances. Interest is generally paid monthly and principal repaid at maturity for fixed-rate, fixed-term advances.

Fixed-rate, amortizing advances. The Bank offers fixed-rate advances with a variety of final maturities and fixed amortization schedules. Standard advances offerings include fully amortizing advances with final maturities of 5, 7, 10, 15 or 20 years, and advances with amortization schedules based on those maturities but with shorter final maturities accompanied by balloon payments of the remaining outstanding principal balance. Borrowers may also request alternative amortization schedules and maturities. Amortizing Community Investment advances can have maturities as long as 40 years. Interest is generally paid monthly and principal is repaid in accordance with the specified amortization schedule. Although these advances have fixed amortization schedules, borrowers may elect to pay a higher interest rate and have an option to prepay the advance without a fee after a specified lockout period (typically five years). Otherwise, early repayments are subject to the Bank’s standard prepayment fees.

Variable-rate advances. The Bank offers term variable-rate advances with maturities between one and ten years. Historically, standard offerings included variable-rate advances indexed to either one-month LIBOR or three-month LIBOR that were priced at a constant spread to the relevant index. In December 2018, the Bank stopped offering variable-rate advances indexed to LIBOR with maturities beyond December 31, 2021. In November 2020, the Bank stopped offering all variable-rate advances indexed to LIBOR. The Bank offers variable-rate advances indexed to discount notes that reset every 8, 13 or 26 weeks based on the results of the FHLBank System's discount note auctions that typically occur twice every week. In addition, the Bank

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offers short term variable-rate advances (maturities of 30 days or less) indexed to the daily federal funds rate or that adjust daily based on the prevailing discount note market. Further, beginning in December 2019, the Bank offers variable-rate advances indexed to the daily Secured Overnight Financing Rate ("SOFR") for terms ranging from 3 months to 18 months. Variable-rate advances may also include an embedded cap.

Putable advances. The Bank also makes advances that include a put feature that allows the Bank to terminate the advance at specified points in time. If the Bank exercises its option to terminate the putable advance, the Bank offers replacement funding to the member for a period selected by the member up to the remaining term to maturity of the putable advance, provided the Bank determines that the member is able to satisfy the normal credit and collateral requirements of the Bank for the replacement funding requested.

Symmetrical prepayment advances. The Bank also offers fixed-rate, fixed-term or amortizing advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount, thus allowing the member to realize a portion of the decrease in fair value that would arise if interest rates have increased since the advance was originated.

Expander advances. The Bank also offers fixed-rate, fixed-term, non-amortizing advances that provide the member with a one-time option to increase the principal amount of the advance up to twice the amount of the original advance at the original interest rate for the remaining term of the advance.

Fixed-rate, fixed-term advances, including Community Investment Program and Economic Development Program advances, can be forward-starting, which allows a member to lock in a rate for an advance that will settle at a future date. Amortizing advances and certain advances containing the symmetrical prepayment feature are also available on a forward-starting basis.

Finance Agency regulations require the Bank to establish a formula for and to charge, if necessary, a prepayment fee on an advance that is repaid prior to maturity in an amount sufficient to make the Bank financially indifferent to the borrower’s decision to repay the advance prior to its scheduled maturity date. Currently, these fees are generally calculated as the present value of the difference (if positive) between the interest rate on the prepaid advance and the rate derived from the FHLBank System consolidated obligations curve for the remaining term to maturity of the repaid advance.

Members are required by statute and regulation to use the proceeds of advances with an original term to maturity of greater than five years to purchase or fund new or existing residential housing finance assets which, for CFIs, are defined by statute and regulation to include small business, small farm and small agribusiness loans, loans for community development activities (subject to the Finance Agency’s requirements as described below) and securities representing a whole interest in such loans. Community Investment Cash Advances (described below) are exempt from these requirements.

The Bank prices its credit products with the objective of providing benefits of membership that are greatest for those members that use the Bank’s products most actively, while maintaining sufficient profitability to pay dividends at a rate that makes members financially indifferent to holding the Bank’s capital stock and that will allow the Bank to increase its retained earnings over time. Generally, that set of objectives results in small mark-ups over the Bank’s cost of funds for its advances. In keeping with its cooperative philosophy, the Bank provides the same pricing for advances to all similarly situated members regardless of asset or transaction size, charter type, or geographic location.

The Bank is required by the FHLB Act to obtain collateral that is sufficient, in the judgment of the Bank, to fully secure advances and other extensions of credit to members/borrowers. The Bank has not suffered any credit losses on advances since it was established in 1932. In accordance with the Bank’s Capital Plan, members and former members must hold Class B-2 capital stock in proportion to their outstanding advances and, beginning in April 2021, their outstanding letters of credit. In addition, members must hold Class B-1 capital stock to meet their membership investment requirement. Pursuant to the FHLB Act, the Bank has a lien upon and holds the Bank’s Class B-1 and Class B-2 capital stock owned by each of its shareholders as additional collateral for all of the respective shareholder’s obligations to the Bank.

In order to comply with the requirement to fully secure advances and other extensions of credit, the Bank and each of its members/borrowers execute a written security agreement that establishes the Bank’s security interest in a variety of the members’/borrowers’ assets. The Bank, pursuant to the FHLB Act and Finance Agency regulations, originates, renews, or extends advances only if it has obtained and is maintaining a security interest in sufficient eligible collateral at the time such advance is made, renewed, or extended. Eligible collateral includes whole first mortgages on improved residential real property (not more than 90 days delinquent) or securities representing an undivided interest in such mortgages; securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including mortgage-backed and other debt securities issued or guaranteed by the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or the Government National Mortgage Association; term deposits in the Bank; and other real estate-related collateral acceptable to the Bank, provided that such collateral has a readily ascertainable value and the Bank can perfect a security interest in such assets.

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In the case of CFIs, the Bank may also accept as eligible collateral secured small business, small farm, and small agribusiness loans, secured loans for community development activities, and securities representing a whole interest in such loans, provided the Bank can perfect a security interest in such collateral and the collateral (i) has a readily ascertainable value, (ii) can be reliably discounted to account for liquidation, and (iii) can be liquidated in due course.

The HER Act added secured loans for community development activities as a new type of eligible collateral for CFIs. To date, the Bank has not been requested to accept secured loans for community development activities as collateral.

Except as set forth in the next sentence, the FHLB Act affords any security interest granted to the Bank by any member/borrower of the Bank, or any affiliate of any such member/borrower, priority over the claims and rights of any party, including any receiver, conservator, trustee, or similar party having rights of a lien creditor. The Bank’s security interest is not entitled to priority over the claims and rights of a party that (i) would be entitled to priority under otherwise applicable law and (ii) is an actual bona fide purchaser for value or is a secured party who has a perfected security interest in such collateral in accordance with applicable law (e.g., a prior perfected security interest under the Uniform Commercial Code or other applicable law). For example, as discussed further below, the Bank usually perfects its security interest in collateral by filing a Uniform Commercial Code financing statement against the borrower. If another secured party, without knowledge of the Bank's lien, perfected its security interest in that same collateral by taking possession of the collateral, rather than or in addition to filing a Uniform Commercial Code financing statement against the borrower, then that secured party’s security interest that was perfected by possession may be entitled to priority over the Bank’s security interest that was perfected by filing a Uniform Commercial Code financing statement.

From time to time, the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor (typically, a Federal Reserve Bank or another FHLBank). If the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor, the Bank will not extend credit against those assets or categories of assets.

As stated above, each member/borrower of the Bank executes a security agreement pursuant to which such member/borrower grants a security interest in favor of the Bank in certain assets of such member/borrower. The assets in which a member grants a security interest fall into one of two general structures. In the first structure, the member grants a security interest in all of its assets that are included in the eligible collateral categories, as described above, which the Bank refers to as a “blanket lien.” A member may request that its blanket lien be modified, such that the member grants in favor of the Bank a security interest limited to certain of the eligible collateral categories (i.e., whole first residential mortgages, securities, term deposits in the Bank and other real estate-related collateral). In the second structure, the member grants a security interest in specifically identified assets rather than in the broad categories of eligible collateral covered by the blanket lien and the Bank identifies those members as being on “specific collateral only status.”

The basis upon which the Bank will lend to a member that has granted the Bank a blanket lien depends on numerous factors, including, among others, that member’s financial condition and general creditworthiness. Generally, and subject to certain limitations, a member that has granted the Bank a blanket lien may borrow up to a specified percentage of the value of eligible collateral categories, as determined from that member’s financial reports filed with its federal regulator, without specifically identifying each item of collateral or delivering the collateral to the Bank. Under certain circumstances, including, among others, a deterioration of a member’s financial condition or general creditworthiness, the amount a member may borrow is determined only on the basis of the collateral that such member delivers to the Bank or a third-party custodian approved by the Bank. Under these circumstances, the Bank places the member on “custody status.” In addition, members on blanket lien status may choose to deliver some or all of the collateral to the Bank.

The members/borrowers that are granted specific collateral only status by the Bank are typically either insurance companies or members/borrowers with an investment grade credit rating from at least two NRSROs that have requested this type of structure. Insurance companies are permitted to borrow only against the eligible collateral that is delivered to the Bank, and insurance companies generally grant a security interest only in collateral they have delivered. Members/borrowers with an investment grade credit rating from at least two NRSROs may grant a security interest in, and would be permitted to borrow only against, delivered eligible securities and specifically identified, eligible first-lien mortgage loans. Such loans must be delivered to the Bank or a third-party custodian approved by the Bank, or the Bank and the member/borrower must otherwise take actions that ensure the priority of the Bank’s security interest in the loans. Investment grade rated members/borrowers that choose this option are subject to fewer provisions that allow the Bank to demand additional collateral or exercise other remedies based on the Bank’s discretion.

As of December 31, 2021, 665 of the Bank’s borrowers/potential borrowers with a total of $17.4 billion in outstanding advances were on blanket lien status, 23 borrowers/potential borrowers with $3.1 billion in outstanding advances were on specific collateral only status and 120 borrowers/potential borrowers with $3.9 billion in outstanding advances were on custody status.

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The Bank perfects its security interest in members'/borrowers’ collateral in a number of ways. The Bank usually perfects its security interest in collateral by filing a Uniform Commercial Code financing statement against the relevant assets of the member/borrower. In the case of certain borrowers, the Bank perfects its security interest by taking possession or control of the collateral, which may be in addition to the filing of a financing statement. In these cases, the Bank also generally takes assignments of most of the mortgages and deeds of trust that are designated as collateral. Instead of requiring delivery of the collateral to the Bank, the Bank may allow certain borrowers to deliver specific collateral to a third-party custodian approved by the Bank or otherwise take actions that ensure the priority of the Bank’s security interest in such collateral.

On at least a quarterly basis, the Bank obtains updated information relating to collateral pledged to the Bank by depository institution members/borrowers, including those on blanket lien status. This information is either obtained directly from the member/borrower or obtained by the Bank from appropriate regulatory filings. In addition, on a monthly basis or as otherwise requested by the Bank, members/borrowers on custody status and members/borrowers on specific collateral only status must update information relating to collateral pledged to the Bank. Bank personnel regularly verify the existence and eligibility of collateral securing advances to members/borrowers on blanket lien status and members/borrowers on specific collateral only status with respect to any collateral not delivered to the Bank. Members/borrowers on blanket lien status are subject to collateral verifications if in the prior 12-month period ending on November 30 the member/borrower relied on blanket lien collateral to support any of its outstanding obligations. The frequency and the extent of these collateral verifications depend on the average amount by which a member's/borrower’s outstanding obligations to the Bank during the 12-month period exceed the collateral value of its securities, loans and term deposits held by the Bank. Collateral verifications are not required for members/borrowers that have had no, or only a de minimis amount of, outstanding obligations to the Bank secured by a blanket lien during the prior 12-month period ending on November 30, are on custody status, or are on blanket lien status but at all times have delivered to the Bank or an approved custodian eligible loans, securities and term deposits with a collateral value in excess of the advances and other extensions of credit to the member/borrower.

As of December 31, 2021, the Bank’s outstanding advances (at par value) totaled $24.4 billion. As of that date, advances outstanding to the Bank’s five largest borrowers represented 41.4 percent of the Bank’s total outstanding advances. Advances to the Bank’s three largest borrowers (American General Life Insurance Company, Texas Capital Bank, National Association and Life Insurance Company of the Southwest) represented 12.9 percent, 9.0 percent and 8.4 percent, respectively, of the Bank’s total outstanding advances as of December 31, 2021. For additional information regarding the composition and concentration of the Bank’s advances, see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Financial Condition — Advances.

Community Investment Offerings. The Bank offers a Community Investment Cash Advances (“CICA”) program (which includes a Community Investment Program, an Economic Development Program and a Disaster Relief Program) as authorized by Finance Agency regulations. Advances made under the CICA program benefit low- to moderate-income households by providing funds for housing or economic development projects or projects that promote recovery efforts in communities that have been declared disaster areas by the Federal Emergency Management Agency ("FEMA"). CICA advances are made at rates below the rates the Bank charges on standard advances. CICA advances are provided separately from and do not count toward the Bank’s statutory obligations under the Affordable Housing Program, through which the Bank provides grants to support projects that benefit low- and very low-income households as further described below. As of December 31, 2021, the par value of advances outstanding under the CICA program totaled approximately $322.9 million, representing approximately 1.3 percent of the Bank’s total advances outstanding as of that date.

The Bank offers a Small Business Boost ("SBB") Program, which is designed to provide recoverable assistance to small businesses in their first few years of operation. SBB funds awarded to small businesses are disbursed through member institutions. In each of the years 2021, 2020 and 2019, the Bank made available $3 million for SBB loans. At December 31, 2021, $8.3 million of SBB loans were outstanding.

The Bank also offers an Affordable Housing Program (“AHP”) as required by the FHLB Act and in accordance with Finance Agency regulations. The Bank sets aside 10 percent of each year’s earnings (as adjusted for interest expense on mandatorily redeemable capital stock) for its AHP, which provides grants for projects that facilitate development of rental and owner-occupied housing for low- and very low-income households. Each year, a portion of the amount set aside is typically allocated specifically for the Bank's Homebuyer Equity Leverage Partnership ("HELP") program, its Special Needs Assistance Program ("SNAP") and its Disaster Rebuilding Assistance ("DRA") program. HELP provides grant funds for down payment and closing cost assistance for eligible first-time homebuyers. SNAP provides grant funds to special needs homeowners for rehabilitation costs. The DRA program provides grant funds (for repair and construction costs that are not covered by insurance or federal or state emergency assistance) to low- and very low-income households in the Bank's member communities that have been declared disaster areas eligible for individual assistance by FEMA. For 2021, the Bank set aside from its 2020 AHP funds $4.5 million, $2.5 million and $0.5 million for HELP, SNAP and the DRA program, respectively. The calculation of the amount to be set aside for the Bank's AHP is further discussed below in the section entitled “AHP Assessments.” Each year, the Bank conducts a competitive application process to allocate the AHP funds set aside from the prior year’s earnings. Applications

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submitted by Bank members and their community partners are scored in accordance with Finance Agency regulations and the Bank’s AHP Implementation Plan. The highest scoring proposals are approved to receive funds, which are disbursed upon receipt of documentation that the projects are progressing as specified in the original applications or in approved modifications thereto.

In addition, the Bank offers a Housing Assistance for Veterans ("HAVEN") program that is designed to provide grants to households of veterans or active service members who were disabled as a result of an injury during their active military service since September 11, 2001. For 2021, the Bank made available $0.3 million for the HAVEN program.

Further, the Bank offers a Partnership Grant Program ("PGP") which provides funding for the operational needs of community-based organizations ("CBOs"). CBOs include non-profit organizations involved in affordable housing, local community development funds and small business technical assistance providers. For 2021, the Bank made available $0.4 million for the PGP.

For 2022, the Bank has set aside from its 2021 AHP funds $4.0 million, $1.5 million and $0.75 million for HELP, SNAP and the DRA program, respectively. Funds available in 2022 for SBB, HAVEN and PGP are $3.0 million, $0.3 million and $0.4 million, respectively.

Standby Letters of Credit. The Bank’s credit services also include standby letters of credit issued or confirmed on behalf of members to facilitate business transactions with third parties that support residential housing finance, community lending, or asset/liability management or to provide liquidity to members. Standby letters of credit are also issued on behalf of members to secure the deposits of public entities that are held by such members. All letters of credit must be fully collateralized as though they were funded advances. At December 31, 2021 and 2020, outstanding standby letters of credit totaled $21.7 billion and $22.4 billion, respectively, of which $40 million and $247 million, respectively, had been issued or confirmed under the Bank’s CICA program as of those dates.

Correspondent Banking and Collateral Services. The Bank provides its members with a variety of correspondent banking and collateral services. These services include overnight and term deposit accounts, wire transfer services, securities safekeeping, and securities pledging services.

SecureConnect. The Bank provides secure online access to many of its products, services and reports through SecureConnect, a proprietary, secure online product delivery system. A substantial portion of the Bank’s advances and wire transfers are initiated by members through SecureConnect. In addition, a large proportion of account statements and other reports are made available through SecureConnect. Further, members may participate in auctions for Bank advances and deposits through SecureConnect.

Interest Rate Swaps, Caps and Floors. The Bank currently offers interest rate swaps to its member institutions. The Bank has in the past and will likely again at some point in the future offer interest rate caps and floors to its member institutions. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties which, if required, will be a third-party central clearinghouse. In order to be eligible, a member must have executed a master swap agreement with the Bank. The Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. At December 31, 2021 and 2020, the total notional amount of interest rate exchange agreements with members totaled $86 million and $103 million, respectively.

Standby Bond Purchase Agreements. The Bank offers standby bond purchase services to state housing finance agencies within its district. In these transactions, in order to enhance the liquidity of bonds issued by a state housing finance agency, the Bank, for a fee, agrees to stand ready to purchase, in certain circumstances specified in the standby agreement, a state housing finance agency’s bonds that the remarketing agent for the bonds is unable to sell. The specific terms for any bonds purchased by the Bank are specified in the standby bond purchase agreement entered into by the Bank and the state housing finance agency. The Bank reserves the right to sell any bonds it purchases at any time, subject to any conditions the Bank agrees to in the standby bond purchase agreement. In November 2017, June 2018, December 2019, January 2020 and January 2021, the Bank entered into standby bond purchase agreements with a state housing finance agency located within its district. At December 31, 2021, the Bank had outstanding standby bond purchase agreements with this state housing finance agency totaling $914 million. To date, the Bank has never been required to purchase any bonds under these agreements. The Bank was not a party to any standby bond purchase agreements prior to 2017.

MPF Xtra. The Bank offers MPF Xtra® to its members. MPF Xtra is offered under the Mortgage Partnership Finance® (“MPF”®) program administered by the FHLBank of Chicago, which is discussed on pages 9-10 of this report (“Mortgage Partnership Finance,” “MPF,” and "MPF Xtra" are registered trademarks of the FHLBank of Chicago). MPF Xtra provides members that participate in the MPF program (known as participating financial institutions or "PFIs") an opportunity to sell certain fixed-rate, conforming mortgage loans into the secondary market. Under this program, loans are sold to the FHLBank of

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Chicago and are concurrently sold to Fannie Mae as a third-party investor. These loans are not held by the Bank, nor are they recorded on the Bank's balance sheet. Unlike other products offered under the MPF program, PFIs are not required to provide credit enhancement and do not receive credit enhancement fees when using the MPF Xtra product. Under the MPF Xtra program, the Bank receives a fee for any loans sold by its PFIs. During 2021, 2020 and 2019, $68.5 million, $338.8 million and $46.2 million, respectively, of loans were sold through the MPF Xtra program and the fees earned on the sale of these loans totaled $47,000, $237,000 and $32,000, respectively.

Investment Activities

The Bank maintains a portfolio of investments to enhance interest income and meet liquidity needs, including certain regulatory liquidity requirements, as discussed in Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources. To ensure the availability of funds to meet members’ credit needs, the Bank’s operating needs, and its other general and regulatory liquidity requirements, the Bank maintains a portfolio of short-term investments typically consisting of overnight federal funds issued by highly rated domestic banks and U.S. branches of foreign financial institutions, overnight reverse repurchase agreements, overnight interest-bearing deposits with highly rated domestic banks and U.S. Treasury Bills and Notes. At December 31, 2021, the Bank’s short-term investments were comprised of a $10.7 billion overnight reverse repurchase agreement transacted with the Federal Reserve Bank of New York, $4.8 billion of overnight federal funds sold, $2.2 billion of U.S. Treasury Bills, $0.9 billion of overnight interest-bearing deposits, $0.5 billion of excess cash held at the Federal Reserve and $0.1 billion of U.S. Treasury Notes.

To enhance net interest income, the Bank maintains a long-term investment portfolio, which currently includes mortgage-backed securities ("MBS") issued by U.S. government-sponsored enterprises (i.e., Fannie Mae and Freddie Mac); non-agency (i.e., private label) residential MBS; non-MBS debt instruments issued or guaranteed by the U.S. government or secured by U.S. government guaranteed obligations; non-MBS debt instruments issued by U.S. government-sponsored enterprises (i.e., Fannie Mae, Freddie Mac and the Farm Credit System); and state housing agency obligations. The interest rate and, in the case of MBS, prepayment risk inherent in the securities is managed through a variety of debt and interest rate derivative instruments. As of December 31, 2021, 2020 and 2019, the composition of the Bank’s long-term investment portfolio was as follows (dollars in millions):

	December 31,
	2021				2020				2019
	Amortized Cost		Percentage		Amortized Cost		Percentage		Amortized Cost		Percentage
Government-sponsored enterprises
Commercial MBS	$	10,123	64.3	%	$	11,182	63.4	%	$	10,628	59.2	%
Debentures	4,471		28.4		4,951		28.1		5,501		30.6
Residential MBS	484		3.1		740		4.2		1,037		5.8
Government-guaranteed securities	521		3.3		545		3.1		556		3.1
Non-agency residential MBS	37		0.2		50		0.3		63		0.4
Other	113		0.7		155		0.9		155		0.9
Total	$	15,749	100.0	%	$	17,623	100.0	%	$	17,940	100.0	%

The Bank is precluded from purchasing additional MBS if such purchase would cause the aggregate amortized historical cost of its MBS holdings to exceed an amount equal to 300 percent of its total regulatory capital at the time of purchase. For purposes of applying this limit, the Finance Agency defines "amortized historical cost" as the sum of the initial investment, less the amount of cash collected that reduces principal, less write-downs plus yield accreted to date. This definition excludes hedge basis adjustments, which, for investment securities, are included in the definition of amortized cost basis under accounting principles generally accepted in the United States of America ("U.S. GAAP"). Using this definition, the Bank's MBS holdings totaled $10.2 billion as of December 31, 2021, which represented 272 percent of its total regulatory capital at that date. Absent other balance sheet constraints imposed by the Finance Agency, the Bank attempts to maintain its investments in MBS at or close to the regulatory dollar limit which, as of December 31, 2021, was $11.3 billion.

Prior to January 1, 2020, the Bank was permitted to invest in the non-MBS debt obligations of any GSE provided such investments in any single GSE did not exceed the lesser of the Bank’s total regulatory capital or that GSE's total capital (taking into account the financial support provided by the U.S. Department of the Treasury, if applicable) at the time new investments were made. The Bank's authority to invest in the non-MBS debt obligations of GSEs that are not operating with capital support or some other form of direct financial assistance from the U.S. government was reduced beginning January 1, 2020. The Bank's investments in the non-MBS debt obligations of Fannie Mae and Freddie Mac are each currently limited to an amount equal to 100 percent of the Bank's total regulatory capital while investments in the non-MBS debt obligations of the Farm Credit System are now limited to an amount equal to 15 percent of the Bank's total regulatory capital. Although the Bank's holdings of Farm

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Credit System debentures exceeded this new limit on January 1, 2020, the Bank was not required to sell or otherwise reduce any of these investments. Instead, the Bank is precluded from purchasing any additional Farm Credit System debentures until such time as its holdings are reduced to an amount that is less than 15 percent of the Bank's total regulatory capital.

For additional constraints relating to the Bank's long-term investment portfolio, see the section below entitled "Core Mission Achievement."

In accordance with Finance Agency policy and regulations, total capital for purposes of determining the Bank’s MBS and non-MBS investment limitations excludes accumulated other comprehensive income (loss) and includes all amounts paid in for the Bank’s capital stock regardless of accounting classification (see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations). The Bank is not required to sell or otherwise reduce any investments that exceed these regulatory limits due to reductions in capital or increases in amortized historical cost that occur after the investments are made, but it is precluded from making additional investments that exceed these limits.

Finance Agency regulations include a variety of restrictions and limitations on the FHLBanks’ investment activities, including limits on the types, amounts, and maturities of unsecured investments in private issuers. Finance Agency rules and regulations also prohibit the Bank from investing in certain types of securities, including:

•instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies, or certain investments targeted to low-income persons or communities;

•instruments issued by non-United States entities, other than those issued by United States branches and agency offices of foreign commercial banks;

•debt instruments that are not investment quality, other than certain investments targeted to low-income persons or communities and instruments that became non-investment quality after purchase by the Bank;

•whole mortgages or other whole loans, other than 1) those acquired by the Bank through a duly authorized Acquired Member Assets program such as the Mortgage Partnership Finance program discussed below; 2) certain investments targeted to low-income persons or communities; 3) certain marketable direct obligations of state, local, or tribal government units or agencies that are investment quality; 4) MBS or asset-backed securities backed by manufactured housing loans or home equity loans; and 5) certain foreign housing loans authorized under Section 12(b) of the FHLB Act;

•non-U.S. dollar denominated securities;

•interest-only or principal-only stripped MBS;

•residual-interest or interest-accrual classes of collateralized mortgage obligations and real estate mortgage investment conduits; and

•fixed-rate MBS or floating-rate MBS that, on trade date, are at rates equal to their contractual cap and that have average lives that vary by more than six years under an assumed instantaneous interest rate change of 300 basis points.

Beginning January 1, 2020, the Bank is also prohibited, pursuant to a Finance Agency directive, from purchasing LIBOR-indexed investments that mature after December 31, 2021. For further information, see the Legislative and Regulatory Developments section beginning on page 17 of this report.

Acquired Member Assets ("AMA")

Through the MPF program, the Bank currently invests in conventional residential mortgage loans originated by its PFIs. The Bank previously purchased conventional mortgage loans and government-guaranteed/insured mortgage loans (i.e., those insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs) during the period from 1998 to mid-2003, and resumed acquiring conventional mortgage loans under this program in early 2016. All of the mortgage loans acquired during the period from 2016 to 2021 were originated by certain of the Bank's PFIs and the Bank acquired a 100 percent interest in such loans. For the loans that were acquired from its members during the period from 1998 to mid-2003, the Bank retained title to the mortgage loans, subject to any participation interest in such loans that was sold to the FHLBank of Chicago; the interest in the loans retained by the Bank ranged from 1 percent to 49 percent. Additionally, during the period from 1998 to 2000, the Bank also acquired from the FHLBank of Chicago a percentage interest (ranging up to 75 percent) in certain MPF loans originated by PFIs of other FHLBanks. Substantially all of the $3.4 billion (unpaid principal balance) of mortgage loans on the Bank's balance sheet at December 31, 2021 were conventional loans acquired during the period from 2016 through 2021.

The Bank manages the liquidity, interest rate and prepayment risk of these loans, while the PFIs or their designees retain the servicing activities. The Bank and the PFIs share in the credit risk of the loans with the Bank assuming a limited first loss obligation defined as the First Loss Account (“FLA”), and the PFIs assuming credit losses in excess of the FLA, up to the amount of the required credit enhancement obligation ("CE Obligation") as specified in the master agreement (“Second Loss

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Credit Enhancement”). Depending on the MPF product structure, the FLA is either a memo account calculated as the cumulative amount of a specified portion of the monthly interest payments on the MPF loans (e.g., 4 basis points, annualized, per month), or a specified percentage amount of MPF loans outstanding (e.g., 35 basis points of the principal amount of the loans). In the first case, the Bank’s first loss obligation is limited to the accumulated amount of the FLA, while in the second case the Bank’s first loss obligation is limited to the specified percentage of the loans outstanding, subject to recovery from future credit enhancement fees otherwise payable to the PFI as described below.

The CE Obligation is the amount of credit enhancement needed for a pool of loans delivered under a master commitment to be considered “AMA investment grade,” which is defined in the Finance Agency's regulations as sufficient credit enhancement such that the Bank expects to be “paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.” Prior to December 2016, credit enhancements were required to be established such that each master commitment would have an estimated rating equivalent to an investment grade rated MBS and to be set by the Bank using an NRSRO model. Prior to December 22, 2016, the Bank set the credit enhancement level at a double-A equivalent. For loans delivered on and after that date, the credit enhancement level has been set at a triple-B equivalent, which the Bank has determined is sufficient to meet the AMA investment grade standard. The Bank assumes all losses in excess of the Second Loss Credit Enhancement. As further described below, the PFIs are paid a fee by the Bank for assuming a portion of the credit risk of the loans.

The PFI’s CE Obligation arises under its PFI Agreement while the amount and nature of the obligation are determined with respect to each master commitment. Under the Finance Agency’s Acquired Member Asset regulation (12 C.F.R. part 1268) (“AMA Regulation”), the PFI must “bear the economic consequences” of certain credit losses with respect to a master commitment based upon the MPF product and other criteria. Under the MPF program, the PFI’s credit enhancement protection may take the form of the CE Obligation, which represents the direct liability to pay credit losses incurred with respect to that master commitment, or may require the PFI to obtain and pay for a supplemental mortgage insurance (“SMI”) policy insuring the Bank for a portion of the credit losses arising from the master commitment, and/or the PFI may contract for a contingent performance-based credit enhancement fee whereby such fees are reduced by losses up to a certain amount arising under the master commitment. The credit risk-sharing structures utilized by the Bank during the period from 2016 through 2021 did not include SMI. Under the AMA Regulation, any portion of the CE Obligation that is a PFI’s direct liability must be collateralized by the PFI in the same way that advances are collateralized. The PFI Agreement provides that the PFI’s obligations under the PFI Agreement are secured along with other obligations of the PFI under its regular advances agreement with the Bank and, further, that the Bank may request additional collateral to secure the PFI’s obligations. PFIs are paid a credit enhancement fee (“CE fee”) as an incentive to minimize credit losses, to share in the risk of loss on MPF loans and to pay for SMI (if applicable), rather than paying a guaranty fee to other secondary market purchasers. CE fees are paid monthly and are determined based on the remaining unpaid principal balance of the MPF loans. The required CE Obligation may vary depending on the MPF product alternatives selected. The Bank also pays performance-based CE fees that are based on the actual performance of the pool of MPF loans under each individual master commitment. To the extent that losses incurred by the Bank as part of its first loss obligation in the current month exceed accrued performance-based CE fees, the remaining losses may be recovered from future performance-based CE fees payable to the PFI.

PFIs must comply with the requirements of the PFI agreement, MPF guides, applicable law and the terms of mortgage documents. If a PFI fails to comply with any of these requirements, it may be required to repurchase the MPF loans that are impacted by such failure. The reasons that a PFI could be required to repurchase an MPF loan include, but are not limited to, the failure of the loan to meet underwriting standards, the PFI’s failure to deliver a qualifying promissory note and certain other relevant documents to an approved custodian, a servicing breach, fraud or other misrepresentations by the PFI. In addition, a PFI may, under the terms of the MPF servicing guide, elect to repurchase any government-guaranteed/insured loan for an amount equal to the loan’s then current scheduled principal balance and accrued interest thereon, provided no payment has been made by the borrower for three consecutive months. This policy allows PFIs to comply with loss mitigation requirements of the applicable government agency in order to preserve the insurance guaranty coverage.

As of December 31, 2021 and 2020, MPF loans held for portfolio (net of allowance for credit losses) were $3.491 billion and $3.423 billion, respectively, representing approximately 5.5 percent and 5.3 percent, respectively, of the Bank’s total assets at each of those dates. Over time, the Bank expects to increase the balance of its mortgage loan portfolio to an amount that approximates 10 percent to 15 percent of its total assets. Currently, the Bank intends to continue to acquire a 100 percent interest in the mortgage loans that it purchases from its PFIs.

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Core Mission Achievement

On July 14, 2015, the Finance Agency issued an Advisory Bulletin ("AB 2015-05") that provides guidance to the FHLBanks regarding core mission achievement. As stipulated in AB 2015-05, the Finance Agency assesses each FHLBank’s core mission achievement by calculating the ratio of a FHLBank's primary mission assets (defined for this purpose as advances and mortgage loans held for portfolio) relative to its consolidated obligations (hereinafter referred to as the core mission asset or "CMA" ratio). On August 23, 2018, the Finance Agency issued an Advisory Bulletin that, among other things, allows each FHLBank (beginning January 1, 2019) to adjust its CMA ratio (as defined in AB 2015-05) by deducting from the ratio's denominator the FHLBank's holdings of U.S. Treasury securities with a remaining maturity no greater than 10 years that are classified as trading or available-for-sale. The CMA ratio is calculated for each calendar year using annual average par values.

AB 2015-05 also provides the Finance Agency’s expectations for each FHLBank’s strategic plan based on the FHLBank's CMA ratio, which are:

•when the CMA ratio is 70 percent or higher, the strategic plan should include an assessment of the FHLBank’s prospects for maintaining that level of core mission achievement;

•when the CMA ratio is at least 55 percent but less than 70 percent, the strategic plan should explain the FHLBank’s plans to increase its mission focus; and

•when the CMA ratio is below 55 percent, the strategic plan should include a robust explanation of the circumstances that caused the CMA ratio to be below that level, as well as a detailed description of the FHLBank's plans to increase the ratio. AB 2015-05 provides that if a FHLBank has a CMA ratio below 55 percent over the course of several consecutive reviews, then the FHLBank’s board of directors should consider possible strategic alternatives as part of its strategic planning.

Currently, the Bank's core mission assets are comprised primarily of advances. For the years ended December 31, 2021, 2020 and 2019, the Bank's CMA ratio was 66.4 percent, 67.7 percent and 65.7 percent, respectively. As noted previously in the Acquired Member Assets section (and for reasons unrelated to AB 2015-05), the Bank began to purchase mortgage loans through the MPF Program in early 2016. Over time, mortgage loan purchases are expected to further increase the Bank's core mission assets, all other things being equal. For 2022, the Bank's goal is to achieve a CMA ratio of at least 70 percent (the "2022 CMA Goal").

Notwithstanding the negative impact that holding higher amounts of liquidity has on its CMA ratio, the Bank has at times maintained, and may continue from time to time to maintain higher balances of liquidity if short-term debt markets are volatile or if, in management's judgment, they are expected to become more volatile. Since late 2018, the Bank has used and it will likely continue to use to some extent U.S. Treasury securities to meet its liquidity requirements given the favorable treatment afforded such investments in the Bank's CMA ratio relative to other short-term investment alternatives.

The elevated levels of liquidity in the financial markets stemming from COVID-19 relief measures taken by the U.S. government dampened demand for the Bank's advances during the last nine months of 2020 and all of 2021. Further, during this same timeframe, the Bank's mortgage loans held for portfolio declined due to a combination of significant prepayment activity (due to historically low mortgage rates) and reduced purchase volumes (due to the Bank's less competitive mortgage pricing in the wake of the Federal Reserve's purchases of agency securities to support the flow of credit in the financial markets). The reductions in the Bank's advances and mortgage loans held for portfolio negatively impacted the Bank's CMA ratios in 2020 and 2021.

While difficult to achieve in the current economic environment, the Bank intends to continue to focus its efforts on growing its advances and mortgage loans held for portfolio to increase its CMA ratio. The level of liquidity in the financial markets and deposit levels at member institutions remain elevated which will complicate its efforts to grow advances in the near term. Recently, mortgage rates have begun to rise and if they continue to do so, mortgage prepayments would be expected to moderate. However, increasing mortgage rates, coupled with the recent rise in home prices, could lead to a reduction in mortgage loan originations by the Bank’s PFIs which, in turn, could reduce the Bank’s mortgage loan purchases. In 2021, the Bank’s average advances were significantly higher than the balances at the end of the second, third and fourth quarters due largely to intra-month borrowings by certain credit union members. Among other things, the achievement of the Bank’s 2022 CMA Goal will be dependent upon the continuation of these intra-month borrowings in similar amounts, which may or may not occur, and the Bank's ability to prudently manage the level and composition of its liquidity portfolio. Due to scheduled maturities, the Bank’s holdings of non-MBS debt obligations (excluding U.S. Treasury obligations) are expected to decline by approximately $1.2 billion over the course of 2022, which will incrementally increase its CMA ratio, all other things being equal. The Bank could also elect to reduce the size of its investment portfolio by selling assets, but this action would have the effect of reducing its future earnings. While the Bank does not currently plan to sell any long-term investments, it could elect to do so at some point in the future.

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Irrespective of its capacity from time to time to purchase long-term investments as discussed in the section above entitled "Investment Activities," the Bank does not intend to purchase any such investments (i.e., MBS or non-MBS debt instruments) unless it has achieved, and is reasonably confident that it can maintain, a CMA ratio of 70 percent.

Funding Sources

General. The principal funding source for the Bank is consolidated obligations issued in the capital markets through the Office of Finance. Member deposits and the proceeds from the issuance of capital stock are also funding sources for the Bank. Consolidated obligations consist of consolidated obligation bonds and consolidated obligation discount notes. Discount notes are consolidated obligations with maturities of one year or less, and consolidated obligation bonds typically have maturities in excess of one year.

The Bank determines its participation in the issuance of consolidated obligations based upon, among other things, its own funding and operating requirements and the amounts, maturities, rates of interest and other terms available in the marketplace. In collaboration with the FHLBanks, the issuance terms for consolidated obligations are established by the Office of Finance, subject to policies established by its board of directors and the regulations of the Finance Agency. In addition, the Government Corporation Control Act provides that, before a government corporation issues and offers obligations to the public, the U.S. Secretary of the Treasury shall prescribe the form, denomination, maturity, interest rate, and conditions of the obligations, the way and time issued, and the selling price.

Consolidated obligation bonds generally satisfy long-term funding needs. Typically, the maturities of these securities range from 1 to 20 years, but their maturities are not subject to any statutory or regulatory limit. Consolidated obligation bonds can be fixed-rate or variable-rate and may be callable or non-callable.

Consolidated obligation bonds are issued and distributed through negotiated or competitively bid transactions with underwriters or bidding group members. The Bank receives 100 percent of the proceeds of bonds issued through direct negotiation with underwriters of System debt when it is the sole primary obligor on consolidated obligation bonds. When the Bank and one or more other FHLBanks jointly agree to the issuance of bonds directly negotiated with underwriters, the Bank receives the portion of the proceeds of the bonds agreed upon with the other FHLBanks; in those cases, the Bank is the primary obligor for a pro rata portion of the bonds based on the proceeds it receives. In these cases, the Bank records on its balance sheet only that portion of the bonds for which it is the primary obligor. The majority of the Bank’s consolidated obligation bond issuance has been conducted through direct negotiation with underwriters of System debt, and a majority of that issuance has been without participation by the other FHLBanks.

The Bank may also request that specific amounts of specific bonds be offered by the Office of Finance for sale through competitive auction conducted with underwriters that are bidding group members. One or more other FHLBanks may also request that amounts of these same bonds be offered for sale for their benefit through the same auction. The Bank may receive from zero to 100 percent of the proceeds of the bonds issued through competitive auction depending on the amounts and costs for the bonds bid by underwriters, the maximum costs the Bank or other FHLBanks, if any, participating in the same issue are willing to pay for the bonds, and Office of Finance guidelines for allocation of bond proceeds among multiple participating FHLBanks.

Consolidated obligation discount notes are a significant funding source for money market instruments and for advances with short-term maturities or repricing frequencies of less than one year, or advances for which the interest rate is indexed to discount notes. Discount notes are sold at a discount and mature at par, and are offered daily through a consolidated obligation discount notes selling group and through other authorized securities dealers.

On a daily basis, the Bank may request that specific amounts of consolidated obligation discount notes with specific maturity dates be offered by the Office of Finance at a specific cost for sale to securities dealers in the discount note selling group. One or more other FHLBanks may also request that amounts of discount notes with the same maturities be offered for sale for their benefit on the same day. The Office of Finance commits to issue discount notes on behalf of the participating FHLBanks when securities dealers in the selling group submit orders for the specific discount notes offered for sale. The Bank may receive from zero to 100 percent of the proceeds of the discount notes issued through this sales process depending on the maximum costs the Bank or other FHLBanks, if any, participating in the same discount notes are willing to pay for the discount notes, the amounts of orders for the discount notes submitted by securities dealers, and Office of Finance guidelines for allocation of discount note proceeds among multiple participating FHLBanks. Under the Office of Finance guidelines, FHLBanks generally receive funding on a first-come-first-served basis subject to threshold limits within each category of discount notes. For overnight discount notes, sales are allocated to the FHLBanks in lots of $250 million for identical commitments. For all other discount note maturities, sales are allocated in lots of $50 million. Within each category of discount notes, the allocation process is repeated until all orders are filled or canceled.

Twice weekly, the Bank may also request that specific amounts of consolidated obligation discount notes with fixed maturity dates ranging from 4 to 26 weeks be offered by the Office of Finance through competitive auctions conducted through

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securities dealers in the discount note selling group. One or more other FHLBanks may also request that amounts of those same discount notes be offered for sale for their benefit through the same auction. The discount notes offered for sale through competitive auction are not subject to a limit on the maximum costs the FHLBanks are willing to pay. The FHLBanks receive funding at a single price based on a Dutch auction format. If the bids submitted are less than the total of the FHLBanks’ requests, the Bank receives funding based on the ratio of the Bank’s regulatory capital (defined on page 39 of this report) relative to the regulatory capital of the other FHLBanks offering discount notes. The majority of the Bank’s discount note issuance in maturities of 4 weeks or longer is conducted through the auction process. Regardless of the method of issuance, as with consolidated obligation bonds, the Bank is the primary obligor for the portion of discount notes issued for which it has received the proceeds.

On occasion, and as an alternative to issuing new debt, the Bank may assume the outstanding consolidated obligations for which other FHLBanks are the original primary obligors. This occurs in cases where the original primary obligor may have participated in a large consolidated obligation issue to an extent that exceeded its immediate funding needs in order to facilitate better market execution for the issue. The original primary obligor might then warehouse the funds until they were needed, or make the funds available to other FHLBanks. Transfers may also occur when the original primary obligor’s funding needs change, and that FHLBank offers to transfer debt that is no longer needed to other FHLBanks. Transferred debt is typically fixed-rate, fixed-term, non-callable debt, and may be in the form of discount notes or bonds. In connection with these transactions, the Bank becomes the primary obligor for the transferred debt.

The Bank participates in such transfers of funding from other FHLBanks when the transfer represents favorable pricing relative to a new issue of consolidated obligations with similar features. The Bank did not assume any consolidated obligations from other FHLBanks during the years ended December 31, 2021, 2020 or 2019.

In addition, the Bank occasionally transfers debt that it no longer needs to other FHLBanks. The Bank did not transfer any consolidated obligations to other FHLBanks during the years ended December 31, 2021, 2020 or 2019.

Joint and Several Liability. Although the Bank is primarily liable only for its portion of consolidated obligations (i.e., those consolidated obligations issued on its behalf and those that have been assumed from other FHLBanks), it is also jointly and severally liable with the other FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any payment on a consolidated obligation on behalf of another FHLBank, the paying FHLBank shall be entitled to reimbursement from the FHLBank with primary liability. The FHLBank with primary liability would have a corresponding liability to reimburse the FHLBank providing assistance to the extent of such payment and other associated costs (including interest to be determined by the Finance Agency). However, if the Finance Agency determines that the primarily liable 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 that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. Consequently, the Bank has no means to determine how the Finance Agency might allocate the obligations of a FHLBank that is unable to pay consolidated obligations for which such FHLBank is primarily liable. If principal of or interest on any consolidated obligation issued by the FHLBank System is not paid in full when due, the Bank may not pay dividends to, or repurchase shares of stock from, any shareholder of the Bank.

The FHLBanks and the Office of Finance are parties to the Amended and Restated Federal Home Loan Banks P&I Funding and Contingency Plan Agreement which is designed to facilitate the timely funding of principal and interest payments on FHLBank System consolidated obligations in the event that a FHLBank is not able to meet its funding obligations in a timely manner. For additional information regarding this agreement, see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources.

According to the Office of Finance, the 11 FHLBanks had (at par value) approximately $653 billion and $747 billion in consolidated obligations outstanding at December 31, 2021 and 2020, respectively. The Bank was the primary obligor on $55.8 billion and $59.2 billion (at par value), respectively, of these consolidated obligations.

Certification and Reporting Obligations. Under Finance Agency regulations, before the end of each calendar quarter and before paying any dividends for that quarter, the President and Chief Executive Officer of the Bank must certify to the Finance Agency that, based upon known current facts and financial information, the Bank will remain in compliance with its depository and liquidity requirements and will remain capable of making full and timely payment of all current obligations (which includes the Bank’s obligation to pay principal of and interest on consolidated obligations) coming due during the next quarter. The Bank is required to provide notice to the Finance Agency if it (i) is unable to provide the required certification, (ii) projects at any time that it will fail to comply with its liquidity requirements or will be unable to meet all of its current obligations due during the

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quarter, (iii) actually fails to comply with its liquidity requirements or to meet all of its current obligations due during the quarter, or (iv) negotiates to enter into or enters into an agreement with one or more other FHLBanks to obtain financial assistance to meet its current obligations due during the quarter. The Bank has been in compliance with the applicable reporting requirements at all times since they became effective in 1999.

A FHLBank must file a consolidated obligation payment plan for the Finance Agency’s approval if (i) the FHLBank becomes a non-complying FHLBank as a result of failing to provide the required certification, (ii) the FHLBank becomes a non-complying FHLBank as a result of being required to provide the notice described above to the Finance Agency, except in the case of a failure to make a payment on a consolidated obligation caused solely by an external event such as a power failure, or (iii) the Finance Agency determines that the FHLBank will cease to be in compliance with its liquidity requirements or will lack the capacity to meet all of its current obligations due during the quarter.

A non-complying FHLBank is permitted to continue to incur and pay normal operating expenses in the regular course of business, but may not incur or pay any extraordinary expenses, or declare or pay dividends, or redeem any capital stock, until such time as the Finance Agency has approved the FHLBank’s consolidated obligation payment plan or inter-FHLBank assistance agreement, or ordered another remedy, and all of the non-complying FHLBank’s direct obligations have been paid.

Negative Pledge Requirements. Each FHLBank must maintain specified assets free from any lien or pledge in an amount at least equal to its participation in outstanding consolidated obligations. Eligible assets for this purpose include (i) cash; (ii) obligations of, or fully guaranteed by, the U.S. government; (iii) secured advances; (iv) mortgages having any guaranty, insurance, or commitment from the U.S. government or any related agency; and (v) investments described in Section 16(a) of the FHLB Act, which, among other items, include securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located. At December 31, 2021 and 2020, the Bank had eligible assets free from pledge of $62.9 billion and $64.1 billion, respectively, compared to its participation in outstanding consolidated obligations of $55.8 billion and $59.2 billion, respectively. In addition, the Bank was in compliance with its negative pledge requirements at all times during the years ended December 31, 2021, 2020 and 2019.

Office of Finance. The Office of Finance (“OF”) is a joint office of the 11 FHLBanks that executes the issuance of consolidated obligations, as agent, on behalf of the FHLBanks. The OF also services all outstanding consolidated obligation debt, serves as a source of information for the FHLBanks on capital market developments, manages the FHLBank System’s relationship with rating agencies as it pertains to the consolidated obligations, and prepares and distributes the annual and quarterly combined financial reports for the FHLBanks.

The OF’s board of directors is comprised of 16 directors: the 11 FHLBank presidents, who serve ex officio, and 5 independent directors, who each serve five-year terms that are staggered so that not more than one independent directorship is scheduled to become vacant in any one year. Independent directors are limited to two consecutive full terms. Independent directors must be United States citizens. As a group, the independent directors must have substantial experience in financial and accounting matters and they must not have any material relationship with any FHLBank or the OF.

One of the responsibilities of the board of directors of the OF is to establish policies regarding consolidated obligations to ensure that, among other things, such obligations are issued efficiently and at the lowest all-in funding costs for the FHLBanks over time consistent with prudent risk management practices and other market and regulatory factors.

The Finance Agency has regulatory oversight and enforcement authority over the OF and its directors and officers generally to the same extent as it has such authority over a FHLBank and its respective directors and officers. The FHLBanks are responsible for jointly funding the expenses of the OF, which are shared on a pro rata basis with two-thirds based on each FHLBank’s total consolidated obligations outstanding (as of each month end) and one-third divided equally among all of the FHLBanks.

Use of Interest Rate Exchange Agreements

Finance Agency regulations authorize and establish general guidelines for the FHLBanks’ use of derivative instruments, and the Bank’s Enterprise Market Risk Management Policy establishes specific guidelines for their use. The Bank can use interest rate swaps, swaptions, cap and floor agreements, calls, puts, and futures and forward contracts as part of its interest rate risk management and funding strategies. Regulations prohibit derivative instruments that do not qualify as hedging instruments pursuant to U.S. GAAP unless a non-speculative use is documented.

In general, the Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some defined risk in the course of its balance sheet management. For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets, including advances and investments, and/or to adjust the interest rate sensitivity of advances and investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange

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agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank uses interest rate exchange agreements to manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities and to reduce funding costs.

The Bank frequently enters into interest rate exchange agreements concurrently with the issuance of consolidated obligation bonds and it simultaneously designates the agreement as a fair value hedge. This strategy of issuing bonds while simultaneously entering into interest rate exchange agreements enables the Bank to offer a wider range of attractively priced advances to its members. The attractiveness of such debt generally depends on yield relationships between the consolidated obligation bond and interest rate exchange markets. As conditions in these markets change, the Bank may alter the types or terms of the consolidated obligations that it issues.

To a lesser extent, the Bank uses interest rate exchange agreements to hedge the variability of cash flows associated with the forecasted issuances of consolidated obligation discount notes.

In addition, as discussed in the section above entitled “Products and Services,” the Bank offers interest rate exchange agreements to its member institutions. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties.

For further discussion of interest rate exchange agreements, see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Financial Condition — Derivatives and Hedging Activities and the audited financial statements accompanying this report.

Competition

Demand for the Bank’s advances is affected by, among other things, the cost of other available sources of funds for its members, including deposits. The Bank competes with other suppliers of wholesale funding, both secured and unsecured, including investment banking concerns, commercial banks and, in certain circumstances, other FHLBanks. Historically, sources of wholesale funds for its members have included unsecured long-term debt, unsecured short-term debt such as federal funds, repurchase agreements and deposits issued into the brokered certificate of deposit market. The availability of funds through these wholesale funding sources can vary from time to time as a result of a variety of factors including, among others, market conditions, members’ creditworthiness and availability of collateral. The availability of these alternative private funding sources could significantly influence the demand for the Bank’s advances. The Bank competes against other financing sources on the basis of cost, the relative ease by which the members can access the various sources of funds, collateral requirements, and the flexibility desired by the member when structuring the liability.

As a debt issuer, the Bank competes with Fannie Mae, Freddie Mac and other GSEs, as well as corporate, sovereign and supranational entities for funds raised in the national and global debt markets. Increases in the supply of competing debt products could, in the absence of increases in demand, result in higher debt costs for the FHLBanks. Although investor demand for FHLBank debt has historically been sufficient to meet the Bank’s funding needs, there can be no assurance that this will always be the case.

Capital

The Bank’s capital consists of capital stock owned by its members (and, in some cases, non-member borrowers or former members as described below), plus retained earnings and accumulated other comprehensive income (loss). Consistent with the FHLB Act and the Finance Agency's regulations, the Bank’s Capital Plan requires each member to own Class B stock (redeemable with five years’ written notice subject to certain restrictions) in an amount equal to the sum of a membership investment requirement and an activity-based investment requirement. Specifically, the Bank’s Capital Plan requires members to hold capital stock in proportion to their total asset size and borrowing activity with the Bank. Beginning April 19, 2021, members are also required to hold capital stock for letters of credit that are issued or renewed on and after that date.

The Bank’s capital stock is not publicly traded and it may be issued, repurchased, redeemed and, with the prior approval of the Bank, transferred only at its par value. In addition, the Bank’s capital stock may only be held by members of the Bank, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other obligations that remain outstanding or until any applicable stock redemption or withdrawal notice period expires.

The Bank has two sub-classes of Class B Stock. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement. Subject to the limitations in the Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are

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converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement. All excess stock is held as Class B-1 Stock at all times.

For more information about the Bank’s minimum capital requirements, see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Risk-Based Capital Rules and Other Capital Requirements.

Retained Earnings. The Bank has a retained earnings policy that calls for the Bank to maintain retained earnings in an amount at least sufficient to protect the par value of the Bank's capital stock against potential economic losses that could arise from a variety of designated risk factors. The Bank updates its retained earnings target calculations quarterly under an analytic framework that takes into account the potential losses for each risk factor generally at the 99 percent confidence stress level, or a stress scenario that approximates the 99th percentile. The Board of Directors reviews the Bank's retained earnings policy annually and revises the methodology as appropriate. The Bank’s current retained earnings policy target is described in Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

On February 28, 2011, the Bank entered into a Joint Capital Enhancement Agreement (the “JCE Agreement”) with the other FHLBanks. Effective August 5, 2011, the FHLBanks amended the JCE Agreement (the "Amended JCE Agreement"), and the Finance Agency approved an amendment to the Bank's Capital Plan to incorporate its provisions on that same date. The Amended JCE Agreement provides that the Bank (and each of the other FHLBanks) will, on a quarterly basis, allocate at least 20 percent of its net income to a separate restricted retained earnings account (“RRE Account”). Pursuant to the provisions of the Amended JCE Agreement, the Bank is required to build its RRE Account to an amount equal to one percent of its total outstanding consolidated obligations, which for this purpose is based on the most recent quarter’s average carrying value of all consolidated obligations, excluding hedging adjustments (“Total Consolidated Obligations”).

The Amended JCE Agreement provides that any quarterly net losses incurred by the Bank may be netted against its net income, if any, for other quarters during the same calendar year to determine the minimum required year-to-date or annual allocation to its RRE Account. In the event the Bank incurs a net loss for a cumulative year-to-date or annual period, the Bank may decrease the amount of its RRE Account such that the cumulative year-to-date or annual addition to its RRE Account is zero and the Bank shall apply any remaining portion of the net loss first to reduce retained earnings that are not restricted retained earnings until such retained earnings are reduced to zero, and thereafter may apply any remaining portion of the net loss to reduce its RRE Account. For any subsequent calendar quarter in the same calendar year, the Bank may decrease the amount of its quarterly allocation to its RRE Account in that subsequent calendar quarter such that the cumulative year-to-date addition to the RRE Account is equal to 20 percent of the amount of such cumulative year-to-date net income. In the event the Bank sustains a net loss for a calendar year, any such net loss first shall be applied to reduce retained earnings that are not restricted retained earnings until such retained earnings are reduced to zero, and thereafter any remaining portion of the net loss for the calendar year may be applied to reduce the Bank’s RRE Account. If during a period in which the Bank’s RRE Account is less than one percent of its Total Consolidated Obligations, the Bank incurs a net loss for a cumulative year-to-date or annual period that results in a decrease to the balance of its RRE Account as of the beginning of that calendar year, the Bank’s quarterly allocation requirement shall thereafter increase to 50 percent of quarterly net income until the cumulative difference between the allocations made at the 50 percent rate and the allocations that would have been made at the regular 20 percent rate is equal to the amount of the decrease to the balance of its RRE Account at the beginning of that calendar year.

The Amended JCE Agreement provides that if the Bank’s RRE Account exceeds 1.5 percent of its Total Consolidated Obligations, the Bank may transfer amounts from its RRE Account to its unrestricted retained earnings account, but only to the extent that the balance of its RRE Account remains at least equal to 1.5 percent of the Bank’s Total Consolidated Obligations immediately following such transfer.

The Amended JCE Agreement further provides that the Bank may not pay dividends out of its RRE Account, nor may it reallocate or transfer amounts out of its RRE Account except as described above. In addition, during periods in which the Bank’s RRE Account is less than one percent of its Total Consolidated Obligations, the Bank may not pay dividends out of the amount of its quarterly net income that is required to be allocated to its RRE Account.

Dividends. Subject to the FHLB Act, Finance Agency regulations and other Finance Agency directives, the Bank pays dividends to holders of its capital stock quarterly or as otherwise determined by its Board of Directors. The Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock, provided that in no event can the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock. Dividends may be paid in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors. The dividend rates on Class B-1 Stock and Class B-2 Stock are paid on all shares of Class B-1 Stock and Class B-2 Stock, respectively, regardless of their classification for accounting purposes. The Bank is permitted by statute and regulation to pay dividends only from previously retained earnings or current net earnings, and the payment of dividends is also subject to the terms of the Amended JCE Agreement.

Because the Bank’s returns from net interest income generally track short-term interest rates, the Bank benchmarks the dividend rate that it pays on capital stock to a short-term index (currently, the index that is used for this purpose is one-month LIBOR).

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While there can be no assurances about future dividends or future dividend rates, the current target for quarterly dividends on Class B-1 Stock is an annualized rate that approximates the average one-month LIBOR rate for the immediately preceding quarter. The current target range for quarterly dividends on Class B-2 Stock is an annualized rate that approximates the average one-month LIBOR rate for the immediately preceding quarter plus 0.5 – 1.0 percent.

The Bank generally pays dividends in the form of capital stock. When dividends are paid, capital stock is issued in full shares and any fractional shares are paid in cash. For a more detailed discussion of the Bank’s dividend policy and the restrictions relating to its payment of dividends, see Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

Legislative and Regulatory Developments

Amendment to the Preferred Stock Purchase Agreement Between the U.S. Treasury and Fannie Mae

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 ("PSPA"), which could impact PFIs that participate in the MPF Xtra program. Pursuant to the PSPA, the U.S. Treasury provides liquidity to Fannie Mae in exchange for senior preferred stock. Under the 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 that Fannie Mae could purchase from a single seller through Fannie Mae’s cash window to $1.5 billion per year. MPF Xtra loans sold by the FHLBank of Chicago to Fannie Mae utilize this cash window process. Based on MPF Xtra volumes across the FHLBank System, the PSPA 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 PSPA, including limits on Fannie Mae’s cash window limits, until at least September 14, 2022. While the amendment will negatively impact PFI’s ability to sell loans through the program unless a solution is developed, reduced volumes (and the resulting reduction in fees) would not be expected to have a significant impact on the Bank’s financial condition or results of operations.

LIBOR Transition – 2021 ISDA Interest Rate Derivatives Definitions

On June 11, 2021, the International Swaps and Derivatives Association (“ISDA”) published the 2021 ISDA Interest Rate Derivatives Definitions ("2021 ISDA Definitions"), which will update and consolidate the frequently supplemented 2006 ISDA Definitions as the standard definitions for cleared and uncleared interest rate derivatives. The 2021 ISDA Definitions incorporate prior supplements to the 2006 ISDA Definitions in addition to other changes which were made to conform to updates in market practice and regulation. Both the 2006 ISDA Definitions (as supplemented effective January 25, 2021) and the 2021 ISDA Definitions contain ISDA-recommended fallbacks for interest rate derivatives referencing an Interbank Offered Rate ("IBOR"), including U.S. Dollar LIBOR. While market participants may continue to use the current 2006 ISDA Definitions, ISDA will not incorporate any further supplements following implementation of the 2021 ISDA Definitions. The implementation of the 2021 ISDA Definitions is not expected to have a material impact on the Bank’s financial condition or results of operations.

Fair Housing and Fair Lending Enforcement

On July 9, 2021, the Finance Agency published a Policy Statement on Fair Lending to communicate its 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 that 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 FHLBanks.

The Bank is continuing to monitor these activities in order to assess their potential impact on the Bank.

FHLBank Membership

On September 9, 2021, the Finance Agency published a Supervisory Letter on FHLBank Membership Issues that covers five areas: (1) requirements for de novo Community Development Financial Institutions; (2) automatic transfers of membership; (3) large non-member institutions merging with small member institutions; (4) membership applicant’s compliance with the “financial condition” requirement; and (5) the definition of an insurance company. The Supervisory Letter is intended to provide uniform guidance to the FHLBanks regarding these specific membership issues. While the guidance provided by the Supervisory Letter is not expected to have a significant impact on the Bank’s existing membership, it could limit opportunities for future membership growth.

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Regulatory Interpretation on Eligibility of Mortgage Loan 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, which became effective on December 13, 2021, 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 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 regulatory guidance which provided that mortgage loan participations may be eligible as collateral under regulatory provisions other than 12 CFR 1266.7(a)(4). The Regulatory Interpretation is not expected to have a significant impact on members’ pledged collateral.

Affordable Housing and Community Investment

In mid-2021, legislation was introduced in the U.S. Senate and U.S. House of Representatives which, if enacted, would require the FHLBanks to set aside a higher percentage of their earnings for their affordable housing and community investment programs than is currently required under law. As part of the congressional budget reconciliation process, a legislative proposal is currently under consideration that would require the FHLBanks to set aside 15 percent of their earnings for their affordable housing and community investment programs (currently, the FHLBanks are required to set aside 10 percent of their earnings for this purpose). The Bank is unable to predict whether legislation will be enacted and, if so, the amount by which the contribution rate would increase and the period over which the higher contribution rate would apply.

Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions

On February 25, 2022, the Financial Industry Regulatory Authority, Inc. (“FINRA”) extended, to October 26, 2022, the implementation date of its amendments to FINRA Rule 4210 which establish margin requirements for forward-settling transactions in the to be announced (“TBA”) market. When the margining requirements become effective, the Bank may be required to collateralize transactions that occur in the TBA market. In any event, the costs associated with those transactions are likely to increase.

COVID-19 Developments

In response to the COVID-19 pandemic, President Biden and, before him, President Trump (through executive orders), governmental agencies (including the SEC, Office of the Comptroller of the Currency ("OCC"), Federal Reserve Board ("FRB"), FDIC, National Credit Union Administration, Commodity Futures Trading Commission ("CFTC") 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 arising from the pandemic, some of which may have a direct or indirect impact on the Bank and/or its members. To date, these actions have included, among many others, the enactment of the Coronavirus Aid, Relief, and Economic Security Act in March 2020 and the American Rescue Plan Act in March 2021. 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.

Finance Agency Final Rule on FHLBank Housing Goals Amendments

On June 3, 2020, the Finance Agency issued a final rule which amends the FHLBank housing goals regulation. Enforcement of the final rule, which became effective on August 24, 2020, will phase in over three years beginning in 2021. The final rule replaced the four then-existing retrospective housing goals with a single prospective mortgage purchase housing goal target in which 20 percent of any mortgage loans that are purchased in a calendar year must be comprised of loans to low-income or very low-income families, or to families in low-income areas. The final rule also establishes a separate small member participation housing goal. Under this provision of the final rule, a target level of 50 percent of a FHLBank’s members that are selling mortgage loans to the FHLBank in a calendar year must be small members. The final rule provides that a FHLBank may request Finance Agency approval of alternative target levels for either or both of the goals. The final rule also establishes that housing goals apply to each FHLBank that acquires any mortgage loans during a calendar year, eliminating the existing $2.5 billion volume threshold that previously triggered the application of housing goals for each FHLBank. During the phase-in period, the Finance Agency will measure and monitor performance but will not impose a housing plan on FHLBanks that do not meet the housing goals. For any year after 2023, if the Finance Agency determines that a FHLBank has failed to meet any housing goal and the achievement of that housing goal was feasible, it may require the FHLBank to submit a housing plan for approval. Among other things, the housing plan would need to describe the specific actions that the FHLBank will take to achieve the housing goal for the next calendar year. It is possible that this rule could limit the Bank’s future purchase volumes. In addition, the rule could negatively impact PFI’s ability to sell loans to the Bank.

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Margin and Capital Requirements for Covered Swap Entities

On July 1, 2020, the OCC, FRB, FDIC, Farm Credit Administration, and the Finance Agency (collectively, the “Prudential Banking Regulators”) jointly published a final rule, which became effective on August 31, 2020, that amends regulations establishing minimum margin and capital requirements for non-cleared derivatives for covered swap entities under the jurisdiction of the Prudential Banking Regulators (the “Prudential Margin Rules”). In addition to other changes, the final rule: (1) allows non-cleared derivatives entered into by a covered swap entity prior to an applicable compliance date to retain their legacy status and not become subject to the Prudential Margin Rules in the event that such legacy derivatives are amended to replace an interbank offered rate (such as LIBOR) or another discontinued rate, or are otherwise modified due to other technical amendments such as reductions of notional amounts or portfolio compression exercises; (2) introduces a new Phase 6 compliance date for initial margin requirements for covered swap entities and their counterparties with an average daily aggregate notional amount ("ADANA") of non-cleared derivatives between $8 billion and $50 billion, and limits Phase 5 compliance to covered swap entities and their counterparties with an ADANA of non-cleared derivatives between $50 billion and $750 billion; and (3) clarifies that initial margin trading documentation does not need to be executed prior to a counterparty reaching the initial margin threshold.

On the same date, the Prudential Banking Regulators issued an interim final rule, effective September 1, 2020, extending the initial margin compliance date for Phase 5 counterparties to September 1, 2021 and extending the initial margin compliance date for Phase 6 counterparties to September 1, 2022. On November 9, 2020, the CFTC published a final rule to amend the minimum margin and capital requirements for non-cleared derivatives under the jurisdiction of the CFTC. The CFTC’s final rule extends the initial margin compliance dates for Phase 5 and Phase 6 counterparties to September 1, 2021 and September 1, 2022, thereby aligning its rules with those of the Prudential Banking Regulators.

Further, on January 5, 2021, the CFTC published a final rule, effective February 4, 2021, that primarily amends the minimum margin and capital requirements for non-cleared derivatives under the jurisdiction of the CFTC (the “CFTC Margin Rules”) by requiring covered entities to use a revised ADANA calculation beginning September 1, 2022. Among other things, the amendments require entities subject to the CFTC’s jurisdiction to calculate the ADANA for non-cleared derivatives during March, April and May of the current year, based on an average of month-end dates, as opposed to the previous rule which required the calculation of ADANA during June, July and August of the prior year, based on daily calculations. Parties will continue to be expected to exchange initial margin based on the ADANA totals as of September 1 of the current year. These amendments align with the recommendations of the Basel Committee on Banking Supervision and the Board of the International Organization of Securities Commissions. Separately, on January 25, 2021, the CFTC published a final rule, effective February 24, 2021, that amends the CFTC Margin Rules to permit covered swap entities to, among other things, maintain separate minimum transfer amounts (“MTA”) for initial margin and variation margin for each derivative counterparty, provided the combined MTA does not exceed $500,000.

While the Bank is not a covered swap entity under the Prudential Margin Rules, it transacts its non-cleared derivatives with covered swap entities and it is likely that it will have an aggregate notional amount of non-cleared derivatives between $8 billion and $50 billion when the initial margin requirements become effective on September 1, 2022 (at December 31, 2021, the aggregate notional balance of the Bank's non-cleared derivatives was $30.5 billion). If the Bank's aggregate notional balance of its non-cleared derivatives is between $8 billion and $50 billion on September 1, 2022, its obligation to post initial margin would occur when its unmargined exposure (excluding legacy derivatives) exceeds $50 million on a counterparty-by-counterparty basis. Ultimately, these margining requirements are expected to increase the Bank’s costs of engaging in non-cleared derivatives. In addition, these margining requirements are likely to reduce the availability of non-cleared derivatives.

Regulatory Oversight

As discussed above, the Finance Agency supervises and regulates the FHLBanks and the OF. The Finance Agency has a statutory responsibility and corresponding authority to ensure that the FHLBanks operate in a safe and sound manner. Consistent with that duty, the Finance Agency has an additional responsibility to ensure the FHLBanks carry out their housing and community development finance mission. In order to carry out those responsibilities, the Finance Agency establishes regulations governing the entire range of operations of the FHLBanks, conducts ongoing off-site monitoring and supervisory reviews, performs annual on-site examinations and periodic interim on-site reviews, and requires the FHLBanks to submit monthly and quarterly information regarding their financial condition, results of operations and risk metrics.

The Comptroller General of the United States (the “Comptroller General”) has authority under the FHLB Act to audit or examine the Finance Agency and the Bank and to decide the extent to which they fairly and effectively fulfill the purposes of the FHLB Act. Furthermore, the Government Corporation Control Act provides that the Comptroller General may review any audit of a FHLBank’s financial statements conducted by an independent registered public accounting firm. If the Comptroller General conducts such a review, then he or she must report the results and provide his or her recommendations to Congress, the Office of Management and Budget, and the FHLBank in question. The Comptroller General may also conduct his or her own audit of the financial statements of any FHLBank.

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As an SEC registrant, the Bank is subject to the periodic reporting and disclosure regime as administered and interpreted by the SEC. The Bank must also submit annual management reports to Congress, the President of the United States, the Office of Management and Budget, and the Comptroller General; these reports are required to include a statement of financial condition, a statement of operations, a statement of cash flows, a statement of internal accounting and administrative control systems, and the report of the independent registered public accounting firm on the financial statements. In addition, the Treasury receives the Finance Agency’s annual report to Congress and other reports reflecting the operations of the FHLBanks.

Human Capital Resources

The Bank’s human capital is a significant contributor to the success of its strategic business objectives. In managing its human capital, the Bank focuses on its workforce profile and the various programs and philosophies described below.

Workforce Profile. The Bank’s workforce is comprised almost entirely of corporate employees, all but one of whom is located in one office in Irving, Texas. As of December 31, 2021, the Bank had 196 full-time employees and 1 part-time employee, of which 59 percent were male and 41 percent were female. At that date, 54 percent of the Bank’s workforce was minority and 46 percent was non-minority, unchanged from December 31, 2020. As of December 31, 2020, the Bank had 201 full-time employees and 2 part-time employees, of which 57 percent were male and 43 percent were female. In 2021, the Bank's turnover rate approximated 15 percent, which represented an increase in comparison to 2020, when its employee turnover rate approximated 9 percent. The Bank is leanly staffed and its workforce has historically included a number of longer-tenured employees. The Bank strives to develop talent from within the organization and to supplement those efforts with external hires. The Bank believes that developing talent internally contributes to institutional strength and continuity and promotes loyalty and commitment among its employees, which furthers the Bank’s success. At the same time, adding new employees contributes to new ideas, continuous improvement, and the Bank’s goal of having a diverse and inclusive workforce. As of December 31, 2021, the average tenure of the Bank’s employees was 9 years. None of the Bank’s employees are subject to a collective bargaining agreement.

Total Rewards. The Bank seeks to attract, develop and retain talented employees to achieve its strategic business initiatives, enhance business performance and increase shareholder value. The Bank effects these objectives through a combination of benefits and employee wellness and development programs and by recognizing and rewarding performance. Specifically, the Bank’s programs include:

•Cash compensation that includes competitive salary and performance-based incentives

•Benefits – health insurance (including medical, dental, vision and prescription drug benefits), Teladoc Health services, health and dependent care flexible spending accounts, healthcare savings accounts with employer contribution, life and accidental death and dismemberment insurance, supplemental life insurance, short- and long-term disability, 401(k) retirement savings plan with employer match, deferred compensation program for highly compensated employees and, for a group of eligible employees, defined benefit pension benefits

•Wellness program – employee assistance program, exercise classes, onsite gym, smoothie and coffee bars

•Time away from work – time off for vacation, illness, personal, holiday and volunteer opportunities

•Culture – various employee resource/affinity groups, multiple cultural and inclusion initiatives, employee lounge with small meeting rooms, and outdoor meeting space with recreation activities

•Work/life balance – time off with full pay for bereavement, jury duty and court appearances; limited tuition reimbursement assistance for employees and their dependents and dependent tutoring through the Princeton Review

•Development programs and training – focused on leadership development, employee engagement, employee knowledge sharing, English as a Second Language, competency-based training and personal development programs, as well as a mentoring program, summer internship program, and fee reimbursement for external training programs.

The Bank’s Performance Management Program includes the use of Objectives and Key Results (“OKRs”) as well as annual performance reviews and quarterly discussions between managers and employees. The focus of the Performance Management Program is to encourage open dialogue between managers and employees to ensure that employees have the tools and training needed to do their best work.

The Bank is committed to the health, safety and wellness of its employees. In response to the COVID-19 pandemic, the Bank implemented significant operating environment changes, including safety protocols and procedures that it determined were in the best interests of the Bank’s employees. To that end, nearly all of the Bank’s employees worked remotely from mid-March 2020 to mid-March 2022. For the few employees that continued to work onsite during this period, additional safety measures were put in place. During the two years when employees were working remotely full time, the Bank conducted several employee surveys and numerous outreach activities to better understand employee needs and concerns. While working remotely, the Bank held weekly townhall meetings to share information and provide educational opportunities for employees,

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among other things. With the spread of the virus seemingly receding across most of the United States, substantially all of the Bank's employees returned to the office on March 22, 2022 under a hybrid work model. Initially, employees will work in the office at least two days per week and remotely the remaining days. Days that are designated as "office days" will be the same for all employees. Over time, the number of days that employees work in the office is expected to increase, barring an uptick in COVID-19 cases.

Diversity, Equity and Inclusion Program. Diversity, equity and inclusion is a strategic business priority for the Bank. The Bank’s diversity, equity and inclusion officer is a member of the executive management team who reports to the President and Chief Executive Officer and serves as a liaison to the Board of Directors. The Bank recognizes that diversity increases the capacity for innovation and creativity and that inclusion allows the Bank to: (i) leverage the unique perspectives of all employees and (ii) strengthen the Bank’s retention efforts. The Bank operationalizes its commitment to diversity, equity and inclusion through the development and execution of a 3-year diversity, equity and inclusion strategic plan that includes quantifiable metrics that are used to measure its performance. These performance metrics are regularly reported to executive management and the Board of Directors. The Bank offers various opportunities for its employees to connect and grow personally and professionally through its employee resource/affinity groups and it annually holds one or more events which, through various means, focus attention on diversity, equity and inclusion topics. The Bank considers learning to be an important component of its diversity, equity and inclusion strategy and, as such, it regularly offers related educational opportunities to its employees. The Bank evaluates inclusive behaviors as part of its annual employee performance reviews and it also includes diversity, equity and inclusion as a key component of its annual incentive program to ensure organizational focus and accountability.

AHP Assessments

Although the Bank is exempt from all federal, state, and local income taxes, the FHLB Act requires each FHLBank to establish and fund an AHP. Annually, the FHLBanks must collectively set aside for the AHP the greater of $100 million or 10 percent of their current year’s income before AHP expenses. Interest expense on capital stock that is classified as a liability (i.e., mandatorily redeemable capital stock) is added back to income for purposes of computing the Bank’s AHP assessment.

Business Strategy and Outlook

The Bank maintains a Strategic Business Plan that provides the framework for its future business direction. The goals and strategies for the Bank’s major business activities are encompassed in this plan, which is updated and approved by the Board of Directors at least annually and at any other time that revisions are deemed necessary.

As described in its Strategic Business Plan, the Bank operates under a cooperative business model that is intended to maximize the overall value of membership in the Bank. This business model envisions that the Bank will limit and carefully manage its risk profile while generating sufficient profitability to maintain an appropriate level of retained earnings, to pay dividends on members' capital stock at rates at least sufficient to make members financially indifferent to holding the Bank's capital stock, and to absorb periodic earnings volatility related to hedging and derivatives or other external shocks. Consistent with this business model, the Bank places the highest priority on being able to meet its members’ liquidity and funding needs in all market environments.

The Bank intends to continue to operate under its cooperative business model for the foreseeable future. All other things being equal, the Bank’s earnings are typically expected to rise and fall with the general level of market interest rates, particularly short-term money market rates, and the Bank's total capital and asset size. Other factors that could have an effect on the Bank’s future earnings include the level, volatility of and relationships between short-term money market rates such as federal funds, SOFR and one-month and three-month LIBOR; the availability and cost of the Bank’s short- and long-term debt relative to benchmark rates such as federal funds, SOFR, one- and three-month LIBOR, and long-term fixed mortgage rates; the availability of interest rate exchange agreements at competitive prices; whether the Bank’s larger borrowers continue to be members of the Bank and the level at which they maintain their borrowing activity; the extent to which the Bank's members continue to sell mortgage loans to the Bank; and the impact of uncertain economic conditions and excess liquidity in the financial markets on the longer-term demand for the Bank’s credit products.

Demand for advances increased markedly in March and the first half of April 2020 in response to the COVID-19 outbreak. During the latter part of April 2020, the Bank's advances began to decline and continued to do so at a relatively rapid rate throughout the remainder of 2020 and the first quarter of 2021. From March 31, 2020 to March 31, 2021, the Bank's advances declined by $21.3 billion, from $46.9 billion to $25.6 billion, which represented a 45 percent decline over that period. During the last nine months of 2021, the Bank's advances declined by an additional $1 billion, to $24.6 billion. Since the second quarter of 2020, the level of liquidity in the financial markets and deposit levels at member institutions have been significantly elevated due in large part to various initiatives that were undertaken by the Federal Reserve in response to the pandemic, which in turn has dampened demand for the Bank's advances. It is possible that the Bank's advances could fall further if the level of liquidity in the financial markets and deposit levels at member institutions remain elevated. Meanwhile, the Bank’s mortgage loan purchases declined significantly during the period from the second quarter of 2020 through the first quarter of 2021, as pricing

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became less attractive in the wake of the Federal Reserve's response to the pandemic. While the Bank's mortgage loan purchases started to increase in the second quarter of 2021, mortgage loan purchases have not, and are not expected to, increase significantly until the Federal Reserve's current stimulus efforts are curtailed.

Notwithstanding the uncertain economic outlook, sustained long-term growth in both advances and mortgage loans held for portfolio continue to be strategic priorities for the Bank as these assets contribute to the value the Bank provides its members, as well as the Bank's earnings, core mission assets and, correspondingly, its CMA ratio.

While the Bank's primary focus will continue to be ensuring its ability to meet the liquidity and funding needs of its members, in order to become a more valuable resource to its members, the Bank will also continue to consider ways in which it can enhance its product and/or service offerings. The FHLB Act and Finance Agency regulations limit the products and services that the Bank can offer to its members and govern many of the terms of the products and services that the Bank offers. The Bank is also required by regulation to file New Business Activity notices with the Finance Agency for any new products or services that would constitute new business activities under the regulation and, therefore, it will have to assess any potential new products or services offerings in light of these statutory and regulatory restrictions.

ITEM 1A. RISK FACTORS

General Economic Conditions

The COVID-19 pandemic and related developments created substantial economic and financial disruptions and uncertainties, as well as operational challenges, which could increase our risk and adversely affect our business, financial condition, and results of operations.

The novel coronavirus known as COVID-19 was declared a global pandemic in March 2020. COVID-19, and the government and public actions taken in response to the pandemic, caused significant economic and financial turmoil both in the U.S. and around the world, and created substantial uncertainty about the economic environment. In addition, the COVID-19 pandemic and related developments resulted in substantial disruptions in the financial markets, including dramatic increases in market volatility.

Despite significant improvements in the overall U.S. economy as progress has been made to thwart the virus, uncertainty remains on the pace of the recovery going forward, reflecting concerns about the resurgence of the virus, vaccine distribution and vaccination rates, inflation and supply chain disruptions. The ultimate impact of the pandemic, including the timing and shape of the economic recovery or any potential economic downturn, remains highly uncertain. A prolonged economic downturn, or periods of significant economic and financial disruptions and uncertainties resulting from the COVID-19 pandemic could adversely affect the livelihood of MPF borrowers or members’ customers. Significant borrower defaults on loans made by our members could occur and these defaults could lead to member difficulties or member failures. If one or more member institutions fail, and if the value of the collateral pledged to secure advances and/or other extensions of credit from us has declined below the amount borrowed, we could incur a credit loss that would adversely affect our financial condition and results of operations. A decline in the local economies in which our members operate could reduce members’ needs for funding, which could reduce demand for our advances. We could be adversely impacted by the reduction in business volume that would arise either from the failure of one or more of our members or from a decline in member funding needs. Our financial condition and results of operations could also be adversely impacted if one or more of the major financial institutions with whom we conduct business were to fail as a result of dislocations in the financial markets.

In addition, we implemented provisions for certain MPF borrowers that were experiencing an economic hardship as a result of the COVID-19 pandemic, including loan modifications and/or temporary moratoriums on foreclosures and evictions, as well as temporary alternative underwriting procedures for new MPF loans, which may ultimately result in increased credit risk. The protections we have in place for our MPF loans may not be sufficient to prevent us from incurring losses on loans to borrowers who are no longer able to make payments due to a decline in or loss of income as a result of the economic fallout from the pandemic.

In response to the pandemic, the Federal Reserve took a number of emergency actions to help facilitate liquidity and support stability in the fixed-income markets, resulting in substantial deposit growth for some of our members and reduced demand for our advances. While it is difficult to predict future demand, it is possible that our advances could remain at reduced levels or decline further if the level of liquidity in the financial markets and deposit levels at our member institutions remain elevated or if another economic downturn occurs. Additional U.S. government stimulus in response to the COVID-19 pandemic, if any, could further increase the already elevated level of liquidity which could, in turn, diminish even further the current subdued demand for our advances.

During a portion of 2020, our access to the market for consolidated obligations was adversely impacted as a result of reduced demand for our longer-term debt. The disruptions to interest rates, credit spreads, and the availability of funds in the fixed

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income market in connection with the COVID-19 pandemic adversely affected, and may adversely affect in the future, our cost of funding, as well as the valuation of and the yields on our assets. Any negative changes in our cost of funding and the yields on our assets, combined with our need to maintain sufficient liquidity in order to meet member demand and regulatory requirements, could cause compression in our net interest income and net interest margin. In addition, if interest rates remain low, our business and profitability could be adversely affected.

Further, actions such as shelter-in-place, stay-at-home or similar orders, travel restrictions, and business shutdowns as a result of the COVID-19 pandemic led to substantial changes in normal business practices, such as the implementation of work-from-home arrangements for our employees, as well as many of our members, counterparties and third-party service providers. Many of our members, counterparties and third-party service providers have recently returned, or have announced plans to return in the near-term, to their offices either full-time or pursuant to some type of hybrid arrangement. As more fully discussed in the Human Capital Resources section beginning on page 20, our employees returned to the office on March 22, 2022 under a hybrid work model. These actions, together with the direct and indirect impact of COVID-19 infections, resulted in, and may in the future result in, operational challenges, including increased risk of operational errors, lost business opportunities and/or higher costs, all of which could adversely impact our financial condition and results of operations.

The extent to which the COVID-19 pandemic continues to impact our business, financial condition and results of operations will depend on many factors that remain highly uncertain and difficult to predict, including, but not limited to: the duration, spread, and severity of the pandemic; fiscal stimulus and other measures taken in response to the pandemic; the actions taken to contain the pandemic, including the effectiveness of related vaccines and treatments; and how quickly and to what extent normal economic and operating conditions can resume.

Russia’s invasion of Ukraine has created significant economic and financial disruptions and uncertainties, which could adversely affect our business, financial condition, and results of operations

Russia’s invasion of Ukraine, which began in late February 2022, has affected, and may continue to affect, the level and volatility of interest rates, which could negatively impact our profitability. In addition, this conflict could adversely affect our cost of funds and our access to the capital markets, particularly for longer-term debt if investors seek the relative safety of shorter-term investments (for additional discussion, see “Changes in overall credit market conditions and/or competition for funding may adversely affect our cost of funds and our access to the capital markets.” on page 25). Further, government actions (including economic sanctions) that have been taken, and which could be expanded, in response to the conflict have resulted in an increase in commodity prices (which has contributed to higher inflation) and an increased likelihood for a slowdown in the U.S economic recovery from the COVID-19 pandemic or, worse, a recession. Prolonged higher inflation, trade disruptions, a slowdown in the economic recovery or a recession could limit our members’ business which could, in turn, lead to a reduction in our business volumes and profitability.

Interest Rate Risk

Our profitability is vulnerable to interest rate fluctuations.

We are subject to significant risks from changes in interest rates because most of our assets and liabilities are financial instruments. Our profitability depends significantly on our net interest income and is impacted by changes in the fair value of interest rate derivatives and any associated hedged items. Changes in interest rates can impact our net interest income as well as the values of our derivatives and certain other assets and liabilities. Changes in overall market interest rates, changes in the relationships between short-term and long-term market interest rates, changes in the relationship between different interest rate indices, or differences in the timing of rate resets for assets and liabilities or related interest rate derivatives with interest rates tied to those indices, can affect the interest rates received from our interest-earning assets differently than those paid on our interest-bearing liabilities. This difference could result in an increase in interest expense relative to interest income, which would result in a decrease in our net interest spread, or a net decrease in earnings related to the relationship between changes in the valuation of our derivatives and any associated hedged items.

Our profitability may be adversely affected if we are not successful in managing our interest rate risk.

Like most financial institutions, our results of operations are significantly affected by our ability to manage interest rate risk. We use a number of tools to monitor and manage interest rate risk, including income simulations and duration/market value sensitivity analyses. Given the unpredictability of the financial markets, capturing all potential outcomes in these analyses is extremely difficult. Key assumptions used in our market value sensitivity analyses include interest rate volatility, mortgage prepayment projections and the future direction of interest rates, among other factors. Key assumptions used in our income simulations include projections of advances volumes and pricing, MPF volumes and pricing, market conditions for our debt, prepayment speeds and cash flows on mortgage-related assets, the level of short-term interest rates, and other factors. These assumptions are inherently uncertain and, as a result, the measures cannot precisely estimate net interest income or the market value of our equity nor can they precisely predict the effect of higher or lower interest rates or changes in other market factors on net interest income or the market value of our equity. Actual results will most likely differ from simulated results due to the

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timing, magnitude, and frequency of interest rate changes and changes in market conditions and management strategies, among other factors. Our ability to maintain a positive spread between the interest earned on our earning assets and the interest paid on our interest-bearing liabilities may be affected by the unpredictability of changes in interest rates.

Our business operations, financial condition and profitability could be adversely affected when LIBOR is discontinued.

In July 2017, the United Kingdom’s Financial Conduct Authority ("FCA") announced that it intended to stop persuading or compelling banks to voluntarily submit LIBOR rates after 2021, and that the FCA would support the LIBOR indices through 2021 to allow for an orderly transition to an alternative reference rate (or rates). On March 5, 2021, the FCA announced that panel bank submissions for most LIBOR settings would cease immediately after December 31, 2021, but that one-month and three-month U.S. dollar LIBOR, the settings that apply to our LIBOR-indexed financial instruments, will either cease to be provided by any administrator or no longer be representative immediately after June 30, 2023. Although the FCA does not expect one-month and three-month U.S. dollar LIBOR to become unrepresentative before June 30, 2023 and it intends to consult on requiring the administrator of LIBOR to continue publishing one-month and three-month U.S. dollar LIBOR on a non-representative, synthetic basis for a period after June 30, 2023, there is no assurance that these LIBOR rates will continue to be published or be representative through any particular date.

As noted throughout this report, many of our assets and liabilities are indexed to LIBOR. As of December 31, 2021, we had $26.1 billion (par/notional value) of financial instruments that are indexed to LIBOR and which mature after June 30, 2023. The vast majority of these instruments were derivatives.

Financial services regulators and industry groups, including ISDA, have been evaluating and are continuing to evaluate the phase-out of LIBOR and the development of alternative interest rate indices or reference rates. In 2017, the Alternative Reference Rates Committee selected the Secured Overnight Financing Rate ("SOFR"), a broad measure of overnight Treasury financing transactions, as a replacement for U.S. dollar LIBOR. In 2018, the Federal Reserve Bank of New York began publishing SOFR rates and several market participants, including the FHLBank System, began issuing variable-rate debt securities indexed to SOFR. Since that time, market activity in SOFR-linked financial instruments has continued to increase. In 2020, our two derivative clearinghouse counterparties converted to SOFR discounting for purposes of valuing derivative positions and determining daily settlement amounts. In addition, ISDA published its Interbank Offered Rate Fallbacks Protocol, which contains standardized contractual language to help the users of derivatives automatically transition from LIBOR to SOFR. All of our bilateral derivative counterparties have adopted ISDA's LIBOR protocol and our clearinghouse counterparties have incorporated this language into their rulebooks. Each of our clearinghouse counterparties is expected to employ a process to convert its LIBOR-based derivatives to SOFR-linked derivatives at or shortly before the cessation date.

The market transition from LIBOR to SOFR is expected to be complicated, including the development of term SOFR rates and credit adjustments to accommodate differences between LIBOR and SOFR. During the transition period, LIBOR may exhibit increased volatility or become less representative, and the overnight Treasury repurchase market underlying SOFR may also experience disruptions from time to time, which may result in unexpected fluctuations in SOFR. The use of SOFR (and the transition to that rate) will likely create challenges for us with respect to our asset liability management activities including, but not limited to, managing the transition-related basis risk. While market activity in SOFR-linked financial instruments has continued to increase, there can be no assurance that SOFR-linked products will be available to meet our needs in a timely manner. Due to these uncertainties, we are unable to predict at this time the impact that our continuing transition from LIBOR to SOFR could have on our business, financial condition and results of operations.

Credit Risk

Exposure to credit risk from our customers could have a negative impact on our profitability and financial condition.

We are subject to credit risk from advances and other extensions of credit to members, non-member borrowers and housing associates (collectively, our customers). Other extensions of credit include letters of credit issued or confirmed on behalf of customers, customers’ credit enhancement obligations associated with MPF loans held in portfolio, and interest rate exchange agreements we enter into with our customers.

We require that all outstanding advances and other extensions of credit to our customers be fully collateralized. We evaluate the types of collateral pledged by our customers and assign a borrowing capacity to the collateral, generally based on either a percentage of its book value or estimated market value. The vast majority of the collateral is assigned a borrowing capacity based on its estimated market value. During economic downturns, the number of our member institutions exhibiting significant financial stress generally increases. If member institutions fail, and if the FDIC (or other receiver, conservator or acquiror) does not promptly repay all of the failed institution’s obligations to us or assume the outstanding extensions of credit, we might be required to liquidate the collateral pledged by the failed institution in order to satisfy its obligations to us. A devaluation of or our inability to liquidate collateral in a timely manner in the event of a default by the obligor could cause us to incur a credit loss and adversely affect our financial condition or results of operations.

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Exposure to credit risk on our investments and MPF loans could have a negative impact on our profitability and financial condition.

We are exposed to credit risk from our MPF loans held in portfolio and our secured and unsecured investment portfolio. A deterioration of economic conditions, declines in residential real estate values, changes in monetary policy or other events that could negatively impact the economy and the markets as a whole could lead to borrower defaults, which in turn could cause us to incur losses on our MPF loans and/or our investment portfolio. If delinquencies, default rates and loss severities on residential mortgage loans increase, and/or there is a decline in residential real estate values, we could experience losses on our MPF loans held in portfolio and/or our holdings of non-agency mortgage-backed securities. Further, we could experience losses on our agency mortgage-backed securities if, following a default, the guarantor elects to repurchase the security at its par value. In this instance, the Bank could incur a loss if the amortized cost basis of the investment exceeds its par value.

Defaults by or the insolvency of one or more of our derivative counterparties could adversely affect our profitability and financial condition.

We regularly enter into derivative transactions with major financial institutions and third-party clearinghouses. Our financial condition and results of operations could be adversely affected if derivative counterparties to whom we have exposure fail.

Cleared trades are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Currently, all of our cleared derivatives are settled daily and these daily settlements are not subject to any maximum unsecured credit exposure thresholds. With cleared transactions, we are exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to us.

We have entered into master agreements with all of our non-member bilateral derivative counterparties that require the delivery (or return) of collateral consisting of cash or very liquid, highly rated securities if credit risk exposures rise above certain minimum amounts (generally ranging from $50,000 to $500,000). Upon a request made by the unsecured counterparty, the party that has the unsecured obligation to the counterparty bearing the risk of the unsecured credit exposure must deliver sufficient collateral to reduce the unsecured credit exposure to zero. In addition, excess collateral must be returned by a party in an oversecured position. Delivery or return of the collateral generally occurs within one business day and, until such delivery or return, we may be in an undersecured position, which could result in a loss in the event of a default by the counterparty, or we may be due excess collateral, which could result in a loss in the event that the counterparty is unable or unwilling to return the collateral.

Because derivative valuations are determined based on market conditions at particular points in time, they can change quickly. Even after the settlement of a derivative or the delivery or return of collateral, as the case may be, we may be in an undersecured position (or be entitled to the return of excess collateral) as the values upon which the settlement, delivery or return was based may have changed since the valuation was performed. In addition, we may incur additional losses if any non-cash collateral held by us cannot be readily liquidated at prices that are sufficient to fully recover the value of the derivatives. Further, the initial margin and any excess variation margin that we post with third-party clearinghouses is over and above the amount that is needed to fully settle the value of our derivative positions and therefore exposes us to additional credit risk in the event that the clearinghouse or clearing member fails.

Credit Market Conditions and Funding Risk

Changes in overall credit market conditions and/or competition for funding may adversely affect our cost of funds and our access to the capital markets.

The cost of our consolidated obligations depends in part on prevailing conditions in the capital markets at the time of issuance, which are generally beyond our control. For instance, a decline in overall investor demand for debt issued by the FHLBanks and similar issuers could adversely affect our ability to issue consolidated obligations on favorable terms or in amounts that are sufficient to meet our funding needs. Investor demand is influenced by many factors including changes or perceived changes in general economic conditions, changes in investors’ risk tolerances or balance sheet capacity, or, in the case of overseas investors, changes in preferences for holding dollar-denominated assets. Credit market disruptions similar to those that occurred during the period from late 2007 through early 2009 and those that occurred during the first half of 2020 as a result of the COVID-19 crisis tend to dampen investor demand for longer-term debt, including longer-term FHLBank consolidated obligations, making it more difficult for us to match the maturities of our assets and liabilities. In addition, changes in the relationships between the cost of our consolidated obligations and interest rate swaps could increase our net cost of funds, which could negatively impact our results of operations. Further, higher long-term debt costs and/or lack of demand for our long-term debt at attractive prices (or at all) could cause us to fund some long-term assets with short-term debt, creating mismatches between the maturities of our assets and liabilities. Such mismatches expose us to refinancing risk, which is the risk that we may have difficulty rolling over our short-term obligations if market conditions change and/or investor demand for our debt is suddenly insufficient to satisfy our funding needs.

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We compete with Fannie Mae, Freddie Mac and other GSEs, as well as commercial banking, corporate, sovereign and supranational entities for funds raised through the issuance of unsecured debt in the global debt markets. Increases in the supply of competing debt products may, in the absence of increased investor demand, result in higher debt costs, which could negatively affect our financial condition and results of operations. Further, if investors limit their demand for our debt, our ability to fund our operations and to meet the credit and liquidity needs of our members by accessing the capital markets could eventually be compromised.

Our inability to issue consolidated obligations for a relatively short period of time could jeopardize our ability to continue operating.

We typically issue consolidated obligations almost every day. We also maintain access to other sources of contingent liquidity. As more fully described in the Liquidity and Capital Resources section of this report, we currently manage our liquidity to ensure that, at a minimum, we maintain 20 calendar days or more of positive daily cash balances (or such higher or lower number of days as the Finance Agency may from time to time require us to maintain) assuming no access to the market for consolidated obligations or other unsecured funding sources and the renewal of all advances that are scheduled to mature during the measurement period. However, if we were unable to issue consolidated obligations for a relatively short period of time and our other sources of contingent liquidity were either not available or were not available in sufficient quantities, our ability to meet our obligations and otherwise conduct our operations would be compromised.

An interruption in our access to the capital markets would limit our ability to obtain funds.

We conduct our business and fulfill our public purpose primarily by acting as an intermediary between our members and the capital markets. Certain events, such as a natural disaster, terrorist act or global pandemic, could limit or prevent us from accessing the capital markets in order to issue consolidated obligations for some period of time. An event that precludes us from accessing the capital markets may also limit our ability to enter into transactions to obtain funds from other sources. External forces are difficult to predict or prevent, but can have a significant impact on our ability to manage our financial needs and to meet the credit and liquidity needs of our members.

Changes in investors’ perceptions of the creditworthiness of the FHLBanks may adversely affect our ability to issue consolidated obligations on favorable terms.

We, and the other ten FHLBanks, currently have the highest credit rating from Moody’s and are rated AA+/A-1+ by S&P. The consolidated obligations issued by the FHLBanks are rated Aaa/P-1 by Moody’s and AA+/A-1+ by S&P. Each of these NRSROs has assigned a stable outlook to its long-term credit rating on the FHLBank System's consolidated obligations and to its long-term rating of each of the FHLBanks.

Pursuant to criteria used by S&P and Moody's, the FHLBank System's debt rating and the credit ratings of the individual FHLBanks are linked closely to the U.S. sovereign credit rating because of the FHLBanks' GSE status. The U.S. government's fiscal challenges could negatively impact the credit rating of the U.S. government, which could in turn result in a downgrade of the rating assigned to us and/or the consolidated obligations of the FHLBank System.

Because the FHLBanks have joint and several liability for all of the FHLBanks' consolidated obligations, negative developments at any FHLBank could also adversely affect S&P's and/or Moody's credit ratings on us and/or the FHLBanks' consolidated obligations or result in one or both of these NRSROs issuing a negative credit report on the FHLBank System.

Our primary source of liquidity is the issuance of consolidated obligations. Historically, the FHLBank System’s status as a GSE and its favorable credit ratings have provided us with excellent access to the capital markets. Any downgrades of the FHLBank System’s consolidated obligations by S&P and/or Moody’s, negative guidance from the rating agencies, or negative announcements by one or more of the FHLBanks could result in higher funding costs and/or disruptions in our access to the capital markets. To the extent that we cannot access funding when needed on acceptable terms, our financial condition and results of operations could be adversely impacted.

Derivatives and Hedging Activities

Changes in our access to the interest rate derivatives market on acceptable terms may adversely affect our ability to maintain our current hedging strategies.

We actively use derivative instruments to manage interest rate risk. The effectiveness of our interest rate risk management strategy depends to a significant extent upon our ability to enter into these instruments with acceptable counterparties in the necessary quantities and under satisfactory terms to hedge our corresponding assets and liabilities. We currently enjoy ready access in the over-the-counter ("OTC") derivatives market for uncleared interest rate derivatives through a diverse group of investment grade rated counterparties. Several factors could have an adverse impact on our access to the OTC derivatives market, including changes in our credit rating, changes in the current counterparties’ credit ratings, reductions in our counterparties’ allocation of resources to the interest rate derivatives business, and changes in the liquidity of that market created by a variety of regulatory or market factors. If mergers involving our financial institution counterparties were to occur,

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it could increase our concentration risk with respect to counterparties in the industry. Further, defaults by, or even negative rumors or questions about, one or more financial services institutions, or the financial services industry in general, could lead to market-wide disruptions in which it may be difficult for us to find acceptable counterparties for such transactions. If changes in our access to the derivatives market result in our inability to manage our hedging activities efficiently and economically, we may be unable to find economical alternative means to manage our interest rate risk effectively, which could adversely affect our financial condition and results of operations.

Many of the derivative transactions that we enter into are required to be cleared through a third-party clearinghouse, which exposes us to credit risk to other parties that we do not have when transacting in the OTC market. In addition, many of the other derivatives that we continue to trade in the OTC market could eventually be subject to central clearing. For our derivative transactions that are not cleared, we will be subject to an initial margin requirement beginning in September 2022 if those transactions have an aggregate notional balance of $8 billion or more and, on a counterparty-by-counterparty basis, our unmargined exposure exceeds $50 million (for additional discussion, see the Legislative and Regulatory Developments section in Item 1. Business). This requirement is likely to increase our hedging costs, which would negatively impact our results of operations.

Business Volume

Loss of members or borrowers could adversely affect our earnings, which could result in lower investment returns and/or higher borrowing rates for remaining members.

One or more members or borrowers could withdraw their membership or decrease their business levels as a result of a merger with an institution that is not one of our members, or for other reasons, which could lead to a decrease in our total assets and capital.

As the financial services industry has consolidated, acquisitions involving some of our members have resulted in membership withdrawals or business level decreases. Additional acquisitions that lead to similar results are possible, including acquisitions in which the acquired institutions are merged into institutions located outside our district with which we cannot do business. We could also be adversely impacted by the reduction in business volume that would arise from the failure of one or more of our members.

The loss of one or more borrowers that represent a significant proportion of our business, or a significant reduction in the borrowing levels of one or more of these borrowers, could, depending on the magnitude of the impact, cause us to lower dividend rates, raise advances rates, attempt to reduce operating expenses (which could cause a reduction in service levels), or undertake some combination of these actions. The magnitude of the impact would depend, in part, on our size and profitability at the time such institution repays its advances to us.

Members’ funding needs may decline, which could reduce loan demand and adversely affect our earnings.

Market factors or regulatory changes could reduce loan demand from our member institutions, which could adversely affect our earnings. Since 2005, our quarter-end advances balances (at par value) have ranged from a low of $15.2 billion at March 31, 2014 to a high of $67.9 billion at September 30, 2008. At December 31, 2021, our outstanding advances (at par value) were $24.4 billion. High deposit levels and/or low demand for loans at member institutions could limit members’ needs for funding. A decline in the demand for advances, if significant, could negatively affect our results of operations.

We face competition for loan demand, which could adversely affect our earnings.

Our primary business is making advances to our members. We compete with other suppliers of wholesale funding, both secured and unsecured, including investment banks, commercial banks and, in certain circumstances, other FHLBanks. Our members have access to alternative funding sources, which may provide more favorable terms than we do on our advances, including more flexible credit or collateral standards.

The availability to our members of alternative funding sources that are more attractive than the funding products offered by us may significantly decrease the demand for our advances. Any change made by us in the pricing of our advances in an effort to compete more effectively with these competitive funding sources may reduce the profitability on advances. A decrease in the demand for advances or a decrease in our profitability on advances would negatively affect our financial condition and results of operations.

Alternatively, if we were to increase the pricing of our advances due to an increase in our debt costs or for any other reason, demand for our advances could decline, which would negatively affect our financial condition and results of operations.

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Regulation

Changes in the regulatory environment could negatively impact our operations and financial results and condition.

We could be materially adversely affected by the adoption of new laws, policies, regulations or directives or changes in existing laws, policies, regulations or directives, including, but not limited to, changes in the interpretations or applications by the Finance Agency or as the result of judicial reviews that modify the present regulatory environment. For instance, since 2013, several housing reform proposals have been introduced by members of the U.S. Congress. It is not possible to determine if or when legislation regarding housing reform will be enacted, nor are the ultimate provisions of any such legislation determinable at this time. To the extent that legislation is enacted, it is possible that the FHLBanks could be impacted. Further, in recent years, the Finance Agency has taken a number of actions through regulations and other directives that have restricted or otherwise constrained how we manage and operate our business and it is possible that additional restrictions and/or constraints could be imposed upon us in the future. Among other things, these restrictions and constraints have limited our product offerings and investment activities.

In addition, the regulatory environment affecting our members could change in a manner that could have a negative impact on their ability to own our stock or take advantage of our products and services.

For a discussion of recent legislative and regulatory developments, see Item 1. Business — Legislative and Regulatory Developments beginning on page 17 of this report.

Finance Agency authority to approve changes to our capital plan and to impose other restrictions and limitations on us and our capital management may adversely affect members.

Under Finance Agency regulations and our capital plan, amendments to the capital plan must be approved by the Finance Agency. However, amendments to our capital plan are not subject to member consent or approval. While amendments to our capital plan must be consistent with the FHLB Act and Finance Agency regulations, it is possible that they could result in changes to the capital plan that could adversely affect the rights and obligations of members.

Moreover, the Finance Agency has significant supervisory authority over us and may impose various limitations and restrictions on us, our operations, and our capital management as it deems appropriate to ensure our safety and soundness, and the safety and soundness of the FHLBank System. Among other things, the Finance Agency may impose higher capital requirements on us that might include, but not be limited to, the imposition of a minimum retained earnings requirement, and may suspend or otherwise limit stock repurchases, redemptions and/or dividends.

Limitations on our ability to pay dividends could result in lower investment returns for members.

Under Finance Agency regulations and our capital plan, we may pay dividends on our stock only out of unrestricted retained earnings or a portion of our current net earnings. However, if we are not in compliance with our minimum capital requirements or if the payment of dividends would make us noncompliant, we are precluded from paying dividends. In addition, we may not declare or pay a dividend if the par value of our stock is impaired or is projected to become impaired after paying such dividend. Further, we may not declare or pay any dividends in the form of capital stock if our excess stock is greater than one percent of our total assets or if, after the issuance of such shares, our outstanding excess stock would be greater than one percent of our total assets. Payment of dividends would also be suspended if the principal and interest due on any consolidated obligations issued on behalf of any FHLBank through the Office of Finance have not been paid in full or if we become unable to comply with regulatory liquidity requirements or satisfy our current obligations. In addition to these explicit limitations, it is also possible that the Finance Agency could restrict our ability to pay a dividend even if we have sufficient retained earnings to make the payment and are otherwise in compliance with the requirements for the payment of dividends.

Lack of a public market and restrictions on transferring our stock could result in an illiquid investment for the holder.

Under the Gramm-Leach-Bliley Act of 1999 (the "GLB Act"), Finance Agency regulations, and our capital plan, our stock may be redeemed upon the expiration of a five-year redemption period following a redemption request. Only stock in excess of a member’s minimum investment requirement, stock held by a member that has submitted a notice to withdraw from membership, or stock held by a member whose membership has been terminated may be redeemed at the end of the redemption period. Further, we may elect to repurchase excess stock of a member at any time at our sole discretion.

There is no guarantee, however, that we will be able to redeem stock held by a shareholder even at the end of the redemption period. If the redemption or repurchase of the stock would cause us to fail to meet our minimum capital requirements, then the redemption or repurchase is prohibited by Finance Agency regulations and our capital plan. Likewise, under such regulations and the terms of our capital plan, we could not honor a member’s capital stock redemption notice if the redemption would cause the member to fail to maintain its minimum investment requirement. Moreover, because our stock may only be owned by our members (or, under certain circumstances, former members and certain successor institutions), and our capital plan requires our approval before a member may transfer any of its stock to another member, there can be no assurance that a member would be allowed to sell or transfer any excess stock to another member at any point in time.

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We may also suspend the redemption of stock if we reasonably believe that the redemption would prevent us from maintaining adequate capital against a potential risk, or would otherwise prevent us from operating in a safe and sound manner. In addition, approval from the Finance Agency for redemptions or repurchases would be required if the Finance Agency or our Board of Directors were to determine that we have incurred, or are likely to incur, losses that result in, or are likely to result in, charges against our capital. Under such circumstances, there can be no assurance that the Finance Agency would grant such approval or, if it did, upon what terms it might do so. Redemption and repurchase of our stock would also be prohibited if the principal and interest due on any consolidated obligations issued on behalf of any FHLBank through the Office of Finance have not been paid in full or if we become unable to comply with regulatory liquidity requirements or satisfy our current obligations.

Accordingly, there are a variety of circumstances that would preclude us from redeeming or repurchasing our stock that is held by a member. Because there is no public market for our stock and transfers require our approval, there can be no assurance that a member’s purchase of our stock would not effectively become an illiquid investment.

Failure by a member to comply with our minimum investment requirement could result in substantial penalties to that member and could cause us to fail to meet our capital requirements.

Members must comply with our minimum investment requirement at all times. Our Board of Directors may increase the members’ minimum investment requirement within certain ranges specified in our capital plan. The minimum investment requirement may also be increased beyond such ranges pursuant to an amendment to the capital plan, which would have to be adopted by our Board of Directors and approved by the Finance Agency. We would provide members with 30 days’ notice prior to the effective date of any increase in their minimum investment requirement. Under the capital plan, members are required to purchase an additional amount of our stock as necessary to comply with any new requirements or, alternatively, they may reduce their business activity with us (subject to any prepayment fees applicable to the reduction in activity) on or prior to the effective date of the increase. To facilitate the purchase of additional stock to satisfy an increase in the minimum investment requirement, the capital plan authorizes us to issue stock in the name of the member and to correspondingly debit the member’s demand deposit account maintained with us.

The GLB Act requires members to “comply promptly” with any increase in the minimum investment requirement to ensure that we continue to satisfy our minimum capital requirements. However, the Finance Agency's predecessor stated, when it published the final regulation implementing this provision of the GLB Act, that it did not believe this provision provides the FHLBanks with an unlimited call on the assets of their members. As a result, it is not clear whether we or our regulator would have the legal authority to compel a member to invest additional amounts in our capital stock.

Thus, while the GLB Act and our capital plan contemplate that members would be required to purchase whatever amounts of stock are necessary to ensure that we continue to satisfy our capital requirements, and while we may seek to enforce this aspect of the capital plan, our ability ultimately to compel a member, either through automatic deductions from a member’s demand deposit account or otherwise, to purchase an additional amount of our stock is not free from doubt.

Nevertheless, even if a member could not be compelled to make additional stock purchases, the failure by a member to comply with the stock purchase requirements of our capital plan could subject it to substantial penalties, including the possible termination of its membership. In the event of termination for this reason, we may call any outstanding advances to the member prior to their maturity and the member would be subject to any fees applicable to the prepayment.

Furthermore, if our members fail to comply with the minimum investment requirement, we may not be able to satisfy our capital requirements, which could adversely affect our operations and financial condition.

Our joint and several liability for all consolidated obligations may adversely impact our earnings, our ability to pay dividends, and our ability to redeem or repurchase capital stock.

Under the FHLB Act and Finance Agency regulations, we are jointly and severally liable with the other FHLBanks for the consolidated obligations issued by the FHLBanks through the Office of Finance regardless of whether we receive all or any portion of the proceeds from any particular issuance of consolidated obligations.

If another FHLBank were to default on its obligation to pay principal of or interest on any consolidated obligations, the Finance Agency may allocate the outstanding liability among one or more of the remaining FHLBanks on a pro rata basis or on any other basis the Finance Agency may determine. In addition, the Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations, whether or not the primary obligor FHLBank has defaulted on the payment of that obligation. Accordingly, we could incur significant liability beyond our primary obligation under consolidated obligations due to the failure of other FHLBanks to meet their payment obligations, which could negatively affect our financial condition and results of operations.

Further, the FHLBanks may not pay any dividends to members or redeem or repurchase any shares of stock unless the principal and interest due on all consolidated obligations has been paid in full. Accordingly, our ability to pay dividends or to redeem or

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repurchase stock could be affected not only by our own financial condition but also by the financial condition of one or more of the other FHLBanks.

An increase in our AHP contribution rate could adversely affect our ability to pay dividends to our shareholders.

The FHLB Act requires each FHLBank to establish and fund an AHP. Annually, the FHLBanks are required to set aside, in the aggregate, the greater of $100 million or 10 percent of their current year’s income (before charges for AHP, as adjusted for interest expense on mandatorily redeemable capital stock) for their AHPs. If the FHLBanks’ combined income does not result in an aggregate AHP contribution of at least $100 million in a given year, we could be required to contribute more than 10 percent of our income to the AHP. As more fully discussed in the Legislative and Regulatory Developments section in Item 1. Business, the U.S. Congress is currently considering a proposal to increase the FHLBanks' AHP contribution rate to 15 percent. An increase in our AHP contribution would reduce our net income and could adversely affect our ability to pay dividends to our shareholders.

The terms of any liquidation, merger or consolidation involving us may have an adverse impact on members’ investments in us.

Under the GLB Act, holders of Class B Stock own our retained earnings, if any. With respect to liquidation, our capital plan provides that, after payment of creditors, all Class B Stock will be redeemed at par, or pro rata if liquidation proceeds are insufficient to redeem all of the stock in full. Any remaining assets will be distributed to the shareholders in proportion to their stock holdings relative to the total outstanding Class B Stock.

Our capital plan also stipulates that its provisions governing liquidation are subject to the Finance Agency’s statutory authority to prescribe regulations or orders governing liquidations of a FHLBank, and that consolidations and mergers may be subject to any lawful order of the Finance Agency. We cannot predict how the Finance Agency might exercise its authority with respect to liquidations or reorganizations or whether any actions taken by the Finance Agency in this regard would be inconsistent with the provisions of our capital plan or the rights of holders of our Class B Stock. Consequently, there can be no assurance that any liquidation, merger or consolidation involving us will be consummated on terms that do not adversely affect our members’ investment in us.

General Risk Factors

A failure or interruption in our information systems or other technology may adversely affect our ability to conduct and manage our business effectively.

We rely heavily upon information systems and other technology to conduct and manage our business and deliver a very large portion of our services to members on an automated basis. Our operations rely on the secure processing, storage and transmission of confidential and other information in computer systems and networks. Computer systems, software and networks can be vulnerable to failures and interruptions, including "cyberattacks" (e.g., breaches, unauthorized access, misuse, computer viruses or other malicious code and other events) that could jeopardize the confidentiality or integrity of information, or otherwise cause interruptions or malfunctions in operations. Over time, cyberattacks have become more frequent, sophisticated, and increasingly difficult to detect or prevent. During periods of geopolitical conflict, the threat of cyberattacks may increase. To the extent that we experience a failure or interruption in any of our information systems or other technology, we may be unable to conduct and manage our business effectively, including, without limitation, our hedging and advances activities. We can make no assurance that we will be able to prevent or timely and adequately address any such failure or interruption. Any failure or interruption could significantly harm our customer relations, reputation, risk management, and profitability, which could negatively affect our financial condition and results of operations.

Failures of critical vendors or other third parties could disrupt our ability to conduct and manage our business

We rely on vendors and other third parties to perform certain critical services for us. A failure or interruption of one or more of these services, including as a result of breaches, cyberattacks, system malfunctions or failures, or other technological issues, could negatively affect our business operations. If one or more of these key external parties were not able to perform their functions for a period of time or at an acceptable service level, our operations could be constrained, disrupted, or otherwise negatively affected. Further, our use of vendors and other third parties also exposes us to the risk of a loss of data, intellectual property, or other confidential information, or other harm.

Our inability to attract and retain skilled labor could adversely affect our business and operations

We rely on key personnel to manage our business and conduct our operations. Competition for skilled labor from within and outside the financial services industry, including the technology sector, has recently become more intense. For instance, we experienced higher turnover and increased competition in hiring skilled personnel in 2021, as the COVID-19 pandemic brought about significant disruptions and changes to the U.S. labor market. Similarly, we also experienced higher turnover and increased competition for independent contractors, whom we currently rely on for software development projects. Our failure to

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attract and retain skilled personnel and/or independent contractors, or our failure to maintain effective succession plans for key positions, could adversely affect our business and operations.

A natural or man-made disaster or a pandemic, especially one affecting our region, could adversely affect our profitability and/or financial condition.

Portions of our district are subject to risks from hurricanes, tornadoes, floods and other natural disasters and the impact of climate change could increase the frequency of these events. Further, the entire district is subject to the risk of a pandemic. In addition to natural disasters, our business could also be negatively impacted by man-made disasters.

Natural or man-made disasters that occur within or outside our district may damage or dislocate our members’ facilities, may damage or destroy collateral pledged to secure advances or other extensions of credit, may adversely affect the livelihood of MPF borrowers or members’ customers or otherwise cause significant economic dislocation in the affected areas. If this were to occur, our business could be negatively impacted.

In the aftermath of a natural or man-made disaster or during or after a pandemic, significant borrower defaults on loans made by our members could occur and these defaults could cause members to fail. If one or more member institutions fail, and if the value of the collateral pledged to secure advances and/or other extensions of credit from us has declined below the amount borrowed, we could incur a credit loss that would adversely affect our financial condition and results of operations. A decline in the local economies in which our members operate could reduce members’ needs for funding, which could reduce demand for our advances. We could be adversely impacted by the reduction in business volume that would arise either from the failure of one or more of our members or from a decline in member funding needs. In addition, it is possible that the protections we have in place for our MPF loans including, but not limited to, borrowers' equity, PMI, hazard insurance and, if applicable, flood insurance, along with MPF credit enhancements, may not be sufficient to prevent us from incurring losses on loans that are secured by properties located in areas that are affected by a natural or man-made disaster. Similarly, the protections we have in place for our MPF loans may not be sufficient to prevent us from incurring losses on loans to borrowers who are no longer able to make payments due to a decline in or loss of income as a result of the economic fallout from a disaster or pandemic.

ITEM 1B. UNRESOLVED STAFF COMMENTS

Not applicable.

ITEM 2. PROPERTIES

The Bank owns a 157,000 square foot office building located at 8500 Freeport Parkway South, Irving, Texas. The Bank occupies approximately 87,000 square feet of space in this building.

The Bank also maintains leased off-site business resumption, storage and co-location facilities comprising approximately 12,000, 5,000 and 500 square feet of space, respectively.

ITEM 3. LEGAL PROCEEDINGS

The Bank is not a party to any material pending legal proceedings.

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

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PART II

ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

The Bank is a cooperative and all of its outstanding capital stock, which is known as Class B Stock, is owned by its members or, in some cases, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other extensions of credit that remain outstanding or until any applicable stock redemption or withdrawal notice period expires. All members must hold stock in the Bank. All of the Bank’s shareholders are financial institutions; no individual may own any of the Bank’s capital stock. The Bank’s capital stock is not publicly traded, nor is there an established market for the stock. The Bank’s capital stock has a par value of $100 per share and it may be purchased, redeemed, repurchased and transferred only at its par value. By regulation, the parties to a transaction involving the Bank’s stock can include only the Bank and its member institutions (or non-member institutions or former members, as described above). While a member could transfer stock to another member of the Bank, such transfer could occur only upon approval of the Bank and then only at par value. Members may redeem excess stock, or withdraw from membership and redeem all outstanding capital stock, with five years' written notice to the Bank. The Bank does not issue options, warrants or rights relating to its capital stock, nor does it provide any type of equity compensation plan. As of March 4, 2022, the Bank had 795 shareholders and 22,501,374 shares of capital stock outstanding.

The Bank has two sub-classes of Class B stock. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement. Daily, subject to the limitations in the Bank's Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement. All excess stock is held as Class B-1 Stock at all times.

Subject to Finance Agency directives and the terms of the Amended JCE Agreement described below, the Bank is permitted by statute and regulation to pay dividends on members’ capital stock in either cash or capital stock only from previously retained earnings or a portion of current net earnings. The Bank’s Board of Directors may not declare or pay a dividend based on projected or anticipated earnings, nor may it declare or pay a dividend if the Bank is not in compliance with its minimum capital requirements or if the Bank would fail to meet its minimum capital requirements after paying such dividend (for a discussion of the Bank’s minimum capital requirements, see Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Risk-Based Capital Rules and Other Capital Requirements). Further, the Bank may not declare or pay any dividends in the form of capital stock if excess stock held by its shareholders is greater than one percent of the Bank’s total assets or if, after the issuance of such shares, excess stock held by its shareholders would be greater than one percent of the Bank’s total assets. Shares of capital stock issued as dividend payments have the same rights, obligations, and restrictions as all other shares of capital stock, including rights, privileges, and restrictions related to the repurchase and redemption of capital stock. To the extent such shares represent excess stock, they may be repurchased or redeemed by the Bank in accordance with the provisions of the Bank’s Capital Plan.

The Bank, and the other FHLBanks, are parties to the Amended JCE Agreement, which provides that the Bank (and each of the other FHLBanks) will, on a quarterly basis, allocate at least 20 percent of its net income to an RRE Account. Pursuant to the provisions of the Amended JCE Agreement, the Bank is required to build its RRE Account to an amount equal to one percent of its total outstanding consolidated obligations, which for this purpose is based on the most recent quarter’s average carrying value of all outstanding consolidated obligations, excluding hedging adjustments. The Amended JCE Agreement provides that during periods in which the Bank’s RRE Account is less than the amount prescribed in the preceding sentence, it may pay dividends only from unrestricted retained earnings or from the portion of its quarterly net income that exceeds the amount required to be allocated to its RRE Account. The allocations to, and restrictions associated with, its RRE Account have not had, nor are they currently expected to have, an effect on the Bank’s dividend payment practices. For additional information regarding the Amended JCE Agreement, see Item 1. Business — Capital — Retained Earnings.

The Bank has had a long-standing practice of paying quarterly dividends in the form of capital stock. While there can be no assurances about future dividends or future dividend rates, the target for quarterly dividends on Class B-1 Stock is currently an annualized rate that approximates average one-month LIBOR for the preceding quarter. The target range for quarterly dividends on Class B-2 Stock is currently an annualized rate that approximates average one-month LIBOR for the preceding quarter plus 0.5 – 1.0 percent. When stock dividends are paid, capital stock is issued in full shares and any fractional shares are paid in cash. Dividends are typically paid during the last week of each calendar quarter and are based upon the Bank’s operating results,

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shareholders’ average capital stock holdings and the applicable rate for the preceding quarter. All capital stock dividends are paid in the form of Class B-1 shares.

By way of example, the Bank’s fourth quarter 2021 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 0.09 percent (a rate equal to average one-month LIBOR for the third quarter of 2021) and 1.09 percent (a rate equal to average one-month LIBOR for the third quarter of 2021 plus 1.0 percent), respectively. The annualized dividend rates of 0.09 percent and 1.09 percent were applied to shareholders' average balances of Class B-1 Stock and Class B-2 Stock, respectively, which were held during the period from July 1, 2021 through September 30, 2021.

The following table sets forth certain information regarding the quarterly dividends that were declared and paid by the Bank during the years ended December 31, 2021 and 2020.

DIVIDENDS PAID

(dollars in thousands)

	2021				2020
	Amount(1)		Annualized Rate(3)		Amount(2)		Annualized Rate(3)
First Quarter	$	3,916	0.711	%	$	15,027	2.381	%
Second Quarter	3,322		0.659	%	12,416		1.987	%
Third Quarter	3,333		0.640	%	6,879		0.991	%
Fourth Quarter	3,634		0.653	%	4,267		0.731	%
Total Dividends Paid During the Period	$	14,205			$	38,589

____________________________________

(1)Amounts exclude (in thousands) $10, $8, $5 and $2 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2021, respectively. For financial reporting purposes, these dividends were classified as interest expense.

