FEDERAL HOME LOAN BANK OF BOSTON – 10-Q – MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL POSITION AND OPERATING RESULTS


Index to Management's Discussion and Analysis of Financial Condition and Results
of Operations

  Forward-Looking Statements                        37
  Executive Summary                                 39
  Economic Conditions                               40
  Selected Financial Data                           41
  Results of Operations                             43
  Financial Condition                               48
  Liquidity and Capital Resources                   57
  Critical Accounting Estimates                     62
  Recent Accounting Developments                    63
  Legislative and Regulatory Developments           63



Forward-Looking Statements

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This report includes statements describing anticipated developments,
projections, estimates, or predictions of ours that are "forward-looking
statements." These statements may involve matters related to, but not limited
to, projections of revenues, income, earnings, capital expenditures, dividends,
capital structure, or other financial items; repurchases of excess stock, our
minimum retained earnings target, or the interest-rate environment in which we
do business; statements of management's plans or objectives for future
operations; expectations of effects or changes in fiscal and monetary policies
and our future economic performance; projections or expectations regarding the
COVID-19 pandemic or its effects; or statements of assumptions underlying
certain of the foregoing types of statements. These statements may use
forward-looking terminology such as, but not limited to, "anticipates,"
"believes," "continued" "expects," "plans," "intends," "may," "could,"
"estimates," "assumes," "should," "will," "likely," or their negatives or other
variations on these terms. We caution that, by their nature, forward-looking
statements are subject to a number of risks or uncertainties, including the risk
factors set forth in Part I - Item 1A - Risk Factors in the 2021 Annual Report
and   Part II - Item 1A - Risk Factors   of this report, along with the risks
set forth below. Actual results could differ materially from those expressed or
implied in these forward-looking statements or could affect the extent to which
a particular objective, projection, estimate, or prediction is realized. As a
result, you are cautioned not to place undue reliance on such statements. These
forward-looking statements speak only as of the date they are made, and we do
not undertake to update any forward-looking statement herein or that may be made
from time to time on our behalf.

Some of the risks and uncertainties that could affect our forecast
statements include the following:

•the effects of economic, financial, credit, and market conditions on our
financial and regulatory condition and results of operations, including changes
in economic growth, general liquidity conditions, inflation, employment rates,
interest rates, interest rate spreads, interest rate volatility, mortgage
originations, prepayment activity, housing prices, asset delinquencies, members'
deposit flows, liquidity needs, and loan demand; changes in benchmark interest
rates, including but not limited to the cessation of the LIBOR benchmark rate,
the development of alternative rates, including the secured overnight financing
rate (SOFR), and the adverse consequences these could have for market
participants, including the Bank and its members; changes in the general
economy, including changes resulting from U.S. fiscal and monetary policy,
actions of the Federal Open Market Committee (FOMC), or changes in credit
ratings of the U.S. federal government; the condition of the mortgage and
housing markets on our mortgage-related assets; and the condition of the capital
markets on our COs;

•issues and events across the FHLBank System and in the political arena that may
lead to executive branch, legislative, regulatory, judicial, or other
developments impacting the scope of our business, investor demand for COs, our
financial obligations with respect to COs, our ability to access the capital
markets, our members, our counterparties, the manner in which we operate, or the
organization and structure of the FHLBank System;

•the impact of pandemics, such as the COVID-19 pandemic, epidemics, or health
emergencies and responses to such events, including, among other things, the
effect on the Bank resulting from illness or quarantines of employees or
business partners on which we rely or from remote work arrangements; negative
effects on our members' businesses and their demands for our products, including
demand for advances; and effects on the economy and financial markets from
Federal Reserve monetary policy, fiscal stimulus programs (or changes to or
cessation of such programs), state and local government restrictions on business
activities including, among other things, federal and state vaccine mandates and
reactions thereto, or generally;

• our ability to declare and pay dividends in accordance with past practices as well as
that any plan to buy back excess share capital, and any change in our
capital plan;

• competitive forces, including but not limited to other funding sources
available to our members and other entities borrowing funds in the capital
markets;

• changes in the value and liquidity of collateral we hold as collateral for
the obligations of our members and counterparties;

•the impact of new accounting standards and the application of accounting rules,
including the impact of regulatory guidance on our application of such standards
and rules?

•changes in the fair value and economic value of, impairments of, and risks,
including risks related to changes in or cessation of benchmark interest rates
such as LIBOR, overnight index swap (OIS), and SOFR, associated with the Bank's
investments in mortgage loans and MBS or other assets and the related
credit-enhancement protections?

• membership terms and changes, including changes resulting from membership
bankruptcies, mergers or change in financial health, changes due to members
eligibility, changes in members’ primary establishment or
addition of new members;

•external events, such as general economic and financial instabilities,
political instability, wars, including hostilities and sanctions related to the
war between Russia and Ukraine, and natural disasters, including disasters
caused by significant climate change, which, among other things, could damage
our facilities or the facilities of our members, damage or destroy collateral
that members have pledged to secure advances or mortgages that we hold for our
portfolio, and which could

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Contents
cause us to suffer losses or expose us to a greater risk than that incurred
the guarantees would be insufficient in the event of default;

•the pace of technological change and our ability to develop and support
internal controls, information systems, and other operating technologies that
effectively manage the risks we face, including but not limited to, failures,
interruptions, or security breaches and other cyber-attacks, which could
increase as a result of the COVID-19 pandemic related changes in our operating
environment; and

• our ability to attract and retain qualified employees, including our principal
personal.

These risk factors are not exhaustive. New risk factors emerge from time to
time. We cannot predict such new risk factors nor can we assess the impact, if
any, of such new risk factors on our business or the extent to which any factor,
or combination of factors, may cause actual results to differ materially from
those implied by any forward-looking statements.

The Management's Discussion and Analysis of Financial Condition and Results of
Operations should be read in conjunction with our interim financial statements
and notes, which begin on page three, and the 2021 Annual Report.

ABSTRACT

Net income for the three months ended June 30, 2022, was $41.0 million, compared
with net income of $6.2 million for the same period in 2021. The increase in net
income was driven by an increase of $26.3 million in net interest income after
provision for credit losses, a decrease of $14.3 million in net losses on
trading securities and a decline of $1.5 million in losses on early
extinguishment of debt. These increases to net income were partially offset by a
$7.6 million increase in contributions to the Affordable Housing Program,
compared to the same period in 2021.

The $26.3 million increase in net interest income after provision for credit
losses during the second quarter of 2022 was due to a $9.9 billion increase in
average total earning assets and a significant increase in interest rates due to
aggressive monetary policy tightening by the Federal Reserve. The increase in
average earning assets was driven primarily by a $5.7 billion increase in
average advances balances, as demand for advances returned among depository
members to near pre-pandemic levels. Additionally, the increase in net interest
income after provision for credit losses was in part attributable to the
correction of an error related to changes in fair value of certain
available-for-sale securities that are in fair-value hedge relationships. As a
result of this error, cumulatively from the second quarter of 2019 through the
first quarter of 2022, net interest income after provision for credit losses was
understated by $6.2 million. We determined the error did not have a material
effect on our financial condition, results of operations, or cash flows for the
impacted periods, and a correcting adjustment was recorded in interest income
from available-for-sale securities in the second quarter of 2022.

In support of our housing and community investment mission, the Bank made a
voluntary contribution of $5.5 million to the Affordable Housing Program in the
three months ended June 30, 2022. The increase in net income for the quarter
ended June 30, 2022, correspondingly increased the Bank's statutory
contributions to the Affordable Housing Program to a more meaningful level in
the opinion of management compared to originally expected amounts. If this trend
continues, the Bank expects that additional voluntary contributions to the
Affordable Housing Program may be reduced or eliminated for the remainder of the
year, but total contributions to AHP are expected to be significantly increased
from the amount contributed in 2021. Additional information on this and other
targeted affordable housing and community investment programs is provided in the
2021 Annual Report.

Our retained earnings grew to $1.6 billion at June 30, 2022, an increase of
$58.8 million from December 31, 2021, and equals 2.6 percent of total assets at
June 30, 2022. We continue to satisfy all regulatory capital requirements as of
June 30, 2022.

On July 22, 2022, our board of directors declared a cash dividend that was
equivalent to an annual yield of 3.72 percent, increasing 163 basis points from
the prior quarter's dividend. The annual yield of this dividend equals the
approximate daily average of SOFR for the second quarter of 2022 plus 300 basis
points, which is increased by 100 basis points from the prior quarter's
dividend.

Our overall results of operations are influenced by the economy and financial
markets, and, in particular, by members' demand for advances and our ability to
maintain sufficient access to funding at relatively favorable costs. While the
effects of high inflation and the Federal Reserve's aggressive monetary policy
response, combined with weakening economic growth as measured by gross domestic
product, present uncertainties about the future of the economy, the quarter
ending June 30, 2022 saw a sharp increase in demand for advances. During the
first two quarters of 2022, advances balances increased to $30.3 billion at
June 30, 2022, an increase of 145.7 percent from $12.3 billion at December 31,
2021. This increase in advances was due to member depository institutions
beginning to experience slowing growth or declines of deposit balances, an
increase in
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lending by members to their customers, and rising interest rates and reduced
market liquidity. These developments impacted our financial condition as of
June 30, 2022, and results of operations for the three months ended June 30,
2022.

Generally, investor demand for high credit quality, fixed-income investments,
including COs, continued to be strong relative to other investments. Significant
growth in outstanding COs to fund advances growth throughout the FHLBank System
has not diminished relative demand for COs. Our flexibility in utilizing various
funding tools, in combination with a diverse investor base and our status as a
government-sponsored enterprise, have helped provide reliable market access and
demand for consolidated obligations throughout fluctuating market environments
and regulatory changes affecting dealers of and investors in COs. The Bank has
continued to meet all funding needs during the three months ended June 30, 2022.

Advances Balances

We continue to deliver on our primary mission, supplying liquidity to our
members. Advances balances totaled $30.3 billion at June 30, 2022, compared to
$12.3 billion at December 31, 2021. The significant increase in advances was
concentrated in variable-rate advances and short-term fixed-rate advances,
reflecting rising demand for wholesale funding at member institutions.

