fhlbpgh-20260630

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2026

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

For the transition period from to

Commission File Number: 000-51395

FEDERAL HOME LOAN BANK OF PITTSBURGH

(Exact name of registrant as specified in its charter)


Federally Chartered Corporation						25-6001324
(State or other jurisdiction of incorporation or organization)						(IRS Employer Identification No.)

301 Grant Street, Suite 2000

Pittsburgh, PA

(Address of principal executive offices)

15219

(Zip Code)

412 288-3400

(Registrant’s telephone number, including area code)

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


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

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). [x] Yes [] No

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

Large accelerated filer

Accelerated filer

Emerging growth company

Non-accelerated filer

Smaller reporting company

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

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

There were 39,077,236 shares of common stock with a par value of $100 per share outstanding at July 31, 2026.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS





Part I - FINANCIAL INFORMATION			1
Item 1: Financial Statements (unaudited)			29
Notes to Financial Statements (unaudited)			35
Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations			36
Note 2 – Investments			37
Note 3 – Advances			40
Note 4 – Mortgage Loans Held for Portfolio			42
Note 5 – Derivatives and Hedging Activities			45
Note 6 - Consolidated Obligations			49
Note 7 - Capital			51
Note 8 - Transactions with Related Parties			54
Note 9 - Estimated Fair Value			55
Note 10 - Commitments and Contingencies			60
Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations			1
Risk Management			20
Item 3: Quantitative and Qualitative Disclosures about Market Risk			61
Item 4: Controls and Procedures			61
Part II - OTHER INFORMATION			61
Item 1: Legal Proceedings			61
Item 1A: Risk Factors			61
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds			61
Item 3: Defaults upon Senior Securities			61
Item 4: Mine Safety Disclosures			61
Item 5: Other Information			61
Item 6: Exhibits			62
Signatures			62

PART I - FINANCIAL INFORMATION

Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Information

This Form 10-Q includes “forward-looking statements”. Such statements may include descriptions of the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank). Such statements do not relate strictly to historical or current facts. They often use words such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “should,” “will,” “likely,” and similar expressions.

Forward-looking statements involve risks and uncertainties, and as such, actual results could differ materially from those that the statements express or imply due to factors such as:

▪economic and market conditions, including, but not limited to, conditions in real estate, credit and mortgage markets;

▪volatility of market prices, rates, and indices related to financial instruments;

▪natural or man-made disasters, pandemics, climate change, conflicts or terrorist attacks or other geopolitical events, such as ongoing hostilities between Russia and Ukraine and in the Middle East;

▪political uncertainties related to global trade policies, supply chain disruptions and tariff tensions;

▪executive, legislative, regulatory, and judicial events and actions that affect the Bank, its members, counterparties, other Federal Home Loan Banks (FHLBanks) or investors in FHLBank debt;

▪risks related to the Bank’s investments, including investments in mortgage-backed securities (MBS);

▪changes in the assumptions used to estimate credit losses;

▪changes in the Bank’s ability to introduce new products and services to meet market demand;

▪changes in the Bank’s: credit rating, capital structure, capital requirements, membership composition, membership’s demand for advances and other products, and competitive environment;

▪changes in expectations regarding the Bank’s payment of dividends;

▪increases or decreases in advances prepayments;

▪changes in investor demand for FHLBank debt or in the ratings of FHLBank System debt;

▪the Bank’s ability to enter into financial instruments to meet its investment, balance sheet and risk management goals;

▪disruptions in the capital markets;

▪the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability; and

▪technology and cybersecurity risks (including cybersecurity risk driven by artificial intelligence).

Readers of this report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this report, as well as those discussed in the Bank’s 2025 Form 10-K filed with the Securities and Exchange Commission (the SEC) on March 4, 2026 (2025 Form 10-K), including Risk Factors included in Part I, Item 1A of that report. Information on the Bank’s website referred to in this Form 10-Q is not incorporated in, or a part of, this Form 10-Q. Forward-looking statements in this Form 10-Q should not be relied on as representing the Bank’s expectations or assumptions as of any time subsequent to the time this Form 10-Q is filed with the SEC. Forward-looking statements speak only as of the date made, and the Bank has no obligation, and does not undertake publicly, to update or revise any forward-looking statement for any reason.

This Management’s Discussion and Analysis should be read in conjunction with the Bank’s unaudited interim financial statements and notes and any Risk Factors included in Part II, Item 1A of this Form 10-Q and all risks and uncertainties addressed throughout this report, as well as those discussed in the Bank’s 2025 Form 10-K, including Risk Factors included in Part I, Item 1A of that report.

Executive Summary

Overview. The Bank’s financial condition and results of operations are influenced by global and national economies, local economies within its three-state district, and the conditions in the financial, housing and credit markets, including factors which impact the interest rate environment.

The interest rate environment significantly impacts the Bank’s profitability. Net interest income is affected by several external factors, including market interest rate levels and volatility, credit spreads and the general state of the economy. To manage interest rate risk in connection with advances and debt, the Bank executes interest-rate derivatives. Short-term interest rates also directly affect the Bank’s earnings on invested capital. Finally, the Bank’s mortgage-related assets make it sensitive to changes in mortgage rates. The Bank earns relatively narrow spreads between yields on assets (particularly advances, its largest asset) and the rates paid on corresponding liabilities.

The Bank’s earnings are affected not only by rising or falling interest rates but also by the particular path and volatility of changes in market interest rates and the prevailing shape of the yield curve. The flattening of the yield curve tends to compress the Bank’s net interest margin, while steepening of the curve offers better opportunities to purchase assets with wider net interest spreads. The performance of the Bank’s mortgage asset portfolios is particularly affected by shifts in the 10-year maturity range of the yield curve, which is the point that heavily influences mortgage rates and potential refinancings. Yield curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products.

Treasury yields rose sharply as rate hike expectations strengthened during the second quarter of 2026. Focal points from last quarter included the ongoing conflicts in the Middle East, resulting inflation concerns and communications at the June Federal Open Markets Committee (FOMC) meeting, the first chaired by Kevin Warsh. The FOMC held the federal funds target range at 3.50-3.75% at the April, June and July meetings. Despite increased FHLBank debt outstanding, FHLBank debt spreads relative to U.S. Treasuries tightened quarter-over-quarter due, in part, to decreased market volatility.

Results of Operations. The Bank’s net income for the second quarter of 2026 totaled $102.2 million, compared to $111.7 million for the second quarter of 2025. The $9.5 million decrease was driven primarily by lower net interest income. The decrease in interest income was the result of lower short-term interest rates partially offset by higher average assets. The net interest margin was 60 basis points in the second quarter of 2026 compared to 71 basis points in the second quarter of 2025. The decrease was due to lower net interest spreads, driven by lower yields on advances and investment securities, and reduced earnings on capital due, in part, to lower short term interest rates.

For the six months ended June 30, 2026, the Bank’s net income totaled $191.7 million, compared to $231.8 million for the same prior year period. The $40.1 million decrease was driven by lower net interest income. The decrease in interest income was the result of lower average advance balances and lower short-term interest rates. The decrease in noninterest income was due primarily to valuation changes in the Bank’s economic derivative portfolio. The net interest margin was 64 basis points for the first six months of 2026 compared to 70 basis points for the first six months of 2025. The decrease was due to reduced earnings on capital due, in part, to lower short term interest rates.

Statutory Affordable Housing Program (AHP) assessments were $11.4 million as a result of second quarter 2026 earnings, compared to $12.4 million in the same prior year period. Statutory AHP assessments were $21.4 million based on earnings for the six months ended June 30, 2026, compared to $25.8 million in the same prior year period.

In addition to statutory AHP assessments under the Federal Home Loan Bank Act (FHLBank Act), the Bank anticipates making voluntary contributions of at least 5% of the prior year’s pre-assessment net income to voluntary community products, a committed target of $25.8 million for 2026. In addition, the Bank intends to continue to make a supplemental voluntary contribution to AHP to increase the pool of available AHP funds to the amount that would have been statutorily required, absent the Bank’s voluntary contributions.

Financial Condition. Advances. Advances totaled $77.7 billion at June 30, 2026, an increase of $40.9 billion compared to $36.8 billion at December 31, 2025. In addition, the par value of advances that had a remaining maturity of more than one year was 36% at June 30, 2026 compared to 37% at December 31, 2025. Member demand for advances continues to be driven by members’ liquidity management practices, which are influenced by their loan demand, deposit balances and investment activities. Although advance levels increased, it is not uncommon for the Bank to experience fluctuations in the overall advance portfolio driven primarily by changes in member needs.

The ability to grow and/or maintain the advance portfolio is affected by, among other things, the following: (1) the liquidity demands of the Bank’s borrowers; (2) the composition of the Bank’s membership; (3) members’ regulatory requirements; (4) current and future credit market conditions; (5) housing market trends; (6) the shape of the yield curve; and (7) advance pricing.

Liquidity Investments. The Bank maintains liquidity to meet member borrowing needs and regulatory standards. The liquidity investment portfolio is comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or available-for-sale (AFS). At June 30, 2026, the Bank

held $17.9 billion of liquid assets compared to $16.0 billion at December 31, 2025. Liquid assets increased due to routine portfolio management practices.

Investments. The Bank’s investment portfolio, excluding those investments included in the liquidity portfolio, is comprised of trading, AFS and held-to-maturity (HTM) investments. The investments are subject to the Bank’s risk guidelines and certain other requirements, such as yield. The Bank’s investment portfolio increased to $16.6 billion at June 30, 2026 compared to $14.5 billion at December 31, 2025. During the first six months of 2026, the MBS portfolio increased as the Bank used its increased regulatory capacity to invest in MBS as the Bank’s regulatory capital grew during that period. For information on this growth, see Note 7 – Capital in this Form 10-Q. Federal Housing Finance Agency (Finance Agency) regulations prohibit the Bank from investing in MBS in an amount greater than 300% of the Bank’s previous month-end regulatory capital on the day of purchase of additional MBS.

Consolidated Obligations. The Bank’s consolidated obligations totaled $110.8 billion at June 30, 2026, an increase of $43.3 billion from December 31, 2025. At June 30, 2026, bonds represented 73% of the Bank’s consolidated obligations, compared with 75% at December 31, 2025. Discount notes represented 27% of the Bank’s consolidated obligations at June 30, 2026 compared with 25% at year-end 2025. The overall increase in consolidated obligations outstanding is consistent with the increase in advance balances. The Bank’s funding mix shifted towards floating rate bonds as investor preferences evolved.

Capital Position and Regulatory Requirements. Total capital at June 30, 2026 was $6.3 billion, compared to $4.6 billion at December 31, 2025. Total capital increased due to an increase in capital stock as a result of higher advances. Total retained earnings at June 30, 2026 were $2.3 billion, compared with $2.2 billion at December 31, 2025.

In July 2026, the Bank paid quarterly dividends of 9.75% annualized on activity stock and 5.50% annualized on membership stock. These dividends are calculated on stockholders’ average balances for the second quarter of 2026. For additional information on quarterly dividends, see Note 7 - Capital in this Form 10-Q.

Earnings Performance

The following is the Bank’s earnings performance for the three and six months ended June 30, 2026, which should be read in conjunction with the Bank’s unaudited interim financial statements included in this Form 10-Q as well as the audited financial statements included in Item 8. Financial Statements and Supplementary Data in the Bank’s 2025 Form 10-K.

Net Interest Income

Average Balances and Interest Yields/Rates Paid. The following table summarizes the average balances, yields or rates paid, and net interest margin on interest-earning assets and interest-bearing liabilities for the three and six months ended June 30, 2026 and 2025.