(2)Amounts exclude (in thousands) $39, $30, $10 and $31 of dividends paid on mandatorily redeemable capital stock for the first, second, third and fourth quarters of 2020, respectively. For financial reporting purposes, these dividends were classified as interest expense.

(3)Reflects the annualized rate paid on all of the Bank’s average capital stock outstanding regardless of its classification for financial reporting purposes as either capital stock or mandatorily redeemable capital stock. Rates represent the blended rates paid on Class B-1 and Class B-2 stock (computed as the total dividend paid divided by the aggregate average balance of both classes of stock).

The following table sets forth the annualized dividend rates that were paid on Class B-1 and Class B-2 Stock during the years ended December 31, 2021 and 2020.

	2021		2020
	Class B-1	Class B-2	Class B-1	Class B-2
First Quarter	0.15%	1.15%	1.79%	2.79%
Second Quarter	0.12%	1.12%	1.40%	2.40%
Third Quarter	0.10%	1.10%	0.35%	1.35%
Fourth Quarter	0.09%	1.09%	0.16%	1.16%

The Bank has a retained earnings policy that calls for the Bank to maintain retained earnings in an amount at least sufficient to protect the par value of the Bank's capital stock against potential economic losses that could arise from a variety of designated risk factors, including those related to potential permanent losses, potential earnings shortfalls or losses in periodic earnings, and potential reductions in the Bank's estimated market value of equity. With certain exceptions, the Bank’s policy calls for the Bank to maintain its total retained earnings balance at or above its policy target when determining the amount of funds available to pay dividends. The Bank’s current retained earnings policy target, which was last updated as of December 31, 2021, calls for the Bank to maintain a total retained earnings balance of at least $540.7 million to protect against the risks identified in the policy. Notwithstanding the fact that the Bank’s December 31, 2021 retained earnings balance of $1.558 billion exceeds the policy target balance, the Bank currently expects to continue to build its retained earnings in keeping with its long-term strategic objectives and the provisions of the Amended JCE Agreement.

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On March 21, 2022, the Bank’s Board of Directors approved dividends on Class B-1 and Class B-2 Stock in the form of additional shares of Class B-1 Stock for the first quarter of 2022 at annualized rates of 0.09 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2021) and 1.09 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2021 plus 1.0 percent), respectively. The first quarter 2022 dividends, to be applied to average Class B-1 Stock and Class B-2 Stock held during the period from October 1, 2021 through December 31, 2021, will be paid on March 29, 2022.

Pursuant to the terms of an SEC no-action letter dated September 13, 2005, the Bank is exempt from the requirements to report: (1) sales of its equity securities under Item 701 of Regulation S-K and (2) repurchases of its equity securities under Item 703 of Regulation S-K. In addition, the HER Act specifically exempts the Bank from periodic reporting requirements under the securities laws pertaining to the disclosure of unregistered sales of equity securities.

ITEM 6. RESERVED

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion and analysis of financial condition and results of operations should be read in conjunction with the annual audited financial statements and notes thereto for the years ended December 31, 2021, 2020 and 2019 beginning on page F-1 of this Annual Report on Form 10-K.

Forward-Looking Information

This annual report contains forward-looking statements that reflect current beliefs and expectations of the Bank about its future results, performance, liquidity, financial condition, prospects and opportunities. These statements are identified by the use of forward-looking terminology, such as “anticipates,” “plans,” “believes,” “could,” “estimates,” “may,” “should,” “would,” “will,” “might,” “expects,” “intends” or their negatives or other similar terms. The Bank cautions that forward-looking statements involve risks or uncertainties that could cause the Bank’s actual future results to 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. As a result, undue reliance should not be placed on such statements.

These risks and uncertainties include, without limitation, evolving economic and market conditions, political events, and the impact of competitive business forces. The risks and uncertainties related to evolving economic and market conditions include, but are not limited to, changes in interest rates, changes in the Bank’s access to the capital markets, changes in the cost of the Bank’s debt, changes in the ratings on the Bank's debt, adverse consequences resulting from a significant regional, national or global economic downturn (including, but not limited to, reduced demand for the Bank's products and services), credit and prepayment risks, changes in the financial health of the Bank’s members or non-member borrowers and the effects from the COVID-19 pandemic and/or the Russia-Ukraine conflict. Among other things, political events could possibly lead to changes in the Bank’s regulatory environment or its status as a GSE, or to changes in the regulatory environment for the Bank’s members or non-member borrowers. Risks and uncertainties related to competitive business forces include, but are not limited to, the potential loss of a significant amount of member borrowings through acquisitions or other means or changes in the relative competitiveness of the Bank’s products and services for member institutions. For a more detailed discussion of the risk factors applicable to the Bank, see Item 1A. Risk Factors. The Bank undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events, changed circumstances, or any other reason.

Overview

The Bank serves eligible financial institutions in Arkansas, Louisiana, Mississippi, New Mexico and Texas (collectively, the Ninth District of the FHLBank System). The Bank’s primary business is lending relatively low cost funds (known as advances) to its member institutions, which include commercial banks, savings institutions, insurance companies and credit unions. Community Development Financial Institutions that are certified under the Community Development Banking and Financial Institutions Act of 1994 are also eligible for membership in the Bank. While not members of the Bank, housing associates, including state and local housing authorities, that meet certain statutory criteria may also borrow from the Bank. The Bank also maintains a portfolio of investments, the vast majority of which are highly rated, for liquidity purposes and to provide additional earnings. Additionally, the Bank holds interests in a portfolio of predominately conventional mortgage loans that have been acquired through the MPF Program administered by the FHLBank of Chicago. Substantially all of the loans were acquired during the period from 2016 to 2021 and all of those loans are conventional loans. The remainder of the portfolio (less than 0.5 percent of the unpaid principal balance) is comprised of government-guaranteed/insured and conventional mortgage loans that were acquired during the period from 1998 to mid-2003. Shareholders’ return on their investment includes dividends (which are typically paid quarterly in the form of capital stock) and the value derived from access to the Bank’s products and services. Historically, the Bank has balanced the financial rewards to shareholders by seeking to pay a dividend that meets or

34

exceeds the return on alternative short-term money market investments available to shareholders, while lending funds at the lowest rates expected to be compatible with that objective and its objective to build retained earnings over time.

The Bank's principal source of funds is debt issued in the capital markets. All 11 FHLBanks issue debt in the form of consolidated obligations through the Office of Finance as their agent and all 11 FHLBanks are jointly and severally liable for the repayment of all consolidated obligations.

The Bank conducts its business and fulfills its public purpose primarily by acting as a financial intermediary between its members and the capital markets. The intermediation of the timing, structure, and amount of its members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate exchange agreements, including interest rate swaps, swaptions and caps. For a discussion of the Bank's accounting policies for derivatives and hedging, see the sections below entitled “Financial Condition — Derivatives and Hedging Activities” and “Critical Accounting Policies and Estimates.”

Financial Market Conditions

Economic growth in the United States expanded moderately during 2019. During 2020, economic growth in the United States was negatively impacted by the novel coronavirus known as COVID-19, which was declared a global pandemic by the World Health Organization on March 11, 2020. To date, COVID-19 has caused significant economic and financial turmoil both in the U.S. and around the world. Many businesses in the Bank's district and across the U.S. were forced to shut down operations during portions of 2020 in an attempt to slow the spread of the virus. Toward the end of 2020 and throughout 2021, economic growth in the United States began to recover. While most of the previously closed businesses are now open, many are experiencing supply chain issues and worker shortages. Vaccine hesitancy and the emergence of variants complicated efforts to halt the spread of the virus. The extent to which the COVID-19 pandemic continues to affect the Bank's business will depend on many factors that remain uncertain and difficult to predict including, but not limited to, the duration, spread and severity of the pandemic; fiscal or monetary stimulus; the actions taken to contain the pandemic; and how quickly and to what extent normal economic and operating conditions can resume.

The gross domestic product increased at an annual rate of 2.3 percent during 2019. During the first and second quarters of 2020, the gross domestic product decreased at annual rates of 5.1 percent and 31.2 percent, respectively, due to the impact of the COVID-19 pandemic. The gross domestic product increased at annual rates of 33.8 percent, 4.5 percent and 5.7 percent during the third quarter of 2020, the fourth quarter of 2020 and the year ended December 31, 2021, respectively, reflecting continued efforts to resume activities that had been postponed or restricted due to COVID-19. For the year ended December 31, 2020, the gross domestic product decreased 3.4 percent. The nationwide unemployment rate as of December 31, 2019 was 3.6 percent. Unemployment claims increased dramatically during the second quarter of 2020 as employers laid off workers in response to the significant reduction in economic activity. By the end of April 2020, the unemployment rate surged to 14.7 percent before declining to 6.7 percent at the end of 2020 and 3.9 percent at the end of 2021. Both housing prices and home sales increased in most major metropolitan areas during 2020 and 2021, primarily due to low mortgage rates and low inventories of both new and pre-owned homes. In each of those years, many areas experienced significant home price appreciation. During 2019, housing prices increased in most major metropolitan areas, while home sales were slower in many markets.

Throughout 2019, in light of the implications of global developments for the economic outlook, as well as muted inflation pressures at that time, the Federal Open Market Committee ("FOMC") lowered its target for the federal funds rate in 0.25 percent increments from a range of 2.25 percent to 2.50 percent at the beginning of 2019 to a range between 1.50 percent and 1.75 percent at the end of 2019. In an unscheduled meeting held on March 3, 2020, the FOMC stated that the COVID-19 outbreak posed evolving risks to economic activity and, in support of achieving its maximum employment and price stability goals, it decided to lower the target range for the federal funds rate by 50 basis points, to a range between 1.00 percent and 1.25 percent, noting that it would closely monitor developments and their implications for the economic outlook and would act as appropriate to support the economy. On March 15, 2020, the FOMC again lowered the federal funds rate in another unscheduled meeting, this time to a target range between 0 percent and 0.25 percent, noting that the COVID-19 outbreak had harmed communities and disrupted economic activity in many countries, including the United States, and had significantly affected global financial conditions. The FOMC maintained the target for the federal funds rate at a range between 0 percent and 0.25 percent throughout the remainder of 2020 and 2021.

At its most recent scheduled meeting held on March 15/16, 2022, the FOMC increased the target for the federal funds rate from a range between 0 percent and 0.25 percent to a range between 0.25 percent and 0.50 percent and stated that it anticipates that ongoing increases in the target range will be appropriate. In taking this action, the FOMC noted that indicators of economic activity have continued to strengthen. Job gains have been strong in recent months, and the unemployment rate has declined substantially. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures. Further, the invasion of Ukraine by Russia is causing tremendous human and economic hardship. The implications for the U.S. economy are highly uncertain, but in the near term the invasion and related events are likely to create additional upward pressure on inflation and weigh on economic activity.

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In late 2017, the FOMC began implementing a balance sheet normalization program, which was designed to gradually reduce the Federal Reserve's securities holdings by decreasing reinvestment of principal payments from those securities. During 2019, the FOMC first slowed the pace of this program and then concluded the program in August 2019. In 2020, in response to the instability caused by the COVID-19 pandemic, the FOMC stated that, to support the smooth functioning of markets for Treasury securities and agency MBS that are central to the flow of credit to households and businesses, it would increase its holdings of Treasury securities by at least $500 billion and its holdings of agency MBS by at least $200 billion and would reinvest all principal payments from the Federal Reserve's holdings of agency debt and agency MBS in agency MBS. In March 2021, the FOMC further stated that it would continue to increase its holdings of Treasury securities by at least $80 billion per month and of agency mortgage-backed securities by at least $40 billion per month until substantial further progress had been made toward the Committee’s maximum employment and price stability goals. At its scheduled meeting on November 2/3, 2021, the FOMC stated that, in light of the substantial further progress the economy had made toward the FOMC's goals since December 2020, it would begin reducing the monthly pace of its net asset purchases by $10 billion for Treasury securities and $5 billion for agency MBS. Beginning in November 2021, the FOMC stated it would increase its holdings of Treasury securities by at least $70 billion per month (down from $80 billion per month) and of agency MBS by at least $35 billion per month (down from $40 billion per month). Beginning in December 2021, the FOMC would increase its holdings of Treasury securities by at least $60 billion per month and of agency MBS by at least $30 billion per month. On January 26, 2022, the FOMC announced that it would continue to reduce the monthly pace of its net asset purchases, bringing them to an end in March 2022. Further, following its most recent scheduled meeting held on March 15/16, 2022, the FOMC stated that it expects to begin reducing its holdings of Treasury securities and agency debt and agency MBS at a coming meeting.

Due to the dramatic increase in volatility across the global capital markets that occurred in response to the COVID-19 pandemic, the Federal Reserve also undertook a number of other emergency actions. Notably, the Federal Reserve increased substantially its provision of liquidity to the repo and U.S. Treasury markets via open market operations while also providing liquidity to related markets, such as the commercial paper market, via an array of new programs, many of which expired on March 31, 2021. On July 28, 2021, the FOMC announced the establishment of two standing repurchase agreement facilities (a domestic facility and a repo facility for foreign and international monetary authorities), which are intended to support the effective implementation of monetary policy and smooth market functioning.

One-month and three-month LIBOR rates were 2.50 percent and 2.81 percent, respectively, at the end of 2018. One-month and three-month LIBOR declined to 1.76 percent and 1.91 percent, respectively, at the end of 2019. Relatively stable one-month and three-month LIBOR rates, combined with relatively small spreads between those two indices and between those indices and overnight lending rates, suggest that inter-bank lending markets were reasonably stable during 2019. In the weeks before and after the FOMC's early March 2020 reduction in the federal funds target rate, interest rates declined significantly. SOFR declined by 145 basis points during the first six months of 2020, from 1.55 percent to 0.10 percent. One-month and three-month LIBOR also declined during the first six months of 2020, with one-month and three-month LIBOR ending the second quarter at 0.16 percent and 0.30 percent, respectively. During the second half of 2020, the decline in short-term interest rates abated somewhat. SOFR declined by 3 basis points (to 0.07 percent) and one-month and three-month LIBOR declined by 2 basis points and 6 basis points, respectively (to 0.14 percent and 0.24 percent, respectively). During 2021, short-term interest rates declined marginally, with SOFR, one-month LIBOR and three-month LIBOR ending the year at 0.05 percent, 0.10 percent and 0.21 percent, respectively. However, longer term interest rates increased rather significantly during 2021.

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The following table presents information on various market interest rates at December 31, 2021 and 2020 and various average market interest rates for the years ended December 31, 2021, 2020 and 2019.

	Ending Rate		Average Rate
	December 31,	December 31,	For the Year Ended December 31,
	2021	2020	2021	2020	2019
Federal Funds Target (1)	0.25%	0.25%	0.25%	0.53%	2.28%
Average Effective Federal Funds Rate (2)	0.07%	0.09%	0.08%	0.37%	2.16%
SOFR (1)	0.05%	0.07%	0.04%	0.36%	2.20%
1-month LIBOR (1)	0.10%	0.14%	0.10%	0.52%	2.22%
3-month LIBOR (1)	0.21%	0.24%	0.16%	0.65%	2.33%
2-year LIBOR (1)	0.94%	0.20%	0.38%	0.48%	2.03%
5-year LIBOR (1)	1.37%	0.43%	0.95%	0.59%	1.96%
10-year LIBOR (1)	1.58%	0.93%	1.46%	0.88%	2.09%
3-month U.S. Treasury (1)	0.06%	0.09%	0.04%	0.36%	2.11%
2-year U.S. Treasury (1)	0.73%	0.13%	0.27%	0.39%	1.97%
5-year U.S. Treasury (1)	1.26%	0.36%	0.86%	0.53%	1.95%
10-year U.S. Treasury (1)	1.52%	0.93%	1.45%	0.89%	2.14%

____________________________________

(1)Source: Bloomberg

(2)Source: Federal Reserve Statistical Release

2021 In Summary

•The Bank ended 2021 with total assets of $63.5 billion compared with $64.9 billion at the end of 2020. The $1.4 billion decrease in total assets was attributable primarily to decreases in the Bank's advances ($7.8 billion) and its long-term securities portfolio ($1.8 billion), partially offset by an increase in its short-term liquidity portfolio ($8.2 billion),

•Total advances at December 31, 2021 were $24.6 billion, compared to $32.5 billion at the end of 2020.

•Mortgage loans held for portfolio increased from $3.4 billion at December 31, 2020 to $3.5 billion at December 31, 2021.

•The Bank’s net income for 2021 was $164.4 million, which represented a return on average capital stock of 7.72 percent. In comparison, the Bank's net income for 2020 was $198.7 million, which represented a return on average capital stock of 8.17 percent for that year. For discussion and analysis of the decrease in net income, see the section entitled "Results of Operations" beginning on page 61 of this report.

•At all times during 2021, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s total retained earnings increased to $1.558 billion at December 31, 2021 from $1.408 billion at December 31, 2020. Retained earnings represented 2.5 percent and 2.2 percent of total assets at December 31, 2021 and 2020, respectively. At December 31, 2021, the balance of the Bank's restricted retained earnings account was $266.8 million.

•In 2021, the Bank paid dividends totaling $14.2 million, which, based on the applicable average capital stock balances, equated to an overall blended rate of 0.67 percent for the year.

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Selected Financial Data

SELECTED FINANCIAL DATA

(dollars in thousands)

	Year Ended December 31,
	2021			2020			2019			2018			2017
Balance sheet (at year end)
Advances	$	24,637,464		$	32,478,944		$	37,117,455		$	40,793,813		$	36,460,524
Investments (1)	34,653,202			25,660,696			33,918,055			29,551,929			30,941,464
Mortgage loans	3,494,389			3,426,611			4,076,613			2,185,996			878,123
Allowance for credit losses on mortgage loans	3,124			3,925			1,149			493			271
Total assets	63,488,376			64,912,526			75,381,605			72,773,290			68,524,301
Consolidated obligations — discount notes	11,003,026			22,171,296			34,327,886			35,731,713			32,510,758
Consolidated obligations — bonds	44,514,220			37,112,721			35,745,827			31,931,929			31,376,858
Total consolidated obligations(2)	55,517,246			59,284,017			70,073,713			67,663,642			63,887,616
Mandatorily redeemable capital stock(3)	6,657			13,864			7,140			6,979			5,941
Capital stock — putable	2,192,504			2,101,380			2,466,242			2,554,888			2,317,937
Unrestricted retained earnings	1,291,656			1,174,359			1,038,533			932,675			832,826
Restricted retained earnings	266,761			233,886			194,144			148,692			108,937
Total retained earnings	1,558,417			1,408,245			1,232,677			1,081,367			941,763
Accumulated other comprehensive income	182,770			47,260			99,049			128,001			220,326
Total capital	3,933,691			3,556,885			3,797,968			3,764,256			3,480,026
Dividends paid(3)	14,205			38,589			75,923			59,171			32,508
Income statement
Net interest income after provision/reversal for mortgage loan losses(4)	$	277,547		$	309,979		$	293,175		$	310,466		$	237,438
Other income(4)	10,243			32,159			56,320			1,961			22,483
Other expense	105,147			121,342			96,965			91,555			92,924
Assessments	18,266			22,087			25,272			22,097			16,710
Net income	164,377			198,709			227,258			198,775			150,287
Performance ratios
Net interest margin(4)(5)	0.46		%	0.43		%	0.41		%	0.45		%	0.39		%
Net interest spread (4)(6)	0.45		%	0.39		%	0.28		%	0.34		%	0.33		%
Return on average assets	0.27		%	0.28		%	0.32		%	0.29		%	0.25		%
Return on average equity	4.31		%	5.41		%	5.96		%	5.22		%	4.75		%
Return on average capital stock (7)	7.72		%	8.17		%	8.90		%	7.86		%	7.04		%
Total average equity to average assets	6.37		%	5.11		%	5.35		%	5.60		%	5.20		%
Regulatory capital ratio(8)	5.92		%	5.43		%	4.92		%	5.01		%	4.77		%
Dividend payout ratio (3)(9)	8.64		%	19.42		%	33.41		%	29.77		%	21.63		%
Interest rates
Average effective federal funds rate (10)	0.08		%	0.37		%	2.16		%	1.83		%	1.00		%
Average one-month LIBOR (11)	0.10		%	0.52		%	2.22		%	2.02		%	1.11		%
Average three-month LIBOR (11)	0.16		%	0.65		%	2.33		%	2.31		%	1.26		%

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____________________________________

(1)Investments consist of interest-bearing deposits, federal funds sold, securities purchased under agreements to resell, loans to other FHLBanks and securities classified as held-to-maturity, available-for-sale and trading.

(2)The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At December 31, 2021, 2020, 2019, 2018 and 2017, the outstanding consolidated obligations (at par value) of all of the FHLBanks totaled approximately $653 billion, $747 billion, $1.026 trillion, $1.032 trillion and $1.034 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $55.8 billion, $59.2 billion, $70.1 billion, $68.0 billion and $64.1 billion, respectively. The Bank records on its statement of condition only that portion of the consolidated obligations for which it has received the proceeds.

(3)Mandatorily redeemable capital stock represents capital stock that is classified as a liability under accounting principles generally accepted in the United States of America. Dividends on mandatorily redeemable capital stock are recorded as interest expense and excluded from dividends paid. Dividends paid on mandatorily redeemable capital stock totaled $25 thousand, $110 thousand, $201 thousand, $73 thousand and $91 thousand for the years ended December 31, 2021, 2020, 2019, 2018 and 2017, respectively.

(4)The Bank adopted ASU 2017-12, "Targeted Improvements to Accounting for Hedging Activities" ("ASU 2017-12") on January 1, 2019. In accordance with ASU 2017-12, changes in the fair value of a derivative in a qualifying fair value hedge along with changes in the fair value of the hedged asset or liability attributable to the hedged risk (the net amount of which is referred to as fair value hedge ineffectiveness) are recorded in net interest income. Prior to the adoption of ASU 2017-12, the Bank recorded fair value hedge ineffectiveness in other income (loss). Because prior period amounts have not been reclassified to conform to the new presentation requirements, net interest income after provision/reversal for mortgage loan losses, other income (loss), net interest margin and net interest spread for the years ended December 31, 2021, 2020 and 2019 are not comparable to prior periods. Fair value hedge ineffectiveness increased (reduced) net interest income by $23.8 million, ($15.0 million) and ($17.9 million) for the years ended December 31, 2021, 2020 and 2019, respectively. For additional discussion, see the section entitled "Results of Operations" beginning on page 61 of this report.

(5)Net interest margin is net interest income as a percentage of average earning assets.

(6)Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities.

(7)Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable capital stock.

(8)The regulatory capital ratio is computed by dividing regulatory capital (the sum of capital stock — putable, mandatorily redeemable capital stock and retained earnings) by total assets at each year-end.

(9)Dividend payout ratio is computed by dividing dividends paid by net income for the year.

(10)Rates obtained from the Federal Reserve Statistical Release.

(11)Rates obtained from Bloomberg.

Financial Condition

The following table provides selected period-end balances as of December 31, 2021, 2020 and 2019, as well as selected average balances for the years ended December 31, 2021, 2020 and 2019. As shown in the table, the Bank’s total assets decreased by 2.2 percent (or $1.4 billion) during the year ended December 31, 2021 after decreasing by 13.9 percent (or $10.5 billion) during the year ended December 31, 2020. The decrease in total assets during the year ended December 31, 2021 was attributable primarily to decreases in the Bank's advances ($7.8 billion) and long-term securities portfolio ($1.8 billion), partially offset by an increase in the Bank's short-term liquidity portfolio ($8.2 billion). As the Bank’s assets decreased, the funding for those assets also decreased. During the year ended December 31, 2021, total consolidated obligations decreased by $3.8 billion, as consolidated obligation discount notes decreased by $11.2 billion and consolidated obligation bonds increased by $7.4 billion.

The decrease in total assets during the year ended December 31, 2020 was attributable primarily to decreases in the Bank's short-term liquidity portfolio ($4.9 billion), advances ($4.6 billion), mortgage loans held for portfolio ($0.7 billion) and long-term held-to-maturity securities portfolio ($0.3 billion). As the Bank’s assets decreased, the funding for those assets also decreased. During the year ended December 31, 2020, total consolidated obligations decreased by $10.8 billion, as consolidated obligation discount notes decreased by $12.2 billion and consolidated obligation bonds increased by $1.4 billion.

The activity in each of the major balance sheet captions is discussed in the sections following the table. Activity for the year ended December 31, 2019 is discussed in the Bank's Annual Report on Form 10-K for the year ended December 31, 2020 which was filed with the SEC on March 24, 2021 (the "2020 10-K").

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SUMMARY OF CHANGES IN FINANCIAL CONDITION

(dollars in millions)

	December 31, 2021						December 31, 2020						Balance at December 31, 2019
			Increase (Decrease)						Increase (Decrease)
	Balance		Amount		Percentage		Balance		Amount		Percentage
Advances	$	24,637	$	(7,842)	(24.1)	%	$	32,479	$	(4,638)	(12.5)	%	$	37,117
Short-term liquidity holdings
Non-interest bearing excess cash balances (1)	515		(2,585)		(83.4)		3,100		3,100		*		—
Interest-bearing deposits	886		127		16.7		759		(911)		(54.6)		1,670
Securities purchased under agreements to resell	10,650		9,650		965.0		1,000		(3,310)		(76.8)		4,310
Federal funds sold	4,781		3,866		422.5		915		(3,590)		(79.7)		4,505
Trading securities
U.S. Treasury Notes	97		(1,775)		(94.8)		1,872		(2,554)		(57.7)		4,426
U.S. Treasury Bills	2,250		(1,066)		(32.1)		3,316		2,388		257.3		928
Total short-term liquidity holdings	19,179		8,217		75.0		10,962		(4,877)		(30.8)		15,839
Long-term investments
Trading securities (U.S. Treasury Note)	108		(5)		(4.4)		113		7		6.6		106
Available-for-sale securities	15,288		(1,500)		(8.9)		16,788		21		0.1		16,767
Held-to-maturity securities	594		(303)		(33.8)		897		(309)		(25.6)		1,206
Total long-term investments	15,990		(1,808)		(10.2)		17,798		(281)		(1.6)		18,079
Mortgage loans held for portfolio, net	3,491		68		2.0		3,423		(652)		(16.0)		4,075
Total assets	63,488		(1,425)		(2.2)		64,913		(10,469)		(13.9)		75,382
Consolidated obligations
Consolidated obligations — bonds	44,514		7,401		19.9		37,113		1,367		3.8		35,746
Consolidated obligations — discount notes	11,003		(11,168)		(50.4)		22,171		(12,157)		(35.4)		34,328
Total consolidated obligations	55,517		(3,767)		(6.4)		59,284		(10,790)		(15.4)		70,074
Mandatorily redeemable capital stock	7		(7)		(50.0)		14		7		100.0		7
Capital stock	2,193		92		4.4		2,101		(365)		(14.8)		2,466
Retained earnings	1,558		150		10.7		1,408		175		14.2		1,233
Average total assets	59,845		(12,083)		(16.8)		71,928		605		0.8		71,323
Average capital stock	2,130		(303)		(12.5)		2,433		(121)		(4.7)		2,554
Average mandatorily redeemable capital stock	8		(15)		(65.2)		23		16		228.6		7

____________________________________

*    The percentage increase is not meaningful.

(1)     Represents excess cash held at the Federal Reserve Bank of Dallas. These amounts are classified as "Cash and Due From Banks" in the Bank's statements of condition

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Advances

The following table presents advances outstanding, by type of institution, as of December 31, 2021, 2020 and 2019.

ADVANCES OUTSTANDING BY BORROWER TYPE

(par value, dollars in millions)

	December 31,
	2021				2020				2019
	Amount		Percent		Amount		Percent		Amount		Percent
Commercial banks	$	13,181	54	%	$	19,415	61	%	$	23,502	64	%
Insurance companies	6,814		28		7,111		22		6,802		18
Credit unions	2,396		10		3,316		10		2,244		6
Savings institutions	1,880		8		1,889		6		4,185		11
Community Development Financial Institutions	25		—		25		—		21		—
Total member advances	24,296		100		31,756		99		36,754		99
Housing associates	116		—		154		1		172		1
Non-member borrowers	—		—		5		—		18		—
Total par value of advances	$	24,412	100	%	$	31,915	100	%	$	36,944	100	%
Total par value of advances outstanding to CFIs (1)	$	3,153	13	%	$	5,034	16	%	$	4,490	12	%

____________________________________

(1)The figures presented above reflect the advances outstanding to CFIs as of December 31, 2021, 2020 and 2019 based upon the definitions of CFIs that applied as of those dates.

During 2021, the level of liquidity in the financial markets remained significantly elevated due in large part to the various initiatives that were undertaken by the Federal Reserve during 2020 and 2021 in response to the COVID-19 pandemic, which in turn dampened demand for the Bank's advances. The Bank's advances balances (at par value) decreased $7.5 billion during 2021. Advances to commercial banks decreased $6.2 billion, contributing significantly to the overall decline in advances during the year. Comerica Bank (the Bank's third largest borrower at December 31, 2020), Texas Capital Bank, N.A. (the Bank's second largest borrower at December 31, 2020) and Origin Bank (the Bank's ninth largest borrower at December 31, 2020) reduced their advances by $2.8 billion, $0.8 billion and $0.7 billion, respectively, during 2021. Advances outstanding to these institutions totaled $2.8 billion, $3.0 billion and $0.9 billion, respectively, at December 31, 2020. In addition, Randolph-Brooks Federal Credit Union reduced its advances by $0.9 billion, from $1.3 billion at December 31, 2020 to $0.4 billion at December 31, 2021. In 2021, the Bank's average advances ($30.9 billion par value) were significantly higher than the advances balance at December 31, 2021 ($24.4 billion par value) due largely to intra-month borrowings by certain credit union members throughout the year.

The Bank's advances balances (at par value) decreased by $5.0 billion during 2020. After declining during the first two months of 2020, demand for advances increased markedly in March and the first half of April 2020 in response to the COVID-19 outbreak. The Bank believes the unsettled nature of the credit markets at that time led some members to increase their borrowings in order to increase their liquidity. As part of a broader COVID-19 Relief Program, the Bank made available $5.0 billion of below-market rate advances in mid-April 2020. The vast majority of these fixed-rate advances had a term of six months and all were prepayable without a prepayment fee. During the latter part of April 2020, the Bank's advances began to decline and continued to do so through the end of 2020, reflecting the impact of the elevated level of liquidity in the financial markets. All of the below-market rate advances referred to above were fully repaid in 2020.

Further contributing to the decline in the Bank's advances in 2020 was the repayment of advances by one of the Bank's larger members in connection with a merger transaction. On November 4, 2019, Iberiabank and Tennessee-based First Horizon National Corp. announced that they had entered into a definitive merger agreement. With borrowings of $1.2 billion as of December 31, 2019, Iberiabank was the Bank's ninth largest borrower on that date. On July 2, 2020 (the same day the merger was completed), the Bank's then outstanding advances to Iberiabank, totaling $1.0 billion, were fully repaid. The combined

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company is now headquartered in Memphis, Tennessee and, without a charter in the Bank's district, it is no longer able to conduct future business with the Bank.

While it is difficult to predict the future level of advances, it is possible that the Bank's advances could continue to fall if the level of liquidity in the financial markets remains elevated. Additional U.S. government stimulus, if any, could further increase the already elevated level of liquidity which could, in turn, diminish even further the current subdued demand for the Bank's advances.

At December 31, 2021, advances outstanding to the Bank’s five largest borrowers totaled $10.1 billion, representing 41.4 percent of the Bank’s total outstanding advances as of that date. The following table presents the Bank’s five largest borrowers as of December 31, 2021.

FIVE LARGEST BORROWERS

(par value, dollars in millions)

	As of December 31, 2021
Name	Par Value of Advances		Percent of Total Par Value of Advances
American General Life Insurance Company	$	3,148	12.9	%
Texas Capital Bank, N.A.	2,200		9.0
Life Insurance Company of the Southwest	2,049		8.4
NexBank, SSB	1,395		5.7
Simmons First National Bank	1,306		5.4
	$	10,098	41.4	%

As of December 31, 2020 and 2019, advances outstanding to the Bank's five largest borrowers comprised $12.3 billion (38.6 percent) and $13.5 billion (36.5 percent), respectively, of the total advances portfolio at those dates.

The following table presents information regarding the composition of the Bank’s advances by product type as of December 31, 2021 and 2020.

ADVANCES OUTSTANDING BY PRODUCT TYPE

(par value, dollars in millions)

	December 31, 2021				December 31, 2020
	Balance		Percentage of Total		Balance		Percentage of Total
Fixed-rate	$	17,583	72.0	%	$	21,963	68.8	%
Adjustable/variable-rate indexed	5,792		23.7		8,821		27.6
Amortizing	1,037		4.3		1,131		3.6
Total par value	$	24,412	100.0	%	$	31,915	100.0	%

The Bank is required by statute and regulation to obtain sufficient collateral from members/borrowers to fully secure all advances and other extensions of credit. The Bank’s collateral arrangements with its members/borrowers and the types of collateral it accepts to secure advances are described in Item 1. Business. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances, the Bank applies various haircuts, or discounts, to determine the value of the collateral against which borrowers may borrow. From time to time, the Bank reevaluates the adequacy of its collateral haircuts under a range of stress scenarios to ensure that its collateral haircuts are sufficient to protect the Bank from credit losses on advances and other extensions of credit.

In addition, as described in Item 1. Business, the Bank reviews the financial condition of its depository institution borrowers on at least a quarterly basis to identify any borrowers whose financial condition indicates they might pose an increased credit risk and, as needed, takes appropriate action. The Bank has not experienced any credit losses on advances since it was founded in 1932 and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on advances. Accordingly, the Bank has not provided any allowance for losses on advances.

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Short-Term Liquidity Holdings

At December 31, 2021, the Bank’s short-term liquidity holdings were comprised of a $10.7 billion overnight reverse repurchase agreement transacted with the Federal Reserve Bank of New York, $4.8 billion of overnight federal funds sold, $2.2 billion of U.S. Treasury Bills, $0.9 billion of overnight interest-bearing deposits, $0.5 billion of excess cash held at the Federal Reserve and $0.1 billion of U.S. Treasury Notes. At December 31, 2020, the Bank’s short-term liquidity holdings were comprised of $3.3 billion of U.S. Treasury Bills, $3.1 billion of excess cash held at the Federal Reserve, $1.9 billion of U.S. Treasury Notes, $1.0 billion of overnight reverse repurchase agreements, $0.9 billion of overnight federal funds sold and $0.8 billion of overnight interest-bearing deposits. All of the Bank's federal funds sold during 2021 and 2020 were transacted with domestic bank counterparties, U.S. subsidiaries of foreign holding companies or U.S. branches of foreign financial institutions on an overnight basis. All of the Bank's interest-bearing deposits were transacted on an overnight basis with domestic bank counterparties or U.S. subsidiaries of foreign holding companies.

As of December 31, 2021, the Bank’s overnight federal funds sold consisted of $2.2 billion of funds sold to counterparties rated double-A, $2.5 billion of funds sold to counterparties rated single-A and $0.1 billion sold to a counterparty rated triple-B. At that same date, substantially all of the Bank's overnight interest-bearing deposits were held in single-A rated banks. The credit ratings presented in the two preceding sentences represent the lowest long-term rating assigned to the counterparty by Moody’s or S&P.

The amount of the Bank’s short-term liquidity holdings fluctuates in response to several factors, including the anticipated demand for advances, the timing and extent of advance prepayments, changes in the Bank’s deposit balances, the Bank’s pre-funding activities, prevailing conditions (or anticipated changes in conditions) in the short-term debt markets, the level of liquidity needed to satisfy Finance Agency requirements and the Finance Agency's expectations with regard to the Bank's core mission achievement. For a discussion of the Finance Agency’s liquidity requirements, see the section below entitled “Liquidity and Capital Resources.” For a discussion of the Finance Agency's guidance regarding core mission achievement, see Item 1. Business (specifically, the section entitled Core Mission Achievement beginning on page 11 of this report).

Finance Agency regulations and Bank policies govern the Bank’s investments in unsecured money market instruments, such as overnight and term federal funds and commercial paper. Those regulations and policies establish limits on the amount of unsecured credit that may be extended to borrowers or to affiliated groups of borrowers, and require the Bank to base its investment limits on the creditworthiness of its counterparties.

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Long-Term Investments

The composition of the Bank's long-term investment portfolio at December 31, 2021 and 2020 is set forth in the table below.

COMPOSITION OF LONG-TERM INVESTMENT PORTFOLIO

(in millions)

	Balance Sheet Classification						Total Long-Term Investments (at carrying value)
December 31, 2021	Held-to-Maturity  (at carrying value)		Available-for-Sale (at fair value)		Trading (at fair value)				Held-to-Maturity (at fair value)
Debentures
U.S. government-guaranteed obligations	$	2	$	418	$	108	$	528	$	2
GSE obligations	—		4,546		—		4,546		—
State housing agency obligations	75		—		—		75		75
Other	—		38		—		38		—
Total debentures	77		5,002		108		5,187		77
MBS portfolio
GSE residential MBS	485		—		—		485		489
GSE commercial MBS	—		10,286		—		10,286		—
Non-agency residential MBS	32		—		—		32		40
Total MBS	517		10,286		—		10,803		529
Total long-term investments	$	594	$	15,288	$	108	$	15,990	$	606
	Balance Sheet Classification						Total Long-Term Investments (at carrying value)
	Held-to-Maturity  (at carrying value)		Available-for-Sale  (at fair value)		Trading (at fair value)				Held-to-Maturity  (at fair value)
December 31, 2020
Debentures
U.S. government-guaranteed obligations	$	4	$	441	$	113	$	558	$	4
GSE obligations	—		5,032		—		5,032		—
State housing agency obligations	110		—		—		110		110
Other	—		46		—		46		—
Total debentures	114		5,519		113		5,746		114
MBS portfolio
GSE residential MBS	740		—		—		740		744
GSE commercial MBS	—		11,269		—		11,269		—
Non-agency residential MBS	43		—		—		43		51
Total MBS	783		11,269		—		12,052		795
Total long-term investments	$	897	$	16,788	$	113	$	17,798	$	909

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The following table presents supplemental information regarding the maturities and yields of the Bank’s investments (at carrying value) as of December 31, 2021. Maturities are based on the contractual maturities of the securities. All of the Bank's available-for-sale securities are fixed rate securities, substantially all of which have been swapped to a variable rate. The yields presented in the table for available-for-sale securities reflect their contractual fixed rates.

AVAILABLE-FOR-SALE AND HELD-TO-MATURITY SECURITIES MATURITIES AND YIELDS

(dollars in thousands)

	Due In One Year Or Less			Due After One Year Through Five Years			Due After Five Years Through Ten Years			Due After Ten Years			Total
Maturities
Available-for-sale securities
U.S. government-guaranteed debentures	$	114,748		$	303,288		$	—		$	—		$	418,036
GSE debentures	1,056,003			2,983,365			506,310			—			4,545,678
Other debentures	38,588			—			—			—			38,588
GSE commercial MBS	—			3,743,688			6,542,042			—			10,285,730
Total available-for-sale securities	$	1,209,339		$	7,030,341		$	7,048,352		$	—		$	15,288,032
Held-to-maturity securities
U.S. government-guaranteed debentures	$	500		$	1,872		$	—		$	—		$	2,372
State housing agency obligations	—			—			—			74,919			74,919
Mortgage-backed securities
GSE residential MBS	3			66			1,460			482,581			484,110
Non-agency residential MBS	—			—			—			32,154			32,154
Total held-to-maturity securities	$	503		$	1,938		$	1,460		$	589,654		$	593,555
Weighted average yields
Available-for-sale securities
U.S. government-guaranteed debentures	2.10		%	2.59		%	—		%	—		%	2.46		%
GSE debentures	1.96			2.31			2.80			—			2.28
Other debentures	2.54			—			—			—			2.54
GSE commercial MBS	—			2.68			3.05			—			2.92
Yield on available-for-sale securities	1.99		%	2.52		%	3.03		%	—		%	2.72		%
Held-to-maturity securities
U.S. government-guaranteed debentures	0.47		%	0.76		%	—		%	—		%	0.70		%
State housing agency obligations	—			—			—			0.99			0.99
Mortgage-backed securities
GSE residential MBS	7.08			0.57			0.64			0.57			0.57
Non-agency residential MBS	—			—			—			0.65			0.65
Yield on held-to-maturity securities	0.51		%	0.75		%	0.64		%	0.63		%	0.63		%

Other available-for-sale debentures consist of securities that were issued by the Private Export Funding Corporation ("PEFCO").

During the years ended December 31, 2021 and 2020, the Bank did not acquire any long-term investments. The Bank is precluded by regulation from purchasing additional MBS if such purchase would cause the aggregate amortized historical cost of its MBS holdings to exceed 300 percent of the Bank’s total regulatory capital (the sum of its capital stock, mandatorily redeemable capital stock and retained earnings). For purposes of applying this limit, the Finance Agency defines "amortized historical cost" as the sum of the initial investment, less the amount of cash collected that reduces principal, less write-downs plus yield accreted to date. This definition excludes hedge basis adjustments which, for investment securities, are included in the U.S. GAAP definition of amortized cost basis. Under this definition, the Bank's MBS holdings totaled $10.2 billion as of December 31, 2021, which represented 272 percent of its total regulatory capital at that date. The Bank has not purchased any MBS since September 2019 and it does not intend to purchase additional MBS until such time that it has achieved, and is reasonably confident that it can maintain, a CMA ratio of 70 percent.

In addition to MBS, the Bank is also permitted under applicable policies and regulations to purchase certain other types of highly rated, long-term, non-MBS investments subject to certain limitations. These investments include but are not limited to the non-MBS debt obligations of other GSEs. The Bank has not purchased any long-term, non-MBS investments since October 2019 and it does not intend to purchase additional long-term, non-MBS investments until such time that it has achieved, and is

45

reasonably confident that it can maintain, a CMA ratio of 70 percent. For a discussion of the regulatory limits on the Bank's ability to purchase non-MBS investments, see Item 1. Business - Investment Activities.

As discussed in the section entitled "LIBOR Phase-Out" beginning on page 60 of this report, the FHLBanks were directed by the Finance Agency to no longer purchase (after December 31, 2019) LIBOR-indexed investments which mature after December 31, 2021 and (by March 31, 2020) to no longer issue, make, purchase or otherwise enter into financial liabilities, derivatives or other assets that reference LIBOR and which mature after December 31, 2021. In light of the market volatility caused by the COVID-19 pandemic, the Finance Agency (on March 16, 2020) extended the date after which the FHLBanks could no longer issue, make, purchase or otherwise enter into financial liabilities, derivatives or other assets that reference LIBOR and which mature after December 31, 2021 from March 31, 2020 to June 30, 2020, except for option-embedded products. This directive did not in any way modify the previous guidance relating to investments. As a result of this guidance, the Bank's consideration of future fixed-rate MBS and/or non-MBS purchases will take into account its ability to prudently mitigate interest rate risk through the use of consolidated obligations or derivatives that are indexed to SOFR.

During the years ended December 31, 2021 and 2020, proceeds from maturities and paydowns (including prepayments) of held-to-maturity securities totaled approximately $306 million and $312 million, respectively. Proceeds from maturities and paydowns (including prepayments) of available-for-sale securities totaled $772 million and $322 million during the years ended December 31, 2021 and 2020, respectively. The Bank did not sell any securities during the year ended December 31, 2021. During the year ended December 31, 2020, the Bank sold $602 million (par value) of GSE debentures classified as available-for-sale. The gains recognized on these sales totaled $0.8 million.

During the year ended December 31, 2021, 13 GSE commercial MBS ("CMBS") with an aggregate par value of $389 million and one state housing agency debenture with a par value of $35 million were prepaid. In connection with the GSE CMBS prepayments, the Bank received yield maintenance fees totaling $33.8 million. The yield maintenance fees are recorded in interest income on available-for-sale securities, net of unamortized purchase premiums and discounts and hedge basis adjustments on the prepaid securities. The net amounts recorded in interest income totaled $17.5 million.

During the year ended December 31, 2020, three GSE CMBS with an aggregate par value of $73 million were prepaid. The yield maintenance fees associated with these prepayments (net of unamortized purchase premiums/discounts and hedge basis adjustments) totaled $1.2 million. In addition, during the year ended December 31, 2020, one GSE CMBS defaulted and was repurchased by the GSE at its par value of $10.3 million. The unamortized premium and cumulative hedge basis adjustments associated with the security, totaling $0.9 million, were recognized in interest income on available-for-sale securities at the time of the repurchase.

The Bank evaluates all outstanding available-for-sale securities in an unrealized loss position and all outstanding held-to-maturity securities as of the end of each calendar quarter to determine whether an allowance is needed to reserve for expected credit losses on the securities. As of December 31, 2021, the Bank determined that an allowance for credit losses was not necessary on any of its held-to-maturity or available-for-sale securities. For a summary of the Bank's evaluation, see the audited financial statements included in this report (specifically, Note 9 beginning on page F-25 of this report).

As of December 31, 2021, the U.S. government and the issuers of the Bank's holdings of GSE debentures and GSE MBS were rated triple-A by Moody's and AA+ by S&P. At that same date, the Bank's holdings of PEFCO debentures were rated triple-A by Moody's. The PEFCO debentures are not currently rated by S&P. Further, the Bank's one state housing agency debenture was rated triple-A by Moody's and S&P.

46

All but one of the Bank’s non-agency residential MBS ("RMBS") are rated by Moody’s and/or S&P. The following table presents the credit ratings assigned to the Bank’s non-agency RMBS holdings as of December 31, 2021. The credit ratings presented in the table represent the lowest rating assigned to the security by Moody’s or S&P.

NON-AGENCY RMBS BY CREDIT RATING

(dollars in thousands)

Credit Rating	Number of Securities	Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value		Unrealized Losses
Double-A	1	$	746	$	746	$	746	$	716	$	30
Single-A	2	5,119		5,119		5,119		5,046		73
Triple-B	2	1,674		1,674		1,674		1,665		9
Single-B	4	8,066		7,912		7,253		7,504		473
Triple-C	12	26,983		21,147		17,321		24,894		270
Not Rated	1	41		41		41		40		1
Total	22	$	42,629	$	36,639	$	32,154	$	39,865	$	856

At December 31, 2021, the Bank’s portfolio of non-agency RMBS was comprised of 3 securities with an aggregate unpaid principal balance of $4 million that are backed by first lien fixed-rate loans and 19 securities with an aggregate unpaid principal balance of $39 million that are backed by first lien option adjustable-rate mortgage (“option ARM”) loans. In comparison, as of December 31, 2020, the Bank’s non-agency RMBS portfolio was comprised of 3 securities backed by fixed-rate loans that had an aggregate unpaid principal balance of $6 million and 19 securities backed by option ARM loans that had an aggregate unpaid principal balance of $50 million.

In years prior to 2017, the Bank recorded credit impairments totaling $13.1 million on 15 of its non-agency RMBS. The vast majority of these credit impairments were recorded in 2009, 2010 and 2011. Through December 31, 2021, the Bank has amortized $1.1 million of the time value associated with these credit losses. Through this same date, actual principal shortfalls on the 15 securities have totaled $2.1 million and the Bank has recognized recoveries (i.e., increases in cash flows expected to be collected) totaling $6.2 million. At December 31, 2021, credit losses of $6.0 million are included in the amortized cost basis of the previously impaired securities, the majority of which the Bank currently expects to recover in future periods. These anticipated recoveries will either be accreted as interest income over the remaining lives of the applicable securities (if the anticipated recoveries were being accreted as of December 31, 2019) or recognized as received.

While substantially all of the Bank's RMBS portfolio is comprised of collateralized mortgage obligations ("CMOs") with variable-rate coupons ($0.5 billion par value at December 31, 2021) that do not expose it to interest rate risk if interest rates rise moderately, these securities include caps that would limit increases in the variable-rate coupons if short-term interest rates rise above the caps. In addition, if interest rates rise, prepayments on the mortgage loans underlying the securities would likely decline, thus lengthening the time that the securities would remain outstanding with their coupon rates capped. As of December 31, 2021, one-month LIBOR was 0.10 percent and the effective interest rate caps on one-month LIBOR (the interest cap rate minus the stated spread on the coupon) embedded in the CMO floaters ranged from 5.95 percent to 10.46 percent. The largest concentration of embedded effective caps ($0.4 billion) was between 6.00 percent and 6.50 percent. As of December 31, 2021, one-month LIBOR rates were approximately 585 basis points below the lowest effective interest rate cap embedded in the CMO floaters.

Mortgage Loans Held For Portfolio

As of December 31, 2021 and 2020, mortgage loans held for portfolio (net of allowance for credit losses) were $3.5 billion and $3.4 billion, respectively, representing approximately 5.5 percent and 5.3 percent, respectively, of the Bank’s total assets at each of those dates. Through the MPF program, the Bank currently invests in only conventional residential mortgage loans originated by its PFIs. During the period from 1998 to mid-2003, the Bank purchased conventional mortgage loans and government-guaranteed/insured mortgage loans (i.e., those insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs). The Bank resumed acquiring conventional mortgage loans under this program in early 2016. During the years ended December 31, 2021 and 2020, the Bank acquired mortgage loans totaling $1.354 billion ($1.329 billion unpaid principal balance) and $0.931 billion ($0.901 billion unpaid principal balance), respectively. All of the mortgage loans acquired in 2021 and 2020 were originated by certain of the Bank's PFIs and the Bank acquired a 100 percent interest in such loans.

The Bank's mortgage loan purchases declined significantly in 2020 as compared to 2019 as pricing became less attractive beginning in the second quarter of 2020 in the wake of the Federal Reserve's response to the COVID-19 pandemic. As pricing improved somewhat beginning in the second quarter of 2021, the Bank's mortgage loan purchases increased, albeit not to the

47

levels that existed immediately prior to the onset of the pandemic. With the significant decline in mortgage interest rates since the onset of the pandemic, mortgage prepayment activity accelerated and has remained relatively high. While still elevated, prepayment activity began to slow somewhat during the second half of 2021. During the year ended December 31, 2021, mortgage loan prepayments totaled $1.2 billion, of which $0.7 billion occurred during the first half of the year. In comparison, mortgage loan prepayments totaled $1.4 billion in 2020, of which $1.2 billion occurred during the last nine months of the year.

The following table presents the Bank's mortgage loans held for portfolio, by contractual maturity, as of December 31, 2021 and 2020. All of the Bank's mortgage loans held for portfolio are fixed-rate loans.

MORTGAGE LOANS HELD FOR PORTFOLIO

(dollars in millions)

Redemption Term	December 31, 2021		December 31, 2020
Due in one year or less	$	77	$	70
Due after one year through five years	350		319
Due after five years through fifteen years	1,100		1,037
Thereafter	1,896		1,925
Total unpaid principal balance	3,423		3,351
Net premiums, discounts and deferred net derivative gains associated with mortgage delivery commitments	71		76
Total mortgage loans held for portfolio	3,494		3,427
Allowance for credit losses on mortgage loans	(3)		(4)
Mortgage loans held for portfolio, net	$	3,491	$	3,423

As more fully discussed in Item 1. Business, the Bank manages the liquidity, interest rate and prepayment risk of the MPF loans, while the PFIs or their designees retain the servicing activities. The Bank and the PFIs share in the credit risk of the loans with the Bank assuming a limited first loss obligation defined as the FLA, and the PFIs assuming credit losses in excess of the FLA, up to the amount of the required CE Obligation specified in the master agreement (“Second Loss Credit Enhancement”).

Under the MPF program, the PFI’s credit enhancement protection may take the form of the CE Obligation, which represents the direct liability to pay credit losses incurred with respect to that master commitment, or may require the PFI to obtain and pay for an SMI policy insuring the Bank for a portion of the credit losses arising from the master commitment, and/or the PFI may contract for a contingent performance-based credit enhancement fee whereby such fees are reduced by losses up to a certain amount arising under the master commitment. The credit risk-sharing structures utilized by the Bank during the period from 2016 through 2021 did not include SMI. PFIs are paid a CE fee by the Bank as an incentive to minimize credit losses, to share in the risk of loss on MPF loans and to pay for SMI (if applicable). CE fees are paid monthly and are determined based on the remaining unpaid principal balance of the MPF loans. During the years ended December 31, 2021 and 2020, mortgage loan interest income was reduced by CE fees totaling $1.9 million and $2.4 million, respectively. The required CE Obligation may vary depending on the MPF product alternatives selected. The Bank also pays performance-based CE fees that are based on the actual performance of the pool of MPF loans under each individual master commitment. To the extent that losses incurred by the Bank as part of its first loss obligation in the current month exceed accrued performance-based CE fees, the remaining losses may be recovered from future performance-based CE fees payable to the PFI. During the years ended December 31, 2021 and 2020, performance-based CE fees that were foregone and not paid to the Bank’s PFIs were insignificant.

If a PFI fails to comply with any of the requirements of the PFI agreement, MPF guides, applicable law or the terms of mortgage documents, it may be required to repurchase the MPF loans that are impacted by such failure. During the years ended December 31, 2021 and 2020, the principal amount of mortgage loans held by the Bank that were repurchased by the Bank’s PFIs totaled $4.6 million and $5.7 million, respectively.

For the Bank's conventional loans, loan payment forbearance was offered to borrowers impacted by COVID-19 in 2020 and 2021. The forbearance allows a borrower to defer loan payments for 3 months without requiring documentation from the borrower to support the requested relief. Borrowers that continue to be impacted by COVID-19 may request an extension of the loan payment forbearance for up to an additional 15 months. A hardship certification from the borrower supporting the continued hardship due to COVID-19 is required for approval of additional payment forbearance. During forbearance, late fees are not assessed. At the end of forbearance, borrowers are presented with options for bringing their mortgage loan to a current status. For further discussion, see the audited financial statements included in this report (specifically, Note 9 beginning on page F-25).

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The following table presents the geographic concentration of the Bank’s mortgage loan portfolio as of December 31, 2021.

GEOGRAPHIC CONCENTRATION OF MORTGAGE LOANS

Southwest (AR, AZ, CO, KS, LA, MO, NM, OK, TX, and UT)	77.2	%
Southeast (AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, and WV)	14.8
West (AK, CA, GU, HI, ID, MT, NV, OR, WA, and WY)	5.0
Midwest (IA, IL, IN, MI, MN, ND, NE, OH, SD, and WI)	1.6
Northeast (CT, DE, MA, ME, NH, NJ, NY, PA, PR, RI, VI, and VT)	1.4
	100.0	%

The following table presents various ratios pertaining to the allowance for credit losses on mortgage loans as of December 31, 2021 and 2020.

MORTGAGE LOANS HELD FOR PORTFOLIO — RISK ELEMENTS AND CREDIT LOSSES

(dollars in millions)

	December 31, 2021		December 31, 2020
Ratio of net charge-offs to average loans outstanding during the period	—	%	—	%
Ratio of allowance for credit losses to mortgage loans held for portfolio	0.09	%	0.11	%
Ratio of non-accrual loans to mortgage loans held for portfolio	1.47	%	3.44	%
Ratio of allowance for credit losses to non-accrual loans	6.09	%	3.33	%

The Bank's allowance for credit losses, which factors in the CE obligation, increased from $1,149,000 at December 31, 2019 to $3,925,000 at December 31, 2020 and then decreased to $3,124,000 at December 31, 2021, reflecting the expected impact of the COVID-19 pandemic and the adoption of new credit loss accounting guidance in 2020 and improving economic conditions in 2021. For a discussion of the new credit loss accounting guidance, see the audited financial statements included in this report (specifically, Note 9 beginning on page F-25).

Consolidated Obligations and Deposits

During the year ended December 31, 2021, the Bank’s consolidated obligation bonds (at par value) increased by $7.8 billion and its consolidated obligation discount notes (at par value) decreased by $11.2 billion. The following table presents the composition of the Bank’s outstanding bonds at December 31, 2021 and 2020.

COMPOSITION OF CONSOLIDATED OBLIGATION BONDS OUTSTANDING

(par value, dollars in millions)

	December 31, 2021				December 31, 2020
	Balance		Percentage of Total		Balance		Percentage of Total
Variable-rate
SOFR-indexed
Non-callable	$	9,947	22.2	%	$	24,130	65.2	%
Callable	—		—		290		0.8
LIBOR-indexed	—		—		1,000		2.7
Fixed-rate
Callable	17,988		40.2		1,820		5.0
Non-callable	12,017		26.8		9,672		26.1
Step-up
Callable	4,717		10.6		15		—
Non-callable	105		0.2		60		0.2
Total par value	$	44,774	100.0	%	$	36,987	100.0	%

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Variable-rate bonds have variable-rate coupons that generally reset based on SOFR. Fixed-rate bonds have coupons that are fixed over the life of the bond. Some fixed-rate and variable-rate bonds contain provisions that enable the Bank to call the bonds at its option on predetermined call dates. Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the bond and, if callable, contain provisions enabling the Bank to call the bonds at its option on predetermined dates.

The FHLBanks rely extensively on the underwriters of their securities, including investment banks, money center banks and large commercial banks, to source investors for consolidated obligations. Investors may be located in the United States or overseas. The features of consolidated obligations are structured to meet the requirements of investors. The various types of consolidated obligations included in the table above reflect the features of the Bank’s outstanding bonds as of December 31, 2021 and 2020 and do not represent all of the various types and styles of consolidated obligation bonds that may be issued by the Bank or the other FHLBanks.

Consistent with its risk management philosophy, the Bank uses interest rate exchange agreements (i.e., interest rate swaps) to convert many of the fixed-rate consolidated obligation bonds that it issues to variable-rate instruments that periodically reset based on an index such as SOFR. Generally, the Bank receives a coupon on the interest rate swap that is identical to the coupon it pays on the consolidated obligation bond while paying a variable-rate coupon on the interest rate swap that resets based on the applicable index. Typically, the formula for the variable-rate coupon also includes a spread to the index; for instance, the Bank may pay a coupon on the interest rate swap equal to SOFR plus 5 basis points.

During the years ended December 31, 2021 and 2020, the Bank issued $50.2 billion and $39.9 billion, respectively, of consolidated obligation bonds. The proceeds from these issuances were generally used to replace maturing or called consolidated obligations. During the year ended December 31, 2021, the Bank's consolidated obligation bond issuance (based on par value) consisted of approximately 59.6 percent swapped fixed-rate callable bonds (including step-up bonds), 40.2 percent fixed-rate non-callable bonds (most of which were swapped) and 0.2 percent variable-rate bonds. During the year ended December 31, 2020, the Bank's consolidated obligation bond issuance (based on par value) consisted of approximately 72.1 percent variable-rate bonds, 17.1 percent swapped fixed-rate callable bonds (including step-up bonds) and 10.8 percent fixed-rate non-callable bonds (most of which were swapped).

At December 31, 2021 and 2020, discount notes comprised approximately 20 percent and 37 percent, respectively, of the Bank's total outstanding consolidated obligations. During 2021, the Bank issued approximately $33 billion of consolidated obligation discount notes (excluding those with overnight terms), the proceeds of which were used primarily to replace maturing or called consolidated obligation bonds and maturing consolidated obligation discount notes.

Historically, the primary benchmark that the Bank has used to analyze the effectiveness of its debt issuance efforts and trends in its debt issuance costs has been the spread to LIBOR that the Bank would pay on interest rate swaps used to convert its fixed-rate consolidated obligations to LIBOR. During the years ended December 31, 2021 and 2020, the weighted average LIBOR-equivalent cost of swapped and variable-rate consolidated obligation bonds issued by the Bank was approximately LIBOR minus 19 basis points and LIBOR minus 21 basis points, respectively.

Demand and term deposits were approximately $1.6 billion at both December 31, 2021 and 2020. The Bank has a deposit auction program under which deposits with varying maturities and terms are offered for competitive bid at periodic auctions. The deposit auction program offers the Bank’s members an alternative way to invest their excess liquidity at competitive rates of return, while providing an alternative source of funds for the Bank. The size of the Bank’s deposit base varies as market factors change, including the attractiveness of the Bank’s deposit pricing relative to the rates available to members on alternative money market investments, members’ investment preferences with respect to the maturity of their investments, and member liquidity.

Time deposits totaled $60.9 million at December 31, 2021. These deposits mature as follows: $59.3 million in three months or less and $1.6 million in over three months through six months. All of the time deposits are uninsured.

Capital Stock

The Bank’s outstanding capital stock (excluding mandatorily redeemable capital stock) was $2.2 billion and $2.1 billion at December 31, 2021 and 2020, respectively, while the Bank’s average outstanding capital stock (for financial reporting purposes) was $2.1 billion and $2.4 billion, respectively.

At December 31, 2021, the Bank’s five largest shareholders held $503 million of capital stock, which represented 23.0 percent of the Bank’s total outstanding capital stock (including mandatorily redeemable capital stock) as of that date. The following table presents the Bank’s five largest shareholders as of December 31, 2021.

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FIVE LARGEST SHAREHOLDERS AS OF DECEMBER 31, 2021

(par value, dollars in thousands)

Name	Par Value of Capital Stock		Percent of Total Par Value of Capital Stock
American General Life Insurance Company	$	158,045	7.2	%
Security Service Federal Credit Union	96,391		4.4
Texas Capital Bank, N.A.	95,611		4.4
Randolph-Brooks Federal Credit Union	79,282		3.6
Life Insurance Company of the Southwest	73,888		3.4
	$	503,217	23.0	%

As of December 31, 2021, all of the stock held by the five institutions shown in the table above was classified as capital in the statement of condition.

As described in Item 1. Business, members are required to maintain an investment in Class B stock equal to the sum of a membership investment requirement and an activity-based investment requirement. Currently, the membership investment requirement is 0.04 percent of each member’s total assets as of the previous calendar year end, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is currently 4.10 percent of outstanding advances, except for advances that were funded under the special reduced stock advances offerings discussed below, and 0.10 percent of letters of credit that are issued or renewed on and after April 19, 2021. Prior to April 19, 2021, there was not an activity-based investment requirement for letters of credit. The Bank’s Board of Directors reviews these requirements at least annually and has the authority to adjust them periodically within ranges established in the Capital Plan, as amended from time to time, to ensure that the Bank remains adequately capitalized. Any changes to either the membership or activity-based investment requirements require at least 30 days advance notice to the Bank’s members. Except for the new requirement for letters of credit, there were no changes to the investment requirements during the years ended December 31, 2021 or 2020.

The Bank has two sub-classes of Class B Stock. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement. Daily, subject to the limitations in the Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement. All excess stock is held as Class B-1 Stock at all times.

The Bank’s Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock, provided that in no event can the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock. Dividend payments may be made in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors. For additional information, see Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

The permissible range for the advances-based component of the activity-based investment requirement is currently a range of 2.0 percent to 5.0 percent of members’ advances outstanding. The Bank’s Board of Directors may establish one or more separate advances investment requirement percentages (each an "advance type specific percentage") within this range to be applied to a specific category of advances in lieu of the generally applicable advances-related investment requirement percentage in effect at the time. Such category of advances may be defined as a particular advances product offering, advances with particular maturities or other features, advances that represent an increase in member borrowing, or such other criteria as the Bank’s Board of Directors may determine. Any advance type specific percentage may be established for an indefinite period of time, or for a specific time period, at the discretion of the Bank’s Board of Directors.

On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. All other minimum investment requirements also continued to apply during that period. At December 31, 2021, the remaining balance of advances funded under this special reduced stock advances offering totaled approximately $498 million.

On February 28, 2020, the Bank announced another Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for up to $5.0 billion of advances that: (1) were funded during the period from

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April 1, 2020 through December 31, 2020 and (2) had a maturity of one year or greater. On July 1, 2020, the Bank announced a Board-authorized modification to this special advances offering. As modified, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from August 1, 2020 through December 31, 2020 and (2) had a maturity of 28 days or greater. On December 7, 2020, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2020 to June 30, 2021. On March 17, 2021, the Bank announced another Board-authorized modification and extension to this special advances offering. As modified and extended, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from April 19, 2021 through December 31, 2021 and (2) had a maturity of 32 days or greater. For advances that were funded on or prior to April 18, 2021, the reduced activity-based capital stock investment requirement continued to apply to advances that had a maturity of 28 days or greater. On December 8, 2021, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2021 to December 31, 2022. Under the special advances offering described in this paragraph, the maximum balance of advances to which the reduced activity-based stock investment requirement can be applied is $5.0 billion. If, at the time of funding an advance that would otherwise be eligible for the reduced capital stock investment requirement, the then outstanding balance of advances made pursuant to this offering totals $5 billion, then the standard capital stock investment requirement of 4.1 percent will apply. Except as described in this paragraph, the standard activity-based stock investment requirement of 4.1 percent continues to apply to all other advances that are funded during the period from April 1, 2020 through December 31, 2022. At December 31, 2021, advances outstanding under this program totaled approximately $4.3 billion.

In response to a regulatory directive, the Bank implemented an amendment to its Capital Plan on April 19, 2021. The amended Capital Plan provides for the imposition of an activity-based investment requirement ranging from 0.10 percent to 2.0 percent of members' outstanding letters of credit (the "LC Percentage"), as specified from time to time by the Bank's Board of Directors. The Board of Directors established an initial LC Percentage of 0.10 percent which applies only to letters of credit that are issued or renewed on and after April 19, 2021. The LC Percentage is applied to the issued amount of the letter of credit rather than, if applicable, the amount of the letter of credit that is used from time to time during the term of the letter of credit. Further, renewals for this purpose will include amendments that extend the expiration date of the letter of credit.

Quarterly, the Bank typically repurchases a portion of members’ excess capital stock. Excess stock is defined as the amount of stock held by a member (or former member) in excess of that institution’s minimum investment requirement. The portion of members’ excess capital stock subject to repurchase is known as surplus stock. For the repurchases that occurred during 2021 and 2020, surplus stock was defined as the amount of stock held by a shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For the repurchases that occurred during 2021 and on December 30, 2020, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,000,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). For the other repurchases that occurred during 2020, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). During the years ended December 31, 2021 and 2020, the Bank repurchased surplus stock totaling $153 million and $471 million, respectively, none of which was classified as mandatorily redeemable capital stock at the time of repurchase. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases.

Concurrent with the quarterly repurchases of surplus stock that occurred in 2021 and 2020, the Bank also repurchased all excess stock held by non-member shareholders as of the repurchase dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $7 million and $54 million, respectively.

At December 31, 2021, excess stock held by the Bank’s members and former members totaled $845 million, which represented 1.3 percent of the Bank’s total assets as of that date.

The Bank is precluded from paying dividends in the form of capital stock if excess stock held by its shareholders is greater than 1 percent of the Bank’s total assets or if, after the issuance of such shares, excess stock held by its shareholders would be greater than 1 percent of the Bank’s total assets. Before and immediately after the payment of the dividends on December 28, 2021, excess stock was below 1 percent of the Bank's total assets. Excess stock increased significantly on December 30, 2021 and again on December 31, 2021 due to the repayment by certain credit union members of approximately $3.2 billion and $5.5 billion, respectively, of advances on those dates, which correspondingly reduced the activity-based investment requirement that had been associated with those advances. On the first business day of 2022 (January 3, 2022), much of this excess stock was used by the same credit union members to support new borrowings which, in turn, reduced the Bank's excess stock balance to an amount below 1 percent of the Bank's total assets as of that date.

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The following table sets forth the repurchases of excess stock that have occurred under the quarterly repurchase program since January 1, 2020.

EXCESS STOCK REPURCHASED UNDER QUARTERLY REPURCHASE PROGRAM

(dollars in thousands)

Date of Repurchase by the Bank	Shares Repurchased	Amount of Surplus Stock  Repurchased from  Member Shareholders		Amount of Excess Stock  Repurchased from  Non-Member Shareholders
March 27, 2020	1,390,825	$	139,080	$	2
June 26, 2020	1,844,151	184,412		3
September 28, 2020	1,064,411	52,457		53,984
December 30, 2020	953,802	95,377		3
March 29, 2021	638,969	56,889		7,008
June 25, 2021	358,364	35,836		1
September 27, 2021	126,031	12,602		1
December 27, 2021	477,994	47,760		39

U.S. GAAP requires issuers to classify as liabilities certain financial instruments that embody obligations for the issuer (hereinafter referred to as “mandatorily redeemable financial instruments”). Pursuant to these requirements, the Bank reclassifies shares of capital stock from the capital section to the liability section of its balance sheet at the point in time when either a written redemption or withdrawal notice is received from a member or a membership withdrawal or termination is otherwise initiated, because the shares of capital stock then meet the definition of a mandatorily redeemable financial instrument. Shares of capital stock meeting this definition are reclassified to liabilities at fair value. Following reclassification of the stock, any dividends paid or accrued on such shares are recorded as interest expense in the statements of income. As the repurchases presented in the table above are made at the sole discretion of the Bank, the repurchase, in and of itself, does not cause the shares underlying these repurchases to meet the definition of mandatorily redeemable financial instruments.

Stock dividends paid on capital stock that is classified as mandatorily redeemable capital stock are reported as either an issuance of capital stock or as an increase in the mandatorily redeemable capital stock liability depending upon the event that caused the stock on which the dividend is being paid to be classified as a liability. Stock dividends paid on stock subject to a written redemption notice are reported as an issuance of capital stock as such dividends are not covered by the original redemption notice. Stock dividends paid on stock that is subject to a withdrawal notice (or its equivalent) are reported as an increase in the mandatorily redeemable capital stock liability. During the years ended December 31, 2021 and 2020, the Bank did not receive any stock redemption notices.

Mandatorily redeemable capital stock outstanding at December 31, 2021 and 2020 was $6.7 million and $13.9 million, respectively. For the years ended December 31, 2021 and 2020, average mandatorily redeemable capital stock was $8.4 million and $22.6 million, respectively. Although mandatorily redeemable capital stock is excluded from capital (equity) for financial reporting purposes, this stock is considered capital for regulatory purposes (see the section below entitled “Risk-Based Capital Rules and Other Capital Requirements” for further information).

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The following table presents capital stock outstanding, by type of institution, as of December 31, 2021 and 2020.

CAPITAL STOCK OUTSTANDING BY INSTITUTION TYPE

(dollars in millions)

	December 31, 2021				December 31, 2020
	Amount		Percent		Amount		Percent
Commercial banks	$	1,091	50	%	$	1,328	63	%
Credit unions	576		26		264		12
Insurance companies	378		17		361		17
Savings institutions	146		7		147		7
Community Development Financial Institutions	1		—		1		—
Total capital stock classified as capital	2,192		100		2,101		99
Mandatorily redeemable capital stock	7		—		14		1
Total regulatory capital stock	$	2,199	100	%	$	2,115	100	%

Derivatives and Hedging Activities

The Bank functions as a financial intermediary by channeling funds provided by investors in its consolidated obligations to member institutions. During the course of a business day, all member institutions may obtain advances through a variety of product types that include features as diverse as variable and fixed coupons, overnight to 40-year maturities, and bullet (principal due at maturity) or amortizing redemption schedules. The Bank funds advances primarily through the issuance of consolidated obligation bonds and discount notes. The terms and amounts of these consolidated obligation bonds and discount notes and the timing of their issuance is determined by the Bank and is subject to investor demand as well as FHLBank System debt issuance policies.

The intermediation of the timing, structure, and amount of Bank members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate exchange agreements. The Bank’s general practice has been to contemporaneously execute interest rate exchange agreements when acquiring longer maturity fixed-rate assets and/or issuing longer maturity fixed-rate liabilities in order to convert the instruments’ cash flows to a variable rate that is tied to a short-term index. By doing so, the Bank reduces its interest rate risk exposure and preserves the value of, and earns more stable returns on, its members’ capital investment.

This use of derivatives is integral to the Bank’s financial management strategy, and the impact of these interest rate exchange agreements permeates the Bank’s financial statements. Management has put in place a risk management framework that outlines the permitted uses of interest rate derivatives and that requires frequent reporting of their values and impact on the Bank’s financial statements. All interest rate derivatives employed by the Bank hedge identifiable risks and none are used for speculative purposes. As of December 31, 2021, all of the Bank’s derivative instruments that were designated in hedging relationships were either hedging fair value risk attributable to changes in LIBOR or SOFR (the designated benchmark interest rates) or hedging the variability of cash flows associated with forecasted transactions.

U.S. GAAP requires that all derivative instruments be recorded in the statements of condition at their fair values. Changes in the fair values of the Bank’s derivatives, other than those designated in cash flow hedging relationships, are recorded each period in current earnings. U.S. GAAP also sets forth conditions that must exist in order for balance sheet items to qualify for fair value hedge accounting. If an asset or liability qualifies for fair value hedge accounting, changes in the fair value of the hedged item that are attributable to the hedged risk are also recorded in earnings. As a result, the net effect is that only the “ineffective” portion of a qualifying fair value hedge has an impact on current earnings. Changes in the fair values of the Bank’s derivatives designated in cash flow hedging relationships are recorded each period in other comprehensive income.

Under U.S. GAAP, periodic earnings variability for fair value hedges occurs in the form of the net difference between changes in the fair values of the derivative (the hedging instrument) and the hedged item (the asset or liability), if any, for accounting purposes. For the Bank, two types of hedging relationships are primarily responsible for creating earnings volatility.

The first type involves transactions in which the Bank enters into interest rate swaps with coupon cash flows identical or nearly identical to the cash flows of the hedged item (e.g., an advance, investment security or consolidated obligation). In some cases involving hedges of this type, an assumption of “no ineffectiveness” can be made and the changes in the fair values of the derivative and the hedged item are considered identical and offsetting (hereinafter referred to as the shortcut method). However, if the derivative or the hedged item do not have certain characteristics defined in U.S. GAAP, the assumption of “no

54

ineffectiveness” cannot be made, and the derivative and the hedged item must be marked to fair value independently (hereinafter referred to as the long-haul method). Under the long-haul method, the two components of the hedging relationship are marked to fair value using different discount rates, and the resulting changes in fair value are generally slightly different from one another. Even though these differences are generally relatively small when expressed as prices, their impact can become more significant when multiplied by the principal amount of the transaction and then evaluated in the context of the Bank’s net income. Further, during periods in which short-term interest rates are volatile, the Bank may experience increased earnings variability related to differences in the timing between changes in short-term rates and interest rate resets on the floating-rate leg of its interest rate swaps. The floating-rate legs of many of the Bank’s fixed-for-floating interest rate swaps reset every three months and are then fixed until the next reset date. When short-term rates change significantly between the reset date and the valuation date, discounting the cash flows of the floating-rate leg at current market rates until the swap’s next reset date can cause near-term volatility in the Bank’s earnings. Nonetheless, the impact of these types of ineffectiveness-related adjustments on earnings is transitory as the net earnings impact will be zero over the life of the hedging relationship if the derivative and hedged item are held to maturity or their call dates, which is generally the case for the Bank.

The second type involves transactions in which the Bank enters into interest rate exchange agreements to hedge identifiable portfolio risks that either do not qualify for fair value hedge accounting under U.S. GAAP or are not designated in a qualifying fair value hedging relationship (hereinafter referred to as an “economic hedge”). For instance, from time to time, the Bank uses fixed-for-floating interest rate swaps to hedge its fair value risk exposure associated with some of its longer-term discount notes. The changes in fair value of the interest rate swaps flow through current earnings without an offsetting change in the fair value of the hedged items (i.e., the discount notes), which increases the volatility of the Bank’s earnings. Excluding net interest settlements, the impact of the changes in fair value of these stand-alone interest rate swaps on earnings over the life of the transactions will be zero if these instruments are held until their maturity. The Bank generally holds its discount note swaps to maturity.

Because the use of interest rate derivatives enables the Bank to better manage its economic risks, and thus run its business more effectively and efficiently, the Bank will continue to use them during the normal course of its balance sheet management. The Bank views the accounting consequences of using interest rate derivatives as being an important, but secondary, consideration.

As a result of using interest rate exchange agreements extensively to fulfill its role as a financial intermediary, the Bank has a large notional amount of interest rate exchange agreements relative to its size. As of December 31, 2021, 2020 and 2019, the Bank’s notional balance of interest rate exchange agreements was $53.0 billion, $39.0 billion and $54.9 billion, respectively, while its total assets were $63.5 billion, $64.9 billion and $75.4 billion, respectively. The notional amount of interest rate exchange agreements does not reflect the Bank’s credit risk exposure which, as discussed below, is much less than the notional amount.

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The following table provides the notional balances of the Bank’s derivative instruments, by balance sheet category and accounting designation, as of December 31, 2021, 2020 and 2019.

COMPOSITION OF DERIVATIVES BY BALANCE SHEET CATEGORY AND ACCOUNTING DESIGNATION

(in millions)

	Fair Value Hedges
	Shortcut Method		Long-Haul Method		Cash Flow  Hedges		Economic Hedges		Total
December 31, 2021
Advances	$	9,324	$	483	$	—	$	265	$	10,072
Investments	—		14,398		—		3		14,401
Mortgage loans held for portfolio	—		—		—		898		898
Consolidated obligation bonds	—		24,112		—		—		24,112
Consolidated obligation discount notes	—		—		1,066		900		1,966
Intermediary positions	—		—		—		172		172
Other	—		—		—		1,425		1,425
Total notional balance	$	9,324	$	38,993	$	1,066	$	3,663	$	53,046
December 31, 2020
Advances	$	12,294	$	747	$	—	$	380	$	13,421
Investments	—		15,191		—		1,403		16,594
Mortgage loans held for portfolio	—		—		—		1,620		1,620
Consolidated obligation bonds	—		4,643		—		—		4,643
Consolidated obligation discount notes	—		—		1,066		—		1,066
Intermediary positions	—		—		—		206		206
Other	—		—		—		1,425		1,425
Total notional balance	$	12,294	$	20,581	$	1,066	$	5,034	$	38,975
December 31, 2019
Advances	$	9,104	$	998	$	—	$	255	$	10,357
Investments	—		16,115		—		4,203		20,318
Mortgage loans held for portfolio	—		—		—		517		517
Consolidated obligation bonds	—		19,861		—		—		19,861
Consolidated obligation discount notes	—		—		1,043		1,000		2,043
Intermediary positions	—		—		—		922		922
Other	—		—		—		925		925
Total notional balance	$	9,104	$	36,974	$	1,043	$	7,822	$	54,943

56

The following table provides the notional balances of the Bank’s derivative instruments, by hedging strategy, as of December 31, 2021 and 2020.

HEDGING STRATEGIES

(in millions)

		Hedge Accounting Designation	Notional Amount at December 31,
Hedged Item / Hedging Instrument	Hedging Objective		2021		2020
Advances
Pay fixed, receive floating interest rate swap (without options)	Converts the advance’s fixed rate to a variable- rate index.	Fair Value	$	2,542	$	5,613
		Economic	10		125
Pay fixed, receive floating interest rate swap (with options)	Converts the advance’s fixed rate to a variable- rate index and offsets option risk in the advance.	Fair Value	7,265		7,274
		Economic	255		255
Pay floating then fixed, receive floating interest rate swap (with options)	Converts the advance's fixed rate (after the initial variable rate lockout period) to a variable rate index and offsets option risk in the advance.	Fair Value	—		150
Pay fixed, receive floating interest rate swap combined with purchased swaption	Converts the advance’s fixed rate to a variable- rate index and offsets an optional commitment embedded in the advance that allows the member to increase the amount of the advance.	Fair Value	—		4
Investments
Pay fixed, receive floating interest rate swap	Converts the investment security's fixed rate to a variable-rate index.	Fair Value	14,398		15,191
		Economic	3		1,153
Interest rate caps	Offsets the interest rate caps embedded in a portfolio of variable-rate investment securities.	Economic	—		250
Mortgage Loans
Pay fixed, receive floating interest rate swap, or receive fixed, pay floating interest rate swap	To hedge risks to the Bank's earnings associated with the mortgage loan portfolio.	Economic	265		318
Pay or receive fixed interest rate swaption	Provides the option to enter into an interest rate swap to offset interest rate risk associated with the mortgage loan portfolio.	Economic	600		1,280
Consolidated Obligation Bonds
Receive fixed, pay floating interest rate swap (without options)	Converts the bond’s fixed rate to a variable-rate index.	Fair Value	2,108		3,783
Receive fixed, pay floating interest rate swap (with options)	Converts the bond’s fixed rate to a variable-rate index and offsets option risk in the bond.	Fair Value	22,004		860
Consolidated Obligation Discount Notes
Receive floating, pay fixed interest rate swap	Reduces cash flow variability by converting the variable cash flows of rolling three-month discount notes to fixed cash flows.	Cash Flow	1,066		1,066
Receive fixed, pay floating interest rate swap	Converts the discount note's fixed rate to a variable rate index.	Economic	900		—
Intermediary Positions
Pay fixed, receive floating interest rate swap, and receive fixed, pay floating interest rate swap	To provide interest rate swaps to members and to offset these interest rate swaps by executing interest rate swaps with the Bank’s derivative counterparties.	Economic	92		126
Interest rate caps	To provide interest rate caps to members and to offset these interest rate caps by executing interest rate caps with the Bank's derivative counterparties.	Economic	80		80
Other
Pay floating, receive fixed or pay fixed, receive floating interest rate swaps	To hedge risks to the Bank's earnings that are not directly linked to specific assets, liabilities or forecasted transactions	Economic	1,425		1,425
Total derivatives used to hedge risk			53,013		38,953
Mortgage delivery commitments			33		22
Total notional amount of derivatives			$	53,046	$	38,975

57

Certain derivative transactions that the Bank enters into are required to be cleared through a third-party central clearinghouse. As of December 31, 2021, the Bank had cleared trades outstanding with notional amounts totaling $22.5 billion. Cleared trades are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Collateral (or variation margin on daily settled derivative contracts) is typically delivered/paid (or returned/received) daily and, unlike bilateral derivatives, is not subject to any maximum unsecured credit exposure thresholds. The fair values of all interest rate derivatives (including accrued interest receivables and payables) with each clearing member of each clearinghouse are offset for purposes of measuring credit exposure and determining initial and variation margin requirements. With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The Bank has determined that the exercise by a non-defaulting party of the setoff rights incorporated in its cleared derivative transactions should be upheld in the event of a default, including a bankruptcy, insolvency or similar proceeding involving the clearinghouse or any of its clearing members or both.

The Bank has transacted some of its interest rate exchange agreements bilaterally with large financial institutions (with which it has in place master agreements). In doing so, the Bank has generally exchanged a defined market risk for the risk that the counterparty will not be able to fulfill its obligations in the future. The Bank manages this credit risk by spreading its transactions among as many highly rated counterparties as is practicable, by entering into master agreements with each of its non-member bilateral counterparties that include maximum unsecured credit exposure amounts ranging from $50,000 to $500,000, and by monitoring its exposure to each counterparty on a daily basis. In addition, all of the Bank’s master agreements with its bilateral counterparties include netting arrangements whereby the fair values of all interest rate derivatives (including accrued interest receivables and payables) with each counterparty are offset for purposes of measuring credit exposure. As of December 31, 2021, the notional balance of outstanding interest rate exchange agreements transacted with non-member bilateral counterparties totaled $30.4 billion.

Under the Bank’s master agreements with its non-member bilateral counterparties, the unsecured credit exposure thresholds must be met before collateral is required to be delivered by one party to the other party. Once the counterparties agree to the valuations of the interest rate exchange agreements, and if it is determined that the unsecured credit exposure exceeds the threshold, then, upon a request made by the unsecured counterparty, the party that has the unsecured obligation to the counterparty bearing the risk of the unsecured credit exposure generally must deliver sufficient collateral (or return a sufficient amount of previously remitted collateral) to reduce the unsecured credit exposure to zero (or, in the case of pledged securities, to an amount equal to the discount applied to the securities under the terms of the master agreement). Collateral is delivered (or returned) daily when these thresholds are met. The master agreements with the Bank's non-member bilateral counterparties require the delivery of collateral consisting of cash or very liquid, highly rated securities (generally consisting of U.S. government-guaranteed or agency debt securities) if credit risk exposures rise above the thresholds.

The notional amount of interest rate exchange agreements does not reflect the Bank's credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position.

As of December 31, 2021, cash collateral totaling $456 million had been delivered by the Bank to its non-member bilateral derivative counterparties and the Bank held $7 million of cash collateral received from its non-member bilateral derivative counterparties under the terms of the collateral exchange agreements. At that date, the Bank had pledged $530 million (fair value) of securities to satisfy initial margin requirements associated with its cleared derivatives. In addition, as of December 31, 2021, the Bank had paid $739 million and received $25 million in variation margin to settle its cleared derivatives with its clearinghouse counterparties.

58

The following table provides information regarding the Bank’s derivative counterparty credit exposure as of December 31, 2021.

DERIVATIVES COUNTERPARTY CREDIT EXPOSURE

(dollars in millions)

Credit Rating(1)	Number of  Bilateral Counterparties	Notional  Principal(2)		Net Derivatives Fair Value Before Collateral		Cash Collateral Pledged To (From) Counterparty		Other Collateral Pledged To Counterparty		Net Credit Exposure
Non-member counterparties
Asset positions with credit exposure
Cleared derivatives(3)	—	$	15.0	$	—	$	—	$	1.0	$	1.0
Liability positions with credit exposure
Single-A	6	6,276.6		(97.7)		99.9		—		2.2
Triple-B	2	4,205.9		(128.7)		129.7		—		1.0
Cleared derivatives(3)	—	22,475.0		(3.3)		(1.2)		528.6		524.1
Total derivative positions with non-member counterparties to which the Bank had credit exposure	8	32,972.5		(229.7)		228.4		529.6		528.3
Asset positions without credit exposure	2	1,352.0		6.6		(7.1)		—		—
Liability positions without credit exposure(4)	7	18,602.8		(235.8)		226.9		—		—
Total derivative positions with non-member counterparties to which the Bank did not have credit exposure	9	19,954.8		(229.2)		219.8		—		—
Total non-member counterparties	17	52,927.3		(458.9)		$	448.2	$	529.6	$	528.3
Member institutions
Interest rate exchange agreements (5)
Asset positions	5	85.9		3.8
Mortgage delivery commitments	—	33.2		—
Total member institutions	5	119.1		3.8
Total	22	$	53,046.4	$	(455.1)

____________________________________

(1)Credit ratings shown in the table reflect the lowest rating from Moody’s or S&P and are as of December 31, 2021.

(2)Includes amounts that had not settled as of December 31, 2021.

(3)Cleared derivatives with an aggregate notional principal balance of $5.8 billion were transacted with a clearinghouse rated double-A and cleared derivatives with an aggregate notional principal balance of $16.7 billion were transacted with a clearinghouse rated single-A.

(4)The figures for liability positions without credit exposure included transactions with a counterparty that is affiliated with a member of the Bank. Transactions with that counterparty had an aggregate notional principal of $2.3 billion.

(5)This product offering and the collateral provisions associated therewith are discussed in the paragraph below.

The Bank offers interest rate exchange agreements to its members to assist them in meeting their risk management objectives. In derivative transactions with its members, the Bank acts as an intermediary by entering into an interest rate exchange agreement with the member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s non-member derivative counterparties discussed above. When entering into interest rate exchange agreements with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions consists of collateral that is eligible to secure advances and other obligations under the member’s Advances and Security Agreement with the Bank (for a description of eligible collateral, see Item 1. Business — Products and Services – Advances).

59

The Dodd-Frank Wall Street Reform and Consumer Protection Act changed the regulatory framework for derivative transactions that are not subject to mandatory clearing requirements (uncleared trades). While the Bank expects to be able in certain instances to continue to enter into uncleared trades on a bilateral basis, those transactions will be subject to new regulatory requirements, including initial margin requirements imposed by regulators. For additional discussion, see Item 1. Business - Legislative and Regulatory Developments.

Market Value of Equity

The ratio of the Bank’s estimated market value of equity to its book value of equity was 102 percent at both December 31, 2021 and 2020. For additional discussion, see Item 7A. Quantitative and Qualitative Disclosures About Market Risk.

LIBOR Phase-Out

As discussed in "Item 1A — Risk Factors," one-month and three-month LIBOR are expected to no longer be available after June 30, 2023. For some time, the Bank has been preparing for this possibility and the associated transition to an alternative reference rate (e.g., SOFR). Among other things, a permanent discontinuation of LIBOR has necessitated the addition of fallback language in the Bank's LIBOR-indexed derivative contracts that extend past the cessation date, as well as changes in the Bank's risk management practices. In response to the future cessation of LIBOR, the Bank is no longer offering LIBOR-indexed advances, nor is it issuing LIBOR-indexed consolidated obligations.

On September 27, 2019, the Finance Agency issued a supervisory letter to the FHLBanks relating to their preparations for the phase-out of LIBOR. Under the supervisory letter, with limited exceptions, the FHLBanks were directed, by December 31, 2019, to no longer purchase LIBOR-indexed investments which mature after December 31, 2021 and, by March 31, 2020, to no longer issue, make, purchase or otherwise enter into financial liabilities, derivatives or other assets that reference LIBOR and which mature after December 31, 2021. In light of the market volatility that was caused by the COVID-19 pandemic, the Finance Agency (on March 16, 2020) extended the date after which the FHLBanks could no longer issue, make, purchase or otherwise enter into financial liabilities, derivatives or other assets that reference LIBOR and which mature after December 31, 2021 from March 31, 2020 to June 30, 2020, except for option-embedded products. This directive did not in any way modify the previous guidance relating to investments. The Bank has complied with all aspects of this guidance.

On October 23, 2020, ISDA launched the IBOR Fallbacks Supplement (“Supplement”) and the IBOR Fallbacks Protocol (“Protocol”). The Supplement amends ISDA’s standard definitions for interest rate derivatives to incorporate robust fallbacks for derivatives linked to certain IBORs. Both the Supplement and the Protocol took effect on January 25, 2021. On that date, all legacy bilateral derivative transactions subject to Protocol-covered agreements (including ISDA agreements) that incorporate certain covered ISDA definitional booklets and reference a covered IBOR, including LIBOR, were amended to apply the new ISDA-recommended IBOR fallbacks in the event of the relevant IBOR’s cessation. Both parties must adhere to the Protocol in order to effectively amend legacy derivative contracts or, alternatively, the parties must bilaterally agree to amended legacy contracts to address IBOR fallbacks. The Bank and all of its non-member bilateral derivative counterparties have adhered to the Protocol. On and after January 25, 2021, all new derivative contracts are subject to the relevant IBOR fallbacks set forth in the Supplement. ISDA has stated that the FCA's announcement on March 5, 2021 (in which the FCA announced the dates that panel bank submissions for all LIBOR settings would cease) constituted an index cessation event under the Supplement and the Protocol and, as a result, the fallback spread adjustment published by Bloomberg was fixed as of the date of that announcement for all LIBOR settings. The Bank does not expect the fallback spread adjustments to have a significant impact on its derivative positions.

On March 15, 2022, President Biden signed into law the Adjustable Interest Rate (LIBOR) Act (the "LIBOR Act"). The LIBOR Act provides legal certainty for legacy contracts with inadequate or unworkable fallback provisions when LIBOR stops being published after June 30, 2023. For contracts with either no fallback provisions or insufficient fallback provisions, the legislation will automatically impose a rate selected by the Federal Reserve based upon SOFR including any applicable tenor spread adjustment. The legislation also includes a safe harbor against liability for parties with contractual discretion who choose the Federal Reserve's SOFR-based rate to replace LIBOR. The Federal Reserve has until 180 days after enactment of the legislation to issue regulations carrying out its provisions.

60

The following table presents the Bank's LIBOR-indexed financial instruments by contractual maturity at December 31, 2021. Some of the Bank's derivatives contain call options which, if exercised, could result in earlier terminations. In addition, it is possible that some of the Bank's MBS holdings could be prepaid, reducing the balance of these investments maturing after June 30, 2023.

LIBOR-INDEXED FINANCIAL INSTRUMENTS

(par/notional value, in millions)

			Six Months
	Year Ended		Ended
	December 31, 2022		June 30, 2023		Thereafter		Total
Instruments with receipts indexed to LIBOR
Investments (par value)
Non-MBS	$	1	$	—	$	1	$	2
MBS	—		—		528		528
LIBOR-indexed derivatives notional amount (receive leg)
Cleared	1,374		377		16,573		18,324
Uncleared	377		44		7,713		8,134
Total par/notional amount	$	1,752	$	421	$	24,815	$	26,988
Instruments with payments indexed to LIBOR
LIBOR-indexed derivatives notional amount (pay leg)
Cleared	$	1,283	$	488	$	1,387	$	3,158
Uncleared	133		21		452		606
Total par/notional amount	$	1,416	$	509	$	1,839	$	3,764

At December 31, 2021, the Bank had outstanding standby bond purchase agreements totaling $914.0 million which expire in 2022, 2023, 2024, 2025 and 2026. Under the terms of these agreements, the Bank could be required to purchase and hold the subject bonds for a period of time. If this were to occur, the Bank would earn interest on the bonds at specified rates indexed to the greater of one-month LIBOR or the Federal Funds rate. The standby bond purchase agreements that expire after June 30, 2023 include fallback language in the event one-month LIBOR is no longer available after that date. For further discussion of these standby bond purchase agreements, see the audited financial statements included in this report (specifically, Note 18 on page F-53).

Results of Operations

Net Income

Net income for 2021, 2020 and 2019 was $164.4 million, $198.7 million and $227.3 million, respectively. The Bank’s net income for 2021 represented a return on average capital stock (“ROCS”) of 7.72 percent. In comparison, the Bank’s ROCS was 8.17 percent in 2020 and 8.90 percent in 2019. To derive the Bank’s ROCS, net income is divided by average capital stock outstanding excluding stock that is classified as mandatorily redeemable capital stock. The factors contributing to the changes in the Bank's net income from 2020 to 2021 are discussed below. The factors contributing to the changes in the Bank's net income from 2019 to 2020 are discussed in the 2020 10-K.

While the Bank is exempt from all federal, state and local income taxes, it is obligated to set aside 10 percent of its income before assessments (adjusted for interest expense on mandatorily redeemable capital stock) for its AHP. The AHP provides grants that members can use to support affordable housing projects in their communities. Generally, the Bank’s AHP assessment is derived by adding interest expense on mandatorily redeemable capital stock to income before assessments; the result of this calculation is then multiplied by 10 percent. For the years ended December 31, 2021 and 2020, the Bank’s AHP assessments totaled $18.3 million and $22.1 million, respectively. In each of these years, the effective assessment rate closely approximated 10 percent. Because interest expense on mandatorily redeemable capital stock is not deductible for purposes of computing the Bank’s AHP assessment, the effective assessment rate could exceed 10 percent in future periods.

61

Income Before Assessments

During 2021 and 2020, the Bank’s income before assessments was $182.6 million and $220.8 million, respectively. The $38.2 million decrease in income before assessments for 2021 as compared to 2020 was attributable to a $32.5 million decrease in net interest income after provision/reversal for mortgage loan losses and a $21.9 million decrease in other income offset by a $16.2 million decrease in other expenses. The components of income before assessments (net interest income after provision/reversal for mortgage loan losses, other income and other expense) are discussed in more detail in the following sections.

Net Interest Income After Provision/Reversal for Mortgage Loan Losses

In 2021 and 2020, the Bank’s net interest income after provision/reversal for mortgage loan losses was $277.5 million and $310.0 million, respectively. The $32.5 million decrease in net interest income after provision/reversal for mortgage loan losses from 2020 to 2021 was due primarily to a decline in average interest-earning assets and a $7.9 million decrease in prepayment fees on advances, partially offset by higher yield maintenance fees received in connection with GSE CMBS prepayments, as previously discussed in the Long-Term Investments section beginning on page 44 of this report.

The average balances of the Bank's interest-earning assets decreased by $12.5 billion, from $72.1 billion in 2020 to $59.6 billion in 2021. The Bank's net interest margin increased from 43 basis points in 2020 to 46 basis points in 2021. Net interest margin, or net interest income as a percentage of average earning assets, is a function of net interest spread and the rates of return on assets funded by the investment of the Bank’s capital. Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities. The Bank’s net interest spread was 45 basis points in 2021 as compared to 39 basis points in 2020. Due to a decrease in average short-term interest rates in 2021 relative to 2020, the contribution of the Bank’s invested capital to the net interest margin (the impact of non-interest bearing funds) decreased from 4 basis points in 2020 to 1 basis point in 2021.

U.S. GAAP requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness along with the changes in the fair value of the hedged item attributable to the hedged risk be presented in the same income statement line that is used to present the earnings effect of the hedged item. As a result, the Bank's net interest margin and net interest spread are impacted positively or negatively, as the case may be, by the amount of fair value hedge ineffectiveness that is recorded in net interest income. For the years ended December 31, 2021 and 2020, the fair value hedge ineffectiveness amounts reported in net interest income increased (reduced) interest income on advances by $439,000 and ($1,055,000), respectively, increased (reduced) interest income on available-for-sale securities by $18,787,000 and ($18,947,000), respectively, and reduced interest expense on consolidated obligations by $4,554,000 and $5,020,000, respectively. In aggregate, these amounts increased (reduced) net interest income by $23.8 million and ($15.0) million for the years ended December 31, 2021 and 2020, respectively. The fair value hedge ineffectiveness associated with the Bank's available-for-sale securities is offset in part by mitigation activities undertaken by the Bank, the results of which are recorded in other income (loss) as further discussed below.

62

The following table presents average balance sheet amounts together with the total dollar amounts of interest income and expense and the weighted average interest rates of major earning asset categories and the funding sources for those earning assets for 2021, 2020 and 2019.

YIELD AND SPREAD ANALYSIS

(dollars in millions)

	For the year ended December 31,
	2021						2020						2019
	Average Balance		Interest Income/ Expense		Average Rate(a)		Average Balance		Interest Income/ Expense		Average Rate(a)		Average Balance		Interest Income/ Expense		Average Rate(a)
Assets
Interest-bearing deposits (b)	$	1,110	$	1	0.11	%	$	2,045	$	9	0.44	%	$	1,628	$	37	2.27	%
Securities purchased under agreements to resell	295		—		0.05	%	901		8		0.85	%	3,680		87		2.37	%
Federal funds sold (c)	4,200		3		0.08	%	3,186		9		0.28	%	2,618		58		2.23	%
Investments
Trading	2,715		9		0.32	%	6,275		64		1.01	%	4,984		101		2.02	%
Available-for-sale (d)	15,983		152		0.95	%	17,221		219		1.27	%	16,363		465		2.84	%
Held-to-maturity (d)	750		5		0.70	%	1,082		13		1.22	%	1,330		38		2.83	%
Advances (e)	31,294		130		0.41	%	37,465		367		0.98	%	37,348		909		2.43	%
Mortgage loans held for portfolio (f)	3,296		78		2.36	%	3,945		103		2.61	%	3,102		111		3.58	%
Total earning assets	59,643		378		0.63	%	72,120		792		1.10	%	71,053		1,806		2.54	%
Cash and due from banks	150						74						54
Other assets	197						255						273
Derivatives netting adjustment (b)	(421)						(544)						(177)
Fair value adjustment on available-for-sale securities (d)	281						31						130
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (d)	(5)						(8)						(10)
Total assets	$	59,845	378		0.63	%	$	71,928	792		1.10	%	$	71,323	1,806		2.53	%
Liabilities and Capital
Interest-bearing deposits (b) (g)	$	1,753	—		0.02	%	$	1,537	5		0.29	%	$	983	20		2.05	%
Consolidated obligations
Bonds	42,851		71		0.17	%	35,429		277		0.78	%	30,800		711		2.31	%
Discount notes	11,099		30		0.27	%	30,924		199		0.64	%	34,961		781		2.23	%
Mandatorily redeemable capital stock and other borrowings	20		—		0.03	%	23		—		0.36	%	12		—		2.52	%
Total interest-bearing liabilities	55,723		101		0.18	%	67,913		481		0.71	%	66,756		1,512		2.26	%
Other liabilities	731						885						927
Derivatives netting adjustment (b)	(421)						(544)						(177)
Total liabilities	56,033		101		0.18	%	68,254		481		0.70	%	67,506		1,512		2.24	%
Total capital	3,812						3,674						3,817
Total liabilities and capital	$	59,845			0.17	%	$	71,928			0.67	%	$	71,323			2.12	%
Net interest income			$	277					$	311					$	294
Net interest margin					0.46	%					0.43	%					0.41	%
Net interest spread					0.45	%					0.39	%					0.28	%
Impact of non-interest bearing funds					0.01	%					0.04	%					0.13	%

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____________________________________

(a)Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results.

(b)The Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments transacted under a master netting agreement or other similar arrangement. The average balances of interest-bearing deposit assets for the years ended December 31, 2021, 2020 and 2019 in the table above include $411 million, $525 million and $167 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balances of interest-bearing deposit liabilities for the years ended December 31, 2021, 2020 and 2019 in the table above include $10 million, $19 million and $11 million, respectively, which are classified as derivative assets/liabilities on the statements of condition.

(c)Includes overnight federal funds sold to other FHLBanks.

(d)Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost.

(e)Interest income and average rates include net prepayment fees on advances.

(f)The average balances for mortgage loans held for portfolio in the table above include $87 million, $56 million and $3 million of non-accruing loans for the years ended December 31, 2021, 2020 and 2019, respectively.

(g)Average balances of deposits for the years ended December 31, 2021, 2020 and 2019 include time deposits of $62 million, $64 million and $102 million, respectively. The remaining balances are substantially comprised of interest-bearing demand deposits. During the years ended December 31, 2021, 2020 and 2019, interest was paid on demand deposits at average rates of 0.02 percent, 0.26 percent and 2.01 percent, respectively, and on time deposits at average rates of 0.04 percent, 0.92 percent and 2.34 percent, respectively.

Rate and Volume Analysis

Changes in both volume (i.e., average balances) and interest rates influence changes in net interest income and net interest margin. The following table summarizes changes in interest income and interest expense between 2021 and 2020 and between 2020 and 2019. Changes in interest income and interest expense that cannot be attributed to either volume or rate have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

RATE AND VOLUME ANALYSIS

(in millions)

	2021 vs. 2020 Increase (Decrease) Due To						2020 vs. 2019 Increase (Decrease) Due To
	Volume		Rate		Total		Volume		Rate		Total
Interest income
Interest-bearing deposits	$	(3)	$	(5)	$	(8)	$	8	$	(36)	$	(28)
Securities purchased under agreements to resell	(3)		(5)		(8)		(43)		(36)		(79)
Federal funds sold	2		(8)		(6)		11		(60)		(49)
Investments
Trading	(25)		(30)		(55)		22		(59)		(37)
Available-for-sale	(15)		(52)		(67)		23		(269)		(246)
Held-to-maturity	(3)		(5)		(8)		(6)		(19)		(25)
Advances	(53)		(184)		(237)		3		(545)		(542)
Mortgage loans held for portfolio	(16)		(9)		(25)		26		(34)		(8)
Total interest income	(116)		(298)		(414)		44		(1,058)		(1,014)
Interest expense
Interest-bearing deposits	1		(6)		(5)		8		(23)		(15)
Consolidated obligations
Bonds	48		(254)		(206)		94		(528)		(434)
Discount notes	(89)		(80)		(169)		(81)		(501)		(582)
Mandatorily redeemable capital stock and other borrowings	—		—		—		—		—		—
Total interest expense	(40)		(340)		(380)		21		(1,052)		(1,031)
Changes in net interest income	$	(76)	$	42	$	(34)	$	23	$	(6)	$	17

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Other Income (Loss)

The following table presents the various components of other income (loss) for the years ended December 31, 2021, 2020 and 2019.

OTHER INCOME (LOSS)

(in thousands)

	2021		2020		2019
Net interest income (expense) associated with:
Economic hedge derivatives related to consolidated obligation bonds	$	555	$	—	$	(3)
Economic hedge derivatives related to consolidated obligation discount notes	124		(39)		(249)
Member/offsetting derivatives	44		80		207
Economic hedge derivatives related to advances	(583)		696		522
Economic hedge derivatives related to trading securities	(3,520)		(25,045)		(163)
Economic hedge derivatives related to available-for-sale securities	(36)		(438)		(150)
Economic hedge derivatives related to mortgage loans held for portfolio	1,599		(248)		(1,196)
Other stand-alone economic hedge derivatives	7,359		4,312		(2,382)
Total net interest income (expense) associated with economic hedge derivatives	5,542		(20,682)		(3,414)
Gains (losses) related to economic hedge derivatives
Interest rate swaps
Advances	5,668		(6,971)		(523)
Available-for-sale securities	169		218		(16)
Trading securities	3,532		(1,708)		(1,488)
Mortgage loans held for portfolio	3,867		(2,884)		4,822
Consolidated obligation bonds	—		—		(1)
Consolidated obligation discount notes	(905)		24		(61)
Other stand-alone economic hedge derivatives	(22,543)		30,601		25,553
Interest rate swaptions related to mortgage loans held for portfolio	5,307		(4,524)		(2,728)
Mortgage delivery commitments	(1,848)		8,507		2,097
Interest rate caps related to held-to-maturity securities	—		—		(6)
Member/offsetting derivatives	(44)		(56)		214
Total fair value gains (losses) related to economic hedge derivatives	(6,797)		23,207		27,863
Price alignment amount on daily settled derivative contracts	3		362		238
Total net gains (losses) on derivatives and hedging activities	(1,252)		2,887		24,687
Net gains (losses) on trading securities	(10,501)		7,225		12,860
Net gains on other assets carried at fair value	1,848		1,647		1,964
Realized gains on sales of available-for-sale securities	—		829		852
Service fees	2,753		2,467		2,590
Letter of credit fees	14,498		14,347		12,437
Standby bond purchase agreement fees	1,902		1,471		898
Other, net	995		1,286		32
Total other	11,495		29,272		31,633
Total other income	$	10,243	$	32,159	$	56,320

Net Interest Settlements

Net interest income (expense) associated with economic hedge derivatives including, but not limited to, those associated with non-qualifying fair value hedging relationships is recorded in net gains (losses) on derivatives and hedging activities. Net interest income (expense) associated with derivatives in qualifying fair value hedging relationships is recorded in net interest income in the same income statement line that is used to present the earnings effect of the hedged item.

Fair Value Hedge Ineffectiveness

The Bank uses interest rate swaps to hedge the risk of changes in the fair value of some of its advances and consolidated obligation bonds and substantially all of its available-for-sale securities. These hedging relationships are designated as fair value hedges. To the extent these relationships qualify for hedge accounting, changes in the fair values of both the derivative (the interest rate swap) and the hedged item (limited to changes attributable to the hedged risk) are recorded in earnings. To the

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extent that the Bank's fair value hedging relationships do not qualify for hedge accounting, or cease to qualify because they are determined to be ineffective, only the change in fair value of the derivative is recorded in earnings as net gains (losses) on derivatives and hedging activities (in this case, there is no offsetting change in fair value of the hedged item). The net gains (losses) on derivatives associated with specific advances, available-for-sale securities and consolidated obligation bonds that did not qualify for hedge accounting, or ceased to qualify because they were determined to be ineffective, totaled $5.8 million and $(6.8) million in 2021 and 2020, respectively.

The higher yielding, longer duration fixed-rate GSE CMBS and GSE debentures held in the Bank’s available-for-sale securities portfolio (substantially all of which have been hedged with fixed-for-floating interest rate swaps in long-haul hedging relationships) expose the Bank to periodic earnings variability in the form of fair value hedge ineffectiveness. The hedge ineffectiveness gains and losses associated with these particular relationships are attributable in large part to the use of different discount curves to value the interest rate swaps (either the overnight index swap ("OIS") curve or the SOFR curve) and the GSE CMBS/GSE debentures (LIBOR plus a constant spread). Notwithstanding the hedge ineffectiveness gains and losses, these hedging relationships have been, and are expected to continue to be, highly effective in achieving offsetting changes in fair values attributable to the hedged risk. While the ineffectiveness-related gains and losses associated with these hedging relationships can be significant when evaluated in the context of the Bank’s net income, they are relatively small when expressed as a percentage of the values of the positions. Because the Bank expects to hold these interest rate swaps to maturity, the unrealized ineffectiveness-related gains (or losses) associated with its holdings of GSE CMBS and GSE debentures are expected to be transitory, meaning that they will reverse in future periods in the form of ineffectiveness-related losses (or gains).

Economic Hedge Derivatives

Notwithstanding the transitory nature of the ineffectiveness-related gains and losses associated with the Bank's available-for-sale securities portfolio (discussed above), the Bank has entered into several derivative transactions in an effort to mitigate a portion of the periodic earnings variability that can result from those fair value hedging relationships. At both December 31, 2021 and 2020, the notional balance of these derivatives totaled $425 million. For the years ended December 31, 2021 and 2020, the gains (losses) associated with these stand-alone economic hedge derivatives were $(22.5) million and $30.6 million, respectively.

The Bank has invested in residential mortgage loans. A portion of the interest rate and prepayment risk associated with the Bank's mortgage loan portfolio is managed through the use of interest rate swaps and swaptions. The net change in the fair values of these interest rate swaps and swaptions was $9.2 million and ($7.4) million for the years ended December 31, 2021 and 2020, respectively. In addition, in some but not all cases, the Bank enters into delivery commitments associated with the purchase of the mortgage loans. The fair value changes associated with mortgage delivery commitments (representing net unrealized gains or losses from the commitment date to the settlement date) were $(1.8) million and $8.5 million for the years ended December 31, 2021 and 2020, respectively.

As discussed previously in the section entitled “Financial Condition — Derivatives and Hedging Activities," the Bank offers interest rate exchange agreements to its members to assist them in meeting their risk management objectives. In derivative transactions with its members, the Bank acts as an intermediary by entering into an interest rate exchange agreement with the member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s non-member derivative counterparties. The net change in the fair values of derivatives transacted with members and the offsetting derivatives was insignificant for the years ended December 31, 2021 and 2020, respectively.

Price Alignment Amount

Pursuant to their rulebooks, the Bank's two clearinghouse counterparties legally characterize variation margin payments on cleared derivatives as settlements on the contracts. The Bank receives or pays a price alignment amount on the cumulative variation margin payments associated with these contracts. The price alignment amount approximates the amount of interest the Bank would receive or pay if the variation margin payments were characterized as collateral pledged to secure outstanding credit exposure on the contracts. The price alignment amount associated with derivatives in qualifying fair value hedging relationships is recorded in net interest income in the same income statement line that is used to present the earnings effect of the hedged item. The price alignment amount associated with economic hedge derivatives including, but not limited to, those associated with non-qualifying fair value hedging relationships, is recorded in net gains (losses) on derivatives and hedging activities.

Other

The Bank did not sell any available-for-sale securities during the year ended December 31, 2021. During the year ended December 31, 2020, the Bank sold available-for-sale securities with an amortized cost of $604.6 million. Proceeds from the sales totaled $605.4 million, resulting in realized gains of $0.8 million. The Bank did not sell any securities classified as held-to-maturity during the years ended December 31, 2021 or 2020.

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During the years ended December 31, 2021 and 2020, the Bank held from time to time U.S. Treasury Bills and U.S. Treasury Notes, all of which were classified as trading securities. Due to fluctuations in interest rates, the aggregate gains (losses) on these securities were $(10.5) million and $7.2 million for the years ended December 31, 2021 and 2020, respectively. The Bank occasionally hedges the risk of changes in the fair value of some of its U.S. Treasury Notes. For the years ended December 31, 2021 and 2020, the gains (losses) associated with these stand-alone derivatives were $3.5 million and $(1.7) million, respectively.

The Bank has a small balance of marketable equity securities consisting solely of mutual fund investments associated with its non-qualified deferred compensation plans. These securities are carried at fair value and included in other assets on the statements of condition. The fair value gains on these securities totaled $1.8 million and $1.6 million for the years ended December 31, 2021 and 2020, respectively. The gains or losses on the securities are offset by a corresponding increase or decrease in amounts owed to participants in the deferred compensation plans, the expense for which is recorded in compensation and benefits expense (in the case of employees) or other operating expenses (in the case of directors).

For the years ended December 31, 2021 and 2020, letter of credit fees totaled $14.5 million and $14.3 million, respectively. At December 31, 2021 and 2020, outstanding letters of credit totaled $21.7 billion and $22.4 billion, respectively.

Standby bond purchase agreement fees totaled $1.9 million and $1.5 million for the years ended December 31, 2021 and 2020, respectively. At December 31, 2021 and 2020, outstanding standby bond purchase agreements totaled $914 million and $709 million, respectively.

Other Expense

Total other expense includes the Bank’s compensation and benefits; other operating expenses; subsidies, grants and donations; derivative clearing fees; and its proportionate share of the costs of operating the Finance Agency and the Office of Finance. For the years ended December 31, 2021 and 2020, these expenses totaled $105.1 million and $121.3 million, respectively.

Compensation and benefits totaled $55.2 million for 2021, compared to $65.1 million for 2020. The $9.9 million decrease in compensation and benefits for the year ended December 31, 2021, as compared to the year ended December 31, 2020, was due largely to an $11.0 million decrease in the Bank's defined benefit pension plan expenses, offset by a $1.1 million increase in employee medical costs. In December 2020, the Bank made a $13 million voluntary pension contribution to improve its funding ratio which, as of July 1, 2020, was 90.1 percent. The impact of this voluntary contribution in combination with the pension funding relief legislation that was enacted in March 2021, is reflected in the Bank's funding ratio as of July 1, 2021, which was 123.5 percent. For additional discussion regarding the Bank's defined benefit pension plan, see the audited financial statements included in this report (specifically, Note 16 on page F-46). The Bank's average headcount in both 2021 and 2020 was 202 employees. At December 31, 2021 and 2020, the Bank employed 197 and 203 people, respectively.

Other operating expenses for the years ended December 31, 2021 and 2020 were $34.3 million and $36.2 million, respectively. Decreases in professional services and independent contractor costs were partially offset by an increase in software expenses.

Subsidies, grants and donations were $2.9 million and $8.6 million for the years ended December 31, 2021 and 2020, respectively. In response to the COVID-19 pandemic, the Bank made available (during the three months ended June 30, 2020) $5.0 billion of below-market rate (or subsidized) advances at a cost to the Bank of $4.4 million. In addition, the Bank funded $2.3 million in grants under its Partnership Grant Program, which was expanded to address pandemic relief efforts. During the year ended December 31, 2021, the Bank funded approximately $0.4 million under the Partnership Grant Program.

Derivative clearing fees were $0.8 million and $1.3 million for the years ended December 31, 2021 and 2020, respectively. The decrease of $0.5 million from 2020 to 2021 was due to a decline in the Bank's cleared derivative transactions from year to year as many of the transactions in 2021 were not eligible for clearing.

The Bank, together with the other FHLBanks, is assessed for the costs of operating the Office of Finance and a portion of the costs of operating the Finance Agency. The Bank’s allocated share of the Office of Finance's expenses totaled $5.4 million and $4.8 million in 2021 and 2020, respectively. In these years, the Bank's allocated share of the Finance Agency's expenses totaled $6.5 million and $5.3 million, respectively.

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Unaudited Quarterly Financial Data

The following is a summary of the Bank’s unaudited quarterly operating results for the year ended December 31, 2021.

SELECTED QUARTERLY FINANCIAL DATA

(unaudited, in thousands)

	First Quarter		Second Quarter		Third Quarter		Fourth Quarter		Total
Interest income	$	112,808	$	75,716	$	86,536	$	102,624	$	377,684
Net interest income after provision (reversal) for mortgage loan losses	80,055		51,162		67,257		79,073		277,547
Other income (loss)
Net losses on trading securities	(6,441)		(465)		(871)		(2,724)		(10,501)
Net gains (losses) on derivatives and hedging activities	(700)		882		438		(1,872)		(1,252)
Net gains (losses) on other assets carried at fair value	489		720		(56)		695		1,848
Letter of credit fees	3,691		3,613		3,545		3,649		14,498
Service fees and other, net	1,385		906		1,544		1,815		5,650
Other expense	25,287		25,680		26,010		28,170		105,147
AHP assessments	5,319		3,115		4,586		5,246		18,266
Net income	47,873		28,023		41,261		47,220		164,377

Liquidity and Capital Resources

In order to meet members’ credit needs and the Bank’s financial obligations, the Bank maintains a portfolio of money market instruments typically consisting of overnight federal funds, overnight reverse repurchase agreements, overnight interest-bearing deposits, U.S. Treasury Bills and U.S. Treasury Notes. Beyond those amounts that are required to meet members’ credit needs and its own obligations, the Bank typically holds additional balances of short-term investments that fluctuate as the Bank invests the proceeds of debt issued to replace maturing and called liabilities, as the balance of deposits changes, and as the level of liquidity needed to satisfy Finance Agency requirements changes. At December 31, 2021, the Bank’s short-term liquidity portfolio was comprised of a $10.7 billion overnight reverse repurchase agreement transacted with the Federal Reserve Bank of New York, $4.8 billion of overnight federal funds sold, $2.2 billion of U.S. Treasury Bills, $0.9 billion of overnight interest-bearing deposits, $0.5 billion of excess cash held at the Federal Reserve and $0.1 billion of U.S. Treasury Notes.

The Bank’s primary source of funds is the proceeds it receives from the issuance of consolidated obligation bonds and discount notes in the capital markets. Historically, the FHLBanks have issued debt throughout the business day in the form of discount notes and bonds with a wide variety of maturities and structures. Generally, the Bank has access to the capital markets as needed during the business day to acquire funds to meet its needs.

In addition to the liquidity provided from the proceeds of the issuance of consolidated obligations, the Bank also maintains access to wholesale funding sources such as federal funds purchased and securities sold under agreements to repurchase (e.g., borrowings secured by its investments in MBS and/or agency debentures). Furthermore, the Bank has access to borrowings (typically short-term) from the other FHLBanks.

The 11 FHLBanks and the Office of Finance are parties to the Federal Home Loan Banks P&I Funding and Contingency Plan Agreement, as amended and restated effective January 1, 2017 (the “Contingency Agreement”). The Contingency Agreement and related procedures are designed to facilitate the timely funding of principal and interest payments on FHLBank System consolidated obligations in the event that a FHLBank is not able to meet its funding obligations in a timely manner. The Contingency Agreement and related procedures provide for the issuance of overnight consolidated obligations ("Plan COs") directly to one or more FHLBanks that provide funds to avoid a shortfall in the timely payment of principal and interest on any consolidated obligations for which another FHLBank is the primary obligor. The direct placement by a FHLBank of consolidated obligations with another FHLBank is permitted only in those instances when direct placement of consolidated obligations is necessary to ensure that sufficient funds are available to timely pay all principal and interest on FHLBank System consolidated obligations due on a particular day. Through the date of this report, no Plan COs have ever been issued pursuant to the terms of the Contingency Agreement.

On occasion, and as an alternative to issuing new debt, the Bank may assume the outstanding consolidated obligations for which other FHLBanks are the original primary obligors. This occurs in cases where the original primary obligor may have

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participated in a large consolidated obligation issue to an extent that exceeded its immediate funding needs in order to facilitate better market execution for the issue. The original primary obligor might then warehouse the funds until they were needed or make the funds available to other FHLBanks. Transfers may also occur when the original primary obligor’s funding needs change, and that FHLBank offers to transfer debt that is no longer needed to other FHLBanks. Transferred debt is typically fixed-rate, fixed-term, non-callable debt, and may be in the form of discount notes or bonds. The Bank did not assume any consolidated obligations from other FHLBanks during the years ended December 31, 2021 or 2020.

The Finance Agency’s expectations with respect to the maintenance of sufficient liquidity to enable the FHLBanks to provide advances and fund letters of credit during a sustained capital markets disruption are set forth in an Advisory Bulletin and accompanying supervisory letter. More specifically, the Advisory Bulletin (hereinafter referred to as the “Liquidity AB”) sets forth the Finance Agency's expectations with respect to base case liquidity and funding gaps, among other things. The Liquidity AB sets forth ranges for the prescribed base case liquidity and funding gap measures and the supervisory letter identified the initial thresholds within those ranges that the Finance Agency believed were appropriate in light of then existing market conditions.

With respect to base case liquidity, the Bank is required to maintain a positive cash balance during a prescribed period of time ranging from 10 to 30 calendar days assuming no access to the market for consolidated obligations or other unsecured funding sources and the renewal of all advances that are scheduled to mature during the measurement period. The supervisory letter sets forth the cash flow assumptions to be used by the FHLBanks which include, among other things, a reserve for potential draws on standby letters of credit and the inclusion of uncommitted/unencumbered U.S. Treasury securities with a remaining maturity no greater than 10 years which are classified as trading or available-for-sale securities as a cash inflow one business day after measurement.

Funding gaps measure the difference between a FHLBank’s assets and liabilities that are scheduled to mature during a specified period, expressed as a percentage of the FHLBank’s total assets. Depending on conditions in the financial markets, the Finance Agency believes (as stated in the Liquidity AB) that the FHLBanks should operate so as not to exceed a funding gap ratio between negative 10 percent and negative 20 percent for a three-month time horizon and between negative 25 percent and negative 35 percent for a one-year time horizon. These limits are designed to reduce the liquidity risks associated with a mismatch in a FHLBank’s asset and liability maturities, including an undue reliance on short-term debt funding, which may increase a FHLBank’s debt rollover risk. For purposes of calculating the funding gap ratios, the FHLBanks may include estimates of expected cash inflows, including anticipated prepayments, for mortgage loans and MBS. In addition, uncommitted/unencumbered U.S. Treasury securities with a remaining maturity no greater than 10 years which are classified as trading securities are treated as maturing assets in the three-month time horizon regardless of maturity.

