Fair Values (Tables)

6 Months Ended

Jun. 30, 2025

The carrying value, fair value and fair value hierarchy of FHLBank’s financial assets and liabilities as of June 30, 2025 and December 31, 2024 are summarized in Tables 12.1 and 12.2 (in thousands):

Table 12.1


	06/30/2025
	Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral1
Assets:
Cash and due from banks	$	25,078	$	25,078	$	25,078	$	—	$	—	$	—
Interest-bearing deposits	2,287,805		2,287,805		—		2,287,805		—		—
Securities purchased under agreements to resell	4,400,000		4,400,000		—		4,400,000		—		—
Federal funds sold	3,906,000		3,906,000		—		3,906,000		—		—
Trading securities	153,520		153,520		—		153,520		—		—
Available-for-sale securities	14,118,577		14,118,577		—		14,070,339		48,238		—
Held-to-maturity securities	203,895		202,124		—		172,746		29,378		—
Advances	45,040,514		45,075,357		—		45,075,357		—		—
Mortgage loans held for portfolio, net of allowance	9,180,578		8,405,889		—		8,399,747		6,142		—
Accrued interest receivable	262,750		262,750		—		262,750		—		—
Derivative assets	351,738		351,738		—		127,094		—		224,644
Liabilities:
Deposits	1,035,255		1,035,254		—		1,035,254		—		—
Consolidated obligation discount notes	9,530,052		9,529,409		—		9,529,409		—		—
Consolidated obligation bonds	64,732,483		64,073,019		—		64,073,019		—		—
Mandatorily redeemable capital stock	6,081		6,081		6,081		—		—		—
Accrued interest payable	437,246		437,246		—		437,246		—		—
Derivative liabilities	2,407		2,407		—		176,624		—		(174,217)
Other Asset (Liability):
Industrial revenue bonds	35,000		33,803		—		33,803		—		—
Financing obligation payable	(35,000)		(33,803)		—		(33,803)		—		—

1 Represents the effect of legally enforceable master netting agreements that allow FHLBank to net settle positive and negative positions and also derivative cash collateral and related accrued interest held or placed with the same clearing agent or derivative counterparty.

Table 12.2


	12/31/2024
	Carrying Value		Total Fair Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral1
Assets:
Cash and due from banks	$	25,575	$	25,575	$	25,575	$	—	$	—	$	—
Interest-bearing deposits	2,142,423		2,142,423		—		2,142,423		—		—
Securities purchased under agreements to resell	5,150,000		5,150,000		—		5,150,000		—		—
Federal funds sold	3,575,000		3,575,000		—		3,575,000		—		—
Trading securities	439,963		439,963		—		439,963		—		—
Available-for-sale securities	13,057,619		13,057,619		—		13,033,440		24,179		—
Held-to-maturity securities	219,826		217,476		—		187,027		30,449		—
Advances	41,652,081		41,678,915		—		41,678,915		—		—
Mortgage loans held for portfolio, net of allowance	8,949,433		8,003,324		—		8,001,989		1,335		—

Accrued interest receivable	249,199		249,199		—		249,199		—		—
Derivative assets	357,314		357,314		—		95,683		—		261,631
Liabilities:
Deposits	989,021		989,023		—		989,023		—		—
Consolidated obligation discount notes	14,417,047		14,419,420		—		14,419,420		—		—
Consolidated obligation bonds	55,864,506		55,000,797		—		55,000,797		—		—
Mandatorily redeemable capital stock	3,225		3,225		3,225		—		—		—
Accrued interest payable	347,843		347,843		—		347,843		—		—
Derivative liabilities	6,131		6,131		—		226,367		—		(220,236)
Other Asset (Liability):
Industrial revenue bonds	35,000		33,112		—		33,112		—		—
Financing obligation payable	(35,000)		(33,112)		—		(33,112)		—		—

Hierarchy Level for Financial Assets and Liabilities - Recurring and Nonrecurring

Tables 12.3 and 12.4 present, for each hierarchy level, FHLBank’s assets and liabilities that are measured at fair value on a recurring or nonrecurring basis on the Statements of Condition as of or for the periods ended June 30, 2025 and December 31, 2024 (in thousands).