	Three months ended June 30,
	2026					2025
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Securities purchased under agreements to resell	$	2,220.8	$	20.2	3.65	$	2,760.9	$	30.0	4.36
Federal funds sold	9,941.1		90.8		3.66	8,353.4		91.3		4.38
Interest-bearing deposits (1)	3,224.4		30.0		3.73	3,321.2		36.6		4.42
Investment securities (2)	20,480.0		222.5		4.36	19,946.4		249.0		5.01
Advances (3)	57,051.1		571.7		4.02	55,164.8		661.0		4.81
Mortgage loans held for portfolio (4)	5,384.4		55.8		4.16	4,986.7		47.9		3.86
Total interest-earning assets	98,301.8		991.0		4.04	94,533.4		1,115.8		4.73
Other assets	1,593.3					1,061.1
Total assets	$	99,895.1				$	95,594.5
Liabilities and capital:
Deposits (1)	$	668.9	$	5.9	3.51	$	638.5	$	6.8	4.30
Consolidated obligation discount notes	28,266.2		258.4		3.67	7,271.5		78.1		4.31
Consolidated obligation bonds	63,777.5		578.7		3.64	80,988.5		862.9		4.27
Other borrowings	13.8		0.3		9.68	6.3		0.2		9.21
Total interest-bearing liabilities	92,726.4		843.3		3.65	88,904.8		948.0		4.28
Other liabilities	1,732.9					1,569.9
Total capital	5,435.8					5,119.8
Total liabilities and capital	$	99,895.1				$	95,594.5
Net interest spread					0.39					0.45
Impact of noninterest-bearing funds					0.21					0.26
Net interest income/net interest margin (5)			$	147.7	0.60			$	167.8	0.71

Notes:

(1) Average balances of deposits (assets and liabilities) include cash collateral received from/paid to counterparties which is reflected in the Statements of Condition as derivative assets/liabilities.

(2) Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

(3) Interest on advances includes prepayment fees, net of $0.4 million and $0.0 million in 2026 and 2025, respectively.

(4) Nonaccrual mortgage loans are included in average balances in determining the average rate.

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


	Six months ended June 30,
	2026					2025
(dollars in millions)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance		Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Securities purchased under agreements to resell	$	2,190.7	$	39.8	3.66	$	4,837.8	$	104.1	4.34
Federal funds sold	9,640.6		175.2		3.67	6,838.7		148.6		4.38
Interest-bearing deposits (1)	3,033.1		56.1		3.73	3,467.6		75.6		4.40
Investment securities (2)	19,953.3		435.5		4.40	19,735.3		492.3		5.03
Advances (3)	48,316.6		973.8		4.06	58,628.5		1,399.4		4.81
Mortgage loans held for portfolio (4)	5,335.8		109.5		4.14	4,930.1		93.9		3.84
Total interest-earning assets	88,470.1		1,789.9		4.08	98,438.0		2,313.9		4.74
Other assets	1,317.6					1,154.9
Total assets	$	89,787.7				$	99,592.9
Liabilities and capital:
Deposits (1)	$	666.0	$	11.6	3.50	$	657.6	$	14.1	4.30
Consolidated obligation discount notes	24,755.7		449.9		3.66	8,743.6		187.2		4.32
Consolidated obligation bonds	57,777.2		1,046.9		3.65	83,256.4		1,772.3		4.29
Other borrowings	13.2		0.6		9.53	6.6		0.3		8.93
Total interest-bearing liabilities	83,212.1		1,509.0		3.66	92,664.2		1,973.9		4.30
Other liabilities	1,498.4					1,665.7
Total capital	5,077.2					5,263.0
Total liabilities and capital	$	89,787.7				$	99,592.9
Net interest spread					0.42					0.44
Impact of noninterest-bearing funds					0.22					0.26
Net interest income/net interest margin (5)			$	280.9	0.64			$	340.0	0.70

Notes:

(2) Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost.

(3) Interest on advances includes prepayment fees, net of $1.1 million and $0.8 million in 2026 and 2025, respectively.

(4) Nonaccrual mortgage loans are included in average balances in determining the average rate.

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

The Bank’s business model is intended to protect the net interest spread earned by the Bank and withstand fluctuations in both the level of interest rates and volume of business. Net interest spread decreased in the second quarter of 2026 to 39 basis points compared to 45 basis points over the same prior year period. This was driven by lower yields on advances and investment securities.

Net interest spread in the first six months of 2026 was 42 basis points compared to 44 basis points over the same prior year period.

Net interest margin decreased to 60 basis points for the second quarter of 2026, compared to 71 basis points in the second quarter of 2025. The Bank’s net interest margin decreased by 6 basis points to 64 basis points during the first six months of 2026, compared to 70 basis points during first six months of 2025. The decreases in both periods are due to lower net interest spread and a reduction in earnings on capital from lower short-term interest rates.

Rate/Volume Analysis. Changes in both volume and interest rates influence changes in net interest income and net interest margin. The following table summarizes changes in interest income and interest expense between the three and six months ended June 30, 2026 and 2025.


	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume 2026 compared to 2025
	Three months ended June 30,						Six months ended June 30,
(in millions)	Volume (1) (3)		Rate (2) (3)		Total		Volume (1) (3)		Rate (2) (3)		Total
Securities purchased under agreements to resell	$	(5.4)	$	(4.4)	$	(9.8)	$	(50.0)	$	(14.3)	$	(64.3)
Federal funds sold	15.8		(16.3)		(0.5)		53.7		(27.1)		26.6
Interest-bearing deposits	(1.0)		(5.6)		(6.6)		(8.8)		(10.7)		(19.5)
Investment securities	6.5		(33.0)		(26.5)		5.4		(62.2)		(56.8)
Advances	22.0		(111.3)		(89.3)		(225.8)		(199.8)		(425.6)
Mortgage loans held for portfolio	4.0		3.9		7.9		8.0		7.6		15.6
Total interest-earning assets	$	41.9	$	(166.7)	$	(124.8)	$	(217.5)	$	(306.5)	$	(524.0)

Deposits	$	0.4	$	(1.3)	$	(0.9)	$	0.1	$	(2.6)	$	(2.5)
Consolidated obligation discount notes	193.6		(13.3)		180.3		295.0		(32.3)		262.7
Consolidated obligation bonds	(167.3)		(116.9)		(284.2)		(488.1)		(237.3)		(725.4)
Other borrowings	0.1		—		0.1		0.3		—		0.3
Total interest-bearing liabilities	$	26.8	$	(131.5)	$	(104.7)	$	(192.7)	$	(272.2)	$	(464.9)
Total increase (decrease) in net interest income	$	15.1	$	(35.2)	$	(20.1)	$	(24.8)	$	(34.3)	$	(59.1)

Notes:

(1) Volume changes are calculated as the change in volume multiplied by the prior year rate.

(2) Rate changes are calculated as the change in rate multiplied by the prior year average balance.

(3) Changes that are not identifiable as either volume-related or rate-related, but rather are equally attributable to both volumes and rates, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes.

Interest income decreased in the quarter-over-quarter comparison. The decrease was driven by lower yields due to a decrease in short-term interest rates, partially offset by growth in the Bank’s average assets.

Interest expense decreased in the quarter-over-quarter comparison. The decrease was driven by lower rates paid on consolidated obligations due to decreases in short-term interest rates, partially offset by higher average consolidated obligations.

Interest income decreased in the year-over-year comparison. The decrease was driven by lower yields due to a decrease in short-term interest rates and lower average advances.

Interest expense decreased in the year-over-year comparison. The decrease was driven by lower rates paid on consolidated obligations due to decreases in short-term interest rates and lower average consolidated obligations.

Advance Prepayment Fees. When a borrower elects to prepay an advance, the Bank charges the borrower a prepayment fee, which makes the Bank financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees net of basis adjustments, if applicable, which are primarily related to hedging activities included in the carrying value of the advance, as interest income on advances on the Statements of Income. The following table summarizes the

advance prepayment fees for the three and six months ended June 30, 2026 and 2025.


	Three months ended June 30,				Six months ended June 30,
(in millions)	2026		2025		2026		2025
Gross amount of prepayment fees received from advance borrowers	$	0.3	$	—	$	1.2	$	0.3


Hedging fair value adjustments	0.1		—		(0.1)		0.5

Total advance prepayment fees, net	$	0.4	$	—	$	1.1	$	0.8

Derivative Effects on Net Interest Income. The following tables quantify the effects of the Bank’s derivative activities on net interest income for the three and six months ended June 30, 2026 and 2025. The effect on earnings from derivatives not receiving fair value hedge accounting is included in noninterest income on the Statements of Income.


Three months ended June 30, 2026
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Total
Amortization/accretion of hedging activities	$	—	$	—	$	0.6	$	—	$	—	$	0.6
Gains (losses) on designated fair value hedges	—		0.1		—		(0.3)		(0.8)		(1)
Net interest settlements on designated fair value hedges	6.8		18.5		—		(28.5)		1.8		(1.4)
Other - price alignment amount on cleared derivatives	(0.9)		(2.0)		—		—		—		(2.9)
Total effect on net interest income	$	5.9	$	16.6	$	0.6	$	(28.8)	$	1.0	$	(4.7)

Six months ended June 30, 2026
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Total
Amortization/accretion of hedging activities	$	—	$	—	$	0.9	$	—	$	—	$	0.9
Gains (losses) on designated fair value hedges	—		(0.2)		—		(0.1)		0.3		—
Net interest settlements on designated fair value hedges	14.5		37.8		—		(62.6)		3.2		(7.1)
Other - price alignment amount on cleared derivatives	(1.3)		(3.3)		—		(0.2)		—		(4.8)
Total effect on net interest income	$	13.2	$	34.3	$	0.9	$	(62.9)	$	3.5	$	(11.0)


Three months ended June 30, 2025
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Total
Amortization/accretion of hedging activities	$	0.1	$	—	$	0.1	$	—	$	—	$	0.2
Gains (losses) on designated fair value hedges	—		0.4		—		0.1		0.4		0.9
Net interest settlements on designated fair value hedges	27.0		38.6		—		(55.9)		(0.6)		9.1
Other - price alignment amount on cleared derivatives	(0.8)		(2.7)		—		(0.2)		—		(3.7)
Total effect on net interest income	$	26.3	$	36.3	$	0.1	$	(56.0)	$	(0.2)	$	6.5

Six months ended June 30, 2025
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Total
Amortization/accretion of hedging activities	$	0.2	$	—	$	0.2	$	—	$	—	$	0.4
Gains (losses) on designated fair value hedges	—		0.1		—		0.1		1.2		1.4
Net interest settlements on designated fair value hedges	56.7		77.4		—		(110.1)		(0.2)		23.8
Other - price alignment amount on cleared derivatives	(2.4)		(6.7)		—		(0.3)		—		(9.4)
Total effect on net interest income	$	54.5	$	70.8	$	0.2	$	(110.3)	$	1.0	$	16.2

The Bank’s primary hedging strategy uses derivatives to hedge the fair market value changes attributable to changes in the benchmark interest rates. The purpose of this strategy is to protect the net interest spread against adverse interest rate changes. Using derivatives to convert interest rates from fixed to variable can increase or decrease net interest income. The variances in the derivative impacts from period to period are driven by the change in the average variable rate, the timing of interest rate resets and the average hedged portfolio balances outstanding during any given period.

In addition, the Bank uses many different funding and hedging strategies. These strategies involve closely match-funding bullet advances with bullet debt. This is designed in part to avoid the use of derivatives where prudent and reduce the Bank’s reliance on short-term funding.