Initially, the Finance Agency indicated that it would consider a FHLBank to have adequate reserves of liquid assets if, from March 31, 2019 through December 30, 2019, it maintained 10 calendar days or more of positive daily cash balances and if, on and after December 31, 2019, it maintained 20 calendar days or more of positive daily cash balances. Further, the Finance Agency indicated that it would consider a FHLBank to have adequate liquidity to address funding gap risks if, on and after December 31, 2018, the FHLBank maintained a funding gap ratio of negative 15 percent or better for the three-month time horizon and negative 30 percent or better for the one-year time horizon. As a result of the deterioration in financial market conditions that occurred due to the COVID-19 outbreak, the Finance Agency temporarily revised its guidance with respect to base case liquidity and funding gaps. On March 3, 2020, the Finance Agency indicated that the FHLBanks should maintain no less than 10 calendar days of positive daily cash balances through April 30, 2020 and that the FHLBanks should then return to 20 calendar days or more of positive daily cash balances by September 30, 2020. On March 12, 2020, the Finance Agency increased (through July 30, 2020) the funding gap ratios for the three-month and one-year time horizons to negative 25 percent or better and negative 40 percent or better, respectively. By September 30, 2020, the funding gap ratios for the three-month and one-year time horizons were not to exceed negative 20 percent and negative 35 percent, respectively. By December 31, 2020, the funding gap ratios were not to exceed the limits that were in place prior to the COVID-19 outbreak.

On May 26, 2020, the Finance Agency modified the guidance set forth in the immediately preceding paragraph. Pursuant to this most recent communication, the Finance Agency considered a FHLBank to have adequate reserves of liquid assets if, from August 31, 2020 through December 30, 2020, it maintained 15 calendar days of positive daily cash balances, and the Finance Agency considers a FHLBank to have adequate reserves of liquid assets if, on and after December 31, 2020, it maintains 20 calendar days of positive daily cash balances. Further, the Finance Agency considers a FHLBank to have adequate liquidity to address funding gap risks if, on and after December 31, 2020, its funding gap ratios for the three-month and one-year time horizons do not exceed negative 20 percent and negative 35 percent, respectively.

The Bank has at all times been in compliance with the applicable liquidity requirements described above.

The Bank’s access to the capital markets has never been interrupted to an extent that the Bank’s ability to meet its obligations was compromised and the Bank does not currently believe that its ability to issue consolidated obligations will be impeded to that extent in the future. If, however, the Bank were unable to issue consolidated obligations for an extended period of time, the

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Bank would eventually exhaust the availability of purchased federal funds (including borrowings from other FHLBanks) and repurchase agreements as sources of funds. It is also possible that an event (such as a natural disaster or a pandemic like COVID-19) that might impede the Bank’s ability to raise funds by issuing consolidated obligations would also limit the Bank’s ability to access the markets for federal funds purchased and/or repurchase agreements.

Under those circumstances, to the extent that the balance of principal and interest that came due on the Bank’s debt obligations and the funds needed to pay its operating expenses exceeded the cash inflows from its interest-earning assets and proceeds from maturing assets, and if access to the market for consolidated obligations was not again available, the Bank would seek to access funding under the Contingency Agreement to repay any principal and interest due on its consolidated obligations. However, if the Bank were unable to raise funds by issuing consolidated obligations, it is likely that the other FHLBanks would have similar difficulties issuing debt. If funds were not available under the Contingency Agreement, the Bank’s ability to conduct its operations would be compromised even earlier than if this funding source was available.

Risk-Based Capital Rules and Other Capital Requirements

The Bank is required to maintain at all times permanent capital in an amount at least equal to its risk-based capital requirement, which is the sum of its credit risk capital requirement, its market risk capital requirement, and its operations risk capital requirement, as further described below. Permanent capital is defined under the Finance Agency’s rules as retained earnings and amounts paid in for Class B Stock (which, for the Bank, includes both Class B-1 Stock and Class B-2 Stock), regardless of its classification as equity or liabilities for financial reporting purposes, as further described above in the section entitled “Financial Condition – Capital Stock.” For reasons of safety and soundness, the Finance Agency may require the Bank, or any other FHLBank, to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined.

The Bank’s credit risk capital requirement is determined by adding together the credit risk capital charges for advances, investments, mortgage loans, derivatives, other assets and off-balance-sheet commitment positions (e.g., outstanding letters of credit and commitments to fund advances). Among other things, these charges are computed based upon the credit risk percentages assigned to each item as required by Finance Agency rules, taking into account the time to maturity and credit ratings of certain of the items. These percentages are applied to the book value of assets or, in the case of off-balance-sheet commitments, to their balance sheet equivalents.

The Bank’s market risk capital requirement is determined by estimating the potential loss in market value of equity under a wide variety of market conditions. Simulations of over 280 historical market interest rate scenarios dating back to January 1998 (using changes in interest rates and volatilities over each six-month period since that date) are generated and, under each scenario, the hypothetical impact on the Bank’s current market value of equity is determined. The hypothetical impact associated with each historical scenario is calculated by simulating the effect of each set of rate and volatility conditions upon the Bank’s current risk position, each of which reflects actual assets, liabilities, derivatives and off-balance-sheet commitment positions as of the measurement date. From the complete set of resulting simulated scenarios, the average of the five scenarios resulting in the worst estimated deteriorations in market value of equity is identified as the market risk component of the Bank’s regulatory risk-based capital requirement which, in conjunction with the credit risk and operations risk components, determines the Bank’s overall risk-based capital requirement.

The Bank’s operations risk capital requirement is equal to 30 percent of the sum of its credit risk capital requirement and its market risk capital requirement.

At December 31, 2021, the Bank’s credit risk, market risk and operations risk capital requirements were $220 million, $363 million and $175 million, respectively. These requirements were $200 million, $574 million and $232 million, respectively, at December 31, 2020.

In addition to the risk-based capital requirement, the Bank is subject to three other capital requirements. First, the Bank must, at all times, maintain a minimum total capital-to-assets ratio of 4.0 percent. For this purpose, total capital is defined by Finance Agency rules and regulations as the Bank’s permanent capital and the amount of any general allowance for losses (i.e., those reserves that are not held against specific assets). Second, the Bank is required to maintain at all times a minimum leverage capital-to-assets ratio in an amount at least equal to 5.0 percent of its total assets. In applying this requirement to the Bank, leverage capital includes the Bank’s permanent capital multiplied by a factor of 1.5 plus the amount of any general allowance for losses. The Bank did not have any general reserves at December 31, 2021 or December 31, 2020. Under the regulatory definitions, total capital and permanent capital exclude accumulated other comprehensive income (loss). Third, beginning in February 2020, the Bank is required to maintain a capital stock-to-assets ratio of at least 2.0 percent, as measured on a daily average basis at each month end. The Bank is required to submit monthly capital compliance reports to the Finance Agency. At all times during the years ended December 31, 2021 and 2020, the Bank was in compliance with all of its regulatory capital requirements. For a summary of the Bank’s compliance with the Finance Agency’s capital requirements as of December 31, 2021 and 2020, see the audited financial statements included in this report (specifically, Note 15 beginning on page F-40).

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A final regulation adopted by the Finance Agency in 2009 (the "Capital Classification Regulation") establishes criteria for four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized and critically undercapitalized. An adequately capitalized FHLBank meets all existing risk-based and minimum capital requirements. An undercapitalized FHLBank does not meet one or more of its risk-based or minimum capital requirements, but nevertheless has total capital equal to or greater than 75 percent of all capital requirements. A significantly undercapitalized FHLBank does not have total capital equal to or greater than 75 percent of all capital requirements, but the FHLBank does have total capital greater than 2 percent of its total assets. A critically undercapitalized FHLBank has total capital that is less than or equal to 2 percent of its total assets.

The Director of the Finance Agency determines each FHLBank’s capital classification no less often than once a quarter; the Director may make a determination more often than quarterly. The Director may reclassify a FHLBank one category below the otherwise applicable capital classification (e.g., from adequately capitalized to undercapitalized) if the Director determines that (i) the FHLBank is engaging in conduct that could result in the rapid depletion of permanent or total capital, (ii) the value of collateral pledged to the FHLBank has decreased significantly, (iii) the value of property subject to mortgages owned by the FHLBank has decreased significantly, (iv) after notice to the FHLBank and opportunity for an informal hearing before the Director, the FHLBank is in an unsafe and unsound condition, or (v) the FHLBank is engaging in an unsafe and unsound practice because the FHLBank’s asset quality, management, earnings or liquidity were found to be less than satisfactory during the most recent examination, and any deficiency has not been corrected. Before classifying or reclassifying a FHLBank, the Director must notify the FHLBank in writing and give the FHLBank an opportunity to submit information relative to the proposed classification or reclassification. Since the adoption of the Capital Classification Regulation, the Bank has been classified as adequately capitalized for each quarterly period for which the Director has made a final determination.

In addition to restrictions on capital distributions by a FHLBank that does not meet all of its risk-based and minimum capital requirements, a FHLBank that is classified as undercapitalized, significantly undercapitalized or critically undercapitalized is required to take certain actions, such as submitting a capital restoration plan to the Director of the Finance Agency for approval. Additionally, with respect to a FHLBank that is less than adequately capitalized, the Director of the Finance Agency may take other actions that he or she determines will help ensure the safe and sound operation of the FHLBank and its compliance with its risk-based and minimum capital requirements in a reasonable period of time.

The Director may appoint the Finance Agency as conservator or receiver for any FHLBank that is classified as critically undercapitalized. The Director may also appoint the Finance Agency as conservator or receiver of any FHLBank that is classified as undercapitalized or significantly undercapitalized if the FHLBank fails to submit a capital restoration plan acceptable to the Director within the time frames established by the Capital Classification Regulation or materially fails to implement any capital restoration plan that has been approved by the Director. At least once in each 30-day period following classification of a FHLBank as critically undercapitalized, the Director must determine whether during the prior 60 days the FHLBank had assets less than its obligations to its creditors and others or if the FHLBank was not paying its debts on a regular basis as such debts became due. If either of these conditions apply, then the Director must appoint the Finance Agency as receiver for the FHLBank.

A FHLBank for which the Director appoints the Finance Agency as conservator or receiver may bring an action in the United States District Court for the judicial district in which the FHLBank is located or in the United States District Court for the District of Columbia for an order requiring the Finance Agency to remove itself as conservator or receiver. A FHLBank that is not critically undercapitalized may also seek judicial review of any final capital classification decision or of any final decision to take supervisory action made by the Director under the Capital Classification Regulation.

Critical Accounting Policies and Estimates

The preparation of financial statements in accordance with U.S. GAAP requires management to make a number of judgments, estimates and assumptions that affect the reported amounts of assets, liabilities, income and expenses. To understand the Bank’s financial position and results of operations, it is important to understand the Bank’s most significant accounting policies and the extent to which management uses judgment and estimates in applying those policies. The Bank’s critical accounting policies and estimates involve derivatives and hedging activities and the estimation of fair values.

The Bank considers these policies to be critical because they require management’s most difficult, subjective and complex judgments about matters that are inherently uncertain. Management bases its judgments and estimates on current market conditions and industry practices, historical experience, changes in the business environment and other factors that it believes to be reasonable under the circumstances. Actual results could differ materially from these estimates under different assumptions and/or conditions. For additional discussion regarding the application of these and other accounting policies, see Note 1 to the Bank’s audited financial statements included in this report.

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Derivatives and Hedging Activities

The Bank enters into interest rate swap, swaption, cap and, on occasion, floor agreements to manage its exposure to changes in interest rates. Through the use of these derivatives, the Bank may adjust the effective maturity, repricing index and/or frequency or option characteristics of financial instruments to achieve its risk management objectives. By regulation, the Bank may only use derivatives to mitigate identifiable risks. Accordingly, all of the Bank’s derivatives are positioned to offset interest rate risk exposures inherent in its investment, funding and member lending activities.

U.S. GAAP requires that all derivatives be recorded on the statement of condition at their fair value. Changes in the fair value of all derivatives, excluding those designated as cash flow hedges (discussed below), are recorded each period in current earnings. Under U.S. GAAP, the Bank is required to recognize unrealized gains and losses on derivative positions whether or not the transaction qualifies for fair value hedge accounting, in which case offsetting losses or gains on the hedged assets or liabilities may also be recognized. Therefore, to the extent certain derivative instruments do not qualify for fair value hedge accounting under U.S. GAAP, or changes in the fair values of derivatives are not exactly offset by changes in their hedged items, the accounting framework imposed by U.S. GAAP introduces the potential for a considerable mismatch between the timing of income and expense recognition for assets or liabilities being hedged and their associated hedging instruments. As a result, during periods of significant changes in market prices and interest rates, the Bank’s earnings may exhibit considerable volatility.

The judgments and assumptions that are most critical to the application of this accounting policy are those affecting whether a hedging relationship qualifies for fair value hedge accounting and, if so, whether an assumption of "no ineffectiveness" can be made. In addition, the estimation of fair values (discussed below) has a significant impact on the actual results being reported.

At the inception of each fair value hedge transaction, the Bank formally documents the hedge relationship and its risk management objective and strategy for undertaking the hedge, including identification of the hedging instrument, the hedged item, the nature of the risk being hedged, and how the hedging instrument’s effectiveness in offsetting the exposure to changes in the hedged item’s fair value attributable to the hedged risk will be assessed. In all cases involving a recognized asset, liability or firm commitment, the designated risk being hedged is the risk of changes in its fair value attributable to changes in a designated benchmark interest rate. Therefore, for this purpose, changes in the fair value of the hedged item (e.g., an advance, investment security or consolidated obligation) reflect only those changes in value that are attributable to changes in the designated benchmark interest rate (hereinafter referred to as “changes in the benchmark fair value”).

For hedging relationships that are designated as fair value hedges and qualify for hedge accounting, the change in the benchmark fair value of the hedged item is recorded in earnings, thereby providing some offset to the change in fair value of the associated derivative. The difference in the change in fair value of the derivative and the change in the benchmark fair value of the hedged item represents “hedge ineffectiveness.” If a fair value hedging relationship qualifies for the shortcut method of accounting, the Bank can assume that the change in the benchmark fair value of the hedged item is equal and offsetting to the change in the fair value of the derivative and, as a result, no ineffectiveness is recorded in earnings. However, U.S. GAAP limits the use of the shortcut method to hedging relationships of interest rate risk involving a recognized interest-bearing asset or liability and an interest rate swap, and then only if nine specific conditions are met.

If the fair value hedging relationship qualifies for hedge accounting but does not meet all nine conditions specified in U.S. GAAP, the assumption of "no ineffectiveness" cannot be made and the long-haul method of accounting is used. Under the long-haul method, the change in the benchmark fair value of the hedged item is calculated independently from the change in fair value of the derivative. As a result, the net effect is that the hedge ineffectiveness has an impact on earnings.

In all cases where the Bank is applying fair value hedge accounting, it is hedging interest rate risk through the use of interest rate swaps, swaptions or caps. For those interest rate swaps, swaptions and caps that are in fair value hedging relationships that do not qualify for the shortcut method of accounting, the Bank uses regression analysis to assess hedge effectiveness. Effectiveness testing is performed at the inception of each hedging relationship to determine whether the hedge is expected to be highly effective in offsetting the identified risk, and at each month-end thereafter to ensure that the hedge relationship has been effective historically and to determine whether the hedge is expected to be highly effective in the future. Hedging relationships accounted for under the shortcut method are not tested for hedge effectiveness.

A fair value hedge relationship is considered effective only if certain specified criteria are met. If a hedge fails the effectiveness test at inception, the Bank does not apply hedge accounting. If the hedge fails the effectiveness test during the life of the transaction, the Bank discontinues hedge accounting prospectively. In that case, the Bank continues to carry the derivative on its statement of condition at fair value, recognizes the changes in fair value of that derivative in current earnings, ceases to adjust the hedged item for changes in its benchmark fair value and amortizes the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term. Unless and until the derivative is redesignated in a qualifying fair value hedging relationship for accounting purposes, changes in its fair value are recorded in current earnings without an offsetting change in the benchmark fair value from a hedged item.

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Changes in the fair value of derivative positions that do not qualify for hedge accounting (economic hedges) are recorded in current earnings without an offsetting change in the benchmark fair value of the hedged item.

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to earnings.

As of December 31, 2021, the Bank’s derivatives portfolio included $9.3 billion (notional amount) that was accounted for using the shortcut method, $39.0 billion (notional amount) that was accounted for using the long-haul method, $1.1 billion (notional amount) that was designated in cash flow hedging relationships and $3.7 billion (notional amount) that did not qualify for hedge accounting. By comparison, at December 31, 2020, the Bank’s derivatives portfolio included $12.3 billion (notional amount) that was accounted for using the shortcut method, $20.6 billion (notional amount) that was accounted for using the long-haul method, $1.1 billion (notional amount) that was designated in cash flow hedging relationships and $5.0 billion (notional amount) that did not qualify for hedge accounting.

Estimation of Fair Values

The Bank’s derivatives, investments classified as available-for-sale and trading, and mutual fund investments included in other assets are presented in the statements of condition at fair value. Fair value is defined under U.S. GAAP 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. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. The fair values of the Bank’s mutual fund investments included in other assets were determined using Level 1 inputs.

Level 2 Inputs — Inputs other than quoted prices included in Level 1 that are observable 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 (e.g., implied spreads). Level 2 inputs were used to determine the estimated fair values of the Bank’s derivative contracts, U.S. Treasury obligations classified as trading securities and investment securities classified as available-for-sale.

Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs.

The fair values of the Bank’s assets and liabilities that are carried at fair value are estimated based upon quoted market prices when available. However, some of these instruments lack an available trading market characterized by frequent transactions between a willing buyer and willing seller engaging in an exchange transaction (e.g., derivatives). In these cases, such values are generally estimated using a pricing model and inputs that are observable for the asset or liability, either directly or indirectly. For its derivatives, the Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure such fair values are reasonable. The assumptions and inputs used have a significant effect on the reported carrying values of assets and liabilities and the related income and expense. The use of different assumptions/inputs could result in materially different net income and reported carrying values.

In addition to those items that are carried at fair value, the Bank estimates fair values for its other financial instruments for disclosure purposes and, in applying hedge accounting, it calculates the periodic changes in the fair values of hedged items (e.g., certain advances, available-for-sale securities and consolidated obligations) that are attributable solely to changes in a designated benchmark interest rate ("the benchmark fair values") and the periodic changes in the fair values of hypothetical derivatives associated with cash flow hedges. For most of these instruments (other than substantially all of its held-to-maturity securities and its callable consolidated obligation bonds, as described below), such values are estimated using a pricing model that employs discounted cash flows or other similar pricing techniques. Significant inputs to the pricing model (e.g., yield curves and volatilities) are based on current observable market data. To the extent this model is used to calculate changes in the benchmark fair values of hedged items, the inputs have a significant effect on the reported carrying values of assets and

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liabilities and the related income and expense; the use of different inputs could result in materially different net income and reported carrying values.

Consistent with market practice, the Bank uses either the OIS curve (for derivatives transacted with bilateral counterparties) or the SOFR curve (for cleared derivatives), rather than the LIBOR swap curve, to discount the cash flows on its interest rate exchange agreements for valuation purposes. Depending upon the spreads between LIBOR and SOFR or between LIBOR and OIS, the use of the SOFR curve or the OIS curve, as the case may be, to value the Bank's interest rate exchange agreements and the LIBOR swap curve (plus or minus a constant spread) to derive the benchmark fair values of the Bank's hedged items (for which LIBOR is the designated benchmark interest rate) can result in increased fair value hedge ineffectiveness on long-haul hedging relationships. In addition, while not likely, this valuation methodology has the potential to lead to the loss of hedge accounting for some of these hedging relationships. Either of these outcomes could result in increased earnings volatility, which could potentially be material.

To value its holdings of U.S. Treasury obligations classified as trading securities, all of its available-for-sale securities, substantially all of its held-to-maturity securities and its callable consolidated obligation bonds, the Bank obtains prices from three designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. Recently, the Bank conducted reviews of the three pricing vendors to reconfirm its understanding of the vendors' pricing processes, methodologies and control procedures and was satisfied that those processes, methodologies and control procedures were adequate and appropriate.

A “median” price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. 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. All 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 final 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.

The Bank’s pricing model is subject to an external validation every three years. In those years when an external validation is not performed, the pricing model is subject to an annual review. The Bank periodically reviews and refines, as appropriate, its assumptions and valuation methodologies to reflect market indications as closely as possible. The Bank believes it has the appropriate personnel, technology, and policies and procedures in place to enable it to value its financial instruments in a reasonable and consistent manner.

The Bank’s fair value measurement methodologies for its financial instruments that are measured at fair value on the statement of condition are more fully described in the audited financial statements accompanying this report (specifically, Note 17 beginning on page F-51).

Recently Issued Accounting Guidance

For a discussion of recently issued accounting guidance, see the audited financial statements accompanying this report (specifically, Note 2 beginning on page F-17).

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ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Overview

As a financial intermediary, the Bank is subject to interest rate risk. Changes in the level of interest rates, the slope of the interest rate yield curve, and/or the relationships (or spreads) between interest yields for different instruments have an impact on the Bank’s estimated market value of equity and its net earnings. This risk arises from a variety of instruments that the Bank enters into on a regular basis in the normal course of its business.

The terms of member advances, investment securities and consolidated obligations may present interest rate risk and/or embedded option risk. As discussed in Management’s Discussion and Analysis of Financial Condition and Results of Operations, the Bank makes extensive use of interest rate derivative instruments, primarily interest rate swaps, swaptions and caps, to manage the risk arising from these sources.

The Bank has investments in residential mortgage-related assets, primarily CMOs and MPF mortgage loans, both of which present prepayment risk. This risk arises from the mortgagors’ option to prepay their mortgages, making the effective maturities of these mortgage-based assets relatively more sensitive to changes in interest rates and other factors that affect the mortgagors’ decisions to repay their mortgages as compared to other long-term investment securities that do not have prepayment features. A decline in interest rates generally accelerates mortgage refinancing activity, thus increasing prepayments and thereby shortening the effective maturity of the mortgage-related assets. Conversely, rising rates generally slow prepayment activity and lengthen a mortgage-related asset’s effective maturity.

The Bank has managed the potential prepayment risk embedded in mortgage assets by purchasing securities that maintain their original principal balance for a fixed number of years, by purchasing highly structured tranches of mortgage securities that substantially limit the effects of prepayment risk, by issuing a combination of callable and non-callable debt with varying maturities, and/or by using interest rate derivative instruments to offset prepayment risk specific both to particular securities and to the overall mortgage portfolio.

The Bank uses a variety of risk measurements to monitor its interest rate risk. The Bank has made a substantial investment in sophisticated financial modeling systems to measure and analyze interest rate risk. These systems enable the Bank to routinely and regularly measure interest rate risk metrics, including the sensitivity of its market value of equity and income under a variety of interest rate scenarios. Management regularly monitors the information derived from these models and provides the Bank’s Board of Directors with risk measurement reports. The Bank uses these periodic assessments, in combination with its evaluation of the factors influencing the results, when developing its funding and hedging strategies.

The Bank’s Enterprise Market Risk Management Policy provides a risk management framework for the financial management of the Bank consistent with the strategic principles outlined in its Strategic Business Plan. The Bank develops its funding and hedging strategies to manage its interest rate risk within the risk limits established in its Enterprise Market Risk Management Policy.

Business Objectives

The Bank serves as a financial intermediary between the capital markets and its members. In its most basic form, this intermediation process involves raising funds by issuing consolidated obligations in the capital markets and lending the proceeds to member institutions at slightly higher rates. The interest spread between the cost of the Bank’s liabilities and the yield on its assets, combined with the earnings on its invested capital, are the Bank’s primary sources of earnings. The Bank’s primary asset liability management goal is to manage its assets and liabilities in such a way that its current and projected net interest spread (excluding fair value hedge ineffectiveness) is consistent across a wide range of interest rate environments, although the Bank may occasionally take actions that are not necessarily consistent with this objective for short periods of time in response to unusual market conditions.

The objective of maintaining a stable interest spread is complicated under normal conditions by the fact that the intermediation process outlined above cannot be executed for all of the Bank’s assets and liabilities on an individual basis. In the course of a typical business day, the Bank continuously offers a wide range of fixed and floating rate advances with maturities ranging from overnight to 40 years that members can borrow in amounts that meet their specific funding needs at any given point in time. At the same time, the Bank issues consolidated obligations to investors who have their own set of investment objectives and preferences for the terms and maturities of securities that they are willing to purchase.

Because it is not possible to consistently issue debt simultaneously with the issuance of an advance to a member in the same amount and with the same terms as the advance, or to predict what types of advances members might want or what types of consolidated obligations investors might be willing to buy on any particular day, the Bank must have a ready supply of funds on hand at all times to meet member advance demand.

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In order to have a ready supply of funds, the Bank typically issues debt as opportunities arise in the market, and makes the proceeds of those debt issuances (some of which bear fixed interest rates and have relatively long maturities) available for members to borrow in the form of advances. Holding fixed-rate liabilities in anticipation of member borrowing subjects the Bank to interest rate risk, and there is no assurance in any event that members will borrow from the Bank in quantities or maturities that will match these warehoused liabilities. Therefore, in order to intermediate the mismatches between advances with certain terms and features, and consolidated obligations with a different set of terms and features, the Bank typically converts both longer maturity assets and longer maturity liabilities to a floating rate index, and attempts to manage the interest spread between the pools of floating-rate assets and liabilities. Prior to June 30, 2020, LIBOR was the index that was used most often for this purpose. Since that date, the Bank has typically used SOFR when converting longer-maturity assets and liabilities to a floating rate index.

This process of intermediating the timing, structure, and amount of Bank members’ credit needs with the investment requirements of the Bank’s creditors is made possible by the extensive use of interest rate exchange agreements. The Bank’s general practice has been, as often as practical, to contemporaneously execute interest rate exchange agreements when acquiring longer maturity fixed-rate assets and/or issuing longer maturity fixed-rate liabilities in order to convert the cash flows to floating rates. Doing so reduces the Bank’s interest rate risk exposure, which allows it to preserve the value of, and earn more stable returns on, members’ capital investment.

However, in the normal course of business, the Bank also acquires (or has acquired) assets whose structural characteristics and/or size reduce the Bank’s ability to enter into interest rate exchange agreements having mirror image terms. These assets include small fixed-rate, fixed-term advances; small fixed-schedule amortizing advances; and floating-rate mortgage-related securities with embedded caps. These assets require the Bank to employ risk management strategies in which the Bank hedges against aggregated risks. The Bank may use fixed-rate, callable or non-callable debt or interest rate exchange agreements, such as fixed-for-floating interest rate swaps or interest rate caps, to manage these aggregated risks.

With the expected cessation of one-month and three-month LIBOR in mid-2023, the Bank no longer enters into LIBOR-indexed derivatives and has instead been using (since mid-2020) derivatives that are indexed to either SOFR or OIS in an effort to accomplish this business objective. As of December 31, 2021, the Bank had derivatives indexed to LIBOR, SOFR and OIS totaling $30.2 billion, $17.7 billion and $5.1 billion, respectively, as compared to $37.6 billion, $0.3 billion and $1.1 billion, respectively, at December 31, 2020.

Interest Rate Risk Measurement

As discussed above, the Bank measures its market risk regularly and generally manages its market risk within its Enterprise Market Risk Management Policy limits on estimated market value of equity losses under 200 basis point interest rate shock scenarios. The Enterprise Market Risk Management Policy articulates the Bank’s tolerance for the amount of overall interest rate risk the Bank will assume by limiting the maximum estimated loss in market value of equity that the Bank would incur under simulated 200 basis point changes in interest rates to 15 percent of the estimated base case market value. The Bank was in compliance with this limit at each month-end during the period from December 2020 through December 2021.

As part of its ongoing risk management process, the Bank calculates an estimated market value of equity for a base case interest rate scenario and for interest rate scenarios that reflect parallel interest rate shocks. The base case market value of equity is calculated by determining the estimated fair value of each instrument on the Bank’s balance sheet, and subtracting the estimated aggregate fair value of the Bank’s liabilities from the estimated aggregate fair value of the Bank’s assets. For purposes of these calculations, mandatorily redeemable capital stock is treated as equity rather than as a liability. The fair values of the Bank’s financial instruments (both assets and liabilities) are determined using either vendor prices or a pricing model. For those instruments for which a pricing model is used, the calculations are based upon parameters derived from market conditions existing at the time of measurement, and are generally determined by discounting estimated future cash flows at the replacement (or similar) rate for new instruments of the same type with the same or very similar characteristics. The market value of equity calculations include non-financial assets and liabilities, such as premises and equipment, other assets, payables for AHP, and other liabilities at their recorded carrying amounts.

For purposes of compliance with the Bank’s Enterprise Market Risk Management Policy limit on estimated losses in market value, market value of equity losses are defined as the estimated net sensitivity of the value of the Bank’s equity (the net value of its portfolio of assets, liabilities and interest rate derivatives) to 200 basis point parallel shifts in interest rates. In addition, the Bank routinely performs projections of its future earnings over a rolling horizon that includes the current year and the next four calendar years under a variety of interest rate and business environments.

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The following table provides the Bank’s estimated base case market value of equity and its estimated market value of equity under up and down 200 basis point interest rate shock scenarios (and, for comparative purposes, its estimated market value of equity under up and down 100 basis point interest rate shock scenarios) for each quarter-end during the period from December 2020 through December 2021. In addition, the table provides the percentage change in estimated market value of equity under each of these shock scenarios for the indicated periods.

MARKET VALUE OF EQUITY

(dollars in billions)

			Up 200 Basis Points (1)				Down 200 Basis Points(2)				Up 100 Basis Points(1)				Down 100 Basis Points(2)
	Base Case Market Value of Equity		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case		Estimated Market Value of Equity		Percentage Change from Base Case
December 2020	$	3.636	$	3.623	(0.36)	%	$	3.998	9.96	%	$	3.648	0.33	%	$	3.730	2.59	%
March 2021	3.843		3.678		(4.29)	%	4.005		4.22	%	3.770		(1.90)	%	3.916		1.90	%
June 2021	3.884		3.787		(2.50)	%	4.094		5.41	%	3.849		(0.90)	%	3.875		(0.23)	%
September 2021	3.944		3.830		(2.89)	%	4.122		4.51	%	3.899		(1.14)	%	3.949		0.13	%
December 2021	4.030		3.927		(2.56)	%	4.189		3.95	%	3.991		(0.97)	%	4.005		(0.62)	%

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(1)In the up 100 and 200 basis point scenarios, the estimated market value of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates.

(2)In the down 100 and 200 basis point scenarios, the estimated market value of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.01 percent.

A related measure of interest rate risk is duration of equity. Duration is the weighted average maturity (typically measured in months or years) of an instrument’s cash flows, weighted by the present value of those cash flows. As such, duration provides an estimate of an instrument’s sensitivity to small changes in market interest rates. The duration of assets is generally expressed as a positive figure, while the duration of liabilities is generally expressed as a negative number. The change in value of a specific instrument for given changes in interest rates will generally vary in inverse proportion to the instrument’s duration. As market interest rates decline, instruments with a positive duration are expected to increase in value, while instruments with a negative duration are expected to decrease in value. Conversely, as interest rates rise, instruments with a positive duration are expected to decline in value, while instruments with a negative duration are expected to increase in value.

The values of instruments having relatively longer (or higher) durations are more sensitive to a given interest rate movement than instruments having shorter durations; that is, risk increases as the absolute value of duration lengthens. For instance, the value of an instrument with a duration of three years will theoretically change by three percent for every one percentage point (100 basis point) change in interest rates, while the value of an instrument with a duration of five years will theoretically change by five percent for every one percentage point change in interest rates.

The duration of individual instruments may be easily combined to determine the duration of a portfolio of assets or liabilities by calculating a weighted average duration of the instruments in the portfolio. These combinations provide a single straightforward metric that describes the portfolio’s sensitivity to interest rate movements. These additive properties can be applied to the assets and liabilities on the Bank’s balance sheet. The difference between the combined durations of the Bank’s assets and the combined durations of its liabilities is sometimes referred to as duration gap and provides a measure of the relative interest rate sensitivities of the Bank’s assets and liabilities.

Duration gap is a useful measure of interest rate sensitivity but does not account for the effect of leverage, or the effect of the absolute duration of the Bank’s assets and liabilities, on the sensitivity of its estimated market value of equity to changes in interest rates. The inclusion of these factors results in a measure of the sensitivity of the value of the Bank’s equity to changes in market interest rates referred to as the duration of equity. Duration of equity is the market value weighted duration of assets minus the market value weighted duration of liabilities divided by the market value of equity.

The significance of an entity’s duration of equity is that it can be used to describe the sensitivity of the entity’s market value of equity to movements in interest rates. A duration of equity equal to zero would mean, within a narrow range of interest rate movements, that the Bank had neutralized the impact of changes in interest rates on the market value of its equity.

A positive duration of equity would mean, within a narrow range of interest rate movements, that for each one year of duration the estimated market value of the Bank’s equity would be expected to decline by about 0.01 percent for every positive 0.01 percent change in the level of interest rates. A positive duration generally indicates that the value of the Bank’s assets is more sensitive to changes in interest rates than the value of its liabilities (i.e., that the duration of its assets is greater than the duration of its liabilities).

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Conversely, a negative duration of equity would mean, within a narrow range of interest rate movements, that for each one year of negative duration the estimated market value of the Bank’s equity would be expected to increase by about 0.01 percent for every positive 0.01 percent change in the level of interest rates. A negative duration generally indicates that the value of the Bank’s liabilities is more sensitive to changes in interest rates than the value of its assets (i.e., that the duration of its liabilities is greater than the duration of its assets).

The following table provides information regarding the Bank’s base case duration of equity as well as its duration of equity in up and down 100 and 200 basis point interest rate shock scenarios for each quarter-end during the period from December 2020 through December 2021.

DURATION ANALYSIS

(expressed in years)

	Base Case Interest Rates				Duration of Equity
	Asset Duration	Liability Duration	Duration Gap	Duration of Equity	Up 100(1)	Up 200(1)	Down 100(2)	Down 200(2)
December 2020	0.30	(0.34)	(0.04)	(0.42)	0.02	1.41	(5.46)	(5.45)
March 2021	0.44	(0.36)	0.08	1.71	2.31	2.80	(1.43)	(1.01)
June 2021	0.34	(0.32)	0.02	0.56	1.54	1.88	(2.96)	(5.99)
September 2021	0.36	(0.33)	0.03	0.83	1.64	1.87	(1.98)	(4.55)
December 2021	0.35	(0.36)	(0.01)	0.20	1.53	1.55	(1.42)	(4.45)

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(1)In the up 100 and up 200 basis point scenarios, the duration of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates.

(2)In the down 100 and down 200 basis point scenarios, the duration of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates.

Interest Rate Risk Components

The Bank manages the interest rate risk of a significant percentage of its assets and liabilities on a transactional basis. Using interest rate exchange agreements, the Bank pays (in the case of an asset) or receives (in the case of a liability) a coupon that is identical or nearly identical to the balance sheet item, and receives or pays in return, respectively, a floating rate such as SOFR or one-month or three-month LIBOR. The combination of the interest rate exchange agreement with the balance sheet item has the effect of reducing the duration of the asset or liability to the term to maturity of the floating rate index.

In the normal course of business, the Bank also acquires assets whose structural characteristics and/or size limit the Bank’s ability to enter into interest rate exchange agreements having mirror image cash flows. These assets include fixed-rate, fixed-schedule, amortizing advances and mortgage-related assets. The Bank manages the interest rate risk of these assets by issuing non-callable liabilities, and by entering into interest rate exchange agreements that are not designated against specific assets or liabilities for accounting purposes (stand-alone or economic derivatives). These hedging transactions serve to preserve the value of the asset and minimize the impact of changes in interest rates on the spread between the asset and liability due to maturity mismatches.

In the normal course of business, the Bank may issue fixed-rate advances in relatively small sizes (e.g., $1.0 — $5.0 million) that are too small to efficiently hedge on an individual basis. These advances may require repayment of the entire principal at maturity or may have fixed amortization schedules that require repayment of portions of the original principal each month or at other specified intervals over their term. This activity tends to extend the Bank’s duration of equity over time. To monitor and hedge this risk, the Bank periodically evaluates the amount of its unhedged advances and may issue a corresponding amount of fixed-rate debt with similar maturities or enter into interest rate swaps to offset the interest rate risk created by the pool of fixed-rate assets.

In practice, management analyzes a variety of factors in order to assess the suitability of the Bank’s interest rate exposure within the established risk limits. These factors include current and projected market conditions, including possible changes in the level, shape, and volatility of the term structure of interest rates, possible changes to the composition of the Bank’s balance sheet, and possible changes in the delivery channels for the Bank’s assets, liabilities, and hedging instruments. Many of these same variables are also included in the Bank’s income modeling processes. While management considered the Bank’s interest rate risk profile to be appropriate given market conditions during 2021, the Bank may adjust its exposure to market interest rates based on the results of its analyses of the impact of these conditions on future earnings.

As noted above, the Bank typically manages interest rate risk on a transaction by transaction basis as much as possible. To the extent that the Bank finds it necessary or appropriate to modify its interest rate risk position, it would normally do so through

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one or more cash or interest rate derivative transactions, or a combination of both. For instance, if the Bank wished to shorten its duration of equity, it would typically do so by issuing additional fixed-rate debt with maturities that correspond to the maturities of specific assets or pools of assets that have not previously been hedged. This same result might also be implemented by executing one or more interest rate swaps to convert specific assets from a fixed rate to a variable rate of interest. A similar approach would be taken if the Bank determined it was appropriate to extend rather than shorten its duration.

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

The Bank’s annual audited financial statements for the years ended December 31, 2021, 2020 and 2019, together with the notes thereto and the report of PricewaterhouseCoopers LLP thereon, are included in this Annual Report on pages F-1 through F-58.

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

None

ITEM 9A. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

The Bank’s management, under the supervision and with the participation of its Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the effectiveness of the Bank’s disclosure controls and procedures (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)) as of the end of the period covered by this report. Based upon that evaluation, the Bank’s Chief Executive Officer and Chief Financial Officer concluded that, as of the end of the period covered by this report, the Bank’s disclosure controls and procedures were effective in: (1) recording, processing, summarizing and reporting information required to be disclosed by the Bank in the reports that it files or submits under the Exchange Act within the time periods specified in the SEC’s rules and forms and (2) ensuring that information required to be disclosed by the Bank in the reports that it files or submits under the Exchange Act is accumulated and communicated to the Bank’s management, including its Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosures.

Management’s Report on Internal Control over Financial Reporting

Management’s Report on Internal Control over Financial Reporting as of December 31, 2021 is included herein on page F-2. The Bank’s independent registered public accounting firm, PricewaterhouseCoopers LLP, has also issued a report regarding the effectiveness of the Bank’s internal control over financial reporting as of December 31, 2021, which is included herein on page F-3.

Changes in Internal Control over Financial Reporting

There were no changes in the Bank’s internal control over financial reporting (as such term is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) during the fiscal quarter ended December 31, 2021 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

ITEM 9B. OTHER INFORMATION

Not applicable.

PART III

ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

Directors

Pursuant to the HER Act, each FHLBank is governed by a board of directors of 13 persons or so many persons as the Director of the Finance Agency may determine. The HER Act divides directors of FHLBanks into two categories. The first category is comprised of “member” directors who are elected by the member institutions of each state in the FHLBank’s district to represent that state. The second category is comprised of “independent” directors who are nominated by a FHLBank’s board of directors, after consultation with its affordable housing Advisory Council, and elected by the FHLBank’s members at-large.

Pursuant to the HER Act and an implementing Finance Agency regulation, member directors must constitute a majority of the members of the board of directors of each FHLBank and independent directors must constitute at least 40 percent of the

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members of each board of directors. At least two of the independent directors must be public interest directors with more than four years’ experience representing consumer or community interests in banking services, credit needs, housing, or consumer financial protections. Annually, the Board of Directors of the Bank is required to determine how many of its independent directorships should be designated as public interest directorships, provided that the Bank at all times has at least two public interest directorships. By order of the Finance Agency on June 2, 2021, the Director of the Finance Agency designated that, for 2022, the Bank would have nine member directors and eight independent directors. With respect to the director elections that the Bank conducted during calendar year 2021, for terms beginning January 1, 2022, the order designated that one member director would be elected in Texas, one member director would be elected in Arkansas, one member director would be elected in Louisiana and two independent directors would be elected.

The term of office of each directorship is four years. Director terms commence on January 1 (except in instances where a vacancy is filled, as further discussed below) and end on December 31. Directors (both member and independent) cannot serve more than three consecutive full terms for which they have been elected by the Bank's members.

Member Directors

Each year the Finance Agency designates the number of member directorships for each state in the Bank’s district. The Finance Agency allocates the member directorships among the states in the Bank’s district as follows: (1) one member directorship is allocated to each state; (2) if the total number of member directorships allocated pursuant to clause (1) is less than eight, the Finance Agency allocates additional member directorships among the states using the method of equal proportions (which is the same equal proportions method used to apportion seats in the U.S. House of Representatives among states) until the total allocated for the Bank equals eight; (3) if the number of member directorships allocated to any state pursuant to clauses (1) and (2) is less than the number that was allocated to that state on December 31, 1960, the Finance Agency allocates such additional member directorships to that state until the total allocated to that state equals the number allocated to that state on December 31, 1960; and (4) after consultation with the Bank, the Finance Agency may approve additional discretionary member directorships. For 2022, the Finance Agency designated the Bank’s member directorships as follows: Arkansas – 1; Louisiana – 2 (the grandfather provision in clause (3) of the preceding sentence guarantees Louisiana two of the member directorships in the Bank’s district); Mississippi – 1; New Mexico – 1; and Texas – 4.

To be eligible to serve as a member director, a candidate must be: (1) a citizen of the United States and (2) an officer or director of a member institution that is located in the represented state and that meets all of the minimum capital requirements established by its federal or state regulator. For purposes of election of directors, a member is deemed to be located in the state in which a member’s principal place of business is located as of December 31 of the calendar year immediately preceding the election year (“Record Date”). In most cases, a member’s principal place of business is the state in which such member maintains its home office as established in conformity with the laws under which it is organized and from which the member conducts business operations; provided, however, a member may request in writing to the FHLBank in the district where such member maintains its home office that a state other than the state in which it maintains its home office be designated as its principal place of business. Within 90 calendar days of receipt of such written request, the board of directors of the FHLBank in the district where the member maintains its home office shall designate a state other than the state where the member maintains its home office as the member’s principal place of business, provided all of the following criteria are satisfied: (a) at least 80 percent of such member’s accounting books, records, and ledgers are maintained, located or held in such designated state; (b) a majority of meetings of such member’s board of directors and constituent committees are conducted in such designated state; and (c) a majority of such member’s five highest paid officers have their place of employment located in such designated state.

For an insurance company or CDFI member that cannot satisfy the requirements in the previous paragraph, the principal place of business is the location from which the member conducts the predominant portion of its business activities. A member will be deemed to conduct the predominant portion of its business activities in a particular state if any two of the following factors are present: (i) the member's largest office based on number of employees is located in the state; (ii) a plurality of the institution's employees are located in the state; or (iii) the places of employment for a plurality of the member's senior executives are located in the state. If an entity cannot identify a location from which it conducts the predominant portion of its business activities based on the factors enumerated in the previous sentence, the entity's state of domicile or incorporation shall be designated as its principal place of business.

Candidates for member directorships are nominated by members located in the state to be represented by that particular directorship. Member directors may be elected without a vote by members if the number of nominees from a state is equal to or less than the number of directorships to be filled from that state. In that case, the Bank will notify the members in the affected voting state in writing (in lieu of providing a ballot) that the directorships are to be filled without an election due to a lack of nominees.

For each member directorship that is to be filled in an election, each member institution that is located in the state to be represented by the directorship is entitled to cast one vote for each share of capital stock that the member was required to hold

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as of the Record Date; provided, however, that the number of votes that any member may cast for any one directorship cannot exceed the average number of shares of capital stock that are required to be held as of the Record Date by all members located in the state to be represented. The effect of limiting the number of shares that a member may vote to the average number of shares required to be held by all members in the member’s state is generally to equalize voting rights among members. Members required to hold the largest number of shares above the average generally have proportionately less voting power, and members required to hold a number of shares closer to or below such average have proportionately greater voting power than would be the case if each member were entitled to cast one vote for each share of stock it was required to hold. A member may not split its votes among multiple nominees for a single directorship, nor, where there are multiple directorships to be filled for a voting state, may it cumulatively vote for a single nominee. Any ballots cast in violation of these restrictions are void.

No shareholder meetings are held for the election of directors; the election process is conducted electronically using a third-party vendor experienced in administering secure, online elections. For members that choose to opt out of the electronic balloting process or that are unable for whatever reason to cast their votes electronically, the process is conducted by mail. The Bank’s Board of Directors does not solicit proxies, nor are member institutions permitted to solicit or use proxies to cast their votes in an election. Except as set forth in the next sentence, no director, officer, employee, attorney or agent of the Bank may (i) communicate in any manner that a director, officer, employee, attorney or agent of the Bank, directly or indirectly, supports or opposes the nomination or election of a particular individual for a member directorship or (ii) take any other action to influence the voting with respect to any particular individual. A Bank director, officer, employee, attorney or agent may, acting in his or her personal capacity, support the nomination or election of any individual for a member directorship, provided that no such individual may purport to represent the views of the Bank or its Board of Directors in doing so.

In the event of a vacancy in any member directorship, such vacancy is to be filled by an affirmative vote of a majority of the Bank’s remaining directors, regardless of whether such remaining directors constitute a quorum of the Bank’s Board of Directors. A member director so elected shall satisfy the requirements for eligibility that were applicable to his or her predecessor and will fill the unexpired term of office of the vacant directorship.

Independent Directors

Independent directors are nominated by the Bank’s Board of Directors after consultation with its affordable housing Advisory Council. Any individual who seeks to be an independent director of the Board of Directors of the Bank may deliver to the Bank, on or before the deadline set by the Bank, an executed independent director application form prescribed by the Finance Agency. Before announcing any independent director nominee, the Bank must deliver to the Finance Agency a copy of the independent director application forms executed by the individuals proposed to be nominated for independent directorships by the Board of Directors of the Bank. If within two weeks of such delivery the Finance Agency provides comments to the Bank on any independent director nominee, the Board of Directors of the Bank must consider the Finance Agency’s comments in determining whether to proceed with that nominee or to reopen the nomination process. If within the two-week period the Finance Agency offers no comment on a nominee, the Bank’s Board of Directors may proceed to nominate such nominee.

The Bank conducts elections for independent directorships in conjunction with elections for member directorships. Independent directors are elected by a plurality of the Bank’s members at-large; in other words, all eligible members in every state in the Bank’s district vote on the nominees for independent directorships. If the Bank’s Board of Directors nominates only one individual for each independent directorship, then, to be elected, each nominee must receive at least 20 percent of the number of votes eligible to be cast in the election. If any independent directorship is not filled through this initial election process, the Bank must conduct the election process again until a nominee receives at least 20 percent of the votes eligible to be cast in the election. If, however, the Bank’s Board of Directors nominates more persons for the type of independent directorship to be filled (either a public interest directorship or other independent directorship) than there are directorships of that type to be filled in the election, then the Bank will declare elected the nominee receiving the highest number of votes, without regard to whether the nominee received at least 20 percent of the number of votes eligible to be cast in the election. The same determinations and limitations that apply to the number of votes that any member may cast for a member directorship apply equally to the election of independent directors.

No shareholder meetings are held for the election of independent directors; the election process is conducted in the same manner as the election process for member directorships. The Bank’s Board of Directors does not solicit proxies, nor are member institutions permitted to solicit or use proxies to cast their votes in an election. A Bank director, officer, employee, attorney or agent and the Bank’s Board of Directors and affordable housing Advisory Council (including members of the Advisory Council) may support the candidacy of any individual nominated by the Board of Directors for election to an independent directorship, but may not otherwise (i) communicate in any manner that a director, officer, employee, attorney or agent of the Bank, directly or indirectly, supports or opposes the nomination or election of a particular individual for an independent directorship or (ii) take any other action to influence the voting with respect to any particular individual.

As determined by the Bank, at least two of the independent directors must be public interest directors with more than four years’ experience representing consumer or community interests in banking services, credit needs, housing, or consumer

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financial protections. The remainder of the independent directors must have demonstrated knowledge of or experience in one or more of the following areas: auditing and accounting; derivatives; financial management; organizational management; project development; risk management practices; or the law. The independent director’s knowledge of or experience in the above areas should be commensurate with that needed to oversee a financial institution with a size and complexity that is comparable to that of the Bank.

In the event of a vacancy in any independent directorship occurring other than by failure of a sole nominee for an independent directorship to receive votes equal to at least 20 percent of all eligible votes, such vacancy is to be filled by an affirmative vote of a majority of the Bank’s remaining directors, regardless of whether the remaining directors constitute a quorum of the Bank’s Board of Directors. An independent director so elected shall satisfy the requirements for eligibility that were applicable to his or her predecessor and will fill the unexpired term of office of the vacant directorship. If the Board of Directors of the Bank is electing an independent director to fill the unexpired term of office of a vacant directorship, the Bank must deliver to the Finance Agency for its review a copy of the independent director application form of each individual being considered by the Bank’s Board of Directors.

To be eligible to serve as an independent director, a person must be: (1) a citizen of the United States and (2) a resident in the Bank’s district. Additionally, an independent director is prohibited from serving as an officer of any FHLBank or as an officer, employee or director of any member of the Bank, or of any recipient of advances from the Bank, except that an independent director may serve as an officer, employee or director of a holding company that controls one or more members of, or recipients of advances from, the Bank if the assets of all such members or recipients of advances constitute less than 35 percent of the assets of the holding company, on a consolidated basis. For these purposes, any officer position, employee position or directorship of the director’s spouse is attributed to the director. An independent director must disclose to the Bank all officer, employee or director positions described above that the director or the director’s spouse holds.

Cheryl D. Alston, an independent director from Dallas, Texas, resigned effective July 13, 2021. On that date, certain subsidiaries of an insurance holding company for which Ms. Alston serves as a director became members of the Bank and, consequently, she no longer satisfied the eligibility requirements to serve as an independent director. Ms. Alston had served as an independent director of the Bank since January 2017. Effective December 14, 2021, the Bank's Board of Directors elected Rufus Cormier, Jr. to fill the independent directorship vacated by Ms. Alston.

The Board of Directors has designated Dianne W. Bolen and Felipe A. Rael as the Bank's public interest directors.

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2022 Directors

The following table sets forth certain information regarding each of the Bank’s directors (ages are as of March 23, 2022):

Name	Age	Director Since	Expiration of Term as Director	Board Committees
Robert M. Rigby, Chairman (Member)	75	2010	2023	(a)(b)(c)(d)(e)(f)(g)
Margo S. Scholin, Vice Chairman (Independent)	71	2007	2023	(a)(b)(c)(d)(e)(f)(g)
Dorsey L. Baskin, Jr. (Independent)	68	2020	2025	(a)(b)
Dianne W. Bolen (Independent)	73	2012	2022	(e)(f)(g)
Tim H. Carter (Member)	67	2013	2024	(b)(d)(e)(g)
Mary E. Ceverha (Independent)	77	2004	2022	(a)(b)(c)(g)
Albert C. Christman (Member)	70	2014	2025	(a)(d)(g)
Rufus Cormier, Jr. (Independent)	74	2021	2024	(a)(d)(f)
James D. Goudge (Member)	68	2014	2025	(a)(c)(e)
W. Wesley Hoskins (Member)	70	2013	2024	(d)(e)
Michael C. Hutsell (Member)	71	2014	2025	(b)(f)
A. Fred Miller, Jr. (Member)	72	2015	2022	(a)(c)(f)
Sally I. Nelson (Independent)	68	2014	2025	(b)(c)(d)
Stephen Panepinto (Member)	69	2021	2024	(e)(f)
Felipe A. Rael (Independent)	44	2020	2023	(a)(f)
John P. Salazar (Independent)	79	2010	2023	(c)(d)(e)(g)
Ron G. Wiser (Member)	65	2010	2022	(a)(b)(c)(g)

_______________________________________

(a)Member of Risk Management Committee

(b)Member of Audit Committee

(c)Member of Compensation and Human Resources Committee

(d)Member of Strategic Planning, Operations and Technology Committee

(e)Member of Government and External Affairs Committee

(f)Member of Affordable Housing and Economic Development Committee

(g)Member of Executive and Governance Committee

Robert M. Rigby is Chairman of the Board of Directors of the Bank and has served in that capacity since January 1, 2021. He served as Vice Chairman of the Board of Directors of the Bank from January 1, 2015 through December 31, 2020. Mr. Rigby serves as East Regional President, Executive Vice President for Legend Bank (a member of the Bank) and has served in that capacity since December 1, 2017. Located in Fort Worth, Texas, he has responsibility for Tarrant County and surrounding areas. Since June 2018, Mr. Rigby has also served as an advisory director for Legend Bank. From August 2008 through November 30, 2017, he served as an advisory director and Market President for Liberty Bank in North Richland Hills, Texas (a member of the Bank). From 1998 to August 2008, Mr. Rigby served as a director, President and Chief Executive Officer of Liberty Bank. Prior to joining Liberty Bank, Mr. Rigby served as a director and Executive Vice President of First National Bank of Weatherford from 1980 to 1998. He previously served as an advisory director for the Texas Tech University School of Banking and is a former vice chairman of the North Richland Hills Economic Development Advisory Committee. He previously served on the BankPac Committee of the American Bankers Association ("ABA") and he is a past chairman of the Texas Bankers Association. Further, Mr. Rigby previously served on the Weatherford College Board of Trustees, the board of directors of the Birdville ISD Education Foundation and as an advisory director for the North Texas Special Needs Assistance Partners. He is also a past chairman of the Northeast Tarrant Chamber of Commerce. Mr. Rigby currently serves on the Council of Federal Home Loan Banks and is a member of the Chair and Vice Chair Committee of the Council of Federal Home Loan Banks. He also serves as Chairman of the Executive and Governance Committee of the Bank’s Board of Directors.

Margo S. Scholin is Vice Chairman of the Board of Directors of the Bank and has served in that capacity since January 1, 2021. Ms. Scholin is a retired partner of the law firm of Baker Botts L.L.P. in Houston, Texas. As a member of the law firm’s Corporate Section, she specialized in corporate and securities law, including securities law reporting, corporate transactions and governance, corporate finance and the issuance of debt and equity securities. Ms. Scholin joined Baker Botts L.L.P. in 1983 and was a partner from 1991 until her retirement in December 2010. From 1997 to 2004, she served as chair of the Regulatory

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Committee of the Texas State Board of Health. Ms. Scholin is a past chairman of the board of directors of the Houston Area Women’s Center, a non-profit agency serving victims of domestic violence and sexual abuse and has served on numerous other non-profit boards. She currently serves on the Council of Federal Home Loan Banks and is a member of the Chair and Vice Chair Committee of the Council of Federal Home Loan Banks. Ms. Scholin also serves as Vice Chairman of the Executive and Governance Committee of the Bank’s Board of Directors.

Dorsey L. Baskin, Jr. is a retired partner of Grant Thornton LLP. Mr. Baskin joined Grant Thornton in 2002 as an audit partner and served in that capacity until his retirement in 2016. From 2002 to 2011, he also served as one of the firm's five National Professional Practice Directors. Further, from 2011 until his retirement in 2016, Mr. Baskin served as the firm’s National Assurance Innovation Managing Partner. Prior to joining Grant Thornton, Mr. Baskin spent 25 years with Arthur Andersen LLP. He joined Arthur Andersen’s audit practice in 1977 and served as a partner from 1989 to 2002. In addition, Mr. Baskin served as a member of Arthur Andersen’s Accounting Principles Group from 1987 to 1989, as National Technical Director and Regulatory Liaison for the Banking Industry Audit Practice from 1989 to 1999, and as Managing Director of the Global Assurance Professional Standards Group from 1999 to 2002. Beginning early in his career, Mr. Baskin specialized in the financial services industry. Over the course of his 39-year career in public accounting, he served on numerous task forces and committees in support of the accounting profession, was a frequent speaker on technical accounting and auditing topics, and authored numerous papers and articles on such topics. Since his retirement, Mr. Baskin has worked as an independent consultant and has from time to time served as an accounting expert witness. He is a former board member and past chairman of the Dallas Summer Musicals, a non-profit theater presenter. Mr. Baskin is a Certified Public Accountant.

Dianne W. Bolen served as Executive Director of the Mississippi Home Corporation in Jackson, Mississippi from 1997 until her retirement on December 31, 2014. The Mississippi Home Corporation is a state housing finance agency that provides rental and homeownership programs to persons of low to moderate income. Ms. Bolen joined the Mississippi Home Corporation in 1990. From 1990 to 1992, she served as Finance Director and from 1992 to 1997, she served as Deputy Executive Director. Ms. Bolen also served as Assistant Secretary Treasurer from 1990 until June 2014. From April 2015 to April 2017, she served as a consultant to the Mississippi Home Corporation. Ms. Bolen previously served on the board of directors of the National Council of State Housing Agencies ("NCSHA") and, until December 31, 2014, she co-chaired the NCSHA's Municipal Disclosure Task Force. Prior to her retirement, Ms. Bolen also served as a member of the National Mortgage Bankers Association and the Affordable Housing Tax Credit Coalition. She currently serves as Chairman of the Affordable Housing and Economic Development Committee of the Bank’s Board of Directors. Ms. Bolen previously served on the Bank's affordable housing Advisory Council from 1998 through 1999 and from 2007 through 2009.

Based in Fort Worth, Texas, Tim H. Carter serves as a director of Southside Bank (a member of the Bank headquartered in Tyler, Texas) and has served in that capacity since December 17, 2014. From October 1, 2017 through December 31, 2020, Mr. Carter served as Executive Vice President and Development Officer of Southside Bank. From December 17, 2014 through September 30, 2017, he served as President, North Texas Region for Southside Bank. On December 17, 2014, Mr. Carter's then current employer, Fort Worth-based OmniAmerican Bank (then a member of the Bank) was merged with and into Southside Bank, a wholly-owned subsidiary of Southside Bancshares, Inc., Southside Bank's publicly traded holding company. Upon the closing of the merger, Mr. Carter became an officer of Southside Bank. From June 2007 until December 17, 2014, Mr. Carter served as a director, President and Chief Executive Officer of OmniAmerican Bank and its publicly traded holding company, OmniAmerican Bancorp, Inc. Immediately prior to the OmniAmerican Bank/Southside Bank merger, OmniAmerican Bancorp, Inc. was acquired by Southside Bancshares, Inc. Mr. Carter currently serves on the boards of directors of Safe City Commission and the North Texas Tollway Authority. Mr. Carter is a past board member of the TCU Business School International Board of Visitors, the Van Cliburn Foundation, Lena Pope, the Fort Worth Club (for which he served as president), Texas Wesleyan University (for which he served as chairman), the Hill School (for which he served as chairman), and North Texas LEAD (for which he also served as chairman). Mr. Carter is a past president and chief executive officer of the United Way of Metropolitan Tarrant County and a former president of the Harris Methodist Health Foundation. He currently serves as Chairman of the Strategic Planning, Operations and Technology Committee of the Bank’s Board of Directors.

Mary E. Ceverha, a civic volunteer who resides in Dallas, Texas, has served as a director of the Bank since 2004. Ms. Ceverha is a former director (from 2001 to 2019) and past president (from 2001 to 2003) of Trinity Commons Foundation, Inc. Founded by Ms. Ceverha in 2001, this not-for-profit organization coordinated fundraising and other activities relating to the construction of the Trinity River Project, a public works redevelopment project in Dallas, Texas. Having completed the objectives for which it was established, Trinity Commons Foundation, Inc. wrapped up its affairs in 2019. Previously, Ms. Ceverha served on the steering committee of the President’s Research Council for the University of Texas Southwestern Medical Center, which raises funds for medical research, and as a member of the Greater Dallas Planning Council. Ms. Ceverha is also a former board member and president of Friends of Fair Park, a non-profit citizens group dedicated to the preservation of Fair Park, a national historic landmark in Dallas, Texas, and she is a former Commissioner of the Dallas Housing Authority. From 1995 to 2004, she served on the Texas State Board of Health. Ms. Ceverha currently serves as Chairman of the Compensation and Human Resources Committee of the Bank’s Board of Directors. She previously served as Vice Chairman of the Bank’s Board of

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Directors from December 2005 to December 2014 and as Acting Vice Chairman of the Bank's Board of Directors from January 2005 to December 2005.

Albert C. Christman serves as Chairman and Chief Executive Officer of Guaranty Bank & Trust Company of Delhi (a member of the Bank located in Delhi, Louisiana) and as Chairman and Chief Executive Officer of its privately held holding company, Delhi Bancshares, Inc. He has served as Chairman of Guaranty Bank & Trust Company of Delhi since November 2016 and as Chief Executive Officer since 1986. From 1986 to November 2016, Mr. Christman also served as a director and President of Guaranty Bank & Trust Company of Delhi. He has served as Chairman of Delhi Bancshares, Inc. since January 2017 and as its Chief Executive Officer since 1986. From 1986 to January 2017, Mr. Christman also served as a director and President of Delhi Bancshares, Inc. Since 1987, Mr. Christman has also served on the boards of directors of First National Bankers Bank, a member of the Bank, and its privately held holding company, First National Bankers Bankshares, Inc. He is the founder of Delhi Charter School and Community Financial Insurance Center, LLC. Mr. Christman has served as Chairman of both organizations since their inception in 2001 and 2004, respectively. In addition, he serves as a director of Pecan Haven Addiction Center, LLC. Further, Mr. Christman serves as Chairman and Chief Executive Officer of Southern Fidelity Agency, Inc., a privately held insurance agency he founded in 1998. He is a past chairman of the Louisiana Bankers Association. Mr. Christman currently serves as Chairman of the Risk Management Committee of the Bank's Board of Directors.

Rufus Cormier, Jr. is a retired partner of the law firm of Baker Botts L.L.P. in Houston, Texas. As a corporate and banking/finance lawyer, he specialized in commercial lending, derivatives, securitizations, and asset purchase and sale transactions. Mr. Cormier joined Baker Botts L.L.P. in 1974 and was a partner from 1981 until his retirement in December 2012. Since 1992, he has served on the Board of Visitors of the MD Anderson Cancer Center. Previously, Mr. Cormier served as a commissioner of the Houston City Planning Commission and on the boards of directors of Memorial Hermann Hospital and the Memorial Hermann Healthcare System, St. John's School, the Center for American and International Law, the Texas Business Hall of Fame Foundation and the United Way for the Texas Gulf Coast. He is a past chairman of the board of regents of Texas Southern University, a past vice chairman of the board of directors of the Houston Bar Foundation and a past vice chairman of the American Red Cross (Greater Houston Chapter). Further, Mr. Cormier previously served on the executive committee of the board of directors of the Center for Houston's Future, the executive board of Southern Methodist University's School of Law and the executive committee of the Yale Law School Association.

James D. Goudge serves as Executive Vice President of Broadway National Bank in San Antonio, Texas and has served in that capacity since April 1, 2019. He joined Broadway National Bank, a member of the Bank, in 1989. Before stepping down in connection with a leadership succession plan, Mr. Goudge served as Chairman of Broadway National Bank from 2001 through March 31, 2019. From 2001 to 2016, he also served as Chief Executive Officer of Broadway National Bank. From 1998 to 2001, Mr. Goudge served as President and Chief Executive Officer. From 1989 to 1998, he served as Executive Vice President in charge of Broadway National Bank's Lending Division. From 2001 through March 31, 2019, Mr. Goudge also served as Chairman and Chief Executive Officer of Broadway Bancshares, Inc., Broadway National Bank's privately held holding company. Mr. Goudge previously served on the ABA's Membership Committee and its Government Relations Committee. He is also a past chairman of the Texas Bankers Association. Mr. Goudge currently serves as Vice Chairman of the Risk Management Committee and as Vice Chairman of the Compensation and Human Resources Committee of the Bank's Board of Directors.

W. Wesley Hoskins serves as Chairman, President and Chief Executive Officer of First Community Bank (a member of the Bank located in Corpus Christi, Texas). Mr. Hoskins has served as Chairman since 2001, as President and Chief Executive Officer since 1997 and as a director since 1993. Since 1999, he has also served as Chairman of Coastal Bend Bancshares, Inc., First Community Bank's privately held holding company. In addition, Mr. Hoskins has served as a director and President of WBH Inc., a privately held real estate holding company in Premont, Texas since August 1996 and as President of LTF Holdings, Inc., a privately held real estate holding company in Corpus Christi, Texas since September 2010. He is a current member and past chairman of the Texas Bankers Association. Further, Mr. Hoskins presently serves as chairman of the ABA's BankPac Committee and as chairman of the Corpus Christi Chamber of Commerce. He currently serves as Vice Chairman of the Government and External Affairs Committee of the Bank's Board of Directors.

Michael C. Hutsell serves as a director of First Security Bank in Searcy, Arkansas and has served in that capacity since March 2006. Mr. Hutsell joined First Security Bank, a member of the Bank, in 1989 and served as President from March 2006 to December 2020. From January 2002 to March 2006, he served as Executive Vice President and from October 1996 to January 2002, he served as Operations Officer. Mr. Hutsell previously served on the boards of directors of Main Street Searcy, the City of Searcy Planning Commission, and the Sunshine School (a private school for students with developmental disabilities in Searcy, Arkansas) and he is a past chairman of the Searcy Chamber of Commerce and the Searcy Kiwanis Club. Mr. Hutsell currently serves as Vice Chairman of the Bank’s Audit Committee.

A. Fred Miller, Jr. serves as a director of Bank of Anguilla in Anguilla, Mississippi and has served in that capacity since 1986. He joined Bank of Anguilla, a member of the Bank, in 1971 and served as Chairman from January 2015 to January 2021. Since stepping down as Chairman, Mr. Miller has served as a consultant to Bank of Anguilla. From 1986 to January 2015, Mr. Miller

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served as President and Chief Executive Officer of Bank of Anguilla. From 2008 to January 2015, Mr. Miller also served as President and Chief Executive Officer of Pyramid Financial Corporation, Bank of Anguilla's privately held holding company. In addition, since 2008, Mr. Miller has served as a director of Pyramid Financial Corporation and, from January 2014 to January 2021, he served as Chairman of Pyramid Financial Corporation. Since January 2000, Mr. Miller has also served on the board of directors of Hope Enterprise Corporation. Mr. Miller currently serves as Vice Chairman of the Affordable Housing and Economic Development Committee of the Bank's Board of Directors. He previously served as a director of the Bank from 1997 to 2004. In 2002 and 2003, Mr. Miller served as Vice Chairman of the Bank's Board of Directors and in 2004 he served as Chairman of the Bank's Board of Directors.

Sally I. Nelson serves as Chairperson and Chief Executive Officer of Nextwave Ventures, a privately held real estate company located in Huntsville, Texas, and has served in such capacities since March 2015. From January 2013 until January 2014, Ms. Nelson served as an advisor to the Huntsville Memorial Hospital board of directors and as the chairman of the Huntsville Memorial Hospital Foundation. From 2007 until January 2013, Ms. Nelson served as Chief Executive Officer of Huntsville Memorial Hospital. Prior to that, she served as a board member and officer of the Greater Houston Area Chapter of the American Red Cross from 2005 to 2008. From 1986 to 2004, Ms. Nelson served as Executive Vice President, Chief Financial Officer and Chief Operations Officer of Texas Children's Hospital in Houston, Texas. From 1999 to 2005, she served as chair of the Finance and Audit committees of the United Way of Houston. Ms. Nelson is a Certified Public Accountant. She currently serves as Vice Chairman of the Strategic Planning, Operations and Technology Committee of the Bank’s Board of Directors.

Stephen Panepinto serves as Chairman, President and Chief Executive Officer of Plaquemine Bank and Trust Company in Plaquemine, Louisiana. He joined Plaquemine Bank and Trust Company, a member of the Bank, in 1983 and has served as Chairman, President and Chief Executive Officer since 1998. Mr. Panepinto currently serves as chairman of the Civil Service Board representing the Police and Fire Departments for the city of Plaquemine. Mr. Panepinto previously served as a director of the Louisiana Bankers Association and as a director of the Community Bankers of Louisiana and he is a past chairman of the Iberville Chamber of Commerce.

Felipe A. Rael serves as Executive Director of the Greater Albuquerque Housing Partnership ("GAHP"), a non-profit affordable housing developer of multifamily rental and owner-occupied homes for first-time homebuyers. He has served as Executive Director of GAHP since December 2014. Prior to joining GAHP, Mr. Rael served as Director of Housing Development for the New Mexico Mortgage Finance Authority from February 2009 to December 2014. From 2001 to 2008, Mr. Rael served in various positions in the mortgage finance industry. Until his election to the Bank's Board of Directors, Mr. Rael had served as a member of the Bank's affordable housing Advisory Council since January 2016 and as the Advisory Council's vice chair since January 2019.

John P. Salazar is an attorney and director with the law firm of Rodey, Dickason, Sloan, Akin & Robb, P.A. in Albuquerque, New Mexico, where he specializes in real estate-related matters, including land use and development law. He has been with Rodey, Dickason, Sloan, Akin & Robb, P.A. since 1968 and has represented single-family residential and multifamily housing developers and builders. Mr. Salazar currently serves as a member of the Advisory Council of the Inter-American Foundation and he is a past chairman of the foundation's board of directors. He is a member of the Albuquerque Economic Forum, the Greater Albuquerque Chamber of Commerce, the Albuquerque Hispano Chamber of Commerce and the Albuquerque Chapter of the National Association of Office and Industrial Parks. Mr. Salazar previously served on the board of directors of the Greater Belen Economic Development Corporation, the board of trustees of the Albuquerque Community Foundation and the board of directors of the KIMO Foundation. Further, he is a past board chairman of the Albuquerque Hispano Chamber of Commerce, the Greater Albuquerque Chamber of Commerce, and the University of New Mexico Alumni Association. Mr. Salazar currently serves as Chairman of the Government and External Affairs Committee of the Bank’s Board of Directors.

Ron G. Wiser serves as a director and Chief Executive Officer of Bank of the Southwest (a member of the Bank) and as a director and Treasurer of its privately held holding company, New Mexico National Financial, Inc. (Roswell, New Mexico). He has served as Chief Executive Officer of Bank of the Southwest since December 2003. Mr. Wiser also served as Chief Executive Officer of Bank of the Southwest from 1996 to November 2000. Further, from 1996 to February 2022, he served as President of Bank of the Southwest. He has served as Treasurer of New Mexico National Financial, Inc. and as a director of both companies since 1996. From 1996 to January 2022, Mr. Wiser also served as Secretary of New Mexico National Financial, Inc. Mr. Wiser is a past board member and president of the New Mexico Bankers Association and he previously served on the Community Bankers Council of the ABA. Mr. Wiser is a Certified Public Accountant and he currently serves as Chairman of the Bank’s Audit Committee.

Audit Committee Financial Expert

The Bank’s Board of Directors has determined that Mr. Wiser qualifies as an “audit committee financial expert” as defined by SEC rules. The Bank is required by SEC rules to disclose whether Mr. Wiser is “independent” and, in making that determination, is required to apply the independence standards of a national securities exchange or an inter-dealer quotation system. For this purpose, the Bank has elected to use the independence standards of the New York Stock Exchange. Under

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those standards, the Bank’s Board of Directors has determined that presumptively its member directors, including Mr. Wiser, are not independent. However, Mr. Wiser is independent under applicable Finance Agency regulations and under Rule 10A-3 of the Exchange Act related to the independence of audit committee members. For more information regarding director independence, see Item 13. Certain Relationships and Related Transactions, and Director Independence.

Director Qualifications and Attributes

As more fully described above, the size of the Bank’s Board of Directors, including the number of member directors and independent directors, is determined by the Finance Agency, subject to a minimum number of directors established by statute. Candidates for member directorships are nominated and elected by members located in the state to be represented by that particular directorship. The Bank’s Board of Directors does not nominate member directors nor can it support or oppose the nomination or election of a particular individual for a member directorship. In the event of a vacancy in any member directorship, such vacancy is to be filled by an affirmative vote of a majority of the Bank’s remaining directors, regardless of whether the remaining directors constitute a quorum of the Bank’s Board of Directors.

Independent directors, on the other hand, are nominated by the Bank’s Board of Directors (after consultation with its affordable housing Advisory Council) and are elected by a plurality of the Bank’s members at-large. A vacancy in any independent directorship is similarly filled by an affirmative vote of a majority of the Bank’s remaining directors, regardless of whether the remaining directors constitute a quorum of the Bank’s Board of Directors.

In evaluating an independent director candidate (or a candidate to fill a vacancy in any member directorship), the Board of Directors considers factors that it has determined to be in the best interests of the Bank and its shareholders and which go beyond the statutory eligibility requirements, including the knowledge, experience, integrity and judgment of each candidate; the experience and competencies that the Board desires to have represented; each candidate’s ability to devote sufficient time and effort to his or her duties as a director; geographic representation in the Bank’s five-state district; prior tenure on the Board; the need to have at least two public interest directors from among the Bank’s independent directors; and any core competencies or technical expertise necessary to staff committees of the Board of Directors. In addition, the Board of Directors assesses whether a candidate possesses the integrity, judgment, knowledge, experience, skills and expertise that are likely to enhance the Board’s ability to manage and direct the affairs and business of the Bank including, when applicable, to enhance the ability of committees of the Board to fulfill their duties.

Each of the Bank’s member directors and independent directors brings a unique background and strong set of skills to the Board, giving the Board as a whole competence and experience in a wide variety of areas, including corporate governance and board service, executive management, finance, accounting, human resources, legal, risk management, affordable housing, economic development and government relations. Set forth below are the attributes of each of the Bank’s independent directors that the Board of Directors considered important to his or her inclusion on the Board. The Board of Directors does not make any judgments with regard to its member directors who have been elected by the Bank’s members, although the skills and experience of those directors may bear on the Board of Directors’ decisions with regard to the competencies it seeks when nominating candidates for independent directorships or when filling vacancies in either member or independent directorships.

Mr. Baskin was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2022. He has served on the Bank's Board of Directors since November 30, 2020. Having spent 39 years with two international public accounting firms, where he specialized in the financial services industry, Mr. Baskin brings to the Board extensive experience in the areas of accounting, finance, internal controls and corporate governance. From 2002 until his retirement in 2016, Mr. Baskin served as an audit partner with Grant Thornton LLP. For nine years, he also served as one of the firm's five National Professional Practice Directors and, for five years, as the firm's National Assurance Innovation Managing Partner. Prior to joining Grant Thornton, Mr. Baskin spent 25 years at Arthur Andersen LLP. Over the course of his career, Mr. Baskin served on numerous task forces and committees in support of the accounting profession, was a frequent speaker on technical accounting and auditing topics, and authored numerous papers and articles on such topics. Mr. Baskin is a Certified Public Accountant.

Ms. Bolen was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2019. She has served on the Bank’s Board of Directors since November 5, 2012. Ms. Bolen brings to the Board extensive experience in the areas of affordable housing, community development, organizational management and finance. From 1997 until December 31, 2014, she served as the Executive Director of the Mississippi Home Corporation. From 1990 to 1992, she served as Finance Director and from 1992 to 1997, she served as Deputy Executive Director. From 1998 through 1999 and from 2007 through 2009, Ms. Bolen served as a member of the Bank’s affordable housing Advisory Council, which advises the Bank’s Board of Directors regarding opportunities for community revitalization through specialized community investment and affordable housing programs. Ms. Bolen previously served on the board of directors of the NCSHA and, until December 31, 2014, she co-chaired the NCSHA's Municipal Disclosure Task Force.

Ms. Ceverha was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2019. She has served on the Bank’s Board of Directors since January 1, 2004 and was Vice Chairman of the Bank’s Board of Directors

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from December 2005 to December 2014 and Acting Vice Chairman of the Bank's Board of Directors from January 2005 to December 2005. Ms. Ceverha brings to the Board extensive experience in housing, government relations, corporate governance and policy-making. She has held leadership roles in numerous local government agencies and not-for-profits, including serving as vice chairman of the Texas State Board of Health, as a commissioner of the Dallas Housing Authority, and as the founder and past president of an organization that was established for the purpose of coordinating fundraising and other activities relating to the construction of the Trinity River Project in Dallas, Texas. She also provides extensive knowledge of the Texas legislative process to the Board.

Mr. Cormier was elected by the Bank’s Board of Directors to fulfill the unexpired term of an independent director effective December 14, 2021. As a corporate and banking/finance lawyer with Baker Botts L.L.P. for over 37 years, he brings extensive legal experience to the Board. Prior to his retirement in December 2012, Mr. Cormier specialized in the areas of commercial lending, derivatives. securitizations, and asset purchase and sale transactions. He also brings to the Board extensive experience in corporate governance and regulatory compliance matters. Further, Mr. Cormier has served on numerous boards of directors.

Ms. Nelson was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2022. She has served on the Bank's Board of Directors since January 1, 2014. Ms. Nelson brings to the Board extensive experience in accounting, finance, organizational management, corporate governance and matters involving executive compensation. She currently serves as Chairperson and Chief Executive Officer of a privately held real estate company. From 2007 to January 2013, Ms. Nelson served as Chief Executive Officer of Huntsville Memorial Hospital. Prior to that, she served as Executive Vice President, Chief Financial Officer and Chief Operations Officer of Texas Children's Hospital in Houston, Texas for 18 years. In addition, she has served on numerous boards of directors. Ms. Nelson is a Certified Public Accountant.

Mr. Rael was elected by the Bank’s Board of Directors to fulfill the unexpired term of an independent director effective March 6, 2020. With over 19 years of experience in the mortgage finance industry, Mr. Rael brings to the Board extensive experience in the areas of affordable housing, community development, organizational management and mortgage finance. Since December 2014, he has served as Executive Director of the Greater Albuquerque Housing Partnership. From 2009 to 2014, he served as Director of Housing Development for the New Mexico Mortgage Finance Authority. From January 2016 until his election to the Bank's Board of Directors, Mr. Rael served as a member of the Bank’s affordable housing Advisory Council, which advises the Bank’s Board of Directors regarding opportunities for community revitalization through specialized community investment and affordable housing programs. Mr. Rael served as vice chair of the Bank's affordable housing Advisory Council from January 2019 until his election to the Bank's Board of Directors.

Mr. Salazar was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2020. He has served on the Bank's Board of Directors since January 1, 2010. As an attorney with Rodey, Dickason, Sloan, Akin and Robb, P.A. for over 50 years, he brings extensive legal experience to the Board. Mr. Salazar specializes in real estate related matters, including land use and development law, and has represented single-family residential and multifamily housing developers and builders. Currently, he serves as a member of the Advisory Council of the Inter-American Foundation. Mr. Salazar is also a member of the Greater Albuquerque Chamber of Commerce and the Albuquerque Hispano Chamber of Commerce. He has previously served in leadership positions on the boards of these and other non-profit organizations that promote economic development, housing availability and/or housing finance.

Ms. Scholin was elected by the Bank’s members at-large to serve a four-year term that commenced on January 1, 2020. She has served on the Bank’s Board of Directors since April 10, 2007. As a lawyer with Baker Botts L.L.P. for over 25 years, she brings a wealth of legal experience to the Board. Prior to her retirement in December 2010, Ms. Scholin specialized in general corporate, corporate finance and securities law (including securities law reporting) and she has extensive knowledge of regulatory issues. In addition, Ms. Scholin brings to the Board expertise in corporate governance and compliance matters.

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Executive Officers

Set forth below is certain information regarding the Bank’s executive officers (ages are as of March 23, 2022). The executive officers serve at the discretion of, and are elected annually by, the Bank’s Board of Directors.

Name	Age	Position Held	Officer Since
Sanjay Bhasin	53	President and Chief Executive Officer	2014
Brehan Chapman	45	Executive Vice President and Chief Administrative Officer	2009
Sandra Damholt	69	Executive Vice President and General Counsel	2010
Kelly Davis	54	Executive Vice President and Chief Risk Officer	2015
Tom Lewis	59	Executive Vice President and Chief Financial Officer	2003
Kalyan Madhavan	55	Executive Vice President and Chief Business Officer	2014
Gustavo Molina	49	Executive Vice President and Chief Banking Operations Officer	2009
Jibo Pan	49	Executive Vice President and Head of Capital Markets	2014
Jeff Yeager	48	Executive Vice President and Chief Information Officer	2015
Michael Zheng	52	Executive Vice President and Chief Credit Officer	2015

Sanjay Bhasin serves as President and Chief Executive Officer of the Bank and has served in that capacity since he joined the Bank in May 2014. Prior to his employment with the Bank, Mr. Bhasin served as Executive Vice President, Members and Markets for the Federal Home Loan Bank of Chicago (the "Chicago Bank") from 2011 until May 2014. He joined the Chicago Bank in 2004 as Vice President, Mortgage Finance and was promoted to Senior Vice President, Mortgage Finance in 2007 and to Executive Vice President, Financial Markets in 2008, a position he held until his appointment as Executive Vice President, Members and Markets. Prior to joining the Chicago Bank, Mr. Bhasin was responsible for managing the interest rate risk associated with Bank One, NA’s mortgage pipeline holdings from 1999 to 2004. Mr. Bhasin currently serves on the Council of Federal Home Loan Banks and as a director of the FHLBanks Office of Finance.

Brehan Chapman serves as Executive Vice President and Chief Administrative Officer. In this capacity, Ms. Chapman has responsibility for the Bank’s corporate communications, government and industry relations, human resources, property and facilities management, and compliance function. She joined the Bank in December 2004 as a Content Management Specialist. In November 2005, Ms. Chapman was promoted to Corporate Communications Manager, a position she held until her appointment as Vice President and Director of Corporate Communications and External Affairs in July 2009. In November 2013, her responsibilities were expanded to include human resources. In April 2014 and May 2014, Ms. Chapman's responsibilities were further expanded to include the Bank's compliance function and property and facilities management, respectively. Ms. Chapman also serves as the Bank’s Corporate Secretary and has served in that capacity since February 2008. She was promoted to Senior Vice President in January 2012, to Chief Administrative Officer in February 2014 and to Executive Vice President in January 2016. Prior to joining the Bank, Ms. Chapman served as the Public Relations Manager for Waubonsee Community College from 2001 to 2004.

Sandra Damholt serves as Executive Vice President and General Counsel of the Bank. Ms. Damholt joined the Bank in October 2009 as Deputy General Counsel, and was promoted to Vice President and General Counsel in October 2010. She was promoted to Senior Vice President in January 2014 and to Executive Vice President in January 2022. Prior to joining the Bank, Ms. Damholt served as Senior Vice President and General Counsel of Dovenmuehle Mortgage, Inc. from January 2008 through May 2009. From 2000 to 2007, Ms. Damholt served in several capacities for the Chicago Bank, including Deputy General Counsel and Director of Compliance and Ethics. Prior to that, Ms. Damholt served in various legal and management roles in the financial services industry, including 13 years with PNC Mortgage Corporation (formerly Sears Mortgage Corporation) and 3 years with the State of Oklahoma Department of Banking.

Kelly Davis serves as Executive Vice President and Chief Risk Officer of the Bank. In this capacity, Ms. Davis has responsibility for the Bank’s market risk, operational risk and model risk management functions. In January 2017, her responsibilities were expanded to include income forecasting. She joined the Bank in August 2008 as a Senior Strategic Planning Analyst. In September 2013, Ms. Davis was promoted to Risk Reporting Manager, a position she held until her appointment as Director of Operational Risk Management and Enterprise Risk Management Reporting in July 2014. Ms. Davis was promoted to Chief Risk Officer in June 2015, to Senior Vice President in July 2015 and to Executive Vice President in January 2022. Prior to joining the Bank, she served in various consulting and management roles for Liberty Mutual Insurance Group from 2002 to 2008, as Assistant Treasurer of Georgia State University from 1999 to 2001, and in various audit positions from 1991 to 1999, including roles with KPMG LLP and the U.S. General Accounting Office, which is now known as the U.S. Government Accountability Office. Ms. Davis is a Certified Public Accountant.

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Tom Lewis serves as Executive Vice President and Chief Financial Officer of the Bank. He joined the Bank in January 2003 as Vice President and Controller and was promoted to Senior Vice President in April 2004 and to Chief Accounting Officer in February 2005, a position he held until his appointment as Chief Financial Officer in June 2014. Mr. Lewis was promoted to Executive Vice President in January 2016. From May 2002 through December 2002, Mr. Lewis served as Senior Vice President and Chief Financial Officer for Trademark Property Company (“Trademark”), a privately held commercial real estate developer. Prior to joining Trademark, Mr. Lewis served as Senior Vice President, Chief Financial Officer and Controller for AMRESCO Capital Trust (“AMCT”), a publicly traded real estate investment trust, from February 2000 to May 2002. From AMCT’s inception in 1998 until February 2000, he served as Vice President and Controller. Prior to that, Mr. Lewis served in a number of accounting and finance positions with AMRESCO, INC., a publicly traded financial services company, from 1995 to 1998 and Prentiss Properties Limited, Inc., a privately held commercial real estate company, from 1989 to 1995. From 1985 to 1989, he served as an auditor for Price Waterhouse LLP. Mr. Lewis is a Certified Public Accountant.

Kalyan Madhavan serves as Executive Vice President and Chief Business Officer of the Bank. He joined the Bank in August 2014 as Executive Vice President and Group Head, Members and Markets, a position he held until his appointment as Chief Business Officer in January 2020. While serving as Group Head, Members and Markets, Mr. Madhavan had overall responsibility for the Bank's treasury operations, member sales and community investment. With his appointment as Chief Business Officer, his areas of responsibility were expanded to include corporate strategy and oversight of the Bank's mortgage loan acquisition program. From April to November 2015, he also served as Interim Chief Information Officer. Prior to joining the Bank, Mr. Madhavan served as Senior Vice President and Co-Head, Members and Markets for the Chicago Bank, where he was responsible for asset acquisitions, funding, liquidity management, and marketing strategy. He joined the Chicago Bank in 2005 as a portfolio manager and was promoted to Assistant Vice President in 2006 and to Vice President in 2007. In 2008, he was appointed as Treasurer. In 2009, Mr. Madhavan was promoted to Senior Vice President and in 2011 his responsibilities were expanded to include member strategy and solutions. He served as Senior Vice President, Treasurer and Head of Member Strategy and Solutions from March 2012 until his appointment as Co-Head, Members and Markets in May 2014. Prior to joining the Chicago Bank, Mr. Madhavan served in various financial and operations management roles for 11 years in the credit card, airline and manufacturing industries.

Gustavo Molina serves as Executive Vice President and Chief Banking Operations Officer. In this capacity, Mr. Molina oversees the Bank’s member services, collateral services, correspondent operations and safekeeping function. He joined the Bank in April 2002 as Credit Operations Manager and was promoted to Credit and Collateral Vault Operations Manager in 2004, to Customer Operations and Support Manager in 2007 and to Director of Banking Operations in 2009, a position he held until his appointment as Chief Banking Operations Officer in February 2014. Mr. Molina served as a Vice President of the Bank from 2009 to 2011. He was promoted to Senior Vice President in 2011 and to Executive Vice President in January 2022. Prior to joining the Bank, Mr. Molina served as a Project Manager in the Operational Control and Risk Management Department of Fleet Bank Boston Financial (now Bank of America).

Jibo Pan serves as Executive Vice President and Head of Capital Markets of the Bank. As Head of Capital Markets, Mr. Pan has responsibility for the Bank's investment, funding and hedging activities. Mr. Pan joined the Bank in August 2014 as Senior Vice President and Head of Capital Markets and was promoted to Executive Vice President in January 2016. Prior to joining the Bank, Mr. Pan served as Senior Vice President for the Chicago Bank where he was responsible for overseeing that institution's hedging activities. He joined the Chicago Bank in 2002 as a Senior Quantitative Analyst and was promoted to Assistant Vice President in 2006 and to Vice President in 2007, a position he held until his appointment as Senior Vice President in 2008. In 2006 and 2007, Mr. Pan managed the Chicago Bank's option portfolio. From 1994 to 2000, Mr. Pan served in various engineering roles for Hewlett Packard/Agilent Technologies Medical Division in Qingdao, China.

Jeff Yeager serves as Executive Vice President and Chief Information Officer of the Bank. Mr. Yeager joined the Bank in November 2015 as Senior Vice President and Chief Information Officer and was promoted to Executive Vice President in January 2022. From 1999 to May 2015, Mr. Yeager served in various information technology positions for Horizon Lines, LLC ("Horizon LLC"), a wholly-owned subsidiary of Horizon Lines, Inc. ("Horizon"), a publicly traded provider of ocean transportation services. Among other roles, he served as Chief Information Officer from 2010 to 2015 and prior to that he served as Director of Technology from 2007 to 2010. Horizon was acquired by Matson, Inc. ("Matson") in May 2015. Mr. Yeager was employed by Matson until July 2015 at which time he joined The Pasha Group ("Pasha") as a consultant. Pasha had acquired a portion of Horizon's business prior to the Matson transaction. Mr. Yeager left Pasha to join the Bank. Prior to joining Horizon LLC, Mr. Yeager held various systems engineering positions with Electronic Data Systems from 1995 to 1999. 

Michael Zheng serves as Executive Vice President and Chief Credit Officer of the Bank. In this capacity, Mr. Zheng has responsibility for the Bank's credit risk and enterprise risk modeling functions. He joined the Bank in July 2012 as Credit and Capital Risk Manager. In July 2014, Mr. Zheng was promoted to Director of Enterprise Risk Modeling and Analysis, a position he held until his appointment as Chief Credit Officer in January 2015. Mr. Zheng was promoted to Senior Vice President in July 2015 and to Executive Vice President in January 2022. Prior to joining the Bank, Mr. Zheng served as Director of Enterprise Risk Analytics for USAA, a member-owned diversified financial services organization, from 2010 to 2012. Mr.

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Zheng joined USAA in 2008 as Director of Modeling Analytics and he served in that role until his appointment as Director of Enterprise Risk Analytics. Prior to that, Mr. Zheng held risk management/risk modeling positions at Washington Mutual Bank (2005 to 2008) and CitiGroup, Inc. (2001 to 2005) and various other roles at Mitsui & Co., Ltd. in China and Japan (1994 to 1999). Mr. Zheng is a Certified Financial Risk Manager.

Relationships

There are no family relationships among any of the Bank’s directors or executive officers. Except as described above, none of the Bank’s directors holds directorships in any company with a class of securities registered pursuant to Section 12 of the Exchange Act or subject to the requirements of Section 15(d) of such Act or any company registered as an investment company under the Investment Company Act of 1940. There are no arrangements or understandings between any director or executive officer and any other person pursuant to which that director or executive officer was selected.

Code of Ethics

The Board of Directors has adopted a code of ethics that applies to the Bank's President and Chief Executive Officer (its principal executive officer), the Bank's Executive Vice President and Chief Financial Officer (its principal financial and accounting officer) and specified management personnel within the Bank's Accounting Department (collectively, the Bank's "Financial Professionals").

Annually, the Bank's Financial Professionals are required to certify that they have read and will abide by the Code of Ethics for Financial Professionals. A copy of the Code of Ethics for Financial Professionals is filed as an exhibit to this report and is also available on the Bank’s website at www.fhlb.com by clicking on “About Us,” then “Corporate Governance” and then “Code of Ethics for Financial Professionals.”

The Board of Directors has also adopted a Code of Conduct and Ethics for Employees that applies to all employees of the Bank, including the Financial Professionals, and a Code of Conduct and Ethics and Conflict of Interest Policy for Directors that applies to all directors of the Bank (each individually a “Code of Conduct and Ethics” and together the “Codes of Conduct and Ethics”). The Codes of Conduct and Ethics embody the Bank’s commitment to high standards of ethical and professional conduct. The Codes of Conduct and Ethics set forth policies on standards for conduct of the Bank’s business, the protection of the rights of the Bank and others, and compliance with laws and regulations applicable to the Bank and its employees and directors. All employees and directors are required to annually certify that they have read and will abide by the applicable Code of Conduct and Ethics. A copy of the Code of Conduct and Ethics for Employees is available on the Bank’s website at www.fhlb.com by clicking on “About Us,” then “Corporate Governance” and then “Code of Conduct and Ethics for Employees.” A copy of the Code of Conduct and Ethics and Conflict of Interest Policy for Directors is available on the Bank’s website by clicking on “About Us,” then “Corporate Governance” and then “Code of Conduct and Ethics and Conflict of Interest Policy for Directors.” Information on the Bank's website does not constitute part of this report.

ITEM 11. EXECUTIVE COMPENSATION

COMPENSATION DISCUSSION AND ANALYSIS

The Compensation and Human Resources Committee of the Board of Directors (the “Committee”) has responsibility for, among other things, establishing, reviewing and monitoring compliance with our compensation philosophy. In support of that philosophy, the Committee is responsible for making recommendations regarding, and monitoring implementation of, compensation and benefit programs that are consistent with our short- and long-term business strategies and objectives. The Committee’s recommendations regarding our compensation philosophy and benefit programs are subject to the approval of our Board of Directors.

Compensation Philosophy and Objectives

The goal of our compensation program is to attract, retain, and motivate employees and executives with the requisite skills and experience to enable us to achieve our short- and long-term strategic business objectives. We attempt to accomplish this goal as it relates to our executive officers through a mix of base salary, short-term incentive awards and other benefit programs. While we believe that we offer a work environment in which employees can find attractive career challenges and opportunities, we also recognize that those employees have a choice regarding where they pursue their careers and that the compensation we offer may play a significant role in their decision to join or remain with us. As a result, we seek to deliver fair and competitive compensation for our employees, including the named executive officers identified in the Summary Compensation Table on page 104.

For 2021, our named executive officers were: Sanjay Bhasin, our President and Chief Executive Officer; Tom Lewis, our Executive Vice President and Chief Financial Officer; Kalyan Madhavan, our Executive Vice President and Chief Business

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Officer; Jibo Pan, our Executive Vice President and Head of Capital Markets; and Brehan Chapman, our Executive Vice President and Chief Administrative Officer.

For our executive officers, we attempt to align and weight total direct and indirect compensation with the prevailing competitive market and provide total compensation opportunities that are consistent with each executive’s responsibilities and individual performance and with our overall business results. For 2021, the Committee and Board of Directors defined the competitive market for our executives as: (1) the other Federal Home Loan Banks (each individually a “FHLBank” and collectively with us, the “FHLBanks” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System”); (2) commercial banks with $20 billion or more in assets (including, to the extent data is available, the Federal Reserve Banks but excluding global investment banks); and (3) public proxy peers with assets between $10 billion and $20 billion. In addition to the other FHLBanks, we believe that the other institutions included in our peer group present a breadth and level of complexity of operations that are generally comparable to our own.

Generally, it is our overall intent to provide total direct compensation, comprised of base salary and targeted incentive opportunities, for our executive officers at or above the competitive market median for comparable positions.

Responsibility for Compensation Decisions

The Board of Directors makes all decisions regarding the compensation of our President and Chief Executive Officer. The President and Chief Executive Officer's performance is reviewed annually by the full Board. The Committee is responsible for making recommendations to the Board of Directors regarding the President and Chief Executive Officer's compensation. The Board of Directors is responsible for reviewing and approving and has discretion to modify any of the Committee's recommendations regarding the President and Chief Executive Officer's compensation.

The President and Chief Executive Officer annually reviews the performance and has responsibility for making recommendations to the Committee regarding the compensation of our other executive officers. The Committee is responsible for reviewing and approving or disapproving the recommendations that are made by the President and Chief Executive Officer. The performance reviews for all of our executive officers are generally conducted in the latter part of each year and salary adjustments, if any, are typically made on January 1 of the following year.

The President and Chief Executive Officer can recommend to the Committee additional base salary adjustments at any time during the year if warranted based on market data, job performance and/or other factors, such as a change in job responsibilities. In the absence of a promotion or a change in an officer’s job responsibilities, base salary adjustments on any date other than January 1 are rare.

The Board of Directors is responsible for approving our short-term incentive compensation plan known as the Variable Pay Program or VPP. The VPP provides all regular, full-time employees (which, in years prior to 2017, included our executive officers) with the opportunity to earn an annual incentive award. The Committee is responsible for recommending annually to the Board of Directors the approval of the VPP for the next year and the performance goals that will be applicable for that year under the Corporate plan (including the addendums for our Capital Markets and Member Sales Departments) and the plan for our Internal Audit Department. The VPP plan goals for our Internal Audit Department are approved by our Audit Committee before Internal Audit's VPP plan is considered by the Committee.

Further, the Board of Directors is responsible for approving our executive incentive plan known as the EIP, which applied initially for the 2017 plan year. As more fully described below in the section entitled "Elements of Executive Compensation," the EIP provides cash-based award opportunities to officers of the Bank who are voting members of our Executive Management Committee ("EMC"), which include, among other executive officers, each of our named executive officers. The EIP replaced the VPP for 2017 and succeeding years and it replaced our long-term incentive compensation plans beginning in 2019. The Committee is responsible for recommending annually to the Board of Directors the approval of the EIP for the next year and the performance goals that will be applicable for that year, which goals were (in the case of the 2017, 2018, 2019, 2020 and 2021 EIPs), are (in the case of the 2022 EIP) and are expected to be (in future years) substantially the same as the goals for the Corporate VPP.

Acting upon recommendations from the Committee, the Board of Directors is also responsible for approving any proposed revisions to our defined benefit and defined contribution plans, our deferred compensation plans, our Reduction in Workforce Policy and any other benefit plan as the Committee or Board of Directors deems appropriate.

The Finance Agency requires us to provide advance notice of pending actions to be taken by the Committee or our Board of Directors with respect to any aspect of the compensation of one or more of our named executive officers. As part of the notification process, we are required to provide the proposed compensation actions and any supporting materials, including studies of comparable compensation.

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Use of Compensation Consultants and Surveys

Annually, we engage an independent compensation consultant to help ensure that our executive compensation program is both competitive and targeted at or above market-median compensation levels.

In September 2020 (for compensation to be paid in 2021), the Committee and Board of Directors engaged McLagan Partners ("McLagan") to conduct a competitive market pay study for all of our executive officers (the "2020 Pay Study"). The 2020 Pay Study involved an analysis of total direct compensation for benchmark jobs at a total of 144 institutions, including the other FHLBanks; the value of retirement plans and other benefits were not considered as part of the study. To account for differences in the size and scope of the benchmark jobs included in the study, low quartile data (25th percentile), median data (50th percentile) or high quartile data (75th percentile) was judgmentally selected for each of those jobs to develop a market composite benchmark for each of the positions held by our named executive officers. In the case of the commercial bank peers, divisional head comparisons were used to identify the jobs with the closest functional responsibilities to our named executive officers. In the case of the public proxy peers, executive to executive comparisons were made and, conservatively, the 25th percentile was used for all of the comparable positions at those institutions. For purposes of our comparative analysis, total direct compensation within +/- 15 percent of the median market composite compensation was considered to be within the competitive market range. Total direct compensation within +/- 10 percent of the median market composite compensation was considered to be competitive.

Elements of Executive Compensation

Prior to 2020, we relied upon a mix of base salary, short- and long-term incentive compensation, and benefits to attract, retain and motivate our executive officers. As a cooperative whose stock can only be held by member institutions, we are precluded from offering equity-based compensation to our employees, including our executive officers.

As further described below, we instituted a framework to transition away from long-term incentives beginning in 2017 and ending in 2019. Prior to these changes, which became fully effective in 2020, and excluding the incentives that could be earned in 2017, our executive officers derived 50 percent of their annual incentive opportunity from a short-term (one year) award and 50 percent of their annual incentive opportunity from a long-term (three year) award.

In late 2016, the Finance Agency sought to have us eliminate our two-plan structure for our named executive officers in favor of one annual incentive compensation plan with a deferral component. In response to this request, we engaged McLagan to provide insight and analysis as we considered the framework for a new incentive compensation plan for our executive officers. On December 8, 2016, the Board of Directors, acting upon a recommendation from the Committee, approved our Omnibus Incentive Plan (the "2017 Executive Incentive Plan" or "2017 EIP"), subject to the review of the Finance Agency. On December 20, 2016, the Finance Agency informed us that it did not object to the 2017 EIP. The 2017 EIP was effective as of January 1, 2017. The 2017 EIP provided for an annual award, 50 percent of which could be fully earned in 2017. The other 50 percent of the annual award (the deferred portion) did not become earned and vested until December 31, 2020. The 2017 EIP also included a transitional component (known as the Gap Year Award) that was designed to address a gap in our executive officers' annual incentive compensation opportunities in 2019 that would not otherwise have existed if we had continued to offer both the VPP and the LTIP to our executive officers. The Gap Year Award was based on the achievement of long-term performance goals for the period from January 1, 2017 through December 31, 2019 and was, in essence, a long-term incentive plan that was subsumed in the 2017 EIP.

On December 7, 2017, the Board of Directors, acting upon a recommendation from the Committee, approved our 2018 EIP, subject to the review of the Finance Agency. On January 4, 2018, the Finance Agency informed us that it did not object to the 2018 EIP. The 2018 EIP was effective as of January 1, 2018. Like the 2017 EIP, the 2018 EIP provided for an annual award, 50 percent of which could be fully earned in 2018 and 50 percent of which could be fully earned in 2021.

The 2018 EIP, in combination with our 2016 long-term incentive plan, provided maximum incentive opportunities in 2018 of 95 percent of base salary for our President and Chief Executive Officer and 65 percent of base salary for our other named executive officers. The incentive factors for each 2018 goal with a target level of achievement were 75 percent and 50 percent of base salary for our President and Chief Executive Officer and other executives, respectively. The incentive factors for each 2018 goal with a threshold level of achievement were 50 percent and 30 percent of base salary for our President and Chief Executive Officer and other executives, respectively. The threshold, target and maximum award percentages in the 2018 EIP were the same as those in the 2017 EIP.

On December 6, 2018, the Board of Directors, acting upon a recommendation from the Committee, approved our 2019 EIP, subject to the review of the Finance Agency. On December 20, 2018, the Finance Agency informed us that it did not object to the 2019 EIP. The 2019 EIP was effective as of January 1, 2019. Like previous EIPs, the 2019 EIP provided for an annual award, 50 percent of which could be fully earned in 2019 and 50 percent of which can be fully earned in 2022. The other 50 percent of our executives' 2019 incentive opportunity was derived from the 2017 EIP Gap Year Award. The threshold, target and maximum award percentages in the 2019 EIP were the same as those in the 2018 EIP.

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On December 5, 2019, the Board of Directors, acting upon a recommendation from the Committee, approved our 2020 EIP (the "Proposed 2020 EIP"), subject to the review of the Finance Agency. In response to comments received from the Finance Agency, the Board, acting upon a recommendation from the Committee, approved a revision to the Proposed 2020 EIP (inclusive of the revision, the "2020 EIP") on February 27, 2020, subject again to review by the Finance Agency. On May 21, 2020, the Finance Agency informed the Bank that it did not object to the 2020 EIP. The 2020 EIP was effective as of January 1, 2020. Like previous EIPs, the 2020 EIP provided for an annual award, 50 percent of which could be fully earned in 2020 and 50 percent of which can be fully earned in 2023. The other 50 percent of our executives' 2020 incentive opportunity was derived from the 2017 EIP Deferred Award.

The threshold, target and maximum award percentages for our named executive officers are reviewed and approved annually by the Committee and Board of Directors. For 2020, the Committee and Board of Directors elected to increase the maximum award percentages for all of our executive officers and to increase the target award percentages for Messrs. Madhavan and Pan. In establishing these higher award percentages, the Committee and Board of Directors took into consideration the incentive opportunities that are available to similarly situated executives at the other FHLBanks and the results of a competitive market pay study that was conducted for us by McLagan in the latter part of 2019. For Mr. Bhasin, his maximum award percentage was increased from 95 percent to 100 percent. For Messrs. Madhavan and Pan, their maximum award percentage was increased from 65 percent to 80 percent. For Mr. Lewis and Ms. Chapman, their maximum award percentage was increased from 65 percent to 70 percent. The target award percentage for Messrs. Madhavan and Pan was increased from 50 percent to 60 percent. In summary, the threshold, target and maximum award percentages in the 2020 EIP were 50 percent, 75 percent and 100 percent of base salary, respectively, for Mr. Bhasin; 30 percent, 60 percent and 80 percent of base salary, respectively, for Messrs. Madhavan and Pan; and 30 percent, 50 percent and 70 percent of base salary, respectively, for Mr. Lewis and Ms. Chapman.

On December 3, 2020, the Board of Directors, acting upon a recommendation from the Committee, approved our 2021 EIP (the "2021 EIP"), subject to the review of the Finance Agency. On January 11, 2021, the Finance Agency informed us that it did not object to the 2021 EIP. The 2021 EIP was effective as of January 1, 2021. Like previous EIPs (and as more fully described in the "Incentive Compensation" section beginning on page 95 and the "Grants of Plan-Based Awards" section beginning on page 105), the 2021 EIP provided for an annual award, 50 percent of which could be fully earned in 2021 and 50 percent of which can be fully earned in 2024. The other 50 percent of our executives' 2021 incentive opportunity was derived from the 2018 EIP Deferred Award. The threshold, target and maximum award percentages in the 2021 EIP were the same as those in the 2020 EIP.

Base Salary

Base salary is one of the two key components of our compensation program (the other is the incentive opportunities that we offer to our executive officers). We use the base salary element to provide the foundation of a fair and competitive compensation opportunity for each of our executive officers. Base salaries are reviewed annually in the fourth quarter for all of our officers and at other times as circumstances warrant. For our executive officers, we target base salary compensation at or above the market median base salary practices of our defined competitive market for those officers, although we maintain flexibility to deviate from market-median practices for individual circumstances subject in all cases to review by the Finance Agency. In making base salary determinations, we also consider factors such as time in the position, prior related work experience, individual job performance, the position’s scope of duties and responsibilities within our organizational structure and hierarchy, and how these factors compare to other similar positions within our defined competitive market.

In setting Mr. Bhasin’s base salary for 2021, the Committee and Board of Directors took into consideration the results of the 2020 Pay Study which was conducted in the latter part of 2020. The results of this study showed that Mr. Bhasin’s base salary and incentives were, on a look-back basis, within the competitive market range for his position. Looking forward, his base salary and targeted incentives were projected to be within the competitive market range. Based on this information, his strong individual performance, our strong business results in 2020, and the then prevailing economic conditions, the Committee and Board of Directors gave Mr. Bhasin a standard merit increase of 2.0 percent. The Committee and Board of Directors had given Mr. Bhasin above standard merit increases of 3.6 percent for 2019 (3.0 percent was standard for 2019) and 9.0 percent for 2020 (2.0 percent was standard for 2020) based on the results of similar studies that McLagan had conducted for us which showed that his base salary and targeted incentives lagged the competitive range for his position in those years.

In setting the base salaries of our other named executive officers for 2021, the Committee took into consideration the results of the 2020 Pay Study, which showed that the base salaries and targeted incentive opportunities for our named executive officers were projected to be within the competitive market range for their positions with one exception (for that position, base salary and the targeted incentive opportunity were just outside the lower bound of the competitive market range). Based on this information, the then prevailing economic conditions and Mr. Bhasin’s subjective assessments of various other factors, he recommended, and the Committee approved, standard merit increases of 2.0 percent for Ms. Chapman and Messrs. Lewis, Madhavan and Pan.

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The base salaries of our named executive officers are presented in the Summary Compensation Table on page 104.

Incentive Compensation

The 2021 EIP provides cash-based award opportunities to all of our executive officers by means of an annual award ("Annual Award"). The Annual Award was based on the achievement of short-term performance goals for the period from January 1, 2021 through December 31, 2021 (the "2021 Performance Goals") and, for 50 percent of that award, the satisfaction of safety and soundness goals for the period from January 1, 2022 through December 31, 2024.

The 2021 Performance Goals that were used to calculate the Annual Award were established by the Board of Directors and fell into the following broad categories: (a) business activity and financial execution; (b) technology modernization; (c) operational excellence, which was structured as one goal comprising 14 projects; (d) learning initiatives; and (e) diversity and inclusion initiatives. Within each category other than technology modernization and operational excellence, there were multiple goals and each goal (including the technology modernization and operational excellence goals) was assigned a specific percentage weight with a threshold, target and stretch objective.

For Mr. Bhasin, the incentive factor for each 2021 Performance Goal could have been 0 percent (if the threshold objective was not met), 50 percent (if results were equal to the threshold objective), 75 percent (if results were equal to the target objective) or 100 percent (if results were equal to or greater than the stretch objective). For Messrs. Madhavan and Pan, the incentive factor for each 2021 Performance Goal could have been 0 percent (if the threshold objective was not met), 30 percent (if results were equal to the threshold objective), 60 percent (if results were equal to the target objective) or 80 percent (if results were equal to or greater than the stretch objective). For Mr. Lewis and Ms. Chapman, the incentive factor for each 2021 Performance Goal could have been 0 percent (if the threshold objective was not met), 30 percent (if results were equal to the threshold objective), 50 percent (if results were equal to the target objective) or 70 percent (if results were equal to or greater than the stretch objective).

Achievement levels between threshold and target and between target and stretch for each 2021 Performance Goal were interpolated in a manner as determined by the Committee. The results for each 2021 Performance Goal were multiplied by the assigned percentage weight to determine its contribution to the overall 2021 EIP goal percentage for each of our named executive officers. For example, if the stretch objective was achieved for a goal with a percentage weight of 10.0 percent, then the contribution of that goal to Mr. Bhasin’s overall goal percentage was 10.0 percent (10.0 percent x 100 percent). For Messrs. Madhavan and Pan, the contribution of that same goal to their overall goal percentage was 8.0 percent (10.0 percent x 80 percent). For Mr. Lewis and Ms. Chapman, the contribution of that same goal to their overall goal percentage was 7.0 percent (10.0 percent x 70 percent). The percentages derived from this calculation for each 2021 Performance Goal were added together to derive each executive’s overall goal percentage for the 2021 EIP, which percentage was then multiplied by the executive’s 2021 base salary to determine his or her final Annual Award.

Generally, the Board of Directors has attempted to set the threshold, target and stretch objectives for our EIPs such that the relative difficulty of achieving each level is consistent from year to year.

For 2021, the Board of Directors established 17 separate performance goals, each of which had a specific percentage weight ranging from 1 percent to 35 percent. As further set forth in the table below, the goals relating to our business activity and financial execution objectives, technology modernization objective, operational excellence objectives, learning initiatives and diversity and inclusion initiatives comprised 30 percent, 15 percent, 35 percent, 10 percent and 10 percent, respectively, of our overall 2021 Performance Goals.

As more fully discussed in the section entitled “Grants of Plan-Based Awards” beginning on page 105, the Board of Directors could, among other things, adjust the 2021 Performance Goals to ensure the purposes of the 2021 EIP were served. In addition, the Board of Directors, in its discretion, could consider extraordinary occurrences when assessing performance results and determining award payments. Extraordinary occurrences mean those events that, in the opinion and at the discretion of the Board of Directors, are outside the significant influence of the executive or us and are likely to have a significant unanticipated effect, whether positive or negative, on our operating and/or financial results. No adjustments were made to the 2021 Performance Goals.

For 2021, we had as one of our goals growth in our retained earnings from adjusted net income. This measure of our net income excluded (1) unrealized gains and losses on derivatives and hedging activities (including the exclusion of the related basis adjustments in the calculation of the gains or losses associated with the sale of any of our previously hedged investment securities), (2) unrealized gains and losses on trading securities, (3) net prepayment fees on advances and agency commercial mortgage-backed securities, (4) any recoveries of other-than-temporary impairment charges on our private-label mortgage-backed securities that had been recorded in periods prior to 2020 (as such charges were excluded from this measure of our net income in those years) and (5) interest expense on mandatorily redeemable capital stock. In addition, so as not to exclude the costs associated with our interest rate caps, we included proforma amortization of the premiums paid for such caps. Further, for

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similar reasons, we included the actual losses (i.e., principal shortfalls), if any, incurred on our private-label mortgage-backed securities.

2021 EIP Objectives

(dollars in millions)

	Percentage Weight		Objective								Contribution to the Executive's Overall Goal Percentage
			Threshold		Target		Stretch		Results		Mr. Bhasin		Mr. Madhavan and Mr. Pan		Mr. Lewis and Ms. Chapman
Business Activity and Financial Execution
1. Daily Average Advances Outstanding	10	%	$	25,500	$	28,500	$	30,000	$	30,919	10.0000	%	8.0000	%	7.0000	%
2. MPF Assets Acquired (UPB)	6	%	$	500	$	1,000	$	1,250	$	1,329	6.0000	%	4.8000	%	4.2000	%
3. New Small Business Boost Commitments	2	%	$	2.0	$	2.5	$	3.0	$	3.0	2.0000	%	1.6000	%	1.4000	%
4. Growth in Retained Earnings from Adjusted Net Income	12	%	$	77.0	$	91.3	$	97.8	$	121.6	12.0000	%	9.6000	%	8.4000	%
	30	%									30.0000	%	24.0000	%	21.0000	%
Technology Modernization
Complete 2021 Deliverables for a New Banking and Collateral Management System (based on number of components completed)	15	%	5 of 7		6 of 7		7 of 7		7 of 7		15.0000	%	12.0000	%	10.5000	%
Operational Excellence	35	%	110 pts		147 pts		184 pts		144 pts		25.5405	%	20.1486	%	16.9324	%
Secure Connect Branding (Look and Feel Only) (25 pts)									Completed
Secure Connect: 2 Member Data APIs (25 pts)									Incomplete
Move 90% of Reports from ODS to EDW (24 pts)									Completed
Modernize Access for Members and Employees (24 pts)									Completed
Implement New Desktop Verification Tool (24 pts)									Completed
Migrate Historical Record Retention Reports to a New Solution (15 pts)									Completed
Migrate File Shares to the Cloud (15 pts)									Incomplete
Migrate Bank-developed Apps to the Cloud (9 pts)									Completed
Upgrade Database Management System Across All Applications (6 pts)									Completed
Implement GrantConnect 6 pts)									Completed
Complete 5 Automation Projects (6 pts)									Completed
Develop DDA Application Strategy and Plan (3 pts)									Completed
Achieve 5 RPA Certifications (1 point)									Completed
Achieve 10 Cloud Certifications (1 point)									Completed
	35	%									25.5405	%	20.1486	%	16.9324	%
Learning Initiatives
1. Individual: Employee Attendance at a Minimum of One SME Session (% participation)	1	%	70%		80%		90%		100%		1.0000	%	0.8000	%	0.7000	%
2. Individual: Employees Learn New Skills (% of employees, number of new skills)	3	%	100%, one new		90%, two new		90%, three new		99.48%, three new		3.0000	%	2.4000	%	2.1000	%
3. Individual: Managers Participate in Performance Management Tabletop Session (% participation)	2	%	80%		90%		100%		100%		2.0000	%	1.6000	%	1.4000	%
4. Individual: Resilience Training (% participation)	1	%	80%		90%		100%		100%		1.0000	%	0.8000	%	0.7000	%
5. Corporate: Bank-wide Project (% participation)	1	%	70%		90%		95%		97.96%		1.0000	%	0.8000	%	0.7000	%
6. External: Member Organization Attendance at AHP Workshop Webinars	1	%	53		61		68		72		1.0000	%	0.8000	%	0.7000	%
7. External: Attendees from Member Organizations at Member Webinars	1	%	175		225		275		1,206		1.0000	%	0.8000	%	0.7000	%
	10	%									10.0000%		8.0000	%	7.0000	%
Diversity and Inclusion Initiatives
1. Conduct a D&I Survey (% participation)	2	%	80%		90%		98%		84.21%		1.2105	%	0.8526	%	0.7684	%
2. Network with HBCUs in Support of Recruitment and Internship Program (count of interns hired from HBCUs)	3	%	One		Two		Three		Three		3.0000	%	2.4000	%	2.1000	%
3. Implement Formal Process to Review Spending and Contract Metrics to Identify Opportunities to Use Diverse Suppliers (measured by quarter of completion)	3	%	Q4		Q3		Q2		Q2		3.0000	%	2.4000	%	2.1000	%
4. Conduct Bank-wide Development/Training on Cultural Sensitivity (% participation)	2	%	90%		95%		100%		100%		2.0000	%	1.6000	%	1.4000	%
	10	%									9.2105	%	7.2526	%	6.3684	%
Overall 2021 EIP Goal Percentage	100	%									89.7510	%	71.4012	%	61.8008	%

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As shown in the table above, we achieved the stretch objective for 15 of the 17 performance goals. For each of the other 2 goals, which had a combined weighting of 37 percent, we achieved a level of performance between the threshold and target level. These results produced overall achievement rates for our named executive officers ranging from 88.3 percent to 89.8 percent (calculated by dividing the executive's 2021 EIP goal percentage by his or her maximum award percentage). In comparison, the overall achievement rates for our named executive officers under the 2020 EIP, 2019 EIP, 2018 EIP and 2017 EIP were approximately 92 percent, 77 percent, 97 percent and 100 percent, respectively. The results for 2017 represented the only time we have attained the highest possible achievement level for one of our short-term incentive plans.

Because each named executive officer received a performance rating for 2021 of at least "Solid Performance," 50 percent of the executive’s final Annual Award under the 2021 EIP (the "2021 Current Award") became earned and vested on December 31, 2021 and was payable no later than March 15, 2022. The remaining 50 percent of the executive’s final Annual Award under the 2021 EIP (the "2021 Deferred Award") will become earned and vested on December 31, 2024 if the conditions described in the Grants of Plan-Based Awards section are satisfied.

The possible Annual Awards that could be earned by our named executive officers for 2021 are presented in the Grants of Plan-Based Awards section. The calculation of the Annual Awards earned by our named executive officers in 2021 is shown in the table below. The 2021 Current Awards are included in the Summary Compensation Table on page 104 in the column entitled "Non-Equity Incentive Plan Compensation."

Name	Base Salary as of January 1, 2021 ($)	2021 EIP Goal Percentage		2021 EIP Annual Award ($)	2021 EIP Current Award ($)	2021 EIP  Deferred Award ($)
Sanjay Bhasin	950,589	89.7510	%	853,163	426,582	426,581
Tom Lewis	418,788	61.8008	%	258,814	129,407	129,407
Kalyan Madhavan	542,754	71.4012	%	387,533	193,767	193,766
Jibo Pan	427,936	71.4012	%	305,551	152,776	152,775
Brehan Chapman	370,122	61.8008	%	228,738	114,369	114,369

Each of our named executive officers participated in the 2018 EIP which, like the 2021 EIP discussed above, provided for a deferred award that was equal to 50 percent of the executive's final Annual Award under the 2018 EIP (the "2018 Deferred Award"). The following table shows the 2018 Deferred Awards with interest at 6 percent compounded annually over the period from January 1, 2019 through December 31, 2021 (the "2018 Deferral Performance Period"). The 2018 Deferred Awards, which are more fully discussed in the Compensation Discussion and Analysis section of our 2018 10-K, became earned and vested on December 31, 2021 because: (i) each of the named executive officers was actively employed by us on December 31, 2021; (ii) each of the named executive officers received a performance rating for 2021 of at least "Solid Performance"; and (iii) the safety and soundness goals set forth in the paragraph immediately following the table were satisfied during the 2018 Deferral Performance Period.

Name	2018 EIP Deferred Award ($)	Interest on 2018 EIP Deferred Award ($)	2018 EIP Deferred Award Including Interest ($)
Sanjay Bhasin	380,903	72,759	453,662
Tom Lewis	114,149	21,804	135,953
Kalyan Madhavan	158,771	30,328	189,099
Jibo Pan	123,986	23,683	147,669
Brehan Chapman	106,705	20,382	127,087

The safety and soundness goals applicable to the 2018 Deferred Award that were met during the 2018 Deferral Performance Period were: (i) we had no material risk management deficiencies at the Bank; (ii) no operational errors or omissions resulted in material revisions to our financial results, information submitted to the Finance Agency, or data used to determine incentive payouts; (iii) no submission of material information to the SEC, the FHLBanks Office of Finance, and/or the Finance Agency was significantly past due; (iv) we made sufficient progress, as determined by the Board of Directors, in the timely remediation of significant examination, monitoring and other supervisory findings; and (v) we had sufficient capital to pay dividends and repurchase members’ stock.

Defined Benefit Pension Plan

All regular employees hired prior to January 1, 2007 who work a minimum of 1,000 hours per year participate in the Pentegra Defined Benefit Plan for Financial Institutions ("Pentegra DB Plan"), a tax-qualified multiemployer defined benefit pension plan. The plan also covers any of our regular employees hired on or after January 1, 2007 who work a minimum of 1,000 hours per year, provided that the employee had prior service with a financial services institution that participated in the Pentegra DB Plan, during which service the employee was covered by such plan. Effective July 1, 2015, coverage was extended to include

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all of our non-highly compensated employees (as defined by Internal Revenue Service rules) who were hired on and after January 1, 2007 but before August 1, 2010 who work a minimum of 1,000 hours per year. Concurrently, we amended our participation in the Pentegra DB Plan such that some of the benefits offered by the plan were reduced prospectively (that is, on and after July 1, 2015) for employees who were hired prior to July 1, 2003. Under these participation rules, all of our named executive officers participate in the plan. Because this is a qualified defined benefit plan, it is subject to certain compensation and benefit limitations imposed by the Internal Revenue Service. In 2021, the maximum compensation limit was $290,000 and the maximum annual benefit limit was $230,000. The pension benefit earned under the plan is based on the number of years of credited service (up to a maximum of 30 years) and compensation earned over an employee’s 36 highest consecutive months of earnings. For employees hired prior to July 1, 2003, the high 36-month average compensation for purposes of the benefit earned prior to that date became fixed as of July 1, 2015. For employees hired on and after July 1, 2003, the high 36-month average compensation is calculated over the employee's entire participation period.

This element of our compensation program is one of several that constitute an integral part of our retention strategy, which is to reward tenure by linking it to compensation. It also represents an effort on our part to partially offset our inability to provide equity-based compensation to our employees. We consider this benefit to be a significant element of our compensation program as it pertains to our named executive officers and other key tenured employees. Based on this belief, we have elected to provide a benefit under this plan that we believe is at or near the median for comparable companies that offer this benefit, although we have not conducted any recent studies to confirm this.

The details of this plan and the accumulated pension benefits for our named executive officers can be found in the Pension Benefits Table and accompanying narrative on pages 107-110 of this report.