Net interest income, margin and spread

For the three months ended June 30, 2022, net interest margin was 0.60 percent,
an increase of 12 basis points from the same period in 2021, and net interest
spread was 0.52 percent for the three months ended June 30, 2022, an increase of
8 basis points from the same period in 2021. The increases in net interest
spread and net interest margin mainly reflect the impacts of increases in
advances and investments and a rising rate environment. For the quarter ended
June 30, 2022, average balances of advances and investments increased
$5.7 billion and $4.8 billion, respectively, compared to the same period in
2021. Additionally, the rising interest rate environment in 2022 has decreased
refinancing incentives on residential mortgage loans, resulting in decreases of
mortgage prepayment activity that resulted in reduced net premium amortization
of our agency residential MBS as well as our whole mortgage loans. Other
improvements in net interest income after provision for credit losses are
described in   Results of Operations - Net Interest Income  . Average total
earning assets increased $9.9 billion to $46.1 billion for the three months
ended June 30, 2022, from $36.3 billion for the same period in 2021.

Legislative and regulatory developments

Legislation has been proposed and the FHFA and others with authority over the
economy, our industry, and our business activities have taken action during 2022
as described in -   Legislative and Regulatory Developments  . Such developments
could affect the way we conduct business or could impact how we satisfy our
mission as well as the value of our membership.

Preparations for the LIBOR transition

For details regarding the Bank's transition from LIBOR to SOFR, the alternative
reference rate to U.S. dollar LIBOR recommended by Alternative Reference Rates
Committee (ARRC), see the following Risk Factors in our 2021 Annual Report: Part
I - Item 1A - Risk Factors - Market and Liquidity Risks - Changes to and
replacement of the LIBOR benchmark interest rate could adversely affect our
business, financial condition, and results of operations; and - We use
derivatives to manage interest-rate risk, however, we could be unable to enter
into effective derivative instruments on acceptable terms. Additional
information is provided in the 2021 Annual Report Part II - Item 7 -
Management's Discussion and Analysis of Financial Condition and Results of
Operations - Executive Summary - LIBOR Transition Preparations,   Financial
Condition - Transition from LIBOR to Alternative Reference Rates   and in -

Legislative and regulatory developments – LIBOR transition .

ECONOMIC CONDITIONS

Economic environment

Real gross domestic product (GDP) decreased at an annual rate of 0.9 percent in
the second quarter of 2022, following a 1.6 percent decrease in the first
quarter. The contraction in the second quarter was driven mainly by decreases in
private inventory investment, residential fixed investment, and federal
government spending. Personal consumption expenditures increased at an annual
rate of 1.0 percent, driven by an increase in spending on services, partially
offset by a drop in spending on goods.

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The labor market continued to improve, with job growth averaging 375,000 per
month in the second quarter of 2022. In July 2022, employment increased by
528,000 and the unemployment rate was 3.5 percent. The unemployment rate for the
New England region in June 2022 was 3.5 percent, ranging from 2.0 percent in New
Hampshire to 4.0 percent in Connecticut.

In July 2022, the Consumer Price Index was unchanged from the preceding month
after rising 1.0 percent and 1.3 percent in May and June 2022, respectively. A
decline in gasoline prices offset increases in food and shelter prices in July,
resulting in a zero net change. Compared to a year earlier, the July 2022 CPI
was higher by 8.5 percent, driven by prices of gasoline, shelter and food.

The FHFA reported that house prices rose 18.3 percent across the U.S. from May
2021 to May 2022. Over the same period, home prices in New England rose 17.1
percent. At the end of June 2022, rates for 30-year fixed-rate mortgage were
above 5.7 percent, approximately 2.7 percentage points higher than a year
earlier.

Interest rate environment

On July 27, 2022, the FOMC raised the target range for the federal funds rate to
between 225 and 250 basis points and stated that ongoing increases in the target
range will likely be appropriate given elevated rates of inflation. The FOMC
also stated that it would continue reducing its holdings of Treasury securities,
agency debt, and agency mortgage-backed securities by reinvesting principal
payments from its securities holdings only if they exceed monthly caps.

The Federal Reserve's policy pivot from an easing to a tightening stance led to
a rise in interest rates. Short-term rates rose commensurate with the magnitude
of the increase in the federal funds rate. The spread between short-term and
longer-term rates fluctuated during the second quarter reflecting expectations
of further rate hikes, tempered by concern about rising risks of an economic
downturn and possible reversal of monetary policy back to an easing stance.

Table 1 – Key rates(1)

                                     Three Month Daily Average                              Six Month Daily Average                                     

End rate

                            June 30, 2022                 June 30, 2021           June 30, 2022                 June 30, 2021            June 30, 2022               December 31, 2021
SOFR                            0.71%                         0.02%                   0.40%                         0.03%                    1.50%                         0.05%
Federal funds effective
rate                            0.76%                         0.07%                   0.44%                         0.07%                    1.58%                         0.07%
3-month LIBOR                   1.53%                         0.16%                   1.02%                         0.18%                    2.29%                         0.21%
3-month U.S. Treasury
yield                           1.05%                         0.01%                   0.67%                         0.03%                    1.63%                         0.03%
2-year U.S. Treasury
yield                           2.71%                         0.17%                   2.09%                         0.15%                    2.95%                         0.73%
5-year U.S. Treasury
yield                           2.95%                         0.83%                   2.39%                         0.72%                    3.04%                         1.26%
10-year U.S. Treasury
yield                           2.92%                         1.58%                   2.44%                         1.45%                    3.01%                         1.51%


________________
(1) Source: Bloomberg

SELECTED FINANCIAL DATA

The following financial highlights for the inventory and condition
of operations for December 31, 2021come from our audits
Financial state. Quarter-end financial highlights were
taken from our unaudited financial statements.

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Table 2 - Selected Financial Data
(dollars in thousands)

                                                                                              As of and for the Three Months Ended
                                                        June 30, 2022         March 31, 2022         December 31, 2021          September 30, 2021          June 30, 2021
Statement of Condition
Total assets                                           $ 62,063,994          $  32,395,662          $      32,545,292          $       34,448,917          $ 35,683,602
Investments(1)                                           28,254,534             16,849,318                 16,372,499                  16,404,424            16,053,111
Advances                                                 30,318,486             11,816,428                 12,340,020                  14,056,991            15,176,625
Mortgage loans held for portfolio, net(2)                 2,897,373              2,998,682                  3,120,159                   3,283,925             3,470,505
Deposits                                                  1,066,459                803,383                    884,032                     970,732               970,282
Consolidated obligations:
Bonds                                                    32,721,605             26,070,923                 26,613,032                  25,097,469            23,475,165
Discount notes                                           25,096,230              2,878,513                  2,275,320                   5,554,103             8,365,460
Total consolidated obligations                           57,817,835             28,949,436                 28,888,352                  30,651,572      

31,840,625

Mandatorily redeemable capital stock                         10,703                 13,418                     13,562                      13,890       

7,432

Class B capital stock outstanding-putable(3)              1,557,243                929,482                    953,638                   1,028,177       

1,081,057

Unrestricted retained earnings                            1,230,558              1,202,685                  1,179,986                   1,159,509             1,147,279
Restricted retained earnings                                376,620                368,420                    368,420                     368,420               368,420
Total retained earnings                                   1,607,178              1,571,105                  1,548,406                   1,527,929             1,515,699
Accumulated other comprehensive (loss) income              (216,409)               (88,800)                    28,967                      40,604                47,645
Total capital                                             2,948,012              2,411,787                  2,531,011                   2,596,710             2,644,401
Results of Operations
Net interest income after provision for credit
losses                                                 $     69,416          $      58,942          $          56,412          $           51,145          $     43,122
Other income (loss), net                                      3,818                  1,066                     (7,562)                    (10,453)              (13,104)
Other expense                                                27,667                 29,073                     20,061                      22,330                23,177
AHP assessments                                               4,567                  3,100                      2,887                       1,842                   687
Net income                                             $     41,000          $      27,835          $          25,902          $           16,520          $      6,154
Other Information
Dividends declared                                     $      4,927          $       5,136          $           5,425          $            4,290          $      4,631
Dividend payout ratio                                         12.02  %               18.45  %                   20.94  %                    25.97  %              75.25  %
Weighted-average dividend rate(4)                              2.09                   2.05                       2.05                        1.52                  1.54
Return on average equity(5)                                    6.13                   4.50                       4.00                        2.50                  0.92
Return on average assets                                       0.35                   0.35                       0.31                        0.18                  0.07
Net interest margin(6)                                         0.60                   0.74                       0.66                        0.58                  0.48
Average equity to average assets                               5.78                   7.69                       7.65                        7.36                  7.29
Total regulatory capital ratio(7)                              5.12                   7.76                       7.73                        7.46                  7.30


_______________________

(1) Investments include securities available for sale, held to maturity
securities, commercial securities, interest-bearing deposits, securities purchased
under resale agreements and federal funds sold.

(2)The allowance for credit losses for mortgage loans amounted to $1.5 million
as of June 30, 2022, $1.6 million as of March 31, 2022, $1.7 million as of
December 31, 2021, $2.1 million as of September 30, 2021, and $2.1 million as of
June 30, 2021, respectively.

(3)Capital stock is putable at the option of a member upon five years' written
notice, subject to applicable restrictions. We also conduct daily repurchases of
certain excess stock from shareholders.

(4) The weighted average dividend rate corresponds to the amount of the declared dividend divided by the
average daily balance of the share capital eligible for the dividend.

(5)Return on average equity is net income divided by total
daily balance of outstanding Class B share capital, aggregate of other
comprehensive income and total retained earnings.

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

(7)Total regulatory capital ratio is capital stock (including mandatorily
redeemable capital stock) plus total retained earnings as a percentage of total
assets. See   Item 8 - Financial Statements and Supplementary Data - Notes to
the Financial Statements - Note 12 - Capital  .

RESULTS OF OPERATIONS

Second quarter of 2022 versus second quarter of 2021

Net income increased to $41.0 million for the three months ended June 30, 2022,
from $6.2 million for the same period in 2021. The reasons for the increase are
discussed under -   Executive Summary  .