Noninterest Income


	Three months ended June 30,				Six months ended June 30,
(in millions)	2026		2025		2026		2025
Net gains (losses) on investment securities	$	(0.5)	$	0.7	$	(1.1)	$	3.1
Net gains (losses) on derivatives	0.9		(7.7)		(6.5)		(19.6)
Standby letters of credit fees	7.5		8.9		15.4		17.6
Other, net	0.2		(0.4)		1.5		0.3
Total noninterest income (loss)	$	8.1	$	1.5	$	9.3	$	1.4

The changes in the Bank’s noninterest income for the three and six months ended June 30, 2026 compared to the same prior year periods were due primarily to valuation changes in the Bank’s economic derivative portfolio.

Derivatives and Economic Hedging Activities. The following tables detail the net effect of economic derivatives on noninterest income for the three and six months ended June 30, 2026 and 2025. For information on derivatives utilizing hedge accounting reported in net interest income, see Derivative Effects on Net Interest Income within Earnings Performance - Net Interest Income in this Item.


	Three months ended June 30, 2026
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	0.6	$	3.4	$	0.5	$	(3.5)	$	—	$	—	$	1.0
Other - price alignment amount on cleared derivatives	—		—		—		—		—		(0.1)		(0.1)
Total net gains (losses) on derivatives	$	0.6	$	3.4	$	0.5	$	(3.5)	$	—	$	(0.1)	$	0.9

	Six months ended June 30, 2026
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	1.5	$	6.6	$	(1.2)	$	(13.4)	$	—	$	—	$	(6.5)
Other - price alignment amount on cleared derivatives	—		—		—		—		—		—		—
Total net gains (losses) on derivatives	$	1.5	$	6.6	$	(1.2)	$	(13.4)	$	—	$	—	$	(6.5)



	Three months ended June 30, 2025
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	—	$	(3.6)	$	(6.2)	$	2.1	$	—	$	—	$	(7.7)
Other - price alignment amount on cleared derivatives	—		—		—		—		—		—		—
Total net gains (losses) on derivatives	$	—	$	(3.6)	$	(6.2)	$	2.1	$	—	$	—	$	(7.7)

	Six months ended June 30, 2025
(in millions)	Advances		Investments		Mortgage Loans		Bonds		Discount Notes		Other		Total
Net gains (losses) on derivatives:
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements	$	(1.4)	$	(10.2)	$	(15.7)	$	7.9	$	—	$	—	$	(19.4)
Other - price alignment amount on cleared derivatives	—		—		—		—		—		(0.2)		(0.2)
Total net gains (losses) on derivatives	$	(1.4)	$	(10.2)	$	(15.7)	$	7.9	$	—	$	(0.2)	$	(19.6)

Derivatives not receiving hedge accounting. For derivatives not receiving hedge accounting (i.e., economic hedges and mortgage delivery commitments), the Bank includes the net interest settlements and the fair value changes in the “Net gains (losses) on derivatives” financial statement line item. For economic hedges, the Bank recorded net gains of $1.0 million in the second quarter of 2026 compared to net losses of $7.7 million for the second quarter of 2025. The net gains observed for the second quarter of 2026 were primarily due to gains on asset swaps, partially offset by losses in liability swaps, resulting from rate increases over the quarter. In contrast, the losses observed in the second quarter of 2025 were primarily due to losses on asset swaps, resulting from rate decreases over the quarter. For the six months ended June 30, 2026, the Bank recorded net losses of $6.5 million compared to net losses of $19.4 million for the six months ended June 30, 2025. Volatile rate movements during the first six months of 2026 (sizable rate decreases occurring early in the year followed by rate increases), resulted in overall net losses in the first six months of 2026 compared to the larger loss amounts observed during the first six months of 2025. The total notional amount of economic hedges, which includes mortgage delivery commitments, was $7.6 billion at June 30, 2026 and $8.6 billion at December 31, 2025.

Other Expense


	Three months ended June 30,				Six months ended June 30,
(in millions)	2026		2025		2026		2025
Compensation and benefits	$	16.0	$	15.6	$	31.2	$	31.9
Other operating	13.0		13.1		23.1		23.4
Finance Agency	1.5		2.5		3.0		5.0
Office of Finance (OF)	1.7		1.4		3.0		3.2
Voluntary contributions	8.9		11.8		14.4		18.8
Total other expense	$	41.1	$	44.4	$	74.7	$	82.3

The Bank’s total other expense decreased $3.3 million for the second quarter of 2026 compared with the same prior year period. The decrease was primarily driven by lower voluntary contributions. Voluntary contributions to community products were $8.9 million, including a supplemental voluntary contribution to AHP of $1.0 million, for the second quarter of 2026, a decrease of $2.9 million compared to $11.8 million in the same prior year period.

The Bank’s total other expense was $74.7 million for the six months ended June 30, 2026, compared to $82.3 million in the same prior year period. The $7.6 million decrease was due primarily to lower assessments from the Finance Agency and the OF as well as lower voluntary contributions. Voluntary contributions to community products were $14.4 million, including a supplemental voluntary contribution to AHP of $1.5 million, for the six months ended June 30, 2026, a decrease of $4.4 million compared to $18.8 million in the same prior year period.

The Bank anticipates making voluntary contributions of at least 5% of the prior year’s pre-assessment net income to voluntary community products, a commitment target of at least $25.8 million.

Financial Condition

The following should be read in conjunction with the Bank’s unaudited interim financial statements in this Form 10-Q and the audited financial statements included in Item 8. Financial Statements and Supplementary Data in the Bank’s 2025 Form 10-K.

Assets

Total assets were $118.5 billion at June 30, 2026, compared with $73.3 billion at December 31, 2025. The increase of $45.2 billion was primarily due to an increase in advances, MBS, and liquidity investments. Advances totaled $77.7 billion at June 30, 2026, compared to $36.8 billion at December 31, 2025. The MBS portfolio increased to $15.6 billion at June 30, 2026 compared to $13.4 billion at December 31, 2025. During the first six months of 2026, the MBS portfolio increased as the Bank used its increased regulatory capacity to invest in MBS as the Bank’s regulatory capital grew during that period. In addition, liquidity investments increased $1.9 billion to $17.9 billion at June 30, 2026 compared to $16.0 billion at December 31, 2025. Liquid assets increased due to routine portfolio management practices.

The Bank’s return on average assets for the three months ended June 30, 2026 and June 30, 2025 was 0.41% and 0.47%, respectively. The Bank’s return on average assets for the six months ended June 30, 2026 and June 30, 2025 was 0.43% and 0.47%, respectively.

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and “MPF 35” are registered trademarks of the FHLBank of Chicago.

Advances. Advances (par) totaled $77.8 billion at June 30, 2026 compared to $36.8 billion at December 31, 2025. Advance demand continues to be driven by members’ liquidity management practices, which are influenced by their loan demand, deposit balances and investment activities. Although advance demand increased, it is not uncommon for the Bank to experience fluctuations in the overall advance portfolio driven by changes in member needs. At June 30, 2026, the Bank had advances to 126 borrowing members, compared to 128 borrowing members at December 31, 2025. Advances outstanding to the Bank’s five largest borrowers totaled 82.1% of total advances as of June 30, 2026, and 70.6% at December 31, 2025. Fixed rate advances with a balance of $23.2 billion comprised 29.9% of the total par value of advances outstanding at June 30, 2026 compared to $21.2 billion comprising 57.6% at December 31, 2025.

The following table provides information on advances at par by redemption terms at June 30, 2026 and December 31, 2025.


	June 30, 2026
(in millions)	Due in 1 year or less (1)		Due after 1 year through 3 years		Due after 3 years through 5 years		Due after 5 years through 15 years		Thereafter		Total par value
Fixed-rate	$	15,756.3	$	6,963.5	$	120.6	$	66.5	$	74.8	$	22,981.7


Variable-rate	34,082.0		19,026.5		5.0		—		—		53,113.5
Variable-rate, callable or prepayable (2)	10.0		355.0		1,080.0		—		—		1,445.0
Other (3)	199.7		39.9		8.8		4.2		—		252.6


Total par balance	$	50,048.0	$	26,384.9	$	1,214.4	$	70.7	$	74.8	$	77,792.8

	December 31, 2025
(in millions)	Due in 1 year or less (1)		Due after 1 year through 3 years		Due after 3 years through 5 years		Due after 5 years through 15 years		Thereafter		Total par value
Fixed-rate	$	13,108.0	$	7,361.8	$	248.7	$	70.0	$	74.8	$	20,863.3


Variable-rate	9,990.9		5,010.0		—		—		—		15,000.9
Variable-rate, callable or prepayable (2)	15.0		595.0		—		—		—		610.0
Other (3)	219.0		128.5		14.6		7.4		—		369.5


Total par balance	$	23,332.9	$	13,095.3	$	263.3	$	77.4	$	74.8	$	36,843.7

Notes:

(1) Includes overnight advances.

(2) Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees.

(3) Includes fixed-rate amortizing/mortgage matched, convertible, and other advances.

The Bank had no putable advances at June 30, 2026 or December 31, 2025.

The following table provides a distribution of the number of members, categorized by individual member asset size (as reported quarterly), that had an outstanding advance balance during the six months ended June 30, 2026 and 2025. Commercial bank and savings institution members are classified by asset size as follows: Super-Regional (over $150 billion), Regional ($25 billion to $150 billion), Mid-size ($1.54 billion to $25 billion) and Community Financial Institutions (CFIs) (under $1.54 billion). Credit union and insurance members are classified separately.


Member Classification	June 30, 2026		June 30, 2025
Super-Regional	3		3
Regional	7		6
Mid-size	28		32
CFI	89		103
Credit Union	23		26
Insurance	15		18
Total borrowing members during the period	165		188
Total membership	277		285
Percentage of members borrowing during the period	59.6	%	66.0	%

The following table provides information at par on advances by member classification at June 30, 2026 and December 31, 2025.


(in millions)	June 30, 2026		December 31, 2025
Member Classification
Super-Regional	$	58,700.0	$	21,350.0
Regional	7,794.6		4,312.8
Mid-size	4,436.6		5,798.4
CFI	2,464.9		2,265.8
Credit Union	1,373.0		1,388.6
Insurance	3,003.0		1,692.8
Non-member	20.7		35.3
Total	$	77,792.8	$	36,843.7

Allowance for Credit Losses (ACL) - Advances. The Bank evaluates its advances for an allowance for credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type. Based on the collateral held as security, the Bank’s credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded an ACL at June 30, 2026 or December 31, 2025.

Mortgage Loans Held for Portfolio, Net. Mortgage loans held for portfolio, net of ACL, was $5.5 billion and $5.2 billion at June 30, 2026 and December 31, 2025, respectively.

The Bank places conventional mortgage loans that are 90 days or more delinquent on nonaccrual status. In addition, the Bank records cash payments received as a reduction of principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by the recording of interest income. However, government mortgage loans that are 90 days or more delinquent remain in accrual status due to government guarantees or insurance. The Bank may provide a loan modification to borrowers experiencing financial difficulty. Performing loan modifications are not placed on nonaccrual status.

Foregone interest represents income the Bank would have recorded if the loan was paying according to its contractual terms. Foregone interest was immaterial for the Bank’s mortgage loans for each of the six months ended June 30, 2026 and June 30, 2025.

The Bank continues to accrue interest on its government-insured or -guaranteed mortgage loans after becoming 90 days or more delinquent. The amount of mortgage loans 90 days or more delinquent and still accruing interest was $1.7 million at both June 30, 2026 and December 31, 2025.