Defined Contribution Savings Plan

We offer all regular employees who work a minimum of 1,000 hours per year, including our executive officers, the opportunity to participate in the FHLBank of Dallas 401(k) Retirement Plan ("FHLB Dallas DC Plan"), a tax-qualified defined contribution plan. Because this is a qualified plan, it is subject to the maximum compensation limit set by the Internal Revenue Code, which for 2021 was $290,000 per year. In addition, the combined calendar year contributions to a qualified defined contribution plan from both us and the employee are limited by the Internal Revenue Code. For 2021, combined contributions from both us and the employee to the FHLB Dallas DC Plan could not exceed $58,000. The FHLB Dallas DC Plan includes a pre-tax 401(k) option along with an opportunity to make contributions on an after-tax basis. The limitation on combined contributions applies to an employee's pre-tax and after-tax contributions and any matching contributions we make on his or her behalf. The limitation on an employee's pre-tax contributions was $19,500 for 2021. Employees who were age 50 or older could elect in 2021 to make additional pre-tax contributions (commonly known as catch-up contributions) of up to $6,500. Catch-up contributions are not taken into account in applying the combined contribution limit which, for employees who were age 50 or older, was $64,500 for 2021.

Subject to the limits prescribed by the Internal Revenue Code, employees can contribute up to 75 percent of their monthly base salary and up to 100 percent of their incentive compensation on either a pre-tax or after-tax basis.

For employees hired prior to January 1, 2019, we provide matching funds on the first 3 percent of eligible monthly base salary contributed by employees who are eligible to participate in the Pentegra DB Plan, and on the first 5 percent of eligible monthly base salary contributed by employees who are not eligible to participate in the Pentegra Defined Benefit Plan for Financial Institutions. In each case, our matching contribution is 100 percent, 150 percent or 200 percent depending upon the employee’s length of service, including, if applicable, their service with a financial services institution that participated in the Pentegra Defined Contribution Plan for Financial Institutions ("Pentegra DC Plan"), during which service the employee was covered by such plan. The Pentegra DC Plan is a tax-qualified multiemployer defined contribution plan in which we participated prior to the establishment of the FHLB Dallas DC Plan in December 2018. Employees who are eligible to participate in the Pentegra DB Plan are fully vested in our matching contributions at the time such funds are deposited in their account. For employees who do not participate in the Pentegra DB Plan, there is a 2-6 year step vesting schedule for our matching contributions with the employee becoming fully vested after 6 years.

For employees hired on or after January 1, 2019, we provide matching funds on the first 3 percent of eligible monthly base salary contributed by the employee. For this group of employees, our matching contribution is 100 percent in the first three years of employment, 150 percent in the next two years and 200 percent after the employee has completed five years of employment. For this group of employees, there is a 3-year step vesting schedule for our matching contributions, with the employee becoming fully vested after 3 years.

Under the FHLB Dallas DC Plan, participants can elect to invest plan contributions in up to 26 different fund options.

Based on their tenure with us (and, in the case of Messrs. Bhasin, Madhavan and Pan, their service with the Federal Home Loan Bank of Chicago during which service each of them was covered by the Pentegra DC Plan), each of our named executive officers was eligible to receive in 2021 a 200 percent matching contribution on the first 3 percent of his or her eligible monthly

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base salary that he or she contributed to the plan, subject in all cases to the compensation limit prescribed by the Internal Revenue Code. The matching contributions that were made by us are included in the “All Other Compensation” column of the Summary Compensation Table found on page 104 and further set forth under the “401(k)/Thrift Plan” column of the related “Components of All Other Compensation for 2021” table.

We offer the savings plan as a competitive practice and believe that our matching contributions to the plan are at or above the market median for comparable companies, although we have not conducted any recent studies to confirm this.

Deferred Compensation Program

Under the terms of our nonqualified deferred compensation program, we offer our highly compensated employees, including our named executive officers, the opportunity to voluntarily defer receipt of all or part of their base salary and all or part of their non-equity incentive plan compensation. The program allows participants to save for retirement or other future-dated in-service obligations (e.g., college, home purchase, etc.) in a tax-effective manner, as contributions and earnings on those contributions are not taxable to the participant until received. Under the program, amounts deferred by the participant and our matching contributions can be invested in an array of externally managed mutual funds.

We offer the program to allow our highly compensated employees to voluntarily defer more compensation than they would otherwise be permitted to defer under our tax-qualified defined contribution savings plan as a result of the limits imposed by the Internal Revenue Code. Further, we offer this program as a competitive practice to help us attract and retain top talent. The matching contributions that we provide in this plan are intended to make the participant whole with respect to the amount of matching funds that he or she would have otherwise been eligible to receive in our tax-qualified defined contribution savings plan if not for the limits imposed by the Internal Revenue Code. These matching contributions are included in the “All Other Compensation” column of the Summary Compensation Table found on page 104 and further set forth under the “Nonqualified Deferred Compensation Plan (NQDC Plan)” column of the related “Components of All Other Compensation for 2021” table. As noted above, we believe that our matching contributions to the qualified savings plan are at or above the market median for comparable companies. Based on our experience and general knowledge of the competitive market, we believe this may also be true for the matching contributions that we provide under the deferred compensation program, although we have not conducted a study to confirm this. The provisions of this program are described more fully in the narrative accompanying the Nonqualified Deferred Compensation table on pages 110-113.

Supplemental Executive Retirement Plan

We maintain a supplemental executive retirement plan (“SERP”) that benefits Mr. Lewis and some of our former executives. The SERP is a nonqualified defined contribution plan and, as such, it does not provide for a specified retirement benefit. Based on a recommendation from management in 2014, the Committee and Board of Directors decided to discontinue contributions to our SERP for the foreseeable future. While the Committee and Board of Directors could consider reactivating or replacing the SERP at some point in the future, there is no current plan to do so. If the SERP is ever reactivated or replaced, the Committee and Board of Directors would expect to add our other executive officers as participants. While active, our intent with the SERP was to make up a portion of the pension benefit that was lost under our tax-qualified plan due to limitations imposed by the Internal Revenue Code (it was never our intention to provide a full restoration of the lost benefit under the tax-qualified defined benefit plan). Our final contribution to the SERP was made in 2014. Each participant’s benefit under the SERP consists of the contributions we made on his or her behalf, plus an allocation of the investment gains or losses on the assets used to fund the plan. Contributions to the SERP were determined solely at the discretion of our Board of Directors and were, during the periods in which they were made, based upon our desire to provide a reasonable level of supplemental retirement income to the participants. Generally, benefits under the SERP vest when the participant attains the “Rule of 70.” A participant attains the Rule of 70 when the sum of his or her age and years of service with us is at least 70. As of December 31, 2021, Mr. Lewis had met the Rule of 70. The provisions of the plan provide for accelerated vesting and payment in the event of a participant’s death or disability if such participant is not otherwise vested at the time of his or her death or disability. Otherwise, vested benefits are not payable to the participant until he or she reaches age 62 or, if later, upon retirement. We maintain the right at any time to amend or terminate the SERP, or remove a participant from the SERP at our discretion, except that no amendment, modification or termination may reduce the then vested account balance of any participant.

Many other comparable financial institutions in our defined competitive markets offer supplemental executive retirement plans that are designed to fully restore the lost benefits under their tax qualified plans and therefore our decision not to offer this form of compensation may put us at a competitive disadvantage.

For details regarding the operation of Groups 1 and 2 of our SERP and the account balances for Mr. Lewis as of December 31, 2021, please refer to the Nonqualified Deferred Compensation table and accompanying narrative beginning on page 110.

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Other Benefits

We offer a number of other benefits to our executive officers pursuant to benefit programs that are available to all of our regular, full-time employees. These benefits include: medical, dental, vision and prescription drug benefits; paid time off (in the form of vacation and flex leave); short- and long-term disability coverage; life and accidental death and dismemberment insurance; charitable gift matching (limited to $500 per employee per year); health and dependent care flexible spending accounts; healthcare savings accounts; and certain other benefits including, but not limited to, retiree health and limited life insurance benefits (provided certain eligibility requirements are met).

Our employees accrue vacation at different rates depending upon their length of service, with some exceptions for officers during their first five years of employment with us. After an employee has completed 12 or more years of service (including any prior service with another FHLBank, subject to certain exceptions), he or she is entitled to 200 hours of annual vacation leave. We typically limit the amount of accrued and unused vacation leave that an employee can accumulate to two times the amount of vacation he or she earns in an annual period. This policy is effected by allowing employees to carry over no more than the amount of vacation that he or she earns in an annual period to the next calendar year. Due to the COVID-19 pandemic, we made an exception to this policy in 2020 wherein we allowed our employees to carry over an additional 80 hours of vacation from 2020 to 2021. For the same reason, we made an exception to this policy in 2021 wherein we allowed our employees to carry over an additional 40 hours of vacation from 2021 to 2022. Unused vacation in excess of the maximum carryover, if any, is deducted from an employee's vacation account balance on December 31. Based on their length of service (including, in the case of Messrs. Bhasin, Madhavan and Pan, their service with the Federal Home Loan Bank of Chicago), each of our named executive officers currently accrue 200 hours of vacation leave per year. If an employee's employment with us is terminated for any reason, he or she is entitled to receive a payment for all accrued but unused vacation time as of their termination date, which, as noted above, typically cannot exceed two times the amount of vacation that he or she earns in an annual period. This payment is derived by multiplying the number of accrued but unused vacation hours as of the employee's termination date by his or her hourly rate. For this purpose, the hourly rate is computed by dividing the employee's base salary by 2,080 hours.

All of our regular full-time employees, including our executive officers, accrue 80 hours of flex leave per year. Flex leave is defined as accrued leave that is available for personal injury or illness, family injury or illness, personal time off (limited to no more than 16 hours per year), and leave covered under the provisions of the Family and Medical Leave Act of 1993. We limit employees' annual flex leave carryover amount to 520 hours. Employees (including executive officers) are not entitled to receive any payments under our flex leave policy under any circumstances, including a termination of their employment for any reason.

Perquisites

In 2021, we did not provide any perquisites to our named executive officers.

Executive Employment Agreements

Effective January 1, 2014 and March 24, 2015, we entered into employment agreements with Ms. Chapman and Mr. Bhasin, respectively. These agreements were authorized and approved by the Committee and Board of Directors and resulted from the Board’s desire to retain the services of Ms. Chapman and Mr. Bhasin for no less than the one-year term of the agreements. On each yearly anniversary, the executive's employment agreement automatically renews for an additional one-year term unless either we or the executive gives a notice of non-renewal not less than 30 days prior to the expiration date. Because neither we nor either of the executives gave a notice of non-renewal, the term of Ms. Chapman's employment agreement was automatically extended through December 31, 2022 and the term of Mr. Bhasin's employment agreement was automatically extended through March 23, 2023.

As more fully described in the section entitled “Potential Payments Upon Termination or Change in Control” beginning on page 114, the employment agreements with Mr. Bhasin and Ms. Chapman provide for payments in the event that the executive officer's employment with us is terminated either by the executive for good reason or by us other than for cause, by reason of the executive's death or disability, or as a result of us giving notice of non-renewal of the employment agreement at a time when the executive is willing and able to continue his or her employment on substantially the same terms. We believe the specified triggering events and the payments resulting from those events are similar in nature and amount to those commonly found in agreements used by comparable companies and therefore advance our objective of retaining Mr. Bhasin and Ms. Chapman.

We considered the actions with respect to Mr. Bhasin and Ms. Chapman to be prudent based on our belief that they are extremely well qualified to perform the duties of their jobs, that they have skill sets that are highly sought after in the financial services industry, that they have valuable historical knowledge of us and the FHLBank System, and/or that their continued employment with us is essential to our ability to meet our business objectives.

Currently, we do not have employment agreements with Messrs. Lewis, Madhavan or Pan, nor do we expect to enter into employment agreements with these executives in the foreseeable future.

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2022 Compensation Actions

The 2022 base salaries for our named executive officers (and the percentage change from the salaries in effect at December 31, 2021) are presented below. All of the salaries in the table below were effective January 1, 2022.

Name	2022 Base Salary ($)	Percentage Change
Sanjay Bhasin	979,107	Increase of 3.0 percent
Tom Lewis	431,351	Increase of 3.0 percent
Kalyan Madhavan	559,037	Increase of 3.0 percent
Jibo Pan	440,774	Increase of 3.0 percent
Brehan Chapman	381,226	Increase of 3.0 percent

In August 2021, we engaged McLagan to conduct a competitive market pay study for all of our executive officers (the “2021 Pay Study”). The results of the 2021 Pay Study showed that the base salaries and incentives for our named executive officers were, on a look-back basis, within the competitive market range for their positions. Looking forward, base salaries and targeted incentive opportunities for our named executive officers were projected to be within the competitive market range for their positions with one exception (for that position, base salary and the targeted incentive opportunity were just outside the lower bound of the competitive market range). Based on this information and the then prevailing economic and business conditions, the Committee and Board of Directors gave Mr. Bhasin a standard merit increase of 3.0 percent and the Committee approved, based upon Mr. Bhasin's recommendation, standard merit increases of 3.0 percent for Ms. Chapman and Messrs. Lewis, Madhavan and Pan.

On December 2, 2021, the Board of Directors, acting upon a recommendation from the Committee, approved our 2022 EIP, subject to the review of the Finance Agency. On January 31, 2022, the Finance Agency informed us that it did not object to the 2022 EIP. The 2022 EIP was retroactively effective as of January 1, 2022. Like previous EIPs, the 2022 EIP provides for an annual award (the "2022 Annual Award"), 50 percent of which can be fully earned in 2022 (the "2022 Current Award"). The 2022 Annual Award is based on the achievement of performance goals for the period from January 1, 2022 through December 31, 2022. The remaining 50 percent of an executive's 2022 Annual Award (the "2022 Deferred Award"), with interest at 6 percent compounded annually over the period from January 1, 2023 through December 31, 2025 (the "2022 Deferral Performance Period") will not become fully earned and vested until December 31, 2025 and then only if: (1) the same safety and soundness goals that applied to the 2018 Deferred Award are satisfied during the 2022 Deferral Performance Period; (2) the executive receives a performance rating for 2025 of at least "Solid Performance"; and (3) the executive is actively employed by us on December 31, 2025. An executive’s 2022 Deferred Award is payable no later than March 15, 2026.

For the incentives that can be earned in 2022 (which will be payable in early 2023), our executive officers will derive 50 percent of their incentive opportunity from the 2022 EIP (via the 2022 Current Award) and 50 percent of their incentive opportunity from the 2019 EIP Deferred Award discussed below.

For purposes of our 2022 Annual Award, the Board of Directors established 18 performance goals (the "2022 Performance Goals"). The 2022 Performance Goals fall into the following broad categories (with category weights in parentheses): (a) business activity and financial execution (25 percent); (b) technology modernization (30 percent); (c) operational excellence (25 percent); (d) learning initiatives (10 percent); and (e) diversity, equity and inclusion initiatives (10 percent). Within each category, there are one or more goals and each goal has been assigned a specific percentage weight with a threshold, target and stretch objective.

For Mr. Bhasin, the incentive factor for each 2022 Performance Goal can be 0 percent (if the threshold objective is not met), 50 percent (if results are equal to the threshold objective), 75 percent (if results are equal to the target objective) or 100 percent (if results are equal to or greater than the stretch objective). For Messrs. Madhavan and Pan, the incentive factor for each 2022 Performance Goal can be 0 percent (if the threshold objective is not met), 30 percent (if results are equal to the threshold objective), 60 percent (if results are equal to the target objective) or 80 percent (if results are equal to or greater than the stretch objective). For Mr. Lewis and Ms. Chapman, the incentive factor for each 2022 Performance Goal can be 0 percent (if the threshold objective is not met), 30 percent (if results are equal to the threshold objective), 50 percent (if results are equal to the target objective) or 70 percent (if results are equal to or greater than the stretch objective). These incentive factors are unchanged from those that applied to the 2021 Annual Award.

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Achievement levels between threshold and target and between target and stretch for each 2022 Performance Goal will be interpolated in a manner as determined by the Committee. Like previous EIPs, the results for each 2022 Performance Goal will be multiplied by the assigned percentage weight to determine its contribution to the overall 2022 EIP goal percentage. The percentages derived from this calculation for each 2022 Performance Goal will be added together to derive each executive’s overall goal percentage for the 2022 EIP, which percentage will then be multiplied by the executive’s 2022 base salary to determine his or her final 2022 Annual Award. The executive's final 2022 Annual Award will be multiplied by 50 percent to derive his or her 2022 Current Award.

The following table sets forth an estimate of the possible 2022 Annual Awards (and, for 50 percent of those awards, the 2022 Current Awards) that can be earned by our named executive officers under the 2022 EIP. The threshold amounts were computed based upon the assumption that we would achieve the threshold objective for each of the 2022 Performance Goals. The target amounts were computed based upon the assumption that we would achieve the target objective for each of the 2022 Performance Goals. The maximum amounts were computed based upon the assumption that we would achieve the stretch objective for each of the 2022 Performance Goals. In addition, the threshold, target and maximum 2022 Current Awards are based upon the assumption that each of our named executive officers will receive a performance rating for 2022 of at least "Solid Performance." An executive's 2022 Current Award will become earned and vested on December 31, 2022 provided he or she is actively employed on that date and such award is payable no later than March 15, 2023. Given the number of variables involved in the calculation of our 2022 EIP awards, the ultimate payouts (other than the maximum payouts) can vary significantly. For instance, the 2022 EIP awards can be less than the threshold amounts if we achieve one or some (but not all) of the threshold objectives relating to the 2022 Performance Goals. In addition, as noted above, achievement levels between threshold and target and between target and stretch will be interpolated and, as a result, the ultimate awards payable to the named executive officers could vary significantly between the threshold and maximum amounts presented in the table.

	Estimated Possible 2022 Annual Award			Estimated Possible Payouts in Early 2023 Under Non-Equity Incentive Plan Awards for 2022 EIP (2022 Current Award)
Name	Threshold  ($)	Target ($)	Maximum  ($)	Threshold  ($)	Target ($)	Maximum  ($)
Sanjay Bhasin	489,554	734,330	979,107	244,777	367,165	489,554
Tom Lewis	129,405	215,676	301,946	64,703	107,838	150,973
Kalyan Madhavan	167,711	335,422	447,230	83,856	167,711	223,615
Jibo Pan	132,232	264,464	352,619	66,116	132,232	176,310
Brehan Chapman	114,368	190,613	266,858	57,184	95,307	133,429

As previously noted, the remaining 50 percent of our executives' 2022 incentive opportunity will be derived from their 2019 Deferred Award. The amount of each executive's 2019 Deferred Award (before interest) became fixed at the end of 2019 based on the achievement of performance goals for the period from January 1, 2019 through December 31, 2019. The performance goals that were applicable to the 2019 Deferred Award are more fully discussed in the Compensation Discussion and Analysis section of our 2019 10-K.

An executive's 2019 Deferred Award will become earned and vested on December 31, 2022 if: (i) the safety and soundness goals set forth in the next paragraph are satisfied during the three-year deferral performance period which runs from January 1, 2020 through December 31, 2022 (the "2019 Deferral Performance Period"); (ii) the executive receives a performance rating for 2022 of at least "Solid Performance"; and (iii) the executive is actively employed by us on December 31, 2022. An executive’s 2019 Deferred Award is payable no later than March 15, 2023 with interest at 6 percent compounded annually over the 2019 Deferral Performance Period.

The safety and soundness goals that must be satisfied during the 2019 Deferral Performance Period are: (i) no material risk management deficiency exists at the Bank; (ii) no operational errors or omissions result in material revisions to our financial results, information submitted to the Finance Agency, or data used to determine incentive payouts; (iii) no submission of material information to the SEC, the FHLBanks Office of Finance, and/or the Finance Agency is significantly past due; (iv) we make sufficient progress, as determined by the Board of Directors, in the timely remediation of significant examination, monitoring and other supervisory findings; and (v) we have sufficient capital to pay dividends and repurchase members’ stock.

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The following table shows the deferred awards under the 2019 EIP, the anticipated growth in those awards during the 2019 Deferral Performance Period, and the total 2019 Deferred Awards (inclusive of interest) that will be payable in early 2023 provided all of the conditions for payment are met.

Name	2019 EIP  Deferred Award ($)	Interest on  Deferred Award ($)	Total 2019 EIP Deferred Award  Including Interest ($)
Sanjay Bhasin	313,731	59,928	373,659
Tom Lewis	93,709	17,900	111,609
Kalyan Madhavan	130,974	25,018	155,992
Jibo Pan	103,267	19,726	122,993
Brehan Chapman	87,598	16,733	104,331

The following table combines the possible 2022 EIP Current Awards and the actual 2019 Deferred Awards (including interest) from the two preceding tables and represents the total non-equity incentive plan compensation that can be fully earned by our named executive officers in 2022.

	Estimated Possible Payouts in Early 2023 for 2022 Incentive Opportunities
	2022 EIP Current Award			2019 EIP Deferred Award Including Interest ($)	Total if 2022 EIP Current Award is at Threshold, Target or Maximum
Name	Threshold  ($)	Target ($)	Maximum  ($)		Threshold  ($)	Target ($)	Maximum  ($)
Sanjay Bhasin	244,777	367,165	489,554	373,659	618,436	740,824	863,213
Tom Lewis	64,703	107,838	150,973	111,609	176,312	219,447	262,582
Kalyan Madhavan	83,856	167,711	223,615	155,992	239,848	323,703	379,607
Jibo Pan	66,116	132,232	176,310	122,993	189,109	255,225	299,303
Brehan Chapman	57,184	95,307	133,429	104,331	161,515	199,638	237,760

Compensation Committee Report

The Compensation and Human Resources Committee has reviewed and discussed with management the Compensation Discussion and Analysis found on pages 91-103 of this report. Based on our review and discussions, we recommended to the Board of Directors that the Compensation Discussion and Analysis be included in the Bank’s Annual Report on Form 10-K.

The Compensation and Human Resources Committee

Mary E. Ceverha, Chairman

James D. Goudge, Vice Chairman

A. Fred Miller, Jr.

Sally I. Nelson

Robert M. Rigby

John P. Salazar

Margo S. Scholin

Ron G. Wiser

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SUMMARY COMPENSATION TABLE

The following table sets forth the total compensation for 2021, 2020 and 2019 (to the extent applicable) of our President and Chief Executive Officer, our Executive Vice President and Chief Financial Officer, and our three other most highly compensated executive officers who were serving as executive officers at the end of 2021. Collectively, the five individuals presented in the table are referred to as our "named executive officers." Because Brehan Chapman was not a named executive officer in 2019, only her 2020 and 2021 compensation information is presented.

Name and Principal Position	Year	Salary ($)	Bonus ($)	Stock Awards ($)	Option Awards ($)	Non-equity Incentive Plan Compensation ($) (1)	Change in Pension Value and Nonqualified Deferred Compensation Earnings ($) (2)	All Other Compensation ($) (3)	Total ($)
Sanjay Bhasin	2021	950,589	—	—	—	880,244	51,000	57,035	1,938,868
President/CEO	2020	931,950	—	—	—	839,241	287,000	54,570	2,112,761
	2019	855,000	—	—	—	649,230	279,000	51,300	1,834,530
Tom Lewis	2021	418,788	—	—	—	265,360	74,000	25,127	783,275
EVP/Chief Financial	2020	410,576	—	—	—	267,011	356,000	23,981	1,057,568
Officer	2019	373,251	—	—	—	195,649	370,000	22,395	961,295
Kalyan Madhavan	2021	542,754	—	—	—	382,866	67,000	32,071	1,024,691
EVP/Chief Business	2020	532,112	—	—	—	380,925	270,000	31,175	1,214,212
Officer	2019	521,679	—	—	—	272,351	267,000	30,063	1,091,093
Jibo Pan	2021	427,936	—	—	—	300,445	29,000	25,632	783,013
EVP/Head of Capital	2020	419,545	—	—	—	296,922	308,000	23,876	1,048,343
Markets	2019	411,319	—	—	—	213,548	296,000	22,332	943,199
Brehan Chapman	2021	370,122	—	—	—	241,456	16,000	10,572	638,150
EVP/Chief	2020	362,865	—	—	—	242,861	284,000	9,676	899,402
Administrative Officer

___________________________________

(1)Amounts for 2021 represent 2021 EIP Current Awards earned for services rendered in 2021 and 2018 EIP Deferred Awards earned for services rendered during 2018, 2019, 2020 and 2021. Amounts for 2020 represent 2020 EIP Current Awards earned for services rendered in 2020 and 2017 EIP Deferred Awards earned for services rendered during 2017, 2018, 2019 and 2020. Amounts for 2019 represent 2019 EIP Current Awards earned for services rendered in 2019 and Gap Year Awards earned for services rendered during 2017, 2018 and 2019. The amounts shown for 2021 were paid to the named executive officers on February 24, 2022. The amounts shown for 2020 and 2019 were paid to the executive officers in February 2021 and February 2020, respectively. The components of this column for 2021 are provided in the table below entitled "Components of Non-Equity Incentive Plan Compensation for 2021."

(2)Amounts reported in this column for 2021, 2020 and 2019 are attributable solely to the change in the actuarial present value of the named executive officers’ accumulated benefit under the Pentegra Defined Benefit Plan for Financial Institutions during those years, calculated for each such period in accordance with the assumptions and limitations set forth in the narrative following the pension benefits table on pages 107-110. None of our named executive officers received preferential or above-market earnings on nonqualified deferred compensation during 2021, 2020 or 2019.

(3)The components of this column for 2021 are provided in the table below entitled "Components of All Other Compensation for 2021."

Components of Non-Equity Incentive Plan Compensation for 2021

Name	2021 EIP Current Award ($)	2018 EIP Deferred Award ($)	Total Non-Equity Incentive Plan Compensation ($)
Sanjay Bhasin	426,582	453,662	880,244
Tom Lewis	129,407	135,953	265,360
Kalyan Madhavan	193,767	189,099	382,866
Jibo Pan	152,776	147,669	300,445
Brehan Chapman	114,369	127,087	241,456

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Components of All Other Compensation for 2021

Name	Bank Contributions to Vested Defined Contribution Plans
	401(k)/Thrift Plan ($)	Nonqualified Deferred Compensation  Plan (NQDC Plan) ($)	Perquisites ($)	Tax Gross ups ($)	Total All Other Compensation ($)
Sanjay Bhasin	17,400	39,635	—	—	57,035
Tom Lewis	17,400	7,727	—	—	25,127
Kalyan Madhavan	16,906	15,165	—	—	32,071
Jibo Pan	17,356	8,276	—	—	25,632
Brehan Chapman	10,572	—	—	—	10,572

GRANTS OF PLAN-BASED AWARDS

As discussed in the Compensation Discussion and Analysis, the 2021 EIP provided for an Annual Award, which was comprised of a Current Award and a Deferred Award. For the incentives that could be earned in 2021, our executive officers derived 50 percent of their incentive opportunity from the 2021 EIP (via the 2021 Current Award) and 50 percent of their incentive opportunity from the 2018 EIP (via the 2018 Deferred Award).

For Mr. Bhasin, the potential Annual Award under the 2021 EIP (before interest on the deferred portion, as described below), could have been 50 percent of salary (if the threshold objective was achieved for each of our 2021 Performance Goals), 75 percent of salary (if the target objective was achieved for each of our 2021 Performance Goals) or 100 percent of salary (if the stretch objective was achieved for each of our 2021 Performance Goals). For Messrs. Madhavan and Pan, the potential Annual Award under the 2021 EIP (before interest on the deferred portion), could have been 30 percent of salary (if the threshold objective was achieved for each of our 2021 Performance Goals), 60 percent of salary (if the target objective was achieved for each of our 2021 Performance Goals) or 80 percent of salary (if the stretch objective was achieved for each of our 2021 Performance Goals). For Mr. Lewis and Ms. Chapman, the potential Annual Award under the 2021 EIP (before interest on the deferred portion), could have been 30 percent of salary (if the threshold objective was achieved for each of our 2021 Performance Goals), 50 percent of salary (if the target objective was achieved for each of our 2021 Performance Goals) or 70 percent of salary (if the stretch objective was achieved for each of our 2021 Performance Goals).

The Current Award, representing 50 percent of the Annual Award, became earned and vested on December 31, 2021. The Deferred Award, representing the other 50 percent of the Annual Award, will become earned and vested on December 31, 2024 if: (i) the safety and soundness goals set forth in the next paragraph are satisfied during the three-year deferral performance period which runs from January 1, 2022 through December 31, 2024 (the "2021 Deferral Performance Period"); (ii) the executive receives a performance rating for 2024 of at least "Solid Performance"; and (iii) the executive is actively employed on December 31, 2024. An executive’s Deferred Award under the 2021 EIP is payable no later than March 15, 2025 with interest at 6 percent compounded annually over the three-year deferral performance period.

The safety and soundness goals that must be satisfied during the three-year deferral performance period are: (i) no material risk management deficiency exists at the Bank; (ii) no operational errors or omissions result in material revisions to our financial results, information submitted to the Finance Agency, or data used to determine incentive payouts; (iii) no submission of material information to the SEC, the FHLBanks Office of Finance, and/or the Finance Agency is significantly past due; (iv) we make sufficient progress, as determined by the Board of Directors, in the timely remediation of significant examination, monitoring and other supervisory findings; and (v) we have sufficient capital to pay dividends and repurchase members’ stock.

The following table sets forth an estimate of the possible Current Awards and Deferred Awards (before interest) that could have been earned by our named executive officers under the 2021 EIP. The achievement levels described above were used to compute the estimated awards shown in the table. Given the number of variables involved in the calculation of the Annual Awards, the ultimate awards (other than the maximum awards) could have varied significantly. For instance, the Annual Awards could have been less than 50 percent of salary for Mr. Bhasin and 30 percent of salary for Ms. Chapman and Messrs. Madhavan, Pan and Lewis if we failed to achieve the threshold objective for one or more of our 2021 Performance Goals but achieved the threshold objective for each of our other 2021 Performance Goals. In addition, because achievement levels between threshold and target and between target and stretch for each 2021 Performance Goal are interpolated, the ultimate 2021 EIP awards earned by the named executive officers could have varied significantly between the threshold and maximum amounts presented in the table. The 2021 EIP Current Awards that were actually earned by our named executive officers are presented in the Non-Equity Incentive Plan Compensation column in the Summary Compensation Table above and are described more fully in the Compensation Discussion and Analysis on pages 91 through 103.

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	Estimated Possible Awards for 2021 EIP
	2021 Current Award			2021 Deferred Award			Total 2021 Annual Award
Name	Threshold  ($)	Target ($)	Maximum  ($)	Threshold  ($)	Target ($)	Maximum  ($)	Threshold  ($)	Target ($)	Maximum  ($)
Sanjay Bhasin	237,647	356,471	475,295	237,648	356,471	475,294	475,295	712,942	950,589
Tom Lewis	62,818	104,697	146,576	62,818	104,697	146,576	125,636	209,394	293,152
Kalyan Madhavan	81,413	162,826	217,102	81,413	162,826	217,101	162,826	325,652	434,203
Jibo Pan	64,190	128,381	171,174	64,191	128,381	171,175	128,381	256,762	342,349
Brehan Chapman	55,518	92,531	129,543	55,519	92,530	129,542	111,037	185,061	259,085

The following table shows the anticipated growth in the threshold, target and maximum Deferred Awards (from the table above) during the period from January 1, 2022 through December 31, 2024 and the total Deferred Awards (inclusive of interest) that would have been payable in early 2025 at each of these achievement levels.

	Estimated Possible Payouts in Early 2025 Under Non-Equity Incentive Plan Awards for 2021 EIP
	2021 Deferred Award			Interest on Deferred Award (1)			Total Deferred Award Including Interest
Name	Threshold  ($)	Target ($)	Maximum  ($)	Threshold  ($)	Target ($)	Maximum  ($)	Threshold  ($)	Target ($)	Maximum  ($)
Sanjay Bhasin	237,648	356,471	475,294	45,395	68,092	90,789	283,043	424,563	566,083
Tom Lewis	62,818	104,697	146,576	11,999	19,999	27,998	74,817	124,696	174,574
Kalyan Madhavan	81,413	162,826	217,101	15,551	31,102	41,470	96,964	193,928	258,571
Jibo Pan	64,191	128,381	171,175	12,262	24,523	32,697	76,453	152,904	203,872
Brehan Chapman	55,519	92,530	129,542	10,605	17,675	24,745	66,124	110,205	154,287
(1) Amounts represent interest on the Deferred Awards at 6 percent, compounded annually.

The following table shows the actual deferred awards under the 2021 EIP, the anticipated growth in those awards during the period from January 1, 2022 through December 31, 2024, and the total Deferred Awards (inclusive of interest) that will be payable in early 2025 provided all of the conditions for payment are met.

Name	Actual 2021 EIP  Deferred Award ($)	Interest on  Deferred Award ($)	Total Deferred Award  Including Interest ($)
Sanjay Bhasin	426,582	81,484	508,066
Tom Lewis	129,407	24,719	154,126
Kalyan Madhavan	193,767	37,013	230,780
Jibo Pan	152,776	29,183	181,959
Brehan Chapman	114,369	21,846	136,215

If an executive officer's employment is terminated for any reason other than death, disability or a reduction in force (as defined in the 2021 EIP), his or her unvested 2021 EIP awards will be forfeited.

If an executive officer’s employment had been terminated in 2021 due to death or disability, then his or her Current Award would have been treated as earned and vested based on the portion of 2021 during which the executive was employed based on the assumption that we would have achieved the 2021 Performance Goals at the target achievement level. If an executive's employment is terminated during the 2021 Deferral Performance Period due to his or her death or disability, then his or her Deferred Award will be treated as fully earned and vested based on the assumption that we would achieve the safety and soundness goals applicable to that award. Payment of awards in connection with a death or disability would be made in a single lump sum within 75 days of the executive’s termination date. For the Deferred Award, the payment would include interest through the executive's termination date.

If an executive’s employment had been terminated in 2021 due to a reduction in force, then his or her Current Award would have been treated as earned and vested based on the portion of 2021 during which the executive was employed and the extent to which the 2021 Performance Goals were ultimately satisfied. If an executive’s employment is terminated during the 2021 Deferral Performance Period due to a reduction in force, then his or her Deferred Award will be treated as fully earned and vested upon completion of the three-year performance period. Payment of awards in connection with a reduction in force would

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be made according to the normal scheduled dates and would be contingent upon the executive executing the severance agreement offered by us.

If, in 2021, we had been involved in a merger, consolidation, reorganization or sale of all or substantially all of our assets, or we had been liquidated or dissolved (collectively, a "Reorganization"), subject to certain exceptions for which the Director of the Finance Agency had determined should not be a basis for accelerated vesting, then the Current Award would have been treated as earned and vested on a pro rata basis through the date of the Reorganization based on the assumption that we would have achieved the 2021 Performance Goals at the target achievement level. Similarly, if we had been involved in a Reorganization during 2021, then the Deferred Award would have been treated as fully earned and vested effective as of the Reorganization date based on the assumption that we would have achieved the safety and soundness goals applicable to that award. Payment of awards in connection with a Reorganization would be made in a single lump sum on the date on which the Reorganization occurs. If we are involved in a Reorganization during the 2021 Deferral Performance Period, the payment of the Deferred Award would also include interest through the Reorganization date.

The Board of Directors may adjust the 2021 Performance Goals to ensure the purposes of the 2021 EIP are served. In addition, the Board of Directors, in its discretion, may consider extraordinary occurrences when assessing performance results and determining award payments. Extraordinary occurrences mean those events that, in the opinion and at the discretion of the Board of Directors, are outside the significant influence of the executive or us and are likely to have a significant unanticipated effect, whether positive or negative, on our operating and/or financial results.

Any awards not yet paid may be reduced or eliminated if any actual losses or other measures or aspects of performance are realized which would have caused a reduction in the amount of the awards. Further, if during the most recent examination of us by the Finance Agency, the Finance Agency identified an unsafe or unsound practice or condition that is material to the financial operation of the Bank within the executive’s area(s) of responsibility and such unsafe or unsound practice or condition is not subsequently resolved in our favor, then all of an executive’s vested and unvested awards under the 2021 EIP will be forfeited. Any future payments for a vested award will cease and we will have no further obligation to make such payments.

By resolution, the Board of Directors may reduce or eliminate an award that is otherwise earned under the 2021 EIP but not yet paid if the Board of Directors finds that a serious, material safety and soundness problem or a serious, material risk management deficiency exists at the Bank, or if: (i) operational errors or omissions result in material revisions to our financial results, the information submitted to the Finance Agency, or the data used to determine incentive payouts; (ii) the submission of material information to the SEC, the FHLBanks Office of Finance, and/or the Finance Agency is significantly past due; or (iii) we fail to make sufficient progress, as determined by the Board of Directors, in the timely remediation of significant examination, monitoring and other supervisory findings.

The Board of Directors may amend the 2021 EIP at any time in its sole discretion. However, the Board of Directors may not amend the 2021 EIP to reduce an executive’s awards as determined on the day immediately preceding the effective date of the amendment or to otherwise retroactively impair or adversely affect the rights of an executive.

In addition, the Board of Directors may terminate the 2021 EIP at any time in its sole discretion. Absent an amendment to the contrary, incentives that were earned and vested prior to the termination will be paid at the times and in the manner provided for by the 2021 EIP at the time of the termination.

PENSION BENEFITS

All of our regular full-time employees hired prior to January 1, 2007 participate in the Pentegra Defined Benefit Plan for Financial Institutions (“Pentegra DB Plan”), a tax-qualified multiemployer defined benefit pension plan. The Pentegra DB Plan also covers any of our regular full-time employees who were hired on or after January 1, 2007, provided that the employee had prior service with a financial services institution that participated in the Pentegra DB Plan, during which service the employee was covered by such plan. Effective July 1, 2015, coverage was extended to include all of our non-highly compensated employees (as defined by Internal Revenue Service rules) who were hired on and after January 1, 2007 but before August 1, 2010. Concurrently, we amended our participation in the Pentegra DB Plan such that some of the benefits offered by the plan were reduced prospectively (that is, on and after July 1, 2015) for employees who were hired prior to July 1, 2003. Mr. Lewis is the only named executive officer who was hired prior to July 1, 2003. Messrs. Bhasin, Madhavan and Pan, each of whom was hired after January 1, 2007, participate in the Pentegra DB Plan because each of them had prior service with the Federal Home Loan Bank of Chicago during which service each of them was covered by the plan. Ms. Chapman was hired in 2004. We do not offer any other defined benefit plans (including supplemental executive retirement plans) that provide for specified retirement benefits. The following table shows the present value of the current accrued pension benefit and the number of years of credited service for each of our named executive officers as of December 31, 2021. The number of years of credited service and the pension benefits shown for Messrs. Bhasin, Madhavan and Pan are inclusive of their prior service with the Federal Home Loan Bank of Chicago.

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Name	Plan Name	Number of Years of Credited Service (#)	Present Value of Accumulated Benefit ($)	Payments During Last Fiscal Year ($)
Sanjay Bhasin	Pentegra DB Plan	17.1	1,310,000	—
Tom Lewis	Pentegra DB Plan	18.9	2,005,000	—
Kalyan Madhavan	Pentegra DB Plan	16.2	1,314,000	—
Jibo Pan	Pentegra DB Plan	18.8	1,299,000	—
Brehan Chapman	Pentegra DB Plan	17.0	1,065,000	—

The regular form of retirement benefit under the Pentegra DB Plan is a single life annuity that includes a lump sum death benefit. The normal retirement age is 65, but the plan provides for an unreduced retirement benefit beginning at age 60 as it relates solely to benefits that were accrued prior to July 1, 2015 (for employees hired prior to July 1, 2003) or age 62 (for employees hired on or after July 1, 2003 that meet the eligibility requirements to participate in the Pentegra DB Plan and, for employees hired prior to July 1, 2003, the benefits that those employees accrue on and after July 1, 2015). For employees hired prior to January 1, 2019 who are not eligible to participate in the Pentegra DB Plan, we offer the opportunity for higher matching contributions in our defined contribution plan.

Valuation Assumptions

The accumulated pension benefits reflected in the table above were calculated using the following assumptions:

•Retirement at the earliest age at which retirement benefits may be received without any reduction in benefits (that is, benefits that have been accumulated through December 31, 2021 commence at age 62 and are discounted to December 31, 2021);

•Present values are calculated by weighting the present value of a benefit provided in the form of an annuity by 50 percent and the value of a benefit provided as a lump sum by 50 percent. The annuity benefit is calculated using a discount rate of 2.83 percent. The lump sum benefit is calculated using a discount rate of either 2.83 percent or, for those participants impacted by the Internal Revenue Code Section 415 limits, 5.50 percent (which is the discount rate used to calculate the maximum lump sum payable under Internal Revenue Code Section 415);

•The annuity benefit is valued using the Pri-2012 white collar worker annuitant table with mortality improvement scale MP-2021 and the lump sum benefit is valued using the applicable Internal Revenue Service mortality table for 2021; and

•No pre-retirement decrements (i.e., no pre-retirement termination from any cause including but not limited to voluntary resignation, death or early retirement).

Tax Code Limitations

As a tax-qualified defined benefit plan, the Pentegra DB Plan is subject to limitations imposed by the Internal Revenue Code of 1986, as amended. Specifically, Section 415(b)(1)(A) of the Internal Revenue Code places a limit on the amount of the annual pension benefit that can be paid from a tax-qualified plan (for 2021, this amount was $230,000 at age 65). The annual pension benefit limit is less than $230,000 in the event that an employee retires before reaching age 65 (the extent to which the limit is reduced is dependent upon the age at which the employee retires, among other factors). In addition, Section 401(a)(17) of the Internal Revenue Code limits the amount of annual earnings that can be used to calculate a pension benefit (for 2021, this amount was $290,000).

From time to time, the Internal Revenue Service may increase the maximum compensation limit and/or the maximum allowable annual benefit for qualified plans. Future increases, if any, would be expected to increase the value of the accumulated pension benefits accruing to our named executive officers. For 2022, the Internal Revenue Service increased the maximum compensation limit to $305,000 per year. In addition, the Internal Revenue Service increased the maximum allowable annual benefit to $245,000 for 2022.

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Benefit Formula

Subject to the exceptions noted below for Messrs. Bhasin, Madhavan and Pan, the annual benefit payable under the Pentegra DB Plan (assuming a participant chooses a single life annuity with a lump sum death benefit) is calculated using the following formula:

•3 percent x years of service credited prior to July 1, 2003 x high 36-month average compensation earned prior to July 1, 2015

plus

•2 percent x years of service credited on or after July 1, 2003 x high 36-month average compensation for the entire period of participation in the Pentegra DB Plan

The high 36-month average compensation is the average of a participant’s highest 36 consecutive months of compensation. Compensation covered by the Pentegra DB Plan includes taxable compensation as reported on the executive officer’s W-2 (reduced by any receipts of compensation deferred from a prior year) plus any pre-tax contributions to our Section 401(k) plan and/or Section 125 cafeteria plan, subject to the Internal Revenue Code limitation which, for 2021, 2020 and 2019, was $290,000, $285,000 and $280,000, respectively. In each of those years, the compensation of all of our named executive officers exceeded the applicable Internal Revenue Code limit; accordingly, the high 36-month average compensation for each of our named executive officers was limited to $285,000 as of December 31, 2021. Based on the Internal Revenue Code limitations in effect prior to July 1, 2015, the high 36-month average compensation for purposes of the first part of the benefit formula is limited to $255,000 for Mr. Lewis. The first part of the benefit formula does not apply to Ms. Chapman or Messrs. Bhasin, Madhavan and Pan as they were not employed by us prior to July 1, 2003.

The plan limits the maximum years of benefit service for all participants to 30 years. As of December 31, 2021, Mr. Bhasin, Mr. Lewis, Mr. Madhavan, Mr. Pan and Ms. Chapman had accumulated 7.6, 18.5, 7.3, 7.3 and 17.0 years of credited service, respectively, at the 2 percent service accrual rate. For Mr. Lewis, the remainder of his service (0.4 years) has been credited at the 3 percent service accrual rate. While employed by the Federal Home Loan Bank of Chicago, Messrs. Bhasin, Madhavan and Pan accrued benefits at a service accrual rate of 2.25 percent. As a matter of policy, we do not grant extra years of credited service to participants in the Pentegra DB Plan.

Vesting

As of December 31, 2021, all of our named executive officers were fully vested in their accrued pension benefits.

Early Retirement

Employees enrolled in the Pentegra DB Plan are eligible for early retirement at age 45 if hired prior to July 1, 2003. If hired on or after July 1, 2003 and before January 1, 2007, employees are eligible for early retirement at age 55 if they have at least 10 years of service with us. Employees hired on or after January 1, 2007 who meet the eligibility requirements to participate in the Pentegra DB Plan are eligible for early retirement at age 55 if they have at least 10 years of accrued benefit service in the Pentegra DB Plan, including prior credited service. If an employee wishes to retire before reaching his or her unreduced benefit age, an early retirement reduction factor (or penalty) is applied. If the sum of an employee’s age and benefit service (including any prior credited service) is at least 70, the “Rule of 70” would apply and the employee’s benefit would be reduced by 1.5 percent for each year that the benefit is paid prior to reaching his or her unreduced benefit age. If an employee hired prior to July 1, 2003 terminates his or her employment prior to attaining the Rule of 70, the portion of that employee’s benefit that was earned prior to July 1, 2015 would be reduced by 3 percent for each year that the benefit is paid prior to reaching age 60. The portion of the benefit earned by that employee on and after July 1, 2015 (if commenced before reaching age 62) would be reduced by 6 percent per year from age 62 to age 60, 4 percent per year from age 60 to age 55 and 3 percent per year from age 55 to age 45. The penalties that apply from age 55 until the employee reaches age 62 (as described in the immediately preceding sentence) are equivalent to the penalties that apply to employees hired on or after July 1, 2003 who have not attained the Rule of 70 prior to termination. The early retirement reduction factor does not apply to an eligible employee if he or she retires as a result of a disability.

Because Mr. Lewis was hired prior to July 1, 2003, he is eligible to receive his pre-July 1, 2015 benefits without reduction at age 60 and his post-June 30, 2015 benefits without reduction at age 62. Given their hire dates, Ms. Chapman and Messrs. Bhasin, Madhavan and Pan are eligible to receive an unreduced benefit at age 62. As of December 31, 2021, Mr. Lewis was eligible for early retirement with reduced benefits. Because he had met the Rule of 70 as of December 31, 2021, the early

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retirement reduction factors applicable to Mr. Lewis as of that date would have been approximately 1.5 percent as it relates to the benefits he had earned prior to July 1, 2015 and approximately 4.5 percent as it relates to the benefits he had earned on and after July 1, 2015. As of December 31, 2021, Mr. Madhavan was also eligible for early retirement with reduced benefits. Because he had met the Rule of 70 as of December 31, 2021, the early retirement reduction factor applicable to Mr. Madhavan as of that date would have been approximately 9.8 percent. Given their ages and hire dates, Ms. Chapman and Messrs. Bhasin and Pan are not yet eligible for early retirement.

Forms of Benefit

Participants in the Pentegra DB Plan can choose from among the following standard payment options:

•Single life annuity — that is, a monthly payment for the remainder of the participant’s life (this option provides for the largest annuity payment);

•Single life annuity with a lump sum death benefit equal to 12 times the annual retirement benefit — under this option, the death benefit is reduced by 1/12 for each year that the retiree receives payments under the annuity. Accordingly, the death benefit is no longer payable after 12 years (this option provides for a smaller annuity payment as compared to the single life annuity);

•Joint and 50 percent survivor annuity — a monthly payment for the remainder of the participant’s life. If the participant dies before his or her survivor, the survivor receives (for the remainder of his or her life) a monthly payment equal to 50 percent of the amount the participant was receiving prior to his or her death (this option provides for a smaller annuity payment as compared to the single life annuity with a lump sum death benefit);

•Joint and 100 percent survivor annuity with a 10-year certain benefit feature — a monthly payment for the remainder of the participant’s life. If the participant dies before his or her survivor, the survivor receives (for the remainder of his or her life) the same monthly payment that the participant was receiving prior to his or her death. If both the participant and the survivor die before the end of 10 years, the participant’s named beneficiary receives the same monthly payment for the remainder of the 10-year period (this option provides for a smaller annuity payment as compared to the joint and 50 percent survivor annuity); or

•Lump sum payment at retirement in lieu of a monthly annuity.

In addition, other payment options, actuarially equivalent to the foregoing, can be designed for a participant, subject to certain limitations.

NONQUALIFIED DEFERRED COMPENSATION

The following table sets forth information for 2021 regarding our nonqualified deferred compensation plan (“NQDC Plan”) and our Special Nonqualified Deferred Compensation Plan. The Special Nonqualified Deferred Compensation Plan serves primarily as a supplemental executive retirement plan (“SERP”) for Mr. Lewis. Ms. Chapman and Messrs. Bhasin, Madhavan and Pan do not participate in the SERP. As discussed more fully in the Compensation Discussion and Analysis on pages 91-103, we do not intend in the foreseeable future to add any new participants to the SERP, nor do we intend to make any additional SERP contributions on behalf of Mr. Lewis. The term "NQDC Plan" refers to our 2017 Deferred Compensation Plan, our Consolidated Deferred Compensation Plan and any predecessor plans. The 2017 Deferred Compensation Plan governs compensation earned in 2017 and later years to the extent it is deferred. The NQDC Plan and the SERP are defined contribution plans. The assets associated with these plans are held in a grantor trust that is administered by a third party. All assets held in the trust may be subject to forfeiture in the event of our receivership or conservatorship. As explained in the narrative following the table, our SERP is divided into two groups (Group 1 and Group 2) based upon differences in participation and vesting characteristics.

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Name	Executive Contributions in Last Fiscal Year ($) (1)	Registrant Contributions  in Last Fiscal Year ($) (2)	Aggregate Earnings (Losses) in Last Fiscal Year ($) (3)	Aggregate Withdrawals/ Distributions ($)	Aggregate Balance  at Last Fiscal Year End ($)(4)
Sanjay Bhasin
NQDC Plan	170,591	39,635	271,856	31,806	1,707,915
Tom Lewis
NQDC Plan	25,000	7,727	4,989	56,872	360,799
SERP — Group 1	—	—	46,618	—	490,120
SERP — Group 2	—	—	1,772	—	18,491
	25,000	7,727	53,379	56,872	869,410
Kalyan Madhavan
NQDC Plan	304,242	15,165	334,001	61,264	2,188,857
Jibo Pan
NQDC Plan	64,191	8,276	14,697	—	195,040
Brehan Chapman
NQDC Plan	—	—	7,012	11,387	49,803

_______________________________________

(1)All amounts in this column are included in the “Salary” column for 2021 in the Summary Compensation Table.

(2)All amounts in this column are included in the “All Other Compensation” column for 2021 in the Summary Compensation Table.

(3)The earnings presented in this column are not included in the “Change in Pension Value and Nonqualified Deferred Compensation Earnings” column for 2021 in the Summary Compensation Table as such earnings are not at above-market or preferential rates.

(4)The balances presented in this column are comprised of the amounts shown in the table below entitled “Components of Nonqualified Deferred Compensation Accounts at Last Fiscal Year End.”

Components of Nonqualified Deferred Compensation Accounts

at Last Fiscal Year End

The following table sets forth the amounts included in the aggregate balance of each named executive officer’s nonqualified deferred compensation accounts as of December 31, 2021 that are attributable to: (1) executive and Bank contributions that are reported in the Summary Compensation Table on page 104; (2) executive and Bank contributions that either were reported in the summary compensation tables for 2006 through 2018 or that would have been reportable in years prior to 2006 if we had been a registrant in those years and a summary compensation table (in the tabular format presented on page 104) had been required; and (3) earnings (losses) accumulated through December 31, 2021 (2021 and prior years) that either have not been reported, or would not have been reportable, in a summary compensation table because such earnings were not at above-market or preferential rates. Because all of our named executive officers have received distributions from our NQDC Plan in the past, the amounts presented for these officers exclude any prior contributions and the accumulated earnings or losses on those contributions that have previously been distributed, as such assets are no longer held in their NQDC Plan accounts. Ms. Chapman's aggregate balance includes contributions made by her and the Bank and earnings (losses) on those contributions in years prior to 2020 when she was not a named executive officer.

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	Amounts Reported in Summary Compensation Table				Reported/Reportable Compensation Related to Years Prior to 2019 ($)	Cumulative Earnings  (Losses) Excluded from Reportable Compensation ($)
Name	2021 ($)	2020 ($)		2019 ($)			Total ($)
Sanjay Bhasin	134,694	194,858		176,373	506,716	695,274	1,707,915
Tom Lewis	17,727	31,881	5595	5,595	521,359	292,848	869,410
Kalyan Madhavan	205,130	278,922		250,677	693,936	760,192	2,188,857
Jibo Pan	72,467	70,501		7,879	12,962	31,231	195,040
Brehan Chapman	—	—		—	—	10,498	49,803

NQDC Plan

Under the 2017 Deferred Compensation Plan, our named executive officers and other highly compensated employees can elect to defer receipt of all or part of their base salary and all or part of their non-equity incentive plan compensation. Deferral elections are made in December of each year for amounts to be earned in the following year and are irrevocable.

Based upon the length of service of our named executive officers (including, in the case of Messrs. Bhasin, Madhavan and Pan, their service with the Federal Home Loan Bank of Chicago during which service each of them was a participant in the Pentegra Defined Contribution Plan for Financial Institutions), we match 200 percent of the first 3 percent of their contributed base salary reduced by 6 percent of their eligible compensation under the FHLBank of Dallas 401(k) Retirement Plan (for 2021, the maximum compensation limit for this plan was $290,000). We do not provide any matching on employees' incentive compensation awards that are contributed to the NQDC Plan. Base salary and incentive compensation deferred under our NQDC Plan are not included in eligible compensation for purposes of our defined benefit pension plan (the Pentegra DB Plan). All of our participating employees, including our named executive officers, are fully vested in their NQDC Plan account balance at all times, including our matching contributions.

Participating executives direct the investment of their NQDC Plan account balances in an array of externally managed mutual funds that are approved from time to time by our Investment and Administrative Committee, which is comprised of several of our officers, some of whom are executive officers. Participants can choose from among several different investment options, including domestic and international equity funds, bond funds, money market funds and advisor managed portfolios. The mutual funds offered through the NQDC Plan (and our other non-qualified plans) employ investment strategies that are similar (although not identical) to those used in the funds that are available to participants in our tax-qualified 401(k) plan, which is managed by a different third-party sponsor. Participants can change their investment selections prospectively by contacting the trust administrator. There are no limitations on the frequency and manner in which participants can change their investment selections.

When participants elect to defer amounts into our NQDC Plan, they also specify when the amounts will ultimately be distributed to them. Under our Consolidated Deferred Compensation Plan, distributions could either be made in a specific year, whether or not the participant's employment has then ended, or at a time that begins at or after the participant’s retirement or separation. Participants could elect to receive either a lump sum distribution or annual installment payments over periods ranging from 2 to 20 years.

Under the 2017 Deferred Compensation Plan, participants can have up to five scheduled in-service accounts and one retirement account. Distributions may either be made in a specific year (or years in the case of installments) or upon retirement, which for this purpose is defined as a separation of service on or after the participant has attained age 55. For scheduled distribution accounts, participants can elect to receive either a lump sum distribution or equal annual installments over a period of up to 4 years (in January of the year designated by the participant and, if installments are elected, in each succeeding January). For retirement accounts, participants can elect to receive either a lump sum distribution or equal annual installments over a period of up to 15 years (in January of the year following the year in which the retirement occurs and, if installments are elected, in each succeeding January). In the event of a participant’s termination of service (other than a termination of service that qualifies as a retirement), the vested balances of his or her retirement account and any scheduled distribution accounts that have not yet commenced distribution will be paid in a lump sum in the month following the month in which the termination of service occurs. In the event of a participant’s termination of service that qualifies as a retirement, the vested balances of his or her scheduled distribution accounts that have not yet commenced distribution will be paid in a lump sum distribution in January of the year following the year in which the retirement occurs unless the participant has made an alternative election on a timely basis to receive equal annual installments over a period of up to 15 years. In the event of a participant’s termination of service for any reason (other than death) after one or more scheduled distribution accounts has commenced installment payments, such installment payments will continue as if the termination of service had not occurred. In the event of a participant’s death, all vested balances then remaining in any retirement or scheduled distribution accounts will be paid to the participant’s beneficiary in a lump sum in the month following the month in which the death occurs.

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Once selected, participants’ distribution schedules cannot be accelerated under our NQDC Plan. For deferrals made on or after January 1, 2005, a participant may postpone a distribution from the NQDC Plan to a future date that is later than the date originally specified on the deferral election form if the following two conditions are met: (1) the participant must make the election to postpone the distribution at least one year prior to the date the distribution was originally scheduled to occur and (2) the future date must be at least five years later than the originally scheduled distribution date. Participants may not postpone deferrals made prior to January 1, 2005 without the approval of our Investment and Administrative Committee.

SERP

Our SERP was established primarily to provide supplemental retirement benefits to those employees who were serving as our executive officers at the time the SERP was established. Mr. Lewis is the only remaining executive from that group. As noted above, our SERP is divided into two groups (Group 1 and Group 2) based upon differences in participation and vesting characteristics. Group 2, as explained below, was established to provide benefits to a specified group of our employees. Mr. Lewis is the only named executive officer who participates in Group 2.

Group 1

Mr. Lewis' benefit in Group 1 consists of contributions made by us on his behalf, plus or minus an allocation of the investment gains or losses on the assets used to fund the plan. Contributions to the Group 1 SERP are determined solely at the discretion of our Board of Directors and we have no obligation or current intention to make any future contributions to the Group 1 SERP. Mr. Lewis is not permitted to make contributions to the Group 1 SERP. The ultimate benefit to Mr. Lewis is based solely on the past contributions that were made by us on his behalf and the earnings or losses on those contributions. We do not guarantee a specific benefit amount or investment return to Mr. Lewis. In addition, we have the right at any time to amend or terminate the Group 1 SERP, or to remove Mr. Lewis at our discretion, except that no amendment, modification or termination may reduce his then vested account balance. Group 1 benefits vest on the date on which the sum of a participant’s age and years of service with us is at least 70. Based upon his age and years of service with us, Mr. Lewis was fully vested in his Group 1 benefits as of December 31, 2021. If Mr. Lewis retires or is terminated prior to reaching age 62, his Group 1 account balance will be paid at the time he reaches age 62 in a lump sum distribution based on his preexisting election. If Mr. Lewis retires or is terminated after reaching age 62, or upon a separation of service at any age due to a disability, his Group 1 account balance will be paid at that time in a lump sum distribution based on his preexisting election. In addition to a lump sum payment, the SERP provides an option to receive annual installment payments over periods ranging from 2 to 20 years. Mr. Lewis can change his existing distribution election but only if the change is made at least one year prior to the date the lump sum payment would otherwise be made and the first installment payment pursuant to the change occurs at least five years after the date the lump sum payment would otherwise be made. If Mr. Lewis dies before reaching age 62, his Group 1 account balance will be paid to his beneficiary in a lump sum distribution within 90 days of his death. Group 1 assets are currently invested in a portfolio of mutual funds that are actively managed by the administrator of our grantor trust. Decisions regarding the investment of the Group 1 assets are the sole responsibility of our Investment and Administrative Committee.

Group 2

Eligibility for the Group 2 SERP was limited to all of our employees who were employed as of June 30, 2003 but who were not eligible to receive a special one-time supplemental contribution to our qualified plan at that time (the Pentegra Defined Contribution Plan for Financial Institutions) because of limitations imposed by that plan (only employees eligible to receive a matching contribution as of December 31, 2002 were eligible to receive the one-time supplemental contribution to our qualified plan). At the time the SERP was established, 22 ineligible employees, including Mr. Lewis, were enrolled in Group 2. The supplemental contribution, equal to 3 percent of each ineligible employee’s base salary as of June 30, 2003, was made to the Group 2 SERP to partially offset a reduction in the employee service accrual rate applicable to our defined benefit pension plan (the Pentegra DB Plan) from 3 percent to 2 percent effective July 1, 2003. Our employees are not permitted to make contributions to the Group 2 SERP, nor do we intend to make any future contributions to the Group 2 SERP. Mr. Lewis is fully vested in the one-time contribution and the accumulated earnings on that contribution. The ultimate benefit to be derived by Mr. Lewis from Group 2 is dependent upon the earnings or losses generated on the one-time contribution. We have not guaranteed a specific benefit amount or investment return to him or any of the other employees participating in Group 2. Based on his preexisting election, Mr. Lewis' benefit under Group 2 is payable as a lump sum distribution upon termination of his employment for any reason. Mr. Lewis can change this distribution election in the same way he can change his Group 1 distribution election. Group 2 assets are currently invested in one of the asset allocation funds managed by the administrator of our grantor trust. Similar to Group 1, decisions regarding the investment of the Group 2 assets are the sole responsibility of our Investment and Administrative Committee.

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POTENTIAL PAYMENTS UPON TERMINATION OR CHANGE IN CONTROL

We currently have employment agreements with Mr. Bhasin and Ms. Chapman. As further discussed below, the employment agreements with each of these executive officers provide for certain termination benefits in specified circumstances. As of December 31, 2021 (and as of the date of this report), no employment agreement or contract of any kind existed between us and Messrs. Lewis, Madhavan or Pan. However, we have a Reduction in Workforce Policy ("RIF Policy") that applied to all of our employees at that date other than four executive officers with whom we have entered into employment agreements, including Mr. Bhasin and Ms. Chapman. With certain exceptions, our RIF Policy provides severance pay and the continuation of certain employee benefits for any employee in a job position that is eliminated due to economic conditions, functional reorganization, budgetary constraints or other business conditions. A reduction in force can also occur when a position changes so significantly that the related job responsibilities are no longer needed or applicable (collectively, a "RIF Policy Triggering Event"). Accordingly, at December 31, 2021, Messrs. Lewis, Madhavan and Pan would have been entitled to termination benefits under our RIF Policy if (and only if) a RIF Policy Triggering Event had occurred on that date. The potential payments upon termination under the employment agreements (applicable to Mr. Bhasin and Ms. Chapman) and our RIF Policy (as applied to Messrs. Lewis, Madhavan and Pan) are discussed in the following sections.

Employment Agreements with Mr. Bhasin and Ms. Chapman

Effective January 1, 2014 and March 24, 2015, we entered into employment agreements with Ms. Chapman and Mr. Bhasin, respectively. Each of these employment agreements provides that we will employ the executive officer for one year (such period, as it may be extended, the "Employment Period"), unless terminated earlier for any of the following reasons: (1) death; (2) disability; (3) termination by us for cause (as discussed below); (4) termination by us for other than cause (i.e., for any other reason or for no reason); or (5) termination by the executive officer with good reason (as discussed below). On each yearly anniversary, the employment agreements automatically renew for an additional one-year term unless either we or the executive officer gives a notice of non-renewal. Not less than 30 days prior to the anniversary date, either we or the executive officer may give a notice of non-renewal, in which case the executive's employment with us would terminate at the end of the Employment Period. We may, in our sole discretion, pay the executive in lieu of such 30-day notice an amount equal to the base salary that would otherwise be payable to the executive for such 30-day period, in which case the termination of the executive would become effective immediately upon the date of such payment. Because neither we nor the executives gave a notice of non-renewal, the terms of the employment agreements with Ms. Chapman and Mr. Bhasin were recently extended through December 31, 2022 and March 23, 2023, respectively.

For purposes of these employment agreements, cause for termination shall mean a finding by us that: (i) the executive has failed to perform his or her assigned duties for us after written notice of the failure and an opportunity to cure within 10 days of receipt of the notice (provided we determine that the failure is curable); (ii) the executive has failed or refused to comply in any material respect with our policies, procedures, practices, standards or other written directives; (iii) the executive has engaged in dishonesty, misconduct, gross negligence or falsification of records involving us; (iv) the executive has committed an act which injures or could reasonably be expected to injure our reputation, business or business relationships; (v) the executive fails to devote all of his or her business time and attention exclusively to our business and affairs; (vi) the executive has been convicted of, or has entered a plea of guilty or nolo contendere to, any crime involving moral turpitude or any felony; (vii) the executive has engaged in conduct which causes him or her to be barred from employment with us by any law or regulation or by any order of, or agreement with, any regulatory authority; or (viii) the executive breaches his or her employment agreement.

For purposes of these employment agreements, good reason means the occurrence, without the executive's written consent, of any of the following events: (a) any material diminution in the executive's authority, duties or responsibilities with us; (b) a material reduction by us in the executive’s incentive compensation award range, except for an across-the-board reduction similarly affecting substantially all similarly-situated employees; (c) a material reduction in the executive’s base salary, except for across-the-board salary reductions similarly affecting substantially all similarly-situated employees; (d) a requirement by us that the executive perform his or her principal services more than 100 miles from the executive's place of primary employment on January 1, 2014 (in the case of Ms. Chapman) or March 24, 2015 (in the case of Mr. Bhasin) or such other location at which the executive has later agreed to provide such services; (e) a material breach by us of any material provision of the employment agreement; or (f) we, or substantially all of our assets, are effectively acquired by another FHLBank through merger or other form of acquisition and the surviving bank’s Board of Directors or President makes a material diminution in the executive’s authority, duties or responsibilities.

No resignation will be treated as resignation for good reason unless (x) the executive has given written notice to us of the executive's intention to terminate his or her employment for good reason, describing in detail the grounds for such action, no later than 30 days after the first occurrence of such circumstance, (y) the executive has provided us with at least 30 days in which to cure the circumstance, and (z) if we are not successful in curing the circumstance, the executive ends employment within 30 days following the conclusion of the cure period in (y). If we inform the executive that we will not treat the executive's resignation as for good reason, he or she may either withdraw the resignation and remain employed by us (provided that the executive does so before the original notice of resignation becomes effective) or proceed to dispute our decision.

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Under the terms of the employment agreements, in the event that the executive officer's employment with us is terminated either by the executive officer for good reason or by us other than for cause, or in the event that we give notice of non-renewal while the executive is willing and able to continue employment on the same terms (each, a "Triggering Event"), the executive officer shall be entitled to receive the following severance benefits in addition to those payable under any applicable incentive and benefit programs in effect at the time of termination and in accordance with their terms:

(a) base salary continuation (at the base salary in effect at the time of termination) for 12 months;

(b)    a pro rata portion of the executive's non-equity incentive plan compensation for the year in which the executive's termination occurs, based on actual performance for such year and payable at the time that annual incentive awards, if any, are paid to other executives, but in no event later than March 15 following the year in which the termination occurred; and

(c)    continuation of any elective group health and dental insurance benefits that we are providing to the executive officer as of his or her termination date for a period of 12 months.

If the executive officer's employment with us is terminated for any reason other than a Triggering Event, the executive officer will be entitled only to his or her base salary through the last day of the executive's actual employment with us unless his or her termination is due to a death or disability in which case the executive (or his or her estate) will also be entitled to receive the executive's base salary for an additional 30-day period.

The terms of the employment agreements specify that the right to receive payments under items (a) through (c) above is contingent upon the executive delivering to us an executed severance agreement and a release of claims in a form provided by us.

The terms of the employment agreements with Mr. Bhasin and Ms. Chapman provide that during the executive's employment and for a period of one year after the termination of such employment for any reason, the executive will not: (i) engage in a managerial capacity in any business or enterprise in which the executive would serve in a role to affect that entity's decisions with respect to any product or service that competes with our credit products; (ii) directly or indirectly, either alone or in association with others, solicit, recruit, induce, or attempt to solicit, recruit or induce for employment or hire or engage as an independent contractor, any of our employees with whom the executive had contact during his or her employment with us; or (iii) directly or indirectly, either alone or in association with others, solicit, divert or take away, or attempt to solicit, divert or take away, the business or patronage of any of our members or customers with which the executive had material contact during his or her employment with us or about which the executive learned confidential information.

The following table sets forth the amounts that would have been payable to Mr. Bhasin and Ms. Chapman as of December 31, 2021 if a Triggering Event had occurred on that date. If the Triggering Event had been related to a reduction in force, then Mr. Bhasin and Ms. Chapman would also have been entitled, under the terms of the 2019 EIP and 2020 EIP, to receive (in early 2023 and early 2024, respectively), his or her 2019 EIP Deferred Award and 2020 EIP Deferred Award with interest at 6 percent compounded annually over the three-year deferral performance periods. A termination due to a reduction in force would entitle Mr. Bhasin and Ms. Chapman to receive their 2021 EIP Deferred Award only if the termination occurs during the three-year deferral performance period applicable to that award (i.e., the period from January 1, 2022 through December 31, 2024).

Name	Accrued/Unused Vacation as of 12/31/21 ($)	Undiscounted Value of Base Salary Continuation ($)	2021 Non-Equity Incentive Plan Compensation ($)	Undiscounted Value of Health  Care Benefits Continuation ($)	Total Termination  Benefit if Triggering Event  was not a RIF ($)	2019 EIP  Deferred Award ($)	2020 EIP  Deferred Award ($)	Total Estimated Termination Benefit if Triggering  Event was a RIF ($)
Sanjay Bhasin	109,683	950,589	880,244	26,508	1,967,024	373,659	511,046	2,851,729
Brehan Chapman	36,357	370,122	241,456	26,508	674,443	104,325	139,088	917,856

If our employment of Mr. Bhasin had been terminated on December 31, 2021 due to his death or disability, he (or his beneficiary in the case of his death) would have been entitled to receive an amount totaling $1,876,480 comprised of the following: (i) his accrued/unused vacation ($109,683); (ii) his base salary for one month ($79,216); (iii) his 2021 non-equity incentive plan compensation comprised of the 2021 EIP Current Award and 2018 EIP Deferred Award ($880,244); (iv) his 2019 EIP Deferred Award with interest at 6 percent compounded annually for the period from January 1, 2020 through December 31, 2021 ($352,508); and (v) his 2020 EIP Deferred Award with interest at 6 percent for the period from January 1, 2021 through December 31, 2021 ($454,829). A termination due to Mr. Bhasin's death or disability would entitle him (or his beneficiary in the case of his death) to receive his 2021 EIP Deferred Award only if the termination occurs during the three-year deferral performance period applicable to the award.

If our employment of Ms. Chapman had been terminated on December 31, 2021 due to her death or disability, she (or her beneficiary in the case of her death) would have been entitled to receive an amount totaling $530,870 comprised of the following: (i) her accrued/unused vacation ($36,357); (ii) her base salary for one month ($30,844); (iii) her 2021 non-equity incentive plan compensation comprised of the 2021 EIP Current Award and 2018 EIP Deferred Award ($241,456); (iv) her

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2019 EIP Deferred Award with interest at 6 percent compounded annually for the period from January 1, 2020 through December 31, 2021 ($98,425); and (v) her 2020 EIP Deferred Award with interest at 6 percent for the period from January 1, 2021 through December 31, 2021 ($123,788). A termination due to Ms. Chapman's death or disability would entitle her (or her beneficiary in the case of her death) to receive her 2021 EIP Deferred Award only if the termination occurs during the three-year deferral performance period applicable to the award.

Termination Benefits for Messrs. Lewis, Madhavan and Pan Under our RIF Policy

As of December 31, 2021, no employment agreement or contract of any kind existed between us and Messrs. Lewis, Madhavan or Pan. However, as discussed above, Messrs. Lewis, Madhavan and Pan would have been entitled to benefits under our RIF Policy as of December 31, 2021 if a RIF Policy Triggering Event had occurred on that date. The severance benefit provided under the RIF Policy is based upon an employee's status (nonexempt, exempt, officer or senior officer), length of service (including, in the case of Messrs. Madhavan and Pan, their service with the Federal Home Loan Bank of Chicago pursuant to our standard FHLBank System transfer procedures) and base salary at the time of termination, subject to certain minimum and maximum amounts. In no event may the severance benefit paid to any senior officer under the RIF Policy exceed an amount equal to one year's base salary plus the continuation of certain employee benefits for a one-year period. In addition, employees are entitled to receive a lump sum payment for any accrued and unused vacation.

Benefits continuation includes vacation that would have been accrued by the employee during the severance benefit period, matching contributions that otherwise would have been made on his or her behalf to our 401(k)/Thrift Plan during the severance benefit period (based on elections in effect at the date of termination), and continuation of any health care benefits that we were providing to the employee at the date of his or her termination (our health care benefits are elective and include medical, dental, vision and prescription drug benefits). The dollar equivalent of the future vacation benefit and matching contributions are paid in cash to the employee upon termination. Employees are eligible to continue their pre-existing participation in our health care benefit program, if any, for the length of the severance period by paying premiums at the same subsidized rates that we charge our active employees. If an employee elects to continue his or her coverage, we will pay the difference between the subsidized rate and the full cost of providing the health care benefits during the severance period (in the table below, these amounts are presented in the column entitled "Undiscounted Value of Health Care Benefits Continuation").

Any employee who voluntarily resigns, retires or is discharged for cause is not entitled to any benefits under our RIF Policy. We reserve the right in our sole discretion to amend or discontinue our RIF Policy at any time.

As of December 31, 2021, Messrs. Lewis, Madhavan and Pan would have been entitled under our RIF Policy to severance pay and benefits continuation for one year. Further, under the terms of our 2019 and 2020 EIPs, the executives would have been entitled to receive their 2019 and 2020 EIP Deferred Awards upon completion of the applicable three-year deferral performance periods. The following table sets forth the amounts that would have been payable to these executive officers as of December 31, 2021 if a RIF Policy Triggering Event had occurred on that date. For the 2019 EIP Deferred Awards (payable in early 2023) and 2020 EIP Deferred Awards (payable in early 2024), the amounts presented in the table include interest at 6 percent compounded annually over the three-year deferral performance periods. None of these executives would have been entitled to receive their 2021 EIP Deferred Award because the termination event did not occur during the three-year deferral performance period applicable to that award (i.e., the period from January 1, 2022 through December 31, 2024).

Name	Accrued/Unused Vacation as of  12/31/21 ($)	Undiscounted Value of Base Salary Continuation ($)	2021 Non-Equity Incentive Compensation ($)	Undiscounted Value of Health Care Benefits Continuation ($)	Lump Sum  Payment for  Loss of Future  Vacation  Benefits ($)	Lump Sum  Payment for Loss  of Future  Matching Contributions ($)	SERP ($) (1)	2019 EIP Deferred Award  ($)	2020 EIP Deferred Award  ($)	Total Termination Benefit ($)
Tom Lewis	48,322	418,788	265,360	26,508	40,268	17,400	508,611	111,609	157,376	1,594,242
Kalyan Madhavan	62,626	542,754	382,866	26,496	52,188	16,906	—	155,992	233,432	1,473,260
Jibo Pan	49,377	427,936	300,445	26,496	41,148	17,356	—	122,993	184,050	1,169,801

______________________________________________________________________________________

(1) Amounts reflect the vested balances in Mr. Lewis' Group 1 and Group 2 SERP accounts. Mr. Lewis' Group 1 SERP account ($490,120) would have been payable to him as a lump sum upon reaching age 62. His Group 2 SERP account ($18,491) would have been payable to him as a lump sum upon his termination.

Messrs. Lewis, Madhavan and Pan would have been required to execute non-disparagement/confidentiality agreements in order to receive the termination benefits provided by the RIF Policy (i.e., base salary and health care benefits continuation and lump sum payments for the loss of future vacation benefits and matching contributions). These executive officers would not have been required to execute any type of agreement in order to receive their accrued/unused vacation and SERP benefits, if

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applicable. In order to receive the termination benefits arising under the 2019 and 2020 EIPs, the executives would have been required to execute the severance agreement offered by us, the provisions of which are not dictated by either the 2019 or 2020 EIP.

If our employment of Messrs. Lewis, Madhavan or Pan had been terminated on December 31, 2021 due to the executive's death or disability, the executive (or his beneficiary in the case of his death) would have been entitled to receive the following: (i) his accrued/unused vacation; (ii) his 2021 non-equity incentive plan compensation comprised of the 2021 EIP Current Award and 2018 EIP Deferred Award; (iii) his 2019 EIP Deferred Award with interest at 6 percent compounded annually for the period from January 1, 2020 through December 31, 2021; and (iv) his 2020 EIP Deferred Award with interest at 6 percent for the period from January 1, 2021 through December 31, 2021. For Messrs. Lewis, Madhavan and Pan, these amounts would have totaled $559,037, $800,408 and $629,657, respectively. These amounts would have been payable no later than March 15, 2022. A termination due to the executive's death or disability would trigger the payment of the 2021 EIP Deferred Award only if the termination occurs during the three-year deferral performance period applicable to that award (i.e., the period from January 1, 2022 through December 31, 2024).

If on December 31, 2021: (1) we had merged or consolidated with or reorganized into or with another FHLBank or other entity, or another FHLBank or other entity had merged or consolidated into us; (2) we had sold or transferred all or substantially all of our business and/or assets to another FHLBank or other entity; or (3) we had liquidated or dissolved (each, a “Significant Transaction”), then the 2021 EIP Current Award, the 2018 EIP Deferred Award, the 2019 EIP Deferred Award (based on the assumption that the applicable safety and soundness goals had been met and with interest at 6 percent compounded annually for the period from January 1, 2020 through December 31, 2021), the 2020 EIP Deferred Award (based on the assumption that the applicable safety and soundness goals had been met and with interest at 6 percent for the period from January 1, 2021 through December 31, 2021) and the 2021 EIP Deferred Award (based on the assumption that the applicable safety and soundness goals had been met) would have been payable to Messrs. Lewis, Madhavan and Pan on that date. For Messrs. Lewis, Madhavan and Pan, these amounts would have totaled $640,122, $931,549 and $733,056, respectively.

In the event the 2021 EIP Current Award, the 2018 EIP Deferred Award, the 2019 EIP Deferred Award, the 2020 EIP Deferred Award and the 2021 EIP Deferred Award would not otherwise have been payable under the terms of their employment agreements, Mr. Bhasin and Ms. Chapman would have been entitled under the terms of the 2018, 2019, 2020 and 2021 EIPs to receive $2,114,163 and $578,038, respectively, on December 31, 2021 if a Significant Transaction had occurred on that date. These amounts would have been comprised of the executive's 2021 EIP Current Award and 2018 EIP Deferred Award in addition to their 2019, 2020 and 2021 EIP Deferred Awards with interest at 6 percent compounded annually through December 31, 2021 (based on the assumption that the applicable safety and soundness goals had been met).

Other

In the event of the death or disability of any of our executive officers, we have no obligation to provide any life insurance or disability benefits beyond those that are provided for in our group life and disability insurance programs that are available generally to all salaried employees and that do not discriminate in scope, terms or operation in favor of our executive officers. Except as previously noted with regard to our SERP, our qualified and nonqualified retirement plans do not provide for any enhancements or accelerated vesting in connection with a termination, including a termination resulting from any of the events described above or the death or disability of a named executive officer. Following a termination for any reason, the balance of a named executive officer’s NQDC Plan account would be distributed pursuant to the instructions in his or her deferral election forms or as prescribed by the 2017 Deferred Compensation Plan, as applicable, and he or she would be entitled to cash out any accrued and unused vacation. Other than the benefits described above in connection with each covered circumstance and ordinary retirement benefits subject to applicable requirements for those benefits (such as eligibility), we do not provide any post-employment benefits or perquisites to any employees, including our named executive officers.

We also sponsor a retirement benefits program that includes health care and minimal life insurance benefits for eligible retirees. While eligibility for participation in the program and required participant contributions vary depending upon an employee’s age, hire date and length of service, the provisions of the plan apply equally to all employees, including our executive officers. For a discussion of our retirement benefits program, see pages F-46 through F-49 of this Annual Report on Form 10-K.

Regulatory Rules Regarding Golden Parachute Payments

On July 30, 2008, the Housing and Economic Recovery Act of 2008 was enacted. Among other things, this legislation gave the Director of the Finance Agency (the “Director”) the authority to limit, by regulation or order, any golden parachute payment. On January 28, 2014, the Finance Agency published a final rule relating to golden parachute payments (the “Golden Parachute Regulation”). The Golden Parachute Regulation defines a “golden parachute payment” as any payment (or any agreement to make any payment) in the nature of compensation by any FHLBank for the benefit of certain entity-affiliated parties (including but not limited to a FHLBank’s officers) that (i) is contingent on, or by its terms is payable on or after, the termination of such party’s primary employment or affiliation with the FHLBank and (ii) is received on or after, or is made in contemplation of, any

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of the following events: (a) the insolvency of the FHLBank; (b) the appointment of any conservator or receiver for the FHLBank; or (c) the FHLBank is in a troubled condition.

The Golden Parachute Regulation prohibits a FHLBank from making, or agreeing to make, any golden parachute payment unless: (1) the Director determines that the payment or agreement is permissible; (2) the agreement is made in order to hire a person to become an entity-affiliated party either at the time when the FHLBank is insolvent, in a troubled condition or the subject of a conservatorship or receivership or in an effort to prevent such an event, and the Director consents in writing to the amount and terms of the golden parachute payment; or (3) the payment is made pursuant to an agreement which provides for a reasonable severance payment, not to exceed 12 months’ salary, in the event of a change in control (excluding a change in control resulting from a conservatorship or receivership); provided, however, that the consent of the Director is obtained prior to making the payment. In all of these cases, the FHLBank must demonstrate that it does not have any reasonable basis to believe that the payee (a) has committed any fraudulent act or omission, breach of trust or fiduciary duty, or insider abuse that is likely to have a material adverse effect on the FHLBank; (b) is substantially responsible for the insolvency of, the appointment of a conservator or receiver for, or the troubled condition of the FHLBank; (c) has materially violated any applicable federal or state law or regulation that has had or is likely to have a material effect on the FHLBank; and (4) has violated or conspired to violate certain specified sections of the United States Code.

The following types of payments are excluded from the definition of “golden parachute payment” under the Golden Parachute Regulation: (i) any payment made pursuant to a pension or retirement plan that is qualified (or is intended within a reasonable period of time to be qualified) under Section 401 of the Internal Revenue Code of 1986 or pursuant to a pension or other retirement plan that is governed by the laws of any foreign country; (ii) any payment made pursuant to any plan, contract, agreement or other arrangement which is an “employee welfare benefit plan” as that term is defined in section 3(1) of the Employee Retirement Income Security Act of 1974, as amended, or other usual and customary plans such as dependent care, tuition reimbursement, group legal services, or cafeteria plans; (iii) any payment made pursuant to a bona fide deferred compensation plan or arrangement (iv) any payment made by reason of death or by reason of termination caused by the disability of the entity-affiliated party; (v) any payment made pursuant to a nondiscriminatory severance pay plan or arrangement that provides for payment of severance benefits of not more than 12 months’ base compensation to all eligible employees upon involuntary termination other than for cause, voluntary resignation or early retirement (other than payments to a named executive officer and any other officer identified by the Director whose base salary exceeds $300,000); or (vi) any severance or similar payment that is required to be made pursuant to a state statute or foreign law that is applicable to all employers within the appropriate jurisdiction (with the exception of employers that may be exempt due to their small number of employees or other similar criteria).

The Golden Parachute Regulation was effective February 27, 2014. Accordingly, payments that might otherwise be payable to Mr. Bhasin or Ms. Chapman under their employment agreements or our other named executive officers under our RIF Policy (or payments that might otherwise be payable to any of our named executive officers under our EIPs) could be reduced if the event giving rise to such payments were to occur at a time at which we were (or it was contemplated that we could become) insolvent, in a troubled condition or the subject of a conservatorship or receivership.

On January 28, 2014, the Finance Agency also published a final rule relating broadly to executive compensation (the "Executive Compensation Regulation"). Under the Executive Compensation Regulation, which became effective on February 27, 2014, the Director has the authority to prohibit us from providing compensation (including termination benefits) to any named executive officer that the Director determines is not reasonable and comparable with compensation for employment in other similar businesses involving similar duties and responsibilities. In determining whether compensation to a named executive officer is not reasonable and comparable, the Director may take into consideration any factors the Director considers relevant, including any wrongdoing on the part of the executive, such as any fraudulent act or omission, breach of trust or fiduciary duty, violation of law, rule, regulation, order or written agreement, and insider abuse. The Executive Compensation Regulation provides that we must provide at least 30 days' advance written notice prior to making any payments to a named executive officer in connection with a change in control or a termination of the executive's employment with us. Accordingly, it is possible that payments that might otherwise be payable to our named executive officers could be reduced even if the event that triggers those payments were to occur at a time when we were not insolvent, in a troubled condition or the subject of a conservatorship or receivership.

On December 20, 2018, the Finance Agency published a final rule on golden parachute and indemnification payments (the “Golden Parachute Rule”) to address areas of supervisory concern and to reduce administrative and compliance burdens. The Golden Parachute Rule, which became effective on January 22, 2019, sets forth the standards the Finance Agency would take into consideration when limiting or prohibiting golden parachute and indemnification payments by a FHLBank to an entity-affiliated party if the FHLBank were in a troubled condition, in conservatorship or receivership, or insolvent. The provisions of the rule: (i) focus the standards on payments to and agreements with executive officers, broad-based plans covering large numbers of employees (such as severance plans), and payments to employees other than executive officers who may have

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engaged in certain types of wrongdoing; and (ii) revise and clarify definitions, exemptions and procedures to implement the Finance Agency’s supervisory approach.

PAY RATIO

For 2021, the estimated ratio of our President/CEO's total compensation to the median annual total compensation of all of our other employees was 12.2 to 1. The estimated median annual total compensation of all of our other employees was determined by calculating their compensation in the same manner as total compensation is calculated for our President/CEO, which calculation includes, among other things, amounts attributable to the change in pension value for those of our employees who participate in the Pentegra DB Plan ("DB Plan Participants"), as discussed in the "Pension Benefits" section on page 107. The change in pension value for DB Plan Participants varies based upon their age, compensation and tenure with us. For 2021, the estimated median annual total compensation of all of our employees (excluding our President/CEO) was $159,085 and the total compensation of our President/CEO was $1,938,868, as shown in the Summary Compensation Table on page 104.

We identified the median by estimating the annual total compensation for each of our employees who were employed by us on December 31, 2021 (excluding our President/CEO) and then ranking the total compensation for those employees from lowest to highest. The ranking included 195 full-time employees and 1 part-time employee. For those employees who were not employed by us during the entire year, we annualized their total compensation. For base salaries (or, in the case of our hourly employees, wages plus overtime), incentive compensation and our matching contributions to qualified and nonqualified defined contribution plans, we used actual (or, as appropriate, annualized) amounts. To determine the annual change in pension value for each of the DB Plan Participants, changes were calculated for a judgmentally selected sample of employees and, based on the results of those calculations, we estimated the change in pension value for each of our other DB Plan Participants. While our calculation method for DB Plan Participants who were not part of the sample involved a degree of imprecision, we believe it was sufficient to allow us to reasonably approximate the change in pension values for those employees, which, in turn, allowed us to reasonably estimate the median annual total compensation of our workforce as of December 31, 2021.

DIRECTOR COMPENSATION

Director fees and reimbursable expenses are determined at the discretion of our Board of Directors, subject to the authority of the Finance Agency’s Director to object to, and to prohibit prospectively, compensation and/or expenses that she determines are not reasonable. For 2021, our directors received fees based on the number of our regularly scheduled board meetings that they attended in person (or, as permitted by a temporary Finance Agency waiver, through electronic means) and the number of telephonic meetings in which they participated, subject to a maximum compensation limit. The following table sets forth the annual compensation limits and attendance fees that our directors were entitled to receive for each regular board meeting that they attended in 2021 (subject to a maximum of five out of the six meetings held). In addition, each director was entitled to receive (subject to the annual compensation limits) $1,000 for his or her participation in telephonic meetings of the Board of Directors and $1,000 for his or her participation in telephonic or special in-person meetings of its committees.

	Annual Compensation Limit for 2021		Fee For Attendance at Each Regular Board Meeting
Chairman of the Board	$	140,000	$	28,000
Vice Chairman of the Board	123,000		24,600
Chairmen of the Audit and Risk Management Committees	122,000		24,400
Chairmen of all other Board Committees	117,500		23,500
All other Directors	107,500		21,500

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The following table sets forth the actual compensation earned by our directors in 2021. One of the directors presented in the table, Cheryl D. Alston, no longer serves on our Board of Directors. Ms. Alston resigned from our Board of Directors effective July 13, 2021. Other than Ms. Alston and Rufus Cormier, Jr., all of the directors shown in the table served on our Board of Directors during all of 2021. Mr. Cormier's term as a director began on December 14, 2021. No meetings were held during the period from December 14, 2021 through December 31, 2021.

Name	Fees Earned  or Paid in  Cash ($)	Stock Awards ($)	Option Awards ($)	Non-equity Incentive Plan Compensation ($)	Change in Pension Value and Nonqualified Deferred Compensation Earnings ($)	All Other Compensation ($)	Total ($)
Robert M. Rigby, Chairman in 2021	140,000	—	—	—	—	*	140,000
Margo S. Scholin, Vice Chairman in 2021	123,000	—	—	—	—	*	123,000
Cheryl D. Alston	72,527	—	—	—	—	*	72,527
Dorsey L. Baskin, Jr.	107,500	—	—	—	—	*	107,500
Dianne W. Bolen	117,500	—	—	—	—	*	117,500
Tim H. Carter	117,500	—	—	—	—	*	117,500
Mary E. Ceverha	117,500	—	—	—	—	*	117,500
Albert C. Christman	122,000	—	—	—	—	*	122,000
Rufus Cormier, Jr.	—	—	—	—	—	*	—
James D. Goudge	107,500	—	—	—	—	*	107,500
W. Wesley Hoskins	107,500	—	—	—	—	*	107,500
Michael C. Hutsell	107,500	—	—	—	—	*	107,500
A. Fred Miller, Jr.	107,500	—	—	—	—	*	107,500
Sally I. Nelson	107,500	—	—	—	—	*	107,500
Stephen Panepinto	107,500	—	—	—	—	*	107,500
Felipe A. Rael	107,500	—	—	—	—	*	107,500
John P. Salazar	117,500	—	—	—	—	*	117,500
Ron G. Wiser	122,000	—	—	—	—	*	122,000

_____________________________________

*    Our directors did not receive any other form of compensation in 2021 other than the limited perquisites which are discussed below. For each director, the aggregate amount of such perquisites was either less than $1,652 or zero.

Under our NQDC Plan, our directors may elect to defer any or all of their fees. Deferral elections must be made in December of each year for amounts to be earned in the following year and are irrevocable. Participating board members can elect to receive distributions under the same rules that apply to our highly compensated employees who have elected to participate in the plan. Similarly, directors’ distribution schedules cannot be accelerated but they can be postponed under the same rules that apply to our highly compensated employees who have elected to participate in the plan. Participating board members direct the investment of their deferred fees among the same externally managed mutual funds that are available to our employee participants. As the earnings derived from these mutual funds are not at above-market or preferential rates, they are not included in the table above. Our liability for directors’ deferred compensation (including both current and former directors), which consists of the accumulated compensation deferrals and the accrued earnings or losses on those deferrals, totaled $3,585,000 at December 31, 2021.

We have a policy under which we will reimburse our directors for all travel and meal expenses of a spouse accompanying them to no more than two meetings of our board and/or any of its committees each year. In addition, we will reimburse our directors for the meal expenses of a spouse accompanying them to any group functions of the Board of Directors regardless of whether the meal occurs during one of the trips specified in the immediately preceding sentence provided the meal was incurred in connection with a group outing in which directors and officers were in attendance. Further, we will pay for the expenses of directors' spouses attending up to two group spousal functions annually, provided the functions are organized by us. In 2021, 11 of our directors used these benefits to some extent at a total cost to us of $6,990. As no individual director was reimbursed more than $1,651 for spousal travel and meal expenses, these perquisites are not reportable as compensation in the table above.

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In accordance with Finance Agency regulations, we have established a formal policy governing the travel reimbursement provided to our directors. During 2021, our directors’ Bank-related travel expenses totaled $36,833, not including the spousal travel and meal reimbursements described above. In comparison to most years, our directors' Bank-related travel expenses were lower in 2021 as a result of our decision to avoid business travel during most of the year due to the health risks posed by the COVID-19 pandemic.

For 2022, our directors will receive fees based on the number of our regularly scheduled board meetings that they attend in person (or, if permitted by the Finance Agency, through electronic means) and the number of telephonic meetings in which they participate, subject to a maximum compensation limit. The following table sets forth the annual compensation limits and attendance fees that our directors will be entitled to receive for each regular board meeting that they attend in 2022 (subject to a maximum of five out of the six meetings to be held). In addition, each director will receive (subject to the annual compensation limits) $1,000 for his or her participation in telephonic meetings of the Board of Directors and $1,000 for his or her participation in telephonic or special in-person meetings of its committees.

	Annual Compensation Limit for 2022		Fee For Attendance at Each Regular Board Meeting
Chairman of the Board	$	144,500	$	28,900
Vice Chairman of the Board	130,000		26,000
Chairmen of the Audit and Risk Management Committees	126,000		25,200
Chairmen of all other Board Committees	121,500		24,300
All other Directors	111,000		22,200

Compensation Committee Interlocks and Insider Participation

None of our directors who served on our Compensation and Human Resources Committee during 2021 was, prior to or during 2021, an officer or employee of the Bank, nor did they have any relationships requiring disclosure under applicable related party requirements. None of our executive officers served as a member of the compensation committee (or similar committee) or board of directors of any entity whose executive officers served on our Compensation and Human Resources Committee or Board of Directors.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS

The Bank has two sub-classes of Class B capital stock authorized and outstanding, Class B-1 and Class B-2 Capital Stock, both of which have a par value of $100 per share. The Bank does not have any other authorized classes of capital stock. The Bank is a cooperative and all of its outstanding capital stock is owned by its members or, in some cases, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other activity that remains outstanding or until any applicable stock redemption or withdrawal notice period expires. No individual owns any of the Bank’s capital stock. As a condition of membership, members are required to maintain an investment in Class B-1 Capital Stock of the Bank that is equal to a percentage of the member’s total assets, subject to minimum and maximum thresholds. In addition, members are required to hold Class B-2 Capital Stock based upon an activity-based investment requirement. Financial institutions that cease to be members are required to continue to comply with the Bank’s activity-based investment requirement until such time that the activities giving rise to the requirement have been fully extinguished.

As provided by statute and as further discussed in Item 10. Directors, Executive Officers and Corporate Governance, the Bank’s members are entitled to vote for the election of directors. Each member directorship is designated to one of the five states in the Bank’s district and a member is entitled to vote only for member director candidates for the state in which the member’s principal place of business is located. In addition, all eligible members in the Bank’s five-state district are entitled to vote for the nominees for independent directorships. In each case, a member is entitled to cast, for each applicable directorship, one vote for each share of Class B-1 and Class B-2 Capital Stock that the member is required to hold, subject to a statutory limitation. Under this limitation, the total number of votes that a member may cast is limited to the average number of shares of the Bank’s capital stock that were required to be held by all members in that member’s state as of the record date for voting. Non-member shareholders are not entitled to cast votes for the election of directors.

As of March 4, 2022, there were 22,501,374 shares of the Bank’s capital stock (including mandatorily redeemable capital stock) outstanding. The following table sets forth certain information with respect to the only shareholder that beneficially owned

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more than five percent of the Bank’s outstanding capital stock as of March 4, 2022. The shareholder has sole voting and investment power for all shares shown (subject to the restrictions described above), none of which represent shares with respect to which the shareholder has a right to acquire beneficial ownership.

Beneficial Owners of More than 5% of the Bank's Outstanding Stock

Name and Address of Beneficial Owner	Number of Shares Owned	Percentage of Outstanding Shares Owned
American General Life Insurance Company 2727 Allen Parkway Suite A, Houston, TX 77019	1,580,449	7.02	%

The Bank does not offer any type of compensation plan under which its equity securities are authorized to be issued to any person. Nine of the Bank’s 17 directorships are designated as member directorships which by law must be occupied by officers or directors of a member of the Bank. The following table sets forth, as of March 4, 2022, the number of shares owned beneficially by members that have one of their officers and/or directors serving as a director of the Bank and the name of the director of the Bank who is affiliated with each such member. Each shareholder has sole voting and investment power for all shares shown (subject to the restrictions described above), none of which represent shares with respect to which the shareholder has a right to acquire beneficial ownership.

Security Ownership of Directors’ Financial Institutions

Name and Address of Beneficial Owner	Bank Director Affiliated with Beneficial Owner	Number of Shares Owned**	Percentage of Outstanding Shares Owned
Broadway National Bank 1177 NE Loop 410, San Antonio, TX 78209	James D. Goudge	124,109	*
First Security Bank 314 North Spring Street, Searcy, AR 72143	Michael C. Hutsell	74,065	*
Southside Bank 1201 South Beckham, Tyler, TX 75701	Tim H. Carter	63,748	*
First National Bankers Bank 7813 Office Park Boulevard, Baton Rouge, LA 70809	Albert C. Christman	15,024	*
Legend Bank, N.A 101 West Tarrant Street, Bowie, TX 76230	Robert M. Rigby	14,873	*
Guaranty Bank & Trust Company of Delhi 120 Oak Street, Delhi, LA 71232	Albert C. Christman	14,536	*
Bank of Anguilla 130 Holland Street, Anguilla, MS 38721	A. Fred Miller, Jr.	11,875	*
Bank of the Southwest 226 North Main Street, Roswell, NM 88201	Ron G. Wiser	4,804	*
First Community Bank 416 North Water Street, Corpus Christi, TX 78401	W. Wesley Hoskins	2,101	*
Plaquemine Bank and Trust Company 24025 Eden Street, Plaquemine, LA 70764	Stephen Panepinto	847	*
All Directors’ Financial Institutions as a group		325,982	1.45	%

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*    Indicates less than one percent ownership.

**    All shares owned by the Directors’ Financial Institutions are pledged as collateral to secure extensions of credit from the Bank.

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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

Transactions with Related Persons

Our capital stock can only be held by our members or, in some cases, by non-member institutions that acquire stock by virtue of acquiring member institutions, by a federal or state agency or insurer acting as a receiver of a closed institution, or by our former members that retain capital stock to support advances or other activity that remains outstanding or until any applicable stock redemption or withdrawal notice period expires. All members are required by law to purchase our capital stock. As a cooperative, our products and services are provided almost exclusively to our shareholders. In the ordinary course of business, transactions between us and our shareholders are carried out on terms that either are determined by competitive bidding in the case of auctions for our advances and deposits or are established by us, including pricing and collateralization terms, under our Member Products and Credit Policy, which treats all similarly situated members on a non-discriminatory basis. We provide, in the ordinary course of business, products and services to members whose officers or directors may serve as our directors (“Directors’ Financial Institutions”). Currently, 9 of our 17 directors are officers and/or directors of member institutions. Our products and services are provided to Directors’ Financial Institutions and to holders of more than five percent of our capital stock on terms that are no more favorable to them than comparable transactions with our other similarly situated members.

We have adopted written policies prohibiting our employees and directors from accepting any personal benefits where such acceptance may create either the appearance of, or an actual, conflict of interest. These policies also prohibit our employees and directors from having a direct or indirect financial interest that conflicts, or appears to conflict, with that employee’s or director’s duties and responsibilities to us, subject to certain exceptions. Any of our employees who regularly deal with our members or major financial institutions that do business with us must disclose any personal financial relationships with those members or major financial institutions annually in a manner that we prescribe. Our directors are required to disclose all actual or apparent conflicts of interest and any financial interest of the director or an immediate family member or business associate of the director in any matter to be considered by the Board of Directors. Directors must refrain from participating in the deliberations regarding or voting on any matter in which they, any immediate family members or any business associates have a financial interest, except that member directors may vote on the terms on which our products are offered to all members and other routine corporate matters, such as the declaration of dividends. With respect to our AHP, directors and employees may not participate in or attempt to influence decisions by us regarding the evaluation, approval, funding or monitoring, or any remedial process for an AHP project if the director or employee, or a family member of such individual, has a financial interest in, or is a director, officer or employee of, an organization involved in such AHP project.

In addition, our Board of Directors has adopted a written policy for the review and approval or ratification of a “related person transaction” as defined by policy (the “Transactions with Related Persons Policy”). The Transactions with Related Persons Policy requires that each related person transaction must be presented to the Audit Committee of the Board of Directors for review and consideration. Those members of the Audit Committee who are not related persons with respect to the related person transaction in question will consider the transaction to determine whether, if practicable, the related person transaction will be conducted on terms that are no less favorable than the terms that could be obtained from a non-related person or an otherwise unaffiliated third party on an arms’-length basis. In making such determination, the Audit Committee will review all relevant factors regarding the goods or services that form the basis of the related party transaction, including, as applicable, (i) the nature of the goods or services, (ii) the scope and quality of the goods or services, (iii) the timing of receiving the goods or services through the related person transaction versus a transaction not involving a related person or an otherwise unaffiliated third party, (iv) the reputation and financial standing of the provider of the goods or services, (v) any contractual terms and (vi) any competitive alternatives (if practicable).

After review, the Audit Committee will approve such transaction only if the Audit Committee reasonably believes that the transaction is in, or is not opposed to, our best interests. If a related person transaction is not presented to the Audit Committee for review in advance of such transaction, the Audit Committee may ratify such transaction only if the Audit Committee reasonably believes that the transaction is in, or is not opposed to, our best interests.

A “related person” is defined by the Transactions with Related Persons Policy to be (i) any person who was one of our directors or executive officers at any time since the beginning of our last fiscal year, (ii) any immediate family member of any of the foregoing persons and (iii) any of our members or non-member institutions owning more than five percent of our total outstanding capital stock when the transaction occurred or existed.

For purposes of the Transactions with Related Persons Policy, a “related person transaction” is a transaction, arrangement or relationship (or any series of similar transactions, arrangements or relationships) in which we were, are or will be a participant and in which any related person has or will have a direct or indirect material interest. The Transactions with Related Persons Policy includes as exceptions to the definition of “related person transaction” those exceptions set forth in Item 404(a) of Regulation S-K (and the related instructions to that item) promulgated under the Exchange Act. Additionally, in connection with the registration of our capital stock under Section 12 of the Exchange Act, the SEC issued a no-action letter dated

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September 13, 2005 concurring with our view that, despite registration of our capital stock under Section 12(g) of the Exchange Act, disclosure of related party transactions pursuant to the requirements of Item 404 of Regulation S-K is not applicable to us to the extent that such transactions are in the ordinary course of our business. Also, the HER Act specifically exempts the FHLBanks from periodic reporting requirements under the securities laws pertaining to the disclosure of related party transactions that occur in the ordinary course of business between the FHLBanks and their members. The Transactions with Related Persons Policy, therefore, also excludes from the definition of “related person transaction” acquisitions or sales of our capital stock by members or non-member institutions, payment by us of dividends on our capital stock and provision of our products and services to members. This exception applies to Directors’ Financial Institutions.

Since January 1, 2021, we have not engaged in any transactions with any of our directors, executive officers, or any members of their immediate families that require disclosure under applicable rules and regulations, including Item 404 of Regulation S-K. Additionally, since January 1, 2021, we have not had any dealings with entities that are affiliated with our directors that require disclosure under applicable rules and regulations. None of our directors or executive officers or any of their immediate family members has been indebted to us at any time since January 1, 2021.

As of December 31, 2021 and 2020, advances outstanding to Directors’ Financial Institutions aggregated $0.495 billion and $1.108 billion, respectively, representing 2.0 percent and 3.5 percent, respectively, of our total outstanding advances as of those dates.

Director Independence

General

Our Board of Directors is currently comprised of 17 directors. Nine of our directors were elected by our member institutions to represent the five states in our district (“member directors”) while six of our directors were elected by a plurality of our members at-large (“independent directors”). In addition, two independent directors were elected by our Board of Directors to fulfill the unexpired terms of former independent directors. All member directors must be an officer or director of a member institution, but no member director can be one of our employees or officers. Independent directors, as well as their spouses, are prohibited from serving as an officer of any FHLBank and (subject to the specific exception noted below) from serving as a director, officer or employee of a member of the FHLBank on whose board the director serves, or of any recipient of advances from that FHLBank. The exception provides that an independent director or an independent director’s spouse may serve as a director, officer or employee of a holding company that controls one or more members of, or recipients of advances from, the FHLBank if the assets of all such members or recipients of advances constitute less than 35 percent of the assets of the holding company, on a consolidated basis. Additional discussion of the qualifications of member and independent directors is included in Item 10. Directors, Executive Officers and Corporate Governance.

We are required to determine whether our directors are independent pursuant to three distinct director independence standards. First, Finance Agency regulations establish independence criteria for directors who serve as members of our Audit Committee. Second, the HER Act requires us to comply with Rule 10A-3 of the Exchange Act regarding independence standards relating to audit committees. Third, the SEC’s rules and regulations require that our Board of Directors apply the definition of independence of a national securities exchange or inter-dealer quotation system to determine whether our directors are independent.

Finance Agency Regulations

The Finance Agency’s regulations prohibit directors from serving as members of our Audit Committee if they have one or more disqualifying relationships with us or our management that would interfere with the exercise of that director’s independent judgment. Disqualifying relationships include employment with us currently or at any time during the last five years; acceptance of compensation from us other than for service as a director; being a consultant, advisor, promoter, underwriter or legal counsel for us currently or at any time within the last five years; and being an immediate family member of an individual who is or who has been within the past five years, one of our executive officers. The current members of our Audit Committee are Dorsey L. Baskin, Jr., Tim H. Carter, Mary E. Ceverha, Michael C. Hutsell, Sally I. Nelson, Robert M. Rigby, Margo S. Scholin and Ron G. Wiser, each of whom is independent within the meaning of the Finance Agency’s regulations.

Rule 10A-3 of the Exchange Act

Rule 10A-3 of the Exchange Act (“Rule 10A-3”) requires that each member of our Audit Committee be independent. In order to be considered independent under Rule 10A-3, a member of the Audit Committee may not, other than in his or her capacity as a member of the Audit Committee, the Board of Directors or any other committee of the Board of Directors (i) accept directly or indirectly any consulting, advisory or other compensatory fee from us, provided that compensatory fees do not include the receipt of fixed amounts of compensation under a retirement plan (including deferred compensation) for prior service with us (provided that such compensation is not contingent in any way on continued service); or (ii) be an affiliated person of us.

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For purposes of Rule 10A-3, “indirect” acceptance of any consulting, advisory or other compensatory fee includes acceptance of such a fee by a spouse, a minor child or stepchild or a child or stepchild sharing a home with the Audit Committee member, or by an entity in which the Audit Committee member is a partner, member, principal or officer, such as managing director, or occupies a similar position (except limited partners, non-managing members and those occupying similar positions who, in each case, have no active role in providing services to the entity) and that provides accounting, consulting, legal, investment banking, financial or other advisory services or any similar services to us. The term “affiliate” of, or a person “affiliated” with, a specified person, means a person that directly, or indirectly through one or more intermediaries, controls, or is controlled by, or is under common control with, the person specified. “Control” (including the terms “controlling,” “controlled by” and under “common control with”) means the possession, direct or indirect, of the power to direct or cause the direction of the management and policies of a person, whether through the ownership of voting securities, by contract or otherwise. A person will be deemed not to be in control of a specified person if the person (i) is not the beneficial owner, directly or indirectly, of more than 10 percent of any class of voting equity securities of the specified person and (ii) is not an executive officer of the specified person.

The current members of our Audit Committee are independent within the meaning of Rule 10A-3.

SEC Rules and Regulations

The SEC’s rules and regulations require us to determine whether each of our directors is independent under a definition of independence of a national securities exchange or of an inter-dealer quotation system. Because we are not a listed issuer whose securities are listed on a national securities exchange or listed in an inter-dealer quotation system, we may choose which national securities exchange’s or inter-dealer quotation system’s definition of independence to apply. Our Board of Directors has selected the independence standards of the New York Stock Exchange (the “NYSE”) for this purpose. However, because we are not listed on the NYSE, we are not required to meet the NYSE’s director independence standards and our Board of Directors is using such NYSE standards only to make the independence determination required by SEC rules, as described below.

Our Board of Directors determined that presumptively our member directors are not independent under the NYSE’s subjective independence standard. Our Board of Directors determined that, under the NYSE independence standards, member directors have a material relationship with us through their member institutions’ relationships with us. This determination was based upon the fact that we are a member-owned cooperative and each member director is required to be an officer or director of a member institution. Also, a member director’s member institution may routinely engage in transactions with us that could occur frequently and in large dollar amounts and that we encourage. Furthermore, because the level of each member institution’s business with us is dynamic and our desire is to increase our level of business with each of our members, our Board of Directors determined it would be inappropriate to make a determination of independence with respect to each member director based on the director’s member’s given level of business as of a particular date. As the scope and breadth of the member director’s member’s business with us changes, such member’s relationship with us might, at any time, constitute a disqualifying transaction or business relationship with respect to the member’s member director under the NYSE’s objective independence standards. Therefore, our member directors are presumed to be not independent under the NYSE’s independence standards. Our Board of Directors could, however, in the future, determine that a member director is independent under the NYSE’s independence standards based on the particular facts and circumstances applicable to that member director. Furthermore, the determination by our Board of Directors regarding member directors’ independence under the NYSE’s standards is not necessarily determinative of any member director’s independence with respect to his or her service on any special or ad hoc committee of the Board of Directors to which he or she may be appointed in the future. Our current member directors are Tim H. Carter, Albert C. Christman, James D. Goudge, W. Wesley Hoskins, Michael C. Hutsell, A. Fred Miller, Jr., Stephen Panepinto, Robert M. Rigby and Ron G. Wiser.

Our Board of Directors affirmatively determined that each of our current independent directors is independent under the NYSE’s independence standards. Our Board of Directors noted as part of its determination that independent directors and their spouses are specifically prohibited from being an officer of any FHLBank or an officer, employee or director of any of our members, or of any recipient of advances from us, subject to the exception discussed above for positions in certain holding companies. This independence determination applies to Dorsey L. Baskin, Jr., Dianne W. Bolen, Mary E. Ceverha, Rufus Cormier, Jr., Sally I. Nelson, Felipe A. Rael, John P. Salazar and Margo S. Scholin. This determination also applies to Cheryl D. Alston, who served on our Board of Directors during 2021. Ms. Alston resigned from our Board of Directors effective July 13, 2021.

Our Board of Directors also assessed the independence of the members of our Audit Committee under the NYSE standards for audit committees. Our Board of Directors determined that, for the same reasons set forth above regarding the independence of our directors generally, none of the member directors serving on our Audit Committee (Tim H. Carter, Michael C. Hutsell, Robert M. Rigby and Ron G. Wiser) is independent under the NYSE standards for audit committees.

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Our Board of Directors determined that Dorsey L. Baskin, Jr., Mary E. Ceverha, Sally I. Nelson and Margo S. Scholin, independent directors who serve on our Audit Committee, are independent under the NYSE standards for audit committees.

ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth the aggregate fees billed to the Bank for the years ended December 31, 2021 and 2020 for services rendered by PricewaterhouseCoopers LLP (“PwC”), the Bank’s independent registered public accounting firm.

	(In thousands) Year Ended December 31,
	2021		2020
Audit fees	$	912	$	901
Audit-related fees	53		12
Tax fees	—		—
All other fees	—		—
Total fees	$	965	$	913

In 2021 and 2020, audit fees were for services rendered in connection with the integrated audits of the Bank’s financial statements and its internal control over financial reporting.

In 2021, the fees associated with audit-related services were for consultations concerning the accounting for a hedging strategy that had been considered by the Bank and discussions regarding other miscellaneous accounting-related matters. In 2020, the fees associated with audit-related services were for discussions regarding miscellaneous accounting-related matters.

The Bank is assessed its proportionate share of the costs of operating the FHLBanks Office of Finance, which includes the expenses associated with the annual audits of the combined financial statements of the 11 FHLBanks. The audit fees for the combined financial statements are billed directly by PwC to the Office of Finance and the Bank is assessed its proportionate share of these expenses. In 2021 and 2020, the Bank was assessed $45,000 and $40,000, respectively, for the costs associated with PwC’s audits of the combined financial statements for those years. These assessments are not included in the table above.

Under the Audit Committee’s pre-approval policies and procedures, the Audit Committee is required to pre-approve all audit and permissible non-audit services (including the fees and terms thereof) to be performed by the Bank’s independent registered public accounting firm, subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Exchange Act. The Audit Committee has delegated pre-approval authority to the Chairman of the Audit Committee for: (1) permissible non-audit services that would be characterized as “Audit-Related Services” and (2) auditor-requested fee increases associated with any unforeseen cost overruns relating to previously approved “Audit Services” (if additional fees are requested by the independent registered public accounting firm as a result of changes in audit scope, the Audit Committee must specifically pre-approve such increase). The Chairman’s pre-approval authority is limited in all cases to $50,000 per service request. Any pre-approval decisions made by the Chairman must be ratified by the Audit Committee at its next regularly scheduled meeting. Bank management is required to periodically update the Audit Committee with regard to the services provided by the independent registered public accounting firm and the fees associated with those services.

All of the services provided by PwC in 2021 and 2020 were pre-approved by the Audit Committee. There were no services for which the de minimis exception was used.

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PART IV

ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES

(a) Financial Statements

The financial statements are set forth on pages F-1 through F-58 of this Annual Report on Form 10-K.

(b) Exhibits

3.1    Organization Certificate of the Registrant (incorporated by reference to Exhibit 3.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).

3.2    Bylaws of the Registrant (incorporated by reference to Exhibit 3.2 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2015, filed on March 22, 2016).*

4.1    Capital Plan of the Registrant, as amended and revised on June 17, 2021 and approved by the Federal Housing Finance Agency on November 9, 2021.    

4.2    Description of Registrant's Securities.

10.1    Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).

10.2    2011 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Prior to January 1, 2005, effective March 31, 2011 (incorporated by reference to Exhibit 10.2 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, filed on March 23, 2012).*

10.3    Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).

10.4    2008 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.3 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009).*

10.5    2010 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010).*

10.6    Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).

10.7    2011 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for deferrals prior to January 1, 2005, effective March 31, 2011 (incorporated by reference to Exhibit 10.7 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, filed on March 23, 2012).*

10.8    Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).

10.9    2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.6 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009).*

10.10    2010 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010).*

10.11    Consolidated Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2011, as adopted by the Bank’s Board of Directors on December 29, 2010 (incorporated by reference to Exhibit 10.9 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, filed on March 25, 2011).*

127

10.12    2017 Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2017, as adopted by the Bank’s Board of Directors on July 21, 2016 (incorporated by reference to Exhibit 10.12 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*

10.13    Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective December 31, 2010 (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 25, 2011 and filed with the SEC on June 1, 2011, which exhibit is incorporated herein by reference).*

10.14    Amended and Restated Federal Home Loan Banks P&I Funding and Contingency Plan Agreement entered into effective January 1, 2017, by and among the Office of Finance and each of the Federal Home Loan Banks (incorporated by reference to Exhibit 10.14 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*

10.15    Form of Employment Agreement between the Registrant and each of Brehan Chapman and Gustavo Molina, entered into effective January 1, 2014 (incorporated by reference to Exhibit 10.15 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2013, filed on March 24, 2014).*

10.16    Employment Agreement between the Registrant and Sandra Damholt, entered into effective January 1, 2014 (incorporated by reference to Exhibit 10.16 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2013, filed on March 24, 2014).*

10.17    Employment Agreement between the Registrant and Sanjay Bhasin, entered into effective March 24, 2015 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended March 31, 2015, filed on May 13, 2015).*

10.18    2017 Omnibus Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*

10.19    2018 Executive Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2017, filed on March 22, 2018).*

10.20    2019 Executive Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2018, filed on March 25, 2019).*

10.21    2020 Executive Incentive Plan (incorporated by reference to Exhibit 10.1 to the Bank's Quarterly Report on Form 10-Q for the fiscal quarter ended June 30, 2020, filed on August 12, 2020).*

10.22    2021 Executive Incentive Plan (filed as Exhibit 10.1 to the Bank's Current Report on Form 8-K dated January 11, 2021 and filed with the SEC on January 15, 2021, which exhibit is incorporated herein by reference).*

10.23    2022 Executive Incentive Plan.

10.24    Form of Indemnification Agreement between the Registrant and each of its executive officers, entered into on November 9, 2018 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2018, filed on November 13, 2018).*

10.25    Form of Indemnification Agreement between the Registrant and each of its directors, entered into on November 9, 2018 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2018, filed on November 13, 2018).*

10.26    Joint Capital Enhancement Agreement, as amended effective August 5, 2011 (filed as Exhibit 10.1 to the Bank's Current Report on Form 8-K dated August 5, 2011 and filed with the SEC on August 5, 2011, which exhibit is incorporated herein by reference).*

14.1    Code of Ethics for Financial Professionals.

31.1    Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2    Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1    Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

99.1    Charter of the Audit Committee of the Board of Directors.

99.2    Report of the Audit Committee of the Board of Directors.

101.INS    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.

128

101.SCH    Inline XBRL Taxonomy Extension Schema Document.

101.CAL    Inline XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB    Inline XBRL Taxonomy Extension Label Linkbase Document.

101.PRE    Inline XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF    Inline XBRL Taxonomy Extension Definition Linkbase Document.

104    The cover page of this Annual Report on Form 10-K, formatted in inline XBRL and contained in Exhibit 101.

*    Commission File No. 000-51405

ITEM 16. FORM 10-K SUMMARY

None.

129

SIGNATURES

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

	Federal Home Loan Bank of Dallas
March 23, 2022	By	/s/ Sanjay Bhasin
Date		Sanjay Bhasin
		President and Chief Executive Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on March 23, 2022.

/s/ Sanjay Bhasin

Sanjay Bhasin

President and Chief Executive Officer
(Principal Executive Officer) 

/s/ Tom Lewis 

Tom Lewis 

Executive Vice President and Chief Financial Officer
(Principal Financial and Accounting Officer) 

/s/ Robert M. Rigby

Robert M. Rigby

Chairman of the Board of Directors 

/s/ Margo S. Scholin

Margo S. Scholin

Vice Chairman of the Board of Directors 

/s/ Dorsey L. Baskin, Jr.

Dorsey L. Baskin, Jr.

Director

/s/ Dianne W. Bolen

Dianne W. Bolen

Director 

/s/ Tim H. Carter

Tim H. Carter

Director 

/s/ Mary E. Ceverha

Mary E. Ceverha

Director 

/s/ Albert C. Christman

Albert C. Christman

Director 

Rufus Cormier, Jr.

Director 

/s/ James D. Goudge

James D. Goudge

Director 

S-1

/s/ W. Wesley Hoskins

W. Wesley Hoskins

Director 

/s/ Michael C. Hutsell

Michael C. Hutsell

Director 

/s/ A. Fred Miller, Jr.

A. Fred Miller, Jr.

Director 

/s/ Sally I. Nelson

Sally I. Nelson

Director 

/s/ Stephen Panepinto

Stephen Panepinto

Director

/s/ Felipe A. Rael

Felipe A. Rael

Director 

/s/ John P. Salazar

John P. Salazar

Director 

/s/ Ron G. Wiser 

Ron G. Wiser 

Director 

S-2

Federal Home Loan Bank of Dallas

Index to Financial Statements

					Page No.
Management’s Report on Internal Control over Financial Reporting					F-2
Annual Audited Financial Statements:
Report of Independent Registered Public Accounting Firm	(	PCAOB ID	238	)	F-3
Statements of Condition as of December 31, 2021 and 2020					F-5
Statements of Income for the years ended December 31, 2021, 2020 and 2019					F-6
Statements of Comprehensive Income for the years ended December 31, 2021, 2020 and 2019					F-7
Statements of Capital for the years ended December 31, 2021, 2020 and 2019					F-8
Statements of Cash Flows for the years ended December 31, 2021, 2020 and 2019					F-9
Notes to Financial Statements					F-11

F-1

Management’s Report on Internal Control over Financial Reporting

Management of the Federal Home Loan Bank of Dallas (the “Bank”) is responsible for establishing and maintaining adequate internal control over financial reporting. The Bank’s internal control over financial reporting is a process designed 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. Internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the Bank’s assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Bank are being made only in accordance with authorizations of the Bank’s management and board of directors; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the Bank’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Further, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management evaluated the effectiveness of the Bank’s internal control over financial reporting as of December 31, 2021 based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission in the 2013 edition of Internal Control — Integrated Framework. Based upon that evaluation, management concluded that the Bank’s internal control over financial reporting was effective as of December 31, 2021.

The effectiveness of the Bank’s internal control over financial reporting as of December 31, 2021 has been audited by PricewaterhouseCoopers LLP, the Bank’s independent registered public accounting firm, as stated in their report which appears on page F-3.

F-2

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of the

Federal Home Loan Bank of Dallas

Opinions on the Financial Statements and Internal Control over Financial Reporting

We have audited the accompanying statements of condition of the Federal Home Loan Bank of Dallas (the “Bank”) as of December 31, 2021 and 2020, and the related statements of income, comprehensive income, capital and cash flows for each of the three years in the period ended December 31, 2021, including the related notes (collectively referred to as the “financial statements”). We also have audited the Bank's internal control over financial reporting as of December 31, 2021, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Bank as of December 31, 2021 and 2020, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Bank maintained, in all material respects, effective internal control over financial reporting as of December 31, 2021, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO.

Basis for Opinions

The Bank's management is responsible for these financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management's Report on Internal Control over Financial Reporting. Our responsibility is to express opinions on the Bank’s financial statements and on the Bank's internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Bank in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.

Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

Definition and Limitations of Internal Control over Financial Reporting

A company’s internal control over financial reporting is a process designed 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. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matters

The critical audit matter communicated below is a matter arising from the current period audit of the financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the financial statements and (ii) involved our especially challenging, subjective, or complex judgments. The

F-3

communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Valuation of Interest-Rate Derivatives and Hedged Items

As described in Notes 14 and 17 to the financial statements, the Bank uses derivatives to manage its exposure to changes in interest rates and to reduce funding costs, among other things. The total notional amount of derivatives as of December 31, 2021 was $53 billion, of which 93% were designated as hedging instruments, and the net estimated fair value of derivative assets and liabilities as of December 31, 2021 was $7 million and $14 million, respectively. The fair values of interest-rate derivatives and hedged items are estimated using a pricing model that employs discounted cash flows or other similar pricing techniques. The pricing model uses inputs observable in the market, such as interest rate curves and volatility assumptions.