Net interest income after provision for credit losses for the three months ended
June 30, 2022, was $69.4 million, compared with $43.1 million for the same
period in 2021. The $26.3 million increase in net interest income after
provision for credit losses was driven by a $5.7 billion increase in the average
balance of advances, a $2.4 billion increase in the average balance of
securities purchased under agreements to resell, a $1.6 billion increase in the
average balance of mortgage-backed securities, an increase of fair value hedge
ineffectiveness net gains of $20.6 million, an increase of net accretion of
discounts and premiums on mortgage-backed securities and mortgage loans of $13.7
million resulting from significant increases in mortgage rates during the second
quarter of 2022, and higher returns from investing the Bank's capital in a
higher interest-rate environment. These positive factors were partially offset
by a $635.7 million decrease in the average balance of mortgage loans and a $1.9
million decrease in net prepayment fee income. Additionally, certain US Treasury
securities, which were acquired prior to the significant interest rate
reductions in early 2020, matured during the latter half of 2021, resulting in a
reduction of interest income of $6.2 million as these securities were replaced
with investments having lower yields. As a result, net interest spread was 0.52
percent for the quarter ended June 30, 2022, an increase of 8 basis points from
the same period in 2021, and net interest margin was 0.60 percent, an increase
of 12 basis points from the same period in 2021.

Semester completed June 30, 2022compared to the half-year ended June 30, 2021

Net income increased to $68.8 million for the six months ended June 30, 2022,
from $27.0 million for the same period in 2021. The increase in net income was
driven by a decrease of $28.6 million in net losses on trading securities, an
increase of $23.8 million in net interest income after provision for credit
losses, and a decline of $4.5 million in losses on early extinguishment of debt.
These increases to net income were partially offset by a $9.2 million increase
in our voluntary contribution to the Affordable Housing Program, compared to the
same period in 2021.

Net interest income after provision for credit losses for the six months ended
June 30, 2022, was $128.4 million, compared with $104.6 million for the same
period in 2021. The $23.8 million increase in net interest income after
provision for credit losses was driven by a $1.7 billion increase in the average
balance of mortgage-backed securities, an increase of fair value hedge
ineffectiveness net gains of $27.8 million, an increase of net accretion of
discounts and premiums on mortgage-backed securities and mortgage loans of $30.3
million resulting from significant increases in mortgage rates during the first
half of 2022, and higher returns from investing the Bank's capital in a higher
interest-rate environment. These positive factors were partially offset by a
$710.2 million decrease in the average balance of mortgage loans and a $8.7
million decrease in net prepayment fee income. As a result, net interest spread
was 0.59 percent for the six months ended June 30, 2022, an increase of 6 basis
points from the same period in 2021, and net interest margin was 0.66 percent,
an increase of 8 basis points from the same period in 2021.

Table 3 presents the main categories of average balances, interest linked
income/expenses, and average yields/rates of interest-earning assets and
interest-bearing liabilities. Our main source of income is net interest
income, i.e. interest earned on advances, mortgages and
investments less interest paid on COs, deposits and other sources of funds.

Table 3 - Net Interest Spread and Margin
(dollars in thousands)

                                             For the Three Months Ended June 30,
                                   2022                                               2021
                                 Interest                                           Interest
                 Average         Income /         Average           Average         Income /         Average
                 Balance         Expense       Yield/Rate(1)        Balance         Expense       Yield/Rate(1)
Assets
Advances      $ 21,603,313      $ 71,641              1.33  %    $ 15,880,582      $ 47,462              1.20  %


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Interest-bearing deposits                      1,100,763              2,369               0.86               653,971                 10               0.01
Securities purchased under agreements
to resell                                      3,313,187              9,109               1.10               925,846                168               0.07
Federal funds sold                             3,219,637              6,758               0.84             2,813,088                482               0.07
Investment securities(2)                      13,964,590             63,105               1.81            12,396,086             26,614               0.86
Mortgage loans (2)(3)                          2,946,838             21,419               2.92             3,582,506             23,007               2.58

Total interest-earning assets                 46,148,328            174,401               1.52            36,252,079             97,743               

1.08

Other non-interest-earning assets              1,045,205                                                     174,445
Fair-value adjustments on investment
securities                                      (739,856)                                                    365,244
Total assets                                $ 46,453,677          $ 174,401               1.51  %       $ 36,791,768          $  97,743               1.07  %
Liabilities and capital
Consolidated obligations
Discount notes                              $ 12,500,939          $  26,109               0.84  %       $ 10,490,710          $     683               0.03  %
Bonds                                         28,809,891             78,242               1.09            22,470,044             53,684               0.96
Other interest-bearing liabilities               883,627                733               0.33               989,592                 55               

0.02

Total interest-bearing liabilities            42,194,457            105,084               1.00            33,950,346             54,422               0.64
Other non-interest-bearing
liabilities                                    1,574,763                                                     160,798
Total capital                                  2,684,457                                                   2,680,624
Total liabilities and capital               $ 46,453,677          $ 105,084               0.91  %       $ 36,791,768          $  54,422               0.59  %
Net interest income                                               $  69,317                                                   $  43,321
Net interest spread                                                                       0.52  %                                                     0.44  %
Net interest margin                                                                       0.60  %                                                     0.48  %

                                                                                    For the Six Months Ended June 30,
                                                                    2022                                                        2021
                                                                    Interest                                                    Interest
                                                Average             Income /           Average              Average             Income /           Average
                                                Balance             Expense            Yield(1)             Balance             Expense            Yield(1)
Assets
Advances                                    $ 17,029,474          $ 106,548               1.26  %       $ 16,755,115          $ 104,747               1.26  %
Interest-bearing deposits                        760,103              2,529               0.67               612,285                 94               

0.03

Securities purchased under agreements
to resell                                      1,937,580              9,280               0.97               819,072                292               0.07
Federal funds sold                             2,677,276              7,572               0.57             2,993,519              1,096               0.07
Investment securities(2)                      13,730,852            108,968               1.60            11,229,805             67,684               1.22
Mortgage loans                                 2,997,353             42,947               2.89             3,707,510             48,144               2.62

Total interest-earning assets                 39,132,638            277,844               1.43            36,117,306            222,057               

1.24

Other non-interest-earning assets                759,297                                                     246,026
Fair-value adjustments on investment
securities                                      (333,424)                                                    420,492
Total assets                                $ 39,558,511          $ 277,844               1.42  %       $ 36,783,824          $ 222,057               1.22  %
Liabilities and capital
Consolidated obligations
Discount notes                              $  7,430,874          $  26,716               0.73  %       $ 10,892,499          $   3,085               0.06  %
Bonds                                         27,673,026            122,142               0.89            21,936,539            115,285               1.06
Other interest-bearing liabilities               844,392                827               0.20             1,001,800                108               

0.02

Total interest-bearing liabilities            35,948,292            149,685               0.84            33,830,838            118,478               0.71
Other non-interest-bearing
liabilities                                    1,014,557                                                     240,431
Total capital                                  2,595,662                                                   2,712,555
Total liabilities and capital               $ 39,558,511          $ 149,685               0.76  %       $ 36,783,824          $ 118,478               0.65  %
Net interest income                                               $ 128,159                                                   $ 103,579
Net interest spread                                                                       0.59  %                                                     0.53  %
Net interest margin                                                                       0.66  %                                                     0.58  %


_________________________
(1)  Yields are annualized.
(2)  Average balances are reflected at amortized cost.
                                       44
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(3)  Nonaccrual loans are included in the average balances used to determine
average yield.

Rate and Volume Analysis

Changes in both average balances (volume) and interest rates influence changes
in net interest income and net interest margin. Table 4 summarizes changes in
interest income and interest expense for the three and six months ended June 30,
2022 and 2021. Changes in interest income and interest expense that are not
identifiable as either volume-related or rate-related, but are equally
attributable to both volume and rate changes, have been allocated to the volume
and rate categories based upon the proportion of the absolute value of the
volume and rate changes.

Table 4 - Rate and Volume Analysis
(dollars in thousands)

                                                         For the Three Months Ended                               For the Six Months Ended
                                                            June 30, 2022 vs. 2021                                 June 30, 2022 vs. 2021
                                                         Increase (Decrease) due to                              Increase (Decrease) due to
                                                 Volume              Rate              Total             Volume              Rate              Total
Interest income
Advances                                      $   18,541          $  5,638          $ 24,179          $    1,718          $     83          $  1,801
Interest-bearing deposits                             11             2,348             2,359                  28             2,407             2,435
Securities purchased under agreements
to resell                                          1,378             7,563             8,941                 889             8,099             8,988
Federal funds sold                                    80             6,196             6,276                (128)            6,604             6,476
Investment securities                              3,750            32,741            36,491              17,045            24,239            41,284
Mortgage loans                                    (4,391)            2,803            (1,588)             (9,841)            4,644            (5,197)

Total interest income                             19,369            57,289            76,658               9,711            46,076            55,787
Interest expense
Consolidated obligations
Discount notes                                       156            25,270            25,426              (1,283)           24,914            23,631
Bonds                                             16,542             8,016            24,558              27,153           (20,296)            6,857

Other interest-bearing liabilities                    (7)              685               678                 (20)              739               719
Total interest expense                            16,691            33,971            50,662              25,850             5,357            31,207
Change in net interest income                 $    2,678          $ 23,318          $ 25,996          $  (16,139)         $ 40,719          $ 24,580

Average balance of outstanding advances

The average balance of total advances increased $274.4 million, or 1.6 percent,
for the six months ended June 30, 2022 compared with the same period in 2021. We
cannot predict future member demand for advances.

For the six months ended June 30, 2022 and 2021, net prepayment fees on advances
were $3.3 million and $12.0 million, respectively. Prepayment-fee income is
unpredictable and inconsistent from period to period, occurring only when
advances and investments are prepaid prior to the scheduled maturity or
repricing dates, and generally when prevailing reinvestment yields are lower
than those of the prepaid advances. For additional information see Item 8 -
Financial Statements and Supplementary Data - Notes to the Financial Statements
- Note 2 - Summary of Significant Accounting Policies - Advances in the 2021
Annual Report.