The performance of the mortgage loans in the Bank’s MPF Program remained stable compared to December 31, 2025, and the MPF Original portfolio continues to outperform the market based on national delinquency statistics. As of June 30, 2026, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.2% of the MPF Original portfolio, 0.8% of the MPF Plus portfolio, and 0.5% of the MPF 35 portfolio, compared with 0.2%, 0.9%, and 0.5%, respectively, at December 31, 2025.

The following table presents certain metrics and ratios related to the Bank’s mortgage loans held for portfolio. The ratios in the table below are reported after the application of credit enhancements (CE).


	Six months ended June 30,
(dollars in millions)	2026			2025
Average mortgage loans outstanding during the period (unpaid principal balance (UPB))	$	5,289.3		$	4,881.8
(Charge-offs) Recoveries, net (1)	$	(0.4)		$	(0.2)
Net charge-offs (recoveries) to average loans outstanding during the period	0.01		%	—		%

(dollars in millions)	June 30, 2026			December 31, 2025
Mortgage loans held for portfolio (UPB)	$	5,433.9		$	5,175.2
Nonaccrual loans (UPB)	$	25.7		$	23.8
ACL on mortgage loans held for portfolio	$	2.2		$	2.5
ACL to mortgage loans held for portfolio	0.04		%	0.05		%
Nonaccrual loans to mortgage loans held for portfolio	0.47		%	0.46		%
ACL to nonaccrual loans	8.42		%	10.38		%

Note:

(1) Net charge-offs that the Bank does not expect to recover through withheld performance CE fees. See Note 4 – Mortgage Loans Held for Portfolio – Conventional MPF Loans – Credit Enhancements (CE).

Cash and Investments. The Bank’s strategy is to maintain its short-term liquidity position in part to be able to meet members’ advance demand and Bank regulatory liquidity requirements. Excess cash is typically invested in overnight investments. The Bank also maintains an investment portfolio to enhance earnings. These investments may be classified as trading, AFS or HTM.

The Bank maintains a liquidity portfolio comprised of cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or AFS. The liquidity portfolio totaled $17.9 billion at June 30, 2026 and $16.0 billion at December 31, 2025. Liquid assets increased due to routine portfolio management practices.

The Bank’s investment portfolio, excluding those investments included in the liquidity portfolio, is comprised of trading, AFS and HTM investments. The investments are subject to the Bank’s risk guidelines and certain other requirements, such as yield. The Bank’s investment portfolio increased to $16.6 billion at June 30, 2026 compared to $14.5 billion at December 31, 2025. The MBS portfolio increased to $15.6 billion at June 30, 2026 compared to $13.4 billion at December 31, 2025. During the first six months of 2026, the MBS portfolio increased as the Bank gained MBS capacity due to growth in advance balances.

Investment securities, defined as all trading, AFS, and HTM securities, totaled $21.7 billion at June 30, 2026, compared to $19.5 billion at December 31, 2025. Details of the investment securities portfolio follow.


	Carrying Value
(in millions)	June 30, 2026			December 31, 2025
Trading securities:
Non-MBS:

GSE	$	113.6		$	119.7
Total trading securities	$	113.6		$	119.7
Yield on trading securities	3.11		%	3.13		%
AFS securities:
Non-MBS:
U.S. Treasury obligations	$	5,105.5		$	4,912.3
GSE and Tennessee Valley Authority (TVA) obligations	775.6			834.1
State or local agency obligations	175.9			174.8
MBS:
U.S. obligations single-family	1,447.4			1,303.9
GSE single-family	5,852.6			4,547.8
GSE multifamily	7,143.4			6,314.3
Private label	95.6			102.1
Total AFS securities	$	20,596.0		$	18,189.3
Yield on AFS securities (1) (2)	3.88		%	3.94		%
HTM securities:


MBS:
U.S. obligations single-family	$	389.7		$	470.2
GSE single-family	358.9			405.2
GSE multifamily	238.1			238.8
Private label	27.0			29.5
Total HTM securities	$	1,013.7		$	1,143.7
Yield on HTM securities (1) (2)	4.10		%	4.23		%
Total investment securities	$	21,723.3		$	19,452.7
Yield on investment securities (1) (2)	3.89		%	3.95		%

Notes:

(1) Yield excludes the impact of derivatives in a hedging relationship.

(2) The yields on AFS and HTM securities represent weighted averages of the coupon rates adjusted by the impact of amortization and accretion of premiums and discounts for the debt securities in the applicable portfolio.

Liabilities and Capital

Consolidated Obligations. Consolidated obligations consist of bonds and discount notes. The Bank’s consolidated obligations totaled $110.8 billion at June 30, 2026, an increase of $43.3 billion from December 31, 2025. The overall increase in consolidated obligations outstanding is consistent with the increase in advance balances. At June 30, 2026, the Bank’s bonds outstanding increased to $81.4 billion compared to $50.8 billion at December 31, 2025. Discount notes outstanding at June 30, 2026 increased to $29.4 billion from $16.7 billion at December 31, 2025. The Bank’s funding mix shifted towards floating rate bonds as investor preferences evolved.

The following table provides information on consolidated obligations by product type and contractual maturity at June 30, 2026 and December 31, 2025.


	June 30, 2026
(in millions)	Due in 1 year or less		Due after 1 year through 3 years		Due after 3 years through 5 years		Thereafter		Total par value
Discount Notes	$	29,777.8	$	—	$	—	$	—	$	29,777.8
Fixed-rate, non-callable	7,274.2		2,526.2		929.5		619.0		11,348.9
Fixed-rate, callable	9,699.0		2,341.0		1,825.5		2,628.0		16,493.5
Variable- rate, non-callable	42,211.5		5,800.0		50.0		—		48,061.5
Variable- rate, callable	4,700.0		—		—		—		4,700.0
Step-up, non-callable	560.0		50.0		—		—		610.0
Step-up, callable	50.0		20.0		75.0		60.0		205.0
Total par balance	$	94,272.5	$	10,737.2	$	2,880.0	$	3,307.0	$	111,196.7
Other Adjustments (1)									$	(418.4)
Total consolidated obligations									$	110,778.3


	December 31, 2025
(in millions)	Due in 1 year or less		Due after 1 year through 3 years		Due after 3 years through 5 years		Thereafter		Total par value
Discount Notes	$	16,813.6	$	—	$	—	$	—	$	16,813.6
Fixed-rate, non-callable	4,374.0		2,813.6		943.7		663.0		8,794.3
Fixed-rate, callable	12,379.5		2,894.0		1,614.0		2,530.0		19,417.5
Variable- rate, non-callable	17,075.5		315.0		—		—		17,390.5
Variable- rate, callable	4,210.0		—		—		—		4,210.0
Step-up, non-callable	520.0		80.0		—		—		600.0
Step-up, callable	345.0		—		20.0		110.0		475.0
Total par balance	$	55,717.6	$	6,102.6	$	2,577.7	$	3,303.0	$	67,700.9
Other Adjustments (1)									$	(208.6)
Total consolidated obligations									$	67,492.3

Note:

(1) Consists of premiums, discounts, and hedging and other adjustments.

Capital and Retained Earnings. The Bank’s return on average equity for the three and six months ended June 30, 2026 was 7.46% and 7.57%. The Bank’s return on average equity for the three and six months ended June 30, 2025 was 8.75% and 8.88%. Capital adequacy, including the level of retained earnings, is monitored through the evaluation of market value of equity to par value of capital stock (MV/CS) as well as other risk metrics. Details regarding these metrics are discussed under Risk Management in this Item.

The Bank’s capital stock is owned by its members and former members. The concentration of the Bank’s capital stock by institution type is presented below.


(dollars in millions)	June 30, 2026			December 31, 2025
Commercial banks	111	$	3,461.6	114	$	1,931.7
Savings institutions	45	152.7		46	138.0
Insurance companies	48	195.8		48	131.1
Credit unions	70	92.6		71	91.1
Community Development Financial Institutions	3	0.4		3	0.3
Total member institutions / total GAAP capital stock	277	$	3,903.1	282	$	2,292.2
Mandatorily redeemable capital stock		13.4			12.3
Total capital stock		$	3,916.5		$	2,304.5

The following tables present member holdings of 10% or more of the Bank’s total capital stock, including mandatorily redeemable capital stock, outstanding as of June 30, 2026 and December 31, 2025.


(dollars in millions)	June 30, 2026				(dollars in millions)	December 31, 2025
Member	Capital Stock		% of Total		Member	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE (1)	$	1,587.7	40.5	%	PNC Bank, N.A., Wilmington, DE (1)	$	547.9	23.8	%
TD Bank U.S. Holding Company(2)	$	551.6	14.1	%	Ally Bank	$	359.0	15.6	%
Ally Bank	$	393.0	10.0	%

Notes:

(1) For Bank membership purposes, the principal place of business is Pittsburgh, PA.

(2) Member affiliates aggregated at the U.S. holding company level.

The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of its retained earnings.

The Bank uses a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members’ par value of capital stock. The framework also assists management in its overall analysis of the level of future dividends. The framework includes four risk elements that comprise the Bank’s total retained earnings target: (1) market risk; (2) credit risk; (3) operational risk; and (4) accounting risk. The retained earnings target generated from this framework is sensitive to changes in the Bank’s risk profile, whether favorable or unfavorable. The framework generated a retained earnings target of $911 million as of June 30, 2026.

In addition to the retained earnings target, the Bank considers the amount of retained earnings needed for compliance with the regulatory minimum capital-to-asset ratio of 4% to determine an overall retained earnings need. The Bank’s overall retained earnings need is $1,902 million as of June 30, 2026.

The following table presents retained earnings information for the current and prior year.


(in millions)	June 30, 2026		December 31, 2025
Unrestricted Retained Earnings	$	1,530.9	$	1,462.3
Restricted Retained Earnings	803.8		783.4
Total Retained Earnings	$	2,334.7	$	2,245.7

The Bank’s restricted retained earnings contribution requirement is discussed in Note 7 - Capital in this Form 10-Q.

Retained earnings increased $89.0 million compared to December 31, 2025. The increase reflected net income that was partially offset by dividends paid. For additional information, see Note 7 in this Form 10-Q.

Dividends. The Bank declares dividends based on an annualized yield and differentiates between membership and activity capital stock. The dividend received by the member is calculated based on the average capital stock owned by the member for the previous quarter. Historically, the Bank has paid cash dividends although dividends may be paid in capital stock. Details regarding the Bank’s payment of dividends, including annual yields, for current and prior year periods are provided in Note 7 - Capital in this Form 10-Q. The following table presents dividend information for the three and six months ended June 30, 2026 and 2025.


	Three months ended June 30,						Six months ended June 30,
	2026			2025			2026			2025
Dividends (in millions)	$	52.0		$	69.3		$	102.7		$	149.8
Dividends per share	$	1.68		$	2.29		$	3.74		$	4.75
Dividend payout ratio (1)	50.87		%	61.98		%	53.54		%	64.61		%
Weighted average dividend rate (2)	8.84		%	8.55		%	8.83		%	8.62		%
Average Fed Funds rate	3.63		%	4.33		%	3.64		%	4.33		%
Dividend spread to Fed Funds	5.21		%	4.22		%	5.19		%	4.29		%

Notes:

(1) Represents dividends paid as a percentage of net income for the respective periods presented.

(2) Weighted average dividend rate is the dividend amount paid during the period divided by the average daily balance of prior period capital stock for the eligible dividends.