The principal considerations for our determination that performing procedures relating to the valuation of interest-rate derivatives and hedged items is a critical audit matter are the significant audit effort in evaluating the interest rate curves and volatility assumptions used to fair value these derivatives and hedged items, and the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the financial statements. These procedures included testing the effectiveness of controls relating to the valuation of interest-rate derivatives and hedged items, including controls over the model, data and assumptions. These procedures also included, among others, the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of interest rate derivatives and hedged items and comparison of management’s estimate to the independently developed ranges. Developing the independent range of prices involved testing the completeness and accuracy of data provided by management and independently developing the interest rate curves and volatility assumptions.

/s/	PricewaterhouseCoopers LLP
Dallas, Texas
March 23, 2022

We have served as the Bank’s auditor since 1990.

F-4

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CONDITION

(In thousands, except share data)

	December 31,
	2021		2020
ASSETS
Cash and due from banks	$	542,801	$	3,178,281
Interest-bearing deposits (Notes 8, 9 and 19)	885,745		759,240
Securities purchased under agreements to resell (Notes 8, 9 and 13)	10,650,000		1,000,000
Federal funds sold (Notes 8, 9, 19 and 20)	4,781,000		915,000
Trading securities (Notes 3 and 8)	2,454,870		5,301,468
Available-for-sale securities (a) (Notes 4, 8, 9, 13 and 18) ($529,596 and $737,500 pledged at December 31, 2021 and 2020, respectively, which could be rehypothecated)	15,288,032		16,787,762
Held-to-maturity securities (b) (Notes 5, 8 and 9)	593,555		897,226
Advances (Notes 6, 8, 9 and 19)	24,637,464		32,478,944
Mortgage loans held for portfolio, net of allowance for credit losses of $3,124 and $3,925 at December 31, 2021 and 2020, respectively (Notes 7, 8, 9 and 19)	3,491,265		3,422,686
Accrued interest receivable (Note 8)	91,581		106,322
Premises and equipment, net	15,485		14,901
Derivative assets (Notes 13 and 14)	7,077		7,975
Other assets (including $17,574 and $15,839 of securities held at fair value at December 31, 2021 and 2020, respectively)	49,501		42,721
TOTAL ASSETS	$	63,488,376	$	64,912,526
LIABILITIES AND CAPITAL
Deposits (Notes 10 and 19)
Interest-bearing	$	1,590,168	$	1,583,100
Non-interest bearing	20		20
Total deposits	1,590,188		1,583,120
Consolidated obligations (Note 11)
Discount notes	11,003,026		22,171,296
Bonds	44,514,220		37,112,721
Total consolidated obligations	55,517,246		59,284,017
Mandatorily redeemable capital stock (Note 15)	6,657		13,864
Accrued interest payable	73,038		42,039
Affordable Housing Program (Note 12)	60,133		63,153
Derivative liabilities (Notes 13 and 14)	13,956		25,049
Other liabilities (Note 3)	2,293,467		344,399
Total liabilities	59,554,685		61,355,641
Commitments and contingencies (Notes 9, 12, 14, 16 and 18)
CAPITAL (Notes 15 and 19)
Capital stock
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 12,818,137 and 9,044,480 at December 31, 2021 and 2020, respectively	1,281,814		904,448
Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 9,106,902 and 11,969,321 at December 31, 2021 and 2020, respectively	910,690		1,196,932
Total Class B Capital Stock	2,192,504		2,101,380
Retained earnings
Unrestricted	1,291,656		1,174,359
Restricted	266,761		233,886
Total retained earnings	1,558,417		1,408,245
Accumulated other comprehensive income (Note 21)	182,770		47,260
Total capital	3,933,691		3,556,885
TOTAL LIABILITIES AND CAPITAL	$	63,488,376	$	64,912,526

_______________________________________

(a)Amortized cost: $15,046,972 and $16,615,401 at December 31, 2021 and 2020, respectively.

(b)Fair values: $606,352 and $908,630 at December 31, 2021 and 2020, respectively.

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

F-5

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF INCOME

(In thousands)

	For the Years Ended December 31,
	2021		2020		2019
INTEREST INCOME
Advances	$	119,754	$	349,082	$	906,671
Prepayment fees on advances, net	9,812		17,756		2,064
Interest-bearing deposits	1,212		8,940		37,043
Securities purchased under agreements to resell	162		7,688		87,073
Federal funds sold	3,395		8,940		58,435
Trading securities	8,776		63,616		100,875
Available-for-sale securities	151,684		219,190		465,023
Held-to-maturity securities	5,222		13,247		37,629
Mortgage loans held for portfolio	77,667		102,854		110,892
Total interest income	377,684		791,313		1,805,705
INTEREST EXPENSE
Consolidated obligations
Bonds	70,916		277,347		711,240
Discount notes	29,635		198,890		780,165
Deposits	381		4,428		20,167
Mandatorily redeemable capital stock	17		83		189
Other borrowings	(11)		1		113
Total interest expense	100,938		480,749		1,511,874
NET INTEREST INCOME	276,746		310,564		293,831
Provision (reversal) for mortgage loan losses	(801)		585		656
NET INTEREST INCOME AFTER PROVISION (REVERSAL) FOR MORTGAGE LOAN LOSSES	277,547		309,979		293,175
OTHER INCOME (LOSS)
Service fees	2,753		2,467		2,590
Net gains (losses) on trading securities	(10,501)		7,225		12,860
Net gains (losses) on derivatives and hedging activities	(1,252)		2,887		24,687
Net gains on other assets carried at fair value	1,848		1,647		1,964
Realized gains on sales of available-for-sale securities	—		829		852
Letter of credit fees	14,498		14,347		12,437
Other, net	2,897		2,757		930
Total other income	10,243		32,159		56,320
OTHER EXPENSE
Compensation and benefits	55,170		65,087		50,003
Other operating expenses	34,348		36,198		36,141
Finance Agency	6,451		5,304		4,800
Office of Finance	5,433		4,841		4,271
Subsidies, grants and donations	2,907		8,645		476
Derivative clearing fees	838		1,267		1,274
Total other expense	105,147		121,342		96,965
INCOME BEFORE ASSESSMENTS	182,643		220,796		252,530
Affordable Housing Program assessment	18,266		22,087		25,272
NET INCOME	$	164,377	$	198,709	$	227,258

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

F-6

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF COMPREHENSIVE INCOME

(In thousands)

	For the Years Ended December 31,
	2021		2020		2019
NET INCOME	$	164,377	$	198,709	$	227,258
OTHER COMPREHENSIVE INCOME (LOSS)
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income	68,699		28,357		26,705
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income	—		(829)		(852)
Unrealized gains (losses) on cash flow hedges	42,418		(96,035)		(54,777)
Reclassification adjustment for losses (gains) on cash flow hedges included in net income	22,345		14,627		(1,829)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	1,917		2,238		2,027
Postretirement benefit plan
Amortization of prior service cost included in net periodic benefit cost	21		20		20
Actuarial gain (loss)	201		(87)		(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)		(80)		(94)
Total other comprehensive income (loss)	135,510		(51,789)		(28,952)
TOTAL COMPREHENSIVE INCOME	$	299,887	$	146,920	$	198,306

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

F-7

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 AND 2019

(In thousands)

	Capital Stock Class B-1 - Putable (Membership/Excess)			Capital Stock Class B-2 - Putable (Activity)			Retained Earnings						Accumulated Other Comprehensive Income (Loss)		Total Capital
	Shares	Par Value		Shares	Par Value		Unrestricted		Restricted		Total
BALANCE, JANUARY 1, 2019	9,169	$	916,921	16,380	$	1,637,967	$	932,675	$	148,692	$	1,081,367	$	128,001	$	3,764,256
Net transfers of shares between Class B-1 and Class B-2 Stock	16,966	1,696,611		(16,966)	(1,696,611)		—		—		—		—		—
Proceeds from sale of capital stock	40	4,026		15,454	1,545,452		—		—		—		—		1,549,478
Repurchase/redemption of capital stock	(17,114)	(1,711,435)		—	—		—		—		—		—		(1,711,435)
Net shares reclassified to mandatorily redeemable capital stock	(23)	(2,326)		—	—		—		—		—		—		(2,326)
Adjustment to initially apply new lease accounting guidance	—	—		—	—		(25)		—		(25)		—		(25)
Comprehensive income
Net income	—	—		—	—		181,806		45,452		227,258		—		227,258
Other comprehensive income (loss)	—	—		—	—		—		—		—		(28,952)		(28,952)
Dividends on capital stock
Cash	—	—		—	—		(259)		—		(259)		—		(259)
Mandatorily redeemable capital stock	—	—		—	—		(27)		—		(27)		—		(27)
Stock	756	75,637		—	—		(75,637)		—		(75,637)		—		—
BALANCE, DECEMBER 31, 2019	9,794	979,434		14,868	1,486,808		1,038,533		194,144		1,232,677		99,049		3,797,968
Partial recovery of prior capital distribution to Financing Corporation (Note 15)	—	—		—	—		17,639		—		17,639		—		17,639
Net transfers of shares between Class B-1 and Class B-2 Stock	15,744	1,574,392		(15,744)	(1,574,392)		—		—		—		—		—
Proceeds from sale of capital stock	300	29,963		12,845	1,284,516		—		—		—		—		1,314,479
Repurchase/redemption of capital stock	(16,565)	(1,656,459)		—	—		—		—		—		—		(1,656,459)
Shares reclassified to mandatorily redeemable capital stock	(610)	(61,032)		—	—		—		—		—		—		(61,032)
Adjustment to initially apply new credit loss accounting guidance (Note 9)	—	—		—	—		(2,191)		—		(2,191)		—		(2,191)
Comprehensive income
Net income	—	—		—	—		158,967		39,742		198,709		—		198,709
Other comprehensive income (loss)	—	—		—	—		—		—		—		(51,789)		(51,789)
Dividends on capital stock
Cash	—	—		—	—		(242)		—		(242)		—		(242)
Mandatorily redeemable capital stock	—	—		—	—		(197)		—		(197)		—		(197)
Stock	381	38,150		—	—		(38,150)		—		(38,150)		—		—
BALANCE, DECEMBER 31, 2020	9,044	904,448		11,969	1,196,932		1,174,359		233,886		1,408,245		47,260		3,556,885
Net transfers of shares between Class B-1 and Class B-2 Stock	17,241	1,724,131		(17,241)	(1,724,131)		—		—		—		—		—
Proceeds from sale of capital stock	217	21,693		14,379	1,437,889		—		—		—		—		1,459,582
Repurchase/redemption of capital stock	(13,824)	(1,382,401)		—	—		—		—		—		—		(1,382,401)
Shares reclassified to mandatorily redeemable capital stock	—	(40)		—	—		—		—		—		—		(40)
Comprehensive income
Net income	—	—		—	—		131,502		32,875		164,377		—		164,377
Other comprehensive income	—	—		—	—		—		—		—		135,510		135,510
Dividends on capital stock
Cash	—	—		—	—		(222)		—		(222)		—		(222)
Stock	140	13,983		—	—		(13,983)		—		(13,983)		—		—
BALANCE, DECEMBER 31, 2021	12,818	$	1,281,814	9,107	$	910,690	$	1,291,656	$	266,761	$	1,558,417	$	182,770	$	3,933,691

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

F-8

FEDERAL HOME LOAN BANK OF DALLAS

STATEMENTS OF CASH FLOWS

(In thousands)

	For the Years Ended December 31,
	2021		2020		2019
OPERATING ACTIVITIES
Net income	$	164,377	$	198,709	$	227,258
Adjustments to reconcile net income to net cash provided by (used in) operating activities
Depreciation and amortization
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans	52,748		7,939		(34,559)
Concessions on consolidated obligations	2,751		9,282		8,269
Premises, equipment and computer software costs	5,194		3,861		4,100
Non-cash interest on mandatorily redeemable capital stock	25		110		201
Provision (reversal) for mortgage loan losses	(801)		585		656
Net losses (gains) on trading securities	10,501		(7,225)		(12,860)
Net change in derivatives and hedging activities	674,460		(778,739)		(686,700)
Net gains on other assets carried at fair value	(1,848)		(1,647)		(1,964)
Gains on sales of available-for-sale securities	—		(829)		(852)
Decrease (increase) in accrued interest receivable	14,745		48,088		(1,401)
Decrease (increase) in other assets	(5,322)		1,990		(5,787)
Increase (decrease) in Affordable Housing Program (AHP) liability	(3,020)		5,906		12,889
Increase (decrease) in accrued interest payable	30,998		(73,316)		(7,589)
Increase (decrease) in other liabilities	(467)		3,412		2,118
Total adjustments	779,964		(780,583)		(723,479)
Net cash provided by (used in) operating activities	944,341		(581,874)		(496,221)
INVESTING ACTIVITIES
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged	(116,927)		601,617		837,278
Net decrease (increase) in securities purchased under agreements to resell	(9,650,000)		3,310,000		1,905,000
Net decrease (increase) in federal funds sold	(3,866,000)		3,590,000		(2,774,000)
Purchases of trading securities held for investment	(10,070,699)		(23,856,123)		(32,770,030)
Proceeds from maturities of trading securities	11,361,650		20,305,475		6,936,550
Proceeds from sales of trading securities	3,493,399		4,019,475		22,237,379
Purchases of available-for-sale securities	—		—		(1,254,235)
Principal collected on available-for-sale securities	772,428		322,399		463,055
Proceeds from sales of available-for-sale securities	—		605,423		511,194
Purchases of held-to-maturity securities	—		—		(74,433)
Principal collected on held-to-maturity securities	306,469		312,496		333,631
Principal collected on advances	537,732,747		402,583,150		535,464,499
Advances made	(530,230,119)		(397,549,867)		(531,616,062)
Principal collected on mortgage loans held for portfolio	1,257,669		1,543,883		530,739
Purchases of mortgage loans held for portfolio	(1,354,271)		(931,018)		(2,431,776)
Purchases of premises, equipment and computer software	(5,597)		(6,239)		(4,044)
Net cash provided by (used in) investing activities	(369,251)		14,850,671		(1,705,255)

F-9

	For the Years Ended December 31,
	2021		2020		2019
FINANCING ACTIVITIES
Net increase in deposits, including swap collateral held	3,881		303,757		316,386
Net receipts (payments) on derivative contracts with financing elements	76,020		(229,764)		(169,372)
Net proceeds from issuance of consolidated obligations
Discount notes	34,663,059		122,493,870		299,439,428
Bonds	50,151,289		39,912,009		39,250,090
Debt issuance costs	(1,770)		(7,685)		(9,453)
Payments for maturing and retiring consolidated obligations
Discount notes	(45,825,626)		(134,594,531)		(300,795,531)
Bonds	(42,347,110)		(38,609,525)		(35,680,071)
Proceeds from issuance of capital stock	1,459,582		1,314,479		1,549,478
Proceeds from issuance of mandatorily redeemable capital stock	22		—		—
Payments for redemption of mandatorily redeemable capital stock	(7,294)		(54,615)		(2,391)
Payments for repurchase/redemption of capital stock	(1,382,401)		(1,656,459)		(1,711,435)
Partial recovery of prior capital distribution to Financing Corporation (Note 15)	—		17,639		—
Cash dividends paid	(222)		(242)		(259)
Net cash provided by (used in) financing activities	(3,210,570)		(11,111,067)		2,186,870
Net increase (decrease) in cash and cash equivalents	(2,635,480)		3,157,730		(14,606)
Cash and cash equivalents at beginning of the year	3,178,281		20,551		35,157
Cash and cash equivalents at end of the year	$	542,801	$	3,178,281	$	20,551
Supplemental disclosures
Interest paid	$	118,806	$	599,917	$	1,559,919
AHP payments, net	$	21,286	$	16,181	$	12,383
Stock dividends issued	$	13,983	$	38,150	$	75,637
Dividends paid through issuance of mandatorily redeemable capital stock	$	—	$	197	$	27
Capital stock reclassified to mandatorily redeemable capital stock, net	$	40	$	61,032	$	2,326
Right-of-use assets acquired by lease	$	77	$	805	$	2,539

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

F-10

FEDERAL HOME LOAN BANK OF DALLAS

NOTES TO FINANCIAL STATEMENTS

Background Information

The Federal Home Loan Bank of Dallas (the “Bank”), a federally chartered corporation, is one of 11 district Federal Home Loan Banks (each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Federal Home Loan Banks Office of Finance (“Office of Finance”), a joint office of the FHLBanks, the “FHLBank System”) that were created by the Federal Home Loan Bank Act of 1932 (as amended, the “FHLB Act”). The FHLBanks serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The Bank serves eligible financial institutions in Arkansas, Louisiana, Mississippi, New Mexico and Texas (collectively, the Ninth District of the FHLBank System). The Bank provides a readily available, competitively priced source of funds to its member institutions. The Bank is a cooperative whose member institutions own the capital stock of the Bank. Regulated depository institutions and insurance companies engaged in residential housing finance and Community Development Financial Institutions that are certified under the Community Development Banking and Financial Institutions Act of 1994 may apply for membership in the Bank. All members must purchase stock in the Bank. Housing associates, including state and local housing authorities, that meet certain statutory criteria may also borrow from the Bank; while eligible to borrow, housing associates are not members of the Bank and, as such, are not required or allowed to hold capital stock.

The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks and the Office of Finance. The Finance Agency’s stated mission is to ensure that the housing government-sponsored enterprises ("GSEs"), including the FHLBanks, operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Consistent with this mission, the Finance Agency establishes policies and regulations covering the operations of the FHLBanks. Each FHLBank operates as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits.

The Office of Finance facilitates the issuance and servicing of the FHLBanks’ debt instruments (known as consolidated obligations). As provided by the FHLB Act and Finance Agency regulation, the FHLBanks’ consolidated obligations are backed only by the financial resources of all 11 FHLBanks. Consolidated obligations are the joint and several obligations of all the FHLBanks and are the FHLBanks’ primary source of funds. Deposits, other borrowings, and the proceeds from capital stock issued to members provide other funds. The Bank primarily uses these funds to provide loans (known as advances) to its members, to purchase single-family mortgage loans from its members, and to fund other investments. The Bank’s credit services also include letters of credit issued or confirmed on behalf of members; in addition, the Bank offers interest rate swaps, caps and floors to its members. Further, the Bank provides its members with a variety of correspondent banking services, including overnight and term deposit accounts, wire transfer services, securities safekeeping and securities pledging services.

Note 1—Summary of Significant Accounting Policies

     Use of Estimates and Assumptions. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

     Federal Funds Sold, Securities Purchased Under Agreements to Resell, Loans to Other FHLBanks and Interest-Bearing Deposits. These investments are carried at cost. Substantially all of the Bank's interest-bearing deposits are over the FDIC insurance limit.

     Investment Securities. The Bank records investment securities on trade date. The Bank carries investment securities for which it has both the ability and intent to hold to maturity (held-to-maturity securities) at cost, adjusted for the amortization of premiums and accretion of discounts. The carrying amount of held-to-maturity securities is further adjusted for any other-than-temporary impairment charges that were recorded on or before December 31, 2019, as described below.

The Bank classifies certain investment securities that it may sell before maturity as available-for-sale and carries them at fair value. For available-for-sale securities that have been hedged (with fixed-for-floating interest rate swaps) and qualify as fair value hedges, the Bank records the portion of the change in value related to the risk being hedged, together with the related change in the fair value of the derivative, in earnings. The Bank records the remainder of the change in value of the securities in other comprehensive income as “net unrealized gains (losses) on available-for-sale securities.”

F-11

The Bank classifies certain other investments as trading and carries them at fair value. The Bank records changes in the fair value of these investments in other income (loss) in the statements of income. Although the securities are classified as trading, the Bank does not engage in speculative trading practices.

The Bank computes the amortization and accretion of premiums and discounts on mortgage-backed securities ("MBS") for which prepayments are probable and reasonably estimable using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank computes the amortization and accretion of premiums and discounts on all other investment securities using the level-yield method to the contractual maturity of the securities.

The Bank computes gains and losses on sales of investment securities using the specific identification method and includes these gains and losses in other income (loss) in the statements of income. The Bank treats securities purchased under agreements to resell as collateralized financings.

On January 1, 2020, the Bank adopted Accounting Standards Update ("ASU") 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which amends the guidance related to the accounting for credit losses on financial instruments, including investment securities classified as held-to-maturity and available-for-sale, by replacing the impairment methodology with an expected credit loss methodology. Beginning January 1, 2020, an allowance for credit losses is established, if necessary, for the Bank's investment securities classified as held-to-maturity or available-for-sale. See the section below entitled "Allowance for Credit Losses."

Through December 31, 2019, the Bank evaluated outstanding available-for-sale and held-to-maturity securities for other-than-temporary impairment on a quarterly basis. An investment security was impaired if the fair value of the investment was less than its amortized cost. Amortized cost included adjustments (if any) made to the cost basis of an investment for accretion, amortization, the credit portion of previous other-than-temporary impairments and hedging. The Bank considered the impairment of a debt security to be other than temporary if the Bank (i) intended to sell the security, (ii) more likely than not would have been required to sell the security before recovering its amortized cost basis, or (iii) did not expect to recover the security’s entire amortized cost basis (even if the Bank did not intend to sell the security). Further, an impairment was considered to be other than temporary if the Bank’s best estimate of the present value of cash flows expected to be collected from the debt security was less than the amortized cost basis of the security (any such shortfall was referred to as a “credit loss”).

If an other-than-temporary impairment (“OTTI”) occurred because the Bank intended to sell an impaired debt security, or more likely than not would have been required to sell the security before recovery of its amortized cost basis, the impairment was recognized in earnings in an amount equal to the entire difference between fair value and amortized cost.

In instances in which a determination was made that a credit loss existed but the Bank did not intend to sell the debt security and it was not more likely than not that the Bank would have been required to sell the debt security before the anticipated recovery of its remaining amortized cost basis, the other-than-temporary impairment (i.e., the difference between the security’s then-current carrying amount and its estimated fair value) was separated into (i) the amount of the total impairment related to the credit loss (i.e., the credit component) and (ii) the amount of the total impairment related to all other factors (i.e., the non-credit component). The credit component was recognized in earnings and the non-credit component was recognized in other comprehensive income.

The non-credit component of any OTTI losses recognized in other comprehensive income for debt securities classified as held-to-maturity was (and will continue to be) accreted over the remaining life of the debt security (in a prospective manner based on the amount and timing of future estimated cash flows) as an increase in the carrying value of the security unless and until the security is sold, the security matures or, if on or prior to December 31, 2019, there was an additional other-than-temporary impairment that was recognized in earnings. In instances in which an additional other-than-temporary impairment was recognized in earnings, the amount of the credit loss was reclassified from accumulated other comprehensive income (loss) ("AOCI") to earnings. Further, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying amount exceeded its fair value, an additional non-credit impairment was concurrently recognized in other comprehensive income. Conversely, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying value was less than its fair value, the carrying value of the security was not increased. In periods subsequent to the recognition of an OTTI loss, the other-than-temporarily impaired debt security was accounted for as if it had been purchased on the measurement date of the other-than-temporary impairment at an amount equal to the previous amortized cost basis less the other-than-temporary impairment recognized in earnings. The difference between the new amortized cost basis and the cash flows expected to be collected was (and will continue to be) accreted as interest income over the remaining life of the security in a prospective manner based on the amount and timing of future estimated cash flows. Prior to January 1, 2020, in instances when there was a significant increase in a security's expected

F-12

cash flows, the amount to be accreted was adjusted prospectively. Beginning January 1, 2020, accretion is not adjusted for significant increases in expected cash flows. Those additional cash flows, if any, are recognized when received.

     Advances. The Bank reports advances at their principal amount outstanding, net of unearned commitment fees and deferred prepayment fees, if any, as discussed below. The Bank credits interest on advances to income as earned.

     Mortgage Loans Held for Portfolio. Through the Mortgage Partnership Finance® (“MPF”®) program administered by the FHLBank of Chicago, the Bank has invested in conventional and government guaranteed/insured mortgage loans. The Bank classifies these mortgage loans held for portfolio as held for investment and, accordingly, reports them at their principal amount outstanding net of deferred premiums, discounts and the fair value amount of the delivery commitment, if any (which represents the unrealized gains and losses from loans initially classified as mortgage loan commitments) as of the purchase (i.e., settlement) date. The Bank credits interest on mortgage loans to income as earned. The Bank amortizes or accretes the deferred amounts to interest income using the contractual method. The contractual method uses the cash flows required by the loan contracts, as adjusted for any actual prepayments, to apply the interest method. Future prepayments of principal are not anticipated under this method. The Bank has the ability and intent to hold these mortgage loans until maturity.

     Allowance for Credit Losses. On January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. As of the balance sheet date, an allowance for expected credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sale securities and its off-balance sheet credit exposures. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. Accrued interest is recorded separately on the statement of condition. The allowance for credit losses excludes accrued interest receivable, as the Bank places financial assets on nonaccrual status and concurrently reverses any accrued but uncollected interest if the interest is deemed uncollectible. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. See Note 9 - Allowance for Credit Losses for information regarding the determination of the allowance for credit losses and the impact that the adoption of the new guidance had on the Bank's financial condition on January 1, 2020.

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. At December 31, 2021 and 2020, cash payments received on non-accrual loans and recorded as a reduction of principal totaled $3,912,000 and $1,555,000, respectively. Government-guaranteed/insured loans are not placed on nonaccrual status.

Collateral-dependent mortgage loans that are 90 days or more past due are evaluated for credit losses on an individual basis based on the fair value of the underlying mortgaged property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the MPF credit enhancements. A charge-off is recorded if the amount expected to be collected on the loan is less than its amortized cost.

As discussed in Note 2, the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act") provides temporary relief from the accounting and reporting requirements for certain loan modifications related to COVID-19 that would otherwise be categorized as a troubled debt restructuring ("TDR"). Eligible mortgage loans that are current under the modified terms of the loan agreements are returned to accrual status as long as the Bank expects repayment of the remaining contractual principal and interest. As of December 31, 2021, the Bank had entered into qualifying loan modifications on loans with an aggregate unpaid principal balance of $32,568,000. These loan modifications allowed the borrowers to defer past due principal and interest payments until the earlier of the date on which the loan is prepaid or the end of the loan term. In aggregate, the amounts deferred were insignificant.

The servicers of the Bank's mortgage loans may grant a forbearance period to borrowers who request forbearance as a result of difficulties relating to COVID-19 regardless of the status of the loan at the time of the request. During the forbearance period, the Bank accounts for these loans in the same manner as it accounts for any other past due loans whether the forbearance arrangement is formal or informal. The accrual status of mortgage loans in forbearance is determined by the past due status of the loan as the legal terms of the loan agreement remain unchanged during this period.

F-13

Prior to January 1, 2020, an allowance for credit losses was separately established to provide for probable losses inherent in the Bank's financing receivables portfolio and off-balance sheet credit exposures as of the balance sheet date. A conventional mortgage loan was considered impaired when, based on then-current information and events, it was considered probable that the Bank would be unable to collect all amounts due according to the contractual terms of the loan agreement.

     Real Estate Owned. Real estate owned includes assets that have been received in satisfaction of debt or as a result of actual or in-substance foreclosures. Real estate owned is carried at the lower of cost or fair value less estimated costs to sell and is included in other assets in the statements of condition. If the fair value of the real estate owned less estimated costs to sell is less than the recorded investment in the mortgage loan at the date of transfer, the Bank recognizes a charge-off to the allowance for loan losses. Subsequent realized gains and realized or unrealized losses are included in other income (loss) in the statements of income.

     Premises and Equipment. The Bank records premises and equipment at cost less accumulated depreciation and amortization. At December 31, 2021 and 2020, the Bank’s accumulated depreciation and amortization relating to premises and equipment was $28,061,000 and $27,022,000, respectively. The Bank computes depreciation using the straight-line method over the estimated useful lives of assets ranging from 3 to 39 years. It amortizes leasehold improvements on the straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Depreciation and amortization expense was $1,352,000, $1,539,000 and $2,003,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank includes gains and losses on disposal of premises and equipment, if any, in other income (loss) under the caption “other, net.”

     Computer Software. The cost of purchased computer software, certain costs incurred in developing computer software for internal use, and implementation costs associated with cloud computing arrangements that are service contracts are capitalized and amortized over future periods. As of December 31, 2021 and 2020, the Bank had $8,386,000 and $8,568,000, respectively, in unamortized computer software costs included in other assets. Total software costs charged to expense were $13,149,000, $9,585,000 and $8,313,000 for the years ended December 31, 2021, 2020 and 2019, respectively. Included in these total software costs was amortization of $3,842,000, $2,322,000 and $2,097,000, respectively.

     Derivatives and Hedging Activities. All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in U.S. GAAP. The Bank has defined the market settlement convention to be five business days or less for advances.

Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate).

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes).

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair

F-14

value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities."

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported.

In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

     Mandatorily Redeemable Capital Stock. The Bank reclassifies shares of capital stock from the capital section to the liability section of its statement of condition at the point in time when a member submits a written redemption notice, gives notice of its intent to withdraw from membership, or becomes a non-member by merger or acquisition, charter termination, or involuntary termination from membership, as the shares of capital stock then meet the definition of a mandatorily redeemable

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financial instrument. Shares of capital stock meeting this definition are reclassified to liabilities at fair value. Following reclassification of the stock, any dividends paid or accrued on such shares are recorded as interest expense in the statement of income. Repurchase or redemption of these mandatorily redeemable financial instruments is reported as a cash outflow in the financing activities section of the statement of cash flows.

If a member cancels a written redemption or withdrawal notice, the Bank reclassifies the shares subject to the cancellation notice from liabilities back to equity. Following this reclassification to equity, dividends on the capital stock are once again recorded as a reduction of retained earnings.

Although mandatorily redeemable capital stock is excluded from capital for financial reporting purposes, it is considered capital for regulatory purposes. See Note 15 for more information, including restrictions on stock redemption.

     Affordable Housing Program. The FHLB Act requires each FHLBank to establish and fund an Affordable Housing Program (“AHP”) (see Note 12). The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank makes AHP funds available to members in the form of direct grants to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households.

     Prepayment Fees. The Bank charges a prepayment fee when members/borrowers prepay certain advances before their original maturities. The Bank records prepayment fees received from members/borrowers net of hedging adjustments included in the book basis of the prepaid advance, if any, as interest income on advances in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances), as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance. If the new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income over the life of the modified advance using the level-yield method. This amortization is recorded in interest income on advances. If the Bank determines that the advance should be treated as a new advance, or in instances where no new advance is funded, it records the net fees as “prepayment fees on advances” in the interest income section of the statements of income.

     Commitment Fees. The Bank defers commitment fees for advances and amortizes them to interest income using the level-yield method over the life of the advance. The Bank records commitment fees for letters of credit as a deferred credit when it receives the fees and amortizes them over the term of the letter of credit using the straight-line method.

     Concessions on Consolidated Obligations. The Bank defers and amortizes, using the level-yield method, the amounts paid to securities dealers in connection with the sale of consolidated obligation bonds over the term to maturity of the related bonds. The Office of Finance prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Unamortized concessions were $1,902,000 and $2,882,000 at December 31, 2021 and 2020, respectively, and are recorded as a reduction in the balance of consolidated obligation bonds on the statements of condition. Amortization of such concessions is included in consolidated obligation bond interest expense and totaled $1,871,000, $5,334,000 and $3,553,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank charges to expense as incurred the concessions applicable to the sale of consolidated obligation discount notes because of the short maturities of these notes. Concessions related to the sale of discount notes totaling $880,000, $3,948,000 and $4,716,000 are included in interest expense on consolidated obligation discount notes in the statements of income for the years ended December 31, 2021, 2020 and 2019, respectively.

     Discounts and Premiums on Consolidated Obligations. The Bank expenses the discounts on consolidated obligation discount notes using the level-yield method over the term to maturity of the related notes. It accretes the discounts and amortizes the premiums on consolidated obligation bonds to expense using the level-yield method over the term to maturity of the bonds.

     Finance Agency and Office of Finance Expenses. The Bank is assessed its proportionate share of the costs of operating the Finance Agency and the Office of Finance. The assessment for the FHLBanks’ portion of the Finance Agency’s operating and capital expenditures is allocated among the FHLBanks based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of all FHLBanks determined as of June 30 of each year. The expenses of the Office of Finance are shared on a pro rata basis with two-thirds based on each FHLBank’s total consolidated obligations outstanding (as of the current month-end) and one-third divided equally among all of the FHLBanks. These costs are included in the other expense section of the statements of income.

     Estimated Fair Values. Some of the Bank’s financial instruments (e.g., advances) lack an available trading market characterized by transactions between a willing buyer and a willing seller engaging in an exchange transaction. Therefore, the Bank uses internal models employing assumptions regarding interest rates, volatilities, prepayments, and other factors to perform present-value calculations when disclosing estimated fair values for these financial instruments. The Bank assumes that book value approximates fair value for certain financial instruments with three months or less to repricing or maturity. For a

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discussion of the Bank's valuation techniques for financial instruments measured at fair value on the statement of condition and the estimated fair values of all of its financial instruments, see Note 17.

     Cash Flows. The Bank considers cash and due from banks as cash and cash equivalents in the statements of cash flows.

Note 2— Recently Issued Accounting Guidance

Troubled Debt Restructuring Relief. On March 27, 2020, the CARES Act was signed into law by the President of the United States. The CARES Act includes provisions that allow optional, temporary relief from accounting for certain modifications of loans that were not more than 30 days past due as of December 31, 2019 as TDRs. Specifically, under the provisions of the CARES Act, a qualifying financial institution may elect to suspend: (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as TDRs and (2) any determination that such loan modifications would be considered TDRs, including the related impairment for accounting purposes. The TDR relief provisions of the CARES Act apply to any modification that is related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any other similar arrangement that defers or delays the payment of principal or interest, that occurs during the period from March 1, 2020 through the earlier of December 31, 2020 or the date that is 60 days after the termination of the national emergency concerning the COVID-19 pandemic. On December 27, 2020, the Consolidated Appropriations Act, 2021 (the "CAA") was signed into law by the President of the United States. The CAA includes provisions that extend the temporary relief provided under the CARES Act to modifications that occur through the earlier of January 1, 2022 or the date that is 60 days after the termination of the national emergency concerning the COVID-19 pandemic.

The Bank has elected to apply the TDR relief provided by the CARES Act (as extended by the CAA). Accordingly, all modifications meeting the provisions of the CARES Act are excluded from TDR classification, accounting and disclosure. Loan modifications that do not meet the provisions of the CARES Act continue to be assessed for TDR classification under the Bank’s existing accounting practices. The election to apply the TDR relief provisions of the CARES Act has not had a material impact on the Bank's financial condition, results of operations or disclosures.

Reference Rate Reform. On March 12, 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-04, "Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"), which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 provides optional expedients and exceptions for applying U.S. GAAP to transactions affected by reference rate reform if certain criteria are met. These transactions include: (i) contract modifications, (ii) hedging relationships, and (iii) sales or transfers of debt securities classified as held-to-maturity.

ASU 2020-04 is effective from March 12, 2020 through December 31, 2022. An entity may elect to adopt the amendments for contract modifications as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. An entity may elect to apply the amendments in ASU 2020-04 to eligible hedging relationships existing as of the beginning of the interim period that includes March 12, 2020 and to new eligible hedging relationships entered into after the beginning of the interim period that includes March 12, 2020 through December 31, 2022. The one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity may be made at any time after March 12, 2020 but no later than December 31, 2022.

On January 7, 2021, the FASB issued ASU 2021-01, "Reference Rate Reform" ("ASU 2021-01"), which clarifies that an entity may elect to apply the optional expedients and exceptions in ASU 2020-04 for contract modifications and hedge accounting to derivative instruments that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform. An entity may elect to apply the amendments in ASU 2021-01 on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020 or on a prospective basis to new modifications from any date within an interim period that includes or is subsequent to January 7, 2021, up to the date the financial statements are available to be issued. The amendments in ASU 2021-01 do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022, or existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022 that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship (including periods after December 31, 2022).

In October 2020, the third-party central clearinghouses with which the Bank transacts transitioned to the use of the Secured Overnight Financing Rate ("SOFR") for margining, discounting and contract price alignment. The Bank elected to retroactively apply the optional expedients and exceptions in ASU 2021-01 to its derivative contracts that were affected by these changes.

The Bank expects that it will elect to apply some of the expedients and exceptions provided in ASU 2020-04 relating to contract modifications, hedging relationships, and sales or transfers of held-to-maturity securities and it could apply the

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expedients and exceptions in ASU 2021-01 to additional derivative contracts in the future. However, the Bank has not yet determined the extent to which it will utilize these expedients and exceptions, nor the timing of when the expedients and exceptions will be elected and therefore the impact of the adoption of ASU 2020-04 and ASU 2021-01 on the Bank's financial condition and results of operations has not yet been determined.

Note 3—Trading Securities

     Major Security Types. Trading securities as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
U.S. Treasury Bills	$	2,249,587	$	3,316,241
U.S. Treasury Notes	205,283		1,985,227
Total	$	2,454,870	$	5,301,468

Included in the table above are U.S. Treasury Bills that were purchased but which had not yet settled as of December 31, 2021 and 2020. The aggregate amounts due of $2,249,587,000 and $299,921,000, respectively, are included in other liabilities on the statement of condition at those dates.

Net gains (losses) on trading securities during the years ended December 31, 2021, 2020 and 2019 included changes in net unrealized holding gain (loss) of $(6,489,000), $8,729,000 and $11,528,000 for securities that were held on December 31, 2021, 2020 and 2019, respectively.

Note 4—Available-for-Sale Securities

Major Security Types. Available-for-sale securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	414,267	$	4,229	$	460	$	418,036
GSE obligations	4,471,107		78,983		4,412		4,545,678
Other	38,544		44		—		38,588
	4,923,918		83,256		4,872		5,002,302
GSE commercial MBS	10,123,054		165,783		3,107		10,285,730
Total	$	15,046,972	$	249,039	$	7,979	$	15,288,032

Available-for-sale securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	437,351	$	4,100	$	—	$	441,451
GSE obligations	4,950,604		84,538		3,209		5,031,933
Other	45,706		214		—		45,920
	5,433,661		88,852		3,209		5,519,304
GSE commercial MBS	11,181,740		103,934		17,216		11,268,458
Total	$	16,615,401	$	192,786	$	20,425	$	16,787,762

In the tables above, the amortized cost of the Bank's available-for-sale securities includes premiums, discounts and hedging adjustments. Amortized cost excludes accrued interest of $59,393,000 and $62,056,000 at December 31, 2021 and 2020, respectively.

Other debentures are comprised of securities issued by the Private Export Funding Corporation. These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government.

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The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2021. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations		$	114,748	$	460		$	—	$	—		$	114,748	$	460
GSE debentures		587,176		22			128,431		4,390			715,607		4,412
GSE commercial MBS		68,575		3,008			13,406		99			81,981		3,107
Total		$	770,499	$	3,490		$	141,837	$	4,489		$	912,336	$	7,979

The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
GSE debentures		$	120,876	$	1,492		$	51,151	$	1,717		$	172,027	$	3,209
GSE commercial MBS		262,908		2,240			2,502,312		14,976			2,765,220		17,216
Total		$	383,784	$	3,732		$	2,553,463	$	16,693		$	2,937,247	$	20,425

Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands).

	December 31, 2021				December 31, 2020
Maturity	Amortized  Cost		Estimated Fair Value		Amortized  Cost		Estimated Fair Value
Debentures
Due in one year or less	$	1,209,330	$	1,209,339	$	312,237	$	313,167
Due after one year through five years	3,225,065		3,286,653		3,488,066		3,530,155
Due after five years through ten years	489,523		506,310		1,617,134		1,658,599
Due after ten years	—		—		16,224		17,383
	4,923,918		5,002,302		5,433,661		5,519,304
GSE commercial MBS	10,123,054		10,285,730		11,181,740		11,268,458
Total	$	15,046,972	$	15,288,032	$	16,615,401	$	16,787,762

Interest Rate Payment Terms. At December 31, 2021 and 2020, all of the Bank’s available-for-sale securities were fixed rate securities, substantially all of which were swapped to a variable rate.

Sales of Securities. During the year ended December 31, 2021, there were no sales of available-for-sale securities. During the year ended December 31, 2020, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $604,594,000. Proceeds from the sales totaled $605,423,000, resulting in realized gains of $829,000. During the year ended December 31, 2019, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $510,342,000. Proceeds from the sales totaled $511,194,000, resulting in realized gains of $852,000.

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Note 5—Held-to-Maturity Securities

     Major Security Types. Held-to-maturity securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	2,372	$	—	$	2,372	$	2	$	—	$	2,374
State housing agency obligations	74,919		—		74,919		89		—		75,008
	77,291		—		77,291		91		—		77,382
Mortgage-backed securities
GSE residential MBS	484,110		—		484,110		4,998		3		489,105
Non-agency residential MBS	36,639		4,485		32,154		8,249		538		39,865
	520,749		4,485		516,264		13,247		541		528,970
Total	$	598,040	$	4,485	$	593,555	$	13,338	$	541	$	606,352

Held-to-maturity securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	4,119	$	—	$	4,119	$	5	$	—	$	4,124
State housing agency obligations	109,698		—		109,698		228		438		109,488
	113,817		—		113,817		233		438		113,612
Mortgage-backed securities
GSE residential MBS	740,108		—		740,108		4,213		148		744,173
Non-agency residential MBS	49,703		6,402		43,301		8,476		932		50,845
	789,811		6,402		783,409		12,689		1,080		795,018
Total	$	903,628	$	6,402	$	897,226	$	12,922	$	1,518	$	908,630

In the tables above, amortized cost includes premiums, discounts and the credit portion of OTTI recorded prior to January 1, 2020. Amortized cost excludes accrued interest of $146,000 and $235,000 at December 31, 2021 and 2020, respectively.

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 Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	December 31, 2021						December 31, 2020
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	500	$	500	$	500	$	—	$	—	$	—
Due after one year through five years	1,872		1,872		1,874		4,119		4,119		4,124
Due after five years through ten years	—		—		—		35,000		35,000		34,562
Due after ten years	74,919		74,919		75,008		74,698		74,698		74,926
	77,291		77,291		77,382		113,817		113,817		113,612
Mortgage-backed securities	520,749		516,264		528,970		789,811		783,409		795,018
Total	$	598,040	$	593,555	$	606,352	$	903,628	$	897,226	$	908,630

The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $1,003,000 and $1,338,000 at December 31, 2021 and 2020, respectively.

     Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at December 31, 2021 and 2020 (in thousands):

	2021		2020
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	77,291	$	113,817
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	2		19
Collateralized mortgage obligations
Fixed-rate	—		11
Variable-rate	520,747		789,781
	520,749		789,811
Total	$	598,040	$	903,628

All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during the years ended December 31, 2021 or 2020.

Sales of Securities. The Bank did not sell any held-to-maturity securities during the years ended December 31, 2021, 2020 or 2019.

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Note 6—Advances

     Redemption Terms. At December 31, 2021 and 2020, the Bank had advances outstanding at interest rates ranging from 0.11 percent to 8.27 percent and from 0.06 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—	—	%	$	6	0.20	%
Due in one year or less	7,642,760		0.39		11,341,900		0.47
Due after one year through two years	1,028,212		1.84		1,123,710		1.98
Due after two years through three years	1,335,606		1.63		1,145,383		1.77
Due after three years through four years	1,649,603		0.80		1,310,258		1.67
Due after four years through five years	968,470		0.67		1,626,621		0.86
Due after five years through fifteen years	11,752,610		0.90		15,327,646		0.77
Due after fifteen years	35,061		2.35		39,425		2.48
Total par value	24,412,322		0.81	%	31,914,949		0.79	%
Deferred net prepayment fees	(5,897)				(7,168)
Commitment fees	(38)				(91)
Hedging adjustments	231,077				571,254
Total	$	24,637,464			$	32,478,944

Advances presented in the table above exclude accrued interest of $16,655,000 and $21,131,000 at December 31, 2021 and 2020, respectively.

The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At December 31, 2021 and 2020, the Bank had aggregate prepayable and callable advances totaling $5,279,719,000 and $8,688,158,000, respectively.

The following table summarizes advances outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	12,779,409		19,845,878
Due after one year through two years	1,001,667		1,037,233
Due after two years through three years	1,093,031		1,113,822
Due after three years through four years	1,004,319		966,200
Due after four years through five years	345,975		837,869
Due after five years	8,187,921		8,113,941
Total par value	$	24,412,322	$	31,914,949

The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At December 31, 2021 and 2020, the Bank had putable advances outstanding totaling $7,345,800,000 and $7,495,800,000, respectively.

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The following table summarizes advances at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	14,878,560		18,172,700
Due after one year through two years	1,112,012		1,678,710
Due after two years through three years	1,291,606		1,229,183
Due after three years through four years	1,594,603		1,266,258
Due after four years through five years	968,470		1,571,621
Due after five years	4,567,071		7,996,471
Total par value	$	24,412,322	$	31,914,949

     Credit Concentrations. Due to the composition of its shareholders, the Bank’s potential credit risk from advances is concentrated in commercial banks, insurance companies, savings institutions and credit unions. At December 31, 2021, the Bank had advances of $3,148,133,000 outstanding to its largest borrower, American General Life Insurance Company, which represented approximately 12.9 percent of advances outstanding at that date. Interest income on advances to American General Life Insurance Company totaled $8,526,000 (7.1 percent of total interest income on advances) for the year ended December 31, 2021. Interest income on advances to Simmons Bank, the Bank's fifth largest borrower with total advances of $1,305,533,000 at December 31, 2021 (representing 5.3 percent of advances outstanding at that date), totaled $18,678,000 (15.6 percent of total interest income on advances) for the year ended December 31, 2021. No other borrower represented more than 10 percent of advances outstanding at December 31, 2021 or more than 10 percent of interest income on advances for the year ended December 31, 2021. No borrower represented more than 10 percent of advances outstanding at December 31, 2020 or more than 10 percent of interest income on advances for the year ended December 31, 2020. At December 31, 2019, the Bank had advances of $3,800,000,000 outstanding to its then largest borrower, Comerica Bank, which represented approximately 10.3 percent of advances outstanding at that date. Interest income on advances to Comerica Bank totaled $96,367,000 (10.6 percent of total interest income on advances) for the year ended December 31, 2019. No other borrower represented more than 10 percent of advances outstanding at December 31, 2019 or more than 10 percent of interest income on advances for the year ended December 31, 2019.

     Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at December 31, 2021 and 2020 (in thousands):

	2021		2020
Fixed-rate
Due in one year or less	$	7,582,790	$	11,131,901
Due after one year	11,037,441		11,961,692
Total fixed-rate	18,620,231		23,093,593
Variable-rate
Due in one year or less	59,970		210,005
Due after one year	5,732,121		8,611,351
Total variable-rate	5,792,091		8,821,356
Total par value	$	24,412,322	$	31,914,949

At December 31, 2021 and 2020, 54 percent and 57 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate.

     Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. As discussed in Note 1, the Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. Gross advance prepayment fees received from members/borrowers during the years ended December 31, 2021, 2020 and 2019 were $15,059,000, $86,530,000 and $2,130,000, respectively. During the years ended December 31, 2021 and 2020, the Bank deferred $653,000 and $2,687,000 of the gross advance prepayment fees received during those years. None of the gross advance prepayment fees received during the year ended December 31, 2019 were deferred.     

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Note 7—Mortgage Loans Held for Portfolio

Mortgage loans held for portfolio represent held-for-investment loans acquired through the MPF program (see Note 1). Under the MPF program, the Bank purchased conventional mortgage loans and government-guaranteed/insured mortgage loans (i.e., those insured or guaranteed by the Federal Housing Administration (“FHA”) or the Department of Veterans Affairs (“DVA”)) during the period from 1998 to mid-2003. The Bank resumed acquiring conventional mortgage loans under this program in 2016. Since 2016, all of the acquired mortgage loans were originated by certain of the Bank's member institutions that participate in the MPF program ("Participating Financial Institutions" or “PFIs”) and the Bank acquired a 100 percent interest in such loans. For loans that were acquired from its members during the period from 1998 to mid-2003, the Bank retained title to the mortgage loans, subject to any participation interest in such loans that was sold to the FHLBank of Chicago; the interest in these loans that was retained by the Bank ranged from 1 percent to 49 percent. Additionally, during the period from 1998 to 2000, the Bank also acquired from the FHLBank of Chicago a percentage interest (ranging up to 75 percent) in certain MPF loans originated by PFIs of other FHLBanks. The Bank manages the liquidity, interest rate and prepayment risk of these loans, while the PFIs or their designees retain the servicing activities. The Bank and the PFIs share in the credit risk of the loans with the Bank assuming the first loss obligation limited by the First Loss Account (“FLA”), and the PFIs assuming credit losses in excess of the FLA, up to the amount of the credit enhancement obligation as specified in the master agreement (“Second Loss Credit Enhancement”). The Bank assumes all losses in excess of the Second Loss Credit Enhancement. The following table presents information as of December 31, 2021 and 2020 for mortgage loans held for portfolio (in thousands):

	2021		2020
Fixed-rate medium-term* single-family mortgages	$	124,532	$	98,957
Fixed-rate long-term single-family mortgages	3,298,356		3,252,276
Premiums	66,643		66,008
Discounts	(1,324)		(1,267)
Deferred net derivative gains associated with mortgage delivery commitments	6,182		10,637
Total mortgage loans held for portfolio	3,494,389		3,426,611
Less: allowance for credit losses on mortgage loans	(3,124)		(3,925)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	3,491,265	$	3,422,686

________________________________________

*Medium-term is defined as an original term of 15 years or less.

Mortgage loans presented in the table above exclude accrued interest receivable of $14,345,000 and $16,765,000 at December 31, 2021 and 2020, respectively.

The unpaid principal balance of mortgage loans held for portfolio at December 31, 2021 and 2020 was comprised of conventional loans totaling $3,414,463,000 and $3,340,535,000, respectively, and government-guaranteed/insured loans totaling $8,425,000 and $10,698,000, respectively.

PFIs are paid a credit enhancement fee (“CE fee”) as an incentive to minimize credit losses, to share in the risk of loss on MPF loans and to pay for supplemental mortgage insurance, rather than paying a guaranty fee to other secondary market purchasers. CE fees are paid monthly and are determined based on the remaining unpaid principal balance of the MPF loans. The required credit enhancement obligation varies depending upon the MPF product type. CE fees, payable to a PFI as compensation for assuming credit risk, are recorded as a reduction to mortgage loan interest income when paid by the Bank. During the years ended December 31, 2021, 2020 and 2019, mortgage loan interest income was reduced by CE fees totaling $1,858,000, $2,363,000 and $2,134,000, respectively. The Bank also pays performance-based CE fees that are based on the actual performance of the pool of MPF loans under each individual master commitment. To the extent that losses in the current month exceed accrued performance-based CE fees, the remaining losses may be recovered from future performance-based CE fees payable to the PFI. During the years ended December 31, 2021, 2020 and 2019, performance-based CE fees that were forgone and not paid to the Bank’s PFIs totaled $26,000, $5,000 and $6,000, respectively.

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Note 8—Accrued Interest Receivable

The components of accrued interest receivable as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
Advances	$	16,655	$	21,131
Investment securities
Trading	962		6,078
Available-for-sale	59,393		62,056
Held-to-maturity	146		235
Mortgage loans held for portfolio	14,345		16,765
Interest-bearing deposits	56		51
Securities purchased under agreements to resell	15		3
Federal funds sold	9		3
Total	$	91,581	$	106,322

Note 9—Allowance for Credit Losses

On January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. This guidance replaced the previous incurred loss methodology with an expected credit loss methodology. In conjunction with the adoption of this guidance, the Bank recorded (on January 1, 2020) a cumulative effect adjustment to retained earnings of $2,191,000 and a corresponding increase in the allowance for credit losses on mortgage loans held for portfolio.

As of the balance sheet date, an allowance for credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sales securities and its off-balance sheet credit exposures. Expected credit losses on these financial instruments are recorded through an allowance for credit losses. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Short-Term Investments. The Bank invests in overnight interest-bearing deposits, overnight Federal Funds sold and overnight securities sold under agreements to repurchase. These investments provide short-term liquidity and are carried at amortized cost. At December 31, 2021, all investments in Federal Funds sold, interest-bearing deposits and securities purchased under agreements to resell were repaid according to the contractual terms. Accordingly, no allowance for credit losses was recorded on these assets at December 31, 2021.

Long-Term Investments. The Bank evaluates its available-for-sale securities for impairment by comparing the security's fair value to its amortized cost. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., when the security is in an unrealized loss position). The Bank evaluates each impaired security to determine whether the impairment is due to credit losses. Held-to-maturity securities are evaluated for impairment on a pooled basis, unless an individual assessment is deemed necessary because the securities do not contain similar risk characteristics.

At December 31, 2021, the gross unrealized losses on the Bank’s available-for-sale securities were $7,979,000, of which $7,519,000 related to securities that are issued and guaranteed by GSEs and $460,000 related to securities that are guaranteed by the U.S. government. At December 31, 2021, the gross unrealized losses on the Bank’s held-to-maturity securities (computed as the difference between the amortized cost and the fair value of the securities) were $859,000, of which $856,000 were attributable to its holdings of non-agency (i.e., private label) residential MBS ("RMBS") and $3,000 were attributable to securities that are issued and guaranteed by GSEs.

Government-Guaranteed and GSE Investments. As of December 31, 2021, the U.S. government and the issuers of the Bank’s holdings of GSE debentures, GSE commercial MBS ("CMBS") and GSE RMBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). Through December 31, 2021, the Bank has not experienced any defaults on its government-guaranteed debentures or GSE RMBS and it has experienced only one default on its GSE CMBS, which default occurred in August 2020. In the event of a default, the guarantor is required to repurchase the security at its par value and thus the Bank's exposure is limited to the amount of any unamortized premiums and/or positive fair value hedge accounting adjustments included in the amortized cost basis of the investment. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at December 31, 2021 and

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the credit ratings assigned by Moody's and S&P, the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in these investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE CMBS and GSE RMBS and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on its holdings of GSE MBS will not be less than the Bank's amortized cost bases in these investments (or, in the rare circumstance of a default, the amount to be collected would not be expected to be significantly less than the Bank’s amortized cost basis in the investment). The Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the amount expected to be collected on its held-to-maturity securities is not less than the amortized cost of these investments, the Bank has determined that the credit losses on its U.S. government-guaranteed and GSE investments, if any, would be insignificant and, therefore, the Bank did not provide an allowance for credit losses on these investments at December 31, 2021.

State Housing Agency Debenture. As of December 31, 2021, the state housing agency bond owned by the Bank was rated triple-A by both Moody's and S&P. The Bank has not experienced any defaults on this debenture, nor does it expect the debenture to default in the future. Based upon the Bank's assessment of the creditworthiness of the state housing agency and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on the state housing agency debenture will not be less than the amortized cost basis of this investment. Because the Bank does not intend to sell the investment and it is not more likely than not that the Bank will be required to sell the investment before recovery of its amortized cost basis, the Bank does not consider an allowance for credit losses on its state housing agency debenture to be necessary at December 31, 2021.

Non-Agency RMBS. As of December 31, 2021, 5 of the Bank's non-agency RMBS with an aggregate amortized cost of $7,539,000 were rated investment grade (i.e., triple-B or higher by Moody's and/or S&P), 16 non-agency RMBS with an aggregate amortized cost of $29,059,000 were rated below investment grade and 1 non-agency RMBS with an amortized cost of $41,000 was unrated. In periods prior to 2017, 15 of the non-agency RMBS that were rated below investment grade at December 31, 2021 had been determined to be other-than-temporarily impaired. At December 31, 2021 and 2020, the amortized cost of the Bank's non-agency RMBS included credit losses of $5,991,000 and $6,293,000, respectively, on these previously impaired securities.

Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.

At December 31, 2021, the Bank considered the potential impact that current economic and housing market conditions could have on the collectibility of these securities to determine whether it expected to incur any additional credit losses. Based on the payment status of the securities and the considerations regarding the potential impact that recent changes in economic and housing market conditions could have on the securities' cash flows, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, no allowance for credit losses on the Bank's non-agency RMBS was deemed to be necessary at December 31, 2021.

Standby Bond Purchase Agreements. The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. To date, the Bank has never been required to purchase a bond under its standby bond purchase agreements. In addition, the agreements contain provisions that allow the Bank to terminate the agreement if the housing finance agency's credit rating, or the rating of the bonds underlying the agreements, decline to a level below investment grade. Based on these provisions, the high credit quality of the housing finance agency and the unlikelihood that the Bank will be required to repurchase the bonds, an allowance for credit losses on standby bond purchase agreements was not considered necessary at December 31, 2021.

Financing Receivables. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses on financing receivables which, for the Bank, includes off-balance sheet credit exposures to members. The Bank has developed and documented a systematic methodology for determining an

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allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members;” (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio.

Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments.

    Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the FHLB Act, the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. Eligible collateral includes whole first mortgages on improved residential real property (not more than 90 days delinquent), or securities representing a whole interest in such mortgages; securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including mortgage-backed and other debt securities issued or guaranteed by the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or the Government National Mortgage Association (“Ginnie Mae”); term deposits in the Bank; and other real estate-related collateral acceptable to the Bank, provided that such collateral has a readily ascertainable value and the Bank can perfect a security interest in such property. In the case of Community Financial Institutions (which for 2021 included all FDIC-insured institutions with average total assets as of December 31, 2020, 2019 and 2018 of less than $1.239 billion), the Bank may also accept as eligible collateral secured small business, small farm and small agribusiness loans, securities representing a whole interest in such loans, and secured loans for community development activities. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank. The Bank has procedures in place for validating the reasonableness of its collateral valuations. In addition, collateral verifications and on-site reviews are performed based on the risk profile of the borrower.

Each member/borrower of the Bank executes a security agreement pursuant to which such member/borrower grants a security interest in favor of the Bank in certain assets of such member/borrower. The agreements under which a member grants a security interest fall into one of two general structures. In the first structure, the member grants a security interest in all of its assets that are included in the eligible collateral categories, as described in the preceding paragraph, which the Bank refers to as a “blanket lien.” A member may request that its blanket lien be modified, such that the member grants in favor of the Bank a security interest limited to certain of the eligible collateral categories (i.e., whole first residential mortgages, securities, term deposits in the Bank and other real estate-related collateral). In the second structure, the member grants a security interest in specifically identified assets rather than in the broad categories of eligible collateral covered by the blanket lien and the Bank identifies such members as being on “specific collateral only status.”

The basis upon which the Bank will lend to a member that has granted the Bank a blanket lien depends on numerous factors, including, among others, that member’s financial condition and general creditworthiness. Generally, and subject to certain limitations, a member that has granted the Bank a blanket lien may borrow up to a specified percentage of the value of eligible collateral categories, as determined from such member’s financial reports filed with its federal regulator, without specifically identifying each item of collateral or delivering the collateral to the Bank. Under certain circumstances, including, among others, a deterioration of a member’s financial condition or general creditworthiness, the amount a member may borrow is determined on the basis of only that portion of the collateral subject to the blanket lien that such member delivers to the Bank. Under these circumstances, the Bank places the member on “custody status.” In addition, members on blanket lien status may choose to deliver some or all of the collateral to the Bank.

The members/borrowers that are granted specific collateral only status by the Bank are typically either insurance companies or members/borrowers with an investment grade credit rating from at least two nationally recognized statistical rating organizations ("NRSROs") that have requested this type of structure. Insurance companies are permitted to borrow only against the eligible collateral that is delivered to the Bank or a third-party custodian approved by the Bank, and insurance companies generally grant a security interest only in collateral they have delivered. Members/borrowers with an investment grade credit rating from at least two NRSROs may grant a security interest in, and would only be permitted to borrow against, delivered eligible securities and specifically identified, eligible first-lien mortgage loans. Such loans must be delivered to the Bank or a third-party custodian approved by the Bank, or the Bank and such member/borrower must otherwise take actions that ensure the priority of the Bank’s security interest in such loans. Investment grade rated members/borrowers that choose this option are subject to fewer provisions that allow the Bank to demand additional collateral or exercise other remedies based on the Bank’s discretion; however, the collateral they pledge is generally subject to larger haircuts (depending on the credit rating of the member/borrower from time to time) than are applied to similar types of collateral pledged by members under a blanket lien arrangement.

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The Bank perfects its security interests in borrowers’ collateral in a number of ways. The Bank usually perfects its security interest in collateral by filing a Uniform Commercial Code financing statement against the borrower. In the case of certain borrowers, the Bank perfects its security interest by taking possession or control of the collateral, which may be in addition to the filing of a financing statement. In these cases, the Bank also generally takes assignments of most of the mortgages and deeds of trust that are designated as collateral. Instead of requiring delivery of the collateral to the Bank, the Bank may allow certain borrowers to deliver specific collateral to a third-party custodian approved by the Bank or otherwise take actions that ensure the priority of the Bank’s security interest in such collateral.

With certain exceptions set forth below, Section 10(e) of the FHLB Act affords any security interest granted to the Bank by any member/borrower of the Bank, or any affiliate of any such member/borrower, priority over the claims and rights of any party, including any receiver, conservator, trustee, or similar party having rights of a lien creditor. However, the Bank’s security interest is not entitled to priority over the claims and rights of a party that (i) would be entitled to priority under otherwise applicable law and (ii) is an actual bona fide purchaser for value or is a secured party who has a perfected security interest in such collateral in accordance with applicable law (e.g., a prior perfected security interest under the Uniform Commercial Code or other applicable law). For example, in a case in which the Bank has perfected its security interest in collateral by filing a Uniform Commercial Code financing statement against the borrower, another secured party’s security interest in that same collateral that was perfected by possession and without prior knowledge of the Bank's lien may be entitled to priority over the Bank’s security interest that was perfected by filing a Uniform Commercial Code financing statement.

From time to time, the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor (typically, a Federal Reserve Bank or another FHLBank). If the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor, the Bank will not extend credit against those assets or categories of assets.

On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at December 31, 2021 or 2020.

The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At December 31, 2021 and 2020, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At December 31, 2021 and 2020, the Bank did not have any advances that were past due or on nonaccrual status. There have been no troubled debt restructurings related to advances.

The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures to members.

     Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the FHA or the DVA. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans.

     Mortgage Loans — Conventional Mortgage Loans. The allowance for credit losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, projected performance, loan portfolio characteristics, collateral-related characteristics, prevailing economic conditions and reasonable and supportable forecasts of expected economic conditions. The allowance for credit losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. The Bank does not record an allowance for credit losses that are expected to be recovered from the credit enhancements.

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The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at December 31, 2021 and 2020 (dollars in thousands).

	December 31, 2021
	Conventional Loans Originated Prior to 2017		Conventional Loans Originated in 2017-2021		Total Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	605	$	30,597	$	31,202	$	316	$	31,518
60-89 days delinquent	417		3,622		4,039		64		4,103
90 days or more delinquent	1,005		34,907		35,912		124		36,036
Total past due	2,027		69,126		71,153		504		71,657
Total current loans	23,797		3,390,984		3,414,781		7,951		3,422,732
Total mortgage loans	$	25,824	$	3,460,110	$	3,485,934	$	8,455	$	3,494,389
	December 31, 2020
	Conventional Loans Originated Prior to 2004		Conventional Loans Originated in 2016-2020		Total  Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	113	$	26,500	$	26,613	$	459	$	27,072
60-89 days delinquent	21		10,693		10,714		49		10,763
90 days or more delinquent	274		97,085		97,359		239		97,598
Total past due	408		134,278		134,686		747		135,433
Total current loans	7,746		3,273,438		3,281,184		9,994		3,291,178
Total mortgage loans	$	8,154	$	3,407,716	$	3,415,870	$	10,741	$	3,426,611

_____________________________

(1)All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004.

	December 31, 2021									December 31, 2020
	Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total
In process of foreclosure (1)	$	1,226		$	108		$	1,334		$	1,381		$	64		$	1,445
Serious delinquency rate (2)	1.0		%	1.5		%	1.0		%	2.9		%	2.2		%	2.8		%
Past due 90 days or more and still accruing interest (3)	$	—		$	124		$	124		$	—		$	239		$	239
Nonaccrual loans (4)	$	51,318		$	—		$	51,318		$	117,958		$	—		$	117,958
Troubled debt restructurings	$	1,066		$	—		$	1,066		$	—		$	—		$	—

_____________________________

(1)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

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

(3)Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.`

(4)The Bank did not have any specific allowance for credit losses on nonaccrual loans at December 31, 2021.

As of December 31, 2021, approximately $11,759,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $632,000 were 30 to 59 days past due, $1,761,000 were 60 to 89 days past due, and $9,366,000 were 90 days or more past due and in nonaccrual status. As of December 31, 2020, approximately $90,354,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $6,615,000 were 30 to 59 days past due, $6,724,000 were 60 to 89 days past due, and $77,015,000 were 90 days

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or more past due and in nonaccrual status. The Bank did not have any real estate owned at December 31, 2021. At December 31, 2020, the Bank’s other assets included $300,000 of real estate owned.

The Bank individually reviews each seriously delinquent mortgage loan and each TDR for credit losses. At December 31, 2021 and 2020, the estimated value of the collateral securing each of these loans, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the amortized cost basis of the loans. The remaining conventional mortgage loans were evaluated for credit losses on a pool basis. Based upon the current and past performance of these loans, current economic conditions, reasonable and supportable forecasts of expected economic conditions and expected recoveries from credit enhancements, the Bank's best estimate of the expected credit losses in its conventional mortgage loan portfolio at December 31, 2021 was $3,124,000.

The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	Year Ended December 31,
	2021		2020		2019
Balance, beginning of year	$	3,925	$	1,149	$	493
Adjustment to initially apply new credit loss accounting guidance	—		2,191		—
Provision (reversal) for credit losses	(801)		585		656
Balance, end of year	$	3,124	$	3,925	$	1,149

Note 10—Deposits

The Bank offers demand and overnight deposits for members and qualifying non-members. In addition, the Bank offers short-term interest-bearing deposit programs to members and qualifying non-members. Interest-bearing deposits classified as demand and overnight pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate, or a stepped fixed rate schedule, that is determined on the issuance date of the deposit. The weighted average interest rates paid on average outstanding deposits were 0.02 percent, 0.29 percent and 2.05 percent during 2021, 2020 and 2019, respectively. None of the deposits are federally insured. For additional information regarding other interest-bearing deposits, see Note 14.

The following table details interest-bearing and non-interest bearing deposits as of December 31, 2021 and 2020 (in thousands):

	2021		2020
Interest-bearing
Demand and overnight	$	1,529,237	$	1,532,029
Term	60,931		51,071
Non-interest bearing (other)	20		20
Total deposits	$	1,590,188	$	1,583,120

Note 11—Consolidated Obligations

Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 18.

The par amounts of the FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $653 billion and $747 billion at December 31, 2021 and 2020, respectively. The Bank was the primary obligor on approximately $55.8 billion and $59.2 billion (at par value), respectively, of

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these consolidated obligations. Regulations require each of the FHLBanks to maintain unpledged qualifying assets equal to its participation in the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the U.S. government; obligations, participations, mortgages, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or have ever been sold by Freddie Mac under the FHLB Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for purposes of compliance with these regulations.

     General Terms. Consolidated obligation bonds are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that use a variety of indices for interest rate resets such as SOFR or the federal funds rate. In years prior to 2021, the Bank issued from time to time variable-rate bonds that were indexed to LIBOR. From July 1, 2020 through December 31, 2021, the Bank was prohibited from issuing LIBOR-indexed bonds which matured after December 31, 2021. On and after January 1, 2022, the Bank is prohibited from issuing any LIBOR-indexed bonds. To meet the specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank generally enters into interest rate exchange agreements containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond.

The consolidated obligation bonds typically issued by the Bank, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms:

Optional principal redemption bonds (callable bonds) may be redeemed in whole or in part at the Bank's discretion on predetermined call dates according to the terms of the bond offerings;

Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates;

Step-down bonds pay interest at decreasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates.

     Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at December 31, 2021 and 2020 (in thousands, at par value).

	2021		2020
Fixed-rate	$	30,004,790	$	11,492,355
Variable-rate
SOFR-indexed	9,946,625		24,419,625
LIBOR-indexed	—		1,000,000
Step-up	4,822,000		75,000
Total par value	$	44,773,415	$	36,986,980

At December 31, 2021 and 2020, 69 percent and 40 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate.

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Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by contractual maturity (dollars in thousands):

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in one year or less	$	19,906,725	0.28	%	$	21,392,110	0.37	%
Due after one year through two years	2,071,195		1.64		12,236,725		0.46
Due after two years through three years	5,156,770		0.64		1,419,695		2.25
Due after three years through four years	2,325,975		0.77		799,975		1.99
Due after four years through five years	8,646,750		0.82		513,475		1.44
Due after five years	6,666,000		1.21		625,000		1.74
Total par value	44,773,415		0.65	%	36,986,980		0.55	%
Premiums	16,405				620
Discounts	(419)				(366)
Debt issuance costs	(1,902)				(2,882)
Hedging adjustments	(273,279)				128,369
Total	$	44,514,220			$	37,112,721

At December 31, 2021 and 2020, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	2021		2020
Non-callable bonds	$	22,068,620	$	34,861,980
Callable bonds	22,704,795		2,125,000
Total par value	$	44,773,415	$	36,986,980

The following table summarizes the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	2021		2020
Due in one year or less	$	41,026,520	$	23,302,110
Due after one year through two years	2,911,695		11,751,725
Due after two years through three years	524,975		1,374,695
Due after three years through four years	98,475		459,975
Due after four years through five years	186,750		98,475
Due after five years	25,000		—
Total par value	$	44,773,415	$	36,986,980

     Discount Notes. At December 31, 2021 and 2020, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied  Interest Rate
December 31, 2021	$	11,003,026	$	11,004,433	0.04	%
December 31, 2020	$	22,171,296	$	22,175,690	0.09	%

Note 12—Affordable Housing Program

Section 10(j) of the FHLB Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies in the form of direct grants and/or below market interest rate advances to members who use the funds to assist with the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. The Bank provides subsidies

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under its AHP solely in the form of direct grants. Annually, each FHLBank must set aside for the AHP 10 percent of its current year’s income before charges for AHP (as adjusted for interest expense on mandatorily redeemable capital stock), subject to a collective minimum contribution for all 11 FHLBanks of $100 million. The exclusion of interest expense on mandatorily redeemable capital stock is required pursuant to a Finance Agency regulatory interpretation. If the result of the aggregate 10 percent calculation is less than $100 million for all 11 FHLBanks, then the FHLB Act requires the shortfall to be allocated among the FHLBanks based on the ratio of each FHLBank’s income before AHP to the sum of the income before AHP of all of the FHLBanks provided, however, that each FHLBank’s required annual AHP contribution is limited to its annual net earnings before the contribution. There was no shortfall during the years ended December 31, 2021, 2020 or 2019. If a FHLBank determines that its required contributions are contributing to its financial instability, it may apply to the Finance Agency for a temporary suspension of its AHP contributions. No FHLBank applied for a suspension of its AHP contributions in 2021, 2020 or 2019.

The Bank’s AHP assessment is derived by adding interest expense on mandatorily redeemable capital stock (see Note 15) to reported income before assessments; the result of this calculation is then multiplied by 10 percent. The Bank charges the amount set aside for AHP to income and recognizes it as a liability. The Bank relieves the AHP liability as members receive AHP grants. If the Bank experiences a loss during a calendar quarter but still has income for the calendar year, the Bank’s obligation to the AHP is based upon its year-to-date/annual income. In years where the Bank’s income before assessments (as adjusted for interest expense on mandatorily redeemable capital stock) is zero or less, the amount of the AHP assessment is typically equal to zero, and the Bank would not typically be entitled to a credit that could be used to reduce required contributions in future years.

The following table summarizes the changes in the Bank’s AHP liability during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	2021		2020		2019
Balance, beginning of year	$	63,153	$	57,247	$	44,358
AHP assessment	18,266		22,087		25,272
Grants funded, net of recaptured amounts	(21,286)		(16,181)		(12,383)
Balance, end of year	$	60,133	$	63,153	$	57,247

Note 13—Assets and Liabilities Subject to Offsetting

The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of December 31, 2021 or 2020.

The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $50,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions.

For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Unlike bilateral derivatives, variation margin payments on cleared derivatives are legally characterized as settlements on the contracts. Initial and variation margin is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received) and any cash collateral pledged or received.

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The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of December 31, 2021 and 2020 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

	Gross Amounts of Recognized  Financial Instruments		Gross Amounts Offset in the  Statement of Condition		Net Amounts Presented in the  Statement of Condition		Collateral Not Offset in the  Statement of Condition (1)			Net Unsecured Amount
December 31, 2021
Assets
Derivatives
Bilateral derivatives	$	22,346	$	(15,270)	$	7,076	$	(3,834)	(2)	$	3,242
Cleared derivatives	2,853		(2,852)		1		—			1
Total derivatives	25,199		(18,122)		7,077		(3,834)			3,243
Securities purchased under agreements to resell	10,650,000		—		10,650,000		(10,650,000)			—
Total assets	$	10,675,199	$	(18,122)	$	10,657,077	$	(10,653,834)		$	3,243
Liabilities
Derivatives
Bilateral derivatives	$	474,106	$	(464,683)	$	9,423	$	—		$	9,423
Cleared derivatives	6,200		(1,667)		4,533		(4,533)		(3)	—
Total liabilities	$	480,306	$	(466,350)	$	13,956	$	(4,533)		$	9,423
December 31, 2020
Assets
Derivatives
Bilateral derivatives	$	31,103	$	(23,128)	$	7,975	$	(7,550)	(2)	$	425
Cleared derivatives	6,866		(6,866)		—		—			—
Total derivatives	37,969		(29,994)		7,975		(7,550)			425
Securities purchased under agreements to resell	1,000,000		—		1,000,000		(1,000,000)			—
Total assets	$	1,037,969	$	(29,994)	$	1,007,975	$	(1,007,550)		$	425
Liabilities
Derivatives
Bilateral derivatives	$	490,387	$	(478,935)	$	11,452	$	—		$	11,452
Cleared derivatives	20,472		(6,875)		13,597		(13,597)		(3)	—
Total liabilities	$	510,859	$	(485,810)	$	25,049	$	(13,597)		$	11,452

_____________________________

(1)Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

(2)Consists of collateral pledged by member counterparties.

(3)    Consists of securities pledged by the Bank. In addition to the amounts needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $525,063,000 and $723,903,000 at December 31, 2021 and 2020, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

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Note 14—Derivatives and Hedging Activities

     Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption and cap agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives.

The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs.

The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit.

At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain highly effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

     Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps.

A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank entered into interest rate cap agreements, the last of which matured during the year ended December 31, 2021. These derivatives were treated as economic hedges.

All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency CMBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges.

 The Bank's trading securities include fixed-rate and, at times, variable-rate U.S. Treasury Notes. To convert some of its fixed-rate U.S. Treasury Notes to a short-term floating rate, the Bank has, at times, entered into fixed-for-floating interest rate exchange agreements that were primarily indexed to the overnight index swap ("OIS") rate. These derivatives were treated as economic hedges.

The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges.

Advances — The Bank issues both fixed-rate and variable-rate advances. When deemed appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the

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interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates.

From time to time, a small portion of the Bank’s variable-rate advances may be subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank will generally enter into interest rate cap agreements. This type of hedge is treated as a fair value hedge.

The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance.

Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances.

To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that more closely matches the interest payments it receives on short-term or variable-rate assets. These transactions are treated as fair value hedges. On occasion, the Bank enters into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are indexed to the OIS rate and are treated as economic hedges.

The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars.

Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges.

     Intermediation — The Bank offers interest rate exchange agreements to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges.

      Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges.

Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at December 31, 2021 and 2020 (in thousands).

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	December 31, 2021						December 31, 2020
	Notional Amount of Derivatives		Estimated Fair Value				Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets		Derivative Liabilities				Derivative Assets		Derivative Liabilities
Derivatives designated as hedging   instruments
Interest rate swaps
Advances (1)	$	9,806,989	$	104	$	212,533	$	13,040,960	$	80	$	460,394
Available-for-sale securities (1)	14,398,278		2,028		10,502		15,190,599		4,536		36,737
Consolidated obligation bonds (1)	24,112,140		9,495		253,444		4,642,925		17,405		1,534
Consolidated obligation discount notes (2)	1,066,000		6		132		1,066,000		—		1,057
Total derivatives designated as   hedging instruments	49,383,407		11,633		476,611		33,940,484		22,021		499,722
Derivatives not designated as hedging   instruments
Interest rate swaps
Advances	265,000		—		2,044		380,000		1		7,580
Available-for-sale securities	3,081		—		1		3,126		—		3
Mortgage loans held for portfolio	265,000		22		28		318,350		174		240
Consolidated obligation discount notes	900,000		—		20		—		—		—
Trading securities	—		—		—		1,150,000		5		17
Intermediary transactions	91,672		3,834		1,320		126,362		7,410		2,799
Other	1,425,000		262		229		1,425,000		841		497
Interest rate swaptions related to mortgage loans held for portfolio	600,000		9,448		—		1,280,000		7,376		—
Mortgage delivery commitments	33,217		—		53		21,569		140		—
Interest rate caps
Held-to-maturity securities	—		—		—		250,000		—		—
Intermediary transactions	80,000		—		—		80,000		1		1
Total derivatives not designated as   hedging instruments	3,662,970		13,566		3,695		5,034,407		15,948		11,137
Total derivatives before collateral and netting adjustments	$	53,046,377	25,199		480,306		$	38,974,891	37,969		510,859
Cash collateral and related accrued interest			(3,350)		(452,763)				(9,798)		(465,606)
Cash received or remitted in excess of variation margin requirements			2		1,187				8		—
Netting adjustments			(14,774)		(14,774)				(20,204)		(20,204)
Total collateral and netting adjustments(3)			(18,122)		(466,350)				(29,994)		(485,810)
Net derivative balances reported in statements of condition			$	7,077	$	13,956			$	7,975	$	25,049

________________________________________

(1)Derivatives designated as fair value hedges.

(2)Derivatives designated as cash flow hedges.

(3)Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

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The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2021
Total amount of the financial statement line item	$	119,754	$	151,684	$	(70,916)	$	(29,635)	$	135,510
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	235,243	$	473,271	$	(200,839)	$	—	$	—
Hedged items	(335,583)		(749,714)		401,649		—		—
Net gains (losses) on fair value hedging relationships	$	(100,340)	$	(276,443)	$	200,810	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(22,345)	$	22,345
Recognized in OCI	—		—		—		—		42,418
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	(22,345)	$	64,763
Year Ended December 31, 2020
Total amount of the financial statement line item	$	349,082	$	219,190	$	(277,347)	$	(198,890)	$	(51,789)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(511,580)	$	(1,169,111)	$	172,126	$	—	$	—
Hedged items	458,018		952,729		(62,690)		—		—
Net gains (losses) on fair value hedging relationships	$	(53,562)	$	(216,382)	$	109,436	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(14,627)	$	14,627
Recognized in OCI	—		—		—		—		(96,035)
Net losses on cash flow hedging relationships	$	—	$	—	$	—	$	(14,627)	$	(81,408)

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	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2019
Total amount of the financial statement line item	$	906,671	$	465,023	$	(711,240)	$	(780,165)	$	(28,952)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(122,094)	$	(760,621)	$	212,198	$	—	$	—
Hedged items	170,055		796,381		(245,307)		—		—
Net gains (losses) on fair value hedging relationships	$	47,961	$	35,760	$	(33,109)	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	1,829	$	(1,829)
Recognized in OCI	—		—		—		—		(54,777)
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	1,829	$	(56,606)

For the years ended December 31, 2021, 2020 and 2019, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At December 31, 2021, $18,556,000 of deferred net losses on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At that same date, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 8.1 years.

The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of December 31, 2021 and 2020 (in thousands).

Line Item in Statement of Condition of Hedged Item	Amortized Cost of Hedged Asset/(Liability) (1)		Basis Adjustments for Active Hedging  Relationships Included in Amortized Cost		Basis Adjustments for Discontinued Hedging  Relationships Included in Amortized Cost		Total Fair Value Hedging Basis Adjustments (2)
December 31, 2021
Advances	$	10,065,117	$	226,159	$	4,918	$	231,077
Available-for-sale securities	15,046,972		532,869		(1,441)		531,428
Consolidated obligation bonds	(24,017,958)		273,936		(657)		273,279
December 31, 2020
Advances	13,621,492		567,408		3,846		571,254
Available-for-sale securities	16,615,401		1,296,845		(980)		1,295,865
Consolidated obligation bonds	(5,244,262)		(127,192)		(1,178)		(128,370)

_____________________________

(1)Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.

(2)Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items.

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The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Gain (Loss) Recognized in Other Income (Loss) for the Year Ended December 31,
	2021		2020		2019
Derivatives not designated as hedging instruments
Interest rate swaps	$	(10,256)	$	19,224	$	28,408
Net interest income (expense) on interest rate swaps	5,542		(20,682)		(3,414)
Interest rate swaptions	5,307		(4,524)		(2,728)
Interest rate caps	—		—		86
Mortgage delivery commitments	(1,848)		8,507		2,097
Total net gain (loss) related to derivatives not designated as hedging instruments	(1,255)		2,525		24,449
Price alignment amount on variation margin for daily settled derivative contracts(1)	3		362		238
Net gains (losses) on derivatives and hedging activities reported in other income (loss)	$	(1,252)	$	2,887	$	24,687

________________________

(1)Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item.

Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy and Finance Agency regulations. Approximately 42 percent of the Bank's derivative contracts (based on notional value) have been cleared through third-party central clearinghouses (as of December 31, 2021, the notional balance of cleared transactions outstanding totaled $22.5 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of December 31, 2021, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $30.4 billion and $0.1 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations.

The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 13. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.

Note 15—Capital

Under the Gramm-Leach-Bliley Act of 1999 (the “GLB Act”) and the Finance Agency’s capital regulations, each FHLBank may issue Class A stock or Class B stock, or both, to its members. The Bank’s Capital Plan provides that it will issue only Class B capital stock. The Class B stock has a par value of $100 per share and is purchased, redeemed, repurchased and, with the prior approval of the Bank, transferred only at its par value. As required by statute and regulation, members may request the Bank to redeem excess Class B stock, or withdraw from membership and request the Bank to redeem all outstanding capital stock, with five years’ written notice to the Bank. The regulations also allow the Bank, in its sole discretion, to repurchase members’ excess stock at any time without regard for the five-year notification period as long as the Bank continues to meet its regulatory capital requirements following any stock repurchases, as described below.

Members are required to maintain an investment in Class B Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of the previous calendar year-end, subject to a minimum of $1,000 and a maximum of $7,000,000. Under the Bank's Capital Plan, the permissible range for the advances-based component of the activity-based

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investment requirement is a range of 2.0 percent to 5.0 percent of members’ advances outstanding. Except as described below, the activity-based investment requirement is (and has been) 4.1 percent of outstanding advances.

On April 19, 2021, the Bank implemented an amendment to its Capital Plan. The amended Capital Plan provides for the imposition of an activity-based investment requirement ranging from 0.10 percent to 2.00 percent of members' outstanding letters of credit (the "LC Percentage"), as specified from time to time by the Bank's Board of Directors. The Board of Directors has established an LC Percentage of 0.10 percent which applies only to letters of credit that are issued or renewed on and after April 19, 2021. The LC Percentage is applied to the issued amount of the letter of credit rather than, if applicable, the amount of the letter of credit that is used from time to time during the term of the letter of credit. Further, renewals for this purpose include amendments that extend the expiration date of the letter of credit.

Members and institutions that acquire members must comply with the activity-based investment requirements for as long as the relevant activity remains outstanding. The Bank’s Board of Directors has the authority to adjust these requirements periodically within the ranges established in the Capital Plan, as amended from time to time, to ensure that the Bank remains adequately capitalized.

The Bank has two sub-classes of Class B Stock. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement. Daily, subject to the limitations in the Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement.

The Bank’s Board of Directors may establish one or more separate advances investment requirement percentages (each an "advance type specific percentage") within the range described above to be applied to a specific category of advances in lieu of the generally applicable advances-related investment requirement percentage in effect at the time. Such category of advances may be defined as a particular advances product offering, advances with particular maturities or other features, advances that represent an increase in member borrowing, or such other criteria as the Bank’s Board of Directors may determine. Any advance type specific percentage may be established for an indefinite period of time, or for a specific time period, at the discretion of the Bank’s Board of Directors. Any changes to the activity-based investment requirement require at least 30 days advance notice to the Bank’s members.

On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. All other minimum investment requirements also continued to apply.

On February 28, 2020, the Bank announced another Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for up to $5.0 billion of advances that: (1) were funded during the period from April 1, 2020 through December 31, 2020 and (2) had a maturity of one year or greater. On July 1, 2020, the Bank announced a Board-authorized modification to this special advances offering. As modified, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from August 1, 2020 through December 31, 2020 and (2) had a maturity of 28 days or greater. On December 7, 2020, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2020 to June 30, 2021. On March 17, 2021, the Bank announced another Board-authorized modification and extension to this special advances offering. As modified and extended, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from April 19, 2021 through December 31, 2021 and (2) had a maturity of 32 days or greater. For advances that were funded on or prior to April 18, 2021, the reduced activity-based capital stock investment requirement continued to apply to advances that had a maturity of 28 days or greater. On December 8, 2021, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2021 to December 31, 2022. Under the special advances offering described in this paragraph, the maximum balance of advances to which the reduced activity-based stock investment requirement can be applied is $5.0 billion. Except as described in this paragraph, the standard activity-based stock investment requirement of 4.1 percent continues to apply to all other advances that are funded during the period from April 1, 2020 through December 31, 2022.

Excess stock is defined as the amount of stock held by a member (or former member) in excess of that institution’s minimum investment requirement (i.e., the amount of stock held in excess of its activity-based investment requirement and, in the case of a member, its membership investment requirement). All excess stock is held as Class B-1 Stock at all times. At any

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time, shareholders may request the Bank to repurchase excess capital stock. Although the Bank is not obligated to repurchase excess stock prior to the expiration of a five-year redemption or withdrawal notification period, it will typically endeavor to honor such requests within a reasonable period of time (generally not exceeding 30 days) so long as the Bank will continue to meet its regulatory capital requirements following the repurchase.

The Bank’s Member Products and Credit Policy provides that the Bank may periodically repurchase a portion of members’ excess capital stock. The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during 2021, 2020 and 2019, surplus stock was defined as the amount of stock held by a shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For the repurchases that occurred during 2021 and on December 30, 2020, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,000,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). For the other repurchases that occurred during 2020 and the repurchases that occurred during 2019, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). During the years ended December 31, 2021, 2020 and 2019, the Bank repurchased surplus stock totaling $153,087,000, $471,326,000 and $739,733,000, respectively, none of which was classified as mandatorily redeemable capital stock at the time of repurchase. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases.

Concurrent with the quarterly repurchases of surplus stock that occurred in 2021, 2020 and 2019, the Bank also repurchased all excess stock held by non-member shareholders as of the repurchase dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $7,049,000, $53,992,000 and $2,296,000, respectively.

The following table presents total excess stock at December 31, 2021 and 2020 (in thousands).

	2021		2020
Excess stock
Capital stock	$	843,114	$	519,870
Mandatorily redeemable capital stock	2,172		9,025
Total	$	845,286	$	528,895

Under the Finance Agency’s regulations, the Bank is subject to three capital requirements. First, the Bank must maintain at all times permanent capital (defined under the Finance Agency’s rules and regulations as retained earnings and all Class B stock regardless of its classification for financial reporting purposes) in an amount at least equal to its risk-based capital requirement, which is the sum of its credit risk capital requirement, its market risk capital requirement, and its operations risk capital requirement, calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined. Second, the Bank must, at all times, maintain total capital in an amount at least equal to 4.0 percent of its total assets (capital-to-assets ratio). For the Bank, total capital is defined by Finance Agency rules and regulations as the Bank’s permanent capital and the amount of any general allowance for losses (i.e., those reserves that are not held against specific assets). Finally, the Bank is required to maintain at all times a minimum leverage capital-to-assets ratio in an amount at least equal to 5.0 percent of its total assets. In applying this requirement to the Bank, leverage capital includes the Bank’s permanent capital multiplied by a factor of 1.5 plus the amount of any general allowance for losses. The Bank did not have any general reserves at December 31, 2021 or 2020. Under the regulatory definitions, total capital and permanent capital exclude AOCI. Additionally, mandatorily redeemable capital stock is considered capital for purposes of determining the Bank’s compliance with its regulatory capital requirements.

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At all times during the three years ended December 31, 2021, the Bank was in compliance with the aforementioned capital requirements. The following table summarizes the Bank’s compliance with the Finance Agency’s capital requirements as of December 31, 2021 and 2020 (dollars in thousands):

	December 31, 2021						December 31, 2020
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	757,555		$	3,757,578		$	1,006,191		$	3,523,489
Total capital	$	2,539,535		$	3,757,578		$	2,596,501		$	3,523,489
Total capital-to-assets ratio	4.00		%	5.92		%	4.00		%	5.43		%
Leverage capital	$	3,174,419		$	5,636,367		$	3,245,626		$	5,285,234
Leverage capital-to-assets ratio	5.00		%	8.88		%	5.00		%	8.14		%

Beginning in February 2020, the Bank must also maintain (pursuant to an Advisory Bulletin issued by the Finance Agency) a minimum capital stock-to-assets ratio of 2.0 percent, as measured on a daily average basis at each month end. The Bank was in compliance with this requirement at each of the applicable month ends in 2021 and 2020.

On August 4, 2009, the Finance Agency adopted a final rule establishing capital classifications and critical capital levels for the FHLBanks. The rule defines critical capital levels for the FHLBanks and establishes criteria for each of the following capital classifications identified in the Safety and Soundness Act, as amended by the Housing and Economic Recovery Act of 2008: adequately capitalized, undercapitalized, significantly undercapitalized and critically undercapitalized. An adequately capitalized FHLBank meets all existing risk-based and minimum capital requirements. An undercapitalized FHLBank does not meet one or more of its risk-based or minimum capital requirements, but nonetheless has total capital equal to or greater than 75 percent of all capital requirements. A significantly undercapitalized FHLBank does not have total capital equal to or greater than 75 percent of all capital requirements, but the FHLBank does have total capital greater than 2 percent of its total assets. A critically undercapitalized FHLBank has total capital that is less than or equal to 2 percent of its total assets. The Bank has been classified as adequately capitalized since the rule became effective.

In addition to restrictions on capital distributions by a FHLBank that does not meet all of its risk-based and minimum capital requirements, a FHLBank that is classified as undercapitalized, significantly undercapitalized or critically undercapitalized is required to take certain actions, such as submitting a capital restoration plan to the Director of the Finance Agency for approval. Additionally, with respect to a FHLBank that is less than adequately capitalized, the Director of the Finance Agency may take other actions that he or she determines will help ensure the safe and sound operation of the FHLBank and its compliance with its risk-based and minimum capital requirements in a reasonable period of time.

The GLB Act made membership voluntary for all members. Members that withdraw from membership may not be readmitted to membership in any FHLBank for at least five years following the date that their membership was terminated and all of their shares of stock were redeemed or repurchased.

Effective February 28, 2011, the Bank entered into a Joint Capital Enhancement Agreement (the “JCE Agreement”) with the other FHLBanks. Effective August 5, 2011, the FHLBanks amended the JCE Agreement, and the Finance Agency approved an amendment to the Bank's capital plan to incorporate its provisions on that same date. The amended JCE Agreement provides that the Bank (and each of the other FHLBanks) will, on a quarterly basis, allocate at least 20 percent of its net income to a restricted retained earnings account (“RRE Account”). Pursuant to the provisions of the amended JCE Agreement, the Bank is required to build its RRE Account to an amount equal to one percent of its total outstanding consolidated obligations, which for this purpose is based on the most recent quarter’s average carrying value of all outstanding consolidated obligations, excluding hedging adjustments. Amounts allocated to the Bank’s RRE Account are not available to pay dividends.

The Bank’s Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock, provided that in no event can the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock. Dividend payments may be made in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors and can be paid only from unrestricted retained earnings or a portion of current earnings. The Bank’s Board of Directors may not declare or pay a dividend if the Bank is not in compliance with its minimum capital requirements or if the Bank would fail to meet its minimum capital requirements after paying such dividend. In addition, the Bank’s Board of Directors may not declare or pay a dividend based on projected or anticipated earnings; further, the Bank may not declare or pay any dividends in the form of capital stock if its excess stock is greater than 1 percent of its total assets or if, after the issuance of such shares, the Bank’s outstanding excess stock would be greater than 1 percent of its total assets.

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     Mandatorily Redeemable Capital Stock. As discussed in Note 1, the Bank’s capital stock is classified as equity (capital) for financial reporting purposes until either a written redemption or withdrawal notice is received from a member or a membership withdrawal or termination is otherwise initiated, at which time the capital stock is reclassified to liabilities. The Finance Agency has confirmed that the accounting classification of certain shares of its capital stock as liabilities does not affect the definition of capital for purposes of determining the Bank’s compliance with its regulatory capital requirements.

At December 31, 2021, the Bank had $6,657,000 in outstanding capital stock subject to mandatory redemption held by 3 institutions. As of December 31, 2020, the Bank had $13,864,000 in outstanding capital stock subject to mandatory redemption held by 6 institutions. These amounts are classified as liabilities in the statements of condition. During the years ended December 31, 2021, 2020 and 2019, dividends on mandatorily redeemable capital stock in the amount of $17,000, $83,000 and $189,000, respectively, were recorded as interest expense in the statements of income.

The Bank is not required to redeem or repurchase activity-based stock until the later of the expiration of a notice of redemption or withdrawal or the date the activity no longer remains outstanding. If activity-based stock becomes excess stock as a result of reduced activity, the Bank, in its discretion and subject to certain regulatory restrictions, may repurchase excess stock prior to the expiration of the notice of redemption or withdrawal. The Bank will generally repurchase such excess stock as long as it expects to continue to meet its minimum capital requirements following the repurchase.

The following table summarizes the Bank’s mandatorily redeemable capital stock at December 31, 2021 by year of earliest mandatory redemption (in thousands). The earliest mandatory redemption reflects the earliest time at which the Bank is required to redeem the shareholder’s capital stock, and is based on the assumption that the activities associated with the activity-based stock have concluded by the time the notice of redemption or withdrawal expires.

2022	$	135
2023	6,228
2024	176
2025	77
2026	41
Total	$	6,657

The following table summarizes the Bank’s mandatorily redeemable capital stock activity during 2021, 2020 and 2019 (in thousands).

Balance, January 1, 2019	$	6,979
Capital stock that became subject to mandatory redemption during the year	2,326
Redemption/repurchase of mandatorily redeemable capital stock	(2,391)
Stock dividends classified as mandatorily redeemable	226
Balance, December 31, 2019	7,140
Capital stock that became subject to mandatory redemption during the year	61,032
Redemption/repurchase of mandatorily redeemable capital stock	(54,615)
Stock dividends classified as mandatorily redeemable	307
Balance, December 31, 2020	13,864
Capital stock that became subject to mandatory redemption during the year	40
Redemption/repurchase of mandatorily redeemable capital stock	(7,294)
Mandatorily redeemable capital stock issued during the year	22
Stock dividends classified as mandatorily redeemable	25
Balance, December 31, 2021	$	6,657

A member may cancel a previously submitted redemption or withdrawal notice by providing a written cancellation notice to the Bank prior to the expiration of the five-year redemption/withdrawal notice period. A member that cancels a stock redemption or withdrawal notice more than 30 days after it is received by the Bank and prior to its expiration is subject to a cancellation fee equal to a percentage of the par value of the capital stock subject to the cancellation notice.

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The following table provides the number of institutions that held mandatorily redeemable capital stock and the number that submitted a withdrawal notice or otherwise initiated a termination of their membership and the number of terminations completed during 2021, 2020 and 2019:

	2021	2020	2019
Number of institutions, beginning of year	6	6	8
Due to mergers and acquisitions	—	2	2
Due to liquidation	1	—	—
Terminations completed during the year	(4)	(2)	(4)
Number of institutions, end of year	3	6	6

The Bank did not receive any stock redemption notices in 2021, 2020 or 2019.

    Limitations on Redemption or Repurchase of Capital Stock. The GLB Act imposes the following restrictions on the redemption or repurchase of the Bank’s capital stock.

•In no event may the Bank redeem or repurchase capital stock if the Bank is not in compliance with its minimum capital requirements or if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement. In addition, the Bank’s Board of Directors may suspend redemption of capital stock if the Bank reasonably believes that continued redemption of capital stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner.

•In no event may the Bank redeem or repurchase capital stock without the prior written approval of the Finance Agency if the Finance Agency or the Bank’s Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank. For this purpose, charges against the capital of the Bank means an other than temporary decline in the Bank’s total equity that causes the value of total equity to fall below the Bank’s aggregate capital stock amount. Such a determination may be made by the Finance Agency or the Board of Directors even if the Bank is in compliance with its minimum capital requirements.

•The Bank may not repurchase any capital stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of capital stock. The Bank is required to notify the Finance Agency if it suspends redemptions of capital stock and set forth its plan for addressing the conditions that led to the suspension. The Finance Agency may require the Bank to reinstate redemptions of capital stock.

•In no event may the Bank redeem or repurchase shares of capital stock if the principal and interest due on any FHLBank System consolidated obligations issued through the Office of Finance have not been paid in full or, under certain circumstances, if the Bank becomes a non-complying FHLBank under Finance Agency regulations as a result of its inability to comply with regulatory liquidity requirements or to satisfy its current obligations.

•If at any time the Bank determines that the total amount of capital stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of capital stock the Bank could redeem and still comply with its minimum capital requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank.

 Distribution from Financing Corporation. The Financing Corporation ("FICO") was formed pursuant to the Competitive Equality Banking Act of 1987 to provide financing for the resolution of failed savings and loan associations. The capitalization of FICO was provided by capital distributions from the FHLBanks in exchange for non-voting capital stock of FICO. The Bank's capital distributions were made in 1987, 1988 and 1989. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the Bank's capital stock investment in FICO was determined to be non-redeemable and, in 1989, the Bank charged off its investment in FICO directly against retained earnings. After satisfying its obligations in September 2019, FICO commenced a process to dissolve in accordance with relevant statutory requirements and the terms of a plan of dissolution approved by the Director of the Finance Agency. During the second quarter of 2020, in connection with the dissolution of FICO, the Bank received a distribution of $17,639,000, representing the Bank's proportionate share of FICO’s surplus and remaining cash on hand. The receipt of this distribution was treated as a partial return of the Bank's prior investment in FICO and credited to unrestricted retained earnings.

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Note 16—Employee Retirement Plans

The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (“Pentegra DB Plan”), a tax-qualified defined benefit pension plan. The Pentegra DB Plan covers substantially all officers and employees of the Bank who were hired prior to January 1, 2007, and any new employee of the Bank who was hired on or after January 1, 2007, provided that the employee had prior service with a financial services institution that participated in the Pentegra DB Plan, during which service the employee was covered by such plan. In addition, effective July 1, 2015, coverage was extended to include all of the Bank's non-highly compensated employees (as defined by Internal Revenue Service rules) who were hired on and after January 1, 2007 but before August 1, 2010. The Pentegra DB Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 ("ERISA") and the Internal Revenue Code. As a result, certain multiemployer plan disclosures, including the certified zone status, are not applicable to the Pentegra DB Plan. Under the Pentegra DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. In addition, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately.  

 The Pentegra DB Plan operates on a fiscal year from July 1 through June 30. The Pentegra DB Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank.

The Pentegra DB Plan's annual valuation process includes separate calculations of the plan's funded status as well as the funded status of each participating employer. Participating employers in an under-funded position are billed for their required contributions while those in an over-funded position can use their surplus to offset all or a portion of their contribution requirement. The funded status is defined as the market value of assets divided by the funding target (an amount equal to 100 percent of the present value of all benefit liabilities accrued at the valuation date) and is calculated as of the beginning of the Pentegra DB Plan year. As permitted by ERISA, the Pentegra DB Plan accepts contributions for a plan year up to eight and a half months after the end of that plan year and, as a result, the market value of assets at the valuation date (July 1) is increased by any subsequent contributions that are designated for the immediately preceding plan year ended June 30.

The most recent Form 5500 available for the Pentegra DB Plan is for the year ended June 30, 2020. The Bank's contributions for the year ended December 31, 2019 did not represent more than 5 percent of the total contributions to the plan for the plan year ended June 30, 2020.

The following table presents the Bank's net pension cost and its funded status, as well as the funded status of the Pentegra DB Plan (dollars in thousands, including amounts presented in the footnotes to the table).

	2021				2020				2019
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,677			$	18,675			$	5,200
Pentegra DB Plan funded status as of July 1	129.6		%	(a)	108.5		%	(b)	108.6		%
Bank's funded status as of July 1	123.5		%		90.1		%		94.8		%

____________

(a)    The Pentegra DB Plan's funded status as of July 1, 2021 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021 through March 15, 2022. Contributions made during the period from July 1, 2021 through March 15, 2022 and designated for the plan year ended June 30, 2021 will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year July 1, 2021 through June 30, 2022 is filed (this Form 5500 is due to be filed no later than April 2023).

(b)    The Pentegra DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made during the period from July 1, 2020 through March 15, 2021 and designated for the plan year ended June 30, 2020 will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022).

Substantially all employees are eligible to participate in the FHLBank of Dallas 401(k) Retirement Plan (the "FHLB Dallas DC Plan"), a tax-qualified defined contribution plan. The Bank’s contributions to the FHLB Dallas DC Plan are equal to a percentage of voluntary employee contributions, subject to certain limitations. During the years ended December 31, 2021, 2020 and 2019, the Bank contributed $1,911,000, $1,747,000 and $1,651,000, respectively, to this plan.

Additionally, the Bank maintains a non-qualified deferred compensation plan that is available to some employees, which is, in substance, an unfunded supplemental retirement plan. The Bank’s liability, which consists of the accumulated employee

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compensation deferrals, accrued earnings (or losses) on those deferrals and matching Bank contributions corresponding to the contribution percentages applicable to the defined contribution plan, was $10,334,000 and $8,445,000 at December 31, 2021 and 2020, respectively. Compensation and benefits expense includes accrued earnings (or losses) on deferred employee compensation and Bank contributions totaling $1,382,000, $1,100,000 and $1,136,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

The Bank's non-qualified deferred compensation plan is also available to all of its directors. The Bank’s liability for directors' deferred compensation, which consists of the accumulated compensation deferrals (representing directors’ fees) and the accrued earnings (or losses) on those deferrals, was $3,585,000 and $3,942,000 at December 31, 2021 and 2020, respectively. Other operating expense includes accrued earnings on deferred director compensation totaling $296,000, $320,000 and $343,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

The Bank maintains a Special Non-Qualified Deferred Compensation Plan (the “SERP”), a defined contribution plan that was established primarily to provide supplemental retirement benefits to those employees who were serving as the Bank’s executive officers at the time the SERP was established. Each participant’s benefit under the SERP consists of contributions that were made by the Bank on the participant’s behalf, plus an allocation of the investment gains or losses on the assets used to fund the SERP. Contributions to the SERP are determined solely at the discretion of the Bank’s Board of Directors; the Bank has no obligation or current intention to make future contributions to the SERP. The Bank’s accrued liability under this plan was $2,828,000 and $3,396,000 at December 31, 2021 and 2020, respectively. The Bank did not make any contributions to the SERP during the years ended December 31, 2021, 2020 or 2019.

The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. The health care portion of the program is contributory while the life insurance benefits, which are available to retirees with at least 20 years of service, are offered on a noncontributory basis. Prior to January 1, 2005, retirees were eligible to remain enrolled in the Bank’s health care benefits plan if age 50 or older with at least 10 years of service at the time of retirement. In December 2004, the Bank modified the eligibility requirements relating to retiree health care continuation benefits. Effective January 1, 2005, retirees are eligible to remain enrolled in the Bank’s health care benefits plan if age 55 or older with at least 15 years of service at the time of retirement. Employees who were age 50 or older with 10 years of service and those who had 20 years of service as of December 31, 2004 were not subject to the revised eligibility requirements. Additionally, then current retiree benefits were unaffected by these modifications. In October 2005, the Bank modified the participant contribution requirements relating to its retirement benefits program. Effective December 31, 2005, retirees who are age 55 or older with at least 15 years of service at the time of retirement can remain enrolled in the Bank’s health care benefits program by paying 100% of the expected plan cost. Previously, participant contributions were subsidized by the Bank; this subsidy was based upon the Bank’s COBRA premium rate and the employee’s age and length of service with the Bank. Then current retirees, employees who were hired prior to January 1, 1991 and those who, as of December 31, 2004, had at least 20 years of service or were age 50 or older with 10 years of service are not subject to these revised contribution requirements prior to age 65. Under the revised plan, at age 65, all plan participants are required to pay 100% of the expected plan cost. The Bank does not have any plan assets set aside for the retirement benefits program.

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The Bank uses a December 31 measurement date for its retirement benefits program. A reconciliation of the accumulated postretirement benefit obligation (“APBO”) and funding status of the retirement benefits program for the years ended December 31, 2021 and 2020 is as follows (in thousands):

	Year Ended December 31,
	2021		2020
Change in APBO
APBO at beginning of year	$	756	$	636
Service cost	41		40
Interest cost	12		18
Actuarial loss (gain)	(201)		87
Participant contributions	150		136
Benefits paid	(183)		(161)
APBO at end of year	575		756
Change in plan assets
Fair value of plan assets at beginning of year	—		—
Benefits paid by the Bank	33		25
Participant contributions	150		136
Benefits paid	(183)		(161)
Fair value of plan assets at end of year	—		—
Funded status recognized in other liabilities at end of year	$	(575)	$	(756)

Amounts recognized in AOCI at December 31, 2021 and 2020 consist of the following (in thousands):

	December 31,
	2021		2020
Net actuarial gain	$	1,082	$	972
Prior service cost	(48)		(69)
	$	1,034	$	903

The amounts in AOCI include $20,000 of prior service cost and $77,000 of net actuarial gains that are expected to be recognized as components of net periodic benefit credit in 2022.

The actuarial assumptions used in the measurement of the Bank’s benefit obligation included a gross health care cost trend rate of 5.4 percent for 2022. For 2021, 2020 and 2019, gross health care cost trend rates of 7.5 percent, 5.2 percent and 5.5 percent, respectively, were used. The gross health care cost trend rate is assumed to decline by 0.15 percent per year to a final rate of 4.4 percent in 2029 and thereafter. To compute the APBO at December 31, 2021 and 2020, weighted average discount rates of 2.95 percent and 2.61 percent were used. Weighted average discount rates of 2.61 percent, 3.34 percent and 4.10 percent were used to compute the net periodic benefit cost (credit) for 2021, 2020 and 2019, respectively.

Components of net periodic benefit cost (credit) for the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Service cost	$	41	$	40	$	27
Interest cost	12		18		23
Amortization of prior service cost	21		20		20
Amortization of net actuarial gain	(91)		(80)		(94)
Net periodic benefit credit	$	(17)	$	(2)	$	(24)

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The Bank reports the service cost component of its net periodic postretirement benefit cost (credit) in compensation and benefits expense and the other components of net periodic postretirement benefit cost (credit) in "other, net" in the other income (loss) section of the statement of income.

Under U.S. GAAP, the Bank is required to recognize the overfunded or underfunded status of its retirement benefits program as an asset or liability in its statement of condition and to recognize changes in that funded status in the year in which the changes occur through other comprehensive income. Changes in benefit obligations recognized in other comprehensive income during the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Amortization of prior service cost included in net periodic benefit cost	$	21	$	20	$	20
Actuarial gain (loss)	201		(87)		(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)		(80)		(94)
Total changes in benefit obligations recognized in other comprehensive income	$	131	$	(147)	$	(226)

A 1 percent increase or decrease in the health care cost trend rate would have had an insignificant effect on the APBO at December 31, 2021 and the aggregate of the service and interest cost components of the net periodic benefit cost for the year ended December 31, 2021.

The following net postretirement benefit payments, which reflect expected future service, as appropriate, are expected to be paid (in thousands):

Year Ended December 31,	Expected Benefits Payments, Net of Participant Contributions
2022	$	79
2023	49
2024	27
2025	38
2026	25
2027-2031	43
	$	261

Note 17—Estimated Fair Values

Fair value is defined under U.S. GAAP 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. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

     Level 2 Inputs — Inputs other than quoted prices included in Level 1 that are observable 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 (e.g., implied spreads).

Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs.

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For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the years ended December 31, 2021 and 2020, the Bank did not reclassify any fair value measurements.

The following estimated fair value amounts have been determined by the Bank using available market information and management's best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of December 31, 2021 and 2020. Although management uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities.

The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below.

       Trading and available-for-sale securities. To value its U.S. Treasury Notes and U.S. Treasury Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available.

The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

Recently, the Bank conducted reviews of the three pricing vendors to reconfirm its understanding of the vendors' pricing processes, methodologies and control procedures and was satisfied that those processes, methodologies and control procedures were adequate and appropriate.

A “median” price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. 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. All 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 final 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 December 31, 2021 and 2020, three vendor prices were received for substantially all of the Bank's trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods 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, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy.

Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve, the SOFR curve or the OIS curve and, for purposes of discounting, either the OIS curve for bilateral contracts or the SOFR curve for cleared contracts) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps are also estimated using a pricing model with inputs that are observable in the market (that is, cap volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). Prior to October 2020, the Bank used the OIS curve to discount cash flows when determining the fair values of all of its interest rate exchange agreements. As

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further discussed in Note 2, in October 2020, the central clearinghouses with which the Bank transacts began using the SOFR curve as the discount curve for purposes of valuing interest rate exchange agreements and, as a result, the Bank concurrently replaced the OIS curve with the SOFR curve for purposes of valuing its cleared derivatives. The impact of this change was not significant.

As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 13), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability.

The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS.

     Other assets held at fair value. To value its mutual fund investments included in other assets, the Bank obtains quoted prices for the mutual funds.

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The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2021 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	542,801	$	542,801	$	542,801	$	—		$	—		$	—
Interest-bearing deposits	885,745		885,745		—		885,745			—			—
Securities purchased under agreements to resell	10,650,000		10,650,000		—		10,650,000			—			—
Federal funds sold	4,781,000		4,781,000		—		4,781,000			—			—
Trading securities (1)	2,454,870		2,454,870		—		2,454,870			—			—
Available-for-sale securities (1)	15,288,032		15,288,032		—		15,288,032			—			—
Held-to-maturity securities	593,555		606,352		—		566,487		(2)	39,865		(3)	—
Advances	24,637,464		24,670,292		—		24,670,292			—			—
Mortgage loans held for portfolio, net	3,491,265		3,505,042		—		3,505,042			—			—
Accrued interest receivable	91,581		91,581		—		91,581			—			—
Derivative assets (1)	7,077		7,077		—		25,199			—			(18,122)
Other assets held at fair value (1)	17,574		17,574		17,574		—			—			—
Liabilities:
Deposits	1,590,188		1,590,187		—		1,590,187			—			—
Consolidated obligations
Discount notes	11,003,026		11,000,139		—		11,000,139			—			—
Bonds	44,514,220		44,487,511		—		44,487,511			—			—
Mandatorily redeemable capital stock	6,657		6,657		6,657		—			—			—
Accrued interest payable	73,038		73,038		—		73,038			—			—
Derivative liabilities (1)	13,956		13,956		—		480,306			—			(466,350)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2021.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

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The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2020 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	3,178,281	$	3,178,281	$	3,178,281	$	—		$	—		$	—
Interest-bearing deposits	759,240		759,240		—		759,240			—			—
Securities purchased under agreements to resell	1,000,000		1,000,000		—		1,000,000			—			—
Federal funds sold	915,000		915,000		—		915,000			—			—
Trading securities (1)	5,301,468		5,301,468		—		5,301,468			—			—
Available-for-sale securities (1)	16,787,762		16,787,762		—		16,787,762			—			—
Held-to-maturity securities	897,226		908,630		—		857,785		(2)	50,845		(3)	—
Advances	32,478,944		32,536,792		—		32,536,792			—			—
Mortgage loans held for portfolio, net	3,422,686		3,503,137		—		3,503,137			—			—
Accrued interest receivable	106,322		106,322		—		106,322			—			—
Derivative assets (1)	7,975		7,975		—		37,969			—			(29,994)
Other assets held at fair value (1)	15,839		15,839		15,839		—			—			—
Liabilities:
Deposits	1,583,120		1,583,131		—		1,583,131			—			—
Consolidated obligations
Discount notes	22,171,296		22,170,858		—		22,170,858			—			—
Bonds	37,112,721		37,197,548		—		37,197,548			—			—
Mandatorily redeemable capital stock	13,864		13,864		13,864		—			—			—
Accrued interest payable	42,039		42,039		—		42,039			—			—
Derivative liabilities (1)	25,049		25,049		—		510,859			—			(485,810)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2020.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

Note 18—Commitments and Contingencies

     Joint and several liability. As described in Note 11, the Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At December 31, 2021 and 2020, the par amounts of the other 10 FHLBanks’ outstanding consolidated obligations totaled $597 billion and $688 billion, respectively. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor 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 that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other

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FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked.

The joint and several obligations are mandated by Finance Agency regulations and are not the result of arms-length transactions among the FHLBanks. As described above, the FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several liability. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote.

Other commitments and contingencies. At December 31, 2021 and 2020, the Bank had commitments to make additional advances totaling approximately $22,042,000 and $7,161,000, respectively. At December 31, 2021, all of the outstanding commitments to make additional advances expire in 2022.

The Bank issues standby letters of credit for a fee on behalf of its members. Standby letters of credit serve as performance guarantees. If the Bank is required to make payment for a beneficiary’s draw on the letter of credit, the amount funded is converted into a collateralized advance to the member. Letters of credit are fully collateralized in the same manner as advances (see Note 6). Outstanding standby letters of credit totaled $21,652,978,000 and $22,402,688,000 at December 31, 2021 and 2020, respectively. At December 31, 2021, outstanding letters of credit had original terms of up to 15 years with a final expiration in 2035. Unearned fees on standby letters of credit are recorded in other liabilities and totaled $4,970,000 and $5,621,000 at December 31, 2021 and 2020, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 9).

The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At December 31, 2021 and 2020, the Bank had outstanding standby bond purchase agreements totaling $914,041,000 and $709,300,000, respectively. At December 31, 2021, standby bond purchase agreements totaling $165,299,000, $210,622,000, $46,840,000, $239,825,000 and $251,455,000 expire in 2022, 2023, 2024, 2025 and 2026, respectively. The Bank was not required to purchase any bonds under these agreements during the years ended December 31, 2021 or 2020.

At December 31, 2021 and 2020, the Bank had commitments to purchase conventional mortgage loans totaling $33,217,000 and $21,569,000, respectively, from certain of its PFIs.

At December 31, 2021, the Bank had commitments to issue $350,000,000 (par value) of consolidated obligation bonds, all of which were hedged with interest rate swaps. The Bank did not have any commitments to issue consolidated obligation discount notes at December 31, 2021. At December 31, 2020, the Bank had commitments to issue $521,760,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank did not have any commitments to issue consolidated obligation bonds at December 31, 2020.

The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of December 31, 2021 and 2020, the Bank had pledged cash collateral of $456,491,000 and $466,068,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of December 31, 2021 and 2020, the Bank had pledged securities with carrying values (and fair values) of $529,596,000 and $737,500,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statement of condition.

F-54

During the years ended December 31, 2021, 2020 and 2019, the Bank charged to operating expenses net rental costs of approximately $390,000, $388,000 and $360,000, respectively. Future minimum rentals at December 31, 2021 were as follows (in thousands):

Year	Premises		Equipment		Total
2022	$	477	$	4	$	481
2023	425		—		425
2024	438		—		438
2025	258		—		258
2026	259		—		259
Thereafter	921		—		921
Total	$	2,778	$	4	$	2,782

Lease agreements for Bank premises generally provide for increases in the base rentals resulting from increases in property taxes and maintenance expenses. These increases are not expected to have a material effect on the Bank.

The Bank has entered into certain lease agreements to rent space to outside parties in its building. Future minimum rentals under these operating leases at December 31, 2021 were as follows (in thousands):

Year	Total
2022	$	1,652
2023	1,358
2024	1,116
Total	$	4,126

In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings.

For a discussion of other commitments and contingencies, see Notes 12, 13 and 16.

Note 19 — Transactions with Shareholders

As a cooperative, the Bank’s capital stock is owned by its members, by former members that retain the stock as provided in the Bank’s Capital Plan or by non-member institutions that have acquired members and must retain the stock to support advances or other activities with the Bank. No shareholder owns more than 10% of the voting interests of the Bank due to statutory limits on members’ voting rights. As of December 31, 2021, nine of the Bank’s directors were member directors. By law, member directors must be officers or directors of a member of the Bank.

Substantially all of the Bank’s advances are made to its shareholders (while eligible to borrow from the Bank, housing associates are not required or allowed to hold capital stock). In addition, substantially all of its mortgage loans held for portfolio were purchased from certain of its shareholders. The Bank maintains demand deposit accounts for shareholders primarily as an investment alternative for their excess cash and to facilitate settlement activities that are directly related to advances. As an additional service to members, the Bank also offers term deposit accounts. Further, the Bank offers interest rate exchange agreements to its members. Periodically, the Bank may sell (or purchase) federal funds to (or from) shareholders and/or their affiliates. These transactions are executed on terms that are the same as those with other eligible third-party market participants, except that the Bank’s underwriting guidelines specify a lower minimum threshold for the amount of capital that members must have to be an eligible federal funds counterparty than non-members. The Bank has never held any direct equity investments in its shareholders or their affiliates.

Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. In addition, the Bank maintains interest-bearing deposits with affiliates of Citigroup and Wells Fargo. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank. The Bank repurchased all of the affiliate's outstanding capital stock in 2019; accordingly, the affiliate of Citigroup is no longer a shareholder of the Bank.

The Bank did not purchase any debt or equity securities issued by any of its shareholders or their affiliates during the years ended December 31, 2021, 2020 or 2019.

F-55

All transactions with shareholders are entered into in the ordinary course of business. The Bank provides the same pricing for advances and other services to all similarly situated members regardless of asset or transaction size, charter type, or geographic location.

The Bank provides, in the ordinary course of its business, products and services to members whose officers or directors may serve as directors of the Bank (“Directors’ Financial Institutions”). Finance Agency regulations require that transactions with Directors’ Financial Institutions be made on the same terms as those with any other member. As of December 31, 2021 and 2020, advances outstanding to Directors’ Financial Institutions aggregated $495,278,000 and $1,108,011,000, respectively, representing 2.0 percent and 3.5 percent, respectively, of the Bank’s total outstanding advances as of those dates. The Bank did not acquire any mortgage loans from Directors’ Financial Institutions during the years ended December 31, 2021, 2020 or 2019. As of December 31, 2021 and 2020, capital stock outstanding to Directors’ Financial Institutions aggregated $40,598,000 and $51,313,000, respectively, representing 1.8 percent and 2.4 percent of the Bank’s outstanding capital stock at each of those dates. For purposes of this determination, the Bank’s outstanding capital stock includes those shares that are classified as mandatorily redeemable.        

Note 20 — Transactions with Other FHLBanks

Occasionally, the Bank loans (or borrows) short-term federal funds to (from) other FHLBanks. The Bank did not loan any short-term federal funds to other FLHBanks during the years ended December 31, 2021 or 2020. During the year ended December 31, 2019, interest income on loans to other FHLBanks totaled $20,000; this amount is reported as interest income from federal funds sold in the statement of income. The following table summarizes the Bank's loans to other FHLBanks during the year ended December 31, 2019 (in thousands).

	Year Ended December 31, 2019
Balance at January 1, 2019	$	—
Loans made to FHLBank of Boston	300,000
Collections from FHLBank of Boston	(300,000)
Balance at December 31, 2019	$	—

During the years ended December 31, 2021, 2020 and 2019, interest expense on borrowings from other FHLBanks totaled $77, $506 and $109,000, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Year Ended December 31,
	2021		2020		2019
Balance at January 1,	$	—	$	—	$	—
Borrowings from:
FHLBank of Boston	—		—		150,000
FHLBank of San Francisco	—		—		400,000
FHLBank of Indianapolis	40,000		40,000		40,000
FHLBank of New York	—		—		250,000
Repayments to:
FHLBank of Boston	—		—		(150,000)
FHLBank of San Francisco	—		—		(400,000)
FHLBank of Indianapolis	(40,000)		(40,000)		(40,000)
FHLBank of New York	—		—		(250,000)
Balance at December 31,	$	—	$	—	$	—

The Bank has, from time to time, assumed the outstanding debt of another FHLBank rather than issue new debt. In connection with these transactions, the Bank becomes the primary obligor for the transferred debt. The Bank did not assume any debt from other FHLBanks during the years ended December 31, 2021, 2020 or 2019. When they occur, the Bank accounts for these transfers in the same manner as it accounts for new debt issuances (see Note 1).

Occasionally, the Bank transfers debt that it no longer needs to other FHLBanks. In connection with these transactions, the assuming FHLBanks become the primary obligors for the transferred debt. The Bank did not transfer any debt to other FHLBanks during the years ended December 31, 2021, 2020 or 2019.