Average investment balance

Average short-term money-market investments, consisting of interest-bearing
deposits, securities purchased under agreements to resell, and federal funds
sold, increased $950.1 million, or 21.5 percent, for the six months ended
June 30, 2022, compared with the same period in 2021, as liquidity needs were
greater in 2022 compared to 2021 due to increased advances borrowing activity.
The yield earned on short-term money-market investments is highly correlated to
short-term market interest rates. As a result of the FOMC's increase in the
target range for the federal funds rate, average yields on overnight federal
funds sold increased from 0.07 percent during the six months ended June 30,
2021, to 0.57 percent during the six months ended June 30, 2022, while average
yields on securities purchased under agreements to resell increased from 0.07
percent for the six months ended June 30, 2021, to 0.97 percent for the six
months ended June 30, 2022. These investments are used for liquidity management.
                                       45

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Average investment-securities balances increased $2.5 billion, or 22.3 percent
for the six months ended June 30, 2022, compared with the same period in 2021,
an increase consisting primarily of $1.7 billion in MBS and $833.6 million in
U.S. Treasury obligations.

Average Balance of COs

Average CO balances increased $2.3 billion, or 6.9 percent, for the six months
ended June 30, 2022, compared with the same period in 2021, resulting from our
increased funding needs principally due to the increase in our average advances
balances. This overall increase consisted of a $5.7 billion increase in CO bonds
offset by a decline of $3.5 billion in CO discount notes.

The average balance of CO discount notes represented approximately 21.2 percent
of total average COs during the six months ended June 30, 2022, compared with
33.2 percent of total average COs during the six months ended June 30, 2021. The
average balance of CO bonds represented 78.8 percent and 66.8 percent of total
average COs outstanding during the six months ended June 30, 2022 and 2021,
respectively.

Impact of derivatives and hedging activities

Net interest income includes interest accrued on interest-rate-exchange
agreements that are associated with advances, investments, and debt instruments
that qualify for hedge accounting. The fair value gains and losses of
derivatives and hedged items designated in fair-value hedge relationships are
also recognized as interest income or interest expense. We enter into
derivatives to manage the interest-rate-risk exposures inherent in otherwise
unhedged assets and liabilities and to achieve our risk-management objectives.
We generally use derivative instruments that qualify for hedge accounting as
interest-rate risk-management tools. These derivatives serve to stabilize net
income when interest rates fluctuate. Accordingly, the impact of derivatives on
net interest income and net interest margin, as well as other income, should be
viewed in the overall context of our risk-management strategy.

Table 5 below provides a summary of the impact of derivatives and hedging
activities on our income.

Table 5 – Effect of derivatives and hedging activities
(dollars in thousands)

                                                                      For the Three Months Ended June 30, 2022
Net Effect of Derivatives and Hedging
Activities                                        Advances             Investments           Mortgage Loans                CO Bonds                

Total

Net interest income
Amortization / accretion of hedging
activities (1)                                 $       (273)         $          -          $          (144)               $   (945)               $ 

(1,362)

Gains on designated fair-value hedges                   718                15,332                        -                     259                  16,309
Net interest settlements on
derivatives(2)                                       (5,205)              (21,256)                       -                  15,049                 (11,412)
Total net interest income                            (4,760)               (5,924)                    (144)                 14,363                   3,535

Net gains (losses) on derivatives and
hedging activities
Gains on derivatives not receiving hedge
accounting                                                4                     -                        -                       1                       5
CO bond firm commitments                                  -                     -                        -                      (1)                     (1)
Mortgage delivery commitments                             -                     -                     (118)                      -                    

(118)

Net gains (losses) on derivatives and
hedging activities                                        4                     -                     (118)                      -                    

(114)

Net losses on trading securities                          -                     -                        -                       -                     

Total net effect of derivatives and
hedging activities                             $     (4,756)         $     (5,924)         $          (262)               $ 14,363                $  3,421



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                                                                           For the Three Months Ended June 30, 2021
Net Effect of Derivatives and
Hedging Activities                             Advances               Investments           Mortgage Loans                CO Bonds           Other             Total
Net interest income
Amortization / accretion of hedging
activities in net interest income
(1)                                       $       (705)             $          -          $          (347)               $   (757)         $     -          $  (1,809)
(Losses) gains on designated
fair-value hedges                                 (245)                   (4,098)                       -                      66                -             (4,277)
Net interest settlements included
in net interest income (2)                     (16,042)                  (29,847)                       -                  16,000                -            (29,889)
Total net interest income                      (16,992)                  (33,945)                    (347)                 15,309                -            (35,975)

Net gains on derivatives and
hedging activities

Gains on derivatives not receiving
hedge accounting                                    30                       163                        -                       -                -                193
CO bond firm commitments                             -                         -                        -                       -                -                  -
Mortgage delivery commitments                        -                         -                      253                       -                -                253
Price alignment amount (3)                           -                         -                        -                       -                1                  1
Net gains on derivatives and
hedging activities                                  30                       163                      253                       -                1                447

Net losses on trading securities                     -                   (14,616)                       -                       -                -   

(14,616)

Total net effect of derivatives and
hedging activities                        $    (16,962)             $    (48,398)         $           (94)               $ 15,309          $     1          $ (50,144)



                                                                     For the Six Months Ended June 30, 2022
Net Effect of Derivatives and Hedging                                                          Mortgage
Activities                                         Advances              Investments            Loans                  CO Bonds                  

Total

Net interest income
Amortization / accretion of hedging
activities (1)                                 $      (536)            $          -          $    (300)               $ (1,881)               $ (2,717)
Gains on designated fair-value hedges                2,049                   29,623                  -                     738                  32,410
Net interest settlements on
derivatives(2)                                     (15,131)                 (58,647)                 -                  41,840                 (31,938)
Total net interest income                          (13,618)                 (29,024)              (300)                 40,697                  (2,245)

Net gains (losses) on derivatives and
hedging activities
Gains (losses) on derivatives not
receiving hedge accounting                               5                       (1)                 -                    (520)                   (516)
CO bond firm commitments                                 -                        -                  -                     520                     520
Mortgage delivery commitments                            -                        -               (791)                      -                    (791)

Net gains (losses) on derivatives and
hedging activities                                       5                       (1)              (791)                      -                    (787)

Net losses on trading securities                         -                     (425)                 -                       -                    (425)
Total net effect of derivatives and
hedging activities                             $   (13,613)            $    (29,450)         $  (1,091)               $ 40,697                $ (3,457)



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                                                                      For the Six Months Ended June 30, 2021
Net Effect of Derivatives and                                               

Mortgage

Hedging Activities                           Advances           Investments            Loans                  CO Bonds           Other            Total
Net interest income
Amortization / accretion of hedging
activities (1)                             $  (1,404)         $          -          $    (828)               $ (1,402)         $    -          $  

(3,634)

Gains on designated fair-value
hedges                                           773                 3,515                  -                     299               -              4,587
Net interest settlements on
derivatives(2)                               (31,867)              (51,784)                 -                  23,470               -            (60,181)
Total net interest income                    (32,498)              (48,269)              (828)                 22,367               -            (59,228)

Net gains (losses) on derivatives
and hedging activities
Gains (losses) on derivatives not
receiving hedge accounting                        36                   138                  -                     (19)           (148)                 7
CO bond firm commitments                           -                     -                  -                      19               -                 19
Mortgage delivery commitments                      -                     -               (433)                      -               -               (433)
Price alignment amount (3)                         -                     -                  -                       -               6                  6
Net gains (losses) on derivatives
and hedging activities                            36                   138               (433)                      -            (142)              

(401)

Net losses on trading securities                   -               (29,477)                 -                       -               -            

(29,477)

Total net effect of derivatives and
hedging activities                         $ (32,462)         $    (77,608)         $  (1,261)               $ 22,367          $ (142)         $ (89,106)


________________________
(1)  Represents the amortization/accretion of hedging fair-value adjustments and
cash-flow hedge amortization reclassified from accumulated other comprehensive
income.

(2) Represents interest income/expense on derivatives included in net interest
Income.

(3) Represents the amount of derivatives for which the variation margin, or
payments made for changes in the market value of the transaction, is
characterized as a daily settlement amount.

FINANCIAL CONDITION

Advances

At June 30, 2022, the advances portfolio totaled $30.3 billion, an increase of
$18.0 billion from $12.3 billion at December 31, 2021. The significant increase
in advances was concentrated in variable-rate advances and short-term fixed-rate
advances, reflecting rising demand for wholesale funding at member institutions.

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Table 6 - Advances Outstanding by Product Type
(dollars in thousands)

                                                             June 30, 2022                                 December 31, 2021
                                                    Par Value          Percent of Total            Par Value             Percent of Total
Fixed-rate advances
Short-term                                       $  7,344,326                   24.1  %       $       1,531,550                   12.4  %
Long-term                                           6,498,333                   21.3                  6,511,706                   52.7
Overnight                                           1,945,147                    6.4                    225,922                    1.8
Putable                                               587,500                    1.9                  1,178,425                    9.6
Amortizing                                            550,031                    1.8                    551,163                    4.5

                                                   16,925,337                   55.5                  9,998,766                   81.0

Variable-rate advances
Simple variable (1)                                13,552,395                   44.5                  2,348,875                   19.0

All other variable-rate indexed advances                  126                      -                         64                      -
                                                   13,552,521                   44.5                  2,348,939                   19.0
Total par value                                  $ 30,477,858                  100.0  %       $      12,347,705                  100.0  %

________________________

(1) Includes variable rate advances that may be contractually
the Borrower on a Floating Rate Reset Date without incurring prepayment or
Termination Fee.

See Item 1 – Financial statements – Notes to the financial statements – Note 4
– Advances for disclosures relating to the terms of repayment of advances
wallet.

Advances Credit risk

We endeavor to minimize credit risk on advances by monitoring the financial
condition of our borrowers and by holding sufficient collateral to protect the
Bank from credit losses. All pledged collateral is subject to collateral
discounts, or haircuts, to the market value or par value, as applicable, based
on our opinion of the risk that such collateral presents. We are prohibited by
Section 10(a) of the FHLBank Act from making advances without sufficient
collateral. We have never experienced a credit loss on an advance.

We assign each non-insurer borrower to one of the following three categories
credit status categories based on our assessment of the entire borrower
financial situation and other factors:

Category-1: Members whose financial situation is generally satisfactory;

Category-2: Members that exhibit financial weakness or weakening financial trends
in key financial indices and/or regulatory findings; and

Category-3: Members with financial weaknesses who exhibit a high level of
worry.