Capital Resources

The following should be read in conjunction with the unaudited interim financial statements included in this Form 10-Q and the audited financial statements included in Item 8. Financial Statements and Supplementary Data and the Capital Resources section of Item 1. Business in the Bank’s 2025 Form 10-K.

Risk-Based Capital (RBC)

The Finance Agency’s RBC regulatory framework requires the Bank to maintain sufficient permanent capital, defined as retained earnings plus capital stock, to meet its combined credit risk, market risk and operations risk. Each of these components is computed as specified in regulations and directives issued by the Finance Agency.


(in millions)	June 30, 2026		December 31, 2025
Permanent capital:
Capital stock (1)	$	3,916.5	$	2,304.5
Retained earnings	2,334.7		2,245.7
Total permanent capital	$	6,251.2	$	4,550.2

RBC requirement:
Credit risk capital	$	236.3	$	199.9
Market risk capital	529.5		459.6
Operations risk capital	229.8		197.9
Total RBC requirement	$	995.6	$	857.4
Excess permanent capital over RBC requirement	$	5,255.6	$	3,692.8

Note:

(1) Capital stock includes mandatorily redeemable capital stock.

The increase in the total RBC requirement as of June 30, 2026 was primarily due to higher credit, market, and operations risk capital requirements. The increase was primarily driven by growth in advance balances and the MBS portfolio during the first six months of 2026. The Bank continues to maintain significant excess permanent capital over the RBC requirement. The increase in permanent capital and excess permanent capital was driven by the increase in capital stock associated with higher advance levels.

Based on the financial information as of March 31, 2026, the Finance Agency determined the Bank was adequately capitalized under the capital rule.

Critical Accounting Estimates

The Bank’s financial statements are prepared by applying certain accounting policies. Note 1 - Summary of Significant Accounting Policies in Item 8. Financial Statements and Supplementary Data in the Bank’s 2025 Form 10-K describes the most significant accounting policies used by the Bank. In addition, the Bank’s critical accounting estimates are presented in Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations in the Bank’s 2025 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank’s reported results and financial position for the period or in future periods. Management views these policies as critical accounting estimates.

The Bank made no changes to its critical accounting estimates during the six months ended June 30, 2026.

See Note 1 - Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations in this Form 10-Q for information on new accounting pronouncements impacting the financial statements or becoming effective for the Bank in future periods.

Legislative and Regulatory Developments

Certain significant legislative and regulatory actions and developments are summarized below. See Management’s Discussion and Analysis of Financial Condition and Results of Operations – Legislative and Regulatory Developments in the Bank’s 2025 Form 10-K and in the Bank’s quarterly report on Form 10-Q for the period ended March 31, 2026 filed with the SEC on May 5, 2026 for a description of certain legislative and regulatory developments that occurred prior to the publication of those reports.

The Bank is subject to various legal and regulatory requirements and priorities. Certain actions, regulatory priorities, and areas of focus, such as deregulation, by the current administration have changed and continue to change the regulatory environment. These changes have affected, and likely will continue to affect, certain aspects of the Bank’s business operations, and could affect the financial condition and results of operations of the Bank. For example, the Finance Agency rescinded guidance related to establishing the Bank’s target ratio of advances and mortgage assets compared to its consolidated obligations, providing the Bank more discretion for developing its strategic business plan with respect to core mission assets. Additionally, the Finance Agency proposed to repeal the new business activity rule, which currently requires the Finance Agency’s nonobjection before the Bank undertakes certain new business activities.

Prudential Banking Regulators’ Proposed Capital Rules. On March 27, 2026, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency and the Board of Governors of the Federal Reserve System published two joint notices of proposed rulemakings, and the Board of Governors of the Federal Reserve System separately published a third proposed rulemaking applicable only to global systemically important banking organizations (“GSIBs”), that would revise the regulatory capital requirements for certain depository and banking institutions, generally consistent with the final global recommendations by the Basel Committee on Banking Supervision adopted in December 2017, known as the “Basel III Endgame”. Among other changes, the proposed rules revise risk-based capital calculations, reducing capital requirements for certain mortgage assets (including relating to those acquired member asset loans sold to the FHLBanks), and collateral eligible to be pledged as security for FHLBank advances. Conversely, the proposed rules would modify the standardized approach for risk-based capital treatment with respect to collateralized transactions by modifying the market price volatility haircuts assigned to collateral in such transactions, including by reducing haircuts to certain forms of collateral relative to GSE debt (including FHLBank debt securities), which may adversely affect market liquidity and demand for FHLBank debt securities and result in increased funding costs for the Bank. Finally, the proposed rules would revise the capital surcharge calculation for GSIBs and make material changes to the GSIB short-term wholesale funding reliance methodology, which may increase the capital surcharge attributable to a GSIB’s use of Bank advances and may disincentivize a GSIB’s use of Bank advances. The Bank continues to evaluate the potential impact of these proposed rules on its financial condition and results of operation.

21st Century ROAD to Housing Act. On July 11, 2026, the 21st Century ROAD to Housing Act (the “Act”) became law. The Act contains a series of reforms designed to impact affordable housing which include a statutory prohibition barring large institutional investors from purchasing single-family homes, subject to certain specific exceptions, allowing community banks with under $10 billion in assets to exempt custodial deposits of up to 20 percent of total liabilities from brokered deposits regulations, and exempting a higher portion of reciprocal deposits of such community banks from the brokered deposit classification. The Bank is reviewing how the various reforms brought by the Act could impact collateral held by large institutional investors that is eligible to be pledged to the Bank, demand for and use of Bank advances due to more relaxed regulation around brokered deposits, and the Bank’s business, operations and financial condition overall.

Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate result of future regulatory actions and their ultimate impact on the housing market, the Bank and the FHLBank System. The Bank continues to monitor these actions as they evolve and to evaluate their potential impact on the Bank. For a discussion of related risks, please refer to Part I, Item 1A. Risk Factors starting on page 14 in the 2025 Form 10-K.

Risk Management

The following should be read in conjunction with the Risk Factors in Item 1A and the Risk Governance discussion in Risk Management in Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations, each in the Bank’s 2025 Form 10-K. The Bank employs a corporate governance and internal control framework intended to support the effective management of the Bank’s business activities and the related inherent risks. As part of this framework, the Bank’s board of directors (Board) has approved a Risk Governance Policy and a Member Products Policy, both of which are reviewed regularly and re-approved at least annually. The Risk Governance Policy establishes risk guidelines, limits (if applicable), and standards for credit risk, market risk, liquidity risk, business risk and various forms of operational and technology risk, in accordance with Finance Agency regulations and consistent with the Bank’s risk appetite. The Member Products Policy establishes the eligibility and authorization requirements, policy limits and restrictions, and the terms applicable to each type of Bank product or service, as well as collateral requirements. The risk appetite is established by the Board, as are other applicable guidelines in connection with the Bank’s Capital Plan and overall risk management.

Risk Governance

The Bank’s lending, investment and funding and hedging activities expose the Bank to a number of risks that include market and interest rate risk, credit and counterparty risk, liquidity and funding risk, and operational and business risks. These include risks such as use and reliance on models and end-user computing tools, technology and information security risk, among others. In addition, the Bank’s risks are affected by current and projected financial and residential mortgage market trends.

Capital Adequacy Measures. The MV/CS ratio provides a current assessment of the liquidation value of the balance sheet and measures the Bank’s current ability to honor the par put redemption feature of its capital stock. This is one of the risk metrics used to evaluate the adequacy of retained earnings, which is used to develop dividend payment recommendations and support the repurchase of excess capital stock.

The current Board-approved floor for the MV/CS ratio is 90.0%. The MV/CS ratio is measured against the floor monthly. When the MV/CS ratio is below the established floor, excess capital stock repurchases and dividend payouts are restricted. See the Capital and Retained Earnings discussion in Financial Condition in this Item 2 for details regarding the Bank’s retained earnings policy.

The MV/CS ratio was 160.0% at June 30, 2026 and 198.7% at December 31, 2025. The decrease was primarily due to an increase in capital stock outstanding resulting from increases in advance balances.

Qualitative and Quantitative Disclosures Regarding Market Risk

Managing Market Risk. The Bank’s market risk management objective is to protect member/shareholder and bondholder value consistent with the Bank’s housing mission and safe and sound operations across a wide range of interest rate environments. Management believes that a disciplined approach to market risk management is essential to maintaining a strong capital base and uninterrupted access to the capital markets.

The Bank’s Market Risk Model. Significant resources are devoted to ensuring that the level of market risk in the balance sheet is accurately measured, thus allowing management to monitor the risk against policy and regulatory limits. The Bank uses externally developed models to evaluate its financial position and market risk. One of the most critical market-based models relates to the prepayment of principal on mortgage-related instruments. Management regularly reviews the major assumptions and methodologies used in its models, as well as the performance of the models relative to empirical results, so that appropriate changes to the models can be made. Economic conditions, such as market liquidity and Federal Reserve actions to adjust short-term interest rates, may impact the performance of the Bank’s models used to measure market risk. Management considers the impact of current economic conditions on key market risk measures and makes changes as deemed appropriate.

The Bank regularly validates the models used to measure market risk. Such model validations are performed by the Bank’s model risk management department, which is separate from the model owner. The model validations are supplemented by performance monitoring by the model owner which is reported to the Bank’s model risk management department. In addition, the Bank benchmarks model-derived fair values to those provided by third-party services or alternative internal valuation models. The benchmarking analysis is performed by a group that is separate from the model owner. Results of the model

validations and benchmarking analysis, as well as changes to the valuation methodologies and inputs, are reported to the Bank’s Asset and Liability Committee (ALCO) (or subcommittee of), which is responsible for overseeing market risk.

Duration of Equity. One key risk metric used by the Bank is duration. Duration is a measure of the sensitivity of a financial instrument’s value, or the value of a portfolio of instruments, to a 100 basis point parallel shift in interest rates. Duration (typically expressed in years) is commonly used by investors throughout the fixed income securities market as a measure of financial instrument price sensitivity.

The Bank’s asset/liability management policy approved by the Board calls for actual duration of equity to be maintained within a + 4.5 year range in the base case. In addition, the duration of equity exposure limit in an instantaneous parallel interest rate shock of + 200 basis points is + 7 years. Management analyzes the duration of equity exposure against this policy limit on a daily basis and regularly evaluates its market risk management strategies.

The following table presents the Bank’s duration of equity exposure at June 30, 2026 and December 31, 2025.



(in years)	Down 200 basis points	Down 100 basis points	Base Case	Up 100 basis points	Up 200 basis points
Duration of Equity:
June 30, 2026	0.4	1.0	1.4	2.0	2.7
December 31, 2025	0.3	1.1	1.7	2.1	2.7

The change in the base case duration of equity exposure in the first six months of 2026 was primarily driven by higher equity due to activity-based stock investments in connection with increases in advance balances. Exposure in the other scenarios was comparable to year end. The Bank regularly monitors the mortgage and related fixed-income markets, including the impact that changes in the market or anticipated modeling changes may have on duration of equity and other market risk measures and may take actions to reduce market risk exposures as needed.

Return on Equity (ROE) Spread Volatility. Interest rate risk is also measured based on the volatility in the Bank’s projected return on capital in excess of the return of an established benchmark market index. ROE spread is defined as the Bank’s return on average equity, including capital stock and retained earnings, in excess of the average of the projected Federal funds rate.

ROE spread volatility is a measure of the variability of the Bank’s projected ROE spread in response to shifts in interest rates and represents the change in ROE spread compared to an ROE spread that is generated by the Bank in its base forecasting scenario. ROE spread volatility is measured over a rolling forward 12 month period for selected interest rate scenarios and excludes the income sensitivity resulting from mark-to-market changes, which are separately described below.