Table 12.3


	06/30/2025
	Total		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral1
Recurring fair value measurements - Assets:
Trading securities:

GSE MBS	$	153,520	$	—	$	153,520	$	—	$	—
Total trading securities	153,520		—		153,520		—		—
Available-for-sale securities:
U.S. Treasury obligations	3,301,912		—		3,301,912		—		—
U.S. obligation MBS	67,487		—		67,487		—		—
GSE MBS	10,700,940		—		10,700,940		—		—
State or local housing agency obligations	48,238		—		—		48,238		—
Total available-for-sale securities	14,118,577		—		14,070,339		48,238		—
Derivative assets:
Interest-rate related	351,171		—		126,527		—		224,644
Mortgage delivery commitments	567		—		567		—		—
Total derivative assets	351,738		—		127,094		—		224,644
TOTAL RECURRING FAIR VALUE MEASUREMENTS - ASSETS	$	14,623,835	$	—	$	14,350,953	$	48,238	$	224,644

Recurring fair value measurements - Liabilities:
Derivative liabilities:
Interest-rate related	$	2,406	$	—	$	176,623	$	—	$	(174,217)
Mortgage delivery commitments	1		—		1		—		—
Total derivative liabilities	2,407		—		176,624		—		(174,217)
TOTAL RECURRING FAIR VALUE MEASUREMENTS - LIABILITIES	$	2,407	$	—	$	176,624	$	—	$	(174,217)

Nonrecurring fair value measurements - Assets2:
Impaired mortgage loans	$	6,214	$	—	$	—	$	6,214	$	—
Real estate owned	72		—		—		72		—
TOTAL NONRECURRING FAIR VALUE MEASUREMENTS - ASSETS	$	6,286	$	—	$	—	$	6,286	$	—

1 Represents the effect of legally enforceable master netting agreements that allow FHLBank to net settle positive and negative positions and also derivative cash collateral, including related accrued interest, held or placed with the same clearing agent or derivative counterparty.

2 Includes assets adjusted to fair value during the six months ended June 30, 2025 and still outstanding as of June 30, 2025.

Table 12.4


	12/31/2024
	Total		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral1
Recurring fair value measurements - Assets:
Trading securities:
GSE debentures	$	17,884	$	—	$	17,884	$	—	$	—
GSE MBS	422,079		—		422,079		—		—
Total trading securities	439,963		—		439,963		—		—
Available-for-sale securities:
U.S. Treasury obligations	3,237,223		—		3,237,223		—		—
U.S. obligation MBS	77,263		—		77,263		—		—
GSE MBS	9,718,954		—		9,718,954		—		—
State or local housing agency obligations	24,179		—		—		24,179		—
Total available-for-sale securities	13,057,619		—		13,033,440		24,179		—
Derivative assets:
Interest-rate related	357,284		—		95,653		—		261,631
Mortgage delivery commitments	30		—		30		—		—
Total derivative assets	357,314		—		95,683		—		261,631
TOTAL RECURRING FAIR VALUE MEASUREMENTS - ASSETS	$	13,854,896	$	—	$	13,569,086	$	24,179	$	261,631

Recurring fair value measurements - Liabilities:
Derivative liabilities:
Interest-rate related	$	6,058	$	—	$	226,294	$	—	$	(220,236)
Mortgage delivery commitments	73		—		73		—		—
Total derivative liabilities	6,131		—		226,367		—		(220,236)
TOTAL RECURRING FAIR VALUE MEASUREMENTS - LIABILITIES	$	6,131	$	—	$	226,367	$	—	$	(220,236)

Nonrecurring fair value measurements - Assets2:
Impaired mortgage loans	$	1,350	$	—	$	—	$	1,350	$	—

TOTAL NONRECURRING FAIR VALUE MEASUREMENTS - ASSETS	$	1,350	$	—	$	—	$	1,350	$	—

2 Includes assets adjusted to fair value during the year ended December 31, 2024 and still outstanding as of December 31, 2024.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

Table 12.5 presents a rollforward of assets and liabilities measured at fair value on a recurring basis and classified as Level 3 during the three and six months ended June 30, 2025 and 2024 (in thousands).

Table 12.5


Available-for-sale securities - State or local housing agency obligations	Three Months Ended				Six Months Ended

	06/30/2025		06/30/2024		06/30/2025		06/30/2024
Balance, beginning of the period	$	48,719	$	—	$	24,179	$	—
Included in net unrealized gains (losses) on available-for-sale securities in OCI	(481)		—		314		—
Purchases	—		—		23,860		—
Settlements	—		—		(115)		—
Balance, end of the period	$	48,238	$	—	$	48,238	$	—
Total amount of unrealized gains (losses) for the period included in OCI relating to assets held at period end	$	28	$	—	$	28	$	—

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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