We monitor the financial condition of our insurance company members quarterly.
We lend to them based on our assessment of their financial condition and their
pledge of sufficient amounts of eligible collateral.

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Table 7 – Outstanding Advances by Borrower Credit Status Category
(dollars in thousands)

                                                                                      As of June 30, 2022
                                                                               Par Value of                                   Ratio of Discounted
                                                                                 Advances               Discounted                Collateral
                                                Number of Borrowers             Outstanding             Collateral                to Advances
Category-1                                                204                $   25,558,562          $   96,672,411                       378.2  %
Category-2                                                 13                       233,856                 756,117                       323.3
Category-3                                                 15                       217,420                 412,166                       189.6
Insurance companies                                        25                     4,468,020               6,066,732                       135.8
Total                                                     257                $   30,477,858          $  103,907,426                       340.9  %



The method by which a borrower pledges collateral depends upon the type of
borrower (depository vs. non-depository), the category to which the borrower is
assigned, and the type of collateral that the borrower pledges. Moreover,
borrowers in Category-1 are eligible to specifically list and identify
single-family owner-occupied residential mortgage loans at a lower discount than
is allowed if the collateral is not specifically listed and identified.

The Bank may adjust a member’s credit status category from time to time
based on the member’s financial reviews and other circumstances.

We have not recorded any allowance for credit losses on advances at June 30,
2022, and December 31, 2021, for the reasons discussed in   Item 1 - Financial
Statements - Notes to the Financial Statements - Note 4 - Advances.

Table 8 - Top Five Advance-Borrowing Institutions
(dollars in thousands)

                                                                                       June 30, 2022
                                                         Par Value of         Percent of Total Par
Name                                                       Advances            Value of Advances          Weighted-Average Rate (1)
Citizens Bank, N.A                                     $  12,019,143                       39.4  %                            1.60  %
Webster Bank, N.A.                                         2,510,810                        8.2                               1.60
Massachusetts Mutual Life Insurance Company                2,100,000                        6.9                               1.78
Hingham Institution for Savings                            1,140,000                        3.8                               1.18
Voya Retirement Insurance and Annuity Company                925,000                        3.0                               1.74

Total top five advance lenders $18,694,953

               61.3  %


                                                                                     December 31, 2021
                                                         Par Value of         Percent of Total Par
Name                                                       Advances        

Value of advances Weighted average rate (1)
Massachusetts Mutual Life Insurance Company

            $   1,500,000                       12.1  %                            1.62  %
Voya Retirement Insurance and Annuity Company                925,000                        7.5                               0.48
Hingham Institution for Savings                              665,000                        5.4                               0.28
Salem Five Cents Savings Bank                                580,392                        4.7                               0.27
Peoples United Bank                                          562,750                        4.6                               0.39

Total top five advance lenders $4,233,142

                34.3  %


_______________________

(1) Weighted average rates are based on the contractual rate of each advance
regardless of interest rate effects
agreements that we may use as hedging instruments.

Investments

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At June 30, 2022, investment securities and short-term money-market instruments
totaled $28.3 billion, an increase of $11.9 billion from $16.4 billion at
December 31, 2021.

Short-term money-market investments increased $11.8 billion to $14.6 billion at
June 30, 2022, compared with December 31, 2021. The increase was attributable to
increases of $10.5 billion in securities purchased under agreements to resell,
$1.1 billion in federal funds sold and $310.1 million in interest bearing
deposits.
Investment securities increased $68.0 million to $13.6 billion at June 30, 2022,
compared with $13.5 billion at December 31, 2021.

Investments Credit risk

We are subject to credit risk on unsecured investments consisting primarily of
short-term (meaning one year and under to maturity) money-market instruments
issued by high-quality financial institutions and long-term (original maturity
in excess of one year) debentures issued or guaranteed by U.S. agencies, U.S
government-owned corporations, GSEs, and supranational institutions.

We place short-term funds with large, high-quality financial institutions that
must be rated in at least the third-highest internal rating category on a rating
scale of FHFA1 through FHFA7, reflecting progressively lower credit quality. The
internal rating categories of FHFA1 through FHFA4 are considered to be
investment quality. As of June 30, 2022, all of these placements either expired
within one day or were payable upon demand. See Part 1 - Item 1 - Business -
Business Lines - Investments in the 2021 Annual Report for additional
information.

In addition to these unsecured investments, we also make secured investments in
the form of securities purchased under agreements to resell secured by U.S.
Treasury, U.S. government guaranteed, or agency obligations, with current terms
to maturity up to 95 days and in MBS and HFA securities that are directly or
indirectly supported by underlying mortgage loans.

We actively monitor our investment credit exposures and the credit quality of
our counterparties, including assessments of each counterparty's financial
performance, capital adequacy, sovereign support, and collateral quality and
performance, as well as related market signals such as securities prices and
credit default swap spreads. We may reduce or suspend credit limits and/or seek
to reduce existing exposures, as appropriate, as a result of these monitoring
activities.

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Table 9 - Credit Ratings of Investments at Carrying Value
(dollars in thousands)

                                                                          As of June 30, 2022
                                                                        Long-Term Credit Rating
Investment Category                                   Triple-A            Double-A              Single-A                        Unrated
Money-market instruments: (1)
Interest-bearing deposits                           $       -          $        150          $   395,080                      $       -
Securities purchased under agreements to
resell                                                      -            10,750,000              500,000                              -
Federal funds sold                                          -               295,000            2,703,000                              -

Total money-market instruments                              -            11,045,150            3,598,080                              -

Investment securities:(2)

Non-MBS:
U.S. Treasury obligations                                   -             5,889,613                    -                              -
Corporate bonds                                             -                     -                    -                            980
U.S. government-owned corporations                          -               249,179                    -                              -
GSE                                                         -               106,506                    -                              -
Supranational institutions                            369,247                     -                    -                              -
HFA securities                                         33,089                27,444                    -                              -
Total non-MBS                                         402,336             6,272,742                    -                            980

MBS:
U.S. government guaranteed - single-family                  -                21,885                    -                              -
U.S. government guaranteed - multifamily                    -               518,612                    -                              -
GSE - single-family                                         -               993,207                    -                              -
GSE - multifamily                                           -             5,401,542                    -                              -

Total MBS                                                   -             6,935,246                    -                              -

Total investment securities                           402,336            13,207,988                    -                            980

Total investments                                   $ 402,336          $ 24,253,138          $ 3,598,080                      $     980

_______________________

(1)  The counterparty NRSRO rating is used for money-market instruments.
Counterparty ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and
are each as of June 30, 2022. If there is a split rating, the lowest rating is
used. In certain instances where a counterparty is unrated, the Bank may assign
a deemed rating to the counterparty and that deemed rating is used.

(2) The issue rating is used for investment securities. The problem ratings are
obtained from Moody’s, Fitch and S&P. If there is a split quote, the lowest
notation is used.

FHFA regulations include limits on the amount of unsecured credit we may extend
to a counterparty or to a group of affiliated counterparties based on a
percentage of regulatory capital and an internal credit rating determined by
each FHLBank. See Part 1 - Item 1 - Business - Business Lines - Investments in
the 2021 Annual Report for additional information. Under these regulations, the
level of regulatory capital is determined as the lesser of our total regulatory
capital or the regulatory capital of the counterparty. The applicable regulatory
capital is then multiplied by a specified percentage for each counterparty,
which product is the maximum amount of unsecured credit exposure we may extend
to that counterparty. The percentage that we may offer for extensions of
unsecured credit other than overnight sales of federal funds ranges from one to
15 percent based on the counterparty's credit rating. From time to time, we may
establish internal credit limits lower than those permitted by regulation for
individual counterparties.

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Table 10 - Unsecured Credit Related to Money-Market Instruments and Debentures
by Carrying Value
(dollars in thousands)

                                                             Carrying Value
                                                 June 30, 2022       December 31, 2021
      Interest bearing deposits                 $      395,230      $      

85 153

      Federal funds sold                             2,998,000             

1,944,000

      Supranational institutions                       369,247                 403,765
      U.S. government-owned corporations               249,179                 306,864
      GSEs                                             106,506                 126,472
      Corporate bonds                                      980                   1,442



Mortgage Loans

We invest in mortgages through the MPF program. The MPF program is also
described under – Credit risk relating to mortgage loans and in Part I – Item 1 – Company –
Business Lines – Mortgage Loan Finance in the 2021 Annual Report.

As of June 30, 2022, our mortgage loan investment portfolio totaled $2.9
billion, a decrease of $222.8 million from December 31, 2021. We have
experienced continued competition from Fannie Mae and Freddie Mac, as well as
from private mortgage loan acquirers, for loan investment opportunities. In
addition, prepayment activity in the six months ended June 30, 2022, has been
elevated and has outpaced our purchases of mortgage loans.

Credit risk related to mortgage loans

We are subject to credit risk from the mortgage loans in which we invest due to
our exposure to the credit risk of the underlying borrowers and the credit risk
of the participating financial institutions when the participating financial
institutions retain credit-enhancement and/or servicing obligations. For
additional information on the credit risks arising from our participation in the
MPF program, see Part II - Item 7 - Management's Discussion and Analysis of
Financial Condition and Results of Operations - Financial Condition - Mortgage
Loans - Mortgage Loans Credit Risk in the 2021 Annual Report. For information on
the credit performance of our mortgage loan portfolio as of June 30, 2022, see
Item I - Financial Statements - Note 5 - Mortgage Loans Held for Portfolio in
this report.

Although our mortgage loan portfolio includes life cycle loans WE,
concentrations of 5 percent or more of the nominal value of our conventional
mortgage loan portfolio are shown in Table 11.

Table 11 – State Concentrations by Nominal Value

Percentage of Total Face Value of Conventional

                                                                                     Mortgage Loans
                                                                        June 30, 2022              December 31, 2021
Massachusetts                                                                        62  %                       63  %
Maine                                                                                10                          10
Connecticut                                                                           9                           8
Vermont                                                                               5                           5

All others                                                                           14                          14
Total                                                                               100  %                      100  %



We place conventional mortgage loans on nonaccrual status when the collection of
interest or principal is doubtful or contractual principal or interest is 90
days or more past due. Accrued interest on nonaccrual loans is excluded from
interest income. We monitor the delinquency levels of the mortgage loan
portfolio on a monthly basis.