Management uses both parallel and non-parallel rate scenarios to assess interest rate risk. The steeper and flatter yield curve shift scenarios are represented by appropriate increases and decreases in short-term and long-term interest rates using the three-year point on the yield curve as the pivot point.


ROE Spread Volatility Increase/(Decline)
(in basis points)	Down 200 bps Parallel Shock	Down 100 bps Longer Term Rate Shock	100 bps Steeper	100 bps Flatter	Up 200 bps Parallel Shock
June 30, 2026	42	(10)	20	(15)	(30)
December 31, 2025	47	2	48	(3)	(12)

The changes in ROE spread volatility at June 30, 2026 as compared with December 31, 2025 mostly reflect the impact of higher expected long-term interest rates. For each scenario, the Board’s limit on the decline in ROE spread is set at no greater than 100 basis points. The Bank was in compliance with the ROE spread volatility limit across all selected interest rate shock scenarios at June 30, 2026 and December 31, 2025.

Mark-to-Market Risk. The Bank measures earnings risk associated with certain mark-to-market positions, including economic hedges. This framework measures forward-looking, scenario-based exposure based on interest rate and volatility shocks that are applied to any existing transaction that is marked to market through the income statement without an offsetting mark arising from a qualifying hedging relationship. In addition, the Bank’s Capital Markets and Corporate Risk Management

departments monitor the actual profit/loss change on a daily, monthly cumulative, and quarterly cumulative basis. The Bank’s ALCO monitors mark-to-market risk through a daily exposure guideline and quarterly profit/loss reporting trigger.

Credit and Counterparty Risk - Total Credit Exposure (TCE) and Collateral

TCE. The Bank manages the credit risk of each member on the basis of the member’s TCE to the Bank, which includes advances and related accrued interest, fees, basis adjustments and estimated prepayment fees; letters of credit; forward-dated advance commitments; and MPF CE and related obligations. This credit risk is managed by monitoring the financial condition of borrowers and by requiring all borrowers (and, where applicable in connection with member affiliate pledge arrangements approved by the Bank, their affiliates) to pledge sufficient eligible collateral for all borrower obligations to the Bank as the Bank seeks to cover all potential forms of credit-related exposure with sufficient eligible collateral. At June 30, 2026, aggregate TCE was $105.9 billion, comprised of approximately $77.8 billion in advance principal outstanding, $27.6 billion in letters of credit (including forward commitments), and $0.5 billion in accrued interest, prepayment fees, MPF CE obligations and other fees.

Management believes that it has adequate policies and procedures in place to effectively manage credit risk exposure related to member TCE. There have been no significant changes to the Bank’s credit monitoring and collateral practices from those described in the Bank’s 2025 Form 10-K.

At June 30, 2026 and December 31, 2025, on a borrower-by-borrower basis, the Bank had a perfected security interest in eligible collateral with an estimated collateral value (after collateral weightings) in excess of the book value of all members’ and nonmember housing associates’ obligations to the Bank. The Bank has never experienced a loss on its advances.

The following table presents the Bank’s top five financial entities by their TCE at June 30, 2026.


	June 30, 2026
(dollars in millions)	TCE		% of Total
PNC Bank, National Association, DE (1)	$	39,483.1	37.3	%
TD Bank U.S. Holding Company (2)	26,488.9		25.0
Ally Bank, UT (3)	9,224.6		8.7
Fulton Bank, N.A.	4,248.2		4.0
Customers Bank	3,984.0		3.8
	$	83,428.8	78.8	%
Other financial institutions	22,456.6		21.2
Total TCE outstanding	$	105,885.4	100.0	%

Notes:

(1) For Bank membership purposes, principal place of business is Pittsburgh, PA.

(2) Member affiliates aggregated at the U.S. holding company level.

(3) For Bank membership purposes, principal place of business is Horsham, PA.

Advance Concentration Risk. The following table lists the Bank’s top five borrowers based on advances at par as of June 30, 2026.


	June 30, 2026
(dollars in millions)	Advance Balance		% of Total
PNC Bank, National Association, DE (1)	$	39,000.0	50.1	%
TD Bank U.S. Holding Company (3)	10,500.0		13.5
Ally Bank, UT (2)	9,200.0		11.8
First National Bank of Pennsylvania	3,100.0		4.0
Customers Bank	2,060.0		2.7
	$	63,860.0	82.1	%
Other borrowers	13,932.8		17.9
Total advances	$	77,792.8	100.0	%

Notes:

(1) For Bank membership purposes, principal place of business is Pittsburgh, PA.

(2) For Bank membership purposes, principal place of business is Horsham, PA.

(3 )Member affiliates aggregated at the U.S. holding company level.

Letters of Credit. The letter of credit product is collateralized under the same policies, procedures and guidelines that apply to advances. Outstanding letters of credit totaled $24.8 billion at June 30, 2026 and $27.5 billion at December 31, 2025, primarily related to public unit deposits. Not included in these totals are additional authorized but unused standby letters of credit of $2.8 billion at June 30, 2026 and $2.3 billion at December 31, 2025. The Bank had a concentration of letters of credit with two members, TD Bank N.A. of $14.2 billion or 57.4% and Fulton Bank of $3.1 billion or 12.4% of the total at June 30, 2026, and two members, TD Bank N.A. of $15.8 billion or 57.4% and Fulton Bank of $3.4 billion or 12.4% of the total at December 31, 2025.

Collateral Policies and Practices. Members are required to maintain eligible collateral to secure their TCE in accordance with the Member Products Policy.

Collateral Agreements and Valuation. The Bank provides members with two types of collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement.

For member borrowers, the following table presents information on a combined basis regarding the type of collateral securing their outstanding credit exposure and the collateral status as of June 30, 2026.


	June 30, 2026
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single-family residential mortgage loans	$	109,839.8	40.8	%	$	969.6	7.7	%	$	6.6	4.2	%	$	110,816.0	39.3	%
High quality investment securities	35,548.3		13.2		7,505.9		59.6		152.5		95.7		43,206.7		15.3
Other real estate-related collateral (ORERC)/CFI eligible collateral	96,956.0		36.0		2,044.1		16.2		0.2		0.1		99,000.3		35.1
Multi-family residential mortgage loans	26,983.4		10.0		2,081.5		16.5		—		—		29,064.9		10.3
Total eligible collateral value	$	269,327.5	100.0	%	$	12,601.1	100.0	%	$	159.3	100.0	%	$	282,087.9	100.0	%
Total TCE	$	98,742.5	93.2	%	$	7,062.9	6.7	%	$	80.0	0.1	%	$	105,885.4	100.0	%
Number of members	145		85.8	%	18		10.7	%	6		3.5	%	169		100.0	%

Credit and Counterparty Risk - Investments

The Bank is also subject to credit risk on investments consisting of money market investments and investment securities. The Bank considers a variety of credit quality factors when analyzing potential investments, including collateral performance, marketability, asset class or sector considerations, local and regional economic conditions, nationally recognized statistical organization (NRSRO) credit ratings and/or the financial health of the underlying issuer.

Investment Quality and External Credit Ratings. The following table presents the Bank’s investment carrying values as of June 30, 2026 based on the lowest credit rating from the NRSROs (Moody’s, S&P and Fitch).


	June 30, 2026 (1)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below Investment Grade		Unrated		Total
Money market investments:
Interest-bearing deposits	$	—	$	788.1	$	2,670.1	$	—	$	—	$	—	$	3,458.2
Securities purchased under agreements to resell	—		—		2,200.0		—		—		—		2,200.0
Federal funds sold	—		5,547.0		1,550.0		—		—		—		7,097.0
Total money market investments	—		6,335.1		6,420.1		—		—		—		12,755.2
Investment securities:
U.S. Treasury obligations	—		5,105.5		—		—		—		—		5,105.5

GSE and TVA obligations	—		889.1		—		—		—		—		889.1
State or local agency obligations	12.5		163.4		—		—		—		—		175.9

Total non-MBS	12.5		6,158.0		—		—		—		—		6,170.5
U.S. obligations single-family MBS	—		1,837.1		—		—		—		—		1,837.1
GSE single-family MBS	—		6,211.5		—		—		—		—		6,211.5
GSE multifamily MBS	—		7,381.5		—		—		—		—		7,381.5
Private label MBS	3.1		2.3		4.5		0.4		26.6		85.7		122.6
Total MBS	3.1		15,432.4		4.5		0.4		26.6		85.7		15,552.7
Total investments	$	15.6	$	27,925.5	$	6,424.6	$	0.4	$	26.6	$	85.7	$	34,478.4

Note:

(1) Balances exclude $5.4 million of interest-bearing deposits with FHLBank of Chicago at June 30, 2026 and total accrued interest of $80.7 million at June 30, 2026.

The Bank also manages its investments’ credit risks based on an internal credit rating system. For purposes of determining the internal credit rating, the Bank measures credit exposure through a process which includes internal credit review and various external factors, including NRSRO analysis. The Bank does not rely solely on any NRSRO rating in deriving its final internal credit rating.

Short-term Investments. Within the portfolio of short-term investments, the Bank faces credit risk from unsecured exposures. The Bank’s unsecured investments have maturities generally ranging between overnight and six months.

Under the Bank’s Risk Governance Policy, the Bank can place money market investments on an unsecured basis with large financial institutions with long-term credit ratings no lower than BBB. Management actively monitors the credit quality of these counterparties. The Bank also invests in securities purchased under agreements to resell which are secured investments.

As of June 30, 2026, the Bank had unsecured exposure to nineteen counterparties totaling $10.6 billion, with one counterparty exceeding 10% of the total exposure. The following table presents the Bank’s unsecured credit exposure with non-governmental counterparties by investment type at June 30, 2026. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.



(in millions)
Carrying Value	June 30, 2026
Interest-bearing deposits (1)	$	3,458.2

Federal funds sold	7,097.0
Total	$	10,555.2

Note:

(1) Excludes $5.4 million of Interest-bearing deposits with FHLBank of Chicago at June 30, 2026.

As of June 30, 2026, 60.0% of the Bank’s unsecured investment credit exposures were to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current

market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing counterparties.

Finance Agency regulations include limits on the amount of unsecured credit the Bank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty’s overall internal credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of the Bank’s total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. This percentage is 1% to 15% and is based on the counterparty’s internal credit rating. The calculation of term extensions of unsecured credit includes on-balance sheet transactions, off-balance sheet commitments, and derivative transactions.

Finance Agency regulation also permits the Bank to extend additional unsecured credit for overnight transactions and for sales of Federal funds subject to continuing contracts that renew automatically. For overnight exposures only, the Bank’s total unsecured exposure to a counterparty may not exceed twice the applicable regulatory limit, or a total of 2% to 30% of the eligible amount of regulatory capital, based on the counterparty’s internal credit rating. As of June 30, 2026, the Bank was in compliance with the regulatory limits established for unsecured credit.

The Bank’s unsecured credit exposures to U.S. branches and agency offices of foreign commercial banks include the risk that, as a result of political or economic conditions in a country, the counterparty may be unable to meet their contractual repayment obligations. The Bank’s unsecured credit exposures to domestic counterparties and U.S. subsidiaries of foreign commercial banks include the risk that these counterparties have extended credit to foreign counterparties.

The following table presents the long-term credit ratings of the unsecured investment credit exposures by the domicile of the counterparty or the domicile of the counterparty’s immediate parent for U.S. subsidiaries or branches and agency offices of foreign commercial banks based on the NRSROs used. This table does not reflect the foreign sovereign government’s credit rating.


