Table 6.1 presents outstanding notional amounts and fair values of the derivatives outstanding by type of derivative and by hedge designation as of June 30, 2025 and December 31, 2024 (in thousands). Total derivative assets and liabilities include the effect of netting adjustments and cash collateral.


	06/30/2025						12/31/2024
	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	45,845,234	$	122,054	$	176,032	$	37,883,273	$	66,190	$	226,184
Total derivatives designated as hedging relationships	45,845,234		122,054		176,032		37,883,273		66,190		226,184
Derivatives not designated as hedging instruments:
Interest rate swaps	4,999,932		3,198		591		11,464,896		25,282		110
Interest rate caps/floors	1,385,000		1,275		—		2,604,000		4,181		—
Mortgage delivery commitments	86,851		567		1		34,524		30		73
Total derivatives not designated as hedging instruments	6,471,783		5,040		592		14,103,420		29,493		183
TOTAL	$	52,317,017	127,094		176,624		$	51,986,693	95,683		226,367
Netting adjustments and cash collateral1			224,644		(174,217)				261,631		(220,236)
DERIVATIVE ASSETS AND LIABILITIES			$	351,738	$	2,407			$	357,314	$	6,131

1 Amounts represent the application of the netting requirements that allow FHLBank to settle positive and negative positions and cash collateral, including accrued interest, held or placed with the same clearing agent and/or derivative counterparty. Cash collateral posted was $459,106,000 and $521,222,000 as of June 30, 2025 and December 31, 2024, respectively. Cash collateral received was $60,244,000 and $39,354,000 as of June 30, 2025 and December 31, 2024, respectively.

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

Gains (losses) on fair value hedges include unrealized changes in fair value as well as net interest settlements. For the three months ended June 30, 2025 and 2024, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.2 (in thousands):


	Three Months Ended
	06/30/2025
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	548,614	$	180,970	$	114,114	$	677,333
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	(32,497)	$	(58,207)	$	(1,096)	$	6,841
Hedged items2	73,622		100,098		209		(36,140)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	41,125	$	41,891	$	(887)	$	(29,299)


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

For the six months ended June 30, 2025 and 2024, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.3 (in thousands):



	Six Months Ended
	06/30/2025
	Interest Income/Expense
	Advances		Available-for-sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Total amounts presented in the Statements of Income	$	1,056,702	$	357,339	$	231,289	$	1,310,351
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Derivatives1	$	(116,518)	$	(160,041)	$	(1,700)	$	28,202
Hedged items2	196,220		242,027		1,347		(88,245)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS	$	79,702	$	81,986	$	(353)	$	(60,043)



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

1 Includes net interest settlements in interest income/expense.
2 Includes amortization/accretion on closed fair value relationships in interest income.

Table 6.4 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of June 30, 2025 and December 31, 2024 (in thousands):


06/30/2025
	Advances		Available-for-Sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Carrying value of hedged asset/(liability)1	$	16,507,894	9,515,097		(2,483,146)		(17,303,204)

Basis adjustments for active hedging relationships	$	(16,104)	$	(16,544)	$	510	$	110,052
Basis adjustments for discontinued hedging relationships	(3,697)		—		—		(5,347)
Cumulative amount of fair value hedging basis adjustments2	$	(19,801)	$	(16,544)	$	510	$	104,705

12/31/2024
	Advances		Available-for-Sale Securities		Consolidated Obligation Discount Notes		Consolidated Obligation Bonds
Carrying value of hedged asset/(liability)1	$	15,700,289	7,984,796		(3,043,704)		(10,653,310)

Basis adjustments for active hedging relationships	$	(210,116)	$	(258,571)	$	(837)	$	198,495
Basis adjustments for discontinued hedging relationships	(5,937)		—		—		(5,545)
Cumulative amount of fair value hedging basis adjustments2	$	(216,053)	$	(258,571)	$	(837)	$	192,950

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



	Three Months Ended				Six Months Ended
	06/30/2025		06/30/2024		06/30/2025		06/30/2024
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(3,184)	$	(5,118)	$	(8,330)	$	(4,344)
Interest rate caps/floors	(1,184)		(1,192)		(2,918)		(1,796)
Net interest settlements	1,802		8,282		5,479		16,820
Price alignment amount1	(9)		(117)		(72)		(242)
Mortgage delivery commitments	69		(177)		817		(232)
NET GAINS (LOSSES) ON DERIVATIVES	$	(2,506)	$	1,678	$	(5,024)	$	10,206

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

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

Bilateral derivative transactions executed on or after September 1, 2022, are subject to two-way initial margin requirements if aggregate uncleared derivative exposure to a counterparty exceeds a specified threshold. The initial margin is required to be held at a third-party custodian, and the secured party can only take ownership upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of June 30, 2025, FHLBank was not required to pledge to or receive initial margin from bilateral derivative counterparties.

FHLBank utilizes two Derivative Clearing Organizations (clearinghouses) for all cleared derivative transactions, LCH Limited and CME Clearing. At both clearinghouses, initial margin is considered cash collateral. For cleared derivatives, the clearinghouse determines initial margin requirements and generally, credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. FHLBank was not required to post additional initial margin by its clearing agents as of June 30, 2025 and December 31, 2024.