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Table 12 – Mortgage Loans – Elements of Risk and Credit Losses
(dollars in thousands)

                                                                   For the 

Semester completed June 30th,

                                                                     2022                       2021

Average nominal value of outstanding mortgage loans during the
End of period

                                                $       2,951,330           $     3,647,949
Net (charge-offs) recoveries                                                (1)                       52

Net charge to average outstanding loans during the period
End of period

 -   %                     -  %

                                                                                         As of December 31,
                                                              As of June 30, 2022               2021
Mortgage loans held for portfolio, par value                 $       2,856,026           $     3,072,075
Nonaccrual loans, par value                                             16,696                    21,384
Allowance for credit losses on mortgage loans                            1,500                     1,700

Allowance for credit losses on mortgages held for
wallet

                                                                 0.05   %                  0.06  %
Nonaccrual loans to mortgage loans held for portfolio                     0.58                      0.70
Allowance for credit losses to nonaccrual loans                           8.98                      7.95



Mortgage Insurance Companies. We are exposed to credit risk from primary
mortgage insurance coverage (PMI) on individual loans. As of June 30, 2022, we
were the beneficiary of PMI coverage of $65.1 million on $248.1 million of
conventional mortgage loans. These amounts relate to loans originated with PMI
and for which current loan-to-value ratios exceed 78 percent (determined by
recalculating the original loan-to-value ratio using the current par value
divided by the appraised home value at the time of loan origination).

We have analyzed our potential loss exposure to all of the mortgage insurance
companies and do not expect incremental losses based on these exposures at this
time.

Consolidated Obligations

See – Liquidity and Capital Resources for more information on our COs.

Derivatives

All derivatives are recorded on the statement of condition at fair value and
classified as either derivative assets or derivative liabilities. Bilateral and
cleared derivatives outstanding are classified as assets or liabilities
according to the net fair value of derivatives aggregated by each counterparty.
Derivative assets' net fair value, net of cash collateral and accrued interest,
totaled $389.2 million and $378.5 million as of June 30, 2022, and December 31,
2021, respectively. Derivative liabilities' net fair value, net of cash
collateral and accrued interest, totaled $0.0 million and $38.9 million as of
June 30, 2022, and December 31, 2021, respectively.

The following table presents a summary of the notional amounts and estimated
fair values of our outstanding derivatives, excluding accrued interest, and
related hedged item by product and type of accounting treatment as of June 30,
2022, and December 31, 2021. The notional amount represents the hypothetical
principal basis used to determine periodic interest payments received and paid.
However, the notional amount does not represent an actual amount exchanged or
our overall exposure to credit and market risk.
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Table 13 - Hedged Item and Hedge-Accounting Treatment
(dollars in thousands)

                                                                                                                      June 30, 2022                          December 31, 2021
                                                                                                              Notional               Fair               Notional               Fair
Hedged Item                                           Derivative                 Designation(2)                Amount                Value             
 Amount               Value
Advances (1)                                      Swaps                     Fair value                     $  2,614,770          $   (6,781)         $  2,693,195          $   1,800
                                                  Swaps                     Economic                            329,800              (1,582)              345,425            (11,761)
Total associated with advances                                                                                2,944,570              (8,363)            3,038,620             (9,961)
Available-for-sale securities                     Swaps                     Fair value                       12,577,160             (15,791)           10,795,541             56,831
Trading securities                                Swaps                     Economic                                  -                   -               500,000              3,087
COs                                               Swaps                     Fair value                       20,715,970            (963,971)           13,101,220           (173,243)
                                                  Swaps                     Economic                                  -                   -                55,000                (24)
                                                  Forward starting
                                                  swaps                     Cash Flow                         1,391,000              (3,923)            1,391,000               (380)
Total associated with COs                                                                                    22,106,970            (967,894)           14,547,220           (173,647)

Total                                                                                                        37,628,700            (992,048)           28,881,381           (123,690)
CO bond firm commitments                                                                                         20,000                  28                55,000                 24
Mortgage delivery commitments                                                                                     6,864                 108                 3,164                 68
Total derivatives                                                                                          $ 37,655,564            (991,912)         $ 28,939,545           (123,598)
Accrued interest                                                                                                                    (51,321)                                 (50,008)
Cash collateral, including related accrued
interest                                                                                                                          1,432,472                                  513,194
Net derivatives                                                                                                                  $  389,239                                $ 339,588

Derivative asset                                                                                                                 $  389,239                                $ 378,532
Derivative liability                                                                                                                      -                                  (38,944)
Net derivatives                                                                                                                  $  389,239                                $ 339,588


 _______________________
(1)  As of June 30, 2022 and December 31, 2021, embedded derivatives separated
from certain advance contracts with notional amounts of $329.8 million and
$345.4 million, respectively, and fair values of $1.6 million and $11.9 million,
respectively, are not included in the table.

(2)  The hedge designation "fair value" represents the hedge classification for
transactions that qualify for hedge-accounting treatment and hedge changes in
fair value attributable to changes in the designated benchmark interest rate.
The hedge designation "cash flow" represents the hedge classification for
transactions that qualify for hedge-accounting treatment and hedge the exposure
to variability in expected future cash flows. The hedge designation "economic"
represents derivatives hedging specific or nonspecific assets, liabilities, or
firm commitments that do not qualify or were not documented as fair-value or
cash-flow hedges but are documented as serving a non-speculative use and are
hedging strategies under our risk-management policy.

Derivative Instruments Credit Risk. We are subject to credit risk on
derivatives. This risk arises from the risk of counterparty default on the
derivative contract. The amount of unsecured credit exposure to derivative
counterparty default is the amount by which the replacement cost of the
defaulted derivative contract exceeds the value of any collateral held by us (if
the counterparty is the net obligor on the derivative contract) or is exceeded
by the value of collateral pledged by us to counterparties (if we are the net
obligor on the derivative contract). We accept cash and securities collateral in
accordance with the terms of the applicable master netting agreement for
uncleared derivatives (principal-to-principal derivatives that are not centrally
cleared) from counterparties with whom we are in a current positive fair-value
position. We pledge cash and securities collateral in accordance with the terms
of the applicable master netting agreement for uncleared derivatives to
counterparties with whom we are in a current negative fair-value position.

From time to time, due to timing differences or derivatives valuation
differences between our calculated derivatives values and those of our
counterparties, and to the contractual haircuts applied to securities, we pledge
to counterparties cash or securities collateral whose fair value is greater than
the current net negative fair-value of derivative positions outstanding with
them.
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Similarly, from time to time, due to timing differences or derivatives valuation
differences, we receive from counterparties cash or securities collateral whose
fair value is less than the current net positive fair-value of derivatives
positions outstanding with them. We currently pledge only cash collateral,
including initial and variation margin, for cleared derivatives, but may also
pledge securities for initial margin as allowed by the applicable DCO and
clearing member.

Table 14 – Credit exposure to derivative counterparties
(dollars in thousands)

                                                                                        As of June 30, 2022
                                                                                                                     Non-cash
                                                                  Net Derivatives          Cash Collateral          Collateral
                                                                 Fair Value Before           Pledged to             Pledged to           Net Credit Exposure
Credit Rating (1)                        Notional Amount             Collateral             Counterparty           Counterparty           to Counterparties

Liability positions with credit
exposure:
Uncleared derivatives
Single-A                               $     21,041,250          $      (941,514)         $    1,003,094          $          -          $           61,580

Cleared derivatives                          16,587,450                 (101,856)                429,378                     -                     327,522
Total interest-rate swap
positions with nonmember
counterparties to which we had
credit exposure                              37,628,700               (1,043,370)              1,432,472                     -                     389,102

CO Bond firm commitments                         20,000                       28                       -                     -                          28
Mortgage delivery commitments
(2)                                               6,864                      108                       -                     -                         108
Total                                  $     37,655,564          $    (1,043,234)         $    1,432,472          $          -          $          389,238


_______________________

(1)  Uncleared derivatives counterparty ratings are obtained from Moody's,
Fitch, and S&P. Each rating classification includes all rating levels within
that category. If there is a split rating, the lowest rating is used. In the
case where the obligations are unconditionally and irrevocably guaranteed, the
rating of the guarantor or the counterparty is used.

(2)  Total fair-value exposures related to commitments to invest in mortgage
loans are offset by certain pair-off fees. Commitments to invest in mortgage
loans are reflected as derivatives. We do not collateralize these commitments.
However, should the participating financial institution fail to deliver the
mortgage loans as agreed, the participating financial institution is charged a
fee to compensate us for the nonperformance.


For more information on our approach to credit risks arising from our use of
derivatives, see Part II – Heading 7 – Management report and
Results of operations – Financial position – Derivative instruments –
Credit risk of derivatives in the 2021 annual report.

Transition from LIBOR to alternative benchmark rates

We have exposures to investment securities and derivatives with interest rates
indexed to U.S. dollar LIBOR. All of our LIBOR-indexed financial instruments
utilize a LIBOR tenor that will either cease to be published or will no longer
be representative after June 30, 2023. Table 15 presents our exposure to
LIBOR-indexed investment securities and LIBOR-indexed derivatives, at June 30,
2022.

For further details see the following Risk Factors in our 2021 Annual Report:
Part I - Item 1A - Risk Factors - Market and Liquidity Risks - Changes to and
replacement of the LIBOR benchmark interest rate could adversely affect our
business, financial condition, and results of operations; and - We use
derivatives to manage interest-rate risk, however, we could be unable to enter
into effective derivative instruments on acceptable terms.

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Table 15 - Financial Instruments with LIBOR Exposure at June 30, 2022
(dollars in thousands)

                                               Terminates in         Due/Terminates in         Due/Terminates after
                                                   2022            2023, through June 30          June 30, 2023              Total

Assets exposed to LIBOR

Investment securities, par amount by
contractual maturity
Non-MBS                                        $        -          $                -          $          11,350          $  11,350
MBS(1)                                                  -                           -                    430,851            430,851
Total investment securities                    $        -          $        

– $442,201 $442,201

LIBOR-indexed interest-rate swaps,
notional amount
Receive leg
Cleared                                        $    5,500          $           12,000          $          25,750          $  43,250
Uncleared(1)                                       62,500                     231,600                    241,900            536,000

Total interest rate swaps, receiving leg $68,000 $

  243,600          $         267,650          $ 579,250

Pay leg
Cleared                                        $  137,220          $                -          $               -          $ 137,220


_______________________
(1)Balances are presented according to contractual maturity date and do not
reflect scheduled or unscheduled principal repayments of underlying mortgage
loans for MBS and do not reflect potential early termination option exercises
for uncleared interest-rate swaps.