(in millions)
June 30, 2026 (1) (2)
	Carrying Value
Domicile of Counterparty	Investment Grade (3) (4)
	AA		A		Total
Domestic	$	1,270.1	$	2,920.1	$	4,190.2
U.S. branches and agency offices of foreign commercial banks:
Australia	725.0		—		725.0

Canada	900.0		700.0		1,600.0
Finland	165.0		—		165.0

Germany	300.0		250.0		550.0
Netherlands	—		350.0		350.0
Norway	500.0		—		500.0
Sweden	2,475.0		—		2,475.0

Total U.S. branches and agency offices of foreign commercial banks	$	5,065.0	$	1,300.0	$	6,365.0
Total unsecured investment credit exposure	$	6,335.1	$	4,220.1	$	10,555.2

Notes:

(1) Ratings are as of the respective dates.

(2) These ratings represent the lowest rating available for each security owned by the Bank based on the NRSROs used by the Bank. The Bank’s internal ratings may differ from those obtained from the NRSROs.

(3) Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

(4) Represents the NRSRO rating of the counterparty not the country. There were no AAA or BBB rated investments at June 30, 2026.

Credit and Counterparty Risk - Mortgage Loans and Derivatives

Mortgage Loans. The Finance Agency has authorized the Bank to hold mortgage loans under the MPF Program whereby the Bank acquires mortgage loans from participating members in a shared credit risk structure. Conventional mortgage loans carry CE requirements such that the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions. Loans are assessed by a third-party credit model at acquisition, and a CE requirement is calculated based on loan attributes and the Bank’s risk tolerance with respect to its MPF portfolio. The Bank had net mortgage loans held for portfolio of $5.5 billion at June 30, 2026 and $5.2 billion at December 31, 2025, after an allowance for credit losses of $2.2 million at June 30, 2026 and $2.5 million at December 31, 2025.

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to ten mortgage insurance companies which provide primary mortgage insurance (PMI) and/or supplemental mortgage insurance (SMI) for the Bank’s various products. To be active, the mortgage insurance company must be approved as a qualified insurer in accordance with Finance Agency regulations. At least every two years, the Bank reviews the qualified insurers to determine if they continue to meet the financial and operational standards set by the Bank.

When a conventional mortgage loan requires PMI, the MPF Program modeling applied to the Bank’s acquisitions requires additional CE from the Participating Financial Institution (PFI) to compensate for the mortgage insurer rating when it is below BBB+. The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of June 30, 2026 was $13.1 million and $3.9 million, respectively. The corresponding amounts at December 31, 2025 were $10.8 million and $3.0 million.

The MPF Plus product required SMI under the MPF Program when each pool was established. At June 30, 2026, 5 of the 14 MPF Plus pools still have SMI policies in place. The Bank does not currently offer the MPF Plus product and has not purchased loans under MPF Plus Commitments since July 2006. Per MPF Program guidelines, the existing MPF Plus product exposure is required to be secured by the PFI once the SMI company is rated below AA-. As of June 30, 2026, all of the SMI exposure is fully collateralized.

Derivative Counterparties. The Bank does not anticipate credit losses on its uncleared or cleared derivatives as of June 30, 2026.

Liquidity and Funding Risk

As a wholesale bank, the Bank employs financial strategies which enable it to expand and contract its assets, liabilities and capital in response to changes in member credit demand, membership composition and other market factors. In addition, the Bank is required to maintain a level of liquidity in accordance with the FHLBank Act, Finance Agency regulations and policies established by its management and Board. The Bank’s liquidity resources are intended to support these strategies and requirements through a focus on maintaining a liquidity and funding balance between its financial assets and financial liabilities.

Asset/Liability Maturity Profile. The Bank is focused on maintaining adequate liquidity and funding balances with its financial assets and financial liabilities, and the FHLBanks work collectively to manage system-wide liquidity and funding needs. The Bank monitors the funding balance between financial assets and financial liabilities and is committed to prudent risk management practices and complies with Finance Agency requirements regarding this funding balance. External factors including member borrowing needs, supply and demand in the debt markets, and other factors may affect liquidity balances and the funding balances between financial assets and financial liabilities.

Sources of Liquidity. The Bank’s primary sources of liquidity are proceeds from the issuance of consolidated obligations and a liquidity investment portfolio, as well as proceeds from the issuance of capital stock.

Consolidated Obligations. The Bank’s ability to operate its business, meet its obligations and generate net interest income depends primarily on the ability to issue large amounts of various debt structures at attractive rates. Consolidated obligation bonds and discount notes, along with member deposits and capital, represent the primary funding sources used by the Bank to support its asset base. Consolidated obligations benefit from the Bank’s GSE status; however, they are not obligations of the U.S., and the U.S. government does not guarantee them. Consolidated obligation bonds and discount notes are rated Aa1 with stable outlook/P-1 by Moody’s and AA+ with stable outlook/A-1+ by S&P as of June 30, 2026. These ratings express these NRSRO’s opinions of the likelihood of timely payment of principal and interest.

Liquidity Investment Portfolio. The following investments are eligible to be included in the Bank’s liquidity investment portfolio for regulatory purposes: cash, interest-bearing deposits, Federal funds sold, securities purchased under agreements to resell, and U.S. Treasury obligations classified as trading or AFS.

Contingency Liquidity. The Bank’s sources of contingency liquidity include maturing overnight and short-term investments, maturing advances, unencumbered repurchase-eligible assets, trading securities, AFS securities, and MBS repayments. Uses of contingency liquidity include net settlements of consolidated obligations, member loan commitments, mortgage loan purchase commitments, deposit outflows and maturing other borrowed funds. Excess contingency liquidity is calculated as the difference between sources and uses of contingency liquidity.

Funding and Debt Issuance. During the first six months of 2026, the Bank maintained continual access to funding. Access to short-term debt markets has been reliable because investors, driven by liquidity preferences and risk aversion, have sought the FHLBanks’ short-term debt as an asset of choice. The FHLBanks have maintained comparatively stable access to funding through a diverse investor base at relatively favorable spreads to U.S. Treasury rates. Changes or disruptions in the capital markets could limit the Bank’s ability to issue consolidated obligations, which could impact the Bank’s liquidity and cost of funds.

The Bank was able to access liquidity to meet its members’ needs during the period covered by this report.

Refinancing Risk. There are inherent risks in utilizing short-term funding to support longer-dated assets and the Bank may be exposed to refinancing and investor concentration risks (collectively, refinancing risk). Refinancing risk includes the risk the Bank could have difficulty in rolling over short-term obligations when market conditions change. In managing and monitoring the amounts of financial assets that require refinancing, the Bank considers their contractual maturities, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments, embedded call optionality, and scheduled amortizations). The Bank and the OF jointly monitor the combined refinancing risk of the FHLBank System. In managing and monitoring the amounts of assets that require refunding, the Bank may consider contractual maturities of the financial assets, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments and scheduled amortizations).

Interest Rate Risk. The Bank may use a portion of the short-term consolidated obligations issued to fund both short- and long-term variable rate-indexed assets. However, funding longer-term variable rate-indexed assets with shorter-term liabilities generally does not expose the Bank to interest rate risk because the rates on the variable rate-indexed assets reset similar to the

liabilities. The Bank measures and monitors interest rate-risk with commonly used methods and metrics, which include a calculation of market value of equity and duration of equity.

Regulatory Liquidity Requirements. The Bank is required to maintain a level of liquidity in accordance with certain Finance Agency guidance. Under these policies and guidelines, the Bank is required to maintain contingency liquidity to meet liquidity needs in an amount at least equal to its anticipated net cash outflows under certain scenarios. One scenario assumes that the Bank cannot access the capital markets for a period of 20 days and during that time members would renew any maturing, prepaid or called advances. In addition, the Bank is required to perform and report to the Finance Agency the results of an annual liquidity stress test. For the six months ended June 30, 2026, the Bank was in compliance with these liquidity requirements.

Joint and Several Liability. Although the Bank is primarily liable for its portion of consolidated obligations (i.e., those issued on its behalf), the Bank is also jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on consolidated obligations of all the FHLBanks. The Finance Agency, in its discretion and notwithstanding any other provisions, may at any time order any FHLBank to make principal or interest payments due on any consolidated obligation, even in the absence of default by the primary obligor. To the extent that an FHLBank makes any payment on a consolidated obligation on behalf of another FHLBank, the paying FHLBank shall be entitled to reimbursement from the non-paying FHLBank, which has a corresponding obligation to reimburse the FHLBank to the extent of such assistance and other associated costs. However, if the Finance Agency determines that the non-paying FHLBank is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis the Finance Agency may determine. Finance Agency regulations govern the issuance of debt on behalf of the FHLBanks and authorize the FHLBanks to issue consolidated obligations, through the OF as its agent. The Bank is not permitted to issue individual debt without Finance Agency approval.

Operational and Business Risks

Operational Risk. Operational risk is defined as the potential for loss resulting from inadequate or failed internal processes, people, and systems, or from external events and encompasses risks related to housing mission-related activities, including the Bank’s member products and services activities and those associated with affordable housing programs or goals and other Bank business activities. The Bank considers various sources of risk of unexpected loss, including human error, fraud, unenforceability of legal contracts, deficiencies in internal controls and/or information systems, and the impact of cyber-security attacks, artificial intelligence (AI) errors, vendor breakdown, or damage from fire, theft, natural disaster or acts of terrorism. Generally, the category of operational risk includes loss exposures of a physical or procedural nature. Specifically, operational risk includes compliance, fraud, information/transaction, legal, cyber, vendor, people, succession and model risk. The Bank has established policies and procedures to manage each of the specific operational risks. The Bank’s approach to cybersecurity risk is discussed in Item 1C. Cybersecurity in the Bank’s 2025 Form 10-K.

Business Risk. Business risk is the possibility of an adverse impact on the Bank’s profitability or financial or business strategies resulting from external factors that may occur in the short-term and/or long-term. This risk includes the potential for strategic business constraints to be imposed through regulatory, legislative or political changes. Examples of external factors may include, but are not limited to: macroeconomic conditions, financial services industry consolidation, a declining membership base, concentration of borrowing among members, the introduction of new competing products and services, increased non-bank competition, weakening of the FHLBank System’s GSE status, changes in the deposit and mortgage markets for the Bank’s members, changes that occur as a result of legislation or new or changed regulatory guidance, geopolitical instability, AI and other factors that may have a significant direct or indirect impact on the ability of the Bank to achieve its dual mission and strategic objectives. The Bank’s various Risk Management Committees monitor economic indicators and the external environment in which the Bank operates for alignment with the Bank’s risk appetite. A discussion of various Bank risks was also included in Item 1A. Risk Factors in the Bank’s 2025 Form 10-K.