F-56

Note 21 — Accumulated Other Comprehensive Income (Loss)

The following table presents the changes in the components of AOCI for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary Impairment Losses on Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2021
Balance at January 1, 2021	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—		22,345		—		—		22,345
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(70)		(70)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	68,699		—		—		—		68,699
Unrealized gains on cash flow hedges	—		42,418		—		—		42,418
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		1,917		—		1,917
Actuarial gain	—		—		—		201		201
Total other comprehensive income	68,699		64,763		1,917		131		135,510
Balance at December 31, 2021	$	241,060	$	(54,839)	$	(4,485)	$	1,034	$	182,770
Year ended December 31, 2020
Balance at January 1, 2020	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(829)		—		—		—		(829)
Losses on cash flow hedges included in interest expense	—		14,627		—		—		14,627
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(60)		(60)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	28,357		—		—		—		28,357
Unrealized losses on cash flow hedges	—		(96,035)		—		—		(96,035)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,238		—		2,238
Actuarial loss	—		—		—		(87)		(87)
Total other comprehensive income (loss)	27,528		(81,408)		2,238		(147)		(51,789)
Balance at December 31, 2020	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260

F-57

	Net Unrealized  Gains (Losses) on Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2019
Balance at January 1, 2019	$	118,980	$	18,412	$	(10,667)	$	1,276	$	128,001
Reclassifications from AOCI to net income
Net realized gains on sales of available-for-sale securities included in net income	(852)		—		—		—		(852)
Gains on cash flow hedges included in interest expense	—		(1,829)		—		—		(1,829)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(74)		(74)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	26,705		—		—		—		26,705
Unrealized losses on cash flow hedges	—		(54,777)		—		—		(54,777)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,027		—		2,027
Actuarial loss	—		—		—		(152)		(152)
Total other comprehensive income (loss)	25,853		(56,606)		2,027		(226)		(28,952)
Balance at December 31, 2019	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049

(1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

F-58

EXHIBIT INDEX

Exhibit
3.1	Organization Certificate of the Registrant (incorporated by reference to Exhibit 3.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).
3.2	Bylaws of the Registrant (incorporated by reference to Exhibit 3.2 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2015, filed on March 22, 2016).*
4.1	Capital Plan of the Registrant, as amended and revised on June 17, 2021 and approved by the Federal Housing Finance Agency on November 9, 2021.
4.2	Description of Registrant's Securities.
10.1	Deferred Compensation Plan of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.1 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).
10.2	2011 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Prior to January 1, 2005, effective March 31, 2011 (incorporated by reference to Exhibit 10.2 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, filed on March 23, 2012). *
10.3	Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.2 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).
10.4	2008 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.3 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). *
10.5	2010 Amendment to Deferred Compensation Plan of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). *
10.6	Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant, effective July 24, 2004 (governs deferrals made prior to January 1, 2005) (incorporated by reference to Exhibit 10.3 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).
10.7	2011 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for deferrals prior to January 1, 2005, effective March 31, 2011 (incorporated by reference to Exhibit 10.7 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, filed on March 23, 2012). *
10.8	Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005 (incorporated by reference to Exhibit 10.4 to the Bank’s Registration Statement on Form 10 filed February 15, 2006).
10.9	2008 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated December 10, 2008 (incorporated by reference to Exhibit 10.6 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, filed on March 27, 2009). *
10.10	2010 Amendment to Non-Qualified Deferred Compensation Plan for the Board of Directors of the Registrant for Deferrals Effective January 1, 2005, dated July 22, 2010 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2010, filed on November 12, 2010). *

Exhibit
10.11	Consolidated Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2011, as adopted by the Bank’s Board of Directors on December 29, 2010 (incorporated by reference to Exhibit 10.9 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2010, filed on March 25, 2011). *
10.12	2017 Deferred Compensation Plan of the Registrant for deferrals made on or after January 1, 2017, as adopted by the Bank's Board of Directors on July 21, 2016 (incorporated by reference to Exhibit 10.12 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*
10.13	Form of Special Non-Qualified Deferred Compensation Plan of the Registrant, as amended and restated effective December 31, 2010 (filed as Exhibit 10.1 to the Bank’s Current Report on Form 8-K dated May 25 2011 and filed with the SEC on June 1, 2011, which exhibit is incorporated herein by reference). *
10.14	Amended and Restated Federal Home Loan Banks P&I Funding and Contingency Plan Agreement entered into effective January 1, 2017, by and among the Office of Finance and each of the Federal Home Loan Banks (incorporated by reference to Exhibit 10.14 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*
10.15	Form of Employment Agreement between the Registrant and each of Brehan Chapman and Gustavo Molina, entered into effective January 1, 2014 (incorporated by reference to Exhibit 10.15 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2013, filed on March 24, 2014).*
10.16	Employment Agreement between the Registrant and Sandra Damholt, entered into effective January 1, 2014 (incorporated by reference to Exhibit 10.16 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2013, filed on March 24, 2014).*
10.17	Employment Agreement between the Registrant and Sanjay Bhasin, entered into effective March 24, 2015 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended March 31, 2015, filed on May 13, 2015).*
10.18	2017 Omnibus Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016, filed on March 24, 2017).*
10.19	2018 Executive Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2017, filed on March 22, 2018).*
10.20	2019 Executive Incentive Plan (incorporated by reference to Exhibit 10.22 to the Bank's Annual Report on Form 10-K for the fiscal year ended December 31, 2018, filed on March 25, 2019).*
10.21	2020 Executive Incentive Plan (incorporated by reference to Exhibit 10.1 to the Bank's Quarterly Report on Form 10-Q for the fiscal quarter ended June 30, 2020, filed on August 12, 2020).*
10.22	2021 Executive Incentive Plan (filed as Exhibit 10.1 to the Bank's Current Report on Form 8-K dated January 11, 2021 and filed with the SEC on January 15, 2021, which exhibit is incorporated herein by reference).*
10.23	2022 Executive Incentive Plan.

Exhibit
10.24	Form of Indemnification Agreement between the Registrant and each of its executive officers, entered into on November 9, 2018 (incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2018, filed on November 13, 2018). *
10.25	Form of Indemnification Agreement between the Registrant and each of its directors, entered into on November 9, 2018 (incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q for the fiscal quarter ended September 30, 2018, filed on November 13, 2018). *
10.26	Joint Capital Enhancement Agreement, as amended effective August 5, 2011 (filed as Exhibit 10.1 to the Bank's Current Report on Form 8-K dated August 5, 2011 and filed with the SEC on August 5, 2011, which exhibit is incorporated herein by reference). *
14.1	Code of Ethics for Financial Professionals.
31.1	Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
99.1	Charter of the Audit Committee of the Board of Directors.
99.2	Report of the Audit Committee of the Board of Directors.
EX-101.INS	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.
EX-101.SCH	Inline XBRL Taxonomy Extension Schema Document.
EX-101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document.
EX-101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document.
EX-101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document.
EX-101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document.
EX-104	The cover page of this Annual Report on Form 10-K, formatted in inline XBRL and contained in Exhibit 101.

*    Commission File No. 000-51405

EX-4.1

Exhibit 4.1

CAPITAL PLAN

for the

Federal Home Loan Bank of Dallas

This capital plan is neither an offer to sell or exchange nor a solicitation of an offer to purchase or exchange any capital stock of the Federal Home Loan Bank of Dallas.

Amended and Revised

June 17, 2021

(Approved as Amended by the Federal Housing Finance Agency on November 9, 2021)

Federal Home Loan Bank of Dallas Capital Plan:

Amended June 17, 2021

Table of Contents

Section	Page
Definition of Terms	4
Section 1: Overview	5

1.1    General

1.2    Legal Authorities

1.3    Amendments to the Capital Plan

Section 2: Capital Structure 5

2.1    Authorized Class of Capital Stock

2.2    Par Value of Capital Stock

2.3    Ownership of Retained Earnings

2.4    Preference in Liquidation, Consolidation or Merger

2.5    Finance Agency Authority

Section 3: Capital Stock 6

3.1    Purchase of Capital Stock

3.2    Transfers of Capital Stock

3.3    Class B-1 Stock and Class B-2 Stock

3.4    Redemption of Capital Stock

3.5    Repurchase of Capital Stock

3.6    Limitations on Redemption or Repurchase of Capital Stock

3.7    Retirement of Capital Stock

3.8    Dividends on Capital Stock

3.9    Voting Rights

2

Federal Home Loan Bank of Dallas Capital Plan:

Amended June 17, 2021

Section 4: Minimum Investment Requirements 11

4.1    Membership Investment Requirement

4.2    Activity-Based Investment Requirement

4.3    Periodic Review of Minimum Investment Requirements

4.4    Member Compliance

Section 5: Termination of Membership 14

5.1    Voluntary Withdrawal

5.2    Involuntary Termination of Membership

5.3    Termination by Charter Dissolution

5.4    General Membership Termination Provisions

Section 6: Retained Earnings Capital Plan Amendment 17

6.1    Retained Earnings Enhancement Implementation and Definitions

6.2    Establishment of Restricted Retained Earnings

6.3    Limitations on Dividends, Stock Purchase and Stock Redemption

6.4    Termination of Retained Earnings Capital Plan Amendment Obligations

3

Federal Home Loan Bank of Dallas Capital Plan:

Amended June 17, 2021

Definition of Terms

1.    Acquired Member Assets ("AMA") means assets that may be acquired by the Bank through its members in accordance with the Regulations.

2.    Capital Plan means this capital structure plan as required by Section 6(b) of the Bank Act, 12 U.S.C. §1426(b) and as amended and revised from time to time.

3.    Class B Stock means capital stock issued by the Bank pursuant to this Capital Plan, which will be redeemable by the Bank for cash at Par Value with five years prior written notice provided by a member to the Bank.

4.    Class B-1 Stock means the sub-class of Class B Stock eligible to meet the membership investment requirement and having such other features assigned to it in Sections 3.3, 3.5 and 3.8 of this Capital Plan.

5.    Class B-2 Stock means the sub-class of Class B Stock eligible to meet the activity-based investment requirement and having such other features assigned to it in Sections 3.3, 3.5 and 3.8 of this Capital Plan.

6.    Excess Stock means that amount of Class B Stock held by a member in excess of the member's minimum investment requirement as defined in this Capital Plan.

7.    Minimum Capital Requirement(s) means the amount of capital the Bank is required to hold in order to comply with all statutory and regulatory capital requirements, or any other capital requirement that may be imposed on the Bank by the Finance Agency.

8.    Par Value means the par value specified in Section 2.2 of this Capital Plan for shares of Class B Stock issued in accordance with this Capital Plan.

9.    Stock Redemption means redemption of Class B Stock by the Bank pursuant to a stock redemption notice in accordance with Section 3.4 of the Capital Plan or pursuant to a withdrawal notice in accordance with Section 5.1 of the Capital Plan.

10.    Stock Repurchase means repurchase of Class B Stock by the Bank at its discretion in accordance with the Regulations and Section 3.5 of the Capital Plan. The decision to repurchase Class B Stock rests with the Bank and cannot be compelled by a member.

4

Federal Home Loan Bank of Dallas Capital Plan:

Amended June 17, 2021

1.    Overview

1.1    General

Pursuant to the Federal Home Loan Bank Act, as amended (12 U.S.C. §1421, et seq.) (the “Bank Act”) and the governing Regulations (“Regulations”) of the Federal Housing Finance Agency or any predecessor or successor (“Finance Agency”), the Board of Directors of the Federal Home Loan Bank of Dallas (the “Bank”) hereby establishes this Capital Plan to provide a capital structure for the Bank, and ensure that the Bank is able to comply with its Minimum Capital Requirements at all times. This Capital Plan is designed to facilitate the continuation of the Bank’s cooperative business model.

1.2    Legal Authorities

This document is governed by the Bank Act and the Regulations. Any action designated by this Capital Plan as being subject to the "discretion" or "sole discretion" of the Bank or the Board of Directors shall nevertheless be subject to the regulatory oversight of the Finance Agency.

1.3    Amendments to the Capital Plan

In accordance with the Regulations, any amendments to this Capital Plan must be submitted by the Bank's Board of Directors to the Finance Agency for approval prior to implementation.

2.    Capital Structure

2.1    Authorized Class of Capital Stock

The Board of Directors of the Bank hereby authorizes the issuance of one class of stock to be designated as Class B stock, divided into two sub-classes of capital stock to be designated as Class B-1 Stock and Class B-2 Stock, each of which will have a five year redemption notice period.

2.2    Par Value of Capital Stock

All Class B Stock will have a Par Value of $100 per share. All Class B Stock will be issued, redeemed, repurchased and transferred only at Par Value.

2.3    Ownership of Retained Earnings

In accordance with the Bank Act (12 U.S.C. §1426(h)(1)), the retained earnings, surplus, undivided profits and equity reserves, if any, of the Bank are owned by the holders of Class B Stock in proportion to each holder’s share of the total outstanding shares of Class B Stock. Holders of Class B Stock have no right to receive any portion of the retained earnings, surplus, undivided profits and equity reserves, if any, of the Bank except through the declaration of a dividend or capital distribution approved by the Board of Directors, or upon liquidation of the Bank.

2.4    Preference in Liquidation, Consolidation or Merger

In the event of liquidation of the Bank, the Board of Directors may authorize the pro rata distribution of any retained earnings, surplus, undivided profits, and equity reserves of the Bank, to holders of Class B Stock in proportion to each holder's share of the total shares of outstanding Class B Stock, provided that all payment obligations to the Bank’s existing creditors have been fully satisfied, and all Class B Stock has been redeemed at Par Value.

In the event the Bank is merged or consolidated into another Federal Home Loan Bank, the holders

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of the outstanding Class B Stock of the Bank will be entitled to the rights and benefits set forth in any applicable plan of merger and/or terms established or approved by the Finance Agency. In the event another Federal Home Loan Bank is merged or consolidated into the Bank, the holders of the outstanding capital stock of the other Federal Home Loan Bank will be entitled to the rights and benefits set forth in any applicable plan of merger and/or terms established or approved by the Finance Agency.

2.5    Finance Agency Authority

No part of Section 2.4 of this Capital Plan will be construed to limit the authority granted to the Finance Agency under 12 U.S.C. §1446 to prescribe rules, regulations or orders governing the liquidation, reorganization or merger of a Federal Home Loan Bank.

3.    Capital Stock

All members are required to purchase and redeem capital stock in accordance with the requirements of the Bank Act, the Regulations and this Capital Plan, and the Bank will not issue capital stock other than in accordance with the Regulations.

3.1    Purchase of Capital Stock

All members are required to purchase Class B Stock as a condition of membership in accordance with the requirements of Section 4 of this Capital Plan. The Class B Stock of the Bank may be issued only to members of the Bank and institutions that have been approved by the Bank to be members, and may be held only by members of the Bank, non-member institutions that acquire Class B Stock by virtue of acquiring member institutions, or by former members that retain Class B Stock in accordance with this Capital Plan following termination of membership. The Class B Stock of the Bank may be traded only between the Bank and its members. All Class B Stock will be issued in book entry form, and the Bank will act as its own transfer agent.

3.2    Transfers of Capital Stock

In accordance with the Regulations, and only with the prior approval of the Bank as it deems appropriate, a member may transfer, at Par Value, any Excess Stock to any other member or institution that has satisfied all conditions for becoming a member other than the purchase of the Class B Stock required to satisfy its minimum investment requirement. All transfers of Class B Stock will be effective upon being recorded on the appropriate books and records of the Bank. Approval for all transfers is subject to the requirement that, following the transfer, the transferring member would continue to hold sufficient stock to meet the member's minimum investment requirement. Except as provided in Section 5.3 of the Capital Plan, stock redemption notices will not transfer with Excess Stock that is transferred.

3.3    Class B-1 Stock and Class B-2 Stock

As described in Section 4, Class B-1 Stock is used to meet a member’s membership investment requirement and Class B-2 Stock is used to meet a member’s activity-based investment requirement.

Daily, subject to the limitations in this Capital Plan, the Bank will convert shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances.

(1) Shares of Class B-2 Stock held by a member in excess of its activity-based investment requirement will be converted into Class B-1 Stock, if necessary, to meet that member’s

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membership investment requirement.

(2) Shares of Class B-1 Stock held by a member in excess of the amount required to meet its membership investment requirement will be converted into Class B-2 Stock as needed in order to satisfy that member’s activity-based investment requirement.

All Excess Stock is held as Class B-1 Stock at all times.

3.4    Redemption of Capital Stock

Subject to the limitations in this Capital Plan, Class B Stock will be redeemable for cash at Par Value with five (5) years prior written notice provided by the member to the Bank. A member may request redemption of Class B Stock by providing a written stock redemption notice to the Bank in accordance with Section 3.4.1 of this Capital Plan indicating the number of shares of Class B Stock to be redeemed and the date(s) those shares were issued to the member, or by submitting a membership withdrawal notice in accordance with Section 5.1 of this Capital Plan. If the redemption notice fails to properly identify the particular shares to be redeemed, the member shall be deemed to have requested redemption of the most recently issued shares that are not already subject to a pending redemption request. The five-year stock redemption notice period will commence upon receipt by the Bank of the written stock redemption or withdrawal notice.

The Bank will not be obligated to redeem a member’s Class B Stock other than in accordance with this Capital Plan. Nothing in this section will preclude the Bank from repurchasing Excess Stock in accordance with Section 3.5 of this Capital Plan, including Class B Stock for which a stock redemption notice has been submitted.

3.4.1    Notice of Redemption

Subject to the limitations in this Capital Plan, a member may request redemption of Class B Stock by submitting five years written notice to the Bank. No member may have more than one stock redemption notice outstanding for the same share(s) of Class B Stock. To facilitate this limitation, no member may have one or more stock redemption notices in effect at any one time that represent an aggregate amount of Class B Stock that is greater than the total amount of Class B Stock the member owns. If, subsequent to submitting a stock redemption notice, a member's holdings of Class B Stock fall below the amount of Class B Stock subject to outstanding stock redemption notices, the Bank will automatically reduce the number of shares of stock subject to stock redemption notices. If a member has more than one stock redemption notice outstanding, this reduction will be applied first to the most recently received stock redemption notice unless specified otherwise by the member in writing within 30 days of the reduction in Class B Stock.

At the expiration of the five year period following receipt by the Bank of the stock redemption notice, and subject to the limitations contained in Section 3.6 of this Capital Plan, the Bank will pay the stated Par Value of the Class B Stock covered by the stock redemption notice to the member in cash to the extent the Bank determines that the Class B Stock is Excess Stock, as determined in accordance with the minimum investment requirements in effect at the end of the redemption notice period.

Only Class B Stock that is Excess Stock at the expiration of the five year redemption notice period will be redeemed pursuant to a stock redemption notice. A stock redemption notice does not constitute a withdrawal notice as described in Section 5.1 of this Capital Plan. At the expiration of the redemption notice period, if the amount of Class B Stock subject to the stock redemption notice exceeds the amount of Excess Stock held by the member, the

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Bank will redeem Class B Stock equal to the amount of Excess Stock held by the member, and the stock redemption notice for the remaining shares of Class B Stock subject to that notice will be cancelled and a redemption cancellation fee will be assessed in accordance with Section 3.4.2 of this Capital Plan. Alternatively, within five business days of the expiration of the redemption notice period, the member may reduce its activity with the Bank (subject to any applicable prepayment fees) to reduce its minimum investment requirement and increase its holdings of Excess Stock which would then be eligible for redemption.

3.4.2    Redemption Cancellation Notice

A member that has previously notified the Bank in writing of its intent to redeem some or all of its Class B Stock may cancel the stock redemption notice for all or a portion of the shares of Class B Stock subject to the stock redemption notice prior to the expiration of the redemption notice period by providing a written redemption cancellation notice to the Bank. A member may rescind a redemption cancellation notice by providing written notice to the Bank within 30 days of the original redemption cancellation notice.

A member that cancels a stock redemption notice more than 30 days after it is received by the Bank and prior to its expiration will be subject to a redemption cancellation fee calculated as a percentage of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice.

When a member submits a redemption cancellation notice more than 30 days after the original redemption notice is received by the Bank but during the first year after the Bank receives the original stock redemption notice, the redemption cancellation fee will be 1.0 percent of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice; the fee during the second year will be 2.0 percent of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice; the fee during the third year will be 3.0 percent of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice; the fee during the fourth year will be 4.0 percent of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice; and the fee during the fifth year will be 5.0 percent of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice.

The Bank’s Board of Directors may from time to time modify the redemption cancellation fee to any percentage(s) of the Par Value of the shares of Class B Stock subject to the redemption cancellation notice that is not less than 0.0 percent and not more than the percentages specified in the preceding paragraph. In the event the Board of Directors reduces the redemption cancellation fee, the Board of Directors will also determine whether the reduced fee will apply to cancellation of previously submitted stock redemption notices as well as those submitted in the future. Otherwise, the fee in effect at the time the stock redemption notice was originally received by the Bank will apply to the cancellation of that notice. The Bank will notify members in writing at least 30 days in advance of any changes in the redemption cancellation fee. Any change in the redemption cancellation fee will be applied equally and without discrimination to all members.

3.5    Repurchase of Capital Stock

The Bank in its sole discretion may repurchase Excess Stock from time to time without regard to the five year redemption notice period. Excess Stock repurchases may be initiated by the Bank or requested by members, and will be subject to the limitations contained in Section 3.6 of this Capital Plan. The decision to repurchase Excess Stock will rest with the Bank and cannot be compelled by a member.

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Upon 15 days written notice, the Bank may initiate the repurchase of any amount of members' Excess Stock. The Bank will determine the criteria for Excess Stock repurchases from time to time, and will apply the repurchase criteria equally and without discrimination to all members. If the Bank initiates the repurchase of an amount of all members’ Excess Stock, then for each member the Bank will repurchase shares of Class B-1 Stock that are Excess Stock until the designated total repurchase amount is repurchased. Pursuant to an application submitted by a member to the Bank in writing or in such other form as the Bank may designate from time to time, the Bank may repurchase Class B Stock that the Bank determines to be Excess Stock.

Unless the Bank is notified by a member otherwise in writing on or prior to the date of a Class B Stock repurchase transaction, repurchases of Excess Stock will automatically reduce the amount of Class B Stock subject to any outstanding stock redemption or withdrawal notices by the amount of Class B Stock repurchased. If a member has more than one stock redemption and / or withdrawal notice outstanding, this reduction will be applied first to the most recently received stock redemption or withdrawal notice.

A member's submission of a withdrawal notice in accordance with Section 5.1 of this Capital Plan, or its termination of membership in any other manner, will not, in and of itself, cause any Class B Stock to be deemed Excess Stock for purposes of this section.

3.6    Limitations on Redemption or Repurchase of Capital Stock

            The Bank will not redeem or repurchase Class B Stock without the prior written approval of the Finance Agency if the Finance Agency or the Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank, as defined in the Regulations. This prohibition will apply even if a Bank is in compliance with its Minimum Capital Requirements, and will remain in effect for however long the Bank continues to incur such charges or until the Finance Agency determines that such charges are not expected to continue.

The Bank will not redeem or repurchase Class B Stock if the redemption or repurchase would cause the Bank to be out of compliance with its Minimum Capital Requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement.

In accordance with the Regulations, the Bank's Board of Directors may suspend redemption of Class B Stock if the Bank reasonably believes that continued redemption of Class B Stock would cause the Bank to fail to meet its Minimum Capital Requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its Minimum Capital Requirements, or would otherwise prevent the Bank from operating in a safe and sound manner.

In accordance with the Regulations, the Bank will not repurchase any Class B Stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of Class B Stock in accordance with this section. As required by the Regulations, in the event the Bank suspends Class B Stock redemptions, the Bank will notify the Finance Agency in writing within two business days of the date of the decision to suspend redemptions, informing the Finance Agency of the reasons for the suspension and the Bank's strategies and time frames for addressing the conditions that led to the suspension. The Finance Agency may require the Bank to re-institute the redemption of Class B Stock.

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If at any time the Bank determines that the total amount of Class B Stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of Class B Stock the Bank could redeem and still comply with its Minimum Capital Requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank.

3.7    Retirement of Capital Stock

All shares of Class B Stock that are acquired by the Bank pursuant to redemption or repurchase transactions will be retired.

3.8    Dividends on Capital Stock

The Board of Directors may declare dividends to be paid on Class B Stock on a quarterly basis or otherwise as it determines in its discretion. Each member will be entitled to receive dividends on all Class B Stock held during the applicable period for the period of time that the member owns the Class B Stock. Dividends are non-cumulative with respect to payment obligation. A member that has provided a withdrawal notice, or whose membership is otherwise terminated, will continue to receive dividends on its Class B Stock as long as the institution or its successor owns Class B Stock.

The Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock; provided that, in no event will the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock.

In accordance with the Bank Act and the Regulations, dividends may only be paid from current earnings or previously retained earnings. In accordance with the Regulations, the Bank’s Board of Directors may not declare or pay a dividend if the Bank is not in compliance with its Minimum Capital Requirements or if the Bank would fall below its Minimum Capital Requirements as a result of the payment of the dividend. Dividend payments may be made in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors.

Except as otherwise provided herein or by regulation or statute, the Bank’s Board of Directors has sole discretion to determine the amount, form, frequency and timing of dividend payments.

3.9    Voting Rights

Members’ voting rights are exercised in connection with the election of directors, approval of a proposed merger with another Federal Home Loan Bank, and such other matters as are authorized or required by the Bank Act or the Regulations. For purposes of voting rights, all shares of Class B Stock regardless of sub-class will be treated the same. The voting rights of holders of the Bank’s Class B Stock related to the election of directors are as follows:

3.9.1    Allocation of Director Seats

In accordance with the Bank Act and the Regulations, the Finance Agency will annually designate member director seats by state and independent director seats for at-large election.

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3.9.2.     Member Voting

Each member will be entitled to vote in the election of member directors representing the state in which the member is located, and in the election of all independent directors. In each such director election, each member will be entitled to cast one vote for each share of capital stock that the member was required to hold as of the immediately preceding December 31, except that no member may cast a number of votes greater than the average number of shares of capital stock required to be held by all members in its state as of the preceding December 31. Shares of capital stock held by members that were Excess Stock as of the preceding December 31 will not convey voting rights in the election of directors.

If any member's actual holdings of capital stock were less than the applicable minimum investment requirement on the preceding December 31, the number of shares eligible to be voted will be based on the number of shares of capital stock actually held by that member as of the preceding December 31.

4.        Minimum Investment Requirements

The Bank requires all members to purchase Class B Stock of the Bank and to maintain a minimum investment in Class B Stock equal to the sum of the membership investment requirement described in Section 4.1 plus the activity-based investment requirement described in Section 4.2. The membership investment requirement must be met with shares of Class B-1 Stock, and the activity-based investment requirement must be met with shares of Class B-2 Stock. The Bank’s Board of Directors will periodically review and may adjust these investment requirements as described in Section 4.3.

4.1    Membership Investment Requirement

Each member must maintain at all times a membership investment requirement in Class B-1 Stock equal to the percentage specified from time to time by the Bank’s Board of Directors of the member’s total assets as of the most recent December 31, as reported on the member’s regulatory financial report for that date, or its financial statements or other financial data for that date if the member does not file regulatory financial reports, subject to a minimum membership investment requirement of $1,000.

As described in Section 4.3, the Bank’s Board of Directors will from time to time specify the membership investment requirement as an amount not less than 0.02 percent of each member's total assets nor more than 0.15 percent of each member's total assets. The Bank's Board of Directors will also specify the maximum membership investment requirement as an amount not less than $5 million or more than $25 million.

The membership investment requirement will be calculated for all members at least annually during the first calendar quarter of the year, or as soon thereafter as members' applicable financial data becomes available. The annual recalculation of membership investment requirements will become effective on or within 30 days of April 1 of each year. For new members, the membership investment requirement will be calculated based on the new member's total assets as of the end of the most recent calendar quarter for which financial information is available. Members will be notified in writing of the amount of their membership investment requirements at least 10 days in advance of the effective date.

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The Bank may recalculate all members' membership investment requirements more often than annually if it deems appropriate, and may recalculate individual members' membership investment requirements more often than annually at the member's request. In each of these cases, membership investment requirements will be recalculated based on members' total assets as of the end of the most recent calendar quarter for which financial data is available. In addition, after the end of each calendar quarter, at the time the quarterly financial data used to calculate members' membership investment requirements becomes available, the Bank will recalculate the membership investment requirements for institutions whose membership terminated during the quarter.

Notwithstanding any other provision of this Capital Plan, in the event that (a) a receiver or conservator has been appointed for the member, and (b) the Bank has terminated the member’s membership, then that member’s membership investment requirement shall be zero.

4.2    Activity-Based Investment Requirement

In addition to its membership investment requirement, each member must maintain an activity-based investment requirement in Class B-2 Stock equal to the sum of the advances investment requirement described in Section 4.2.1, the AMA investment requirement described in Section 4.2.2, and the letters of credit investment requirement described in Section 4.2.3. Each member, former member, or successor to a member with applicable activity outstanding must comply with the activity-based investment requirement for as long as the relevant activity remains outstanding, including periods beyond the termination of the member's membership in the Bank.

The activity-based investment requirement for each member, former member, or successor to a member will change whenever the institution's activity with the Bank changes. In addition, the Bank’s Board of Directors may periodically adjust the activity-based investment requirements in accordance with Section 4.3 of this Capital Plan.

4.2.1    Advances Investment Requirement

Each member must maintain an activity-based investment in Class B-2 Stock in an amount equal to the percentage specified from time to time by the Bank’s Board of Directors of the outstanding principal balance of the member’s advances outstanding. The Bank’s Board of Directors will from time to time specify the advances-based investment requirement as an amount not less than 2.0 percent of members’ advances outstanding nor more than 5.0 percent of members’ advances outstanding.

The Bank’s Board of Directors may apply changes to the advances investment requirement only to new advances, or to existing and new advances. In addition, the Board of Directors may also establish one or more separate advances investment requirement percentages (each an “advance type specific percentage”) within the range described above to be applied to a specific category of advances in lieu of the generally applicable advances-related investment requirement percentage in effect at the time. Such category of advances may be defined as a particular advances product offering, advances with particular maturities or other features, advances that represent an increase in member borrowing, or such other criteria as the Board of Directors may determine. Any advance type specific percentage may be established for an indefinite period of time, or for a specific time period, at the discretion of the Bank’s Board of Directors.

The advances investment requirement will be calculated daily and each time a member enters into a new advances transaction. Complying with the advances investment

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requirement at the time a new advances transaction is funded will be a condition of funding the new transaction.

4.2.2    Acquired Member Asset (AMA) Investment Requirement

Each member must maintain an activity-based investment in Class B-2 Stock in an amount equal to the percentage specified from time to time by the Bank’s Board of Directors of the outstanding principal balance of all Acquired Member Assets (AMA) acquired by the Bank through the member and currently outstanding on the Bank’s balance sheet. However, this AMA investment requirement will apply only to AMA acquired pursuant to commitments executed after September 2, 2003.

The Bank’s Board of Directors will specify from time to time the AMA investment requirement as an amount not less than 0.0 percent of AMA outstanding on the Bank’s balance sheet nor more than 5.0 percent of AMA outstanding on the Bank’s balance sheet. At the discretion of the Board of Directors, any reduction in the AMA investment requirement percentage may be applied only to AMA acquired pursuant to commitments executed after the reduction becomes effective, or to previously acquired and new AMA. Any increase in the AMA investment requirement will apply only to AMA acquired pursuant to commitments executed after the effective date of the change, or to AMA acquired pursuant to commitments executed prior to the effective date of such change that explicitly stipulate that those AMA will be subject to future changes in AMA investment requirements.

The AMA investment requirement for outstanding AMA will be calculated at least monthly (and as often as daily at the Bank's discretion), and for new AMA each time new AMA are funded. Complying with the AMA investment requirement at the time applicable AMA transactions are funded will be a condition of funding the new transactions.

4.2.3    Letters of Credit Investment Requirement

Each member must maintain an activity-based investment in Class B-2 Stock in an amount equal to the percentage specified from time to time by the Bank’s Board of Directors of the notional amount of all standby letters of credit and confirmations (hereinafter collectively referred to as “letters of credit”) outstanding on behalf of a member. The Bank’s Board of Directors will from time to time specify the letters of credit investment requirement as an amount not less than 0.10 percent of members’ outstanding letters of credit nor more than 2.0 percent of members’ outstanding letters of credit (the “LC Percentage”). For the avoidance of doubt, the LC Percentage will be applied to the issued amount of the letter of credit rather than, if applicable, the amount of the letter of credit that is used from time to time by the member during the term of the letter of credit.

In connection with the initial implementation of Section 4.2.3 of the Capital Plan, the LC Percentage that is established by the Board of Directors will apply only to letters of credit that are issued or renewed on and after the date on which the initial LC Percentage becomes effective. Thereafter, at the discretion of the Board of Directors, any changes to the LC Percentage may be applied prospectively to new or renewing letters of credit and/or retroactively to other letters of credit that were issued or renewed after the initial LC Percentage became effective.

The letters of credit investment requirement will be calculated daily and each time a letter of credit is issued or renewed on behalf of a member. Complying with the letters of credit

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investment requirement at the time a letter of credit is issued or renewed will be a condition to the issuance of the letter of credit.

4.3    Periodic Review of Minimum Investment Requirements

In accordance with the Bank Act and the Regulations, and to ensure ongoing compliance with the Bank’s Minimum Capital Requirements, the Bank’s Board of Directors will review the Bank’s Capital Plan at least annually, or more often as the Board of Directors deems necessary. As part of this review, the Board of Directors will determine whether changes in the minimum investment requirements are necessary to ensure that the Bank remains in compliance with its Minimum Capital Requirements, or are otherwise appropriate. Adjustments may be made to the specific percentages and the maximum amount for the membership investment requirement as specified in Section 4.1, and the specific percentages for the activity-based investment requirements as specified in Section 4.2. Any changes the Bank’s Board of Directors makes to the minimum investment requirements will be communicated by written notice (and otherwise as deemed appropriate by the Bank in its sole discretion) to be sent to Bank members at least 30 days in advance of their effective date.

Any changes to members' minimum investment requirement deemed appropriate by the Bank's Board of Directors but not authorized by this Capital Plan may be implemented only after the Finance Agency approves an amended Capital Plan reflecting such changes.

4.4    Member Compliance

The Bank will monitor the minimum investment requirement of each member on an ongoing basis to ensure that the member remains in compliance with the applicable requirement. Each member is required to comply promptly with any adjusted minimum investment requirements established by the Board of Directors. However, members will be allowed a reasonable time to comply, not to exceed 30 days from the effective date established by the Board of Directors for the change in minimum investment requirement. Members may reduce their outstanding activity with the Bank (subject to any prepayment fees applicable to the reduction in activity) as an alternative to purchasing additional Class B Stock.

To facilitate the sale of additional stock which members are required to purchase as a result of any changes in their minimum investment requirements, the Bank is authorized to issue stock in the name of a member and to debit the member’s demand deposit account at the Bank.

5.    Termination of Membership

Membership in the Bank may be terminated through voluntary withdrawal, through involuntary termination by action of the Bank's Board of Directors, through acquisition of a member by another member institution, through acquisition of a member by a non-member institution, or otherwise through dissolution of a member's charter.

5.1    Voluntary Withdrawal

A member may withdraw from membership in the Bank by providing five years prior written notice to the Bank. During the five year period following receipt by the Bank of the member's withdrawal notice, the member will be entitled to all the benefits and will incur all the obligations of membership, including the obligation to comply with all minimum investment requirements throughout the five year period. However, the Bank may limit any new advances, AMA, letters of credit or other activity to terms that would mature on or before the expiration of the withdrawal

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notice period. The membership of an institution that has submitted a withdrawal notice will terminate at the expiration of the five year period following receipt by the Bank of the withdrawal notice.

A withdrawal notice will also constitute a stock redemption notice for the amount of Class B Stock held by the member at the time the Bank receives the withdrawal notice. At the expiration of the five year period following receipt by the Bank of the member's withdrawal notice, the member's membership in the Bank will terminate and, subject to the limitations contained in Section 3.6 of this Capital Plan, the Bank will pay the stated Par Value of the Class B Stock covered by the withdrawal notice to the member in cash in accordance with the following conditions.

If the withdrawing member has no outstanding advances, AMA or letters of credit that require maintenance of Class B-2 Stock in accordance with Section 4.2 of this Capital Plan, the Bank will redeem all of the outstanding Class B Stock subject to the withdrawal notice. If the withdrawing member has outstanding advances, AMA or letters of credit that require maintenance of Class B-2 Stock in accordance with Section 4.2 of this Capital Plan, the Bank will redeem all the shares of Class B Stock subject to the withdrawal notice, except those shares of Class B-2 Stock required to be held to comply with the activity-based investment requirement related to the remaining advances, AMA and letters of credit.

During the remaining term of advances, AMA or letters of credit outstanding after the termination of membership, the former member or its successor must continue to comply with any changes in the activity-based investment requirements related to the remaining advances, AMA or letters of credit. If the withdrawing member holds any Class B-2 Stock subject to a withdrawal notice that cannot be redeemed at the expiration of the withdrawal notice period because it is required to meet a continuing activity-based investment requirement, that stock will become redeemable when it is no longer needed to comply with an activity-based investment requirement.

Nothing in this section will preclude the Bank from repurchasing Excess Stock in accordance with Section 3.5 of this Capital Plan.

5.1.1    Automatic Stock Redemption Notice

If a member has filed a withdrawal notice, that notice will also automatically constitute a stock redemption notice for any shares of Class B Stock subsequently acquired, with such automatic redemption notice to be effective and the redemption notice period to begin on the date any additional Class B Stock is acquired. Such Class B Stock will be redeemable at the end of its respective redemption notice period in accordance with Section 3.4.1 or, if such Class B Stock is Class B-2 Stock required to comply with an ongoing activity-based investment requirement, that Class B-2 Stock will become redeemable when it is no longer needed to comply with an activity-based investment requirement.

5.1.2    Withdrawal Cancellation Notice

A member that has previously submitted a withdrawal notice to the Bank in writing in accordance with Section 5.1 of this Capital Plan may cancel its withdrawal notice prior to the expiration of the withdrawal notice period by providing written notice to the Bank. A member may also rescind a withdrawal cancellation notice by providing written notice to the Bank within 30 days of the original withdrawal cancellation notice and incur no redemption cancellation fee.

A withdrawal cancellation notice or withdrawal notice rescission will constitute a

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redemption cancellation notice for the amount of Class B Stock subject to redemption pursuant to the original withdrawal notice. The redemption cancellation fees and conditions contained in Section 3.4.2 of this Capital Plan will also apply to a withdrawal cancellation notice. A withdrawal cancellation notice or withdrawal notice rescission will also cancel without fee any related automatic notices of redemption created by the original withdrawal notice pursuant to Section 5.1.1 of this Capital Plan, unless otherwise directed by the member.

5.2    Involuntary Termination of Membership

The Bank Act and the Regulations grant the Board of Directors the authority to terminate an institution's membership under certain specified conditions. In the event the Board of Directors terminates a member's membership, that membership will terminate on the date the Board of Directors acts to terminate the membership, and the five year stock redemption notice period will begin on the same date.

5.3    Termination by Charter Dissolution

If an institution's membership terminates by virtue of the dissolution of its charter either through acquisition by another institution or otherwise, the membership of the disappearing institution will terminate upon the cancellation of its charter. In the event of an acquisition of a member, the Class B Stock held by the member will be transferred automatically to the acquiring institution.

If the acquiring institution is a member of the Bank, the acquired Class B Stock may be applied to the acquiring member's minimum investment requirement, and any outstanding stock redemption notices will remain in effect, except that any stock redemption notices related to a withdrawal notice previously submitted by the acquired member may be cancelled without a redemption cancellation fee at the acquiring member’s request. If the acquiring institution is not a member of the Bank, and does not apply for membership as provided in the Regulations, the five year stock redemption notice period will begin on the date the institution's membership terminates, or earlier if the Bank has received a withdrawal notice from the disappearing member. For the avoidance of doubt, any Excess Stock may be repurchased by the Bank in its sole discretion during the five year stock redemption notice period.

5.4    General Membership Termination Provisions

Upon the termination of an institution's membership, or upon the conclusion of the transition period provided in the Regulations for acquiring institutions to make application for membership in the Bank, the Bank will determine an orderly manner for liquidating all remaining outstanding indebtedness (including prepayment fees) owed by that member to the Bank, and settling all other claims against the member. After the expiration of any redemption notice periods required by this Capital Plan, the Bank will redeem any remaining Class B Stock in accordance with the provisions of this Capital Plan and applicable Finance Agency regulations. After all remaining obligations and claims have been extinguished or settled, the Bank will redeem the remaining shares of Class B Stock.

Nothing in this section will preclude the Bank from repurchasing any Excess Stock in accordance with the provisions of this Capital Plan prior to the expiration of the stock redemption notice periods, or redeeming Class B Stock in accordance with the provisions of this Capital Plan prior to the extinguishment or settlement of all obligations and claims against a member whose membership is being or has been terminated. However, in accordance with the Regulations and this Capital Plan, the Bank may not redeem or repurchase any Class B-2 Stock required to support advances,

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Federal Home Loan Bank of Dallas Capital Plan:

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AMA or letters of credit in accordance with Section 4.2 of this Capital Plan until the respective obligations have been repaid, extinguished or otherwise settled.

6.    Retained Earnings Capital Plan Amendment

6.1    Retained Earnings Enhancement Implementation and Definitions

6.1.1    Implementation

The provisions of sections 6.1 through 6.4 shall become effective upon, and only upon, the occurrence of the Interim Capital Plan Amendment Implementation Date. Until the Restriction Termination Date, in the event of any conflict between sections 6.1 through 6.4 and the remainder of this Capital Plan, the applicable terms of sections 6.1 through 6.4 shall govern, and shall be interpreted in a manner such that the restrictions set forth therein are supplementary to, and not in lieu of, the requirements of the remainder of this Capital Plan.

6.1.2    Definitions Applicable to Section 6 of this Capital Plan

As used in these sections 6.1 through 6.4, the following capitalized terms shall have the following meanings. Other capitalized terms used but not defined in these sections 6.1 through 6.4 shall have the meanings set forth in the Definition of Terms section just before section 1 of this Capital Plan.

Act means the Federal Home Loan Bank Act, as amended as of the Effective Date.

Adjustment to Prior Net Income means either an increase, or a decrease, to a prior calendar quarter’s Quarterly Net Income subsequent to the date on which any allocation to Restricted Retained Earnings for such calendar quarter was made.

Agreement means the Joint Capital Enhancement Agreement adopted by the FHLBanks on the Effective Date and amended on the date on which the FHFA has approved the Retained Earnings Capital Plan Amendments for all of the FHLBanks that have issued capital stock pursuant to a capital plan as of the Effective Date.

Allocation Termination Date means the date the Bank’s obligation to make allocations to the Restricted Retained Earnings account is terminated permanently. That date is determined pursuant to section 6.4 of this Capital Plan.

Automatic Termination Event means (i) a change in the Act, or another applicable statute, occurring subsequent to the Effective Date, that will have the effect of creating a new, or higher, assessment or taxation on net income or capital of the FHLBanks, or (ii) a change in the Act, another applicable statute, or the Regulations, occurring subsequent to the Effective Date, that will result in a higher mandatory allocation of an FHLBank’s Quarterly Net Income to any Retained Earnings account than the annual amount, or total amount, specified in an FHLBank’s capital plan as in effect immediately prior to the Automatic Termination Event.

Automatic Termination Event Declaration Date means the date specified in section 6.4.1.1 or 6.4.1.2 of this Capital Plan.

Bank’s Total Consolidated Obligations means the daily average carrying value for the calendar quarter, excluding the impact of fair value adjustments (i.e., fair value option and

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hedging adjustments), of the Bank’s portion of outstanding System Consolidated Obligations for which it is the primary obligor.

Declaration of Automatic Termination means a signed statement, executed by officers authorized to sign on behalf of each FHLBank that is a signatory to the Agreement, in which at least 2/3 of the then existing FHLBanks declare their concurrence that a specific statutory or regulatory change meets the definition of an Automatic Termination Event.

Dividend means a distribution of cash, other property, or stock to a Stockholder with respect to its holdings of capital stock.

Dividend Restriction Period means any calendar quarter: (i) that includes the REFCORP Termination Date, or occurs subsequent to the REFCORP Termination Date; (ii) that occurs prior to an Allocation Termination Date; and (iii) during which the amount of the Bank’s Restricted Retained Earnings is less than the amount of the Bank’s RREM. If the amount of the Bank’s Restricted Retained Earnings is at least equal to the amount of the Bank’s RREM, and subsequently the Bank’s Restricted Retained Earnings becomes less than its RREM, the Bank shall be deemed to be in a Dividend Restriction Period (unless an Allocation Termination Date has occurred).

Effective Date means February 28, 2011.

GAAP means accounting principles generally accepted in the United States as in effect from time to time.

FHFA means the Federal Housing Finance Agency or any successor.

FHLBank means a Federal Home Loan Bank chartered under the Act.

Interim Capital Plan Amendment Implementation Date means 31 days after the date by which the Finance Agency approved a capital plan amendment substantially the same as the Retained Earnings Capital Plan Amendments for all of the FHLBanks that have issued capital stock pursuant to a capital plan as of the Effective Date.

Net Loss means that the Quarterly Net Income of the Bank is negative, or that the annual net income of the Bank calculated on the same basis is negative.

Quarterly Net Income means the amount of net income of an FHLBank for a calendar quarter calculated in accordance with GAAP, after deducting the FHLBank’s required contributions for that quarter to the Affordable Housing Program under section 10(j) of the Act, as reported in the FHLBank’s quarterly and annual financial statements filed with the Securities and Exchange Commission.

REFCORP Termination Date means the last day of the calendar quarter in which the FHLBanks’ final regular payments are made on obligations to REFCORP in accordance with Section 997.5 of the Regulations and section 21B(f) of the Act.

Regular Contribution Amount means the result of (i) 20 percent of Quarterly Net Income; plus (ii) 20 percent of a positive Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the

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Federal Home Loan Bank of Dallas Capital Plan:

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current calendar quarter; minus (iii) 20 percent of the absolute value of a negative Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the current calendar quarter.

Regulations mean: (i) the rules and regulations of the Federal Housing Finance Board (except to the extent that they may be modified, terminated, set aside or superseded by the Director of the FHFA) in effect on the Effective Date; (ii) the rules and regulations of the FHFA, as amended from time to time.

Restricted Retained Earnings means the cumulative amount of Quarterly Net Income and Adjustments to Prior Net Income allocated to the Bank’s Retained Earnings account

restricted pursuant to the Retained Earnings Capital Plan Amendment, and does not include amounts retained in: (i) any accounts in existence at the Bank on the Effective Date; or (ii) any other Retained Earnings accounts subject to restrictions that are not part of the terms of the Retained Earnings Capital Plan Amendment.

Restricted Retained Earnings Minimum (RREM) means a level of Restricted Retained Earnings calculated as of the last day of each calendar quarter equal to one percent of the Bank’s Total Consolidated Obligations.

Restriction Termination Date means the date the restriction on the Bank paying Dividends out of the Restricted Retained Earnings account, or otherwise reallocating funds from the Restricted Retained Earnings account, is terminated permanently. That date is determined pursuant to section 6.4 of this Capital Plan.

Retained Earnings means the retained earnings of an FHLBank calculated pursuant to GAAP.

Retained Earnings Capital Plan Amendment means the amendment to this Capital Plan, made a part thereof, adopted effective on the Interim Capital Plan Amendment Implementation Date adding sections 6.1 through 6.4 to this Capital Plan.

Special Contribution Amount means the result of: (i) 50 percent of Quarterly Net Income; plus (ii) 50 percent of a positive Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made in the current calendar quarter; minus (iii) 50 percent of the absolute value of a negative Adjustment to Prior Net Income for any prior calendar quarter that includes the REFCORP Termination Date, or occurred subsequent to the REFCORP Termination Date, to the extent such adjustment has not yet been made by the current calendar quarter.

Stockholder means: (i) an institution that has been approved for membership in the Bank, and has purchased capital stock in accordance with the Regulations; (ii) a former member of the Bank that continues to own capital stock; or (iii) a successor to an entity that was a member of the Bank that continues to own capital stock.

System Consolidated Obligation means any bond, debenture, or note authorized under the Regulations to be issued jointly by the FHLBanks pursuant to Section 11(a) of the Act, as amended, or any bond or note previously issued by the Federal Housing Finance Board on behalf of all FHLBanks pursuant to Section 11(c) of the Act, on which the FHLBanks are

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jointly and severally liable, or any other instrument issued through the Office of Finance, or any successor thereto, under the Act, that is a joint and several liability of all the FHLBanks.

Total Capital means Retained Earnings, the amount paid-in for capital stock, the amount of any general allowance for losses, and the amount of other instruments that the FHFA has determined to be available to absorb losses incurred by the Bank.

6.2    Establishment of Restricted Retained Earnings

6.2.1    Segregation of Account.

No later than the REFCORP Termination Date, the Bank shall establish an account in its official books and records in which to allocate its Restricted Retained Earnings, with such account being segregated on its books and records from the Bank’s Retained Earnings that are not Restricted Retained Earnings for purposes of tracking the accumulation of Restricted Retained Earnings and enforcing the restrictions on the use of the Restricted Retained Earnings imposed in the Retained Earnings Capital Plan Amendment.

6.2.2    Funding of Account.

6.2.2.1    Date on which Allocation Begins

The Bank shall allocate to its Restricted Retained Earnings account an amount at least equal to the Regular Contribution Amount beginning on the REFCORP Termination Date. The Bank shall allocate amounts to the Restricted Retained Earnings account only through contributions from its Quarterly Net Income or Adjustments to Prior Net Income occurring on or after the REFCORP Termination Date, but nothing in the Retained Earnings Capital Plan Amendment shall prevent the Bank from allocating a greater percentage of its Quarterly Net Income or positive Adjustment to Prior Net Income to its Restricted Retained Earnings account than the percentages set forth in the Retained Earnings Capital Plan Amendment.

6.2.2.2    Ongoing Allocation

During any Dividend Restriction Period that occurs before the Allocation Termination Date, the Bank shall continue to allocate its Regular Contribution Amount (or when and if required under subsection 6.2.2.4 below, its Special Contribution Amount) to its Restricted Retained Earnings account.

6.2.2.3    Treatment of Quarterly Net Losses and Annual Net Losses

In the event the Bank sustains a Net Loss for a calendar quarter, the following shall apply: (i) to the extent that its cumulative calendar year-to-date net income is positive at the end of such quarter, the Bank may decrease the amount of its Restricted Retained Earnings such that the cumulative addition to the Restricted Retained Earnings account calendar year-to-date at the end of such quarter is equal to 20 percent of the amount of such cumulative calendar year-to-date net income; (ii) to the extent that its cumulative calendar year-to-date net income is negative at the end of such quarter (a) the Bank may decrease the amount of its Restricted Retained Earnings account such that the cumulative addition calendar year-to-date to the Restricted Retained Earnings at the end of such quarter is zero, and (b) the Bank shall apply any remaining portion of the Net Loss for the calendar quarter first to reduce Retained Earnings that are not Restricted Retained Earnings until such Retained Earnings are reduced to zero, and thereafter may apply any remaining portion of

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Federal Home Loan Bank of Dallas Capital Plan:

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the Net Loss for the calendar quarter to reduce Restricted Retained Earnings; and (iii) for any subsequent calendar quarter in the same calendar year, the Bank may decrease the amount of its quarterly allocation to its Restricted Retained Earnings account in that subsequent calendar quarter such that the cumulative addition to the Restricted Retained Earnings account calendar year-to-date is equal to 20 percent of the amount of such cumulative calendar year-to-date net income.

In the event the Bank sustains a Net Loss for a calendar year, any such Net Loss first shall be applied to reduce Retained Earnings that are not Restricted Retained Earnings until such Retained Earnings are reduced to zero, and thereafter any remaining portion of the Net Loss for the calendar year may be applied to reduce Restricted Retained Earnings.

6.2.2.4    Funding at the Special Contribution Amount

If during a Dividend Restriction Period, the amount of the Bank’s Restricted Retained Earnings decreases in any calendar quarter, except as provided in subsections 6.2.2.3(i) and (ii)(a) above, the Bank shall allocate the Special Contribution Amount to its Restricted Retained Earnings account beginning at the following calendar quarter-end (except as provided in the last sentence of this subsection). Thereafter, the Bank shall continue to allocate the Special Contribution Amount to its Restricted Retained Earnings account until the cumulative difference between: (i) the allocations made using the Special Contribution Amount; and (ii) the allocations that would have been made if the Regular Contribution Amount applied, is equal to the amount of the prior decrease in the amount of its Restricted Retained Earnings account arising from the application of subsection 6.2.2.3(ii)(b). If at any calendar quarter-end the allocation of the Special Contribution Amount would result in a cumulative allocation in excess of such prior decrease in the amount of Restricted Retained Earnings: (i) the Bank may allocate such percentage of Quarterly Net Income to the Restricted Retained Earnings account that shall exactly restore the amount of the prior decrease, plus the amount of the Regular Contribution Amount for that quarter; and (ii) the Bank in subsequent quarters shall revert to paying at least the Regular Contribution Amount.

6.2.2.5    Release of Restricted Retained Earnings

If the Bank’s RREM decreases from time to time due to fluctuations in the Bank’s Total Consolidated Obligations, amounts in the Restricted Retained Earnings account in excess of 150 percent of the RREM may be released by the Bank from the restrictions otherwise imposed on such amounts pursuant to the provisions of the Retained Earnings Capital Plan Amendment, and reallocated to its Retained Earnings that are not Restricted Retained Earnings. Until the Restriction Termination Date, the Bank may not otherwise reallocate amounts in its Restricted Retained Earnings account (provided that a reduction in the Restricted Retained Earnings account following a Net Loss pursuant to subsection 6.2.2.3 is not a reallocation).

6.2.2.6    No Effect on Rights of Shareholders as Owners of Retained Earnings

In the event of the liquidation of the Bank, or a taking of the Bank’s Retained Earnings by any future federal action, nothing in the Retained Earnings Capital Plan Amendment shall change the rights of the holders of the Bank’s Class B stock that confer ownership of Retained Earnings, including Restricted Retained Earnings, as granted under section 6(h)

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of the Act.

6.3    Limitations on Dividends, Stock Purchase and Stock Redemption

6.3.1    General Rule on Dividends.

From the REFCORP Termination Date through the Restriction Termination Date, the Bank may not pay Dividends, or otherwise reallocate funds (except as expressly provided in subsection 6.2.2.5, and further provided that a reduction in the Restricted Retained Earnings account following a Net Loss pursuant to subsection 6.2.2.3 is not a reallocation), out of Restricted Retained Earnings. During a Dividend Restriction Period, the Bank may not pay Dividends out of the amount of Quarterly Net Income required to be allocated to Restricted Retained Earnings.

6.3.2    Limitation on Repurchase and Redemption.

From the REFCORP Termination Date through the Restriction Termination Date, the Bank shall not engage in a repurchase or redemption transaction if following such transaction the Bank’s Total Capital as reported to the FHFA falls below the Bank’s aggregate paid-in amount of capital stock.

6.4    Termination of Retained Earnings Capital Plan Amendment Obligations

6.4.1    Notice of Automatic Termination Event.

6.4.1.1    Action by FHLBanks

If the Bank desires to assert that an Automatic Termination Event has occurred (or will occur on the effective date of a change in a statute or the Regulations), the Bank shall provide prompt written notice to all of the other FHLBanks (and provide a copy to the FHFA) identifying the specific statutory or regulatory change that is the basis for the assertion. For the purposes of this section, ‘prompt written notice’ means notice delivered no later than 90 calendar days subsequent to: (1) the date the specific statutory change takes effect; or (2) the date an interim final rule or final rule effecting the specific regulatory change is published in the Federal Register.

If within 60 calendar days of transmission of such written notice to all of the other FHLBanks, at least 2/3 of the then existing FHLBanks (including the Bank) execute a Declaration of Automatic Termination concurring that the specific statutory or regulatory change identified in the written notice constitutes an Automatic Termination Event, then the Declaration of Automatic Termination shall be delivered by the Bank to the FHFA within 10 calendar days of the date that the Declaration of Automatic Termination is executed. After the expiration of a 60 calendar day period that begins when the Declaration of Automatic Termination is delivered to the FHFA, an Automatic Termination Event Declaration Date shall be deemed to occur (except as provided in subsection 6.4.1.3).

After the expiration of a 60 calendar day period that begins when the Declaration of Automatic Termination is delivered to the FHFA by another FHLBank pursuant to the terms of its capital plan, an Automatic Termination Event Declaration Date shall also be deemed to occur (except as provided in subsection 6.4.1.3).

If a Declaration of Automatic Termination concurring that the specific statutory or regulatory change identified in the written notice constitutes an Automatic Termination Event has not been executed by at least the required 2/3 of the then existing FHLBanks within 60 calendar days of transmission of such notice to all of the other FHLBanks, the

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Federal Home Loan Bank of Dallas Capital Plan:

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Bank may request a determination from the FHFA that the specific statutory or regulatory change constitutes an Automatic Termination Event. Such request must be filed with the FHFA within 10 calendar days after the expiration of the 60 calendar day period that begins upon transmission of the written notice of the basis of the assertion to all of the other FHLBanks.

6.4.1.2    Action by FHFA

The Bank may request a determination from the FHFA that a specific statutory or regulatory change constitutes an Automatic Termination Event, and may claim that an Automatic Termination Event has occurred, or will occur, with respect to a specific statutory or regulatory change only if the Bank has complied with the time limitations and procedures of subsection 6.4.1.1.

If within 60 calendar days after the Bank delivers such request to the FHFA, or a similar request is delivered by another FHLBank pursuant to its capital plan, the FHFA provides the requesting FHLBank with a written determination that a specific statutory or regulatory change is an Automatic Termination Event, then an Automatic Termination Event Declaration Date shall be deemed to occur as of the expiration of such 60 calendar day period (except as provided in subsection 6.4.1.3). The date of such Automatic Termination Event Declaration Date shall be as of the expiration of such 60 calendar day period (except as provided in subsection 6.4.1.3) no matter on which day prior to the expiration of the 60 day calendar period the FHFA has provided its written determination.

If the FHFA fails to make a determination within 60 calendar days after an FHLBank delivers such request to the FHFA, then an Automatic Termination Event Declaration Date shall be deemed to occur as of the date of the expiration of such 60 calendar day period (except as provided in subsection 6.4.1.3); provided, however, that the FHFA may make a written request for information from that FHLBank, and toll such 60 calendar day period from the date that the FHFA transmits its request until that FHLBank delivers to the FHFA information responsive to its request.

If within 60 calendar days after that FHLBank delivers to the FHFA a request for determination that a specific statutory or regulatory change constitutes an Automatic Termination Event (or such longer period if the 60 calendar day period is tolled pursuant to the preceding sentence), the FHFA provides that FHLBank with a written determination that a specific statutory or regulatory change is not an Automatic Termination Event, then an Automatic Termination Event shall not have occurred with respect to such change.

6.4.1.3    Proviso as to Occurrence of Automatic Termination Event Declaration Date

In no case under this subsection 6.4.1 may an Automatic Termination Event Declaration Date be deemed to occur prior to: (1) the date the specific statutory change takes effect; or (2) the date an interim final rule or final rule effecting the specific regulatory change is published in the Federal Register.

6.4.2    Notice of Voluntary Termination.

If the FHLBanks terminate the Agreement, then the FHLBanks shall provide written notice

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to the FHFA that the FHLBanks have voted to terminate the Agreement.

6.4.3    Consequences of an Automatic Termination Event or Vote to Terminate the     Agreement.

6.4.3.1    Consequences of Voluntary Termination

In the event the FHLBanks deliver written notice to the FHFA that the FHLBanks have voted to terminate the Agreement, then without any further action by the Bank or the FHFA: (i) the date of delivery of such notice shall be an Allocation Termination Date; and (ii) one year from the date of delivery of such notice shall be a Restriction Termination Date.

6.4.3.2    Consequences of an Automatic Termination Event Declaration Date

If an Automatic Termination Event Declaration Date has occurred, then without further action by the Bank or the FHFA: (i) the date of the Automatic Termination Event Declaration Date shall be an Allocation Termination Date; and (ii) one year from the date of the Automatic Termination Event Declaration Date shall be a Restriction Termination Date.

6.4.4.4    Deletion of Operative Provisions of Retained Earnings Capital Plan Amendment

Without any further action by the Bank or the FHFA, on the Restriction Termination Date, sections 6.1 through 6.4 of this Capital Plan shall be deleted.

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EX-4.2

Exhibit 4.2

DESCRIPTION OF REGISTRANT’S SECURITIES

As of December 31, 2021, the Federal Home Loan Bank of Dallas (“the Bank”) has one class of securities, Class B stock, which is registered with the Securities and Exchange Commission under Section 12(g) of the Securities Exchange Act of 1934.

DESCRIPTION OF CLASS B STOCK

The Bank’s Capital Plan, which was amended and revised as of June 17, 2021 and approved by the Federal Housing Finance Agency (the “Finance Agency”) on November 9, 2021, sets forth the capital structure of the Bank. The following description of the Bank’s Class B Stock is qualified in its entirety by reference to the Bank’s organization certificate, bylaws and Capital Plan, each of which is either filed or incorporated by reference as an exhibit to the Bank’s 2021 Annual Report on Form 10-K.

General

The Bank is a cooperative and all of its outstanding capital stock is owned by its members or, in some cases, by non-member institutions that acquire stock by virtue of acquiring member , by a federal or state agency or insurer acting as a receiver of a closed institution, or by former members of the Bank that retain capital stock to support advances or other extensions of credit that remain outstanding or until any applicable stock redemption or withdrawal notice period expires. All of the Bank’s members are financial institutions; no individual may own any of the Bank’s capital stock.

Under the Bank’s Capital Plan, each member is required to maintain a minimum investment in Class B stock of the Bank. Each member’s minimum stock investment requirement is equal to the sum of a “membership” investment requirement and an “activity-based” investment requirement. The Bank has two sub-classes of Class B stock. Class B-1 Stock is used to meet a shareholder’s membership investment requirement and Class B-2 Stock is used to meet a shareholder’s activity-based investment requirement. Daily, subject to the limitations in the Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement. All shares of stock held in excess of a shareholder’s minimum investment requirement (“Excess Stock”) is held as Class B-1 Stock at all times.

Transfer of Class B Stock

The Bank’s capital stock is not publicly traded, nor is there an established market for the stock. The Bank’s capital stock has a par value of $100 per share and it may be purchased, redeemed, repurchased and transferred only at its par value. By regulation, the parties to a transaction involving the Bank’s stock can include only the Bank and its member institutions (or non-member institutions or former members, as described above). While a member could transfer stock to another member of the Bank, such transfer could occur only upon approval of the Bank and then only at par value.

Voting Rights

Members’ voting rights are exercised in connection with the election of directors, approval of a proposed merger with another Federal Home Loan Bank (“FHLBank”), and such other matters as are authorized or required by the Federal Home Loan Bank Act, as amended (the “Bank Act”), and the governing regulations of the Finance Agency or any predecessor or successor. For purposes of voting rights, all shares of Class B Stock regardless of sub-class are treated the same.

In accordance with the Bank Act and the governing regulations, the Finance Agency annually designates member director seats by state and independent director seats for at-large election. Each member is entitled to vote in the election of member directors representing the state in which the member is located, and in the election of all independent directors. In each such director election, each member is entitled to cast one vote for each share of capital stock that the member was required to hold as of the immediately preceding December 31, except that no

member may cast a number of votes greater than the average number of shares of capital stock required to be held by all members in its state as of the preceding December 31. Shares of capital stock held by members that were Excess Stock as of the preceding December 31 do not convey voting rights in the election of directors.

If any member's actual holdings of capital stock are less than the applicable minimum investment requirement on the preceding December 31, the number of shares eligible to be voted is based on the number of shares of capital stock actually held by that member as of the preceding December 31.

There is no cumulative voting.

Dividends

The Bank is permitted by statute and regulation to pay dividends on members’ capital stock either in cash or capital stock only from previously retained earnings or a portion of current net earnings. The Bank’s Board of Directors may not declare or pay a dividend based on projected or anticipated earnings, nor may it declare or pay a dividend if the Bank is not in compliance with its minimum capital requirements or if the Bank would fail to meet its minimum capital requirements after paying such dividend. The Bank is prohibited from paying dividends if the principal or interest on any consolidated obligations issued on behalf of any FHLBank through the Office of Finance have not been paid in full when due or if the Bank is a noncomplying FHLBank under Finance Agency regulations as a result of its inability to comply with statutory or regulatory liquidity requirements or to satisfy its current obligations. In addition, the Bank may not declare or pay any dividends in the form of capital stock if excess stock held by its shareholders is greater than one percent of the Bank’s total assets or if, after the issuance of such shares, excess stock held by its shareholders would be greater than one percent of the Bank’s total assets. Further, under the terms of the Amended Joint Capital Enhancement Agreement (“the Amended JCE Agreement”) by and among each of the FHLBanks, the Bank is required to allocate at least 20 percent of its net income to a restricted retained earnings account (“RRE Account”) until such time that the RRE Account balance is equal to one percent of its total outstanding consolidated obligations, as defined in the Amended JCE agreement. The Amended JCE Agreement provides that during periods in which the Bank’s RRE Account is less than the amount prescribed in the preceding sentence, it may pay dividends only from unrestricted retained earnings or from the portion of its net income that exceeds the amount required to be allocated to its RRE Account. In light of these requirements, dividends may be limited or prohibited in some circumstances.

Shares of capital stock issued as dividend payments have the same rights, obligations, and restrictions as all other shares of capital stock, including rights, privileges, and restrictions related to the repurchase and redemption of capital stock. To the extent such shares represent excess stock, they may be repurchased or redeemed by the Bank in accordance with the provisions of the Bank’s Capital Plan.

The Board of Directors may declare dividends to be paid on Class B Stock on a quarterly basis or otherwise as it determines in its discretion. Dividend payments may be made in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors. Each member will be entitled to receive dividends on all Class B Stock held during the applicable period for the period of time that the member owns the Class B Stock. Dividends are non-cumulative with respect to payment obligation. A member that has provided a withdrawal notice, or whose membership is otherwise terminated, will continue to receive dividends on its Class B Stock as long as the institution or its successor owns Class B Stock.

The Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock; provided that, in no event will the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock. Except as otherwise provided in the Bank’s Capital Plan or by regulation or statute, the Bank’s Board of Directors has sole discretion to determine the amount, form, frequency and timing of dividend payments.

Liquidation, Merger or Consolidation

In accordance with the Bank Act, the retained earnings, surplus, undivided profits and equity reserves, if any, of the Bank are owned by the holders of Class B Stock in proportion to each holder’s share of the total outstanding shares of Class B Stock. Holders of Class B Stock have no right to receive any portion of the retained earnings, surplus, undivided profits and equity reserves, if any, of the Bank except through the declaration of a dividend or capital distribution approved by the Board of Directors, or upon liquidation of the Bank. In the event of a liquidation of the

Bank, and subject to the authority of the Finance Agency governing liquidations, after payment of the Bank’s liabilities, the holders of Class B Stock will receive par value for their Class B Stock, provided that if funds are insufficient to make payment in full on all of the Class B Stock, the payment will occur on a pro rata basis. In addition, any undistributed retained earnings, paid-in surplus, undivided profits, equity reserves, and other assets not otherwise identified will be allocated among the holders of Class B Stock in proportion to the number of shares of Class B Stock owned by each such holder. None of the shares of Class B stock has any right of preference in liquidation.

In the event the Bank is merged or consolidated into another FHLBank, the holders of the outstanding Class B Stock of the Bank will be entitled to the rights and benefits set forth in any applicable plan of merger and/or terms established or approved by the Finance Agency. In the event another FHLBank is merged or consolidated into the Bank, the holders of the outstanding capital stock of the other FHLBank will be entitled to the rights and benefits set forth in any applicable plan of merger and/or terms established or approved by the Finance Agency.

Redemption and Repurchase of Class B Stock

Redemption Upon Application by the Member

Subject to the limitations in the Bank’s Capital Plan, Class B Stock is redeemable for cash at par value with five year’s prior written notice provided by the member to the Bank. A member may request redemption of Class B Stock by providing a written stock redemption notice to the Bank indicating the number of shares of Class B Stock to be redeemed and the date(s) those shares were issued to the member, or by submitting a membership withdrawal notice. If the redemption notice fails to properly identify the particular shares to be redeemed, the member shall be deemed to have requested redemption of the most recently issued shares that are not already subject to a pending redemption request. The five-year stock redemption notice period will commence upon receipt by the Bank of the written stock redemption or withdrawal notice.

At the expiration of the five-year period following receipt by the Bank of the stock redemption or withdrawal notice, the Bank will pay the stated par value of the Class B Stock covered by the stock redemption notice to the member in cash to the extent the Bank determines that the Class B Stock is Excess Stock, as determined in accordance with the minimum investment requirements in effect at the end of the redemption notice period. All shares of Class B Stock that are acquired by the Bank pursuant to redemption or repurchase transactions will be retired.

A member that has previously notified the Bank in writing of its intent to redeem some or all of its Class B Stock may cancel the stock redemption notice for all or a portion of the shares of Class B Stock subject to the stock redemption notice prior to the expiration of the redemption notice period by providing a written redemption cancellation notice to the Bank. A member may rescind a redemption cancellation notice by providing written notice to the Bank within 30 days of the original redemption cancellation notice. A member that cancels a stock redemption notice more than 30 days after it is received by the Bank and prior to its expiration will be subject to a redemption cancellation fee calculated as a percentage of the par value of the shares of Class B Stock subject to the redemption cancellation notice.

Repurchase Initiated by the Bank

The Bank in its sole discretion may repurchase Excess Stock from time to time without regard to the five-year redemption notice period. Excess Stock repurchases may be initiated by the Bank or requested by members, and are subject to limitations contained in the Bank’s Capital Plan. The decision to repurchase Excess Stock rests solely with the Bank and cannot be compelled by a member.

Upon 15 days’ written notice, the Bank may initiate the repurchase of any amount of members' Excess Stock. The Bank will determine the criteria for Excess Stock repurchases from time to time, and will apply the repurchase criteria equally and without discrimination to all members. If the Bank initiates the repurchase of an amount of all members’ Excess Stock, then for each member the Bank will repurchase shares of Class B-1 Stock that are Excess Stock until the designated total repurchase amount is repurchased. Pursuant to an application submitted by a member to the Bank in writing or in such other form as the Bank may designate from time to time, the Bank may repurchase Class B Stock that the Bank determines to be Excess Stock.

Unless the Bank is notified by a member otherwise in writing on or prior to the date of a Class B Stock repurchase transaction, repurchases of Excess Stock will automatically reduce the amount of Class B Stock subject to any

outstanding stock redemption or withdrawal notices by the amount of Class B Stock repurchased. If a member has more than one stock redemption and / or withdrawal notice outstanding, this reduction will be applied first to the most recently received stock redemption or withdrawal notice.

Termination of Membership

The Board of Directors may terminate membership of an institution that (a) has not complied with any provision of the Capital Plan or the Bank Act or the governing regulations, (b) has become insolvent or (c) would jeopardize the safety and soundness of the Bank if it were to remain a member. In such an event, membership terminates as of the date the Board of Directors acts, and the institution loses all its membership rights except the right to receive dividends until its Class B Stock is redeemed.

In addition, an institution’s membership may be terminated (i) by operation of law if it is the non-surviving entity in a consolidation or merger with a non-member, another member of the Bank, or an institution outside the Bank’s district, or (ii) if it relocates outside the Bank’s district. If two or more members consolidate into one institution, the Class B Stock of the disappearing member(s) transfers to the surviving member and is allocated as appropriate to that member’s stock accounts. If a member consolidates with and into a member of another FHLBank, the disappearing member’s membership generally terminates when its charter is cancelled. Similarly, if a member consolidates with and into an institution that is not a member of any FHLBank, the member’s membership terminates when its charter is cancelled, unless the surviving institution applies to become, and is accepted as, a member of the Bank.

At the time of a termination, the Bank will repurchase any Excess Stock at par value. The Bank may not redeem or repurchase any of the terminating member’s Class B Stock that is required to support remaining indebtedness to or business transactions with the Bank.

Limitations on Redemption and Repurchase

The Bank will not redeem or repurchase Class B Stock without the prior written approval of the Finance Agency if the Finance Agency or the Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank.

The Bank will not redeem or repurchase Class B Stock if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement.

In accordance with the regulations, the Bank's Board of Directors may suspend redemption of Class B Stock if the Bank reasonably believes that continued redemption of Class B Stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner. In accordance with the regulations, the Bank will not repurchase any Class B Stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of Class B Stock.

If at any time the Bank determines that the total amount of Class B Stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of Class B Stock the Bank could redeem and still comply with its minimum capital requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank.

Modification of Rights of Holders

Both the Bank’s Board of Directors and the Finance Agency must approve any amendments to the Capital Plan. Members’ consent is not required to amend the Capital Plan. The Bank is subject to the Bank Act and the regulations, orders, directives and guidance adopted by the Finance Agency. From time to time, Congress has amended the Bank Act, and the Finance Agency has amended its regulations or issued orders, directives or guidance in ways that have significantly affected the rights and obligations of the Bank and its members. It is possible that

legislative or regulatory changes in the future could further modify the rights and/or obligations of the Bank and its members.

EX-10.23

Exhibit 10.23

FEDERAL HOME LOAN BANK OF DALLAS

2022 EXECUTIVE INCENTIVE PLAN

FEDERAL HOME LOAN BANK OF DALLAS

2022 EXECUTIVE INCENTIVE PLAN

TABLE OF CONTENTS

		PAGE
Article I INTRODUCTION		1
Section 1.1	Purpose	1
Section 1.2	Effective Date	1
Section 1.3	Administration	1
Section 1.4	Supplements	1
Section 1.5	Definitions	1
Article II PARTICIPATION		2
Section 2.1	Eligibility and Participation.	2
Article III AWARDS		2
Section 3.1	Awards	2
Section 3.2	Performance Goals	3
Section 3.3	Earning and Vesting of Awards for Participants	4
Section 3.4	Effect of Termination of Service	4
Section 3.5	Effect of Reorganization	7
Section 3.6	Payment of Awards	8
Section 3.7	Reduction or Forfeiture of Awards	9
Article IV ADMINISTRATION		9
Section 4.1	Appointment of the Committee	9
Section 4.2	Powers and Responsibilities of the Committee	10
Section 4.3	Income and Employment Tax Withholding	10
Section 4.4	Plan Expenses	10
Article V BENEFIT CLAIMS		10
Article VI AMENDMENT AND TERMINATION OF THE PLAN		11
Section 6.1	Amendment of the Plan	11
Section 6.2	Termination of the Plan	11
Article VII MISCELLANEOUS		11
Section 7.1	Governing Law	11
Section 7.2	Headings and Gender	11
Section 7.3	Spendthrift Clause	11
Section 7.4	Counterparts	11

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Section 7.5	No Enlargement of Employment Rights	11
Section 7.6	Limitations on Liability	12
Section 7.7	Incapacity of Participant	12
Section 7.8	Evidence	12
Section 7.9	Action by Bank	12
Section 7.10	Severability	12
Section 7.11	Information to be Furnished by a Participant	12
Section 7.12	Binding on Successors	13
APPENDIX I 2022 Performance Period AWARDS & GOALS		1

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ARTICLE IINTRODUCTION

Section 1.1Purpose. The purpose of the Federal Home Loan Bank of Dallas 2022 Executive Incentive Plan (the “Plan”) is to attract, retain and motivate executive officers of the Federal Home Loan Bank of Dallas (the “Bank”) and to focus their efforts on achieving the Bank’s business goals while maintaining the Bank’s safety and soundness. The Plan is a cash-based incentive plan that provides award opportunities based on achievement of specified performance goals.

Section 1.2Effective Date. The “Effective Date” of the Plan is January 1, 2022.

Section 1.3Administration. The Plan will be administered by the Compensation & Human Resources Committee (the “Committee”) of the Bank’s Board of Directors (the “Board”). The Committee, from time to time, may adopt any rules and procedures it deems necessary or desirable for the proper and efficient administration of the Plan that are consistent with the terms of the Plan. Any notice or document required to be given or filed with the Committee will be properly given or filed if delivered to or mailed by registered mail, postage paid, to the General Counsel, Federal Home Loan Bank of Dallas, 8500 Freeport Parkway South, Suite 100, Irving, TX 75063.

Section 1.4Supplements. The provisions of the Plan may be modified by supplements to the Plan only if in writing and approved by the Board. The terms and provisions of each supplement are a part of the Plan and supersede any other provisions of the Plan to the extent necessary to eliminate any inconsistencies between the supplement and any other Plan provisions.

Section 1.5Definitions. The following terms are defined in the Plan in the following Sections:

Term	Plan Sections
Current Award	3.3(a)
Annual Award	3.1
Bank	1.1
Board	1.3
Committee	1.3
Deferral Performance Period	3.1
Deferred Award	3.3(b)
Disability	3.4(f)(i)
Effective Date	1.2

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Extraordinary Occurrences	3.1(c)
Good Reason	3.4(f)(v)
FHFA	3.5(b)
Award Payments	3.1(c)
Participant	2.1
Stretch	3.2(b)(iii)
Performance Goals	3.2
Performance Period	3.1
Plan	1.1
Reduction in Force	3.4(f)(ii)
Reorganization	3.5(b)
Retirement	3.4(f)(iii)
Target	3.2(b)(ii)
Termination of Service	3.4(f)(iv)
Threshold	3.2(b)(i)

ARTICLE IIPARTICIPATION

Section 2.1Eligibility and Participation. Participation in the Plan is limited to those officers of the Bank that are voting members of the Executive Management Committee, each a Participant in the plan.

ARTICLE IIIAWARDS

Section 3.1Awards. At the beginning of the Performance Period, the Board will make an “Annual Award” to eligible Participants. As described in this Article, the Annual Award will be divided into a Current Award (as defined in subsection 3.3(a)) and a Deferred Award (as defined in subsection 3.3(b)). The Annual Award will be equal to a percentage of the Participant’s annual base salary for 2022, as set forth in Appendix I to the Plan. The “Performance Period” is the one-calendar year period over which the Current Award can be earned and vested pursuant to subsection 3.3(a). Under the Plan, the Performance Period begins on January 1, 2022 and ends on December 31, 2022. The “Deferral Performance Period” is the three-calendar year period over which the Deferred Award can be earned and vested pursuant to subsection 3.3(b). Under the Plan, the Deferral Performance Period begins on January 1, 2023 and ends on December 31, 2025.

(a)    Award Notification. Participants will be notified by the Bank of the Annual Awards.

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(b)    Award Levels. Participants will receive Annual Awards for the Performance Period based on their position with the Bank as described in Appendix I to the Plan.

(c)    Award Payments. Award Payments are the amount of an earned and vested Current Award and Deferred Award that are ultimately paid to a Participant based upon the level at which the Performance Goals applicable to those awards have been achieved. The Board, in its discretion, may consider Extraordinary Occurrences when assessing performance results and determining Award Payments. “Extraordinary Occurrences” mean those events that, in the opinion and discretion of the Board, are outside the significant influence of the Participant or the Bank and are likely to have a significant unanticipated effect, whether positive or negative, on the Bank’s operating and/or financial results.

Section 3.2Performance Goals. “Performance Goals” are the performance factors established by the Board for the Performance Period and the Deferral Performance Period as set forth in Appendix I to the Plan, which are taken into consideration in determining the value the Current Award and the Deferred Award. The Board may adjust the Performance Goals to ensure the purposes of the Plan are served.

(a)    Establishment of Performance Goals. Performance Goals for the Performance Period and the Deferral Performance Period will be communicated to Participants after they have been established by the Board.

(b)    Achievement Level. Three achievement levels will be defined for each Performance Goal in determining how much of an Annual Award is earned.

(i)    Threshold. The “Threshold” achievement level is the minimum achievement level accepted for a Performance Goal.

(ii)    Target. The “Target” achievement level is aligned to satisfactory business results.

(iii)    Stretch. The “Stretch” achievement level is achievement that substantially exceeds the Target achievement level.

(c)    Interpolation. Achievement levels between Threshold and Target and between Target and Stretch will be interpolated in a consistent manner as determined by the Committee.

(d)    Considerations in Establishing Performance Goals. In determining appropriate Performance Goals and the relative weight assigned to each Performance Goal, the Committee will:

(i)    Balance risk and financial results in a manner that does not encourage Participants to expose the Bank to imprudent risks;

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(ii)    Make such determination in a manner designed to ensure that Participants’ overall compensation is balanced and not excessive in amount and that the Current Awards and Deferred Awards are consistent with the Bank’s policies and procedures regarding such compensation arrangements; and

(iii)    Monitor the success of the Performance Goals and weighting established in prior years and make appropriate adjustments in future calendar years as needed so that payments appropriately incentivize Participants, appropriately reflect risk and align with regulatory guidance.

Section 3.3Earning and Vesting of Awards for Participants.

(a)    Earning and Vesting of Current Awards. Fifty percent of the Annual Award will become earned and vested on the last day of the Performance Period (i.e., December 31, 2022), provided the following requirements are met (the “Current Award”):

(i)    The applicable Performance Goals for the Performance Period are satisfied;

(ii)    The Participant received a performance rating for the Performance Period of at least “Solid Performance” in their individual performance rating; and

(iii)    The Participant is actively employed on the last day of the Performance Period, unless otherwise provided in subsection 3.4(b), 3.4(c), 3.4(d) or 3.4(e) or Section 3.5.

(b)    Earning and Vesting of Deferred Awards. The remaining 50 percent of the Annual Award will become earned and vested on the last day of the Deferral Performance Period (i.e., December 31, 2025), provided the following requirements are met (the “Deferred Award”):

(i)    The applicable Performance Goals for the Deferral Performance Period are satisfied;

(ii)    The Participant received at least a “Solid Performance” performance rating for the final year of the Deferral Performance Period; and

(iii)    The Participant is actively employed on the last day of the Deferral Performance Period, unless otherwise provided in subsection 3.4(b), 3.4(c), 3.4(d) or 3.4(e) or Section 3.5.

(c)    Calculation of Awards. Current Awards and Deferred Awards will be calculated in accordance with Appendix I to the Plan.

Section 3.4Effect of Termination of Service.

(a)    In General. If a Participant incurs a Termination of Service for any reason other than a reason set forth in subsection 3.4(b), 3.4(c), 3.4(d) or 3.4(e) or Section 3.5,

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the Participant’s unvested Current Award and/or Deferred Award will be forfeited effective as of the date of such Termination of Service.

(b)    Termination Due to Death or Disability.

(i)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service due to death or Disability during the Deferral Performance Period, then the Participant’s Deferred Award will be treated as earned and vested based on the assumption the Bank would have achieved the applicable Performance Goals for the Deferral Performance Period.

(ii)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Performance Period due to death or Disability, any Current Award which has not been earned and vested for the year of the Participant’s Termination of Service due to death or Disability, will be treated as earned and vested for the portion of the Performance Period during which the Participant was employed based on the assumption the Bank would have achieved the Performance Goals at the Target achievement level for the Performance Period.

(c)    Termination Due to a Reduction in Force.

(i)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Performance Period due to a Reduction in Force, any Current Award which has not been earned and vested will be treated as earned and vested for the portion of the Performance Period during which the Participant was employed to the extent the Performance Goals for the Performance Period are satisfied.

(ii)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Deferral Performance Period due to a Reduction in Force, the Deferred Award will be treated as fully earned and vested upon completion of the three-year Deferral Performance Period.

(d)    Termination Due to a Retirement.

(i)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Performance Period due to a Retirement, any Current Award which has not been earned and vested will be treated as earned and vested for the portion of the Performance Period during which the Participant was employed to the extent the Performance Goals for the Performance Period are satisfied.

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(ii)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Deferral Performance Period due to a Retirement, the Deferred Award will be treated as fully earned and vested upon completion of the three-year Deferral Performance Period.

(e)    Termination by Participant for Good Reason.

(i)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Performance Period due to a termination by the Participant for Good Reason, any Current Award which has not been earned and vested will be treated as earned and vested for the portion of the Performance Period during which the Participant was employed to the extent the Performance Goals for the Performance Period are satisfied.

(ii)    Notwithstanding the provisions of Section 3.3 and subsection 3.4(a), if a Participant incurs a Termination of Service during the Deferral Performance Period due to a termination by the Participant for Good Reason, the Deferred Award will be treated as fully earned and vested upon completion of the three-year Deferral Performance Period.

(f)    Definitions.

(i)    “Disability” is defined as per the Bank’s Long-term Disability Plan.

(ii)    “Reduction in Force” means an involuntary termination of service of a Participant pursuant to the Bank’s Reduction in Workforce Policy.

(iii)    “Retirement” means the Participant’s planned and voluntary termination of employment on or after the Participant has attained age 55 with at least ten years of service to the Bank.

(iv)    “Termination of Service” means the occurrence of any act or event or any failure to act, that actually or effectively causes or result in a Participant ceasing, for whatever reason, to be an employee of the Bank, including, but not limited to, death, Disability, Retirement, termination of the Participant’s employment by the Bank (whether for cause or otherwise), termination by the Participant of his or her employment with the Bank for Good Reason and voluntary resignation or termination by the Participant of his or her employment.

(v)    “Good Reason” shall mean the occurrence, without the Participant’s written consent, of any of the following events:

(1)    any material diminution in the Participant’s authority, duties or responsibilities with the Bank;

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(2)    a material reduction by the Bank in the Participant’s incentive compensation award range under the Executive Incentive Plan program, except for an across-the-board reduction similarly affecting substantially all similarly-situated Participants;

(3)    a material reduction in the Participant’s base salary, except for across-the-board salary reductions similarly affecting substantially all similarly-situated Participants;

(4)    the Bank’s requiring the Participant to perform the Participant’s principal services more than 100 miles from the Participant’s place of primary employment on the Effective Date or such other location at which the Participant has later agreed to provide such services; or

(5)    a material breach by the Bank of any material provision of this Plan.

No resignation by a Participant will be treated as a termination for Good Reason unless (x) the Participant has given written notice to the Bank of the Participant’s intention to terminate the Participant’s employment for Good Reason, describing in detail the grounds for such action, no later than thirty (30) calendar days after the first occurrence of such circumstance, (y) the Participant has provided the Bank with at least thirty (30) calendar days in which to cure the circumstance, and (z) if the Bank is not successful in curing the circumstance, the Participant ends employment within thirty (30) calendar days following the conclusion of the cure period in (y). If the Bank informs the Participant that it will not treat the Participant’s resignation as for Good Reason, the Participant may withdraw the resignation and remain employed (provided that the Participant does so before the original notice of resignation becomes effective) or may proceed and dispute the Bank’s decision. Notwithstanding the foregoing, placing of the Participant on administrative leave by the Bank shall not be considered “Good Reason.”

Section 3.5Effect of Reorganization.

(a)    Notwithstanding the provisions of Sections 3.3 and 3.4, if a Reorganization of the Bank occurs, then any portion of the Current Award which has not otherwise become earned and vested will be paid on a pro-rated basis based on the assumption the Bank would have achieved the Performance Goals at the Target achievement level for the Performance Period. If a Reorganization of the Bank occurs during the Deferral Performance Period, then the Deferred Award will be treated as fully earned and vested effective as of the date of the Reorganization based on the assumption the Bank would have achieved the applicable Performance Goals for the Deferral Performance Period. Any interest accrued on the Deferred Award through the Reorganization date will be added to the Deferred Award payment.

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(b)    “Reorganization” of the Bank will mean the occurrence at any time of any of the following events:

(i)    The Bank is merged or consolidated with or reorganized into or with another bank or other entity, or another bank or other entity is merged or consolidated into the Bank;

(ii)    The Bank sells or transfers all, or substantially all of its business and/or assets to another bank or other entity; or

(iii)    The liquidation or dissolution of the Bank.

The term “Reorganization” shall not include any Reorganization that is mandated by federal statute, rule, regulation, or directive, including 12 U.S.C. § 1421, et seq., as amended, and 12 U.S.C. § 4501 et seq., as amended, and which the Director of the Federal Housing Finance Agency (the “FHFA”) (or successor agency) has determined should not be a basis for accelerating vesting under this Plan, by reason of the capital condition of the Bank or because of unsafe or unsound acts, practices, or condition ascertained in the course of the FHFA’s supervision of the Bank or because any of the conditions identified in 12 U.S.C. § 4617(a)(3) are met with respect to the Bank (which conditions do not result solely from the mandated reorganization itself, or from action that the FHFA has required the Bank to take under 12 U.S.C. § 1431(d)).

Section 3.6Payment of Awards.

(a)    Payments Related to Termination of Service. The following provisions apply to awards payable as a result of a Termination of Service.

(i)    In the event of a Termination of Service due to death or Disability, payment of the Current Award or Deferred Award, as applicable, will be made in a single sum within 75 days of the date of Termination of Service.

(ii)    In the event of a Termination of Service due to a Retirement, a termination for Good Reason, or a termination by the Bank due to a Reduction in Force, payment of the Current Award or Deferred Award, as applicable, will be made in a single sum within 75 days following the end of the Performance Period or Deferral Performance Period, as applicable. Notwithstanding the foregoing, in the event of a Reduction in Force or termination for Good Reason, a Participant must execute the severance agreement offered by the Bank in order to be eligible to receive payment.

(b)    Payments Not Related to a Termination of Service. Current Awards and Deferred Awards which become vested for reasons other than a Termination of Service, will be paid in a single sum within 75 days following the end of the Performance Period or Deferral Performance Period, as applicable.

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(c)    Notwithstanding the foregoing provisions of this Section, Current Awards and Deferred Awards will be paid upon approval by the Board, and after review of the calculations by the FHFA. However, in the event of a Reorganization, a Participant's Current Award or Deferred Award, as applicable, will be paid in a single sum on the date on which the Reorganization occurs.

Section 3.7Reduction or Forfeiture of Awards.

(a)    Any Current Award or Deferred Award not yet paid may be reduced or eliminated, if any actual losses or other measures or aspects of performance are realized which would have caused a reduction in the amount of the awards.
NOTE: Executives are responsible for completing employee performance reviews within 45 days of the notification date announced by Human Resources. Failure to adhere to the designated performance review deadline, will result in an Executive being assessed a 10 percent reduction in their final Annual Award.

(b)    Notwithstanding any other provision of the Plan, if during the most recent examination of the Bank by the FHFA, the FHFA identified an unsafe or unsound practice or condition that is material to the financial operation of the Bank within the Participant’s area(s) of responsibility and such unsafe or unsound practice or condition is not subsequently resolved in favor of the Bank, then all of a Participant’s vested and unvested awards under this Plan will be forfeited. Any future payments for a vested award will cease and the Bank will have no further obligation to make such payments.

(c)    By resolution, the Board may reduce or eliminate an award that is otherwise earned under this Plan but not yet paid, if the Board finds that a serious, material safety-soundness problem, or a serious, material risk-management deficiency exists at the Bank, or if: (i) operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (ii) submission of material information to the SEC, Office of Finance, and/or FHFA is significantly past due, or (iii) the Bank fails to make sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings.

ARTICLE IVADMINISTRATION

Section 4.1    Appointment of the Committee. The Committee, or a duly authorized officer or officers of the Bank empowered by the Committee to act on its behalf under subsection 4.2(c), will be responsible for administering the Plan, and the Committee will be charged with the full power and the responsibility for administering the Plan in all its details, provided that the power to determine eligibility pursuant to Article II is reserved to the Board.

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Section 4.2Powers and Responsibilities of the Committee. The Committee will have all powers necessary to administer the Plan, including the power to construe and interpret the Plan document; to decide all questions relating to an individual’s continued eligibility to participate in the Plan; to determine the amount, manner and timing of any distribution of benefits under the Plan; to resolve any claim for benefits in accordance with Article V, and to appoint or employ advisors, including legal counsel, to render advice with respect to any of the Committee’s responsibilities under the Plan. Any construction, interpretation, or application of the Plan by the Committee will be final, conclusive and binding.

(a)    Records and Reports. The Committee, or a duly authorized officer or officers of the Bank empowered by the Committee to act on its behalf under subsection 4.2(c), will be responsible for maintaining sufficient records to determine each Participant’s eligibility to participate in the Plan.

(b)    Rules and Decisions. The Committee may adopt such rules as it deems necessary, desirable, or appropriate in the administration of the Plan. All rules and decisions of the Committee will be applied uniformly and consistently to all Participants in similar circumstances. When making a determination or calculation, the Committee will be entitled to rely upon information furnished by a Participant, the Bank or the legal counsel of the Bank.

(c)    Delegation. The Committee may authorize one or more officers or employees of the Bank to perform administrative responsibilities on its behalf under the Plan. Any such duly authorized officer will have all powers necessary to carry out the administrative duties delegated to such officer by the Committee.

Section 4.3    Income and Employment Tax Withholding. The Bank will withhold from payments to Participants of their Current Award and Deferred Award, to the extent required by law, all applicable federal, state, city and local taxes.

Section 4.4Plan Expenses. The expenses incurred for the administration and maintenance of the Plan will be paid by the Bank.

ARTICLE VBENEFIT CLAIMS

While a Participant need not file a claim to receive his or her benefit under the Plan, if he or she wishes to do so, a claim must be made in writing and filed with the Committee. If a claim is denied, the Committee will furnish the claimant with written notice of its decision. A claimant may request a full and fair review of the denial of a claim for benefits by filing a written request with the Committee.

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ARTICLE VIAMENDMENT AND TERMINATION OF THE PLAN

Section 6.1Amendment of the Plan. The Bank, acting through the Board, may amend the Plan at any time in its sole discretion. Notwithstanding the foregoing, the Bank may not amend the Plan to reduce a Participant’s Annual Award as determined on the day preceding the effective date of the amendment or to otherwise retroactively impair or adversely affect the rights of a Participant.

Section 6.2Termination of the Plan. The Bank, acting through the Board, may terminate the Plan at any time in its sole discretion. Absent an amendment to the contrary, Plan benefits that were earned and vested prior to the termination will be paid at the times and in the manner provided for by the Plan at the time of the termination.

ARTICLE VIIMISCELLANEOUS

Section 7.1Governing Law. Except to the extent superseded by laws of the United States, the laws of Texas will be controlling in all matters relating to the Plan without regard to the choice of law principles therein. The Plan and all awards are intended to comply, and will be construed by the Bank in a manner in which they are exempt from or comply with the applicable provisions of Section 409A of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent there is any conflict between a provision of the Plan or an Annual Award and a provision of Code Section 409A, the applicable provision of Code Section 409A will control.

Section 7.2Headings and Gender. The headings and subheadings in the Plan have been inserted for convenience of reference only and will not affect the construction of the Plan provisions. In any necessary construction, the masculine will include the feminine and the singular the plural, and vice versa.

Section 7.3Spendthrift Clause. No benefit or interest available under the Plan will be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or attachment by creditors of a Participant, either voluntarily or involuntarily.

Section 7.4Counterparts. This Plan may be executed in any number of counterparts, each one constituting but one and the same instrument, and may be sufficiently evidenced by any one counterpart.

Section 7.5No Enlargement of Employment Rights. Nothing contained in the Plan may be construed as a contract of employment between the Bank and any person,

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nor may the Plan be deemed to give any person the right to be retained in the employ of the Bank or limit the right of the Bank to employ or discharge any person with or without cause.

Section 7.6Limitations on Liability. The individual members of the Board will, in accordance with the Bank’s by-laws, be indemnified and held harmless by the Bank with respect to any alleged breach of responsibilities performed or to be performed hereunder. In addition, notwithstanding any other provision of the Plan, neither the Bank nor any individual acting as an employee or agent of the Bank will be liable to a Participant for any claim, loss, liability or expense incurred in connection with the Plan, except when the same has been affirmatively determined by a court order or by the affirmative and binding determination of an arbitrator, to be due to the gross negligence or willful misconduct of that person.

Section 7.7Incapacity of Participant. If any person entitled to receive a distribution under the Plan is physically or mentally incapable of personally receiving and giving a valid receipt for any payment due (unless a prior claim for the distribution has been made by a duly qualified guardian or other legal representative), then, unless and until a claim for the distribution has been made by a duly appointed guardian or other legal representative of the person, the Committee may provide for the distribution to be made to any other individual or institution then contributing toward or providing for the care and maintenance of the person. Any payment made for the benefit of the person under this Section will be a payment for the account of such person and a complete discharge of any liability of the Bank and the Plan.

Section 7.8Evidence. Evidence required of anyone under the Plan may be by certificate, affidavit, document or other information which the person relying on the evidence considers pertinent and reliable, and signed, made or presented by the proper party or parties.

Section 7.9Action by Bank. Any action required of or permitted by the Bank under the Plan will be by resolution of the Board or by a person or persons authorized by resolution of the Board.

Section 7.10Severability. In the event any provisions of the Plan are held to be illegal or invalid for any reason, the illegality or invalidity will not affect the remaining parts of the Plan, and the Plan will be construed and endorsed as if the illegal or invalid provisions had never been contained in the Plan.

Section 7.11Information to be Furnished by a Participant. A Participant, or his or her beneficiary, must furnish the Committee with any and all documents, evidence, data or other information the Committee considers necessary or desirable for the purpose of administering the Plan. Benefit payments under the Plan are conditioned on a Participant (or beneficiary) furnishing full, true and complete data, evidence or other information to the Committee, and on the prompt

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execution of any document reasonably related to the administration of the Plan requested by the Committee.

Section 7.12Binding on Successors. The Plan will be binding upon and inure to the benefit of the Bank and its successors and assigns, and the successors, assigns, designees and estates of a Participant. The Plan will also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank, but nothing in the Plan will preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of a Participant’s rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization or transfer of assets and assumption of Plan obligations of the Bank, the term “Bank” will refer to such other organization and the Plan will continue in full force and effect.

(As revised and approved by the Board of Directors on December 2, 2021.)

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APPENDIX I2022 PERFORMANCE PERIOD AWARDS & GOALS

A.    Incentive Opportunities

	TOTAL INCENTIVE AS % OF 2022 BASE SALARY						CURRENT INCENTIVE AS % OF 2022 BASE SALARY						DEFERRED INCENTIVE AS % OF 2022 BASE SALARY
	Threshold		Target		Maximum		Threshold		Target		Maximum		Threshold		Target		Maximum
CEO	50	%	75	%	100	%	25	%	37.5	%	50	%	25	%	37.5	%	50	%
Tier 1 - SEO	30	%	50	%	70	%	15	%	25	%	35	%	15	%	25	%	35	%
Tier 2 – SEO	30	%	60	%	80	%	15	%	30	%	40	%	15	%	30	%	40	%

B.    2022 Performance Goals

Information in this section of Appendix I relating to individual performance goals has been excluded and will be disclosed in the Registrant’s periodic filing following the completion of the 2022 Performance Period.

C.    Deferred Performance Goals

If the following “Safety and Soundness” Goals are achieved, the deferral is paid in full with an additional annual compounding interest rate of 6% applied to the deferred awards during the Deferral Performance Period: (i) no material risk-management deficiency exists at the Bank; (ii) no operational errors or omissions result in material revisions to the financial results, information submitted to the FHFA, or data used to determine incentive payouts; (iii) no submission of material information to the SEC, Office of Finance, and/or FHFA is significantly past due; (iv) the Bank makes sufficient progress, as determined by the Board, in the timely remediation of significant examination, monitoring and other supervisory findings; and (v) the Bank has sufficient capital to pay dividends and repurchase member stock.

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EX-14.1

Exhibit 14.1

Code of Ethics

for

Financial Professionals

A policy approved by the Board of Directors

Approval date: February 16, 2022

Effective date: December 3, 2021

I. Philosophy

It is the philosophy of the Federal Home Loan Bank of Dallas (“Bank”) that its Financial Professionals conduct business in accordance with the highest ethical standards in order to merit and maintain the complete confidence and trust of its shareholders/customers, the investors in its debt securities and the public at large. Financial Professionals must conduct their personal and business affairs in a manner which does not result in adverse comments or criticism from the public or in any way damage the Bank’s reputation as a responsible organization. The purpose of this Code of Ethics for Financial Professionals (“Code”) is to deter wrongdoing and to promote: (1) honest and ethical conduct; (2) full, fair, accurate, timely and understandable disclosure of financial information; (3) compliance with applicable laws, rules and regulations; (4) the prompt internal reporting of violations of this Code; and (5) accountability for adherence to this Code.

The term “Financial Professionals” refers to the Bank’s Chief Executive Officer (principal executive officer), Chief Financial Officer (principal financial and accounting officer), Controller, Director of Financial Reporting, Director of Investments and Derivatives Accounting, and Director of Corporate Accounting.

The obligations under this Code supplement, but do not replace, either the Code of Conduct and Ethics applicable to all employees of the Bank or the Conflict of Interest Policy adopted by the Board of Directors with respect to the Bank’s Affordable Housing Program.

II. Limits and Controls

Honest and Ethical Conduct

The Bank expects its Financial Professionals to act in an honest and ethical manner, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships. In addition, the Bank expects its Financial Professionals to carry out their responsibilities honestly, in good faith and with integrity, due care and diligence, exercising at all times their best independent judgment. Further, Financial Professionals are strictly prohibited from directly or indirectly taking any action to coerce, manipulate, mislead or fraudulently influence the Bank’s internal or external auditors for the purpose of rendering the Bank’s financial statements misleading.

Full, Fair, Accurate, Timely and Understandable Disclosures

The Bank expects its Financial Professionals to produce (or, as the case may be, assist in producing) full, fair, accurate, timely and understandable disclosure in reports and documents that the Bank files with, or submits to, the Securities and Exchange Commission (“SEC”), the Federal Housing Finance Agency (“FHFA”) and other regulatory agencies and in other public communications of financial information made by the Bank.

Compliance with Applicable Laws, Rules and Regulations

Financial Professionals must comply with the spirit and intent of all applicable laws, rules and regulations of the SEC, FHFA and any other regulatory agencies.

Any waiver of this Code may be made only with the approval of the Board of Directors, acting upon a recommendation from the Audit Committee. Any waiver of this Code involving the Chief Executive Officer or the Chief Financial Officer must be disclosed within four business days to the extent required by law. Any amendment of this Code must be approved by the Board of Directors and thereafter, to the extent required by law, disclosed within four business days. Technical, administrative or other non-substantive amendments to this Code do not require prompt disclosure.

III. Roles and Responsibilities

It is the responsibility of each Financial Professional to be familiar with this Code and the Code of Conduct and Ethics for Employees, and for providing an annual certification of review and compliance with this Code and the Code of Conduct and Ethics for Employees.

Financial Professionals should avoid actual or apparent conflicts of interest. In any case in which a Financial Professional finds himself or herself with an actual or apparent conflict of interest, the Financial Professional must promptly disclose such conflict of interest to the Bank’s General Counsel.

The Bank’s General Counsel shall investigate any reported conflict of interest and will review the transaction or relationship for possible referral to the Audit Committee of the Board of Directors. If the Bank's General Counsel determines that a reported transaction or relationship is in fact a conflict of interest, he or she shall provide a written summary of such conflict of interest to the Audit Committee with all supporting documentation, and the Audit Committee shall review and determine how the situation involving the conflict of interest should be resolved.

Financial Professionals must promptly report any conduct that they believe to be a violation of this Code to the Bank’s General Counsel and cooperate fully in any internal or external investigations of possible violations. Failure to report any conduct that is believed to be a violation of this Code is a violation of this Code. If a Financial Professional wishes to do so, he or she may contact directly the Chairman of the Audit Committee or utilize EthicsPoint, an internet and telephone based system, rather than, or in addition to, contacting the Bank’s General Counsel. The Bank’s General Counsel shall investigate any reported violations (or possible violations) of this Code and shall provide a written summary of his or her findings to the Audit Committee with all supporting documentation. The Audit Committee shall review and determine how any reported violation of this Code should be resolved.

In all cases, if a Financial Professional is unsure about the appropriateness of an event or action, he or she should seek assistance in interpreting the requirements of this Code by contacting the Bank’s General Counsel.

The Director of Human Resources is responsible for the annual review and approval of this Code. The Director of Human Resources will obtain from each Financial Professional an annual certification that he or she: (i) has reviewed the most recent version of this Code and the Code of Conduct and Ethics for Employees; (ii) agrees to be bound by the terms of this Code and the Code of Conduct and Ethics for Employees while employed at the Bank.

IV. Compliance

The Chief Executive Officer and/or the Chief Financial Officer must promptly report to the Audit Committee of the Board of Directors:

•any violation of this Code or of any law, rule or regulation applicable to the Bank, and

•any other matters that could compromise the integrity of the Bank’s financial reports including but not limited to deficiencies in internal controls over financial reporting or disagreements with respect to any material accounting matter.

The Audit Committee of the Board of Directors will assess compliance with this Code, report any violations to the Board of Directors, and make recommendations to the Board of Directors regarding remedial actions after consultation with the Compensation and Human Resources Committee if warranted.

A Financial Professional who violates this Code may be subject to disciplinary action, up to and including immediate termination of employment.

V. Related Policies

Code of Conduct and Ethics for Employees

Affordable Housing Program Conflict of Interest Policy

EX-31.1

Exhibit 31.1

CERTIFICATION

I, Sanjay Bhasin, certify that:

1.I have reviewed this annual report on Form 10-K of the Federal Home Loan Bank of Dallas;

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 officer 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 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, including its consolidated subsidiaries, is made known to us by others within those entities, 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 officer 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: March 23, 2022

/s/ Sanjay Bhasin

Sanjay Bhasin

President and Chief Executive Officer 

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Tom Lewis, certify that:

1.I have reviewed this annual report on Form 10-K of the Federal Home Loan Bank of Dallas;

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 officer 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 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, including its consolidated subsidiaries, is made known to us by others within those entities, 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 officer 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: March 23, 2022

/s/ Tom Lewis

Tom Lewis

Executive Vice President and Chief Financial Officer

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

     In connection with the Annual Report on Form 10-K of the Federal Home Loan Bank of Dallas (the “Bank”) for the period ended December 31, 2021, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), Sanjay Bhasin, as President and Chief Executive Officer of the Bank, and Tom Lewis, as Executive Vice President and Chief Financial Officer of the Bank, each hereby certifies, pursuant to 18 U.S.C. Section 1350, that, to the best of his knowledge:

(1)The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2)The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Bank.

/s/ Sanjay Bhasin	/s/ Tom Lewis
Sanjay Bhasin President and Chief Executive Officer	Tom Lewis Executive Vice President and Chief Financial Officer
March 23, 2022	March 23, 2022

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

EX-99.1

Exhibit 99.1

FEDERAL HOME LOAN BANK OF DALLAS

AUDIT COMMITTEE CHARTER

I.Organization

A.    Membership

The Audit Committee (“Committee”) of the Board of Directors (“Board”) of Federal Home Loan Bank of Dallas (“Bank”) shall consist of at least five Board members, each of whom shall meet the criteria of independence set forth below. Membership on the Committee shall include, to the extent practicable, a balance of representatives from community financial institutions and other members, and independent and member directors (both as defined in the Federal Home Loan Bank Act, 12 U.S.C. 1427). In order to provide continuity and experience, Committee members should serve staggered terms. At least one member of the Committee shall have extensive accounting or related financial management experience. On an annual basis, the Board shall select the members of the Committee, the Committee Chair and Vice Chair in accordance with the Bylaws of the Bank ("Bylaws"). In the Chair's absence, the Vice Chair will serve as Chair of the Committee. In the absence of both the Chair and Vice Chair, a majority of the Committee members present at a Committee meeting will select a member of the Committee to serve as the Chair for the meeting.

Members of the Audit Committee will be considered sufficientlyindependent if they have no disqualifying relationship to the Bank or its management that may interfere with the exercise of their independent judgment from management. Examples of such relationships include, but are not limited to:

a.Being employed by the Bank for the current year or any of the past five years.

b.Accepting any compensation from the Bank other than compensation for Board service.

c.Serving or having served in any of the past five years as a consultant, advisor, promoter, underwriter, or legal counsel of or to the Bank.

d.Being an immediate family member of an individual who is, or has been in any of the past five years, employed as an executive officer of the Bank.

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B.    Meetings and Minutes

The Committee shall meet at least twice annually with both the internal and external auditors. The Committee shall meet in executive session with both the internal and external auditors at least twice annually. Regularly scheduled meetings may be held without notice, but the Committee Chair may direct the giving of five days’ notice of such meetings to the Committee members. The Chair may call additional meetings with at least one day’s prior notice to each Committee member. Such notice will specify the day, time, and place of the meeting, any relevant instructions for participation in the meeting, and the purpose(s) of the meeting. Additional meetings may also be held on any day and at any time and place without prior notice if all members of the Committee are present and two-thirds of the members of the Committee consent to the scheduling of the meeting.

An agendaand written minutes should be prepared for each meeting and a copy forwarded to the Federal Housing Finance Agency. Minutes of Committee meetings will be recorded by the Corporate Secretary or the Corporate Secretary's designee. Minutes should include a summary of all matters discussed in executive session. The Committee’s Chair will report regularly to the Board on the Committee’s activities, and minutes of the Committee’s meetings will be provided to the Board. The quorum and voting requirements for the Committee will be as provided in the Bylaws.

C.    Resources

The members of the Committee will have access to any employees of the Bank. The Committee may conduct or authorize investigations into any matters within the Committee’s scope of responsibilities. The Bank will provide appropriate funding as determined by the Committee for the payment of compensation to the external auditor, to any independent advisors or counsel engaged by the Committee, and for other appropriate administrative expenses of the Committee that are necessary for the Committee to carry out its duties, as determined by the Committee.

II.Mission and Purpose of the Committee

The Board has created the Committee to assist the Board in fulfilling its oversight responsibilities for: (A) the integrity of the Bank’s financial statements; (B) the establishment of adequate control and governance processes; (C) the Bank’s compliance with legal and regulatory requirements; (D) the independent auditors’ qualifications and independence; (E) the performance of the Bank’s internal audit function and independent auditors; and (F) the Bank’s compliance with internal policies and procedures.

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III.Duties and Responsibilities of the Committee

The Committee’s duties and responsibilities are as follows:

Financial Reporting

1.Directing senior management to maintain the reliability and integrity of the Bank’s accounting policies and financial reporting and disclosure practices.

2.Reviewing the basis for the Bank’s financial statements and the external auditors’ opinion rendered with respect to such financial statements (including the nature and extent of any significant changes in accounting principles or their application). This review includes discussions with the external auditors and required communications under AICPA and PCAOB standards.

3.Ensuring that policies are in place that are reasonably designed to achieve disclosure and transparency regarding the Bank’s true financial performance and governance practices.

4.Assessing the impact of new accounting principles or policies promulgated by the accounting profession or proposed by Bank personnel.

5.Reviewing with legal counsel any legal matters that could have a significant impact on the Bank’s financial statements, compliance with applicable laws and regulations and inquiries received from regulators.

6.Prior to public release, reviewing with management and the external auditor and approving the Bank’s annual and quarterly financial statements to be filed with the SEC.

7.Reviewing (a) the Bank’s disclosures under “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and (b) any certifications filed with the SEC by the Bank’s officers regarding the Bank’s financial statements, internal accounting and financial controls and procedures, and disclosure controls and procedures.

8.Recommending to the Board for the Board’s approval the audited financial statements to be included in the annual report on Form 10-K filed with the SEC.

9.Discussing and approving earnings press releases with management prior to their issuance.

10.Overseeing that management establishes, implements, and maintains accounting policies and procedures that are in compliance with applicable law, regulation, guidance, and industry standards, including U.S. GAAP and other applicable reporting and disclosure standards.

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Internal Control and Risk Management

11.Ensuring that senior management has established and is maintaining an adequate internal control system within the Bank by reviewing the Bank’s internal control system and the resolution of any identified material weaknesses or significant deficiencies in the internal control system, including but not limited to the prevention or detection of management override or compromise of the internal control system; evaluating management’s response to audit findings and reports; and reviewing the programs and policies designed to ensure compliance with applicable laws, regulations and policies and monitoring the results of these compliance efforts.

12.Ensuring that risk management systems are effective.

13.Reviewing audit reports and holding discussions with the internal and external auditors, Federal Housing Finance Agency (“Finance Agency”) examiners, and the Bank’s management.

14.Following-up on implementation by management of audit recommendations and other issues tracked by the Internal Audit Department.

Oversight of the Internal Audit Function

15.Selecting, evaluating, and where appropriate replacing the Chief Audit Executive. The Chief Audit Executive may be hired or removed only with the approval of the Audit Committee. The Chief Audit Executive shall report directly to the Audit Committee and is ultimately accountable to the Audit Committee and the Board. The Chief Audit Executive shall report administratively to the President. The Audit Committee shall assess the performance and determine the compensation of the Chief Audit Executive. Evaluations shall be based on audit reports submitted and on discussions with management, the external auditors, and the Finance Agency’s examiners.

16.Reviewing the scope of audit services required, significant accounting policies, significant risks and exposures, audit activities, and audit findings.

17.Determining that no restrictions are imposed upon audit scope.

18.Evaluating and approving the annual audit plan (including any subsequent significant changes), the staffing (including staff experience, professional certifications held, and training received), and the budget for the Internal Audit Department to ensure the department has sufficient resources to accomplish its objectives. In evaluation of the annual audit plan, the Audit Committee shall confirm that the scope of Internal Audit’s activities is appropriate including the extent to which internal auditors review the security for computer systems, facilities, and backup systems.

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19.Annually, reviewing and evaluating the performance of the Internal Audit Department by monitoring the accomplishment of audit goals and objectives.

20.Evaluating and ensuring the independence and objectivity of the internal auditors.

21.Annually, reviewing and approving the charter of the Internal Audit Department.

22.Ensuring the compensation for the Chief Audit Executive and the internal audit staff includes appropriate focus on performance activities rather than the financial performance of the Bank.

23.Meeting periodically with the Chief Audit Executive.

Oversight of the External Audit Function

24. Appointing, retaining, compensating and overseeing the work of the external auditor. Approving the external auditor’s annual engagement letter. The external auditor shall report directly to the Audit Committee.

25.Reviewing and approving the annual audit plan of the external auditors, including approval of the external auditors’ engagement letter. Review of the annual audit plan of the external auditors shall include an evaluation of the extent to which external auditors review the security for computer systems, facilities, and backup systems.

26. Annually, evaluating the performance of the Bank’s external auditors.

27.Determining that no restrictions are imposed upon audit scope.

28.Evaluating the independence of the external auditors and requiring an annual statement of independence from the external auditors.

29.Annually, reviewing the internal quality control procedures of the external auditor, and any material issues raised by the most recent internal quality-control review or peer review or by any governmental or professional inquiry or investigation within the preceding year regarding any audit performed by the independent auditors and any steps taken to deal with such issues.

30.Setting clear hiring policies for employees or former employees of the external auditor and monitoring compliance with such policies.

31.Requiring that the independent auditor rotate the lead partner and the partner responsible for reviewing the audit at least every five years.

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32.Receiving, reviewing and discussing reports from the external auditor on critical accounting policies and practices used, all alternative treatments of financial information within U.S. GAAP relating to material items that have been discussed with management, ramifications of the use of each alternative treatment, and the treatment preferred by the external auditors.

33.Reviewing with the external auditor any difficulties the auditor encountered and management’s response.

34.Ensuring that all audit and non-audit services provided by the external auditors are pre-approved in accordance with the Committee’s Audit and Non-Audit Services Pre-Approval Policy.

35.Approving the appointment, compensation, renewal, termination and oversight of any accounting firm that performs review or attestation services for the Bank.

36.Meeting periodically with the external auditor.

Governance Oversight Responsibilities

37.Monitoring compliance with the Bank’s Code of Conduct and Ethics for Employees, Code of Ethics for Financial Professionals, Anti-Fraud and Anti-Money Laundering Policy, Whistleblower Policy, and the Code of Conduct and Ethics and Conflict of Interest Policy for Directors. Coordinating the investigation of conflicts of interest and unethical conduct with the Chief Audit Executive and General Counsel, including appropriate reporting to the Finance Agency.

38.Reviewing the policies established by senior management to assess and monitor implementation of the Bank’s strategic business plan and the related operating goals and objectives.

39.Conducting or authorizing investigations into any matter within the Audit Committee’s scope of responsibilities. Establishing procedures for (a) the receipt, retention and treatment of complaints received by the Bank regarding accounting, internal controls, or auditing matters, and (b) the confidential anonymous submission by employees of the Bank of concerns regarding questionable accounting or auditing matters.

40.Assuring the Bank has policies in place to notify the Finance Agency of any accounting treatments or policies identified as having significant legal, reputation, or safety and soundness risk with a focus on accounting treatments or policies that do not employ U.S. GAAP or preferred methods.

41.At least annually, reviewing, with appropriate professional assistance, the requirements of laws, rules, regulations and guidelines that are applicable to its activities and duties and providing to the Finance Agency’s Chief Accountant the materials and procedures employed in such review.

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42.Reviewing and approving transactions with related persons as described in the Bank’s Transactions with Related Persons Policy.

43.Reviewing and discussing policies with respect to risk assessment and risk management.

44.Meeting periodically with management of the Bank.

45.Assuring that management provides the Committee with adequate information and reports to carry out its duties and responsibilities.

46.No less frequently than every two years, assessing the need for an independent consultant or accounting firm to conduct an evaluation of one or more accounting policy areas, and reporting the findings to the Board, senior management, and the Finance Agency’s Chief Accountant. If the Audit Committee determines the results of the assessment warrant a targeted evaluation, the Committee should then consider the appropriate form and scope of the engagement (for example, agreed-upon procedures, review, etc).

Reporting Responsibilities

47.Providing an independent, direct channel of communication between the Board and the internal and external auditors. The Chief Audit Executive, internal audit department staff, and external auditors shall have unrestricted access to the Audit Committee without the need for any prior management knowledge or approval. The internal and external auditors will meet periodically with the Committee in executive session without management present.

48.Conducting an annual self-evaluation of the performance of the Committee, including its effectiveness and compliance with this Charter and providing a report to the Board.

General Duties and Responsibilities

49.Reviewing and assessing the adequacy of the Audit Committee Charter not less frequently than annually and, where appropriate, recommending to the Board for its approval changes to such charter.

50.Recommending to the Board that the Board re-adopt the Audit Committee Charter no less often than every three years.

51.Reporting periodically its findings and decisions on various matters to the Board.

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IV.Incidental Authority

The duties and responsibilities set forth above in section III are not meant to be exclusive. The Committee is authorized to carry out the duties and responsibilities set forth in section III and such other duties and responsibilities assigned by the Board of Directors from time to time or required by statute or regulation, and to take any actions incidental to the mandate of this Charter.

V.Subcommittees

The Committee may carry out its work and discharge its duties and responsibilities through such subcommittees as it may from time to time establish.

This Audit Committee Charter was reviewed and adopted by the Board of Directors on June 17, 2021.

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EX-99.2

Exhibit 99.2

Report of the Audit Committee

The 2021 Audit Committee of the Board of Directors of the Federal Home Loan Bank of Dallas (the “Bank”) was comprised of four independent directors and four member directors. Three of the four independent directors were elected by a plurality of the Bank’s members at-large, while the other independent director was elected by the Bank’s Board of Directors to fill a vacancy in an independent directorship. The four member directors were elected by the Bank’s member institutions to represent a particular state in the Bank’s district. The members of the 2021 Audit Committee were Ron G. Wiser (Chairman), Michael C. Hutsell (Vice Chairman), Dorsey L. Baskin, Jr., Tim H. Carter, Mary E. Ceverha, Sally I. Nelson, Robert M. Rigby and Margo S. Scholin.

The Audit Committee assists the Bank’s Board of Directors in fulfilling its oversight responsibilities for: (1) the integrity of the Bank’s financial statements; (2) the establishment of adequate control and governance processes; (3) the Bank’s compliance with legal and regulatory requirements; (4) the independent auditor's qualifications and independence; (5) the performance of the Bank’s internal audit function and independent auditors; and (6) the Bank’s compliance with internal policies and procedures.

The Audit Committee has adopted and is governed by a written charter, which is attached as Exhibit 99.1 to this Annual Report on Form 10-K for the fiscal year ended December 31, 2021.

The 2022 Audit Committee (the “Committee”) has reviewed and discussed the Bank’s 2021 audited financial statements with management. The Committee has discussed with PricewaterhouseCoopers LLP, the Bank's independent auditor for 2021, the matters required to be discussed by PCAOB Auditing Standard No. 1301. The Committee has received the written disclosures and the letter from the independent auditor required by applicable PCAOB requirements regarding the independent auditor’s communications with the Committee concerning independence, and has discussed with the independent auditor the independent auditor’s independence.

Based on the review and discussions referred to above, the Committee recommended to the Bank’s Board of Directors that the 2021 audited financial statements be included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2021.

Members of the 2022 Audit Committee

Ron G. Wiser, Chairman

Michael C. Hutsell, Vice Chairman

Dorsey L. Baskin, Jr.