Table 16 - Variable Rate Financial Instruments by Interest-Rate Index
(dollars in thousands)

                                                               Par Value of
                                        Par Value of             Non-MBS             Par Value of          Par Value of
                                          Advances             Investments                MBS                CO Bonds
LIBOR                                  $          -          $      11,350          $    430,851          $          -
SOFR                                      3,906,500                      -             1,380,509             5,507,000
FHLBank discount note auction
rate                                      9,646,021                      -                     -                     -
Constant Maturity Treasury                        -                      -                30,400                     -

Total                                  $ 13,552,521          $      11,350          $  1,841,760          $  5,507,000


CASH AND CAPITAL RESOURCES

Our financial structure is designed to enable us to expand and contract our
assets, liabilities, and capital in response to changes in membership
composition and member credit needs. Our primary source of liquidity is our
access to the capital markets through CO issuance, which is described in Part I
- Item 1 - Business - Consolidated Obligations of the 2021 Annual Report.
Outstanding COs and the condition of the market for COs are discussed below
under - Debt Financing - Consolidated Obligations. Our equity capital resources
are governed by our capital plan, certain portions of which are described under
- Capital below as well as by applicable legal and regulatory requirements.

Liquidity

We are required to maintain liquidity in accordance with the FHLBank Act, FHFA
regulations and guidance, and policies established by our management and board
of directors. We seek to be in a position to meet the credit and liquidity needs
of our members and to meet all current and future financial commitments by
managing liquidity positions to maintain stable, reliable, and cost-effective
sources of funds while taking into account market conditions, member demand, and
the maturity profile of our assets and liabilities.
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Contents

We may not be able to predict future trends in member credit needs because they
are driven by complex interactions among a number of factors, including members'
asset growth or reductions, deposit growth or reductions, and the attractiveness
of advances compared to other wholesale borrowing alternatives. We regularly
monitor current trends, anticipate future debt issuance needs and maintain a
portfolio of highly liquid assets in an effort to be prepared to fund our
members' credit needs and our investment opportunities. We are generally able to
expand our CO debt issuance in response to our members' increased credit needs
for advances and to increase our acquisitions of mortgage loans. Alternatively,
in response to reduced member credit needs, we may allow our COs to mature
without replacement, transfer debt to another FHLBank, or repurchase and retire
outstanding COs, or redeem callable COs on eligible redemption dates, allowing
our balance sheet to shrink.

Sources and Uses of Liquidity. Our primary sources of liquidity are proceeds
from the issuance of COs and advance repayments, and maturing short-term
investments, as well as cash and investment holdings that are primarily
high-quality, short- and intermediate-term financial instruments. During the six
months ended June 30, 2022, we maintained continual access to funding and
adapted our debt issuance to meet the needs of our members.

Our primary uses of liquidity are advance originations and consolidated
obligation payments. Other uses of liquidity are mortgage loan and investment
purchases, dividend payments, general operating expenses, and other contractual
payments. We also maintain liquidity to redeem or repurchase excess capital
stock, through our daily excess stock repurchases, upon the request of a member
or as required under our capital plan.

Secondary sources of liquidity include payments collected on mortgage loans,
proceeds from the issuance of capital stock, and deposits from members. In
addition, under the FHLBank Act, the U.S. Treasury may purchase up to $4 billion
of FHLBank COs. The terms, conditions, and interest rates in such a purchase
would be determined by the U.S. Treasury. This authority may be exercised at the
discretion of the U.S. Treasury with the agreement of the FHFA only if
alternative means cannot be effectively employed to permit members of the
FHLBanks to continue to supply reasonable amounts of funds to the mortgage
market, and the ability to supply such funds is substantially impaired because
of monetary stringency and a high level of interest rates. There were no such
purchases by the U.S. Treasury during the six months ended June 30, 2022.

For information and discussion of our guarantees and other commitments we may
have, see below - Off-Balance-Sheet Arrangements and Aggregate Contractual
Obligations. For further information and discussion of the joint and several
liability for FHLBank COs, see below - Debt Financing - Consolidated
Obligations.

Internal sources of liquidity / Liquidity management

We have developed a methodology and policies by which we measure and manage
The Bank’s short-term liquidity needs based on projected net cash flows and
conditional bonds.

Projected Net Cash Flow. We define projected net cash flow as projected sources
of funds less projected uses of funds based on contractual maturities or
expected option exercise periods, and settlement of committed assets and
liabilities, as applicable. For mortgage-related cash flows and callable debt,
we incorporate projected prepayments and call exercise.

Liquidity Management Action Trigger. We maintain a liquidity management action
trigger pertaining to projected net cash flow: if projected net cash flow falls
below zero on or before the 21st day following the measurement date, then
management of the Bank is notified and determines whether any corrective action
is necessary. We did not exceed this threshold at any time during the six months
ended June 30, 2022.

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Table 17 - Projected Net Cash Flow
(dollars in thousands)

                                                             As of June 30, 2022
                                                                   21 Days
   Uses of funds
   Interest payable                                         $             19,592
   Maturing liabilities                                               17,314,643
   Committed asset settlements                                           174,000
   Capital outflow                                                        26,921
   MPF delivery commitments                                                6,864
   Other                                                                 104,284
   Gross uses of funds                                                17,646,304

   Sources of funds
   Interest receivable                                                    55,062
   Maturing or projected amortization of assets                       

20,493,169

   Committed liability settlements                                     

1,762,905

   Cash and due from banks and interest bearing deposits                 460,803

   Gross sources of funds                                             22,771,939

   Projected net cash flow                                  $          5,125,635



Base Case Liquidity Requirement. The Bank is subject to FHFA guidance on
liquidity, Advisory Bulletin 2018-07 (Liquidity Guidance AB), which communicates
the FHFA's expectations with respect to the maintenance of sufficient liquidity
to enable us to provide advances and letters of credit for members for a
specified time without access to the capital markets or other unsecured funding
sources.

The Liquidity Guidance AB provides guidance on the level of on-balance sheet
liquid assets related to base case liquidity. As part of the base case liquidity
measure, the guidance also includes a separate provision covering off-balance
sheet commitments from standby letters of credit. In addition, the Liquidity
Guidance AB provides guidance related to asset/liability maturity funding gap
limits.

Under the Liquidity Guidance AB, FHLBanks are required to hold positive cash
flow while rolling over maturing advances to all members and assuming no access
to capital markets for a period of time between 10 and 30 calendar days, with a
specific measurement period set forth in a supervisory letter. The Liquidity
Guidance AB also sets forth the initial cash flow assumptions and formula to
calculate base case liquidity. With respect to standby letters of credit, the
guidance states that FHLBanks should maintain a liquidity reserve of between one
percent and 20 percent of its outstanding standby letters of credit commitments,
as specified in a supervisory letter.

In the six months ended June 30, 2022we did not comply with the
Baseline liquidity requirement on one day and in compliance on other days.

Balance Sheet Funding Gap Policy. We may use a portion of the short-term COs
issued to fund assets with longer terms, including longer-term floating-rate
assets. Funding longer-term floating-rate assets with shorter-term liabilities
generally does not expose us to significant interest-rate risk because the
interest rates on both the floating-rate assets and liabilities typically reset
similarly (either through rate resets or re-issuance of the obligations).
However, deviations in the cost of our short-term liabilities relative to
resetting assets can cause fluctuations in our net interest margin.

Additionally, the Bank is exposed to refinancing risk since, over certain time
horizons, it has more liabilities than assets maturing. In order to manage the
Bank's refinancing risk, we maintain a policy that limits the potential
difference between the amount of financial assets and the amount of financial
liabilities expected to mature within three-month and one-year time horizons
inclusive of projected mortgage-related prepayment activity. We measure this
difference, or gap, as a percentage of total assets under two different
measurement horizons - three months and one year. In conformity with the
provisions of the
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Liquidity Guidance AB, the Bank has instituted a limit and management action
trigger framework around these metrics as follows:

Table 18 – Measure of financing gap

                                                                                                           Three-Month Average            Three-Month Average
Funding Gap Metric (1)                               Limit             Management Action Trigger              June 30, 2022                December 31, 2021
3-month Funding Gap                                   15%                         13%                                      3.4  %                        (8.2) %
1-year Funding Gap                                    30%                         25%                                      9.4  %                        (0.5) %


_______________________

(1) The funding gap measure is a positive value when maturing liabilities exceed
maturing assets, as defined, during the given period. Compliance with
Limits and triggers for management action are assessed against the
three-month average of month-end funding gaps.

External sources of liquidity

Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement. We have a
source of emergency external liquidity through the Amended and Restated FHLBanks
P&I Funding Contingency Plan Agreement. Under the terms of that agreement, in
the event we do not fund principal and interest payments due with respect to any
CO for which issuance proceeds were allocated to us within deadlines established
in the agreement, the other FHLBanks will be obligated to fund any shortfall to
the extent that any of the other FHLBanks has a net positive settlement balance
(that is, the amount by which end-of-day proceeds received by such FHLBank from
the sale of COs on that day exceeds payments by such FHLBank on COs on the same
day) in its account with the Office of Finance on the day the shortfall occurs.
We would then be required to repay the funding to the other FHLBanks. We have
never drawn funding under this agreement, nor have we ever been required to
provide funding to another FHLBank under this agreement.

Debt Financing – Consolidated Bonds

At June 30, 2022, and December 31, 2021, outstanding COs for which we are
primarily liable, including both CO bonds and CO discount notes, totaled $57.8
billion and $28.9 billion, respectively. CO bonds outstanding for which we are
primarily liable at June 30, 2022, and December 31, 2021, include issued
callable bonds totaling $20.7 billion and $12.8 billion, respectively.

CO discount notes comprised 43.4 percent and 7.9 percent of the outstanding COs
for which we are primarily liable at June 30, 2022, and December 31, 2021,
respectively, but accounted for 92.1 percent and 93.9 percent of the proceeds
from the issuance of such COs during the six months ended June 30, 2022 and
2021, respectively.

Overall, we continued to experience strong demand for COs among investors. We
have been able to issue debt in the amounts and structures required to meet our
funding and risk-management needs. For most of the period covered by this
report, COs were issued at yields that were historically competitive versus
those of comparable-term U.S. Treasury securities. COs continue to be issued at
yields that are at or lower than SOFR for comparable short-term maturities.
However, periodic threats of Congressional failure to raise the U.S. Treasury
debt ceiling raise the potential for defaults on U.S. Treasury debt, which could
have impacts on demand for and pricing of CO debt.

The Federal Reserve's recent signaling of inflation concerns and potential
changes to its repurchase agreement offerings, purchases of U.S. Treasury
securities and U.S. Agency mortgage-backed securities, as well as the previous
establishment of liquidity facilities, are potentially important factors that
could continue to shape investor demand for debt, including COs. Moreover,
increases in U.S. Treasury security issuance in response to higher fiscal
deficits following fiscal stimulus programs underlying the CARES Act, American
Rescue Plan Act, and any similar future legislation or any change or roll back
of regulations governing money market investors may also have an impact on our
funding costs.

Capital

Total capital at June 30, 2022has been $2.9 billion compared to $2.5 billion at
end of year 2021.

Capital stock increased by $603.6 million during the six months ended June 30,
2022, resulting from the issuance of $2.1 billion of capital stock offset by
capital stock repurchases of $1.4 billion.

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The FHLBank Act and FHFA regulations specify that each FHLBank is required to
satisfy certain minimum regulatory capital requirements. We were in compliance
with these requirements at June 30, 2022, as discussed in   Part 1- Item 1 -
Notes to the Financial Statements - Note 10 - Capital.

Table 19 - Mandatorily Redeemable Capital Stock by Expiry of Redemption Notice
Period
(dollars in thousands)

                                               June 30, 2022       December 31, 2021
Past redemption date (1)                      $        3,086      $            3,138
Due in one year or less                                    -                      92
Due after one year through two years                      59                

30

Due after two years through three years                  435                

Due after three years through four years                 689                

581

Due after four years through five years                6,434                   9,721

Total                                         $       10,703      $           13,562


_______________________
(1)  Amount represents mandatorily redeemable capital stock that has reached the
end of the five-year redemption-notice period but the member-related activity
(for example, advances) remains outstanding. Accordingly, these shares of stock
will not be redeemed until the activity is no longer outstanding.


capital rule

The FHFA's regulation on FHLBank capital classification and critical capital
levels (the Capital Rule), among other things, establishes criteria for four
capital classifications and corrective action requirements for FHLBanks that are
classified in any classification other than adequately capitalized. The Capital
Rule requires the Director of the FHFA to determine on no less than a quarterly
basis the capital classification of each FHLBank. By letter dated March 29,
2022, the Director of the FHFA notified us that, based on December 31, 2021
financial information, we met the definition of adequately capitalized under the
Capital Rule.

Internal capital practices and policies

We also take steps as we believe prudent beyond legal or regulatory requirements
in an effort to ensure capital adequacy, reflected in our internal minimum
capital requirement, which exceeds regulatory requirements, our minimum retained
earnings target, and limitations on our dividends.

Minimum Internal Required Capital Exceeding Regulatory Requirements

To provide protection for our capital base, we maintain an internal minimum
capital requirement whereby the amount of paid-in capital stock and retained
earnings (together, our actual regulatory capital) must be at least equal to the
sum of 4 percent of our total assets plus an amount we measure as our risk
exposure with 99 percent confidence using our economic capital model (together,
our internal minimum capital requirement). As of June 30, 2022, this internal
minimum capital requirement equaled $3.0 billion, which was satisfied by our
actual regulatory capital of $3.2 billion.

Minimum retained earnings target

At June 30, 2022, we had total retained earnings of $1.6 billion compared with
our minimum retained earnings target of $700.0 million. We generally view our
minimum retained earnings target as a floor for retained earnings rather than as
a retained earnings limit and expect to continue to grow our retained earnings
modestly even though we exceed the target.

For information on limitations on dividends, including limitations when we are
under our minimum retained earnings target, see Part II - Item 5 - Market for
Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of
Equity Securities in the 2021 Annual Report.

Redemption of excess inventory

We have the authority, but are not obligated, to repurchase excess inventory, such as
referred to in Part I – Item 1 – Businesses – Capital Resources – Redemption of
Excess stock in the 2021 annual report.

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Contents

Table 20 - Capital Stock Requirements and Excess Capital Stock
(dollars in thousands)

                                                                                                                     Outstanding            Excess
                                     Membership Stock            Activity-Based              Total Stock               Class B             Class B
                                        Investment              Stock Investment             Investment             Capital Stock          Capital
                                      Requirement(1)              Requirement              Requirement (2)               (3)                Stock
June 30, 2022                      $         316,280          $       1,224,724          $      1,541,026          $  1,567,947          $  26,921
December 31, 2021                            429,353                    505,264                   934,638               967,200             32,562

_______________________

(1)  Pursuant to our Capital Plan of the Federal Home Loan Bank of Boston
Amended and Restated as of December 31, 2021, the membership stock investment
requirement changed from 0.20 percent of the Membership Stock Investment Base to
0.05 percent of total assets. The change was intended to reduce the aggregate
membership stock investment requirement.

(2) The total equity investment requirement is rounded to the nearest $100 on a
individual member basis.

(3) Outstanding Class B share capital includes mandatory redeemable capital
Stock.

To facilitate our ability to maintain a prudent level of capitalization and an
efficient capital structure, while providing for an equitable allocation of
excess stock ownership among members, we conduct daily repurchases of excess
stock from any shareholder whose excess stock exceeds the lesser of $3 million
or 3 percent of the shareholder's total stock investment requirement, subject to
the minimum repurchase of $100,000. We plan to continue with this practice,
subject to regulatory requirements and our anticipated liquidity or capital
management needs, although continued repurchases remain at our sole discretion,
and we retain authority to make adjustments to our excess stock repurchase
practices subject to notice requirements defined in our Capital Plan, or to
suspend repurchases of excess stock from any shareholder or all shareholders
without prior notice.

Restricted retained earnings

At June 30, 2022, our total required contribution to the restricted retained
earnings account was $421.4 million compared with our total contribution of
$376.6 million. Due to the increase in the average balance of consolidated
obligations during the quarter ended June 30, 2022, we contributed $8.2 million
of second quarter 2022 net income to restricted retained earnings. No allocation
of net income was made to restricted retained earnings in the first quarter of
2022.

Off-balance sheet arrangements

Our principal off-balance sheet arrangements include the following:

• commitments that require us to make additional advances;

• stand-by letters of credit;

• advance commitments on unused credit lines; and

• CO not regulated.

Off-balance sheet arrangements are discussed in more detail in Section 1 – Financial
Financial statements – Notes to the financial statements – Note 13 – Commitments and
contingencies.

CRITICAL ACCOUNTING ESTIMATES

The preparation of financial statements in accordance with GAAP requires
management to make a number of judgments, estimates, and assumptions that affect
the reported amounts of assets and liabilities, the disclosure of contingent
assets and liabilities (if applicable), and the reported amounts of income and
expenses during the reported periods. Although management believes these
judgments, estimates, and assumptions to be reasonably accurate, actual results
may differ.

We have identified three accounting estimates that we believe are critical
because they require us to make subjective or complex judgments about matters
that are inherently uncertain, and because of the likelihood that materially
different amounts would be reported under different conditions or using
different assumptions. These estimates include accounting for derivatives, the
use of fair-value estimates, and accounting for deferred premiums and discounts
on prepayable assets. The Audit Committee of our board of directors has reviewed
these estimates. The assumptions involved in applying these policies are
discussed in
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  Table of     Contents
Part II - Item 7 - Management's Discussion and Analysis of Financial Condition
and Results of Operations - Critical Accounting Estimates in the 2021 Annual
Report.

As of June 30, 2022, we have not made any significant changes to the estimates
and assumptions used in applying our critical accounting policies and estimates
from those used to prepare our audited financial statements.

RECENT ACCOUNTING DEVELOPMENTS

See   Item 1 - Financial Statements - Notes to the Financial Statements - Note 2
- Recently Issued and Adopted Accounting Guidance   for a discussion of recent
accounting developments impacting or that could impact us.

LEGISLATIVE AND REGULATORY CHANGES

We summarize certain significant legislative and regulatory actions and related
developments for the period covered by this
report below.

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

Amendments to FINRA Rule 4210: Margining of Covered Agency Transactions. On July
29, 2022, the Financial Industries Regulatory Authority (FINRA) filed a proposed
rule with the SEC that would extend the implementation date of its amendments to
FINRA Rule 4210 delaying the effectiveness of margining requirements for covered
agency transactions from October 26, 2022 until at least April 24, 2023. Once
the margining requirements are effective, we may be required to collateralize
our transactions that are covered agency transactions, which include to be
announced transactions (TBAs). These collateralization requirements could have
the effect of reducing the overall profitability of engaging in covered agency
transactions, including TBAs. We do not expect this rule to have a material
effect on our financial condition or results of operations.

LIBOR Transition

Proposed Rule Implementing the Adjustable Interest Rate (LIBOR) Act. On July 28,
2022, the Board of Governors of the Federal Reserve System (the Board) published
a proposed rule with a comment deadline of August 29, 2022, that would implement
the Adjustable Interest Rate (LIBOR) Act (the Act). The proposed rule would
provide default rules for certain contracts (covered contracts) that: reference
LIBOR, are governed by U.S. law, do not mature on or before the LIBOR
replacement date of June 30, 2023, and lack adequate provisions to identify a
replacement rate for LIBOR. The proposed rule identifies separate Board-selected
replacement rates for derivatives transactions, covered GSE contracts, and all
other covered contracts. The proposed rule defines covered GSE contracts to
include FHLBank advances. Accordingly, we continue to take steps to mitigate the
risks that arise from the phase out of LIBOR, which includes reviewing the
proposed rule, but are not yet able to predict the extent to which the proposed
rule would impact our financial condition or results of operations.
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