Tim H. Carter

Mary E. Ceverha

Sally I. Nelson

Robert M. Rigby

Margo S. Scholin

XML

Document and Entity Information Document - USD ($)	12 Months Ended
	Dec. 31, 2021	Mar. 04, 2022	Jun. 30, 2021
Entity Information [Line Items]
Entity Registrant Name	FEDERAL HOME LOAN BANK OF DALLAS
Entity Central Index Key	0001331757
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-K
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	FY
Amendment Flag	false
Entity Common Stock, Shares Outstanding		22,501,374
Common Stock, Value, Outstanding			$ 2,099,000,000.000
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Small Business	false
Entity Public Float			$ 0
Entity Incorporation, State or Country Code	X1
Document Annual Report	true
Document Transition Report	false
Entity File Number	000-51405
Entity Tax Identification Number	71-6013989
Entity Address, Address Line One	8500 Freeport Parkway South, Suite 600
Entity Address, City or Town	Irving,
Entity Address, State or Province	TX
Entity Address, Postal Zip Code	75063-2547
City Area Code	(214)
Local Phone Number	441-8500
ICFR Auditor Attestation Flag	true
Document Period End Date	Dec. 31, 2021
Auditor Location	Dallas, Texas
Auditor Name	PricewaterhouseCoopers LLP
Auditor Firm ID	238

XML

Statements of Condition - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
ASSETS
Cash and due from banks		$ 542,801	$ 3,178,281
Interest-bearing deposits (Notes 8, 9 and 19)		885,745	759,240
Securities purchased under agreements to resell (Notes 8, 9 and 13)		10,650,000	1,000,000
Federal funds sold (Notes 8, 9, 19 and 20)		4,781,000	915,000
Trading securities (Notes 3 and 8)		2,454,870	5,301,468
Available-for-sale securities (a) (Notes 4, 8, 9, 13 and 18) ($529,596 and $737,500 pledged at December 31, 2021 and 2020, respectively, which could be rehypothecated)	[1]	15,288,032	16,787,762
Held-to-maturity securities (b) (Notes 5, 8 and 9)	[2]	593,555	897,226
Advances (Notes 6, 8, 9 and 19)		24,637,464	32,478,944
Mortgage loans held for portfolio, net of allowance for credit losses of $3,124 and $3,925 at December 31, 2021 and 2020, respectively (Notes 7, 8, 9 and 19)		3,491,265	3,422,686
Accrued interest receivable (Note 8)		91,581	106,322
Premises and equipment, net		15,485	14,901
Derivative assets (Notes 13 and 14)		7,077	7,975
Other assets (including $17,574 and $15,839 of securities held at fair value at December 31, 2021 and 2020, respectively)		49,501	42,721
TOTAL ASSETS		63,488,376	64,912,526
Deposits (Notes 10 and 19)
Interest-bearing		1,590,168	1,583,100
Non-interest bearing		20	20
Total deposits		1,590,188	1,583,120
Consolidated obligations (Note 11)
Discount notes		11,003,026	22,171,296
Bonds		44,514,220	37,112,721
Total consolidated obligations		55,517,246	59,284,017
Mandatorily redeemable capital stock (Note 15)		6,657	13,864
Accrued interest payable		73,038	42,039
Affordable Housing Program (Note 12)		60,133	63,153
Derivative liabilities (Notes 13 and 14)		13,956	25,049
Other liabilities (Note 3)		2,293,467	344,399
Total liabilities		59,554,685	61,355,641
Commitments and contingencies (Notes 9,12,14,16 and 18)
Capital (Notes 15 and 19)
Total Class B Capital Stock		2,192,504	2,101,380
Retained earnings
Unrestricted		1,291,656	1,174,359
Restricted		266,761	233,886
Total retained earnings		1,558,417	1,408,245
Accumulated other comprehensive income (Note 21)		182,770	47,260
Total capital		3,933,691	3,556,885
TOTAL LIABILITIES AND CAPITAL		63,488,376	64,912,526
Capital Stock - Class B-1 putable ($100 par value) issued and outstanding shares: 12,818,137 and 9,044,480 at December 31, 2021 and 2020, respectively
Capital (Notes 15 and 19)
Total Class B Capital Stock		1,281,814	904,448
Capital Stock - Class B-2 putable ($100 par value) issued and outstanding shares: 9,106,902 and 11,969,321 at December 31, 2021 and 2020, respectively
Capital (Notes 15 and 19)
Total Class B Capital Stock		$ 910,690	$ 1,196,932

[1] Amortized cost: $15,046,972 and $16,615,401 at December 31, 2021 and 2020, respectively.

[2] Fair values: $606,352 and $908,630 at December 31, 2021 and 2020, respectively.

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Statements of Condition Parenthetical - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
ASSETS
Debt Securities, Held-to-maturity, Fair Value	[1]	$ 606,352	$ 908,630
Debt Securities, Available-for-sale, Amortized Cost	[2]	15,046,972	16,615,401
Other Assets, Fair Value Disclosure		$ 17,574	$ 15,839
CAPITAL (Notes 15 and 19)
Common Stock, Par or Stated Value Per Share		$ 100	$ 100
Capital Stock Class B-1 - Membership/Excess
CAPITAL (Notes 15 and 19)
Common Stock, Shares, Issued		12,818,137	9,044,480
Common Stock, Shares, Outstanding		12,818,137	9,044,480
Common Stock, Par or Stated Value Per Share		$ 100	$ 100
Capital Stock Class B-2 - Activity
CAPITAL (Notes 15 and 19)
Common Stock, Shares, Issued		9,106,902	11,969,321
Common Stock, Shares, Outstanding		9,106,902	11,969,321
Common Stock, Par or Stated Value Per Share		$ 100	$ 100
Available-for-sale Securities [Member]
ASSETS
Derivative, Collateral, Right to Reclaim Securities		$ 529,596	$ 737,500
Conventional Mortgage Loan [Member]
ASSETS
Loans and Leases Receivable, Allowance		$ 3,124	$ 3,925

[1] Fair values: $606,352 and $908,630 at December 31, 2021 and 2020, respectively.

[2] Amortized cost: $15,046,972 and $16,615,401 at December 31, 2021 and 2020, respectively.

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Statements of Income - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
INTEREST INCOME
Advances	$ 119,754	$ 349,082	$ 906,671
Prepayment fees on advances, net	9,812	17,756	2,064
Interest-bearing deposits	1,212	8,940	37,043
Securities purchased under agreements to resell	162	7,688	87,073
Federal funds sold	3,395	8,940	58,435
Trading securities	8,776	63,616	100,875
Available-for-sale securities	151,684	219,190	465,023
Held-to-maturity securities	5,222	13,247	37,629
Mortgage loans held for portfolio	77,667	102,854	110,892
Total interest income	377,684	791,313	1,805,705
Consolidated obligations
Bonds	70,916	277,347	711,240
Discount notes	29,635	198,890	780,165
Deposits	381	4,428	20,167
Mandatorily redeemable capital stock	17	83	189
Other borrowings	(11)	1	113
Total interest expense	100,938	480,749	1,511,874
NET INTEREST INCOME	276,746	310,564	293,831
Provision (reversal) for mortgage loan losses	(801)	585	656
NET INTEREST INCOME AFTER PROVISION (REVERSAL) FOR MORTGAGE LOAN LOSSES	277,547	309,979	293,175
OTHER INCOME (LOSS)
Service fees	2,753	2,467	2,590
Net gains (losses) on trading securities	(10,501)	7,225	12,860
Net gains (losses) on derivatives and hedging activities	(1,252)	2,887	24,687
Net gains on other assets carried at fair value	1,848	1,647	1,964
Realized gains on sales of available-for-sale securities	0	829	852
Letter of credit fees	14,498	14,347	12,437
Other, net	2,897	2,757	930
Total other income	10,243	32,159	56,320
OTHER EXPENSE
Compensation and benefits	55,170	65,087	50,003
Other operating expenses	34,348	36,198	36,141
Finance Agency	6,451	5,304	4,800
Office of Finance	5,433	4,841	4,271
Subsidies, grants and donations	2,907	8,645	476
Derivative clearing fees	838	1,267	1,274
Total other expense	105,147	121,342	96,965
INCOME BEFORE ASSESSMENTS	182,643	220,796	252,530
Affordable Housing Program assessment	18,266	22,087	25,272
NET INCOME	$ 164,377	$ 198,709	$ 227,258

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Statements of Comprehensive Income - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
NET INCOME	$ 164,377	$ 198,709	$ 227,258
OTHER COMPREHENSIVE INCOME (LOSS)
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income	68,699	28,357	26,705
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income	0	(829)	(852)
Unrealized gains (losses) on cash flow hedges	42,418	(96,035)	(54,777)
Reclassification adjustment for losses (gains) on cash flow hedges included in net income	22,345	14,627	(1,829)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	1,917	2,238	2,027
Postretirement benefit plan
Amortization of prior service cost included in net periodic benefit cost	21	20	20
Actuarial gain (loss)	201	(87)	(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)	(80)	(94)
Total other comprehensive income (loss)	135,510	(51,789)	(28,952)
TOTAL COMPREHENSIVE INCOME	$ 299,887	$ 146,920	$ 198,306

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Statements of Capital - USD ($) shares in Thousands, $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Jan. 01, 2020	Jan. 01, 2019
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance	$ 3,556,885	$ 3,797,968	$ 3,764,256
Partial recovery of prior capital distribution to Financing Corporation (Note 15)	0	17,639	0
Proceeds from sale of capital stock	1,459,582	1,314,479	1,549,478
Repurchase/redemption of capital stock	(1,382,401)	(1,656,459)	(1,711,435)
Net shares reclassified to mandatorily redeemable capital stock	(40)	(61,032)	(2,326)
Comprehensive income
Net income	164,377	198,709	227,258
Other comprehensive income (loss)	135,510	(51,789)	(28,952)
Dividends on capital stock
Cash	(222)	(242)	(259)
Mandatorily redeemable capital stock		(197)	(27)
Ending balance	3,933,691	3,556,885	3,797,968
Adjustment to initially apply new credit loss accounting guidance (Note 2) [Member]
Dividends on capital stock
Adjustment to initially apply new accounting guidance				$ (2,191)
Adjustment to initially apply new lease accounting guidance [Member]
Dividends on capital stock
Adjustment to initially apply new accounting guidance					$ (25)
Retained Earnings
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance	1,408,245	1,232,677	1,081,367
Partial recovery of prior capital distribution to Financing Corporation (Note 15)		17,639
Comprehensive income
Net income	164,377	198,709	227,258
Dividends on capital stock
Cash	(222)	(242)	(259)
Mandatorily redeemable capital stock		(197)	(27)
Stock	(13,983)	(38,150)	(75,637)
Ending balance	1,558,417	1,408,245	1,232,677
Retained Earnings | Adjustment to initially apply new credit loss accounting guidance (Note 2) [Member]
Dividends on capital stock
Adjustment to initially apply new accounting guidance				(2,191)
Retained Earnings | Capital Stock Class B-1 - Membership/Excess
Dividends on capital stock
Adjustment to initially apply new accounting guidance					(25)
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance	233,886	194,144	148,692
Comprehensive income
Net income	32,875	39,742	45,452
Dividends on capital stock
Ending balance	266,761	233,886	194,144
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance	1,174,359	1,038,533	932,675
Partial recovery of prior capital distribution to Financing Corporation (Note 15)		17,639
Comprehensive income
Net income	131,502	158,967	181,806
Dividends on capital stock
Cash	(222)	(242)	(259)
Mandatorily redeemable capital stock		(197)	(27)
Stock	(13,983)	(38,150)	(75,637)
Ending balance	1,291,656	1,174,359	1,038,533
Retained Earnings, Unrestricted | Adjustment to initially apply new credit loss accounting guidance (Note 2) [Member]
Dividends on capital stock
Adjustment to initially apply new accounting guidance				$ (2,191)
Retained Earnings, Unrestricted | Adjustment to initially apply new lease accounting guidance [Member]
Dividends on capital stock
Adjustment to initially apply new accounting guidance					$ (25)
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance	47,260	99,049	128,001
Comprehensive income
Other comprehensive income (loss)	135,510	(51,789)	(28,952)
Dividends on capital stock
Ending balance	$ 182,770	$ 47,260	$ 99,049
Parent | Capital Stock Class B-1 - Membership/Excess
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance, shares	9,044	9,794	9,169
Beginning balance	$ 904,448	$ 979,434	$ 916,921
Proceeds from sale of capital stock, shares	217	300	40
Proceeds from sale of capital stock	$ 21,693	$ 29,963	$ 4,026
Net transfers of shares between Class B-1 and Class B-2 Stock, shares	17,241	15,744	16,966
Net transfers of shares between Class B-1 and Class B-2 Stock	$ 1,724,131	$ 1,574,392	$ 1,696,611
Repurchase/redemption of capital stock, shares	(13,824)	(16,565)	(17,114)
Repurchase/redemption of capital stock	$ (1,382,401)	$ (1,656,459)	$ (1,711,435)
Net shares reclassified to mandatorily redeemable capital stock, shares	0	(610)	(23)
Net shares reclassified to mandatorily redeemable capital stock	$ (40)	$ (61,032)	$ (2,326)
Dividends on capital stock
Stock, shares	140	381	756
Stock	$ 13,983	$ 38,150	$ 75,637
Ending balance, shares	12,818	9,044	9,794
Ending balance	$ 1,281,814	$ 904,448	$ 979,434
Parent | Capital Stock Class B-2 - Activity
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Beginning balance, shares	11,969	14,868	16,380
Beginning balance	$ 1,196,932	$ 1,486,808	$ 1,637,967
Proceeds from sale of capital stock, shares	14,379	12,845	15,454
Proceeds from sale of capital stock	$ 1,437,889	$ 1,284,516	$ 1,545,452
Net transfers of shares between Class B-1 and Class B-2 Stock, shares	(17,241)	(15,744)	(16,966)
Net transfers of shares between Class B-1 and Class B-2 Stock	$ (1,724,131)	$ (1,574,392)	$ (1,696,611)
Repurchase/redemption of capital stock, shares	0	0	0
Repurchase/redemption of capital stock	$ 0	$ 0	$ 0
Net shares reclassified to mandatorily redeemable capital stock, shares	0	0	0
Net shares reclassified to mandatorily redeemable capital stock	$ 0	$ 0	$ 0
Dividends on capital stock
Stock, shares	0	0	0
Stock	$ 0	$ 0	$ 0
Ending balance, shares	9,107	11,969	14,868
Ending balance	$ 910,690	$ 1,196,932	$ 1,486,808

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Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
OPERATING ACTIVITIES
Net income	$ 164,377	$ 198,709	$ 227,258
Depreciation and amortization
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans	52,748	7,939	(34,559)
Concessions on consolidated obligations	2,751	9,282	8,269
Premises, equipment and computer software costs	5,194	3,861	4,100
Non-cash interest on mandatorily redeemable capital stock	25	110	201
Provision (reversal) for mortgage loan losses	(801)	585	656
Net losses (gains) on trading securities	10,501	(7,225)	(12,860)
Net change in derivatives and hedging activities	674,460	(778,739)	(686,700)
Net gains on other assets carried at fair value	(1,848)	(1,647)	(1,964)
Gains on sales of available-for-sale securities	0	(829)	(852)
Decrease (increase) in accrued interest receivable	14,745	48,088	(1,401)
Decrease (increase) in other assets	(5,322)	1,990	(5,787)
Increase (decrease) in Affordable Housing Program (AHP) liability	(3,020)	5,906	12,889
Increase (decrease) in accrued interest payable	30,998	(73,316)	(7,589)
Increase (decrease) in other liabilities	(467)	3,412	2,118
Total adjustments	779,964	(780,583)	(723,479)
Net cash provided by (used in) operating activities	944,341	(581,874)	(496,221)
INVESTING ACTIVITIES
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged	(116,927)	601,617	837,278
Net decrease (increase) in securities purchased under agreements to resell	(9,650,000)	3,310,000	1,905,000
Net decrease (increase) in federal funds sold	(3,866,000)	3,590,000	(2,774,000)
Purchases of trading securities held for investment	(10,070,699)	(23,856,123)	(32,770,030)
Proceeds from maturities of trading securities	11,361,650	20,305,475	6,936,550
Proceeds from sales of trading securities	3,493,399	4,019,475	22,237,379
Purchases of available-for-sale securities	0	0	1,254,235
Principal collected on available-for-sale securities	772,428	322,399	463,055
Proceeds from sales of available-for-sale securities	0	605,423	511,194
Purchases of held-to-maturity securities	0	0	(74,433)
Principal collected on held-to-maturity securities	306,469	312,496	333,631
Principal collected on advances	537,732,747	402,583,150	535,464,499
Advances made	(530,230,119)	(397,549,867)	(531,616,062)
Principal collected on mortgage loans held for portfolio	1,257,669	1,543,883	530,739
Purchases of mortgage loans held for portfolio	(1,354,271)	(931,018)	(2,431,776)
Purchases of premises, equipment and computer software	(5,597)	(6,239)	(4,044)
Net cash provided by (used in) investing activities	(369,251)	14,850,671	(1,705,255)
FINANCING ACTIVITIES
Net increase in deposits, including swap collateral held	3,881	303,757	316,386
Net receipts (payments) on derivative contracts with financing elements	76,020	(229,764)	(169,372)
Net proceeds from issuance of consolidated obligations
Discount notes	34,663,059	122,493,870	299,439,428
Bonds	50,151,289	39,912,009	39,250,090
Debt issuance costs	(1,770)	(7,685)	(9,453)
Payments for maturing and retiring consolidated obligations
Discount notes	(45,825,626)	(134,594,531)	(300,795,531)
Bonds	(42,347,110)	(38,609,525)	(35,680,071)
Proceeds from issuance of capital stock	1,459,582	1,314,479	1,549,478
Proceeds from issuance of mandatorily redeemable capital stock	22	0	0
Payments for redemption of mandatorily redeemable capital stock	(7,294)	(54,615)	(2,391)
Payments for repurchase/redemption of capital stock	(1,382,401)	(1,656,459)	(1,711,435)
Partial recovery of prior capital distribution to Financing Corporation (Note 15)	0	17,639	0
Cash dividends paid	(222)	(242)	(259)
Net cash provided by (used in) financing activities	(3,210,570)	(11,111,067)	2,186,870
Net increase (decrease) in cash and cash equivalents	(2,635,480)	3,157,730	(14,606)
Cash and cash equivalents at beginning of the year	3,178,281	20,551	35,157
Cash and cash equivalents at end of the year	542,801	3,178,281	20,551
Supplemental Disclosures
Interest paid	118,806	599,917	1,559,919
AHP payments, net	21,286	16,181	12,383
Stock dividends issued	13,983	38,150	75,637
Dividends paid through issuance of mandatorily redeemable capital stock	0	197	27
Capital stock reclassified to mandatorily redeemable capital stock, net	40	61,032	2,326
Right-of-use assets acquired by lease	$ 77	$ 805	$ 2,539

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Background Information

12 Months Ended

Dec. 31, 2021

Background Information [Abstract]

Nature of Operations [Text Block]

Background Information

The Federal Home Loan Bank of Dallas (the “Bank”), a federally chartered corporation, is one of 11 district Federal Home Loan Banks (each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Federal Home Loan Banks Office of Finance (“Office of Finance”), a joint office of the FHLBanks, the “FHLBank System”) that were created by the Federal Home Loan Bank Act of 1932 (as amended, the “FHLB Act”). The FHLBanks serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The Bank serves eligible financial institutions in Arkansas, Louisiana, Mississippi, New Mexico and Texas (collectively, the Ninth District of the FHLBank System). The Bank provides a readily available, competitively priced source of funds to its member institutions. The Bank is a cooperative whose member institutions own the capital stock of the Bank. Regulated depository institutions and insurance companies engaged in residential housing finance and Community Development Financial Institutions that are certified under the Community Development Banking and Financial Institutions Act of 1994 may apply for membership in the Bank. All members must purchase stock in the Bank. Housing associates, including state and local housing authorities, that meet certain statutory criteria may also borrow from the Bank; while eligible to borrow, housing associates are not members of the Bank and, as such, are not required or allowed to hold capital stock.

The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks and the Office of Finance. The Finance Agency’s stated mission is to ensure that the housing government-sponsored enterprises ("GSEs"), including the FHLBanks, operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Consistent with this mission, the Finance Agency establishes policies and regulations covering the operations of the FHLBanks. Each FHLBank operates as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits.

The Office of Finance facilitates the issuance and servicing of the FHLBanks’ debt instruments (known as consolidated obligations). As provided by the FHLB Act and Finance Agency regulation, the FHLBanks’ consolidated obligations are backed only by the financial resources of all 11 FHLBanks. Consolidated obligations are the joint and several obligations of all the FHLBanks and are the FHLBanks’ primary source of funds. Deposits, other borrowings, and the proceeds from capital stock issued to members provide other funds. The Bank primarily uses these funds to provide loans (known as advances) to its members, to purchase single-family mortgage loans from its members, and to fund other investments. The Bank’s credit services also include letters of credit issued or confirmed on behalf of members; in addition, the Bank offers interest rate swaps, caps and floors to its members. Further, the Bank provides its members with a variety of correspondent banking services, including overnight and term deposit accounts, wire transfer services, securities safekeeping and securities pledging services.

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Summary of Significant Accounting Policies

12 Months Ended

Dec. 31, 2021

Significant Accounting Policies [Abstract]

Significant Accounting Policies [Text Block]

Summary of Significant Accounting Policies

     Use of Estimates and Assumptions. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

     Federal Funds Sold, Securities Purchased Under Agreements to Resell, Loans to Other FHLBanks and Interest-Bearing Deposits. These investments are carried at cost. Substantially all of the Bank's interest-bearing deposits are over the FDIC insurance limit.

     Investment Securities. The Bank records investment securities on trade date. The Bank carries investment securities for which it has both the ability and intent to hold to maturity (held-to-maturity securities) at cost, adjusted for the amortization of premiums and accretion of discounts. The carrying amount of held-to-maturity securities is further adjusted for any other-than-temporary impairment charges that were recorded on or before December 31, 2019, as described below.

The Bank classifies certain investment securities that it may sell before maturity as available-for-sale and carries them at fair value. For available-for-sale securities that have been hedged (with fixed-for-floating interest rate swaps) and qualify as fair value hedges, the Bank records the portion of the change in value related to the risk being hedged, together with the related change in the fair value of the derivative, in earnings. The Bank records the remainder of the change in value of the securities in other comprehensive income as “net unrealized gains (losses) on available-for-sale securities.”

The Bank classifies certain other investments as trading and carries them at fair value. The Bank records changes in the fair value of these investments in other income (loss) in the statements of income. Although the securities are classified as trading, the Bank does not engage in speculative trading practices.

The Bank computes the amortization and accretion of premiums and discounts on mortgage-backed securities ("MBS") for which prepayments are probable and reasonably estimable using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank computes the amortization and accretion of premiums and discounts on all other investment securities using the level-yield method to the contractual maturity of the securities.

The Bank computes gains and losses on sales of investment securities using the specific identification method and includes these gains and losses in other income (loss) in the statements of income. The Bank treats securities purchased under agreements to resell as collateralized financings.

On January 1, 2020, the Bank adopted Accounting Standards Update ("ASU") 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which amends the guidance related to the accounting for credit losses on financial instruments, including investment securities classified as held-to-maturity and available-for-sale, by replacing the impairment methodology with an expected credit loss methodology. Beginning January 1, 2020, an allowance for credit losses is established, if necessary, for the Bank's investment securities classified as held-to-maturity or available-for-sale. See the section below entitled "Allowance for Credit Losses."

Through December 31, 2019, the Bank evaluated outstanding available-for-sale and held-to-maturity securities for other-than-temporary impairment on a quarterly basis. An investment security was impaired if the fair value of the investment was less than its amortized cost. Amortized cost included adjustments (if any) made to the cost basis of an investment for accretion, amortization, the credit portion of previous other-than-temporary impairments and hedging. The Bank considered the impairment of a debt security to be other than temporary if the Bank (i) intended to sell the security, (ii) more likely than not would have been required to sell the security before recovering its amortized cost basis, or (iii) did not expect to recover the security’s entire amortized cost basis (even if the Bank did not intend to sell the security). Further, an impairment was considered to be other than temporary if the Bank’s best estimate of the present value of cash flows expected to be collected from the debt security was less than the amortized cost basis of the security (any such shortfall was referred to as a “credit loss”).

If an other-than-temporary impairment (“OTTI”) occurred because the Bank intended to sell an impaired debt security, or more likely than not would have been required to sell the security before recovery of its amortized cost basis, the impairment was recognized in earnings in an amount equal to the entire difference between fair value and amortized cost.

In instances in which a determination was made that a credit loss existed but the Bank did not intend to sell the debt security and it was not more likely than not that the Bank would have been required to sell the debt security before the anticipated recovery of its remaining amortized cost basis, the other-than-temporary impairment (i.e., the difference between the security’s then-current carrying amount and its estimated fair value) was separated into (i) the amount of the total impairment related to the credit loss (i.e., the credit component) and (ii) the amount of the total impairment related to all other factors (i.e., the non-credit component). The credit component was recognized in earnings and the non-credit component was recognized in other comprehensive income.

The non-credit component of any OTTI losses recognized in other comprehensive income for debt securities classified as held-to-maturity was (and will continue to be) accreted over the remaining life of the debt security (in a prospective manner based on the amount and timing of future estimated cash flows) as an increase in the carrying value of the security unless and until the security is sold, the security matures or, if on or prior to December 31, 2019, there was an additional other-than-temporary impairment that was recognized in earnings. In instances in which an additional other-than-temporary impairment was recognized in earnings, the amount of the credit loss was reclassified from accumulated other comprehensive income (loss) ("AOCI") to earnings. Further, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying amount exceeded its fair value, an additional non-credit impairment was concurrently recognized in other comprehensive income. Conversely, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying value was less than its fair value, the carrying value of the security was not increased. In periods subsequent to the recognition of an OTTI loss, the other-than-temporarily impaired debt security was accounted for as if it had been purchased on the measurement date of the other-than-temporary impairment at an amount equal to the previous amortized cost basis less the other-than-temporary impairment recognized in earnings. The difference between the new amortized cost basis and the cash flows expected to be collected was (and will continue to be) accreted as interest income over the remaining life of the security in a prospective manner based on the amount and timing of future estimated cash flows. Prior to January 1, 2020, in instances when there was a significant increase in a security's expected

cash flows, the amount to be accreted was adjusted prospectively. Beginning January 1, 2020, accretion is not adjusted for significant increases in expected cash flows. Those additional cash flows, if any, are recognized when received.

     Advances. The Bank reports advances at their principal amount outstanding, net of unearned commitment fees and deferred prepayment fees, if any, as discussed below. The Bank credits interest on advances to income as earned.

     Mortgage Loans Held for Portfolio. Through the Mortgage Partnership Finance® (“MPF”®) program administered by the FHLBank of Chicago, the Bank has invested in conventional and government guaranteed/insured mortgage loans. The Bank classifies these mortgage loans held for portfolio as held for investment and, accordingly, reports them at their principal amount outstanding net of deferred premiums, discounts and the fair value amount of the delivery commitment, if any (which represents the unrealized gains and losses from loans initially classified as mortgage loan commitments) as of the purchase (i.e., settlement) date. The Bank credits interest on mortgage loans to income as earned. The Bank amortizes or accretes the deferred amounts to interest income using the contractual method. The contractual method uses the cash flows required by the loan contracts, as adjusted for any actual prepayments, to apply the interest method. Future prepayments of principal are not anticipated under this method. The Bank has the ability and intent to hold these mortgage loans until maturity.

     Allowance for Credit Losses. On January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. As of the balance sheet date, an allowance for expected credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sale securities and its off-balance sheet credit exposures. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. Accrued interest is recorded separately on the statement of condition. The allowance for credit losses excludes accrued interest receivable, as the Bank places financial assets on nonaccrual status and concurrently reverses any accrued but uncollected interest if the interest is deemed uncollectible. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. See Note 9 - Allowance for Credit Losses for information regarding the determination of the allowance for credit losses and the impact that the adoption of the new guidance had on the Bank's financial condition on January 1, 2020.

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. At December 31, 2021 and 2020, cash payments received on non-accrual loans and recorded as a reduction of principal totaled $3,912,000 and $1,555,000, respectively. Government-guaranteed/insured loans are not placed on nonaccrual status.

Collateral-dependent mortgage loans that are 90 days or more past due are evaluated for credit losses on an individual basis based on the fair value of the underlying mortgaged property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the MPF credit enhancements. A charge-off is recorded if the amount expected to be collected on the loan is less than its amortized cost.

As discussed in Note 2, the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act") provides temporary relief from the accounting and reporting requirements for certain loan modifications related to COVID-19 that would otherwise be categorized as a troubled debt restructuring ("TDR"). Eligible mortgage loans that are current under the modified terms of the loan agreements are returned to accrual status as long as the Bank expects repayment of the remaining contractual principal and interest. As of December 31, 2021, the Bank had entered into qualifying loan modifications on loans with an aggregate unpaid principal balance of $32,568,000. These loan modifications allowed the borrowers to defer past due principal and interest payments until the earlier of the date on which the loan is prepaid or the end of the loan term. In aggregate, the amounts deferred were insignificant.

The servicers of the Bank's mortgage loans may grant a forbearance period to borrowers who request forbearance as a result of difficulties relating to COVID-19 regardless of the status of the loan at the time of the request. During the forbearance period, the Bank accounts for these loans in the same manner as it accounts for any other past due loans whether the forbearance arrangement is formal or informal. The accrual status of mortgage loans in forbearance is determined by the past due status of the loan as the legal terms of the loan agreement remain unchanged during this period.

Prior to January 1, 2020, an allowance for credit losses was separately established to provide for probable losses inherent in the Bank's financing receivables portfolio and off-balance sheet credit exposures as of the balance sheet date. A conventional mortgage loan was considered impaired when, based on then-current information and events, it was considered probable that the Bank would be unable to collect all amounts due according to the contractual terms of the loan agreement.

     Real Estate Owned. Real estate owned includes assets that have been received in satisfaction of debt or as a result of actual or in-substance foreclosures. Real estate owned is carried at the lower of cost or fair value less estimated costs to sell and is included in other assets in the statements of condition. If the fair value of the real estate owned less estimated costs to sell is less than the recorded investment in the mortgage loan at the date of transfer, the Bank recognizes a charge-off to the allowance for loan losses. Subsequent realized gains and realized or unrealized losses are included in other income (loss) in the statements of income.

     Premises and Equipment. The Bank records premises and equipment at cost less accumulated depreciation and amortization. At December 31, 2021 and 2020, the Bank’s accumulated depreciation and amortization relating to premises and equipment was $28,061,000 and $27,022,000, respectively. The Bank computes depreciation using the straight-line method over the estimated useful lives of assets ranging from 3 to 39 years. It amortizes leasehold improvements on the straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Depreciation and amortization expense was $1,352,000, $1,539,000 and $2,003,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank includes gains and losses on disposal of premises and equipment, if any, in other income (loss) under the caption “other, net.”

     Computer Software. The cost of purchased computer software, certain costs incurred in developing computer software for internal use, and implementation costs associated with cloud computing arrangements that are service contracts are capitalized and amortized over future periods. As of December 31, 2021 and 2020, the Bank had $8,386,000 and $8,568,000, respectively, in unamortized computer software costs included in other assets. Total software costs charged to expense were $13,149,000, $9,585,000 and $8,313,000 for the years ended December 31, 2021, 2020 and 2019, respectively. Included in these total software costs was amortization of $3,842,000, $2,322,000 and $2,097,000, respectively.

     Derivatives and Hedging Activities. All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in U.S. GAAP. The Bank has defined the market settlement convention to be five business days or less for advances.

Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate).

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes).

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair

value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities."

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported.

In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

     Mandatorily Redeemable Capital Stock. The Bank reclassifies shares of capital stock from the capital section to the liability section of its statement of condition at the point in time when a member submits a written redemption notice, gives notice of its intent to withdraw from membership, or becomes a non-member by merger or acquisition, charter termination, or involuntary termination from membership, as the shares of capital stock then meet the definition of a mandatorily redeemable

financial instrument. Shares of capital stock meeting this definition are reclassified to liabilities at fair value. Following reclassification of the stock, any dividends paid or accrued on such shares are recorded as interest expense in the statement of income. Repurchase or redemption of these mandatorily redeemable financial instruments is reported as a cash outflow in the financing activities section of the statement of cash flows.

If a member cancels a written redemption or withdrawal notice, the Bank reclassifies the shares subject to the cancellation notice from liabilities back to equity. Following this reclassification to equity, dividends on the capital stock are once again recorded as a reduction of retained earnings.

Although mandatorily redeemable capital stock is excluded from capital for financial reporting purposes, it is considered capital for regulatory purposes. See Note 15 for more information, including restrictions on stock redemption.

     Affordable Housing Program. The FHLB Act requires each FHLBank to establish and fund an Affordable Housing Program (“AHP”) (see Note 12). The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank makes AHP funds available to members in the form of direct grants to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households.

     Prepayment Fees. The Bank charges a prepayment fee when members/borrowers prepay certain advances before their original maturities. The Bank records prepayment fees received from members/borrowers net of hedging adjustments included in the book basis of the prepaid advance, if any, as interest income on advances in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances), as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance. If the new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income over the life of the modified advance using the level-yield method. This amortization is recorded in interest income on advances. If the Bank determines that the advance should be treated as a new advance, or in instances where no new advance is funded, it records the net fees as “prepayment fees on advances” in the interest income section of the statements of income.

     Commitment Fees. The Bank defers commitment fees for advances and amortizes them to interest income using the level-yield method over the life of the advance. The Bank records commitment fees for letters of credit as a deferred credit when it receives the fees and amortizes them over the term of the letter of credit using the straight-line method.

     Concessions on Consolidated Obligations. The Bank defers and amortizes, using the level-yield method, the amounts paid to securities dealers in connection with the sale of consolidated obligation bonds over the term to maturity of the related bonds. The Office of Finance prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Unamortized concessions were $1,902,000 and $2,882,000 at December 31, 2021 and 2020, respectively, and are recorded as a reduction in the balance of consolidated obligation bonds on the statements of condition. Amortization of such concessions is included in consolidated obligation bond interest expense and totaled $1,871,000, $5,334,000 and $3,553,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank charges to expense as incurred the concessions applicable to the sale of consolidated obligation discount notes because of the short maturities of these notes. Concessions related to the sale of discount notes totaling $880,000, $3,948,000 and $4,716,000 are included in interest expense on consolidated obligation discount notes in the statements of income for the years ended December 31, 2021, 2020 and 2019, respectively.

     Discounts and Premiums on Consolidated Obligations. The Bank expenses the discounts on consolidated obligation discount notes using the level-yield method over the term to maturity of the related notes. It accretes the discounts and amortizes the premiums on consolidated obligation bonds to expense using the level-yield method over the term to maturity of the bonds.

     Finance Agency and Office of Finance Expenses. The Bank is assessed its proportionate share of the costs of operating the Finance Agency and the Office of Finance. The assessment for the FHLBanks’ portion of the Finance Agency’s operating and capital expenditures is allocated among the FHLBanks based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of all FHLBanks determined as of June 30 of each year. The expenses of the Office of Finance are shared on a pro rata basis with two-thirds based on each FHLBank’s total consolidated obligations outstanding (as of the current month-end) and one-third divided equally among all of the FHLBanks. These costs are included in the other expense section of the statements of income.

     Estimated Fair Values. Some of the Bank’s financial instruments (e.g., advances) lack an available trading market characterized by transactions between a willing buyer and a willing seller engaging in an exchange transaction. Therefore, the Bank uses internal models employing assumptions regarding interest rates, volatilities, prepayments, and other factors to perform present-value calculations when disclosing estimated fair values for these financial instruments. The Bank assumes that book value approximates fair value for certain financial instruments with three months or less to repricing or maturity. For a

discussion of the Bank's valuation techniques for financial instruments measured at fair value on the statement of condition and the estimated fair values of all of its financial instruments, see Note 17.

     Cash Flows. The Bank considers cash and due from banks as cash and cash equivalents in the statements of cash flows.

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Trading Securities

12 Months Ended

Dec. 31, 2021

Debt Securities, Trading, Gain (Loss) [Abstract]

Trading Securities Disclosure [Text Block]

Trading Securities

     Major Security Types. Trading securities as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
U.S. Treasury Bills	$	2,249,587	$	3,316,241
U.S. Treasury Notes	205,283		1,985,227
Total	$	2,454,870	$	5,301,468

Included in the table above are U.S. Treasury Bills that were purchased but which had not yet settled as of December 31, 2021 and 2020. The aggregate amounts due of $2,249,587,000 and $299,921,000, respectively, are included in other liabilities on the statement of condition at those dates.

Net gains (losses) on trading securities during the years ended December 31, 2021, 2020 and 2019 included changes in net unrealized holding gain (loss) of $(6,489,000), $8,729,000 and $11,528,000 for securities that were held on December 31, 2021, 2020 and 2019, respectively.

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Recently Issued Accounting Guidance

12 Months Ended

Dec. 31, 2021

Recently Issued Accounting Guidance [Abstract]

New Accounting Pronouncements and Changes in Accounting Principles [Text Block]

Recently Issued Accounting Guidance

Troubled Debt Restructuring Relief. On March 27, 2020, the CARES Act was signed into law by the President of the United States. The CARES Act includes provisions that allow optional, temporary relief from accounting for certain modifications of loans that were not more than 30 days past due as of December 31, 2019 as TDRs. Specifically, under the provisions of the CARES Act, a qualifying financial institution may elect to suspend: (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as TDRs and (2) any determination that such loan modifications would be considered TDRs, including the related impairment for accounting purposes. The TDR relief provisions of the CARES Act apply to any modification that is related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any other similar arrangement that defers or delays the payment of principal or interest, that occurs during the period from March 1, 2020 through the earlier of December 31, 2020 or the date that is 60 days after the termination of the national emergency concerning the COVID-19 pandemic. On December 27, 2020, the Consolidated Appropriations Act, 2021 (the "CAA") was signed into law by the President of the United States. The CAA includes provisions that extend the temporary relief provided under the CARES Act to modifications that occur through the earlier of January 1, 2022 or the date that is 60 days after the termination of the national emergency concerning the COVID-19 pandemic.

The Bank has elected to apply the TDR relief provided by the CARES Act (as extended by the CAA). Accordingly, all modifications meeting the provisions of the CARES Act are excluded from TDR classification, accounting and disclosure. Loan modifications that do not meet the provisions of the CARES Act continue to be assessed for TDR classification under the Bank’s existing accounting practices. The election to apply the TDR relief provisions of the CARES Act has not had a material impact on the Bank's financial condition, results of operations or disclosures.

Reference Rate Reform. On March 12, 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-04, "Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"), which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 provides optional expedients and exceptions for applying U.S. GAAP to transactions affected by reference rate reform if certain criteria are met. These transactions include: (i) contract modifications, (ii) hedging relationships, and (iii) sales or transfers of debt securities classified as held-to-maturity.

ASU 2020-04 is effective from March 12, 2020 through December 31, 2022. An entity may elect to adopt the amendments for contract modifications as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. An entity may elect to apply the amendments in ASU 2020-04 to eligible hedging relationships existing as of the beginning of the interim period that includes March 12, 2020 and to new eligible hedging relationships entered into after the beginning of the interim period that includes March 12, 2020 through December 31, 2022. The one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity may be made at any time after March 12, 2020 but no later than December 31, 2022.

On January 7, 2021, the FASB issued ASU 2021-01, "Reference Rate Reform" ("ASU 2021-01"), which clarifies that an entity may elect to apply the optional expedients and exceptions in ASU 2020-04 for contract modifications and hedge accounting to derivative instruments that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform. An entity may elect to apply the amendments in ASU 2021-01 on a full retrospective basis as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020 or on a prospective basis to new modifications from any date within an interim period that includes or is subsequent to January 7, 2021, up to the date the financial statements are available to be issued. The amendments in ASU 2021-01 do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022, or existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022 that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship (including periods after December 31, 2022).

In October 2020, the third-party central clearinghouses with which the Bank transacts transitioned to the use of the Secured Overnight Financing Rate ("SOFR") for margining, discounting and contract price alignment. The Bank elected to retroactively apply the optional expedients and exceptions in ASU 2021-01 to its derivative contracts that were affected by these changes.

The Bank expects that it will elect to apply some of the expedients and exceptions provided in ASU 2020-04 relating to contract modifications, hedging relationships, and sales or transfers of held-to-maturity securities and it could apply the

expedients and exceptions in ASU 2021-01 to additional derivative contracts in the future. However, the Bank has not yet determined the extent to which it will utilize these expedients and exceptions, nor the timing of when the expedients and exceptions will be elected and therefore the impact of the adoption of ASU 2020-04 and ASU 2021-01 on the Bank's financial condition and results of operations has not yet been determined.

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Available-for-Sale Securities

12 Months Ended

Dec. 31, 2021

Debt Securities, Available-for-sale [Abstract]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure

Available-for-sale securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	414,267	$	4,229	$	460	$	418,036
GSE obligations	4,471,107		78,983		4,412		4,545,678
Other	38,544		44		—		38,588
	4,923,918		83,256		4,872		5,002,302
GSE commercial MBS	10,123,054		165,783		3,107		10,285,730
Total	$	15,046,972	$	249,039	$	7,979	$	15,288,032

Available-for-sale securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	437,351	$	4,100	$	—	$	441,451
GSE obligations	4,950,604		84,538		3,209		5,031,933
Other	45,706		214		—		45,920
	5,433,661		88,852		3,209		5,519,304
GSE commercial MBS	11,181,740		103,934		17,216		11,268,458
Total	$	16,615,401	$	192,786	$	20,425	$	16,787,762

In the tables above, the amortized cost of the Bank's available-for-sale securities includes premiums, discounts and hedging adjustments. Amortized cost excludes accrued interest of $59,393,000 and $62,056,000 at December 31, 2021 and 2020, respectively.

Other debentures are comprised of securities issued by the Private Export Funding Corporation. These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government.

The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2021. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations		$	114,748	$	460		$	—	$	—		$	114,748	$	460
GSE debentures		587,176		22			128,431		4,390			715,607		4,412
GSE commercial MBS		68,575		3,008			13,406		99			81,981		3,107
Total		$	770,499	$	3,490		$	141,837	$	4,489		$	912,336	$	7,979

The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
GSE debentures		$	120,876	$	1,492		$	51,151	$	1,717		$	172,027	$	3,209
GSE commercial MBS		262,908		2,240			2,502,312		14,976			2,765,220		17,216
Total		$	383,784	$	3,732		$	2,553,463	$	16,693		$	2,937,247	$	20,425

Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands).

	December 31, 2021				December 31, 2020
Maturity	Amortized  Cost		Estimated Fair Value		Amortized  Cost		Estimated Fair Value
Debentures
Due in one year or less	$	1,209,330	$	1,209,339	$	312,237	$	313,167
Due after one year through five years	3,225,065		3,286,653		3,488,066		3,530,155
Due after five years through ten years	489,523		506,310		1,617,134		1,658,599
Due after ten years	—		—		16,224		17,383
	4,923,918		5,002,302		5,433,661		5,519,304
GSE commercial MBS	10,123,054		10,285,730		11,181,740		11,268,458
Total	$	15,046,972	$	15,288,032	$	16,615,401	$	16,787,762

Interest Rate Payment Terms. At December 31, 2021 and 2020, all of the Bank’s available-for-sale securities were fixed rate securities, substantially all of which were swapped to a variable rate.

Sales of Securities. During the year ended December 31, 2021, there were no sales of available-for-sale securities. During the year ended December 31, 2020, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $604,594,000. Proceeds from the sales totaled $605,423,000, resulting in realized gains of $829,000. During the year ended December 31, 2019, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $510,342,000. Proceeds from the sales totaled $511,194,000, resulting in realized gains of $852,000.

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Held-to-Maturity Securities

12 Months Ended

Dec. 31, 2021

Debt Securities, Held-to-Maturity, Amortized Cost, before Allowance for Credit Loss [Abstract]

fhlbd_HeldToMaturitySecuritiesDisclosureTextBlock

Held-to-Maturity Securities

     Major Security Types. Held-to-maturity securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	2,372	$	—	$	2,372	$	2	$	—	$	2,374
State housing agency obligations	74,919		—		74,919		89		—		75,008
	77,291		—		77,291		91		—		77,382
Mortgage-backed securities
GSE residential MBS	484,110		—		484,110		4,998		3		489,105
Non-agency residential MBS	36,639		4,485		32,154		8,249		538		39,865
	520,749		4,485		516,264		13,247		541		528,970
Total	$	598,040	$	4,485	$	593,555	$	13,338	$	541	$	606,352

Held-to-maturity securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	4,119	$	—	$	4,119	$	5	$	—	$	4,124
State housing agency obligations	109,698		—		109,698		228		438		109,488
	113,817		—		113,817		233		438		113,612
Mortgage-backed securities
GSE residential MBS	740,108		—		740,108		4,213		148		744,173
Non-agency residential MBS	49,703		6,402		43,301		8,476		932		50,845
	789,811		6,402		783,409		12,689		1,080		795,018
Total	$	903,628	$	6,402	$	897,226	$	12,922	$	1,518	$	908,630

In the tables above, amortized cost includes premiums, discounts and the credit portion of OTTI recorded prior to January 1, 2020. Amortized cost excludes accrued interest of $146,000 and $235,000 at December 31, 2021 and 2020, respectively.

 Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	December 31, 2021						December 31, 2020
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	500	$	500	$	500	$	—	$	—	$	—
Due after one year through five years	1,872		1,872		1,874		4,119		4,119		4,124
Due after five years through ten years	—		—		—		35,000		35,000		34,562
Due after ten years	74,919		74,919		75,008		74,698		74,698		74,926
	77,291		77,291		77,382		113,817		113,817		113,612
Mortgage-backed securities	520,749		516,264		528,970		789,811		783,409		795,018
Total	$	598,040	$	593,555	$	606,352	$	903,628	$	897,226	$	908,630

The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $1,003,000 and $1,338,000 at December 31, 2021 and 2020, respectively.

     Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at December 31, 2021 and 2020 (in thousands):

	2021		2020
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	77,291	$	113,817
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	2		19
Collateralized mortgage obligations
Fixed-rate	—		11
Variable-rate	520,747		789,781
	520,749		789,811
Total	$	598,040	$	903,628

All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during the years ended December 31, 2021 or 2020.

Sales of Securities. The Bank did not sell any held-to-maturity securities during the years ended December 31, 2021, 2020 or 2019.

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Advances

12 Months Ended

Dec. 31, 2021

Advances [Abstract]

Advances [Text Block]

Advances

     Redemption Terms. At December 31, 2021 and 2020, the Bank had advances outstanding at interest rates ranging from 0.11 percent to 8.27 percent and from 0.06 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—	—	%	$	6	0.20	%
Due in one year or less	7,642,760		0.39		11,341,900		0.47
Due after one year through two years	1,028,212		1.84		1,123,710		1.98
Due after two years through three years	1,335,606		1.63		1,145,383		1.77
Due after three years through four years	1,649,603		0.80		1,310,258		1.67
Due after four years through five years	968,470		0.67		1,626,621		0.86
Due after five years through fifteen years	11,752,610		0.90		15,327,646		0.77
Due after fifteen years	35,061		2.35		39,425		2.48
Total par value	24,412,322		0.81	%	31,914,949		0.79	%
Deferred net prepayment fees	(5,897)				(7,168)
Commitment fees	(38)				(91)
Hedging adjustments	231,077				571,254
Total	$	24,637,464			$	32,478,944

Advances presented in the table above exclude accrued interest of $16,655,000 and $21,131,000 at December 31, 2021 and 2020, respectively.

The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At December 31, 2021 and 2020, the Bank had aggregate prepayable and callable advances totaling $5,279,719,000 and $8,688,158,000, respectively.

The following table summarizes advances outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	12,779,409		19,845,878
Due after one year through two years	1,001,667		1,037,233
Due after two years through three years	1,093,031		1,113,822
Due after three years through four years	1,004,319		966,200
Due after four years through five years	345,975		837,869
Due after five years	8,187,921		8,113,941
Total par value	$	24,412,322	$	31,914,949

The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At December 31, 2021 and 2020, the Bank had putable advances outstanding totaling $7,345,800,000 and $7,495,800,000, respectively.

The following table summarizes advances at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	14,878,560		18,172,700
Due after one year through two years	1,112,012		1,678,710
Due after two years through three years	1,291,606		1,229,183
Due after three years through four years	1,594,603		1,266,258
Due after four years through five years	968,470		1,571,621
Due after five years	4,567,071		7,996,471
Total par value	$	24,412,322	$	31,914,949

     Credit Concentrations. Due to the composition of its shareholders, the Bank’s potential credit risk from advances is concentrated in commercial banks, insurance companies, savings institutions and credit unions. At December 31, 2021, the Bank had advances of $3,148,133,000 outstanding to its largest borrower, American General Life Insurance Company, which represented approximately 12.9 percent of advances outstanding at that date. Interest income on advances to American General Life Insurance Company totaled $8,526,000 (7.1 percent of total interest income on advances) for the year ended December 31, 2021. Interest income on advances to Simmons Bank, the Bank's fifth largest borrower with total advances of $1,305,533,000 at December 31, 2021 (representing 5.3 percent of advances outstanding at that date), totaled $18,678,000 (15.6 percent of total interest income on advances) for the year ended December 31, 2021. No other borrower represented more than 10 percent of advances outstanding at December 31, 2021 or more than 10 percent of interest income on advances for the year ended December 31, 2021. No borrower represented more than 10 percent of advances outstanding at December 31, 2020 or more than 10 percent of interest income on advances for the year ended December 31, 2020. At December 31, 2019, the Bank had advances of $3,800,000,000 outstanding to its then largest borrower, Comerica Bank, which represented approximately 10.3 percent of advances outstanding at that date. Interest income on advances to Comerica Bank totaled $96,367,000 (10.6 percent of total interest income on advances) for the year ended December 31, 2019. No other borrower represented more than 10 percent of advances outstanding at December 31, 2019 or more than 10 percent of interest income on advances for the year ended December 31, 2019.

     Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at December 31, 2021 and 2020 (in thousands):

	2021		2020
Fixed-rate
Due in one year or less	$	7,582,790	$	11,131,901
Due after one year	11,037,441		11,961,692
Total fixed-rate	18,620,231		23,093,593
Variable-rate
Due in one year or less	59,970		210,005
Due after one year	5,732,121		8,611,351
Total variable-rate	5,792,091		8,821,356
Total par value	$	24,412,322	$	31,914,949

At December 31, 2021 and 2020, 54 percent and 57 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate.

     Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. As discussed in Note 1, the Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. Gross advance prepayment fees received from members/borrowers during the years ended December 31, 2021, 2020 and 2019 were $15,059,000, $86,530,000 and $2,130,000, respectively. During the years ended December 31, 2021 and 2020, the Bank deferred $653,000 and $2,687,000 of the gross advance prepayment fees received during those years. None of the gross advance prepayment fees received during the year ended December 31, 2019 were deferred.

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Mortgage Loans Held for Portfolio

12 Months Ended

Dec. 31, 2021

Mortgage Loans Held for Portfolio [Abstract]

Mortgage Loans on Real Estate Disclosure [Text Block]

Mortgage Loans Held for Portfolio

Mortgage loans held for portfolio represent held-for-investment loans acquired through the MPF program (see Note 1). Under the MPF program, the Bank purchased conventional mortgage loans and government-guaranteed/insured mortgage loans (i.e., those insured or guaranteed by the Federal Housing Administration (“FHA”) or the Department of Veterans Affairs (“DVA”)) during the period from 1998 to mid-2003. The Bank resumed acquiring conventional mortgage loans under this program in 2016. Since 2016, all of the acquired mortgage loans were originated by certain of the Bank's member institutions that participate in the MPF program ("Participating Financial Institutions" or “PFIs”) and the Bank acquired a 100 percent interest in such loans. For loans that were acquired from its members during the period from 1998 to mid-2003, the Bank retained title to the mortgage loans, subject to any participation interest in such loans that was sold to the FHLBank of Chicago; the interest in these loans that was retained by the Bank ranged from 1 percent to 49 percent. Additionally, during the period from 1998 to 2000, the Bank also acquired from the FHLBank of Chicago a percentage interest (ranging up to 75 percent) in certain MPF loans originated by PFIs of other FHLBanks. The Bank manages the liquidity, interest rate and prepayment risk of these loans, while the PFIs or their designees retain the servicing activities. The Bank and the PFIs share in the credit risk of the loans with the Bank assuming the first loss obligation limited by the First Loss Account (“FLA”), and the PFIs assuming credit losses in excess of the FLA, up to the amount of the credit enhancement obligation as specified in the master agreement (“Second Loss Credit Enhancement”). The Bank assumes all losses in excess of the Second Loss Credit Enhancement. The following table presents information as of December 31, 2021 and 2020 for mortgage loans held for portfolio (in thousands):

	2021		2020
Fixed-rate medium-term* single-family mortgages	$	124,532	$	98,957
Fixed-rate long-term single-family mortgages	3,298,356		3,252,276
Premiums	66,643		66,008
Discounts	(1,324)		(1,267)
Deferred net derivative gains associated with mortgage delivery commitments	6,182		10,637
Total mortgage loans held for portfolio	3,494,389		3,426,611
Less: allowance for credit losses on mortgage loans	(3,124)		(3,925)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	3,491,265	$	3,422,686

________________________________________

*Medium-term is defined as an original term of 15 years or less.

Mortgage loans presented in the table above exclude accrued interest receivable of $14,345,000 and $16,765,000 at December 31, 2021 and 2020, respectively.

The unpaid principal balance of mortgage loans held for portfolio at December 31, 2021 and 2020 was comprised of conventional loans totaling $3,414,463,000 and $3,340,535,000, respectively, and government-guaranteed/insured loans totaling $8,425,000 and $10,698,000, respectively.

PFIs are paid a credit enhancement fee (“CE fee”) as an incentive to minimize credit losses, to share in the risk of loss on MPF loans and to pay for supplemental mortgage insurance, rather than paying a guaranty fee to other secondary market purchasers. CE fees are paid monthly and are determined based on the remaining unpaid principal balance of the MPF loans. The required credit enhancement obligation varies depending upon the MPF product type. CE fees, payable to a PFI as compensation for assuming credit risk, are recorded as a reduction to mortgage loan interest income when paid by the Bank. During the years ended December 31, 2021, 2020 and 2019, mortgage loan interest income was reduced by CE fees totaling $1,858,000, $2,363,000 and $2,134,000, respectively. The Bank also pays performance-based CE fees that are based on the actual performance of the pool of MPF loans under each individual master commitment. To the extent that losses in the current month exceed accrued performance-based CE fees, the remaining losses may be recovered from future performance-based CE fees payable to the PFI. During the years ended December 31, 2021, 2020 and 2019, performance-based CE fees that were forgone and not paid to the Bank’s PFIs totaled $26,000, $5,000 and $6,000, respectively.

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Accrued Interest (Notes)

12 Months Ended

Dec. 31, 2021

Accrued Interest Receivable [Abstract]

Accrued Interest Receivable

Accrued Interest Receivable

The components of accrued interest receivable as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
Advances	$	16,655	$	21,131
Investment securities
Trading	962		6,078
Available-for-sale	59,393		62,056
Held-to-maturity	146		235
Mortgage loans held for portfolio	14,345		16,765
Interest-bearing deposits	56		51
Securities purchased under agreements to resell	15		3
Federal funds sold	9		3
Total	$	91,581	$	106,322

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Allowance for Credit Losses

12 Months Ended

Dec. 31, 2021

Allowance for Credit Losses [Abstract]

Allowance for Credit Losses [Text Block]

Allowance for Credit Losses

On January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. This guidance replaced the previous incurred loss methodology with an expected credit loss methodology. In conjunction with the adoption of this guidance, the Bank recorded (on January 1, 2020) a cumulative effect adjustment to retained earnings of $2,191,000 and a corresponding increase in the allowance for credit losses on mortgage loans held for portfolio.

As of the balance sheet date, an allowance for credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sales securities and its off-balance sheet credit exposures. Expected credit losses on these financial instruments are recorded through an allowance for credit losses. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability.

Short-Term Investments. The Bank invests in overnight interest-bearing deposits, overnight Federal Funds sold and overnight securities sold under agreements to repurchase. These investments provide short-term liquidity and are carried at amortized cost. At December 31, 2021, all investments in Federal Funds sold, interest-bearing deposits and securities purchased under agreements to resell were repaid according to the contractual terms. Accordingly, no allowance for credit losses was recorded on these assets at December 31, 2021.

Long-Term Investments. The Bank evaluates its available-for-sale securities for impairment by comparing the security's fair value to its amortized cost. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., when the security is in an unrealized loss position). The Bank evaluates each impaired security to determine whether the impairment is due to credit losses. Held-to-maturity securities are evaluated for impairment on a pooled basis, unless an individual assessment is deemed necessary because the securities do not contain similar risk characteristics.

At December 31, 2021, the gross unrealized losses on the Bank’s available-for-sale securities were $7,979,000, of which $7,519,000 related to securities that are issued and guaranteed by GSEs and $460,000 related to securities that are guaranteed by the U.S. government. At December 31, 2021, the gross unrealized losses on the Bank’s held-to-maturity securities (computed as the difference between the amortized cost and the fair value of the securities) were $859,000, of which $856,000 were attributable to its holdings of non-agency (i.e., private label) residential MBS ("RMBS") and $3,000 were attributable to securities that are issued and guaranteed by GSEs.

Government-Guaranteed and GSE Investments. As of December 31, 2021, the U.S. government and the issuers of the Bank’s holdings of GSE debentures, GSE commercial MBS ("CMBS") and GSE RMBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). Through December 31, 2021, the Bank has not experienced any defaults on its government-guaranteed debentures or GSE RMBS and it has experienced only one default on its GSE CMBS, which default occurred in August 2020. In the event of a default, the guarantor is required to repurchase the security at its par value and thus the Bank's exposure is limited to the amount of any unamortized premiums and/or positive fair value hedge accounting adjustments included in the amortized cost basis of the investment. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at December 31, 2021 and

the credit ratings assigned by Moody's and S&P, the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in these investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE CMBS and GSE RMBS and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on its holdings of GSE MBS will not be less than the Bank's amortized cost bases in these investments (or, in the rare circumstance of a default, the amount to be collected would not be expected to be significantly less than the Bank’s amortized cost basis in the investment). The Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the amount expected to be collected on its held-to-maturity securities is not less than the amortized cost of these investments, the Bank has determined that the credit losses on its U.S. government-guaranteed and GSE investments, if any, would be insignificant and, therefore, the Bank did not provide an allowance for credit losses on these investments at December 31, 2021.

State Housing Agency Debenture. As of December 31, 2021, the state housing agency bond owned by the Bank was rated triple-A by both Moody's and S&P. The Bank has not experienced any defaults on this debenture, nor does it expect the debenture to default in the future. Based upon the Bank's assessment of the creditworthiness of the state housing agency and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on the state housing agency debenture will not be less than the amortized cost basis of this investment. Because the Bank does not intend to sell the investment and it is not more likely than not that the Bank will be required to sell the investment before recovery of its amortized cost basis, the Bank does not consider an allowance for credit losses on its state housing agency debenture to be necessary at December 31, 2021.

Non-Agency RMBS. As of December 31, 2021, 5 of the Bank's non-agency RMBS with an aggregate amortized cost of $7,539,000 were rated investment grade (i.e., triple-B or higher by Moody's and/or S&P), 16 non-agency RMBS with an aggregate amortized cost of $29,059,000 were rated below investment grade and 1 non-agency RMBS with an amortized cost of $41,000 was unrated. In periods prior to 2017, 15 of the non-agency RMBS that were rated below investment grade at December 31, 2021 had been determined to be other-than-temporarily impaired. At December 31, 2021 and 2020, the amortized cost of the Bank's non-agency RMBS included credit losses of $5,991,000 and $6,293,000, respectively, on these previously impaired securities.

Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.

At December 31, 2021, the Bank considered the potential impact that current economic and housing market conditions could have on the collectibility of these securities to determine whether it expected to incur any additional credit losses. Based on the payment status of the securities and the considerations regarding the potential impact that recent changes in economic and housing market conditions could have on the securities' cash flows, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, no allowance for credit losses on the Bank's non-agency RMBS was deemed to be necessary at December 31, 2021.

Standby Bond Purchase Agreements. The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. To date, the Bank has never been required to purchase a bond under its standby bond purchase agreements. In addition, the agreements contain provisions that allow the Bank to terminate the agreement if the housing finance agency's credit rating, or the rating of the bonds underlying the agreements, decline to a level below investment grade. Based on these provisions, the high credit quality of the housing finance agency and the unlikelihood that the Bank will be required to repurchase the bonds, an allowance for credit losses on standby bond purchase agreements was not considered necessary at December 31, 2021.

Financing Receivables. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses on financing receivables which, for the Bank, includes off-balance sheet credit exposures to members. The Bank has developed and documented a systematic methodology for determining an

allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members;” (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio.

Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments.

    Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the FHLB Act, the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. Eligible collateral includes whole first mortgages on improved residential real property (not more than 90 days delinquent), or securities representing a whole interest in such mortgages; securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including mortgage-backed and other debt securities issued or guaranteed by the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or the Government National Mortgage Association (“Ginnie Mae”); term deposits in the Bank; and other real estate-related collateral acceptable to the Bank, provided that such collateral has a readily ascertainable value and the Bank can perfect a security interest in such property. In the case of Community Financial Institutions (which for 2021 included all FDIC-insured institutions with average total assets as of December 31, 2020, 2019 and 2018 of less than $1.239 billion), the Bank may also accept as eligible collateral secured small business, small farm and small agribusiness loans, securities representing a whole interest in such loans, and secured loans for community development activities. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank. The Bank has procedures in place for validating the reasonableness of its collateral valuations. In addition, collateral verifications and on-site reviews are performed based on the risk profile of the borrower.

Each member/borrower of the Bank executes a security agreement pursuant to which such member/borrower grants a security interest in favor of the Bank in certain assets of such member/borrower. The agreements under which a member grants a security interest fall into one of two general structures. In the first structure, the member grants a security interest in all of its assets that are included in the eligible collateral categories, as described in the preceding paragraph, which the Bank refers to as a “blanket lien.” A member may request that its blanket lien be modified, such that the member grants in favor of the Bank a security interest limited to certain of the eligible collateral categories (i.e., whole first residential mortgages, securities, term deposits in the Bank and other real estate-related collateral). In the second structure, the member grants a security interest in specifically identified assets rather than in the broad categories of eligible collateral covered by the blanket lien and the Bank identifies such members as being on “specific collateral only status.”

The basis upon which the Bank will lend to a member that has granted the Bank a blanket lien depends on numerous factors, including, among others, that member’s financial condition and general creditworthiness. Generally, and subject to certain limitations, a member that has granted the Bank a blanket lien may borrow up to a specified percentage of the value of eligible collateral categories, as determined from such member’s financial reports filed with its federal regulator, without specifically identifying each item of collateral or delivering the collateral to the Bank. Under certain circumstances, including, among others, a deterioration of a member’s financial condition or general creditworthiness, the amount a member may borrow is determined on the basis of only that portion of the collateral subject to the blanket lien that such member delivers to the Bank. Under these circumstances, the Bank places the member on “custody status.” In addition, members on blanket lien status may choose to deliver some or all of the collateral to the Bank.

The members/borrowers that are granted specific collateral only status by the Bank are typically either insurance companies or members/borrowers with an investment grade credit rating from at least two nationally recognized statistical rating organizations ("NRSROs") that have requested this type of structure. Insurance companies are permitted to borrow only against the eligible collateral that is delivered to the Bank or a third-party custodian approved by the Bank, and insurance companies generally grant a security interest only in collateral they have delivered. Members/borrowers with an investment grade credit rating from at least two NRSROs may grant a security interest in, and would only be permitted to borrow against, delivered eligible securities and specifically identified, eligible first-lien mortgage loans. Such loans must be delivered to the Bank or a third-party custodian approved by the Bank, or the Bank and such member/borrower must otherwise take actions that ensure the priority of the Bank’s security interest in such loans. Investment grade rated members/borrowers that choose this option are subject to fewer provisions that allow the Bank to demand additional collateral or exercise other remedies based on the Bank’s discretion; however, the collateral they pledge is generally subject to larger haircuts (depending on the credit rating of the member/borrower from time to time) than are applied to similar types of collateral pledged by members under a blanket lien arrangement.

The Bank perfects its security interests in borrowers’ collateral in a number of ways. The Bank usually perfects its security interest in collateral by filing a Uniform Commercial Code financing statement against the borrower. In the case of certain borrowers, the Bank perfects its security interest by taking possession or control of the collateral, which may be in addition to the filing of a financing statement. In these cases, the Bank also generally takes assignments of most of the mortgages and deeds of trust that are designated as collateral. Instead of requiring delivery of the collateral to the Bank, the Bank may allow certain borrowers to deliver specific collateral to a third-party custodian approved by the Bank or otherwise take actions that ensure the priority of the Bank’s security interest in such collateral.

With certain exceptions set forth below, Section 10(e) of the FHLB Act affords any security interest granted to the Bank by any member/borrower of the Bank, or any affiliate of any such member/borrower, priority over the claims and rights of any party, including any receiver, conservator, trustee, or similar party having rights of a lien creditor. However, the Bank’s security interest is not entitled to priority over the claims and rights of a party that (i) would be entitled to priority under otherwise applicable law and (ii) is an actual bona fide purchaser for value or is a secured party who has a perfected security interest in such collateral in accordance with applicable law (e.g., a prior perfected security interest under the Uniform Commercial Code or other applicable law). For example, in a case in which the Bank has perfected its security interest in collateral by filing a Uniform Commercial Code financing statement against the borrower, another secured party’s security interest in that same collateral that was perfected by possession and without prior knowledge of the Bank's lien may be entitled to priority over the Bank’s security interest that was perfected by filing a Uniform Commercial Code financing statement.

From time to time, the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor (typically, a Federal Reserve Bank or another FHLBank). If the Bank agrees to subordinate its security interest in certain assets or categories of assets granted by a member/borrower of the Bank to the security interest of another creditor, the Bank will not extend credit against those assets or categories of assets.

On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at December 31, 2021 or 2020.

The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At December 31, 2021 and 2020, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At December 31, 2021 and 2020, the Bank did not have any advances that were past due or on nonaccrual status. There have been no troubled debt restructurings related to advances.

The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures to members.

     Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the FHA or the DVA. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans.

     Mortgage Loans — Conventional Mortgage Loans. The allowance for credit losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, projected performance, loan portfolio characteristics, collateral-related characteristics, prevailing economic conditions and reasonable and supportable forecasts of expected economic conditions. The allowance for credit losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. The Bank does not record an allowance for credit losses that are expected to be recovered from the credit enhancements.

The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at December 31, 2021 and 2020 (dollars in thousands).

	December 31, 2021
	Conventional Loans Originated Prior to 2017		Conventional Loans Originated in 2017-2021		Total Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	605	$	30,597	$	31,202	$	316	$	31,518
60-89 days delinquent	417		3,622		4,039		64		4,103
90 days or more delinquent	1,005		34,907		35,912		124		36,036
Total past due	2,027		69,126		71,153		504		71,657
Total current loans	23,797		3,390,984		3,414,781		7,951		3,422,732
Total mortgage loans	$	25,824	$	3,460,110	$	3,485,934	$	8,455	$	3,494,389
	December 31, 2020
	Conventional Loans Originated Prior to 2004		Conventional Loans Originated in 2016-2020		Total  Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	113	$	26,500	$	26,613	$	459	$	27,072
60-89 days delinquent	21		10,693		10,714		49		10,763
90 days or more delinquent	274		97,085		97,359		239		97,598
Total past due	408		134,278		134,686		747		135,433
Total current loans	7,746		3,273,438		3,281,184		9,994		3,291,178
Total mortgage loans	$	8,154	$	3,407,716	$	3,415,870	$	10,741	$	3,426,611

_____________________________

(1)All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004.

	December 31, 2021									December 31, 2020
	Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total
In process of foreclosure (1)	$	1,226		$	108		$	1,334		$	1,381		$	64		$	1,445
Serious delinquency rate (2)	1.0		%	1.5		%	1.0		%	2.9		%	2.2		%	2.8		%
Past due 90 days or more and still accruing interest (3)	$	—		$	124		$	124		$	—		$	239		$	239
Nonaccrual loans (4)	$	51,318		$	—		$	51,318		$	117,958		$	—		$	117,958
Troubled debt restructurings	$	1,066		$	—		$	1,066		$	—		$	—		$	—

_____________________________

(1)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

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

(3)Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.`

(4)The Bank did not have any specific allowance for credit losses on nonaccrual loans at December 31, 2021.

As of December 31, 2021, approximately $11,759,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $632,000 were 30 to 59 days past due, $1,761,000 were 60 to 89 days past due, and $9,366,000 were 90 days or more past due and in nonaccrual status. As of December 31, 2020, approximately $90,354,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $6,615,000 were 30 to 59 days past due, $6,724,000 were 60 to 89 days past due, and $77,015,000 were 90 days

or more past due and in nonaccrual status. The Bank did not have any real estate owned at December 31, 2021. At December 31, 2020, the Bank’s other assets included $300,000 of real estate owned.

The Bank individually reviews each seriously delinquent mortgage loan and each TDR for credit losses. At December 31, 2021 and 2020, the estimated value of the collateral securing each of these loans, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the amortized cost basis of the loans. The remaining conventional mortgage loans were evaluated for credit losses on a pool basis. Based upon the current and past performance of these loans, current economic conditions, reasonable and supportable forecasts of expected economic conditions and expected recoveries from credit enhancements, the Bank's best estimate of the expected credit losses in its conventional mortgage loan portfolio at December 31, 2021 was $3,124,000.

The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	Year Ended December 31,
	2021		2020		2019
Balance, beginning of year	$	3,925	$	1,149	$	493
Adjustment to initially apply new credit loss accounting guidance	—		2,191		—
Provision (reversal) for credit losses	(801)		585		656
Balance, end of year	$	3,124	$	3,925	$	1,149

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Deposits

12 Months Ended

Dec. 31, 2021

Deposits [Abstract]

Deposits Liabilities Disclosures [Text Block]

Deposits

The Bank offers demand and overnight deposits for members and qualifying non-members. In addition, the Bank offers short-term interest-bearing deposit programs to members and qualifying non-members. Interest-bearing deposits classified as demand and overnight pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate, or a stepped fixed rate schedule, that is determined on the issuance date of the deposit. The weighted average interest rates paid on average outstanding deposits were 0.02 percent, 0.29 percent and 2.05 percent during 2021, 2020 and 2019, respectively. None of the deposits are federally insured. For additional information regarding other interest-bearing deposits, see Note 14.

The following table details interest-bearing and non-interest bearing deposits as of December 31, 2021 and 2020 (in thousands):

	2021		2020
Interest-bearing
Demand and overnight	$	1,529,237	$	1,532,029
Term	60,931		51,071
Non-interest bearing (other)	20		20
Total deposits	$	1,590,188	$	1,583,120

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Consolidated Obligations

12 Months Ended

Dec. 31, 2021

Debt Disclosure [Abstract]

Debt Disclosure [Text Block]

Consolidated Obligations

Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 18.

The par amounts of the FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $653 billion and $747 billion at December 31, 2021 and 2020, respectively. The Bank was the primary obligor on approximately $55.8 billion and $59.2 billion (at par value), respectively, of

these consolidated obligations. Regulations require each of the FHLBanks to maintain unpledged qualifying assets equal to its participation in the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the U.S. government; obligations, participations, mortgages, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or have ever been sold by Freddie Mac under the FHLB Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for purposes of compliance with these regulations.

     General Terms. Consolidated obligation bonds are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that use a variety of indices for interest rate resets such as SOFR or the federal funds rate. In years prior to 2021, the Bank issued from time to time variable-rate bonds that were indexed to LIBOR. From July 1, 2020 through December 31, 2021, the Bank was prohibited from issuing LIBOR-indexed bonds which matured after December 31, 2021. On and after January 1, 2022, the Bank is prohibited from issuing any LIBOR-indexed bonds. To meet the specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank generally enters into interest rate exchange agreements containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond.

The consolidated obligation bonds typically issued by the Bank, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms:

Optional principal redemption bonds (callable bonds) may be redeemed in whole or in part at the Bank's discretion on predetermined call dates according to the terms of the bond offerings;

Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates;

Step-down bonds pay interest at decreasing fixed rates for specified intervals over the life of the bond. These bonds generally contain provisions that enable the Bank to call the bonds at its option on predetermined call dates.

     Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at December 31, 2021 and 2020 (in thousands, at par value).

	2021		2020
Fixed-rate	$	30,004,790	$	11,492,355
Variable-rate
SOFR-indexed	9,946,625		24,419,625
LIBOR-indexed	—		1,000,000
Step-up	4,822,000		75,000
Total par value	$	44,773,415	$	36,986,980

At December 31, 2021 and 2020, 69 percent and 40 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate.

Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by contractual maturity (dollars in thousands):

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in one year or less	$	19,906,725	0.28	%	$	21,392,110	0.37	%
Due after one year through two years	2,071,195		1.64		12,236,725		0.46
Due after two years through three years	5,156,770		0.64		1,419,695		2.25
Due after three years through four years	2,325,975		0.77		799,975		1.99
Due after four years through five years	8,646,750		0.82		513,475		1.44
Due after five years	6,666,000		1.21		625,000		1.74
Total par value	44,773,415		0.65	%	36,986,980		0.55	%
Premiums	16,405				620
Discounts	(419)				(366)
Debt issuance costs	(1,902)				(2,882)
Hedging adjustments	(273,279)				128,369
Total	$	44,514,220			$	37,112,721

At December 31, 2021 and 2020, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	2021		2020
Non-callable bonds	$	22,068,620	$	34,861,980
Callable bonds	22,704,795		2,125,000
Total par value	$	44,773,415	$	36,986,980

The following table summarizes the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	2021		2020
Due in one year or less	$	41,026,520	$	23,302,110
Due after one year through two years	2,911,695		11,751,725
Due after two years through three years	524,975		1,374,695
Due after three years through four years	98,475		459,975
Due after four years through five years	186,750		98,475
Due after five years	25,000		—
Total par value	$	44,773,415	$	36,986,980

     Discount Notes. At December 31, 2021 and 2020, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied  Interest Rate
December 31, 2021	$	11,003,026	$	11,004,433	0.04	%
December 31, 2020	$	22,171,296	$	22,175,690	0.09	%

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Affordable Housing Program

12 Months Ended

Dec. 31, 2021

Affordable Housing Program [Abstract]

Affordable Housing Program [Text Block]

Affordable Housing ProgramSection 10(j) of the FHLB Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies in the form of direct grants and/or below market interest rate advances to members who use the funds to assist with the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. The Bank provides subsidies

under its AHP solely in the form of direct grants. Annually, each FHLBank must set aside for the AHP 10 percent of its current year’s income before charges for AHP (as adjusted for interest expense on mandatorily redeemable capital stock), subject to a collective minimum contribution for all 11 FHLBanks of $100 million. The exclusion of interest expense on mandatorily redeemable capital stock is required pursuant to a Finance Agency regulatory interpretation. If the result of the aggregate 10 percent calculation is less than $100 million for all 11 FHLBanks, then the FHLB Act requires the shortfall to be allocated among the FHLBanks based on the ratio of each FHLBank’s income before AHP to the sum of the income before AHP of all of the FHLBanks provided, however, that each FHLBank’s required annual AHP contribution is limited to its annual net earnings before the contribution. There was no shortfall during the years ended December 31, 2021, 2020 or 2019. If a FHLBank determines that its required contributions are contributing to its financial instability, it may apply to the Finance Agency for a temporary suspension of its AHP contributions. No FHLBank applied for a suspension of its AHP contributions in 2021, 2020 or 2019.

The Bank’s AHP assessment is derived by adding interest expense on mandatorily redeemable capital stock (see Note 15) to reported income before assessments; the result of this calculation is then multiplied by 10 percent. The Bank charges the amount set aside for AHP to income and recognizes it as a liability. The Bank relieves the AHP liability as members receive AHP grants. If the Bank experiences a loss during a calendar quarter but still has income for the calendar year, the Bank’s obligation to the AHP is based upon its year-to-date/annual income. In years where the Bank’s income before assessments (as adjusted for interest expense on mandatorily redeemable capital stock) is zero or less, the amount of the AHP assessment is typically equal to zero, and the Bank would not typically be entitled to a credit that could be used to reduce required contributions in future years.

The following table summarizes the changes in the Bank’s AHP liability during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	2021		2020		2019
Balance, beginning of year	$	63,153	$	57,247	$	44,358
AHP assessment	18,266		22,087		25,272
Grants funded, net of recaptured amounts	(21,286)		(16,181)		(12,383)
Balance, end of year	$	60,133	$	63,153	$	57,247

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Assets and Liabilities Subject to Offsetting

12 Months Ended

Dec. 31, 2021

Assets and Liabilities Subject to Offsetting [Abstract]

Assets and Liabilities Subject to Offsetting [Text Block]

Assets and Liabilities Subject to Offsetting

The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of December 31, 2021 or 2020.

The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $50,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions.

For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Unlike bilateral derivatives, variation margin payments on cleared derivatives are legally characterized as settlements on the contracts. Initial and variation margin is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received) and any cash collateral pledged or received.

The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of December 31, 2021 and 2020 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

	Gross Amounts of Recognized  Financial Instruments		Gross Amounts Offset in the  Statement of Condition		Net Amounts Presented in the  Statement of Condition		Collateral Not Offset in the  Statement of Condition (1)			Net Unsecured Amount
December 31, 2021
Assets
Derivatives
Bilateral derivatives	$	22,346	$	(15,270)	$	7,076	$	(3,834)	(2)	$	3,242
Cleared derivatives	2,853		(2,852)		1		—			1
Total derivatives	25,199		(18,122)		7,077		(3,834)			3,243
Securities purchased under agreements to resell	10,650,000		—		10,650,000		(10,650,000)			—
Total assets	$	10,675,199	$	(18,122)	$	10,657,077	$	(10,653,834)		$	3,243
Liabilities
Derivatives
Bilateral derivatives	$	474,106	$	(464,683)	$	9,423	$	—		$	9,423
Cleared derivatives	6,200		(1,667)		4,533		(4,533)		(3)	—
Total liabilities	$	480,306	$	(466,350)	$	13,956	$	(4,533)		$	9,423
December 31, 2020
Assets
Derivatives
Bilateral derivatives	$	31,103	$	(23,128)	$	7,975	$	(7,550)	(2)	$	425
Cleared derivatives	6,866		(6,866)		—		—			—
Total derivatives	37,969		(29,994)		7,975		(7,550)			425
Securities purchased under agreements to resell	1,000,000		—		1,000,000		(1,000,000)			—
Total assets	$	1,037,969	$	(29,994)	$	1,007,975	$	(1,007,550)		$	425
Liabilities
Derivatives
Bilateral derivatives	$	490,387	$	(478,935)	$	11,452	$	—		$	11,452
Cleared derivatives	20,472		(6,875)		13,597		(13,597)		(3)	—
Total liabilities	$	510,859	$	(485,810)	$	25,049	$	(13,597)		$	11,452

_____________________________

(1)Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

(2)Consists of collateral pledged by member counterparties.

(3)    Consists of securities pledged by the Bank. In addition to the amounts needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $525,063,000 and $723,903,000 at December 31, 2021 and 2020, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

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Derivatives and Hedging Activities

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities Disclosure [Text Block]

Derivatives and Hedging Activities

     Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption and cap agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives.

The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs.

The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit.

At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain highly effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges.

     Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps.

A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank entered into interest rate cap agreements, the last of which matured during the year ended December 31, 2021. These derivatives were treated as economic hedges.

All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency CMBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges.

 The Bank's trading securities include fixed-rate and, at times, variable-rate U.S. Treasury Notes. To convert some of its fixed-rate U.S. Treasury Notes to a short-term floating rate, the Bank has, at times, entered into fixed-for-floating interest rate exchange agreements that were primarily indexed to the overnight index swap ("OIS") rate. These derivatives were treated as economic hedges.

The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges.

Advances — The Bank issues both fixed-rate and variable-rate advances. When deemed appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the

interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates.

From time to time, a small portion of the Bank’s variable-rate advances may be subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank will generally enter into interest rate cap agreements. This type of hedge is treated as a fair value hedge.

The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance.

Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances.

To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that more closely matches the interest payments it receives on short-term or variable-rate assets. These transactions are treated as fair value hedges. On occasion, the Bank enters into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are indexed to the OIS rate and are treated as economic hedges.

The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars.

Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges.

     Intermediation — The Bank offers interest rate exchange agreements to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges.

      Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges.

Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at December 31, 2021 and 2020 (in thousands).

	December 31, 2021						December 31, 2020
	Notional Amount of Derivatives		Estimated Fair Value				Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets		Derivative Liabilities				Derivative Assets		Derivative Liabilities
Derivatives designated as hedging   instruments
Interest rate swaps
Advances (1)	$	9,806,989	$	104	$	212,533	$	13,040,960	$	80	$	460,394
Available-for-sale securities (1)	14,398,278		2,028		10,502		15,190,599		4,536		36,737
Consolidated obligation bonds (1)	24,112,140		9,495		253,444		4,642,925		17,405		1,534
Consolidated obligation discount notes (2)	1,066,000		6		132		1,066,000		—		1,057
Total derivatives designated as   hedging instruments	49,383,407		11,633		476,611		33,940,484		22,021		499,722
Derivatives not designated as hedging   instruments
Interest rate swaps
Advances	265,000		—		2,044		380,000		1		7,580
Available-for-sale securities	3,081		—		1		3,126		—		3
Mortgage loans held for portfolio	265,000		22		28		318,350		174		240
Consolidated obligation discount notes	900,000		—		20		—		—		—
Trading securities	—		—		—		1,150,000		5		17
Intermediary transactions	91,672		3,834		1,320		126,362		7,410		2,799
Other	1,425,000		262		229		1,425,000		841		497
Interest rate swaptions related to mortgage loans held for portfolio	600,000		9,448		—		1,280,000		7,376		—
Mortgage delivery commitments	33,217		—		53		21,569		140		—
Interest rate caps
Held-to-maturity securities	—		—		—		250,000		—		—
Intermediary transactions	80,000		—		—		80,000		1		1
Total derivatives not designated as   hedging instruments	3,662,970		13,566		3,695		5,034,407		15,948		11,137
Total derivatives before collateral and netting adjustments	$	53,046,377	25,199		480,306		$	38,974,891	37,969		510,859
Cash collateral and related accrued interest			(3,350)		(452,763)				(9,798)		(465,606)
Cash received or remitted in excess of variation margin requirements			2		1,187				8		—
Netting adjustments			(14,774)		(14,774)				(20,204)		(20,204)
Total collateral and netting adjustments(3)			(18,122)		(466,350)				(29,994)		(485,810)
Net derivative balances reported in statements of condition			$	7,077	$	13,956			$	7,975	$	25,049

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(1)Derivatives designated as fair value hedges.

(2)Derivatives designated as cash flow hedges.

(3)Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2021
Total amount of the financial statement line item	$	119,754	$	151,684	$	(70,916)	$	(29,635)	$	135,510
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	235,243	$	473,271	$	(200,839)	$	—	$	—
Hedged items	(335,583)		(749,714)		401,649		—		—
Net gains (losses) on fair value hedging relationships	$	(100,340)	$	(276,443)	$	200,810	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(22,345)	$	22,345
Recognized in OCI	—		—		—		—		42,418
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	(22,345)	$	64,763
Year Ended December 31, 2020
Total amount of the financial statement line item	$	349,082	$	219,190	$	(277,347)	$	(198,890)	$	(51,789)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(511,580)	$	(1,169,111)	$	172,126	$	—	$	—
Hedged items	458,018		952,729		(62,690)		—		—
Net gains (losses) on fair value hedging relationships	$	(53,562)	$	(216,382)	$	109,436	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(14,627)	$	14,627
Recognized in OCI	—		—		—		—		(96,035)
Net losses on cash flow hedging relationships	$	—	$	—	$	—	$	(14,627)	$	(81,408)

	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2019
Total amount of the financial statement line item	$	906,671	$	465,023	$	(711,240)	$	(780,165)	$	(28,952)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(122,094)	$	(760,621)	$	212,198	$	—	$	—
Hedged items	170,055		796,381		(245,307)		—		—
Net gains (losses) on fair value hedging relationships	$	47,961	$	35,760	$	(33,109)	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	1,829	$	(1,829)
Recognized in OCI	—		—		—		—		(54,777)
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	1,829	$	(56,606)

For the years ended December 31, 2021, 2020 and 2019, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At December 31, 2021, $18,556,000 of deferred net losses on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At that same date, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 8.1 years.

The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of December 31, 2021 and 2020 (in thousands).

Line Item in Statement of Condition of Hedged Item	Amortized Cost of Hedged Asset/(Liability) (1)		Basis Adjustments for Active Hedging  Relationships Included in Amortized Cost		Basis Adjustments for Discontinued Hedging  Relationships Included in Amortized Cost		Total Fair Value Hedging Basis Adjustments (2)
December 31, 2021
Advances	$	10,065,117	$	226,159	$	4,918	$	231,077
Available-for-sale securities	15,046,972		532,869		(1,441)		531,428
Consolidated obligation bonds	(24,017,958)		273,936		(657)		273,279
December 31, 2020
Advances	13,621,492		567,408		3,846		571,254
Available-for-sale securities	16,615,401		1,296,845		(980)		1,295,865
Consolidated obligation bonds	(5,244,262)		(127,192)		(1,178)		(128,370)

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(1)Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.

(2)Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items.

The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Gain (Loss) Recognized in Other Income (Loss) for the Year Ended December 31,
	2021		2020		2019
Derivatives not designated as hedging instruments
Interest rate swaps	$	(10,256)	$	19,224	$	28,408
Net interest income (expense) on interest rate swaps	5,542		(20,682)		(3,414)
Interest rate swaptions	5,307		(4,524)		(2,728)
Interest rate caps	—		—		86
Mortgage delivery commitments	(1,848)		8,507		2,097
Total net gain (loss) related to derivatives not designated as hedging instruments	(1,255)		2,525		24,449
Price alignment amount on variation margin for daily settled derivative contracts(1)	3		362		238
Net gains (losses) on derivatives and hedging activities reported in other income (loss)	$	(1,252)	$	2,887	$	24,687

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(1)Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item.

Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy and Finance Agency regulations. Approximately 42 percent of the Bank's derivative contracts (based on notional value) have been cleared through third-party central clearinghouses (as of December 31, 2021, the notional balance of cleared transactions outstanding totaled $22.5 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of December 31, 2021, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $30.4 billion and $0.1 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations.

The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 13. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.

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Capital

12 Months Ended

Dec. 31, 2021

Banking Regulation, Total Capital [Abstract]

Stockholders' Equity Note Disclosure [Text Block]

Capital

Under the Gramm-Leach-Bliley Act of 1999 (the “GLB Act”) and the Finance Agency’s capital regulations, each FHLBank may issue Class A stock or Class B stock, or both, to its members. The Bank’s Capital Plan provides that it will issue only Class B capital stock. The Class B stock has a par value of $100 per share and is purchased, redeemed, repurchased and, with the prior approval of the Bank, transferred only at its par value. As required by statute and regulation, members may request the Bank to redeem excess Class B stock, or withdraw from membership and request the Bank to redeem all outstanding capital stock, with five years’ written notice to the Bank. The regulations also allow the Bank, in its sole discretion, to repurchase members’ excess stock at any time without regard for the five-year notification period as long as the Bank continues to meet its regulatory capital requirements following any stock repurchases, as described below.

Members are required to maintain an investment in Class B Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of the previous calendar year-end, subject to a minimum of $1,000 and a maximum of $7,000,000. Under the Bank's Capital Plan, the permissible range for the advances-based component of the activity-based

investment requirement is a range of 2.0 percent to 5.0 percent of members’ advances outstanding. Except as described below, the activity-based investment requirement is (and has been) 4.1 percent of outstanding advances.

On April 19, 2021, the Bank implemented an amendment to its Capital Plan. The amended Capital Plan provides for the imposition of an activity-based investment requirement ranging from 0.10 percent to 2.00 percent of members' outstanding letters of credit (the "LC Percentage"), as specified from time to time by the Bank's Board of Directors. The Board of Directors has established an LC Percentage of 0.10 percent which applies only to letters of credit that are issued or renewed on and after April 19, 2021. The LC Percentage is applied to the issued amount of the letter of credit rather than, if applicable, the amount of the letter of credit that is used from time to time during the term of the letter of credit. Further, renewals for this purpose include amendments that extend the expiration date of the letter of credit.

Members and institutions that acquire members must comply with the activity-based investment requirements for as long as the relevant activity remains outstanding. The Bank’s Board of Directors has the authority to adjust these requirements periodically within the ranges established in the Capital Plan, as amended from time to time, to ensure that the Bank remains adequately capitalized.

The Bank has two sub-classes of Class B Stock. Class B-1 Stock is used to meet the membership investment requirement and Class B-2 Stock is used to meet the activity-based investment requirement. Daily, subject to the limitations in the Capital Plan, the Bank converts shares of one sub-class of Class B Stock to the other sub-class of Class B Stock under the following circumstances: (i) shares of Class B-2 Stock held by a shareholder in excess of its activity-based investment requirement are converted into Class B-1 Stock, if necessary, to meet that shareholder’s membership investment requirement and (ii) shares of Class B-1 Stock held by a shareholder in excess of the amount required to meet its membership investment requirement are converted into Class B-2 Stock as needed in order to satisfy that shareholder’s activity-based investment requirement.

The Bank’s Board of Directors may establish one or more separate advances investment requirement percentages (each an "advance type specific percentage") within the range described above to be applied to a specific category of advances in lieu of the generally applicable advances-related investment requirement percentage in effect at the time. Such category of advances may be defined as a particular advances product offering, advances with particular maturities or other features, advances that represent an increase in member borrowing, or such other criteria as the Bank’s Board of Directors may determine. Any advance type specific percentage may be established for an indefinite period of time, or for a specific time period, at the discretion of the Bank’s Board of Directors. Any changes to the activity-based investment requirement require at least 30 days advance notice to the Bank’s members.

On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. All other minimum investment requirements also continued to apply.

On February 28, 2020, the Bank announced another Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for up to $5.0 billion of advances that: (1) were funded during the period from April 1, 2020 through December 31, 2020 and (2) had a maturity of one year or greater. On July 1, 2020, the Bank announced a Board-authorized modification to this special advances offering. As modified, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from August 1, 2020 through December 31, 2020 and (2) had a maturity of 28 days or greater. On December 7, 2020, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2020 to June 30, 2021. On March 17, 2021, the Bank announced another Board-authorized modification and extension to this special advances offering. As modified and extended, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from April 19, 2021 through December 31, 2021 and (2) had a maturity of 32 days or greater. For advances that were funded on or prior to April 18, 2021, the reduced activity-based capital stock investment requirement continued to apply to advances that had a maturity of 28 days or greater. On December 8, 2021, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2021 to December 31, 2022. Under the special advances offering described in this paragraph, the maximum balance of advances to which the reduced activity-based stock investment requirement can be applied is $5.0 billion. Except as described in this paragraph, the standard activity-based stock investment requirement of 4.1 percent continues to apply to all other advances that are funded during the period from April 1, 2020 through December 31, 2022.

Excess stock is defined as the amount of stock held by a member (or former member) in excess of that institution’s minimum investment requirement (i.e., the amount of stock held in excess of its activity-based investment requirement and, in the case of a member, its membership investment requirement). All excess stock is held as Class B-1 Stock at all times. At any

time, shareholders may request the Bank to repurchase excess capital stock. Although the Bank is not obligated to repurchase excess stock prior to the expiration of a five-year redemption or withdrawal notification period, it will typically endeavor to honor such requests within a reasonable period of time (generally not exceeding 30 days) so long as the Bank will continue to meet its regulatory capital requirements following the repurchase.

The Bank’s Member Products and Credit Policy provides that the Bank may periodically repurchase a portion of members’ excess capital stock. The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during 2021, 2020 and 2019, surplus stock was defined as the amount of stock held by a shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For the repurchases that occurred during 2021 and on December 30, 2020, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,000,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). For the other repurchases that occurred during 2020 and the repurchases that occurred during 2019, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). During the years ended December 31, 2021, 2020 and 2019, the Bank repurchased surplus stock totaling $153,087,000, $471,326,000 and $739,733,000, respectively, none of which was classified as mandatorily redeemable capital stock at the time of repurchase. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases.

Concurrent with the quarterly repurchases of surplus stock that occurred in 2021, 2020 and 2019, the Bank also repurchased all excess stock held by non-member shareholders as of the repurchase dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $7,049,000, $53,992,000 and $2,296,000, respectively.

The following table presents total excess stock at December 31, 2021 and 2020 (in thousands).

	2021		2020
Excess stock
Capital stock	$	843,114	$	519,870
Mandatorily redeemable capital stock	2,172		9,025
Total	$	845,286	$	528,895

Under the Finance Agency’s regulations, the Bank is subject to three capital requirements. First, the Bank must maintain at all times permanent capital (defined under the Finance Agency’s rules and regulations as retained earnings and all Class B stock regardless of its classification for financial reporting purposes) in an amount at least equal to its risk-based capital requirement, which is the sum of its credit risk capital requirement, its market risk capital requirement, and its operations risk capital requirement, calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined. Second, the Bank must, at all times, maintain total capital in an amount at least equal to 4.0 percent of its total assets (capital-to-assets ratio). For the Bank, total capital is defined by Finance Agency rules and regulations as the Bank’s permanent capital and the amount of any general allowance for losses (i.e., those reserves that are not held against specific assets). Finally, the Bank is required to maintain at all times a minimum leverage capital-to-assets ratio in an amount at least equal to 5.0 percent of its total assets. In applying this requirement to the Bank, leverage capital includes the Bank’s permanent capital multiplied by a factor of 1.5 plus the amount of any general allowance for losses. The Bank did not have any general reserves at December 31, 2021 or 2020. Under the regulatory definitions, total capital and permanent capital exclude AOCI. Additionally, mandatorily redeemable capital stock is considered capital for purposes of determining the Bank’s compliance with its regulatory capital requirements.

At all times during the three years ended December 31, 2021, the Bank was in compliance with the aforementioned capital requirements. The following table summarizes the Bank’s compliance with the Finance Agency’s capital requirements as of December 31, 2021 and 2020 (dollars in thousands):

	December 31, 2021						December 31, 2020
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	757,555		$	3,757,578		$	1,006,191		$	3,523,489
Total capital	$	2,539,535		$	3,757,578		$	2,596,501		$	3,523,489
Total capital-to-assets ratio	4.00		%	5.92		%	4.00		%	5.43		%
Leverage capital	$	3,174,419		$	5,636,367		$	3,245,626		$	5,285,234
Leverage capital-to-assets ratio	5.00		%	8.88		%	5.00		%	8.14		%

Beginning in February 2020, the Bank must also maintain (pursuant to an Advisory Bulletin issued by the Finance Agency) a minimum capital stock-to-assets ratio of 2.0 percent, as measured on a daily average basis at each month end. The Bank was in compliance with this requirement at each of the applicable month ends in 2021 and 2020.

On August 4, 2009, the Finance Agency adopted a final rule establishing capital classifications and critical capital levels for the FHLBanks. The rule defines critical capital levels for the FHLBanks and establishes criteria for each of the following capital classifications identified in the Safety and Soundness Act, as amended by the Housing and Economic Recovery Act of 2008: adequately capitalized, undercapitalized, significantly undercapitalized and critically undercapitalized. An adequately capitalized FHLBank meets all existing risk-based and minimum capital requirements. An undercapitalized FHLBank does not meet one or more of its risk-based or minimum capital requirements, but nonetheless has total capital equal to or greater than 75 percent of all capital requirements. A significantly undercapitalized FHLBank does not have total capital equal to or greater than 75 percent of all capital requirements, but the FHLBank does have total capital greater than 2 percent of its total assets. A critically undercapitalized FHLBank has total capital that is less than or equal to 2 percent of its total assets. The Bank has been classified as adequately capitalized since the rule became effective.

In addition to restrictions on capital distributions by a FHLBank that does not meet all of its risk-based and minimum capital requirements, a FHLBank that is classified as undercapitalized, significantly undercapitalized or critically undercapitalized is required to take certain actions, such as submitting a capital restoration plan to the Director of the Finance Agency for approval. Additionally, with respect to a FHLBank that is less than adequately capitalized, the Director of the Finance Agency may take other actions that he or she determines will help ensure the safe and sound operation of the FHLBank and its compliance with its risk-based and minimum capital requirements in a reasonable period of time.

The GLB Act made membership voluntary for all members. Members that withdraw from membership may not be readmitted to membership in any FHLBank for at least five years following the date that their membership was terminated and all of their shares of stock were redeemed or repurchased.

Effective February 28, 2011, the Bank entered into a Joint Capital Enhancement Agreement (the “JCE Agreement”) with the other FHLBanks. Effective August 5, 2011, the FHLBanks amended the JCE Agreement, and the Finance Agency approved an amendment to the Bank's capital plan to incorporate its provisions on that same date. The amended JCE Agreement provides that the Bank (and each of the other FHLBanks) will, on a quarterly basis, allocate at least 20 percent of its net income to a restricted retained earnings account (“RRE Account”). Pursuant to the provisions of the amended JCE Agreement, the Bank is required to build its RRE Account to an amount equal to one percent of its total outstanding consolidated obligations, which for this purpose is based on the most recent quarter’s average carrying value of all outstanding consolidated obligations, excluding hedging adjustments. Amounts allocated to the Bank’s RRE Account are not available to pay dividends.

The Bank’s Board of Directors may declare dividends at the same rate for all shares of Class B Stock, or at different rates for Class B-1 Stock and Class B-2 Stock, provided that in no event can the dividend rate on Class B-2 Stock be lower than the dividend rate on Class B-1 Stock. Dividend payments may be made in the form of cash, additional shares of either, or both, sub-classes of Class B Stock, or a combination thereof as determined by the Bank’s Board of Directors and can be paid only from unrestricted retained earnings or a portion of current earnings. The Bank’s Board of Directors may not declare or pay a dividend if the Bank is not in compliance with its minimum capital requirements or if the Bank would fail to meet its minimum capital requirements after paying such dividend. In addition, the Bank’s Board of Directors may not declare or pay a dividend based on projected or anticipated earnings; further, the Bank may not declare or pay any dividends in the form of capital stock if its excess stock is greater than 1 percent of its total assets or if, after the issuance of such shares, the Bank’s outstanding excess stock would be greater than 1 percent of its total assets.

     Mandatorily Redeemable Capital Stock. As discussed in Note 1, the Bank’s capital stock is classified as equity (capital) for financial reporting purposes until either a written redemption or withdrawal notice is received from a member or a membership withdrawal or termination is otherwise initiated, at which time the capital stock is reclassified to liabilities. The Finance Agency has confirmed that the accounting classification of certain shares of its capital stock as liabilities does not affect the definition of capital for purposes of determining the Bank’s compliance with its regulatory capital requirements.

At December 31, 2021, the Bank had $6,657,000 in outstanding capital stock subject to mandatory redemption held by 3 institutions. As of December 31, 2020, the Bank had $13,864,000 in outstanding capital stock subject to mandatory redemption held by 6 institutions. These amounts are classified as liabilities in the statements of condition. During the years ended December 31, 2021, 2020 and 2019, dividends on mandatorily redeemable capital stock in the amount of $17,000, $83,000 and $189,000, respectively, were recorded as interest expense in the statements of income.

The Bank is not required to redeem or repurchase activity-based stock until the later of the expiration of a notice of redemption or withdrawal or the date the activity no longer remains outstanding. If activity-based stock becomes excess stock as a result of reduced activity, the Bank, in its discretion and subject to certain regulatory restrictions, may repurchase excess stock prior to the expiration of the notice of redemption or withdrawal. The Bank will generally repurchase such excess stock as long as it expects to continue to meet its minimum capital requirements following the repurchase.

The following table summarizes the Bank’s mandatorily redeemable capital stock at December 31, 2021 by year of earliest mandatory redemption (in thousands). The earliest mandatory redemption reflects the earliest time at which the Bank is required to redeem the shareholder’s capital stock, and is based on the assumption that the activities associated with the activity-based stock have concluded by the time the notice of redemption or withdrawal expires.

2022	$	135
2023	6,228
2024	176
2025	77
2026	41
Total	$	6,657

The following table summarizes the Bank’s mandatorily redeemable capital stock activity during 2021, 2020 and 2019 (in thousands).

Balance, January 1, 2019	$	6,979
Capital stock that became subject to mandatory redemption during the year	2,326
Redemption/repurchase of mandatorily redeemable capital stock	(2,391)
Stock dividends classified as mandatorily redeemable	226
Balance, December 31, 2019	7,140
Capital stock that became subject to mandatory redemption during the year	61,032
Redemption/repurchase of mandatorily redeemable capital stock	(54,615)
Stock dividends classified as mandatorily redeemable	307
Balance, December 31, 2020	13,864
Capital stock that became subject to mandatory redemption during the year	40
Redemption/repurchase of mandatorily redeemable capital stock	(7,294)
Mandatorily redeemable capital stock issued during the year	22
Stock dividends classified as mandatorily redeemable	25
Balance, December 31, 2021	$	6,657

A member may cancel a previously submitted redemption or withdrawal notice by providing a written cancellation notice to the Bank prior to the expiration of the five-year redemption/withdrawal notice period. A member that cancels a stock redemption or withdrawal notice more than 30 days after it is received by the Bank and prior to its expiration is subject to a cancellation fee equal to a percentage of the par value of the capital stock subject to the cancellation notice.

The following table provides the number of institutions that held mandatorily redeemable capital stock and the number that submitted a withdrawal notice or otherwise initiated a termination of their membership and the number of terminations completed during 2021, 2020 and 2019:

	2021	2020	2019
Number of institutions, beginning of year	6	6	8
Due to mergers and acquisitions	—	2	2
Due to liquidation	1	—	—
Terminations completed during the year	(4)	(2)	(4)
Number of institutions, end of year	3	6	6

The Bank did not receive any stock redemption notices in 2021, 2020 or 2019.

    Limitations on Redemption or Repurchase of Capital Stock. The GLB Act imposes the following restrictions on the redemption or repurchase of the Bank’s capital stock.

•In no event may the Bank redeem or repurchase capital stock if the Bank is not in compliance with its minimum capital requirements or if the redemption or repurchase would cause the Bank to be out of compliance with its minimum capital requirements, or if the redemption or repurchase would cause the member to be out of compliance with its minimum investment requirement. In addition, the Bank’s Board of Directors may suspend redemption of capital stock if the Bank reasonably believes that continued redemption of capital stock would cause the Bank to fail to meet its minimum capital requirements in the future, would prevent the Bank from maintaining adequate capital against a potential risk that may not be adequately reflected in its minimum capital requirements, or would otherwise prevent the Bank from operating in a safe and sound manner.

•In no event may the Bank redeem or repurchase capital stock without the prior written approval of the Finance Agency if the Finance Agency or the Bank’s Board of Directors has determined that the Bank has incurred, or is likely to incur, losses that result in, or are likely to result in, charges against the capital of the Bank. For this purpose, charges against the capital of the Bank means an other than temporary decline in the Bank’s total equity that causes the value of total equity to fall below the Bank’s aggregate capital stock amount. Such a determination may be made by the Finance Agency or the Board of Directors even if the Bank is in compliance with its minimum capital requirements.

•The Bank may not repurchase any capital stock without the written consent of the Finance Agency during any period in which the Bank has suspended redemptions of capital stock. The Bank is required to notify the Finance Agency if it suspends redemptions of capital stock and set forth its plan for addressing the conditions that led to the suspension. The Finance Agency may require the Bank to reinstate redemptions of capital stock.

•In no event may the Bank redeem or repurchase shares of capital stock if the principal and interest due on any FHLBank System consolidated obligations issued through the Office of Finance have not been paid in full or, under certain circumstances, if the Bank becomes a non-complying FHLBank under Finance Agency regulations as a result of its inability to comply with regulatory liquidity requirements or to satisfy its current obligations.

•If at any time the Bank determines that the total amount of capital stock subject to outstanding stock redemption or withdrawal notices with expiration dates within the following 12 months exceeds the amount of capital stock the Bank could redeem and still comply with its minimum capital requirements, the Bank will determine whether to suspend redemption and repurchase activities altogether, to fulfill requests for redemption sequentially in the order in which they were received, to fulfill the requests on a pro rata basis, or to take other action deemed appropriate by the Bank.

 Distribution from Financing Corporation. The Financing Corporation ("FICO") was formed pursuant to the Competitive Equality Banking Act of 1987 to provide financing for the resolution of failed savings and loan associations. The capitalization of FICO was provided by capital distributions from the FHLBanks in exchange for non-voting capital stock of FICO. The Bank's capital distributions were made in 1987, 1988 and 1989. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the Bank's capital stock investment in FICO was determined to be non-redeemable and, in 1989, the Bank charged off its investment in FICO directly against retained earnings. After satisfying its obligations in September 2019, FICO commenced a process to dissolve in accordance with relevant statutory requirements and the terms of a plan of dissolution approved by the Director of the Finance Agency. During the second quarter of 2020, in connection with the dissolution of FICO, the Bank received a distribution of $17,639,000, representing the Bank's proportionate share of FICO’s surplus and remaining cash on hand. The receipt of this distribution was treated as a partial return of the Bank's prior investment in FICO and credited to unrestricted retained earnings.

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Employee Retirement Plans

12 Months Ended

Dec. 31, 2021

Employee Retirement Plans [Abstract]

Pension and Other Postretirement Benefits Disclosure [Text Block]

Employee Retirement Plans

The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (“Pentegra DB Plan”), a tax-qualified defined benefit pension plan. The Pentegra DB Plan covers substantially all officers and employees of the Bank who were hired prior to January 1, 2007, and any new employee of the Bank who was hired on or after January 1, 2007, provided that the employee had prior service with a financial services institution that participated in the Pentegra DB Plan, during which service the employee was covered by such plan. In addition, effective July 1, 2015, coverage was extended to include all of the Bank's non-highly compensated employees (as defined by Internal Revenue Service rules) who were hired on and after January 1, 2007 but before August 1, 2010. The Pentegra DB Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 ("ERISA") and the Internal Revenue Code. As a result, certain multiemployer plan disclosures, including the certified zone status, are not applicable to the Pentegra DB Plan. Under the Pentegra DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. In addition, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately.  

 The Pentegra DB Plan operates on a fiscal year from July 1 through June 30. The Pentegra DB Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank.

The Pentegra DB Plan's annual valuation process includes separate calculations of the plan's funded status as well as the funded status of each participating employer. Participating employers in an under-funded position are billed for their required contributions while those in an over-funded position can use their surplus to offset all or a portion of their contribution requirement. The funded status is defined as the market value of assets divided by the funding target (an amount equal to 100 percent of the present value of all benefit liabilities accrued at the valuation date) and is calculated as of the beginning of the Pentegra DB Plan year. As permitted by ERISA, the Pentegra DB Plan accepts contributions for a plan year up to eight and a half months after the end of that plan year and, as a result, the market value of assets at the valuation date (July 1) is increased by any subsequent contributions that are designated for the immediately preceding plan year ended June 30.

The most recent Form 5500 available for the Pentegra DB Plan is for the year ended June 30, 2020. The Bank's contributions for the year ended December 31, 2019 did not represent more than 5 percent of the total contributions to the plan for the plan year ended June 30, 2020.

The following table presents the Bank's net pension cost and its funded status, as well as the funded status of the Pentegra DB Plan (dollars in thousands, including amounts presented in the footnotes to the table).

	2021				2020				2019
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,677			$	18,675			$	5,200
Pentegra DB Plan funded status as of July 1	129.6		%	(a)	108.5		%	(b)	108.6		%
Bank's funded status as of July 1	123.5		%		90.1		%		94.8		%

____________

(a)    The Pentegra DB Plan's funded status as of July 1, 2021 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021 through March 15, 2022. Contributions made during the period from July 1, 2021 through March 15, 2022 and designated for the plan year ended June 30, 2021 will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year July 1, 2021 through June 30, 2022 is filed (this Form 5500 is due to be filed no later than April 2023).

(b)    The Pentegra DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made during the period from July 1, 2020 through March 15, 2021 and designated for the plan year ended June 30, 2020 will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022).

Substantially all employees are eligible to participate in the FHLBank of Dallas 401(k) Retirement Plan (the "FHLB Dallas DC Plan"), a tax-qualified defined contribution plan. The Bank’s contributions to the FHLB Dallas DC Plan are equal to a percentage of voluntary employee contributions, subject to certain limitations. During the years ended December 31, 2021, 2020 and 2019, the Bank contributed $1,911,000, $1,747,000 and $1,651,000, respectively, to this plan.

Additionally, the Bank maintains a non-qualified deferred compensation plan that is available to some employees, which is, in substance, an unfunded supplemental retirement plan. The Bank’s liability, which consists of the accumulated employee

compensation deferrals, accrued earnings (or losses) on those deferrals and matching Bank contributions corresponding to the contribution percentages applicable to the defined contribution plan, was $10,334,000 and $8,445,000 at December 31, 2021 and 2020, respectively. Compensation and benefits expense includes accrued earnings (or losses) on deferred employee compensation and Bank contributions totaling $1,382,000, $1,100,000 and $1,136,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

The Bank's non-qualified deferred compensation plan is also available to all of its directors. The Bank’s liability for directors' deferred compensation, which consists of the accumulated compensation deferrals (representing directors’ fees) and the accrued earnings (or losses) on those deferrals, was $3,585,000 and $3,942,000 at December 31, 2021 and 2020, respectively. Other operating expense includes accrued earnings on deferred director compensation totaling $296,000, $320,000 and $343,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

The Bank maintains a Special Non-Qualified Deferred Compensation Plan (the “SERP”), a defined contribution plan that was established primarily to provide supplemental retirement benefits to those employees who were serving as the Bank’s executive officers at the time the SERP was established. Each participant’s benefit under the SERP consists of contributions that were made by the Bank on the participant’s behalf, plus an allocation of the investment gains or losses on the assets used to fund the SERP. Contributions to the SERP are determined solely at the discretion of the Bank’s Board of Directors; the Bank has no obligation or current intention to make future contributions to the SERP. The Bank’s accrued liability under this plan was $2,828,000 and $3,396,000 at December 31, 2021 and 2020, respectively. The Bank did not make any contributions to the SERP during the years ended December 31, 2021, 2020 or 2019.

The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. The health care portion of the program is contributory while the life insurance benefits, which are available to retirees with at least 20 years of service, are offered on a noncontributory basis. Prior to January 1, 2005, retirees were eligible to remain enrolled in the Bank’s health care benefits plan if age 50 or older with at least 10 years of service at the time of retirement. In December 2004, the Bank modified the eligibility requirements relating to retiree health care continuation benefits. Effective January 1, 2005, retirees are eligible to remain enrolled in the Bank’s health care benefits plan if age 55 or older with at least 15 years of service at the time of retirement. Employees who were age 50 or older with 10 years of service and those who had 20 years of service as of December 31, 2004 were not subject to the revised eligibility requirements. Additionally, then current retiree benefits were unaffected by these modifications. In October 2005, the Bank modified the participant contribution requirements relating to its retirement benefits program. Effective December 31, 2005, retirees who are age 55 or older with at least 15 years of service at the time of retirement can remain enrolled in the Bank’s health care benefits program by paying 100% of the expected plan cost. Previously, participant contributions were subsidized by the Bank; this subsidy was based upon the Bank’s COBRA premium rate and the employee’s age and length of service with the Bank. Then current retirees, employees who were hired prior to January 1, 1991 and those who, as of December 31, 2004, had at least 20 years of service or were age 50 or older with 10 years of service are not subject to these revised contribution requirements prior to age 65. Under the revised plan, at age 65, all plan participants are required to pay 100% of the expected plan cost. The Bank does not have any plan assets set aside for the retirement benefits program.

The Bank uses a December 31 measurement date for its retirement benefits program. A reconciliation of the accumulated postretirement benefit obligation (“APBO”) and funding status of the retirement benefits program for the years ended December 31, 2021 and 2020 is as follows (in thousands):

	Year Ended December 31,
	2021		2020
Change in APBO
APBO at beginning of year	$	756	$	636
Service cost	41		40
Interest cost	12		18
Actuarial loss (gain)	(201)		87
Participant contributions	150		136
Benefits paid	(183)		(161)
APBO at end of year	575		756
Change in plan assets
Fair value of plan assets at beginning of year	—		—
Benefits paid by the Bank	33		25
Participant contributions	150		136
Benefits paid	(183)		(161)
Fair value of plan assets at end of year	—		—
Funded status recognized in other liabilities at end of year	$	(575)	$	(756)

Amounts recognized in AOCI at December 31, 2021 and 2020 consist of the following (in thousands):

	December 31,
	2021		2020
Net actuarial gain	$	1,082	$	972
Prior service cost	(48)		(69)
	$	1,034	$	903

The amounts in AOCI include $20,000 of prior service cost and $77,000 of net actuarial gains that are expected to be recognized as components of net periodic benefit credit in 2022.

The actuarial assumptions used in the measurement of the Bank’s benefit obligation included a gross health care cost trend rate of 5.4 percent for 2022. For 2021, 2020 and 2019, gross health care cost trend rates of 7.5 percent, 5.2 percent and 5.5 percent, respectively, were used. The gross health care cost trend rate is assumed to decline by 0.15 percent per year to a final rate of 4.4 percent in 2029 and thereafter. To compute the APBO at December 31, 2021 and 2020, weighted average discount rates of 2.95 percent and 2.61 percent were used. Weighted average discount rates of 2.61 percent, 3.34 percent and 4.10 percent were used to compute the net periodic benefit cost (credit) for 2021, 2020 and 2019, respectively.

Components of net periodic benefit cost (credit) for the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Service cost	$	41	$	40	$	27
Interest cost	12		18		23
Amortization of prior service cost	21		20		20
Amortization of net actuarial gain	(91)		(80)		(94)
Net periodic benefit credit	$	(17)	$	(2)	$	(24)

The Bank reports the service cost component of its net periodic postretirement benefit cost (credit) in compensation and benefits expense and the other components of net periodic postretirement benefit cost (credit) in "other, net" in the other income (loss) section of the statement of income.

Under U.S. GAAP, the Bank is required to recognize the overfunded or underfunded status of its retirement benefits program as an asset or liability in its statement of condition and to recognize changes in that funded status in the year in which the changes occur through other comprehensive income. Changes in benefit obligations recognized in other comprehensive income during the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Amortization of prior service cost included in net periodic benefit cost	$	21	$	20	$	20
Actuarial gain (loss)	201		(87)		(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)		(80)		(94)
Total changes in benefit obligations recognized in other comprehensive income	$	131	$	(147)	$	(226)

A 1 percent increase or decrease in the health care cost trend rate would have had an insignificant effect on the APBO at December 31, 2021 and the aggregate of the service and interest cost components of the net periodic benefit cost for the year ended December 31, 2021.

The following net postretirement benefit payments, which reflect expected future service, as appropriate, are expected to be paid (in thousands):

Year Ended December 31,	Expected Benefits Payments, Net of Participant Contributions
2022	$	79
2023	49
2024	27
2025	38
2026	25
2027-2031	43
	$	261

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Estimated Fair Values

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Estimated Fair Values

Fair value is defined under U.S. GAAP 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. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

     Level 2 Inputs — Inputs other than quoted prices included in Level 1 that are observable 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 (e.g., implied spreads).

Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs.

For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the years ended December 31, 2021 and 2020, the Bank did not reclassify any fair value measurements.

The following estimated fair value amounts have been determined by the Bank using available market information and management's best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of December 31, 2021 and 2020. Although management uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities.

The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below.

       Trading and available-for-sale securities. To value its U.S. Treasury Notes and U.S. Treasury Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available.

The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

Recently, the Bank conducted reviews of the three pricing vendors to reconfirm its understanding of the vendors' pricing processes, methodologies and control procedures and was satisfied that those processes, methodologies and control procedures were adequate and appropriate.

A “median” price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. 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. All 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 final 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 December 31, 2021 and 2020, three vendor prices were received for substantially all of the Bank's trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods 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, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy.

Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve, the SOFR curve or the OIS curve and, for purposes of discounting, either the OIS curve for bilateral contracts or the SOFR curve for cleared contracts) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps are also estimated using a pricing model with inputs that are observable in the market (that is, cap volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). Prior to October 2020, the Bank used the OIS curve to discount cash flows when determining the fair values of all of its interest rate exchange agreements. As

further discussed in Note 2, in October 2020, the central clearinghouses with which the Bank transacts began using the SOFR curve as the discount curve for purposes of valuing interest rate exchange agreements and, as a result, the Bank concurrently replaced the OIS curve with the SOFR curve for purposes of valuing its cleared derivatives. The impact of this change was not significant.

As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 13), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability.

The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS.

     Other assets held at fair value. To value its mutual fund investments included in other assets, the Bank obtains quoted prices for the mutual funds.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2021 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	542,801	$	542,801	$	542,801	$	—		$	—		$	—
Interest-bearing deposits	885,745		885,745		—		885,745			—			—
Securities purchased under agreements to resell	10,650,000		10,650,000		—		10,650,000			—			—
Federal funds sold	4,781,000		4,781,000		—		4,781,000			—			—
Trading securities (1)	2,454,870		2,454,870		—		2,454,870			—			—
Available-for-sale securities (1)	15,288,032		15,288,032		—		15,288,032			—			—
Held-to-maturity securities	593,555		606,352		—		566,487		(2)	39,865		(3)	—
Advances	24,637,464		24,670,292		—		24,670,292			—			—
Mortgage loans held for portfolio, net	3,491,265		3,505,042		—		3,505,042			—			—
Accrued interest receivable	91,581		91,581		—		91,581			—			—
Derivative assets (1)	7,077		7,077		—		25,199			—			(18,122)
Other assets held at fair value (1)	17,574		17,574		17,574		—			—			—
Liabilities:
Deposits	1,590,188		1,590,187		—		1,590,187			—			—
Consolidated obligations
Discount notes	11,003,026		11,000,139		—		11,000,139			—			—
Bonds	44,514,220		44,487,511		—		44,487,511			—			—
Mandatorily redeemable capital stock	6,657		6,657		6,657		—			—			—
Accrued interest payable	73,038		73,038		—		73,038			—			—
Derivative liabilities (1)	13,956		13,956		—		480,306			—			(466,350)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2021.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2020 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	3,178,281	$	3,178,281	$	3,178,281	$	—		$	—		$	—
Interest-bearing deposits	759,240		759,240		—		759,240			—			—
Securities purchased under agreements to resell	1,000,000		1,000,000		—		1,000,000			—			—
Federal funds sold	915,000		915,000		—		915,000			—			—
Trading securities (1)	5,301,468		5,301,468		—		5,301,468			—			—
Available-for-sale securities (1)	16,787,762		16,787,762		—		16,787,762			—			—
Held-to-maturity securities	897,226		908,630		—		857,785		(2)	50,845		(3)	—
Advances	32,478,944		32,536,792		—		32,536,792			—			—
Mortgage loans held for portfolio, net	3,422,686		3,503,137		—		3,503,137			—			—
Accrued interest receivable	106,322		106,322		—		106,322			—			—
Derivative assets (1)	7,975		7,975		—		37,969			—			(29,994)
Other assets held at fair value (1)	15,839		15,839		15,839		—			—			—
Liabilities:
Deposits	1,583,120		1,583,131		—		1,583,131			—			—
Consolidated obligations
Discount notes	22,171,296		22,170,858		—		22,170,858			—			—
Bonds	37,112,721		37,197,548		—		37,197,548			—			—
Mandatorily redeemable capital stock	13,864		13,864		13,864		—			—			—
Accrued interest payable	42,039		42,039		—		42,039			—			—
Derivative liabilities (1)	25,049		25,049		—		510,859			—			(485,810)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2020.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

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Commitments and Contingencies

12 Months Ended

Dec. 31, 2021

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies Disclosure [Text Block]

Commitments and Contingencies     Joint and several liability. As described in Note 11, the Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At December 31, 2021 and 2020, the par amounts of the other 10 FHLBanks’ outstanding consolidated obligations totaled $597 billion and $688 billion, respectively. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor 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 that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other

FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked.

The joint and several obligations are mandated by Finance Agency regulations and are not the result of arms-length transactions among the FHLBanks. As described above, the FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several liability. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote.

Other commitments and contingencies. At December 31, 2021 and 2020, the Bank had commitments to make additional advances totaling approximately $22,042,000 and $7,161,000, respectively. At December 31, 2021, all of the outstanding commitments to make additional advances expire in 2022.

The Bank issues standby letters of credit for a fee on behalf of its members. Standby letters of credit serve as performance guarantees. If the Bank is required to make payment for a beneficiary’s draw on the letter of credit, the amount funded is converted into a collateralized advance to the member. Letters of credit are fully collateralized in the same manner as advances (see Note 6). Outstanding standby letters of credit totaled $21,652,978,000 and $22,402,688,000 at December 31, 2021 and 2020, respectively. At December 31, 2021, outstanding letters of credit had original terms of up to 15 years with a final expiration in 2035. Unearned fees on standby letters of credit are recorded in other liabilities and totaled $4,970,000 and $5,621,000 at December 31, 2021 and 2020, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 9).

The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At December 31, 2021 and 2020, the Bank had outstanding standby bond purchase agreements totaling $914,041,000 and $709,300,000, respectively. At December 31, 2021, standby bond purchase agreements totaling $165,299,000, $210,622,000, $46,840,000, $239,825,000 and $251,455,000 expire in 2022, 2023, 2024, 2025 and 2026, respectively. The Bank was not required to purchase any bonds under these agreements during the years ended December 31, 2021 or 2020.

At December 31, 2021 and 2020, the Bank had commitments to purchase conventional mortgage loans totaling $33,217,000 and $21,569,000, respectively, from certain of its PFIs.

At December 31, 2021, the Bank had commitments to issue $350,000,000 (par value) of consolidated obligation bonds, all of which were hedged with interest rate swaps. The Bank did not have any commitments to issue consolidated obligation discount notes at December 31, 2021. At December 31, 2020, the Bank had commitments to issue $521,760,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank did not have any commitments to issue consolidated obligation bonds at December 31, 2020.

The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of December 31, 2021 and 2020, the Bank had pledged cash collateral of $456,491,000 and $466,068,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of December 31, 2021 and 2020, the Bank had pledged securities with carrying values (and fair values) of $529,596,000 and $737,500,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statement of condition.

During the years ended December 31, 2021, 2020 and 2019, the Bank charged to operating expenses net rental costs of approximately $390,000, $388,000 and $360,000, respectively. Future minimum rentals at December 31, 2021 were as follows (in thousands):

Year	Premises		Equipment		Total
2022	$	477	$	4	$	481
2023	425		—		425
2024	438		—		438
2025	258		—		258
2026	259		—		259
Thereafter	921		—		921
Total	$	2,778	$	4	$	2,782

Lease agreements for Bank premises generally provide for increases in the base rentals resulting from increases in property taxes and maintenance expenses. These increases are not expected to have a material effect on the Bank.

The Bank has entered into certain lease agreements to rent space to outside parties in its building. Future minimum rentals under these operating leases at December 31, 2021 were as follows (in thousands):

Year	Total
2022	$	1,652
2023	1,358
2024	1,116
Total	$	4,126

In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings.

For a discussion of other commitments and contingencies, see Notes 12, 13 and 16.

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Transactions with Shareholders

12 Months Ended

Dec. 31, 2021

Transactions with Shareholders [Abstract]

Transactions with Stockholders [Text Block]

Transactions with Shareholders

As a cooperative, the Bank’s capital stock is owned by its members, by former members that retain the stock as provided in the Bank’s Capital Plan or by non-member institutions that have acquired members and must retain the stock to support advances or other activities with the Bank. No shareholder owns more than 10% of the voting interests of the Bank due to statutory limits on members’ voting rights. As of December 31, 2021, nine of the Bank’s directors were member directors. By law, member directors must be officers or directors of a member of the Bank.

Substantially all of the Bank’s advances are made to its shareholders (while eligible to borrow from the Bank, housing associates are not required or allowed to hold capital stock). In addition, substantially all of its mortgage loans held for portfolio were purchased from certain of its shareholders. The Bank maintains demand deposit accounts for shareholders primarily as an investment alternative for their excess cash and to facilitate settlement activities that are directly related to advances. As an additional service to members, the Bank also offers term deposit accounts. Further, the Bank offers interest rate exchange agreements to its members. Periodically, the Bank may sell (or purchase) federal funds to (or from) shareholders and/or their affiliates. These transactions are executed on terms that are the same as those with other eligible third-party market participants, except that the Bank’s underwriting guidelines specify a lower minimum threshold for the amount of capital that members must have to be an eligible federal funds counterparty than non-members. The Bank has never held any direct equity investments in its shareholders or their affiliates.

Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. In addition, the Bank maintains interest-bearing deposits with affiliates of Citigroup and Wells Fargo. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank. The Bank repurchased all of the affiliate's outstanding capital stock in 2019; accordingly, the affiliate of Citigroup is no longer a shareholder of the Bank.

The Bank did not purchase any debt or equity securities issued by any of its shareholders or their affiliates during the years ended December 31, 2021, 2020 or 2019.

All transactions with shareholders are entered into in the ordinary course of business. The Bank provides the same pricing for advances and other services to all similarly situated members regardless of asset or transaction size, charter type, or geographic location.The Bank provides, in the ordinary course of its business, products and services to members whose officers or directors may serve as directors of the Bank (“Directors’ Financial Institutions”). Finance Agency regulations require that transactions with Directors’ Financial Institutions be made on the same terms as those with any other member. As of December 31, 2021 and 2020, advances outstanding to Directors’ Financial Institutions aggregated $495,278,000 and $1,108,011,000, respectively, representing 2.0 percent and 3.5 percent, respectively, of the Bank’s total outstanding advances as of those dates. The Bank did not acquire any mortgage loans from Directors’ Financial Institutions during the years ended December 31, 2021, 2020 or 2019. As of December 31, 2021 and 2020, capital stock outstanding to Directors’ Financial Institutions aggregated $40,598,000 and $51,313,000, respectively, representing 1.8 percent and 2.4 percent of the Bank’s outstanding capital stock at each of those dates. For purposes of this determination, the Bank’s outstanding capital stock includes those shares that are classified as mandatorily redeemable.

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Transactions with Other FHLBanks

12 Months Ended

Dec. 31, 2021

Transactions with Other FHLBanks [Abstract]

Transactions with Other FHLBanks [Text Block]

Transactions with Other FHLBanks

Occasionally, the Bank loans (or borrows) short-term federal funds to (from) other FHLBanks. The Bank did not loan any short-term federal funds to other FLHBanks during the years ended December 31, 2021 or 2020. During the year ended December 31, 2019, interest income on loans to other FHLBanks totaled $20,000; this amount is reported as interest income from federal funds sold in the statement of income. The following table summarizes the Bank's loans to other FHLBanks during the year ended December 31, 2019 (in thousands).

	Year Ended December 31, 2019
Balance at January 1, 2019	$	—
Loans made to FHLBank of Boston	300,000
Collections from FHLBank of Boston	(300,000)
Balance at December 31, 2019	$	—

During the years ended December 31, 2021, 2020 and 2019, interest expense on borrowings from other FHLBanks totaled $77, $506 and $109,000, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Year Ended December 31,
	2021		2020		2019
Balance at January 1,	$	—	$	—	$	—
Borrowings from:
FHLBank of Boston	—		—		150,000
FHLBank of San Francisco	—		—		400,000
FHLBank of Indianapolis	40,000		40,000		40,000
FHLBank of New York	—		—		250,000
Repayments to:
FHLBank of Boston	—		—		(150,000)
FHLBank of San Francisco	—		—		(400,000)
FHLBank of Indianapolis	(40,000)		(40,000)		(40,000)
FHLBank of New York	—		—		(250,000)
Balance at December 31,	$	—	$	—	$	—

The Bank has, from time to time, assumed the outstanding debt of another FHLBank rather than issue new debt. In connection with these transactions, the Bank becomes the primary obligor for the transferred debt. The Bank did not assume any debt from other FHLBanks during the years ended December 31, 2021, 2020 or 2019. When they occur, the Bank accounts for these transfers in the same manner as it accounts for new debt issuances (see Note 1).

Occasionally, the Bank transfers debt that it no longer needs to other FHLBanks. In connection with these transactions, the assuming FHLBanks become the primary obligors for the transferred debt. The Bank did not transfer any debt to other FHLBanks during the years ended December 31, 2021, 2020 or 2019.

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Accumulated Other Comprehensive Income (Loss)

12 Months Ended

Dec. 31, 2021

Accumulated Other Comprehensive Income (Loss) [Abstract]

Comprehensive Income (Loss) Note [Text Block]

Accumulated Other Comprehensive Income (Loss)

The following table presents the changes in the components of AOCI for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary Impairment Losses on Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2021
Balance at January 1, 2021	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—		22,345		—		—		22,345
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(70)		(70)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	68,699		—		—		—		68,699
Unrealized gains on cash flow hedges	—		42,418		—		—		42,418
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		1,917		—		1,917
Actuarial gain	—		—		—		201		201
Total other comprehensive income	68,699		64,763		1,917		131		135,510
Balance at December 31, 2021	$	241,060	$	(54,839)	$	(4,485)	$	1,034	$	182,770
Year ended December 31, 2020
Balance at January 1, 2020	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(829)		—		—		—		(829)
Losses on cash flow hedges included in interest expense	—		14,627		—		—		14,627
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(60)		(60)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	28,357		—		—		—		28,357
Unrealized losses on cash flow hedges	—		(96,035)		—		—		(96,035)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,238		—		2,238
Actuarial loss	—		—		—		(87)		(87)
Total other comprehensive income (loss)	27,528		(81,408)		2,238		(147)		(51,789)
Balance at December 31, 2020	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260

	Net Unrealized  Gains (Losses) on Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2019
Balance at January 1, 2019	$	118,980	$	18,412	$	(10,667)	$	1,276	$	128,001
Reclassifications from AOCI to net income
Net realized gains on sales of available-for-sale securities included in net income	(852)		—		—		—		(852)
Gains on cash flow hedges included in interest expense	—		(1,829)		—		—		(1,829)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(74)		(74)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	26,705		—		—		—		26,705
Unrealized losses on cash flow hedges	—		(54,777)		—		—		(54,777)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,027		—		2,027
Actuarial loss	—		—		—		(152)		(152)
Total other comprehensive income (loss)	25,853		(56,606)		2,027		(226)		(28,952)
Balance at December 31, 2019	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049

(1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

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Summary of Significant Accounting Policies (Policies)

12 Months Ended

Dec. 31, 2021

Accounting Policies [Abstract]

Use of Estimates, Policy [Policy Text Block]

Use of Estimates and Assumptions. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

Interest Bearing Deposits, Securities Purchased Under Agreements To Resell And Federal Funds Sold [Policy Text Block]

Federal Funds Sold, Securities Purchased Under Agreements to Resell, Loans to Other FHLBanks and Interest-Bearing Deposits. These investments are carried at cost. Substantially all of the Bank's interest-bearing deposits are over the FDIC insurance limit.

Investment, Policy [Policy Text Block]

Investment Securities. The Bank records investment securities on trade date. The Bank carries investment securities for which it has both the ability and intent to hold to maturity (held-to-maturity securities) at cost, adjusted for the amortization of premiums and accretion of discounts. The carrying amount of held-to-maturity securities is further adjusted for any other-than-temporary impairment charges that were recorded on or before December 31, 2019, as described below. The Bank classifies certain investment securities that it may sell before maturity as available-for-sale and carries them at fair value. For available-for-sale securities that have been hedged (with fixed-for-floating interest rate swaps) and qualify as fair value hedges, the Bank records the portion of the change in value related to the risk being hedged, together with the related change in the fair value of the derivative, in earnings. The Bank records the remainder of the change in value of the securities in other comprehensive income as “net unrealized gains (losses) on available-for-sale securities.”

The Bank classifies certain other investments as trading and carries them at fair value. The Bank records changes in the fair value of these investments in other income (loss) in the statements of income. Although the securities are classified as trading, the Bank does not engage in speculative trading practices.

The Bank computes the amortization and accretion of premiums and discounts on mortgage-backed securities ("MBS") for which prepayments are probable and reasonably estimable using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank computes the amortization and accretion of premiums and discounts on all other investment securities using the level-yield method to the contractual maturity of the securities.

The Bank computes gains and losses on sales of investment securities using the specific identification method and includes these gains and losses in other income (loss) in the statements of income. The Bank treats securities purchased under agreements to resell as collateralized financings.

On January 1, 2020, the Bank adopted Accounting Standards Update ("ASU") 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which amends the guidance related to the accounting for credit losses on financial instruments, including investment securities classified as held-to-maturity and available-for-sale, by replacing the impairment methodology with an expected credit loss methodology. Beginning January 1, 2020, an allowance for credit losses is established, if necessary, for the Bank's investment securities classified as held-to-maturity or available-for-sale. See the section below entitled "Allowance for Credit Losses."

Through December 31, 2019, the Bank evaluated outstanding available-for-sale and held-to-maturity securities for other-than-temporary impairment on a quarterly basis. An investment security was impaired if the fair value of the investment was less than its amortized cost. Amortized cost included adjustments (if any) made to the cost basis of an investment for accretion, amortization, the credit portion of previous other-than-temporary impairments and hedging. The Bank considered the impairment of a debt security to be other than temporary if the Bank (i) intended to sell the security, (ii) more likely than not would have been required to sell the security before recovering its amortized cost basis, or (iii) did not expect to recover the security’s entire amortized cost basis (even if the Bank did not intend to sell the security). Further, an impairment was considered to be other than temporary if the Bank’s best estimate of the present value of cash flows expected to be collected from the debt security was less than the amortized cost basis of the security (any such shortfall was referred to as a “credit loss”).

If an other-than-temporary impairment (“OTTI”) occurred because the Bank intended to sell an impaired debt security, or more likely than not would have been required to sell the security before recovery of its amortized cost basis, the impairment was recognized in earnings in an amount equal to the entire difference between fair value and amortized cost.

In instances in which a determination was made that a credit loss existed but the Bank did not intend to sell the debt security and it was not more likely than not that the Bank would have been required to sell the debt security before the anticipated recovery of its remaining amortized cost basis, the other-than-temporary impairment (i.e., the difference between the security’s then-current carrying amount and its estimated fair value) was separated into (i) the amount of the total impairment related to the credit loss (i.e., the credit component) and (ii) the amount of the total impairment related to all other factors (i.e., the non-credit component). The credit component was recognized in earnings and the non-credit component was recognized in other comprehensive income.

The non-credit component of any OTTI losses recognized in other comprehensive income for debt securities classified as held-to-maturity was (and will continue to be) accreted over the remaining life of the debt security (in a prospective manner based on the amount and timing of future estimated cash flows) as an increase in the carrying value of the security unless and until the security is sold, the security matures or, if on or prior to December 31, 2019, there was an additional other-than-temporary impairment that was recognized in earnings. In instances in which an additional other-than-temporary impairment was recognized in earnings, the amount of the credit loss was reclassified from accumulated other comprehensive income (loss) ("AOCI") to earnings. Further, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying amount exceeded its fair value, an additional non-credit impairment was concurrently recognized in other comprehensive income. Conversely, if an additional other-than-temporary impairment was recognized in earnings and the held-to-maturity security’s then-current carrying value was less than its fair value, the carrying value of the security was not increased. In periods subsequent to the recognition of an OTTI loss, the other-than-temporarily impaired debt security was accounted for as if it had been purchased on the measurement date of the other-than-temporary impairment at an amount equal to the previous amortized cost basis less the other-than-temporary impairment recognized in earnings. The difference between the new amortized cost basis and the cash flows expected to be collected was (and will continue to be) accreted as interest income over the remaining life of the security in a prospective manner based on the amount and timing of future estimated cash flows. Prior to January 1, 2020, in instances when there was a significant increase in a security's expected

cash flows, the amount to be accreted was adjusted prospectively. Beginning January 1, 2020, accretion is not adjusted for significant increases in expected cash flows. Those additional cash flows, if any, are recognized when received.

Federal Home Loan Bank Advances Policy [Policy Text Block]

Advances. The Bank reports advances at their principal amount outstanding, net of unearned commitment fees and deferred prepayment fees, if any, as discussed below. The Bank credits interest on advances to income as earned.

Finance, Loan and Lease Receivables, Held-for-investment, Policy [Policy Text Block]

Mortgage Loans Held for Portfolio. Through the Mortgage Partnership Finance® (“MPF”®) program administered by the FHLBank of Chicago, the Bank has invested in conventional and government guaranteed/insured mortgage loans. The Bank classifies these mortgage loans held for portfolio as held for investment and, accordingly, reports them at their principal amount outstanding net of deferred premiums, discounts and the fair value amount of the delivery commitment, if any (which represents the unrealized gains and losses from loans initially classified as mortgage loan commitments) as of the purchase (i.e., settlement) date. The Bank credits interest on mortgage loans to income as earned.

Loans and Leases Receivable, Origination Fees, Discounts or Premiums, and Direct Costs to Acquire Loans Policy [Policy Text Block]

The Bank amortizes or accretes the deferred amounts to interest income using the contractual method. The contractual method uses the cash flows required by the loan contracts, as adjusted for any actual prepayments, to apply the interest method. Future prepayments of principal are not anticipated under this method. The Bank has the ability and intent to hold these mortgage loans until maturity.

Credit Loss, Financial Instrument [Policy Text Block]

Allowance for Credit Losses. On January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. As of the balance sheet date, an allowance for expected credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sale securities and its off-balance sheet credit exposures. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. Accrued interest is recorded separately on the statement of condition. The allowance for credit losses excludes accrued interest receivable, as the Bank places financial assets on nonaccrual status and concurrently reverses any accrued but uncollected interest if the interest is deemed uncollectible. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. See Note 9 - Allowance for Credit Losses for information regarding the determination of the allowance for credit losses and the impact that the adoption of the new guidance had on the Bank's financial condition on January 1, 2020.

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. At December 31, 2021 and 2020, cash payments received on non-accrual loans and recorded as a reduction of principal totaled $3,912,000 and $1,555,000, respectively. Government-guaranteed/insured loans are not placed on nonaccrual status.

Collateral-dependent mortgage loans that are 90 days or more past due are evaluated for credit losses on an individual basis based on the fair value of the underlying mortgaged property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment.

The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the MPF credit enhancements. A charge-off is recorded if the amount expected to be collected on the loan is less than its amortized cost.

As discussed in Note 2, the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act") provides temporary relief from the accounting and reporting requirements for certain loan modifications related to COVID-19 that would otherwise be categorized as a troubled debt restructuring ("TDR"). Eligible mortgage loans that are current under the modified terms of the loan agreements are returned to accrual status as long as the Bank expects repayment of the remaining contractual principal and interest. As of December 31, 2021, the Bank had entered into qualifying loan modifications on loans with an aggregate unpaid principal balance of $32,568,000. These loan modifications allowed the borrowers to defer past due principal and interest payments until the earlier of the date on which the loan is prepaid or the end of the loan term. In aggregate, the amounts deferred were insignificant.

The servicers of the Bank's mortgage loans may grant a forbearance period to borrowers who request forbearance as a result of difficulties relating to COVID-19 regardless of the status of the loan at the time of the request. During the forbearance period, the Bank accounts for these loans in the same manner as it accounts for any other past due loans whether the forbearance arrangement is formal or informal. The accrual status of mortgage loans in forbearance is determined by the past due status of the loan as the legal terms of the loan agreement remain unchanged during this period.

Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy [Policy Text Block]

The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. At December 31, 2021 and 2020, cash payments received on non-accrual loans and recorded as a reduction of principal totaled $3,912,000 and $1,555,000, respectively. Government-guaranteed/insured loans are not placed on nonaccrual status.

Finance, Loan and Lease Receivables, Held for Investments, Foreclosed Assets Policy [Policy Text Block]

Real Estate Owned. Real estate owned includes assets that have been received in satisfaction of debt or as a result of actual or in-substance foreclosures. Real estate owned is carried at the lower of cost or fair value less estimated costs to sell and is included in other assets in the statements of condition. If the fair value of the real estate owned less estimated costs to sell is less than the recorded investment in the mortgage loan at the date of transfer, the Bank recognizes a charge-off to the allowance for loan losses. Subsequent realized gains and realized or unrealized losses are included in other income (loss) in the statements of income.

Property, Plant and Equipment, Policy [Policy Text Block]

Premises and Equipment. The Bank records premises and equipment at cost less accumulated depreciation and amortization. At December 31, 2021 and 2020, the Bank’s accumulated depreciation and amortization relating to premises and equipment was $28,061,000 and $27,022,000, respectively. The Bank computes depreciation using the straight-line method over the estimated useful lives of assets ranging from 3 to 39 years. It amortizes leasehold improvements on the straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Depreciation and amortization expense was $1,352,000, $1,539,000 and $2,003,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank includes gains and losses on disposal of premises and equipment, if any, in other income (loss) under the caption “other, net.”

Internal Use Software, Policy [Policy Text Block]

Computer Software. The cost of purchased computer software, certain costs incurred in developing computer software for internal use, and implementation costs associated with cloud computing arrangements that are service contracts are capitalized and amortized over future periods. As of December 31, 2021 and 2020, the Bank had $8,386,000 and $8,568,000, respectively, in unamortized computer software costs included in other assets. Total software costs charged to expense were $13,149,000, $9,585,000 and $8,313,000 for the years ended December 31, 2021, 2020 and 2019, respectively. Included in these total software costs was amortization of $3,842,000, $2,322,000 and $2,097,000, respectively.

Derivatives, Policy [Policy Text Block]

Derivatives and Hedging Activities. All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in U.S. GAAP. The Bank has defined the market settlement convention to be five business days or less for advances.

Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate).

Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes).

An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair

value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.”

The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date.

Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities.

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument is no longer appropriate.

In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities."

When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item.

When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings.

When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported.

In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."

Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block]

For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists.

Derivatives, Embedded Derivatives [Policy Text Block]

The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative.

Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy [Policy Text Block]

Mandatorily Redeemable Capital Stock. The Bank reclassifies shares of capital stock from the capital section to the liability section of its statement of condition at the point in time when a member submits a written redemption notice, gives notice of its intent to withdraw from membership, or becomes a non-member by merger or acquisition, charter termination, or involuntary termination from membership, as the shares of capital stock then meet the definition of a mandatorily redeemable

financial instrument. Shares of capital stock meeting this definition are reclassified to liabilities at fair value. Following reclassification of the stock, any dividends paid or accrued on such shares are recorded as interest expense in the statement of income. Repurchase or redemption of these mandatorily redeemable financial instruments is reported as a cash outflow in the financing activities section of the statement of cash flows.

If a member cancels a written redemption or withdrawal notice, the Bank reclassifies the shares subject to the cancellation notice from liabilities back to equity. Following this reclassification to equity, dividends on the capital stock are once again recorded as a reduction of retained earnings.

Although mandatorily redeemable capital stock is excluded from capital for financial reporting purposes, it is considered capital for regulatory purposes. See Note 15 for more information, including restrictions on stock redemption.

Federal Home Loan Bank Assessments, Policy [Policy Text Block]

Affordable Housing Program. The FHLB Act requires each FHLBank to establish and fund an Affordable Housing Program (“AHP”) (see Note 12). The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank makes AHP funds available to members in the form of direct grants to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households.

Prepayment fees on Federal Home Loan Bank Advances, Policy [Policy Text Block]

Prepayment Fees. The Bank charges a prepayment fee when members/borrowers prepay certain advances before their original maturities. The Bank records prepayment fees received from members/borrowers net of hedging adjustments included in the book basis of the prepaid advance, if any, as interest income on advances in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances), as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance. If the new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income over the life of the modified advance using the level-yield method. This amortization is recorded in interest income on advances. If the Bank determines that the advance should be treated as a new advance, or in instances where no new advance is funded, it records the net fees as “prepayment fees on advances” in the interest income section of the statements of income.

Loans and Leases Receivable, Commitment Fee Policy

Commitment Fees. The Bank defers commitment fees for advances and amortizes them to interest income using the level-yield method over the life of the advance. The Bank records commitment fees for letters of credit as a deferred credit when it receives the fees and amortizes them over the term of the letter of credit using the straight-line method.

Debt, Policy [Policy Text Block]

Concessions on Consolidated Obligations. The Bank defers and amortizes, using the level-yield method, the amounts paid to securities dealers in connection with the sale of consolidated obligation bonds over the term to maturity of the related bonds. The Office of Finance prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Unamortized concessions were $1,902,000 and $2,882,000 at December 31, 2021 and 2020, respectively, and are recorded as a reduction in the balance of consolidated obligation bonds on the statements of condition. Amortization of such concessions is included in consolidated obligation bond interest expense and totaled $1,871,000, $5,334,000 and $3,553,000 during the years ended December 31, 2021, 2020 and 2019, respectively. The Bank charges to expense as incurred the concessions applicable to the sale of consolidated obligation discount notes because of the short maturities of these notes. Concessions related to the sale of discount notes totaling $880,000, $3,948,000 and $4,716,000 are included in interest expense on consolidated obligation discount notes in the statements of income for the years ended December 31, 2021, 2020 and 2019, respectively.     Discounts and Premiums on Consolidated Obligations. The Bank expenses the discounts on consolidated obligation discount notes using the level-yield method over the term to maturity of the related notes. It accretes the discounts and amortizes the premiums on consolidated obligation bonds to expense using the level-yield method over the term to maturity of the bonds.

Regulator and Office of Finance, Costs Assessed on Federal Home Loan Bank, Policy [Policy Text Block]

Finance Agency and Office of Finance Expenses. The Bank is assessed its proportionate share of the costs of operating the Finance Agency and the Office of Finance. The assessment for the FHLBanks’ portion of the Finance Agency’s operating and capital expenditures is allocated among the FHLBanks based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of all FHLBanks determined as of June 30 of each year. The expenses of the Office of Finance are shared on a pro rata basis with two-thirds based on each FHLBank’s total consolidated obligations outstanding (as of the current month-end) and one-third divided equally among all of the FHLBanks. These costs are included in the other expense section of the statements of income.

Fair Value of Financial Instruments, Policy [Policy Text Block]

Estimated Fair Values. Some of the Bank’s financial instruments (e.g., advances) lack an available trading market characterized by transactions between a willing buyer and a willing seller engaging in an exchange transaction. Therefore, the Bank uses internal models employing assumptions regarding interest rates, volatilities, prepayments, and other factors to perform present-value calculations when disclosing estimated fair values for these financial instruments. The Bank assumes that book value approximates fair value for certain financial instruments with three months or less to repricing or maturity. For a discussion of the Bank's valuation techniques for financial instruments measured at fair value on the statement of condition and the estimated fair values of all of its financial instruments, see Note 17.

Cash and Cash Equivalents, Policy [Policy Text Block]

Cash Flows. The Bank considers cash and due from banks as cash and cash equivalents in the statements of cash flows.

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Trading Securities (Tables)

12 Months Ended

Dec. 31, 2021

Debt Securities, Trading, Gain (Loss) [Abstract]

Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block]

Major Security Types. Trading securities as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
U.S. Treasury Bills	$	2,249,587	$	3,316,241
U.S. Treasury Notes	205,283		1,985,227
Total	$	2,454,870	$	5,301,468

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Available-for-Sale Securities (Tables)

12 Months Ended

Dec. 31, 2021

Debt Securities, Available-for-sale [Line Items]

Schedule of Available-for-sale Securities Reconciliation [Table Text Block]

Available-for-Sale Securities

Major Security Types. Available-for-sale securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	414,267	$	4,229	$	460	$	418,036
GSE obligations	4,471,107		78,983		4,412		4,545,678
Other	38,544		44		—		38,588
	4,923,918		83,256		4,872		5,002,302
GSE commercial MBS	10,123,054		165,783		3,107		10,285,730
Total	$	15,046,972	$	249,039	$	7,979	$	15,288,032

Available-for-sale securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		Gross  Unrealized  Gains		Gross Unrealized Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	437,351	$	4,100	$	—	$	441,451
GSE obligations	4,950,604		84,538		3,209		5,031,933
Other	45,706		214		—		45,920
	5,433,661		88,852		3,209		5,519,304
GSE commercial MBS	11,181,740		103,934		17,216		11,268,458
Total	$	16,615,401	$	192,786	$	20,425	$	16,787,762

Categories of Investments, Marketable Securities, Available-for-sale Securities [Member]

Debt Securities, Available-for-sale [Line Items]

Schedule of Unrealized Loss on Investments [Table Text Block]

The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2021. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
Debentures
U.S. government-guaranteed obligations		$	114,748	$	460		$	—	$	—		$	114,748	$	460
GSE debentures		587,176		22			128,431		4,390			715,607		4,412
GSE commercial MBS		68,575		3,008			13,406		99			81,981		3,107
Total		$	770,499	$	3,490		$	141,837	$	4,489		$	912,336	$	7,979

The following table summarizes (dollars in thousands) the available-for-sale securities with unrealized losses as of December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.

	Less than 12 Months					12 Months or More					Total
		Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
GSE debentures		$	120,876	$	1,492		$	51,151	$	1,717		$	172,027	$	3,209
GSE commercial MBS		262,908		2,240			2,502,312		14,976			2,765,220		17,216
Total		$	383,784	$	3,732		$	2,553,463	$	16,693		$	2,937,247	$	20,425

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands).

	December 31, 2021				December 31, 2020
Maturity	Amortized  Cost		Estimated Fair Value		Amortized  Cost		Estimated Fair Value
Debentures
Due in one year or less	$	1,209,330	$	1,209,339	$	312,237	$	313,167
Due after one year through five years	3,225,065		3,286,653		3,488,066		3,530,155
Due after five years through ten years	489,523		506,310		1,617,134		1,658,599
Due after ten years	—		—		16,224		17,383
	4,923,918		5,002,302		5,433,661		5,519,304
GSE commercial MBS	10,123,054		10,285,730		11,181,740		11,268,458
Total	$	15,046,972	$	15,288,032	$	16,615,401	$	16,787,762

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Held-to-Maturity Securities (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Held-to-maturity Securities [Line Items]

Debt Securities, Held-to-maturity [Table Text Block]

Held-to-maturity securities as of December 31, 2021 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	2,372	$	—	$	2,372	$	2	$	—	$	2,374
State housing agency obligations	74,919		—		74,919		89		—		75,008
	77,291		—		77,291		91		—		77,382
Mortgage-backed securities
GSE residential MBS	484,110		—		484,110		4,998		3		489,105
Non-agency residential MBS	36,639		4,485		32,154		8,249		538		39,865
	520,749		4,485		516,264		13,247		541		528,970
Total	$	598,040	$	4,485	$	593,555	$	13,338	$	541	$	606,352

Held-to-maturity securities as of December 31, 2020 were as follows (in thousands):

	Amortized Cost		OTTI Recorded  in AOCI		Carrying Value		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Estimated Fair Value
Debentures
U.S. government-guaranteed obligations	$	4,119	$	—	$	4,119	$	5	$	—	$	4,124
State housing agency obligations	109,698		—		109,698		228		438		109,488
	113,817		—		113,817		233		438		113,612
Mortgage-backed securities
GSE residential MBS	740,108		—		740,108		4,213		148		744,173
Non-agency residential MBS	49,703		6,402		43,301		8,476		932		50,845
	789,811		6,402		783,409		12,689		1,080		795,018
Total	$	903,628	$	6,402	$	897,226	$	12,922	$	1,518	$	908,630

Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member]

Schedule of Held-to-maturity Securities [Line Items]

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at December 31, 2021 and 2020 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.

	December 31, 2021						December 31, 2020
Maturity	Amortized Cost		Carrying Value		Estimated Fair Value		Amortized Cost		Carrying Value		Estimated Fair Value
Debentures
Due in one year or less	$	500	$	500	$	500	$	—	$	—	$	—
Due after one year through five years	1,872		1,872		1,874		4,119		4,119		4,124
Due after five years through ten years	—		—		—		35,000		35,000		34,562
Due after ten years	74,919		74,919		75,008		74,698		74,698		74,926
	77,291		77,291		77,382		113,817		113,817		113,612
Mortgage-backed securities	520,749		516,264		528,970		789,811		783,409		795,018
Total	$	598,040	$	593,555	$	606,352	$	903,628	$	897,226	$	908,630

Schedule of Interest Rate Payment Terms For Investments [Table Text Block]

The following table provides interest rate payment terms for investment securities classified as held-to-maturity at December 31, 2021 and 2020 (in thousands):

	2021		2020
Amortized cost of variable-rate held-to-maturity securities other than MBS	$	77,291	$	113,817
Amortized cost of held-to-maturity MBS
Fixed-rate pass-through securities	2		19
Collateralized mortgage obligations
Fixed-rate	—		11
Variable-rate	520,747		789,781
	520,749		789,811
Total	$	598,040	$	903,628

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Advances (Tables)

12 Months Ended

Dec. 31, 2021

Advances [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

At December 31, 2021 and 2020, the Bank had advances outstanding at interest rates ranging from 0.11 percent to 8.27 percent and from 0.06 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Overdrawn demand deposit accounts	$	—	—	%	$	6	0.20	%
Due in one year or less	7,642,760		0.39		11,341,900		0.47
Due after one year through two years	1,028,212		1.84		1,123,710		1.98
Due after two years through three years	1,335,606		1.63		1,145,383		1.77
Due after three years through four years	1,649,603		0.80		1,310,258		1.67
Due after four years through five years	968,470		0.67		1,626,621		0.86
Due after five years through fifteen years	11,752,610		0.90		15,327,646		0.77
Due after fifteen years	35,061		2.35		39,425		2.48
Total par value	24,412,322		0.81	%	31,914,949		0.79	%
Deferred net prepayment fees	(5,897)				(7,168)
Commitment fees	(38)				(91)
Hedging adjustments	231,077				571,254
Total	$	24,637,464			$	32,478,944

Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block]

The following table summarizes advances outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):

Contractual Maturity or Next Call Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	12,779,409		19,845,878
Due after one year through two years	1,001,667		1,037,233
Due after two years through three years	1,093,031		1,113,822
Due after three years through four years	1,004,319		966,200
Due after four years through five years	345,975		837,869
Due after five years	8,187,921		8,113,941
Total par value	$	24,412,322	$	31,914,949

Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block]

The following table summarizes advances at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible put date (in thousands):

Contractual Maturity or Next Put Date	2021		2020
Overdrawn demand deposit accounts	$	—	$	6
Due in one year or less	14,878,560		18,172,700
Due after one year through two years	1,112,012		1,678,710
Due after two years through three years	1,291,606		1,229,183
Due after three years through four years	1,594,603		1,266,258
Due after four years through five years	968,470		1,571,621
Due after five years	4,567,071		7,996,471
Total par value	$	24,412,322	$	31,914,949

Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block]

The following table provides interest rate payment terms for advances outstanding at December 31, 2021 and 2020 (in thousands):

	2021		2020
Fixed-rate
Due in one year or less	$	7,582,790	$	11,131,901
Due after one year	11,037,441		11,961,692
Total fixed-rate	18,620,231		23,093,593
Variable-rate
Due in one year or less	59,970		210,005
Due after one year	5,732,121		8,611,351
Total variable-rate	5,792,091		8,821,356
Total par value	$	24,412,322	$	31,914,949

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Mortgage Loans Held for Portfolio (Tables)

12 Months Ended

Dec. 31, 2021

Mortgage Loans Held for Portfolio [Abstract]

Mortgage Loans Held For Portfolio [Table Text Block]

The following table presents information as of December 31, 2021 and 2020 for mortgage loans held for portfolio (in thousands):

	2021		2020
Fixed-rate medium-term* single-family mortgages	$	124,532	$	98,957
Fixed-rate long-term single-family mortgages	3,298,356		3,252,276
Premiums	66,643		66,008
Discounts	(1,324)		(1,267)
Deferred net derivative gains associated with mortgage delivery commitments	6,182		10,637
Total mortgage loans held for portfolio	3,494,389		3,426,611
Less: allowance for credit losses on mortgage loans	(3,124)		(3,925)
Total mortgage loans held for portfolio, net of allowance for credit losses	$	3,491,265	$	3,422,686

________________________________________

*Medium-term is defined as an original term of 15 years or less.

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Accrued Interest (Tables)

12 Months Ended

Dec. 31, 2021

Accrued Interest Receivable [Abstract]

Accrued Interest Receivable Table Text Block [Table]

The components of accrued interest receivable as of December 31, 2021 and 2020 were as follows (in thousands):

	December 31, 2021		December 31, 2020
Advances	$	16,655	$	21,131
Investment securities
Trading	962		6,078
Available-for-sale	59,393		62,056
Held-to-maturity	146		235
Mortgage loans held for portfolio	14,345		16,765
Interest-bearing deposits	56		51
Securities purchased under agreements to resell	15		3
Federal funds sold	9		3
Total	$	91,581	$	106,322

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Allowance for Credit Losses (Tables)

12 Months Ended

Dec. 31, 2021

Allowance for Credit Losses [Abstract]

Financing Receivable, Past Due [Table Text Block]

The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at December 31, 2021 and 2020 (dollars in thousands).

	December 31, 2021
	Conventional Loans Originated Prior to 2017		Conventional Loans Originated in 2017-2021		Total Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	605	$	30,597	$	31,202	$	316	$	31,518
60-89 days delinquent	417		3,622		4,039		64		4,103
90 days or more delinquent	1,005		34,907		35,912		124		36,036
Total past due	2,027		69,126		71,153		504		71,657
Total current loans	23,797		3,390,984		3,414,781		7,951		3,422,732
Total mortgage loans	$	25,824	$	3,460,110	$	3,485,934	$	8,455	$	3,494,389
	December 31, 2020
	Conventional Loans Originated Prior to 2004		Conventional Loans Originated in 2016-2020		Total  Conventional  Loans		Government- Guaranteed/ Insured Loans (1)		Total
Mortgage loans:
30-59 days delinquent	$	113	$	26,500	$	26,613	$	459	$	27,072
60-89 days delinquent	21		10,693		10,714		49		10,763
90 days or more delinquent	274		97,085		97,359		239		97,598
Total past due	408		134,278		134,686		747		135,433
Total current loans	7,746		3,273,438		3,281,184		9,994		3,291,178
Total mortgage loans	$	8,154	$	3,407,716	$	3,415,870	$	10,741	$	3,426,611

_____________________________

(1)All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004.

	December 31, 2021									December 31, 2020
	Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total			Total Conventional Loans			Government- Guaranteed/ Insured Loans			Total
In process of foreclosure (1)	$	1,226		$	108		$	1,334		$	1,381		$	64		$	1,445
Serious delinquency rate (2)	1.0		%	1.5		%	1.0		%	2.9		%	2.2		%	2.8		%
Past due 90 days or more and still accruing interest (3)	$	—		$	124		$	124		$	—		$	239		$	239
Nonaccrual loans (4)	$	51,318		$	—		$	51,318		$	117,958		$	—		$	117,958
Troubled debt restructurings	$	1,066		$	—		$	1,066		$	—		$	—		$	—

_____________________________

(1)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made.

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

(3)Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.`

(4)The Bank did not have any specific allowance for credit losses on nonaccrual loans at December 31, 2021.

Financing Receivable, Allowance for Credit Loss [Table Text Block]

The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	Year Ended December 31,
	2021		2020		2019
Balance, beginning of year	$	3,925	$	1,149	$	493
Adjustment to initially apply new credit loss accounting guidance	—		2,191		—
Provision (reversal) for credit losses	(801)		585		656
Balance, end of year	$	3,124	$	3,925	$	1,149

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Deposits (Tables)

12 Months Ended

Dec. 31, 2021

Deposits [Abstract]

Deposit Liabilities, type [Table Text Block]

The following table details interest-bearing and non-interest bearing deposits as of December 31, 2021 and 2020 (in thousands):

	2021		2020
Interest-bearing
Demand and overnight	$	1,529,237	$	1,532,029
Term	60,931		51,071
Non-interest bearing (other)	20		20
Total deposits	$	1,590,188	$	1,583,120

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Consolidated Obligations (Tables)

12 Months Ended

Dec. 31, 2021

Debt Disclosure [Abstract]

Schedule of Long-term Debt Instruments [Table Text Block]

The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at December 31, 2021 and 2020 (in thousands, at par value).

	2021		2020
Fixed-rate	$	30,004,790	$	11,492,355
Variable-rate
SOFR-indexed	9,946,625		24,419,625
LIBOR-indexed	—		1,000,000
Step-up	4,822,000		75,000
Total par value	$	44,773,415	$	36,986,980

Schedule of Maturities of Long-term Debt [Table Text Block]

The following is a summary of the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by contractual maturity (dollars in thousands):

	2021				2020
Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in one year or less	$	19,906,725	0.28	%	$	21,392,110	0.37	%
Due after one year through two years	2,071,195		1.64		12,236,725		0.46
Due after two years through three years	5,156,770		0.64		1,419,695		2.25
Due after three years through four years	2,325,975		0.77		799,975		1.99
Due after four years through five years	8,646,750		0.82		513,475		1.44
Due after five years	6,666,000		1.21		625,000		1.74
Total par value	44,773,415		0.65	%	36,986,980		0.55	%
Premiums	16,405				620
Discounts	(419)				(366)
Debt issuance costs	(1,902)				(2,882)
Hedging adjustments	(273,279)				128,369
Total	$	44,514,220			$	37,112,721

Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block]

At December 31, 2021 and 2020, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):

	2021		2020
Non-callable bonds	$	22,068,620	$	34,861,980
Callable bonds	22,704,795		2,125,000
Total par value	$	44,773,415	$	36,986,980

Schedule Of Maturities Of Consolidated Obligation Bonds By Contractual Maturity Or Next Call Date [Table Text Block]

The following table summarizes the Bank’s consolidated obligation bonds outstanding at December 31, 2021 and 2020, by the earlier of contractual maturity or next possible call date (in thousands, at par value):

Contractual Maturity or Next Call Date	2021		2020
Due in one year or less	$	41,026,520	$	23,302,110
Due after one year through two years	2,911,695		11,751,725
Due after two years through three years	524,975		1,374,695
Due after three years through four years	98,475		459,975
Due after four years through five years	186,750		98,475
Due after five years	25,000		—
Total par value	$	44,773,415	$	36,986,980

Schedule of Short-term Debt [Table Text Block]

At December 31, 2021 and 2020, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):

	Book Value		Par Value		Weighted Average Implied  Interest Rate
December 31, 2021	$	11,003,026	$	11,004,433	0.04	%
December 31, 2020	$	22,171,296	$	22,175,690	0.09	%

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Affordable Housing Program (Tables)

12 Months Ended

Dec. 31, 2021

Affordable Housing Program [Abstract]

Schedule of Activity in Affordable Housing Program Obligation [Table Text Block]

The following table summarizes the changes in the Bank’s AHP liability during the years ended December 31, 2021, 2020 and 2019 (in thousands):

	2021		2020		2019
Balance, beginning of year	$	63,153	$	57,247	$	44,358
AHP assessment	18,266		22,087		25,272
Grants funded, net of recaptured amounts	(21,286)		(16,181)		(12,383)
Balance, end of year	$	60,133	$	63,153	$	57,247

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Assets and Liabilities Subject to Offsetting (Tables)

12 Months Ended

Dec. 31, 2021

Assets and Liabilities Subject to Offsetting [Abstract]

Offsetting Assets and Liabilities [Table Text Block]

The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of December 31, 2021 and 2020 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.

	Gross Amounts of Recognized  Financial Instruments		Gross Amounts Offset in the  Statement of Condition		Net Amounts Presented in the  Statement of Condition		Collateral Not Offset in the  Statement of Condition (1)			Net Unsecured Amount
December 31, 2021
Assets
Derivatives
Bilateral derivatives	$	22,346	$	(15,270)	$	7,076	$	(3,834)	(2)	$	3,242
Cleared derivatives	2,853		(2,852)		1		—			1
Total derivatives	25,199		(18,122)		7,077		(3,834)			3,243
Securities purchased under agreements to resell	10,650,000		—		10,650,000		(10,650,000)			—
Total assets	$	10,675,199	$	(18,122)	$	10,657,077	$	(10,653,834)		$	3,243
Liabilities
Derivatives
Bilateral derivatives	$	474,106	$	(464,683)	$	9,423	$	—		$	9,423
Cleared derivatives	6,200		(1,667)		4,533		(4,533)		(3)	—
Total liabilities	$	480,306	$	(466,350)	$	13,956	$	(4,533)		$	9,423
December 31, 2020
Assets
Derivatives
Bilateral derivatives	$	31,103	$	(23,128)	$	7,975	$	(7,550)	(2)	$	425
Cleared derivatives	6,866		(6,866)		—		—			—
Total derivatives	37,969		(29,994)		7,975		(7,550)			425
Securities purchased under agreements to resell	1,000,000		—		1,000,000		(1,000,000)			—
Total assets	$	1,037,969	$	(29,994)	$	1,007,975	$	(1,007,550)		$	425
Liabilities
Derivatives
Bilateral derivatives	$	490,387	$	(478,935)	$	11,452	$	—		$	11,452
Cleared derivatives	20,472		(6,875)		13,597		(13,597)		(3)	—
Total liabilities	$	510,859	$	(485,810)	$	25,049	$	(13,597)		$	11,452

_____________________________

(1)Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

(2)Consists of collateral pledged by member counterparties.

(3)    Consists of securities pledged by the Bank. In addition to the amounts needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $525,063,000 and $723,903,000 at December 31, 2021 and 2020, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

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Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at December 31, 2021 and 2020 (in thousands).

	December 31, 2021						December 31, 2020
	Notional Amount of Derivatives		Estimated Fair Value				Notional Amount of Derivatives		Estimated Fair Value
			Derivative Assets		Derivative Liabilities				Derivative Assets		Derivative Liabilities
Derivatives designated as hedging   instruments
Interest rate swaps
Advances (1)	$	9,806,989	$	104	$	212,533	$	13,040,960	$	80	$	460,394
Available-for-sale securities (1)	14,398,278		2,028		10,502		15,190,599		4,536		36,737
Consolidated obligation bonds (1)	24,112,140		9,495		253,444		4,642,925		17,405		1,534
Consolidated obligation discount notes (2)	1,066,000		6		132		1,066,000		—		1,057
Total derivatives designated as   hedging instruments	49,383,407		11,633		476,611		33,940,484		22,021		499,722
Derivatives not designated as hedging   instruments
Interest rate swaps
Advances	265,000		—		2,044		380,000		1		7,580
Available-for-sale securities	3,081		—		1		3,126		—		3
Mortgage loans held for portfolio	265,000		22		28		318,350		174		240
Consolidated obligation discount notes	900,000		—		20		—		—		—
Trading securities	—		—		—		1,150,000		5		17
Intermediary transactions	91,672		3,834		1,320		126,362		7,410		2,799
Other	1,425,000		262		229		1,425,000		841		497
Interest rate swaptions related to mortgage loans held for portfolio	600,000		9,448		—		1,280,000		7,376		—
Mortgage delivery commitments	33,217		—		53		21,569		140		—
Interest rate caps
Held-to-maturity securities	—		—		—		250,000		—		—
Intermediary transactions	80,000		—		—		80,000		1		1
Total derivatives not designated as   hedging instruments	3,662,970		13,566		3,695		5,034,407		15,948		11,137
Total derivatives before collateral and netting adjustments	$	53,046,377	25,199		480,306		$	38,974,891	37,969		510,859
Cash collateral and related accrued interest			(3,350)		(452,763)				(9,798)		(465,606)
Cash received or remitted in excess of variation margin requirements			2		1,187				8		—
Netting adjustments			(14,774)		(14,774)				(20,204)		(20,204)
Total collateral and netting adjustments(3)			(18,122)		(466,350)				(29,994)		(485,810)
Net derivative balances reported in statements of condition			$	7,077	$	13,956			$	7,975	$	25,049

________________________________________

(1)Derivatives designated as fair value hedges.

(2)Derivatives designated as cash flow hedges.

(3)Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationship [Table Text Block]

The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2021
Total amount of the financial statement line item	$	119,754	$	151,684	$	(70,916)	$	(29,635)	$	135,510
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	235,243	$	473,271	$	(200,839)	$	—	$	—
Hedged items	(335,583)		(749,714)		401,649		—		—
Net gains (losses) on fair value hedging relationships	$	(100,340)	$	(276,443)	$	200,810	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(22,345)	$	22,345
Recognized in OCI	—		—		—		—		42,418
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	(22,345)	$	64,763
Year Ended December 31, 2020
Total amount of the financial statement line item	$	349,082	$	219,190	$	(277,347)	$	(198,890)	$	(51,789)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(511,580)	$	(1,169,111)	$	172,126	$	—	$	—
Hedged items	458,018		952,729		(62,690)		—		—
Net gains (losses) on fair value hedging relationships	$	(53,562)	$	(216,382)	$	109,436	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	(14,627)	$	14,627
Recognized in OCI	—		—		—		—		(96,035)
Net losses on cash flow hedging relationships	$	—	$	—	$	—	$	(14,627)	$	(81,408)

	Interest Income (Expense)
	Advances		Available-for-Sale Securities		Consolidated Obligation Bonds		Consolidated Obligation Discount Notes		Other Comprehensive Income (Loss)
Year Ended December 31, 2019
Total amount of the financial statement line item	$	906,671	$	465,023	$	(711,240)	$	(780,165)	$	(28,952)
Gains (losses) on fair value hedging relationships included in the financial statement line item
Interest rate contracts
Derivatives	$	(122,094)	$	(760,621)	$	212,198	$	—	$	—
Hedged items	170,055		796,381		(245,307)		—		—
Net gains (losses) on fair value hedging relationships	$	47,961	$	35,760	$	(33,109)	$	—	$	—
Gains (losses) on cash flow hedging relationships included in the financial statement line item
Interest rate contracts
Reclassified from AOCI into interest expense	$	—	$	—	$	—	$	1,829	$	(1,829)
Recognized in OCI	—		—		—		—		(54,777)
Net gains (losses) on cash flow hedging relationships	$	—	$	—	$	—	$	1,829	$	(56,606)

Cumulative Basis Adjustments for Fair Value Hedges [Table Text Block]

The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of December 31, 2021 and 2020 (in thousands).

Line Item in Statement of Condition of Hedged Item	Amortized Cost of Hedged Asset/(Liability) (1)		Basis Adjustments for Active Hedging  Relationships Included in Amortized Cost		Basis Adjustments for Discontinued Hedging  Relationships Included in Amortized Cost		Total Fair Value Hedging Basis Adjustments (2)
December 31, 2021
Advances	$	10,065,117	$	226,159	$	4,918	$	231,077
Available-for-sale securities	15,046,972		532,869		(1,441)		531,428
Consolidated obligation bonds	(24,017,958)		273,936		(657)		273,279
December 31, 2020
Advances	13,621,492		567,408		3,846		571,254
Available-for-sale securities	16,615,401		1,296,845		(980)		1,295,865
Consolidated obligation bonds	(5,244,262)		(127,192)		(1,178)		(128,370)

_____________________________

(1)Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.

(2)Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items.

Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income [Table Text Block]

The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Gain (Loss) Recognized in Other Income (Loss) for the Year Ended December 31,
	2021		2020		2019
Derivatives not designated as hedging instruments
Interest rate swaps	$	(10,256)	$	19,224	$	28,408
Net interest income (expense) on interest rate swaps	5,542		(20,682)		(3,414)
Interest rate swaptions	5,307		(4,524)		(2,728)
Interest rate caps	—		—		86
Mortgage delivery commitments	(1,848)		8,507		2,097
Total net gain (loss) related to derivatives not designated as hedging instruments	(1,255)		2,525		24,449
Price alignment amount on variation margin for daily settled derivative contracts(1)	3		362		238
Net gains (losses) on derivatives and hedging activities reported in other income (loss)	$	(1,252)	$	2,887	$	24,687

________________________

(1)Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item.

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Capital (Tables)

12 Months Ended

Dec. 31, 2021

Banking Regulation, Total Capital [Abstract]

Schedule of Excess Stock [Table Text Block]

The following table presents total excess stock at December 31, 2021 and 2020 (in thousands).

	2021		2020
Excess stock
Capital stock	$	843,114	$	519,870
Mandatorily redeemable capital stock	2,172		9,025
Total	$	845,286	$	528,895

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

The following table summarizes the Bank’s compliance with the Finance Agency’s capital requirements as of December 31, 2021 and 2020 (dollars in thousands):

	December 31, 2021						December 31, 2020
	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	757,555		$	3,757,578		$	1,006,191		$	3,523,489
Total capital	$	2,539,535		$	3,757,578		$	2,596,501		$	3,523,489
Total capital-to-assets ratio	4.00		%	5.92		%	4.00		%	5.43		%
Leverage capital	$	3,174,419		$	5,636,367		$	3,245,626		$	5,285,234
Leverage capital-to-assets ratio	5.00		%	8.88		%	5.00		%	8.14		%

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block]

The following table summarizes the Bank’s mandatorily redeemable capital stock at December 31, 2021 by year of earliest mandatory redemption (in thousands). The earliest mandatory redemption reflects the earliest time at which the Bank is required to redeem the shareholder’s capital stock, and is based on the assumption that the activities associated with the activity-based stock have concluded by the time the notice of redemption or withdrawal expires.

2022	$	135
2023	6,228
2024	176
2025	77
2026	41
Total	$	6,657

Schedule of Mandatorily Redeemable Capital Stock [Table Text Block]

The following table summarizes the Bank’s mandatorily redeemable capital stock activity during 2021, 2020 and 2019 (in thousands).

Balance, January 1, 2019	$	6,979
Capital stock that became subject to mandatory redemption during the year	2,326
Redemption/repurchase of mandatorily redeemable capital stock	(2,391)
Stock dividends classified as mandatorily redeemable	226
Balance, December 31, 2019	7,140
Capital stock that became subject to mandatory redemption during the year	61,032
Redemption/repurchase of mandatorily redeemable capital stock	(54,615)
Stock dividends classified as mandatorily redeemable	307
Balance, December 31, 2020	13,864
Capital stock that became subject to mandatory redemption during the year	40
Redemption/repurchase of mandatorily redeemable capital stock	(7,294)
Mandatorily redeemable capital stock issued during the year	22
Stock dividends classified as mandatorily redeemable	25
Balance, December 31, 2021	$	6,657

Schedule of Withdrawals and Terminations in Membership [Table Text Block]

The following table provides the number of institutions that held mandatorily redeemable capital stock and the number that submitted a withdrawal notice or otherwise initiated a termination of their membership and the number of terminations completed during 2021, 2020 and 2019:

	2021	2020	2019
Number of institutions, beginning of year	6	6	8
Due to mergers and acquisitions	—	2	2
Due to liquidation	1	—	—
Terminations completed during the year	(4)	(2)	(4)
Number of institutions, end of year	3	6	6

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Employee Retirement Plans (Tables)

12 Months Ended

Dec. 31, 2021

Employee Retirement Plans [Abstract]

Pentegra DB Plan Net Pension Cost and Funded Status [Table Text Block]

The following table presents the Bank's net pension cost and its funded status, as well as the funded status of the Pentegra DB Plan (dollars in thousands, including amounts presented in the footnotes to the table).

	2021				2020				2019
Net pension cost charged to compensation and benefit expense for the year ended December 31	$	7,677			$	18,675			$	5,200
Pentegra DB Plan funded status as of July 1	129.6		%	(a)	108.5		%	(b)	108.6		%
Bank's funded status as of July 1	123.5		%		90.1		%		94.8		%

____________

(a)    The Pentegra DB Plan's funded status as of July 1, 2021 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021 through March 15, 2022. Contributions made during the period from July 1, 2021 through March 15, 2022 and designated for the plan year ended June 30, 2021 will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year July 1, 2021 through June 30, 2022 is filed (this Form 5500 is due to be filed no later than April 2023).

(b)    The Pentegra DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made during the period from July 1, 2020 through March 15, 2021 and designated for the plan year ended June 30, 2020 will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022).

Benefit Obligation, Fair Value of Plan Assets, and Funded Status [Table Text Block]

The Bank uses a December 31 measurement date for its retirement benefits program. A reconciliation of the accumulated postretirement benefit obligation (“APBO”) and funding status of the retirement benefits program for the years ended December 31, 2021 and 2020 is as follows (in thousands):

	Year Ended December 31,
	2021		2020
Change in APBO
APBO at beginning of year	$	756	$	636
Service cost	41		40
Interest cost	12		18
Actuarial loss (gain)	(201)		87
Participant contributions	150		136
Benefits paid	(183)		(161)
APBO at end of year	575		756
Change in plan assets
Fair value of plan assets at beginning of year	—		—
Benefits paid by the Bank	33		25
Participant contributions	150		136
Benefits paid	(183)		(161)
Fair value of plan assets at end of year	—		—
Funded status recognized in other liabilities at end of year	$	(575)	$	(756)

Schedule of Net Periodic Benefit Cost Not yet Recognized [Table Text Block]

Amounts recognized in AOCI at December 31, 2021 and 2020 consist of the following (in thousands):

	December 31,
	2021		2020
Net actuarial gain	$	1,082	$	972
Prior service cost	(48)		(69)
	$	1,034	$	903

Schedule of Net Benefit Costs [Table Text Block]

Components of net periodic benefit cost (credit) for the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Service cost	$	41	$	40	$	27
Interest cost	12		18		23
Amortization of prior service cost	21		20		20
Amortization of net actuarial gain	(91)		(80)		(94)
Net periodic benefit credit	$	(17)	$	(2)	$	(24)

Schedule of Amounts Recognized in Other Comprehensive Income (Loss) [Table Text Block]

Changes in benefit obligations recognized in other comprehensive income during the years ended December 31, 2021, 2020 and 2019 were as follows (in thousands):

	Year Ended December 31,
	2021		2020		2019
Amortization of prior service cost included in net periodic benefit cost	$	21	$	20	$	20
Actuarial gain (loss)	201		(87)		(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)		(80)		(94)
Total changes in benefit obligations recognized in other comprehensive income	$	131	$	(147)	$	(226)

Schedule of Expected Benefit Payments [Table Text Block]

The following net postretirement benefit payments, which reflect expected future service, as appropriate, are expected to be paid (in thousands):

Year Ended December 31,	Expected Benefits Payments, Net of Participant Contributions
2022	$	79
2023	49
2024	27
2025	38
2026	25
2027-2031	43
	$	261

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Estimated Fair Values (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2021 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	542,801	$	542,801	$	542,801	$	—		$	—		$	—
Interest-bearing deposits	885,745		885,745		—		885,745			—			—
Securities purchased under agreements to resell	10,650,000		10,650,000		—		10,650,000			—			—
Federal funds sold	4,781,000		4,781,000		—		4,781,000			—			—
Trading securities (1)	2,454,870		2,454,870		—		2,454,870			—			—
Available-for-sale securities (1)	15,288,032		15,288,032		—		15,288,032			—			—
Held-to-maturity securities	593,555		606,352		—		566,487		(2)	39,865		(3)	—
Advances	24,637,464		24,670,292		—		24,670,292			—			—
Mortgage loans held for portfolio, net	3,491,265		3,505,042		—		3,505,042			—			—
Accrued interest receivable	91,581		91,581		—		91,581			—			—
Derivative assets (1)	7,077		7,077		—		25,199			—			(18,122)
Other assets held at fair value (1)	17,574		17,574		17,574		—			—			—
Liabilities:
Deposits	1,590,188		1,590,187		—		1,590,187			—			—
Consolidated obligations
Discount notes	11,003,026		11,000,139		—		11,000,139			—			—
Bonds	44,514,220		44,487,511		—		44,487,511			—			—
Mandatorily redeemable capital stock	6,657		6,657		6,657		—			—			—
Accrued interest payable	73,038		73,038		—		73,038			—			—
Derivative liabilities (1)	13,956		13,956		—		480,306			—			(466,350)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2021.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2020 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate.

FAIR VALUE SUMMARY TABLE

			Estimated Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2			Level 3			Netting Adjustment(4)
Assets:
Cash and due from banks	$	3,178,281	$	3,178,281	$	3,178,281	$	—		$	—		$	—
Interest-bearing deposits	759,240		759,240		—		759,240			—			—
Securities purchased under agreements to resell	1,000,000		1,000,000		—		1,000,000			—			—
Federal funds sold	915,000		915,000		—		915,000			—			—
Trading securities (1)	5,301,468		5,301,468		—		5,301,468			—			—
Available-for-sale securities (1)	16,787,762		16,787,762		—		16,787,762			—			—
Held-to-maturity securities	897,226		908,630		—		857,785		(2)	50,845		(3)	—
Advances	32,478,944		32,536,792		—		32,536,792			—			—
Mortgage loans held for portfolio, net	3,422,686		3,503,137		—		3,503,137			—			—
Accrued interest receivable	106,322		106,322		—		106,322			—			—
Derivative assets (1)	7,975		7,975		—		37,969			—			(29,994)
Other assets held at fair value (1)	15,839		15,839		15,839		—			—			—
Liabilities:
Deposits	1,583,120		1,583,131		—		1,583,131			—			—
Consolidated obligations
Discount notes	22,171,296		22,170,858		—		22,170,858			—			—
Bonds	37,112,721		37,197,548		—		37,197,548			—			—
Mandatorily redeemable capital stock	13,864		13,864		13,864		—			—			—
Accrued interest payable	42,039		42,039		—		42,039			—			—
Derivative liabilities (1)	25,049		25,049		—		510,859			—			(485,810)

___________________________

(1)Financial instruments measured at fair value on a recurring basis as of December 31, 2020.

(2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations and GSE RMBS.

(3)Consists of the Bank's holdings of non-agency RMBS.

(4)Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties.

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Commitments and Contingencies (Tables)

12 Months Ended

Dec. 31, 2021

Commitments and Contingencies Disclosure [Abstract]

Operating Leases of Lessor Disclosure [Table Text Block]

The Bank has entered into certain lease agreements to rent space to outside parties in its building. Future minimum rentals under these operating leases at December 31, 2021 were as follows (in thousands):

Year	Total
2022	$	1,652
2023	1,358
2024	1,116
Total	$	4,126

Lessee, Operating Lease, Liability, Maturity

During the years ended December 31, 2021, 2020 and 2019, the Bank charged to operating expenses net rental costs of approximately $390,000, $388,000 and $360,000, respectively. Future minimum rentals at December 31, 2021 were as follows (in thousands):

Year	Premises		Equipment		Total
2022	$	477	$	4	$	481
2023	425		—		425
2024	438		—		438
2025	258		—		258
2026	259		—		259
Thereafter	921		—		921
Total	$	2,778	$	4	$	2,782

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Transactions with Other FHLBanks (Tables)

12 Months Ended

Dec. 31, 2021

Transactions with Other FHLBanks [Abstract]

Schedule of Loans to Other Federal Home Loan Banks [Table Text Block]

The following table summarizes the Bank's loans to other FHLBanks during the year ended December 31, 2019 (in thousands).

	Year Ended December 31, 2019
Balance at January 1, 2019	$	—
Loans made to FHLBank of Boston	300,000
Collections from FHLBank of Boston	(300,000)
Balance at December 31, 2019	$	—

Schedule of Loans from Other Federal Home Loan Banks [Table Text Block]

The following table summarizes the Bank’s borrowings from other FHLBanks during the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Year Ended December 31,
	2021		2020		2019
Balance at January 1,	$	—	$	—	$	—
Borrowings from:
FHLBank of Boston	—		—		150,000
FHLBank of San Francisco	—		—		400,000
FHLBank of Indianapolis	40,000		40,000		40,000
FHLBank of New York	—		—		250,000
Repayments to:
FHLBank of Boston	—		—		(150,000)
FHLBank of San Francisco	—		—		(400,000)
FHLBank of Indianapolis	(40,000)		(40,000)		(40,000)
FHLBank of New York	—		—		(250,000)
Balance at December 31,	$	—	$	—	$	—

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Accumulated Other Comprehensive Income (Loss) (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Accumulated Other Comprehensive Income (Loss) [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table presents the changes in the components of AOCI for the years ended December 31, 2021, 2020 and 2019 (in thousands).

	Net Unrealized  Gains (Losses) on  Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary Impairment Losses on Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2021
Balance at January 1, 2021	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260
Reclassifications from AOCI to net income
Losses on cash flow hedges included in interest expense	—		22,345		—		—		22,345
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(70)		(70)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	68,699		—		—		—		68,699
Unrealized gains on cash flow hedges	—		42,418		—		—		42,418
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		1,917		—		1,917
Actuarial gain	—		—		—		201		201
Total other comprehensive income	68,699		64,763		1,917		131		135,510
Balance at December 31, 2021	$	241,060	$	(54,839)	$	(4,485)	$	1,034	$	182,770
Year ended December 31, 2020
Balance at January 1, 2020	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049
Reclassifications from AOCI to net income
Realized gains on sales of available-for-sale securities included in net income	(829)		—		—		—		(829)
Losses on cash flow hedges included in interest expense	—		14,627		—		—		14,627
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(60)		(60)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	28,357		—		—		—		28,357
Unrealized losses on cash flow hedges	—		(96,035)		—		—		(96,035)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,238		—		2,238
Actuarial loss	—		—		—		(87)		(87)
Total other comprehensive income (loss)	27,528		(81,408)		2,238		(147)		(51,789)
Balance at December 31, 2020	$	172,361	$	(119,602)	$	(6,402)	$	903	$	47,260

	Net Unrealized  Gains (Losses) on Available-for-Sale  Securities (1)		Net Unrealized Gains (Losses)  on Cash Flow Hedges		Non-Credit Portion of  Other-than-Temporary  Impairment Losses on  Held-to-Maturity Securities		Postretirement Benefits		Total AOCI
Year ended December 31, 2019
Balance at January 1, 2019	$	118,980	$	18,412	$	(10,667)	$	1,276	$	128,001
Reclassifications from AOCI to net income
Net realized gains on sales of available-for-sale securities included in net income	(852)		—		—		—		(852)
Gains on cash flow hedges included in interest expense	—		(1,829)		—		—		(1,829)
Amortization of prior service costs and net actuarial gains recognized in other income (loss)	—		—		—		(74)		(74)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	26,705		—		—		—		26,705
Unrealized losses on cash flow hedges	—		(54,777)		—		—		(54,777)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities	—		—		2,027		—		2,027
Actuarial loss	—		—		—		(152)		(152)
Total other comprehensive income (loss)	25,853		(56,606)		2,027		(226)		(28,952)
Balance at December 31, 2019	$	144,833	$	(38,194)	$	(8,640)	$	1,050	$	99,049

(1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.

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Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Property, Plant and Equipment [Line Items]
Capitalized Computer Software, Net	$ 8,386	$ 8,568
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment	28,061	27,022
Depreciation	1,352	1,539	$ 2,003
Computer Software Costs Charged to Operating Expense	13,149	9,585	8,313
Capitalized Computer Software, Amortization	$ 3,842	$ 2,322	$ 2,097
Minimum [Member]
Property, Plant and Equipment [Line Items]
Property, Plant and Equipment, Estimated Useful Lives	3
Maximum [Member]
Property, Plant and Equipment [Line Items]
Property, Plant and Equipment, Estimated Useful Lives	39

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Summary of Significant Accounting Policies Concessions (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Schedule of Short-term and Long-term Debt [Line Items]
Unamortized Debt Issuance Expense	$ 1,902	$ 2,882
Discount Notes [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Concessions	880	3,948	$ 4,716
Consolidated Obligation Bonds [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Concessions	$ 1,871	$ 5,334	$ 3,553

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Summary of Significant Accounting Policies Other (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
ASU2017-12 and Other [Abstract]
Cash Payments Received on Non-Accrual Loans and Recorded as a Reduction of Principal	$ 3,912	$ 1,555
TDRsUnderCARESActRelief	$ 32,568

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Trading Securities (Details) - USD ($)	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading, and Equity Securities, FV-NI	$ 2,454,870,000	$ 5,301,468,000
Debt Securities, Trading, Unrealized Gain (Loss)	(6,489,000)	8,729,000	$ 11,528,000
US Treasury Notes Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading, and Equity Securities, FV-NI	205,283,000	1,985,227,000
US Treasury Bill Securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading, and Equity Securities, FV-NI	2,249,587,000	3,316,241,000
Non-mortgage-backed securities [Member]
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading, and Equity Securities, FV-NI	2,454,870,000	5,301,468,000
Trading Liabilities
Debt and Equity Securities, FV-NI [Line Items]
Debt Securities, Trading, and Equity Securities, FV-NI	$ 2,249,587,000	$ 299,921,000

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Available-for-Sale Securities (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale, Realized Gain (Loss) [Abstract]
Amortized Cost of Sold Available-for-sale Securities			$ 604,594	$ 510,342
Proceeds from sales of available-for-sale securities		$ 0	605,423	511,194
Available-for-sale Securities, Gross Realized Gains				852
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost	[1]	15,046,972	16,615,401
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		249,039	192,786
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		7,979	20,425
Debt Securities, Available-for-sale	[1]	15,288,032	16,787,762
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months		770,499	383,784
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		3,490	3,732
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer		141,837	2,553,463
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		4,489	16,693
Debt Securities, Available-for-sale, Unrealized Loss Position		912,336	2,937,247
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss		7,979	20,425
Amortized Cost of Sold Available-for-sale Securities			604,594	510,342
Realized gains on sales of available-for-sale securities		0	829	$ 852
Available-for-sale Securities [Member]
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss		59,393	62,056
US Government Agencies Debt Securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost		414,267	437,351
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		4,229	4,100
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		460	0
Debt Securities, Available-for-sale		418,036	441,451
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months		114,748
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		460
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer		0
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		0
Debt Securities, Available-for-sale, Unrealized Loss Position		114,748
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss		460
GSE obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost		4,471,107	4,950,604
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		78,983	84,538
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		4,412	3,209
Debt Securities, Available-for-sale		4,545,678	5,031,933
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months		587,176	120,876
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		22	1,492
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer		128,431	51,151
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		4,390	1,717
Debt Securities, Available-for-sale, Unrealized Loss Position		715,607	172,027
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss		4,412	3,209
Other Debt Obligations [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost		38,544	45,706
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		44	214
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		0	0
Debt Securities, Available-for-sale		38,588	45,920
Non-mortgage-backed securities [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost		4,923,918	5,433,661
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		83,256	88,852
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		4,872	3,209
Debt Securities, Available-for-sale		5,002,302	5,519,304
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost		1,209,330	312,237
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost		3,225,065	3,488,066
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost		489,523	1,617,134
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost		0	16,224
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value		1,209,339	313,167
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value		3,286,653	3,530,155
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value		506,310	1,658,599
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value		0	17,383
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Debt Securities, Available-for-sale [Line Items]
Debt Securities, Available-for-sale, Amortized Cost		10,123,054	11,181,740
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		165,783	103,934
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		3,107	17,216
Debt Securities, Available-for-sale		10,285,730	11,268,458
Available-for-sale Securities, Debt Maturities [Abstract]
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months		68,575	262,908
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss		3,008	2,240
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer		13,406	2,502,312
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss		99	14,976
Debt Securities, Available-for-sale, Unrealized Loss Position		81,981	2,765,220
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss		$ 3,107	$ 17,216

[1] Amortized cost: $15,046,972 and $16,615,401 at December 31, 2021 and 2020, respectively.

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Held-to-Maturity Securities (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		$ 598,040	$ 903,628
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		4,485	6,402
Held-to-maturity securities	[1]	593,555	897,226
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		13,338	12,922
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		541	1,518
Debt Securities, Held-to-maturity, Fair Value	[1]	606,352	908,630
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss		859
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss		146	235
US Government Agencies Debt Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		2,372	4,119
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		2,372	4,119
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		2	5
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		0	0
Debt Securities, Held-to-maturity, Fair Value		2,374	4,124
US States and Political Subdivisions Debt Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		74,919	109,698
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		74,919	109,698
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		89	228
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		0	438
Debt Securities, Held-to-maturity, Fair Value		75,008	109,488
Non-mortgage-backed securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		77,291	113,817
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		77,291	113,817
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		91	233
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		0	438
Debt Securities, Held-to-maturity, Fair Value		77,382	113,612
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost		500	0
Debt Securities, Held-to-Maturity, Maturity, Allocated and Single Maturity Date, Year One, Carrying Amount		500	0
Debt Securities, Held-to-Maturity, Fair Value, Maturity, Allocated and Single Maturity Date, Year One		500	0
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost		1,872	4,119
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount		1,872	4,119
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value		1,874	4,124
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost		0	35,000
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years, Net Carrying Amount		0	35,000
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value		0	34,562
Held-to-maturity Securities, Debt Maturities, Rolling After Year Ten, Amortized Cost		74,919	74,698
Held-to-maturity Securities, Debt Maturities, After Ten Years, Net Carrying Amount		74,919	74,698
Held-to-maturity Securities, Debt Maturities, Rolling After Ten Years, Fair Value		75,008	74,926
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		36,639	49,703
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		4,485	6,402
Held-to-maturity securities		32,154	43,301
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		8,249	8,476
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		538	932
Debt Securities, Held-to-maturity, Fair Value		39,865	50,845
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss		856
Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		520,749	789,811
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		4,485	6,402
Held-to-maturity securities		516,264	783,409
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		13,247	12,689
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		541	1,080
Debt Securities, Held-to-maturity, Fair Value		528,970	795,018
Held-to-maturity Securities, Discounts		1,003	1,338
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment		484,110	740,108
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities		0	0
Held-to-maturity securities		484,110	740,108
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain		4,998	4,213
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss		3	148
Debt Securities, Held-to-maturity, Fair Value		$ 489,105	$ 744,173

[1] Fair values: $606,352 and $908,630 at December 31, 2021 and 2020, respectively.

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Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	$ 598,040	$ 903,628
Non-mortgage-backed securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	77,291	113,817
Non-mortgage-backed securities [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	77,291	113,817
Mortgage Backed Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	520,749	789,811
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	2	19
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	0	11
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	$ 520,747	$ 789,781

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Advances (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Advances [Line Items]
Deposit Liabilities Reclassified as Loans Receivable	$ 0	$ 6
Weighted Average Interest Rate on Overdrawn Demand Deposit	0.00%	0.20%
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months	$ 7,642,760	$ 11,341,900
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months	0.39%	0.47%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two	$ 1,028,212	$ 1,123,710
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two	1.84%	1.98%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three	$ 1,335,606	$ 1,145,383
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three	1.63%	1.77%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four	$ 1,649,603	$ 1,310,258
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four	0.80%	1.67%
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five	$ 968,470	$ 1,626,621
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five	0.67%	0.86%
Federal Home Loan Bank, Advances, Maturities Summary in Rolling Year Fifteen	$ 11,752,610	$ 15,327,646
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Fifteen	0.90%	0.77%
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Fifteen	$ 35,061	$ 39,425
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Fifteen	2.35%	2.48%
Federal Home Loan Bank Advances Par Value	$ 24,412,322	$ 31,914,949
Federal Home Loan Bank, Advances, Weighted Average Interest Rate	0.81%	0.79%
Deferred Prepayment Fees	$ (5,897)	$ (7,168)
Federal Home Loan Bank, Advances, Commitment Fees	(38)	(91)
Hedging adjustments	231,077	571,254
Federal Home Loan Bank Advances	24,637,464	32,478,944
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months	12,779,409	19,845,878
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two	1,001,667	1,037,233
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three	1,093,031	1,113,822
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four	1,004,319	966,200
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five	345,975	837,869
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five	8,187,921	8,113,941
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Next Rolling Twelve Months	14,878,560	18,172,700
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two	1,112,012	1,678,710
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three	1,291,606	1,229,183
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four	1,594,603	1,266,258
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five	968,470	1,571,621
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five	4,567,071	7,996,471
Federal Home Loan Bank, Advances, Fixed Rate, under One Year	7,582,790	11,131,901
Federal Home Loan Bank, Advances, Fixed Rate, after One Year	11,037,441	11,961,692
Federal Home Loan Bank, Advances, Fixed Rate	18,620,231	23,093,593
Federal Home Loan Bank, Advances, Floating Rate, under One Year	59,970	210,005
Federal Home Loan Bank, Advances, Floating Rate, after One Year	5,732,121	8,611,351
Federal Home Loan Bank, Advances, Floating Rate	$ 5,792,091	$ 8,821,356
Percent Of Fixed Rate Advances Swapped To Adjustable Rate	54.00%	57.00%
Gross Prepayment Fees on Advances Received	$ 15,059	$ 86,530	$ 2,130
Deferred Prepayment Fees on Advances During Period	653	2,687
Federal Home Loan Bank Advances Receivable [Member]
Advances [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	$ 16,655	$ 21,131
Minimum [Member]
Advances [Line Items]
Federal Home Loan Bank, Advances, Interest Rate	0.11%	0.06%
Maximum [Member]
Advances [Line Items]
Federal Home Loan Bank, Advances, Interest Rate	8.27%	8.27%
Federal Home Loan Bank, Advances, Callable Option [Member]
Advances [Line Items]
Federal Home Loan Bank Advances Par Value	$ 5,279,719	$ 8,688,158
Federal Home Loan Bank, Advances, Putable Option [Member]
Advances [Line Items]
Federal Home Loan Bank Advances Par Value	7,345,800	$ 7,495,800
Comerica Bank [Member]
Advances [Line Items]
par value of advances			$ 3,800,000
percentage of advances outstanding			10.30%
Interest Income on Advances			$ 96,367
Percent of Total Interest Income on Advances			10.60%
American General Life Insurance Company
Advances [Line Items]
par value of advances	$ 3,148,133
percentage of advances outstanding	12.90%
Interest Income on Advances	$ 8,526
Percent of Total Interest Income on Advances	7.10%
Simmons Bank
Advances [Line Items]
par value of advances	$ 1,305,533
percentage of advances outstanding	5.30%
Interest Income on Advances	$ 18,678
Percent of Total Interest Income on Advances	15.60%

XML

Mortgage Loans Held for Portfolio (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)	Dec. 31, 2018 USD ($)
Mortgage Loans on Real Estate [Line Items]
Mortgage Loans On Real Estate, Original Contractual Terms Medium-Term Loan	15
Loans and Leases Receivable, Unamortized Premiums	$ 66,643	$ 66,008
Loans and Leases Receivable, Unamortized Discounts	(1,324)	(1,267)
Loans and Leases Receivable, Hedging Basis Adjustment	6,182	10,637
Mortgage Loans, Gross	3,494,389	3,426,611
Loans and Leases Receivable, Net Amount	3,491,265	3,422,686
Credit Enhancement Fees	1,858	2,363	$ 2,134
Performance Based Credit Enhancement Fee Recaptured	26	5	6
Real Estate Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	14,345	16,765
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	14,345	16,765
Loans Receivable With Fixed Rates Of Interest Medium Term [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance	124,532	98,957
Loans Receivable With Fixed Rates Of Interest Long Term [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance	3,298,356	3,252,276
Government Mortgage Loans [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance	8,425	10,698
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Unpaid Principal Balance	3,414,463	3,340,535
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Loans and Leases Receivable, Allowance	$ (3,124)	$ (3,925)	$ (1,149)	$ (493)

XML

Accrued Interest (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Accounts, Notes, Loans and Financing Receivable [Line Items]
Accrued interest receivable (Note 8)	$ 91,581	$ 106,322
Advances [Member]
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	16,655	21,131
US Treasury Securities
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	962	6,078
Available-for-sale Securities [Member]
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	59,393	62,056
Held-to-maturity Securities [Member]
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	146	235
Real Estate Loan [Member]
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	14,345	16,765
Interest-bearing Deposits
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	56	51
Securities Purchased under Agreements to Resell
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	15	3
Federal Funds Sold
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing Receivable, Accrued Interest, after Allowance for Credit Loss	$ 9	$ 3

XML

Allowance for Credit Losses (Details)	12 Months Ended
	Dec. 31, 2021 USD ($) securities	Dec. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)	Jan. 01, 2020 USD ($)
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Provision (reversal) for mortgage loan losses	$ (801,000)	$ 585,000	$ 656,000
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, before Allowance for Credit Loss	3,494,389,000	3,426,611,000
Mortgage Loans in Process of Foreclosure, Amount	$ 1,334,000	$ 1,445,000
Serious delinquency rate	1.00%	2.80%
Past due 90 days or more and still accruing interest	$ 124,000	$ 239,000
Non-accrual loans	51,318,000	117,958,000
Troubled debt restructurings	1,066,000
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss	859,000
Real Estate Acquired Through Foreclosure		300,000
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	598,040,000	903,628,000
OTTI Credit Losses in the Amortized Cost of Held to Maturity Securities	5,991,000	6,293,000
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss	7,979,000	20,425,000
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax	249,039,000	192,786,000
CFI Total Assets Limit	1,239,000,000
Adjustment to initially apply new credit loss accounting guidance (Note 2) [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Cumulative Effect Adjustment to Retained Earnings				$ 2,191,000
Mortgage-backed Securities, Issued by Private Enterprises [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss	856,000
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	36,639,000	49,703,000
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	484,110,000	740,108,000
US States and Political Subdivisions Debt Securities [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	74,919,000	109,698,000
GSE obligations [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss	3,000
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss	4,412,000	3,209,000
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax	78,983,000	84,538,000
US Government Agencies Debt Securities [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	2,372,000	4,119,000
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss	460,000
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax	4,229,000	4,100,000
securities issued and guaranteed by government sponsored enterprises
Financing Receivable, Recorded Investment, Past Due [Abstract]
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss	7,519,000
Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	31,518,000	27,072,000
Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	4,103,000	10,763,000
Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	36,036,000	97,598,000
Nonperforming Financial Instruments [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	71,657,000	135,433,000
Conventional Mortgage Loan [Member]
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Loans and Leases Receivable, Allowance, Beginning Balance	3,925,000	1,149,000	493,000
Financing Receivable, Change in Method, Credit Loss Expense (Reversal)	0	(2,191,000)	0
Provision (reversal) for mortgage loan losses	(801,000)	585,000	656,000
Loans and Leases Receivable, Allowance, Ending Balance	3,124,000	3,925,000	$ 1,149,000
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	25,824,000	8,154,000
Financing Receivable, before Allowance for Credit Loss	3,485,934,000	3,415,870,000
Mortgage Loans in Process of Foreclosure, Amount	$ 1,226,000	$ 1,381,000
Serious delinquency rate	1.00%	2.90%
Past due 90 days or more and still accruing interest	$ 0	$ 0
Non-accrual loans	51,318,000	117,958,000
Troubled debt restructurings	1,066,000	0
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	3,460,110,000	3,407,716,000
Conventional Mortgage Loan [Member] | Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	605,000	113,000
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	30,597,000	26,500,000
Loans and Leases Receivable, Net of Deferred Income	31,202,000	26,613,000
Conventional Mortgage Loan [Member] | Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	417,000	21,000
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	3,622,000	10,693,000
Loans and Leases Receivable, Net of Deferred Income	4,039,000	10,714,000
Conventional Mortgage Loan [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	1,005,000	274,000
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	34,907,000	97,085,000
Loans and Leases Receivable, Net of Deferred Income	35,912,000	97,359,000
ConventionalMortgagesLoaninForebearancePlanDuetoCOVID19
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, before Fees, Gross	11,759,000	90,354,000
ConventionalMortgagesLoaninForebearancePlanDuetoCOVID19 | Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, before Fees, Gross	632,000	6,615,000
ConventionalMortgagesLoaninForebearancePlanDuetoCOVID19 | Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, before Fees, Gross	1,761,000	6,724,000
ConventionalMortgagesLoaninForebearancePlanDuetoCOVID19 | Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, before Fees, Gross	9,366,000	77,015,000
US Government Agency Insured Loans [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, before Allowance for Credit Loss	8,455,000	10,741,000
Mortgage Loans in Process of Foreclosure, Amount	$ 108,000	$ 64,000
Serious delinquency rate	1.50%	2.20%
Past due 90 days or more and still accruing interest	$ 124,000	$ 239,000
Non-accrual loans	0	0
Troubled debt restructurings	0	0
US Government Agency Insured Loans [Member] | Financial Asset, 30 to 59 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	316,000	459,000
US Government Agency Insured Loans [Member] | Financial Asset, 60 to 89 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	64,000	49,000
US Government Agency Insured Loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	124,000	239,000
US Government Agency Insured Loans [Member] | Nonperforming Financial Instruments [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	504,000	747,000
Performing Financial Instruments [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	3,422,732,000	3,291,178,000
Performing Financial Instruments [Member] | Conventional Mortgage Loan [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	23,797,000	7,746,000
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	3,390,984,000	3,273,438,000
Loans and Leases Receivable, Net of Deferred Income	3,414,781,000	3,281,184,000
Performing Financial Instruments [Member] | US Government Agency Insured Loans [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Loans and Leases Receivable, Net of Deferred Income	7,951,000	9,994,000
Nonperforming Financial Instruments [Member] | Conventional Mortgage Loan [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Financing Receivable, Originated, More than Five Years before Current Fiscal Year	2,027,000	408,000
us-gaap_FinancingReceivableOriginatedFourYearsBeforeLatestFiscalYear	69,126,000	134,278,000
Loans and Leases Receivable, Net of Deferred Income	$ 71,153,000	$ 134,686,000
External Credit Rating, Investment Grade | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities	5
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	$ 7,539,000
External Credit Rating, Non Investment Grade | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities	16
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	$ 29,059,000
ExternalcreditratingUnratedMember [Domain] | Mortgage-backed Securities, Issued by Private Enterprises [Member]
Financing Receivable, Recorded Investment, Past Due [Abstract]
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities	1
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment	$ 41,000

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Deposits (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Deposits [Abstract]
Weighted Average Rate, Interest-bearing Domestic Deposits, over Time	0.02%	0.29%	2.05%
Interest Bearing Deposit Demand And Overnight	$ 1,529,237	$ 1,532,029
Interest Bearing Deposits Term	60,931	51,071
Non-interest bearing	20	20
Total deposits	$ 1,590,188	$ 1,583,120

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Consolidated Obligations (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Debt Instrument, Redemption [Line Items]
Discount notes	$ 11,003,026	$ 22,171,296
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate	69.00%	40.00%
Debt Issuance Costs	$ (1,902)	$ (2,882)
Bonds	44,514,220	37,112,721
Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	44,773,415	36,986,980
Debt Instrument, Unamortized Premium	16,405	620
Debt Instrument, Unamortized Discount	(419)	(366)
Debt Issuance Costs	(1,902)	(2,882)
Debt Valuation Adjustment for Hedging Activities	(273,279)	128,369
Bonds	44,514,220	37,112,721
Non Callable [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	22,068,620	34,861,980
Callable [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	22,704,795	2,125,000
Contractual Maturity [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 19,906,725	$ 21,392,110
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate	0.28%	0.37%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	$ 2,071,195	$ 12,236,725
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate	1.64%	0.46%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	$ 5,156,770	$ 1,419,695
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate	0.64%	2.25%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	$ 2,325,975	$ 799,975
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate	0.77%	1.99%
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	$ 8,646,750	$ 513,475
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate	0.82%	1.44%
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	$ 6,666,000	$ 625,000
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate	1.21%	1.74%
Long-term Debt, Weighted Average Interest Rate, at Point in Time	0.65%	0.55%
Earlier of Contractual Maturity or Next Call Date [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months	$ 41,026,520	$ 23,302,110
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two	2,911,695	11,751,725
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three	524,975	1,374,695
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four	98,475	459,975
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five	186,750	98,475
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five	25,000	0
Discount Notes [Member]
Debt Instrument, Redemption [Line Items]
Debt Instrument, Face Amount	$ 11,004,433	$ 22,175,690
Short-term Debt, Weighted Average Interest Rate, at Point in Time	0.04%	0.09%
Fixed Interest Rate [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	$ 30,004,790	$ 11,492,355
Variable Rate SOFR | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	9,946,625	24,419,625
Variable rate LIBOR | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	0	1,000,000
Step Up [Member] | Unsecured Debt [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	4,822,000	75,000
FHLBanks [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	653,000,000	747,000,000
FHL Bank of Dallas [Member]
Debt Instrument, Redemption [Line Items]
Debt, Gross	$ 55,800,000	$ 59,200,000

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Affordable Housing Program (Details)	12 Months Ended
	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)
Affordable Housing Program [Abstract]
Affordable Housing Program Contribution Requirement Percentage	10.00%
Number Of Federal Home Loan Banks	11
Affordable Housing Program Contribution Requirement Amount	$ 100,000,000
Affordable Housing Program [Roll Forward]
AHP, Beginning of period	63,153,000	$ 57,247,000	$ 44,358,000
AHP assessment	18,266,000	22,087,000	25,272,000
Grants funded, net of recaptured amounts	(21,286,000)	(16,181,000)	(12,383,000)
AHP, End of period	$ 60,133,000	$ 63,153,000	$ 57,247,000

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Assets and Liabilities Subject to Offsetting (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		$ 25,199	$ 37,969
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1]	(18,122)	(29,994)
Derivative assets		7,077	7,975
Derivative, Collateral, Obligation to Return Securities	[2]	(3,834)	(7,550)
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		3,243	425
Securities Purchased under Agreements to Resell, Gross		10,650,000	1,000,000
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral		0	0
Securities purchased under agreements to resell		10,650,000	1,000,000
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities	[2]	(10,650,000)	(1,000,000)
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral		0	0
Offsetting Assets, Gross		10,675,199	1,037,969
Assets, Amount Offset Against Collateral		(18,122)	(29,994)
Offsetting Assets, Total		10,657,077	1,007,975
Offsetting Assets, Collateral Not Offset in the Statement of Condition	[2]	(10,653,834)	(1,007,550)
Offsetting Assets, Amount Not Offset Against Collateral		3,243	425
Derivative Liability, Fair Value, Gross Liability		480,306	510,859
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(466,350)	(485,810)
Derivative liabilities		13,956	25,049
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[2]	(4,533)	(13,597)
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		9,423	11,452
Over the Counter [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		22,346	31,103
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		(15,270)	(23,128)
Derivative assets		7,076	7,975
Derivative, Collateral, Obligation to Return Securities	[2],[3]	(3,834)	(7,550)
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		3,242	425
Derivative Liability, Fair Value, Gross Liability		474,106	490,387
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(464,683)	(478,935)
Derivative liabilities		9,423	11,452
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[2]	0	0
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		9,423	11,452
Exchange Cleared [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Asset, Fair Value, Gross Asset		2,853	6,866
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset		(2,852)	(6,866)
Derivative assets		1	0
Derivative, Collateral, Obligation to Return Securities	[2]	0	0
Derivative Asset, Fair Value, Amount Not Offset Against Collateral		1	0
Derivative Liability, Fair Value, Gross Liability		6,200	20,472
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset		(1,667)	(6,875)
Derivative liabilities		4,533	13,597
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties	[2],[4]	(4,533)	(13,597)
Derivative Liability, Fair Value, Amount Not Offset Against Collateral		0	0
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities		525,063	$ 723,903
Minimum [Member] | Non-member Counterparty [Member]
Offsetting Assets and Liabilities [Line Items]
Collateral Thresholds		50
Maximum [Member] | Non-member Counterparty [Member]
Offsetting Assets and Liabilities [Line Items]
Collateral Thresholds		$ 500

[1] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

[2] Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.

[3] Consists of collateral pledged by member counterparties.

[4] Consists of securities pledged by the Bank. In addition to the amounts needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $525,063,000 and $723,903,000 at December 31, 2021 and 2020, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		$ 53,046,377	$ 38,974,891
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		25,199	37,969
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		480,306	510,859
Derivative Asset, Fair Value, Amount Offset Against Collateral		(3,350)	(9,798)
Derivative Liability, Fair Value, Amount Offset Against Collateral		(452,763)	(465,606)
Derivative Asset Fair Value Cash Received or Remitted Exceeding Variation Margin Requirement		2	8
Derivative Liability, Fair Value Cash Received or Remitted Exceeding Variation Margin Requirement		1,187	0
Derivative Asset, Fair Value, Gross Liability		(14,774)	(20,204)
Derivative Liability, Fair Value, Gross Asset		(14,774)	(20,204)
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[1]	(18,122)	(29,994)
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[1]	(466,350)	(485,810)
Derivative assets		7,077	7,975
Derivative liabilities		13,956	25,049
Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		49,383,407	33,940,484
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		11,633	22,021
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		476,611	499,722
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	[2]	9,806,989	13,040,960
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	[2]	104	80
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	[2]	212,533	460,394
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	[2]	14,398,278	15,190,599
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	[2]	2,028	4,536
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	[2]	10,502	36,737
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	[2]	24,112,140	4,642,925
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	[2]	9,495	17,405
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	[2]	253,444	1,534
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	[3]	1,066,000	1,066,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	[3]	6	0
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	[3]	132	1,057
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		3,662,970	5,034,407
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		13,566	15,948
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		3,695	11,137
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		265,000	380,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	1
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		2,044	7,580
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		3,081	3,126
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	0
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		1	3
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Other Contract [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		1,425,000	1,425,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		262	841
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		229	497
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		265,000	318,350
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		22	174
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		28	240
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		900,000	0
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	0
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		20	0
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		91,672	126,362
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		3,834	7,410
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		1,320	2,799
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		600,000	1,280,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		9,448	7,376
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		0	0
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		33,217	21,569
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	140
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		53	0
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Intermediary Transactions [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		80,000	80,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	1
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		0	1
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Held-to-maturity Securities [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		0	250,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	0
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		0	0
Not Designated as Hedging Instrument, Trading [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount		0	1,150,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement		0	5
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement		$ 0	$ 17

[1] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

[2] Derivatives designated as fair value hedges.

[3] Derivatives designated as cash flow hedges.

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Derivatives and Hedging Activities (Net gains (losses) on fair value and cash flow hedges) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Advances	$ 119,754	$ 349,082	$ 906,671
Interest Expense, Other Long-term Debt	(70,916)	(277,347)	(711,240)
Interest Expense, Other Short-term Borrowings	(29,635)	(198,890)	(780,165)
Net gains (losses) on derivatives and hedging activities	(1,252)	2,887	24,687
Total other comprehensive income (loss)	135,510	(51,789)	(28,952)
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), before Reclassification and Tax	42,418	(96,035)	(54,777)
Available-for-sale securities	151,684	219,190	465,023
AOCI Attributable to Parent [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Total other comprehensive income (loss)	135,510	(51,789)	(28,952)
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), before Reclassification and Tax	42,418	(96,035)	(54,777)
Interest Rate Contract [Member] | Designated as Hedging Instrument [Member] | Other Comprehensive Income (Loss) [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net	22,345	14,627	(1,829)
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), before Reclassification and Tax	42,418	(96,035)	(54,777)
Net Gain (Loss) on Cash Flow Hedging Relationship	64,763	(81,408)	(56,606)
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	235,243	(511,580)	(122,094)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	(335,583)	458,018	170,055
Gain (Loss) On Fair Value Hedging Relationship	(100,340)	(53,562)	47,961
Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	473,271	(1,169,111)	(760,621)
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	(749,714)	952,729	796,381
Gain (Loss) On Fair Value Hedging Relationship	(276,443)	(216,382)	35,760
Consolidated Obligation Bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments	(200,839)	172,126	212,198
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge	401,649	(62,690)	(245,307)
Gain (Loss) On Fair Value Hedging Relationship	200,810	109,436	(33,109)
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments		0
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge		0
Gain (Loss) On Fair Value Hedging Relationship		0
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net	(22,345)	(14,627)	1,829
Net Gain (Loss) on Cash Flow Hedging Relationship	$ (22,345)	$ (14,627)	$ 1,829

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Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Advances [Member]
Derivatives, Fair Value [Line Items]
Hedged Asset, Fair Value Hedge	[1]	$ 10,065,117	$ 13,621,492
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease		226,159	567,408
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		4,918	3,846
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	[2]	231,077	571,254
Available-for-sale Securities [Member]
Derivatives, Fair Value [Line Items]
Hedged Asset, Fair Value Hedge	[1]	15,046,972	16,615,401
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease		532,869	1,296,845
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		(1,441)	(980)
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease)	[2]	531,428	1,295,865
Consolidated Obligation Bonds [Member]
Derivatives, Fair Value [Line Items]
Hedged Liability, Fair Value Hedge	[1]	24,017,958	5,244,262
HedgedLiabilityActiveFairValueHedgeCumulativeIncreaseDecrease		(273,936)	127,192
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)		657	1,178
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease)	[2]	$ (273,279)	$ 128,370

[1] Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.

[2] Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items.

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Derivatives and Hedging Activities (Net gains (losses) on derivatives and hedging activities in other income (loss)) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		$ (1,255)	$ 2,525	$ 24,449
Derivative Instruments, Other Gain (Loss)	[1]	3	362	238
Gain (Loss) on Derivative Instruments, Net, Pretax		(1,252)	2,887	24,687
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		(10,256)	19,224	28,408
Interest Rate Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		5,307	(4,524)	(2,728)
NetInterestSettlements [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		5,542	(20,682)	(3,414)
Interest Rate Cap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		0	0	86
Forward Contracts [Member] | Mortgage Receivable [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net		$ (1,848)	$ 8,507	$ 2,097

[1] Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item.

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Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	$ 53,046,377	$ 38,974,891
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months	$ (18,556)
Maximum Length of Time Hedged in Cash Flow Hedge	8 years 1 month 6 days
Exchange Cleared [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	$ 22,500,000
Over the Counter [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	30,400,000
Member Counterparties [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	$ 100,000

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Capital (Details) - USD ($)	3 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 27, 2021	Sep. 27, 2021	Jun. 25, 2021	Apr. 19, 2021	Mar. 29, 2021	Dec. 30, 2020	Sep. 28, 2020	Aug. 01, 2020	Jun. 26, 2020	Apr. 01, 2020	Mar. 27, 2020	Dec. 27, 2019	Sep. 25, 2019	Jun. 25, 2019	Mar. 26, 2019	Oct. 21, 2015
Capital Narrative [Abstract]
Common Stock, Par or Stated Value Per Share		$ 100	$ 100
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year		0.04%
Membership Investment Requirement, Minimum Dollar Amount		$ 1,000
Membership Investment Requirement, Maximum Dollar Amount		$ 7,000,000
Activity Based Investment Requirement, Percent of Outstanding Advances		4.10%																		4.10%
Surplus Stock Threshold Percentage		125.00%	125.00%	125.00%
Minimum Stock Surplus Required For Repurchase					$ 2,000,000	$ 2,000,000	$ 2,000,000		$ 2,000,000	$ 2,000,000	$ 2,500,000		$ 2,500,000		$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000
Repurchased Surplus Stock During The Period		$ 153,087,000	$ 471,326,000	$ 739,733,000
Number of Finance Agency Regulatory Capital Requirements		3
Multiplier for Determining Permanent Capital in Leverage Capital Calculation		1.5
Interest Expense, Capital Securities		$ 17,000	83,000	189,000
Joint Capital Enhancement Agreement Percentage		20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Prescribed per the Joint Capital Enhancement Agreement For Each Previous Quarter		1.00%
Excess Stock [Abstract]
Excess Capital Stock		$ 843,114,000	519,870,000
Excess Capital Mandatorily Redeemable Capital Stock Portion		2,172,000	9,025,000
Excess Capital Stock And Excess Mandatorily Redeemable Capital Stock		845,286,000	528,895,000
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract]
Federal Home Loan Bank, Risk-Based Capital, Required		757,555,000	1,006,191,000
Federal Home Loan Bank, Risk-Based Capital, Actual		3,757,578,000	3,523,489,000
Federal Home Loan Bank, Regulatory Capital, Required		2,539,535,000	2,596,501,000
Federal Home Loan Bank, Regulatory Capital, Actual		$ 3,757,578,000	$ 3,523,489,000
Regulatory Capital Ratio, Required		4.00%	4.00%
Federal Home Loan Bank, Regulatory Capital Ratio, Actual		5.92%	5.43%
Federal Home Loan Bank, Leverage Capital, Required		$ 3,174,419,000	$ 3,245,626,000
Federal Home Loan Bank, Leverage Capital, Actual		$ 5,636,367,000	$ 5,285,234,000
Leverage Ratio, Required		5.00%	5.00%
Leverage Ratio, Actual		8.88%	8.14%
Mandatorily Redeemable Capital Stock by Maturity Date [Abstract]
Financial Instruments Subject to Mandatory Redemption, Redeemable within One year		$ 135,000
Financial Instruments Subject to Mandatory Redemption, Redeemable in Year Two		6,228,000
Financial Instruments Subject to Mandatory Redemption, Redeemable in Year Three		176,000
Financial Instruments Subject to Mandatory Redemption, Redeemable in Year Four		77,000
Financial Instruments Subject to Mandatory Redemption, Redeemable in Year Five		41,000
Mandatorily Redeemable Capital Stock [Roll Forward]
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Beginning Balance		13,864,000	$ 7,140,000	6,979,000
GrossSharesReclassifiedToMandatorilyRedeemableCapitalStockValue		40,000	61,032,000	2,326,000
Repayments of Mandatory Redeemable Capital Securities		(7,294,000)	(54,615,000)	(2,391,000)
Proceeds from Issuance of Mandatory Redeemable Capital Securities		22,000
Dividends Common Stock Mandatorily Redeemable Capital Stock		25,000	307,000	226,000
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Ending Balance		$ 6,657,000	$ 13,864,000	$ 7,140,000
Number of Stockholders Holding Mandatorily Redeemable Capital Stock [Roll Forward]
Number of Stockholders Holding Mandatorily Redeemable Capital Stock, Beginning Balance		6	6	8
Federal Home Loan, Bank Non Member Due to Merger		0	2	2
Federal Home Loan, Bank Involuntary Termination		1	0	0
Federal Home Loan Bank, Number of Completed Membership Terminations		(4)	(2)	(4)
Number of Stockholders Holding Mandatorily Redeemable Capital Stock, Ending Balance		3	6	6
RepurchasedSurplusStockMRCSPortion		$ 7,049,000	$ 53,992,000	$ 2,296,000
2020 Special Advance Offering Maximum Balance		$ 5,000,000,000
Activity Based Investment Requirement, Percent of Outstanding Advances 2020														4.10%
Activity Based % Requirement, Special Advances Program 2020														2.00%
Minimum Capital Stock to Assets Ratio, Percent Required		2.00%	2.00%
Partial recovery of prior capital distribution to Financing Corporation (Note 15)	$ 17,639,000	$ 0	$ 17,639,000	$ 0
Activity Based % Requirement, Special Advances Program 2021 Modification								2.00%
Activity Based Investment Requirement, Percent of Outstanding Advances 2021 Modification								4.10%
Activity Based % Requirement, Special Advances Program 2015																				2.00%
Activity Based Investment Requirement, Percent of Outstanding Advances 2015																				4.10%
Activity Based Investment Requirement, Percent of Outstanding LOCs		0.10%						0.10%
Activity Based Investment Requirement, Percent of Outstanding Advances 2020 Modification												4.10%
Activity Based % Requirement, Special Advances Program 2020 Modification												2.00%
Minimum [Member]
Capital Narrative [Abstract]
Activity Based Investment Requirement, Percent of Outstanding Advances		2.00%
Number of Stockholders Holding Mandatorily Redeemable Capital Stock [Roll Forward]
Activity Based Investment Requirement, Percent of Outstanding LOCs								0.10%
Maximum [Member]
Capital Narrative [Abstract]
Activity Based Investment Requirement, Percent of Outstanding Advances		5.00%
Number of Stockholders Holding Mandatorily Redeemable Capital Stock [Roll Forward]
Activity Based Investment Requirement, Percent of Outstanding LOCs								2.00%

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Pentegra Defined Benefit Plan (Details) - Pentegra Defined Benefit Plan [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Jul. 01, 2021		Jul. 01, 2020		Jul. 01, 2019
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Net Periodic Benefit Cost (Credit)	$ 7,677	$ 18,675	$ 5,200
Pentegra Defined Benefit Plan Funded Status as of July 1				129.60%	[1]	108.50%	[2]	108.60%
FHLBank's funded status as of July 1				123.50%		90.10%		94.80%

[1] The Pentegra DB Plan's funded status as of July 1, 2021 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021 through March 15, 2022. Contributions made during the period from July 1, 2021 through March 15, 2022 and designated for the plan year ended June 30, 2021 will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year July 1, 2021 through June 30, 2022 is filed (this Form 5500 is due to be filed no later than April 2023).

[2] The Pentegra DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made during the period from July 1, 2020 through March 15, 2021 and designated for the plan year ended June 30, 2020 will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022).

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Employee Retirement Plans Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Defined Benefit Plan Disclosure [Line Items]
Entity Tax Identification Number	71-6013989
Other Postretirement Benefit Plans, Defined Benefit [Member]
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Future Amortization of Net Prior Service Cost (Credit)	$ 20
Defined Benefit Plan, Future Amortization of Net Gains (Losses)	$ 77
Defined Benefit Plan, Health Care Cost Trend Rate Assumed, Next Fiscal Year	5.40%	7.50%	5.20%	5.50%
Defined Benefit Plan, Assumed Health Care Cost Trend Rate, Description	decline by 0.15 percent
Defined Benefit Plan, Ultimate Health Care Cost Trend Rate	4.40%
Defined Benefit Plan, Year Health Care Cost Trend Rate Reaches Ultimate Trend Rate	2029
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Discount Rate	2.95%	2.61%
Defined Benefit Plan, Assumptions Used Calculating Net Periodic Benefit Cost, Discount Rate	2.61%	3.34%	4.10%
Defined Contribution Plans [Member]
Defined Contribution Plan Disclosure [Abstract]
Defined Contribution Plan, Cost	$ 1,911	$ 1,747	$ 1,651
Non-qualified Deferred Compensation Plan [Member]
Defined Contribution Plan Disclosure [Abstract]
Deferred Compensation Arrangement with Individual, Recorded Liability	10,334	8,445
Deferred Compensation Arrangement with Individual, Compensation Expense	1,382	1,100	1,136
Directors' non-qualified deferred compensation plan [Member]
Defined Contribution Plan Disclosure [Abstract]
Deferred Compensation Arrangement with Individual, Recorded Liability	3,585	3,942
Deferred Compensation Arrangement with Individual, Compensation Expense	296	320	$ 343
Special Non-Qualified Deferred Compensation Plan [Member]
Defined Contribution Plan Disclosure [Abstract]
Deferred Compensation Arrangement with Individual, Recorded Liability	$ 2,828	$ 3,396
Pentegra Defined Benefit Plan [Member]
Defined Benefit Plan Disclosure [Line Items]
Multiemployer Plan Number	333

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Employee Retirement Plans Reconciliation of the APBO (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward]
Actuarial gain (loss)	$ (201)	$ 87	$ 152
Other Postretirement Benefit Plans, Defined Benefit [Member]
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward]
Defined Benefit Plan, Benefit Obligation, Beginning Balance	756	636
Defined Benefit Plan, Service Cost	41	40	27
Defined Benefit Plan, Interest Cost	12	18	23
Actuarial gain (loss)	(201)	87
Defined Benefit Plan, Benefit Obligation, Contributions by Plan Participant	150	136
Defined Benefit Plan, Benefit Obligation, Benefits Paid	(183)	(161)
Defined Benefit Plan, Benefit Obligation, Ending Balance	575	756	636
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward]
Defined Benefit Plan, Fair Value of Plan Assets, Beginning Balance	0	0
Benefits paid by the Bank	33	25
Defined Benefit Plan, Plan Assets, Contributions by Plan Participant	150	136
Defined Benefit Plan, Plan Assets, Benefits Paid	(183)	(161)
Defined Benefit Plan, Fair Value of Plan Assets, Ending Balance	0	0	$ 0
Defined Benefit Plan, Funded (Unfunded) Status of Plan	$ (575)	$ (756)

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Employee Retirement Plans Amounts recognized in AOCI (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Accumulated Other Comprehensive Income (Loss), Gain (Loss), before Tax	$ 1,082	$ 972
Defined Benefit Plan, Accumulated Other Comprehensive (Income) Loss, Prior Service Cost (Credit), before Tax	(48)	(69)
Accumulated Other Comprehensive (Income) Loss, Defined Benefit Plan, after Tax	$ 1,034	$ 903

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Employee Retirement Plans Components of net periodic benefit cost (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Service Cost	$ 41	$ 40	$ 27
Defined Benefit Plan, Interest Cost	12	18	23
Defined Benefit Plan, Amortization of Prior Service Cost	21	20	20
Amortization of net actuarial gain	(91)	(80)	(94)
Defined Benefit Plan, Net Periodic Benefit Cost (Credit)	$ (17)	$ (2)	$ (24)

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Employee Retirement Plans Changes in benefit obligations in OCI (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Defined Benefit Plan Disclosure [Line Items]
Amortization of prior service cost included in net periodic benefit cost	$ 21	$ 20	$ 20
Actuarial gain (loss)	201	(87)	(152)
Amortization of net actuarial gain included in net periodic benefit cost	(91)	(80)	(94)
Other Postretirement Benefit Plans, Defined Benefit [Member]
Defined Benefit Plan Disclosure [Line Items]
Actuarial gain (loss)	201	(87)
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, Net of Tax, Portion Attributable to Parent	$ 131	$ (147)	$ (226)

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Employee Retirement Plans Expected net postretirement benefit payments (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] $ in Thousands	Dec. 31, 2021 USD ($)
Defined Benefit Plan Disclosure [Line Items]
Defined Benefit Plan, Expected Future Benefit Payment, Next Twelve Months	$ 79
Defined Benefit Plan, Expected Future Benefit Payment, Year Two	49
Defined Benefit Plan, Expected Future Benefit Payment, Year Three	27
Defined Benefit Plan, Expected Future Benefit Payment, Year Four	38
Defined Benefit Plan, Expected Future Benefit Payment, Year Five	25
Defined Benefit Plan, Expected Future Benefit Payment, Five Fiscal Years Thereafter	43
Defined Benefit Plan Expected Future Benefit Payments	$ 261

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Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Assets
Cash and due from banks		$ 542,801	$ 3,178,281
Trading securities		2,454,870	5,301,468
Debt Securities, Available-for-sale	[1]	15,288,032	16,787,762
Held-to-maturity securities	[2]	593,555	897,226
Held-to-maturity securities, Fair Value	[2]	606,352	908,630
Accrued interest receivable (Note 8)		91,581	106,322
Derivative assets		7,077	7,975
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	[3]	(18,122)	(29,994)
Other Assets, Fair Value Disclosure		17,574	15,839
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		6,657	13,864	$ 7,140	$ 6,979
Accrued interest payable		73,038	42,039
Derivative liabilities		13,956	25,049
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	[3]	(466,350)	(485,810)
Carrying Value [Member]
Assets
Cash and due from banks		542,801	3,178,281
Interest-bearing deposits		885,745	759,240
Securities purchased under agreements to resell		10,650,000	1,000,000
Federal funds sold		4,781,000	915,000
Trading securities		2,454,870	5,301,468
Debt Securities, Available-for-sale		15,288,032	16,787,762
Held-to-maturity securities		593,555	897,226
Advances		24,637,464	32,478,944
Mortgage loans held for portfolio, net		3,491,265	3,422,686
Accrued interest receivable (Note 8)		91,581	106,322
Derivative assets		7,077	7,975
Other Assets, Fair Value Disclosure		17,574	15,839
Liabilities
Deposits		1,590,188	1,583,120
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		6,657	13,864
Accrued interest payable		73,038	42,039
Derivative liabilities		13,956	25,049
Fair Value [Member]
Assets
Cash and due from banks		542,801	3,178,281
Interest-bearing deposits		885,745	759,240
Securities purchased under agreements to resell		10,650,000	1,000,000
Federal funds sold		4,781,000	915,000
Trading securities		2,454,870	5,301,468
Debt Securities, Available-for-sale		15,288,032	16,787,762
Held-to-maturity securities, Fair Value		606,352	908,630
Advances		24,670,292	32,536,792
Mortgage loans held for portfolio, net		3,505,042	3,503,137
Accrued interest receivable (Note 8)		91,581	106,322
Derivative assets		7,077	7,975
Other Assets, Fair Value Disclosure		17,574	15,839
Liabilities
Deposits		1,590,187	1,583,131
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		6,657	13,864
Accrued interest payable		73,038	42,039
Derivative liabilities		13,956	25,049
Fair Value, Inputs, Level 1 [Member]
Assets
Cash and due from banks		542,801	3,178,281
Interest-bearing deposits		0	0
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Debt Securities, Available-for-sale		0	0
Held-to-maturity securities, Fair Value		0	0
Advances		0	0
Mortgage loans held for portfolio, net		0	0
Accrued interest receivable (Note 8)		0	0
Derivative assets		0	0
Other Assets, Fair Value Disclosure		17,574	15,839
Liabilities
Deposits		0	0
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		6,657	13,864
Accrued interest payable		0	0
Derivative liabilities		0	0
Fair Value, Inputs, Level 2 [Member]
Assets
Cash and due from banks		0	0
Interest-bearing deposits		885,745	759,240
Securities purchased under agreements to resell		10,650,000	1,000,000
Federal funds sold		4,781,000	915,000
Trading securities		2,454,870	5,301,468
Debt Securities, Available-for-sale		15,288,032	16,787,762
Held-to-maturity securities, Fair Value		566,487	857,785
Advances		24,670,292	32,536,792
Mortgage loans held for portfolio, net		3,505,042	3,503,137
Accrued interest receivable (Note 8)		91,581	106,322
Derivative assets		25,199	37,969
Other Assets, Fair Value Disclosure		0	0
Liabilities
Deposits		1,590,187	1,583,131
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		0	0
Accrued interest payable		73,038	42,039
Derivative liabilities		480,306	510,859
Fair Value, Inputs, Level 3 [Member]
Assets
Cash and due from banks		0	0
Interest-bearing deposits		0	0
Securities purchased under agreements to resell		0	0
Federal funds sold		0	0
Trading securities		0	0
Debt Securities, Available-for-sale		0	0
Held-to-maturity securities, Fair Value		39,865	50,845
Advances		0	0
Mortgage loans held for portfolio, net		0	0
Accrued interest receivable (Note 8)		0	0
Derivative assets		0	0
Other Assets, Fair Value Disclosure		0
Liabilities
Deposits		0	0
Consolidated obligations
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount		0	0
Accrued interest payable		0	0
Derivative liabilities		0	0
Consolidated Obligation Discount Notes [Member] | Carrying Value [Member]
Consolidated obligations
Discount notes, Fair Value		11,003,026	22,171,296
Consolidated Obligation Discount Notes [Member] | Fair Value [Member]
Consolidated obligations
Discount notes, Fair Value		11,000,139	22,170,858
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member]
Consolidated obligations
Discount notes, Fair Value		0	0
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member]
Consolidated obligations
Discount notes, Fair Value		11,000,139	22,170,858
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member]
Consolidated obligations
Discount notes, Fair Value		0	0
Consolidated Obligation Bonds [Member] | Carrying Value [Member]
Consolidated obligations
Bonds, Fair Value		44,514,220	37,112,721
Consolidated Obligation Bonds [Member] | Fair Value [Member]
Consolidated obligations
Bonds, Fair Value		44,487,511	37,197,548
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member]
Consolidated obligations
Bonds, Fair Value		0	0
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member]
Consolidated obligations
Bonds, Fair Value		44,487,511	37,197,548
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member]
Consolidated obligations
Bonds, Fair Value		$ 0	$ 0

[1] Amortized cost: $15,046,972 and $16,615,401 at December 31, 2021 and 2020, respectively.

[2] Fair values: $606,352 and $908,630 at December 31, 2021 and 2020, respectively.

[3] Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.

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Commitments and Contingencies (Details) - USD ($)	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 27, 2021	Sep. 27, 2021	Jun. 25, 2021	Mar. 29, 2021	Dec. 30, 2020	Sep. 28, 2020	Jun. 26, 2020	Mar. 27, 2020	Dec. 27, 2019	Sep. 25, 2019	Jun. 25, 2019	Mar. 26, 2019
Commitments and Contingencies [Line Items]
Derivative, Collateral, Right to Reclaim Cash	$ 456,491,000	$ 466,068,000
Lessee, Operating Lease, Liability, to be Paid, Year One	481,000
Lessee, Operating Lease, Liability, to be Paid, Year Two	425,000
Lessee, Operating Lease, Liability, to be Paid, Year Three	438,000
Lessee, Operating Lease, Liability, to be Paid, Year Four	258,000
Lessee, Operating Lease, Liability, to be Paid, Year Five	259,000
Lessee, Operating Lease, Liability, to be Paid, after Year Five	921,000
Lessee, Operating Lease, Liability, to be Paid	2,782,000
Operating Leases, Future Minimum Payments Receivable, Next Twelve Months	1,652,000
Operating Leases, Future Minimum Payments Receivable, in Two Years	1,358,000
Operating Leases, Future Minimum Payments Receivable, in Three Years	1,116,000
Operating Leases Future Minimum Payments Receivable Due	4,126,000
Operating Lease, Expense	$ 390,000	$ 388,000	$ 360,000
Minimum Stock Surplus Required For Repurchase				$ 2,000,000	$ 2,000,000	$ 2,000,000	$ 2,000,000	$ 2,000,000	$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000	$ 2,500,000
Surplus Stock Threshold Percentage	125.00%	125.00%	125.00%
Other FHLBanks [Member]
Commitments and Contingencies [Line Items]
Debt, Gross	$ 597,000,000,000	$ 688,000,000,000
Loan Origination Commitments [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	$ 22,042,000	7,161,000
Standby Letters of Credit [Member]
Commitments and Contingencies [Line Items]
Standby Letters of Credit, Final Expiration Year	2035
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	$ 21,652,978,000	22,402,688,000
Unearned Fees on Standby Letters of Credit	4,970,000	5,621,000
Financial Standby Letters of Credit [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	914,041,000	709,300,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2022	165,299,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2023	210,622,000
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2024	46,840,000
Fair Value Disclosure, Off-Balance Sheet Risks, Face Amount, Expiring in 2025	239,825,000
Fair Value Disclosure, Off-Balance Sheet Risks, Face Amount, Expiring in 2026	251,455,000
Conventional Mortgage Loan [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	33,217,000	21,569,000
Consolidated Obligation Bonds [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability	350,000,000
Consolidated Obligation Discount Notes [Member]
Commitments and Contingencies [Line Items]
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability		521,760,000
Building and Building Improvements [Member]
Commitments and Contingencies [Line Items]
Lessee, Operating Lease, Liability, to be Paid, Year One	477,000
Lessee, Operating Lease, Liability, to be Paid, Year Two	425,000
Lessee, Operating Lease, Liability, to be Paid, Year Three	438,000
Lessee, Operating Lease, Liability, to be Paid, Year Four	258,000
Lessee, Operating Lease, Liability, to be Paid, Year Five	259,000
Lessee, Operating Lease, Liability, to be Paid, after Year Five	921,000
Lessee, Operating Lease, Liability, to be Paid	2,778,000
Furniture and Equipment, Rental Expense, Operating Lease [Member]
Commitments and Contingencies [Line Items]
Lessee, Operating Lease, Liability, to be Paid, Year One	4,000
Lessee, Operating Lease, Liability, to be Paid, Year Two	0
Lessee, Operating Lease, Liability, to be Paid, Year Three	0
Lessee, Operating Lease, Liability, to be Paid, Year Four	0
Lessee, Operating Lease, Liability, to be Paid, Year Five	0
Lessee, Operating Lease, Liability, to be Paid, after Year Five	0
Lessee, Operating Lease, Liability, to be Paid	4,000
Available-for-sale Securities [Member]
Commitments and Contingencies [Line Items]
Derivative, Collateral, Right to Receive Securities	$ 529,596,000	$ 737,500,000
Maximum [Member]
Commitments and Contingencies [Line Items]
Maximum Original Term of Standby Letters of Credit	15 years

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Transactions with Shareholders (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Jun. 30, 2021	Dec. 31, 2020
Transactions with Shareholders [Line Items]
Advances by Federal Home Loan Bank	$ 24,637,464		$ 32,478,944
Common Stock, Value, Outstanding		$ 2,099,000
Directors' Financial Institutions [Member]
Transactions with Shareholders [Line Items]
Advances by Federal Home Loan Bank	$ 495,278		$ 1,108,011
Federal Home Loan Bank Advances At Par Value As Percentage of Total Advances Outstanding	2.00%		3.50%
Common Stock, Value, Outstanding	$ 40,598		$ 51,313
Capital Stock, Percent	1.80%		2.40%

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Transactions with Other FHLBanks (Details) - USD ($)	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Schedule of Other Transactions [Line Items]
Interest Income, Loans to Other Federal Home Loan Banks			$ 20,000
Loans Made to Other FHLBanks [Roll Forward]
Loans to other FHLBanks, Beginning of period		$ 0	0
Loans to other FHLBanks, End of period			0
Interest Expense, Loans from Other Federal Home Loan Banks	$ 77	506	109,000
Borrowings From Other FHLBanks [Roll Forward]
Loans from other FHLBanks, Beginning of period	0	0	0
Loans from other FHLBanks, End of period	0	0	0
Federal Home Loan Bank of Boston [Member]
Loans Made to Other FHLBanks [Roll Forward]
Loans made to other FHLBanks			300,000,000
Collections from other FHLBanks			300,000,000
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	0	0	150,000,000
Repayments to other FHLBanks	0	0	(150,000,000)
Federal Home Loan Bank of Indianapolis [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	40,000,000	40,000,000	40,000,000
Repayments to other FHLBanks	(40,000,000)	(40,000,000)	(40,000,000)
Federal Home Loan Bank of New York [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	0	0	250,000,000
Repayments to other FHLBanks	0	0	(250,000,000)
Federal Home Loan Bank of San Francisco [Member]
Borrowings From Other FHLBanks [Roll Forward]
Borrowings from other FHLBanks	0	0	400,000,000
Repayments to other FHLBanks	$ 0	$ 0	$ (400,000,000)

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period		$ 47,260
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income		0	$ (829)	$ (852)
Reclassification adjustment for losses (gains) on cash flow hedges included in net income		22,345	14,627	(1,829)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities		68,699	28,357	26,705
Unrealized gains (losses) on cash flow hedges		42,418	(96,035)	(54,777)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities		1,917	2,238	2,027
Total other comprehensive income (loss)		135,510	(51,789)	(28,952)
Accumulated Other Comprehensive Income (loss), end of period		182,770	47,260
Accumulated Net Unrealized Investment Gain (Loss) [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period	[1]	172,361	144,833	118,980
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income	[1]		(829)	(852)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities	[1]	68,699	28,357	26,705
Total other comprehensive income (loss)	[1]	68,699	27,528	25,853
Accumulated Other Comprehensive Income (loss), end of period	[1]	241,060	172,361	144,833
Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period		(119,602)	(38,194)	18,412
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for losses (gains) on cash flow hedges included in net income		22,345	14,627	(1,829)
Other amounts of other comprehensive income (loss)
Unrealized gains (losses) on cash flow hedges		42,418	(96,035)	(54,777)
Total other comprehensive income (loss)		64,763	(81,408)	(56,606)
Accumulated Other Comprehensive Income (loss), end of period		(54,839)	(119,602)	(38,194)
Accumulated Defined Benefit Plans Adjustment [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period		903	1,050	1,276
Reclassifications from accumulated other comprehensive income (loss) to net income
Other Comprehensive (Income) Loss, Defined Benefit Plan, Reclassification Adjustment from AOCI, before Tax		(70)	(60)	(74)
Other amounts of other comprehensive income (loss)
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Reclassification Adjustment and Tax		201	(87)	(152)
Total other comprehensive income (loss)		131	(147)	(226)
Accumulated Other Comprehensive Income (loss), end of period		1,034	903	1,050
AOCI Attributable to Parent [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period		47,260	99,049	128,001
Reclassifications from accumulated other comprehensive income (loss) to net income
Reclassification adjustment for net realized gains on sales of available-for-sale securities included in net income			(829)	(852)
Reclassification adjustment for losses (gains) on cash flow hedges included in net income		22,345	14,627	(1,829)
Other Comprehensive (Income) Loss, Defined Benefit Plan, Reclassification Adjustment from AOCI, before Tax		(70)	(60)	(74)
Other amounts of other comprehensive income (loss)
Net unrealized gains on available-for-sale securities		68,699	28,357	26,705
Unrealized gains (losses) on cash flow hedges		42,418	(96,035)	(54,777)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities		1,917	2,238	2,027
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Reclassification Adjustment and Tax		201	(87)	(152)
Total other comprehensive income (loss)		135,510	(51,789)	(28,952)
Accumulated Other Comprehensive Income (loss), end of period		182,770	47,260	99,049
Held-to-maturity Securities [Member] | Accumulated Other-than-Temporary Impairment [Member]
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Accumulated other comprehensive income (Loss), start of period		(6,402)	(8,640)	(10,667)
Other amounts of other comprehensive income (loss)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities		1,917	2,238	2,027
Total other comprehensive income (loss)		1,917	2,238	2,027
Accumulated Other Comprehensive Income (loss), end of period		$ (4,485)	$ (6,402)	$ (8,640)

[1] Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.