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statements of Income (unaudited)


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Interest income:
Advances	$	571,692	$	661,021	$	973,751	$	1,399,384
Interest-bearing deposits	29,973		36,623		56,071		75,625
Securities purchased under agreements to resell	20,217		30,003		39,784		104,097
Federal funds sold	90,813		91,239		175,237		148,567
Trading securities	925		1,210		1,885		2,472
Available-for-sale (AFS) securities	211,446		234,243		412,528		462,804
Held-to-maturity (HTM) securities	10,122		13,540		21,108		27,035
Mortgage loans held for portfolio	55,800		47,950		109,499		93,873
Total interest income	990,988		1,115,829		1,789,863		2,313,857
Interest expense:
Consolidated obligations - discount notes	258,434		78,127		449,891		187,238
Consolidated obligations - bonds	578,673		862,873		1,046,909		1,772,284
Deposits	5,857		6,850		11,570		14,039
Mandatorily redeemable capital stock and other borrowings	335		145		622		291
Total interest expense	843,299		947,995		1,508,992		1,973,852
Net interest income	147,689		167,834		280,871		340,005
Provision (reversal) for credit losses	1,103		715		2,371		1,496
Net interest income after provision for credit losses	146,586		167,119		278,500		338,509
Noninterest income (loss):
Net gains (losses) on investment securities (Note 2)	(524)		740		(1,137)		3,120
Net gains (losses) on derivatives (Note 5)	858		(7,750)		(6,543)		(19,617)
Standby letters of credit fees	7,513		8,844		15,428		17,607
Other, net	259		(383)		1,505		299
Total noninterest income (loss)	8,106		1,451		9,253		1,409
Other expense:
Compensation and benefits	16,022		15,644		31,204		31,906
Other operating	12,995		13,089		23,111		23,437
Finance Agency	1,501		2,473		3,005		4,950
Office of Finance	1,681		1,376		2,980		3,222
Voluntary contributions	8,849		11,820		14,364		18,827
Total other expense	41,048		44,402		74,664		82,342
Income before assessments	113,644		124,168		213,089		257,576
Affordable Housing Program (AHP) assessment	11,398		12,431		21,371		25,786
Net income	$	102,246	$	111,737	$	191,718	$	231,790

The accompanying notes are an integral part of these financial statements.

Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income (Loss) (unaudited)


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Net income	$	102,246	$	111,737	$	191,718	$	231,790
Other comprehensive income (loss):
Net change in fair value of AFS securities	8,516		(51,502)		6,758		(20,419)
Realized (gains) losses on AFS securities included in net income	—		—		—		(417)

Pension and post-retirement benefits	(295)		(3,550)		(269)		(3,530)
Total other comprehensive income (loss)	8,221		(55,052)		6,489		(24,366)
Total comprehensive income (loss)	$	110,467	$	56,685	$	198,207	$	207,424

The accompanying notes are an integral part of these financial statements.

Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)


(in thousands, except par value)	June 30, 2026		December 31, 2025
ASSETS
Cash and due from banks	$	36,728	$	32,585
Interest-bearing deposits (Note 2)	3,463,600		2,408,873
Securities purchased under agreements to resell (Note 2)	2,200,000		2,680,000
Federal funds sold (Note 2)	7,097,000		5,977,000
Investment securities: (Note 2)
Trading securities	113,575		119,676
AFS securities, net; amortized cost of $20,573,450 and $18,171,361	20,595,928		18,189,327
HTM securities; fair value of $961,993 and $1,099,599	1,013,785		1,143,705
Total investment securities	21,723,288		19,452,708
Advances (Note 3)	77,683,630		36,819,992
Mortgage loans held for portfolio, net (Note 4)	5,476,529		5,220,302

Accrued interest receivable	371,342		261,589
Derivative assets (Note 5)	344,620		350,117
Other assets	118,614		114,060
Total assets	$	118,515,351	$	73,317,226


LIABILITIES AND CAPITAL
Liabilities
Deposits	$	598,618	$	590,785
Consolidated obligations: (Note 6)
Discount notes	29,428,993		16,697,025
Bonds	81,349,327		50,795,251
Total consolidated obligations	110,778,320		67,492,276
Mandatorily redeemable capital stock (Note 7)	13,379		12,344
Accrued interest payable	413,359		305,053
AHP payable	198,764		183,978
Derivative liabilities (Note 5)	7,032		1,994
Other liabilities	227,832		159,195
Total liabilities	112,237,304		68,745,625
Commitments and contingencies (Note 10)
Capital (Note 7)
Capital stock - Class B putable ($100 par value) issued and outstanding shares 39,031 and 22,922, respectively	3,903,107		2,292,218
Retained earnings:
Unrestricted	1,530,907		1,462,288
Restricted	803,821		783,372
Total retained earnings	2,334,728		2,245,660
Accumulated Other Comprehensive Income (Loss) (AOCI)	40,212		33,723
Total capital	6,278,047		4,571,601
Total liabilities and capital	$	118,515,351	$	73,317,226

The accompanying notes are an integral part of these financial statements.

Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows (unaudited)


	Six months ended June 30,
(in thousands)	2026		2025
OPERATING ACTIVITIES
Net income	$	191,718	$	231,790
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Depreciation and amortization (accretion)	92,078		(27,110)
Net change in derivative and hedging activities	161,129		(364,717)
Net realized losses (gains) from sales of AFS securities	—		(417)
Net change in fair value adjustments on trading securities	1,137		(2,703)
Other adjustments, net	2,518		1,814
Net change in:
Accrued interest receivable	(109,302)		104,746
Other assets	(904)		5,176
Accrued interest payable	108,376		(33,872)
Other liabilities	11,033		11,868
Total adjustments	266,065		(305,215)
Net cash provided by (used in) operating activities	$	457,783	$	(73,425)
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $280 and $(269) (to) from other FHLBanks)	$	(993,787)	$	235,663
Securities purchased under agreements to resell	480,000		3,600,000
Federal funds sold	(1,120,000)		(3,104,000)
Trading securities:
Proceeds	5,000		10,000

AFS securities:
Proceeds (includes $0, and $346,659 from sales)	1,717,677		1,448,078
Purchases	(4,171,201)		(1,452,730)
HTM securities:
Proceeds	129,033		119,376
Purchases	—		(99,707)
Advances:
Repaid	220,469,759		187,617,124
Originated	(261,418,795)		(170,122,854)
Mortgage loans held for portfolio:
Principal collected	281,291		197,553
Purchases	(550,263)		(454,880)
Other investing activities, net	(5,410)		(4,094)
Net cash provided by (used in) investing activities	$	(45,176,696)	$	17,989,529



Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited)
(continued)
	Six months ended June 30,
(in thousands)	2026		2025
FINANCING ACTIVITIES
Net change in deposits	$	33,813	$	(161,914)
Net proceeds from issuance of consolidated obligations:
Discount notes	193,461,002		190,920,023
Bonds	68,577,177		55,744,328
Payments for maturing and retiring consolidated obligations:
Discount notes	(180,809,370)		(197,962,747)
Bonds	(38,048,840)		(65,672,155)
Proceeds from issuance of capital stock	4,078,516		1,845,808
Payments for repurchase/redemption of capital stock	(2,454,741)		(2,476,293)
Payments for repurchase/redemption of mandatorily redeemable capital stock	(11,851)		(794)
Cash dividends paid	(102,650)		(149,768)
Net cash provided by (used in) financing activities	$	44,723,056	$	(17,913,512)
Net increase (decrease) in cash and due from banks	$	4,143	$	2,592
Cash and due from banks at beginning of the period	32,585		17,340
Cash and due from banks at end of the period	$	36,728	$	19,932
Supplemental disclosures:
Cash activities:
Interest paid	$	1,343,793	$	2,083,350
Non-cash activities:
Capital stock reclassified to mandatorily redeemable capital stock	12,886		—

The accompanying notes are an integral part of these financial statements.

Federal Home Loan Bank of Pittsburgh

Statements of Changes in Capital (unaudited)


	Capital Stock - Putable			Retained Earnings
(in thousands)	Shares	Par Value		Unrestricted		Restricted		Total		AOCI		Total Capital
March 31, 2025	31,700	$	3,170,003	$	1,385,533	$	756,886	$	2,142,419	$	166	$	5,312,588
Comprehensive income (loss)	—	—		89,389		22,348		111,737		(55,052)		56,685
Issuance of capital stock	10,778	1,077,794		—		—		—		—		1,077,794
Repurchase/redemption of capital stock	(13,166)	(1,316,570)		—		—		—		—		(1,316,570)

Cash dividends	—	—		(69,258)		—		(69,258)		—		(69,258)
June 30, 2025	29,312	$	2,931,227	$	1,405,664	$	779,234	$	2,184,898	$	(54,886)	$	5,061,239

March 31, 2026	27,807	$	2,780,687	$	1,501,119	$	783,372	$	2,284,491	$	31,991	$	5,097,169
Comprehensive income (loss)	—	—		81,797		20,449		102,246		8,221		110,467
Issuance of capital stock	24,296	2,429,608		—		—		—		—		2,429,608
Repurchase/redemption of capital stock	(12,949)	(1,294,940)		—		—		—		—		(1,294,940)
Stock reclassified to mandatorily redeemable capital stock	(123)	(12,248)		—		—		—		—		(12,248)
Cash dividends	—	—		(52,009)		—		(52,009)		—		(52,009)
June 30, 2026	39,031	$	3,903,107	$	1,530,907	$	803,821	$	2,334,728	$	40,212	$	6,278,047

	Capital Stock - Putable			Retained Earnings
(in thousands)	Shares	Par Value		Unrestricted		Restricted		Total		AOCI		Total Capital
December 31, 2024	35,617	$	3,561,712	$	1,370,000	$	732,876	$	2,102,876	$	(30,520)	$	5,634,068
Comprehensive income (loss)	—	—		185,432		46,358		231,790		(24,366)		207,424
Issuance of capital stock	18,458	1,845,808		—		—		—		—		1,845,808
Repurchase/redemption of capital stock	(24,763)	(2,476,293)		—		—		—		—		(2,476,293)

Cash dividends	—	—		(149,768)		—		(149,768)		—		(149,768)
June 30, 2025	29,312	$	2,931,227	$	1,405,664	$	779,234	$	2,184,898	$	(54,886)	$	5,061,239

December 31, 2025	22,922	$	2,292,218	$	1,462,288	$	783,372	$	2,245,660	$	33,723	$	4,571,601
Comprehensive income (loss)	—	—		171,269		20,449		191,718		6,489		198,207
Issuance of capital stock	40,785	4,078,516		—		—		—		—		4,078,516
Repurchase/redemption of capital stock	(24,547)	(2,454,741)		—		—		—		—		(2,454,741)
Stock reclassified to mandatorily redeemable capital stock	(129)	(12,886)		—		—		—		—		(12,886)
Cash dividends	—	—		(102,650)		—		(102,650)		—		(102,650)
June 30, 2026	39,031	$	3,903,107	$	1,530,907	$	803,821	$	2,334,728	$	40,212	$	6,278,047

The accompanying notes are an integral part of these financial statements.

Federal Home Loan Bank of Pittsburgh

Notes to Unaudited Financial Statements

Background Information

The Bank, a federally chartered corporation, is one of 11 district Federal Home Loan Banks (FHLBanks). Each FHLBank operates as a separate entity with its own management, employees and board of directors. The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. Holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as determined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock.

All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties.

The Finance Agency, an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks, Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae). The Finance Agency’s stated mission is to ensure the housing GSEs fulfill their mission by operating in a safe and sound manner to serve as a reliable source for liquidity and funding for the housing finance market throughout the economic cycle.

As provided by the Federal Home Loan Bank Act (FHLBank Act) and applicable regulations, consolidated obligations are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF® Program and purchase certain investments. The OF is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2025 included in the Bank’s 2025 Form 10-K.

Note 1 – Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

The Bank did not adopt any new accounting standards during the six months ended June 30, 2026.

The following table provides a brief description of recently issued accounting standards which may have an impact on the Bank.


Standard	Description	Effective Date	Effect on the Financial Statements or Other Significant Matters
ASU 2025-08: Financial Instruments - Credit Losses (Topic 326): Purchased Loans	This ASU expands the population of acquired financial assets subject to the gross-up approach in Topic 326 to include purchased seasoned loans. The gross-up approach requires recognition of the loans at acquisition at their purchase price plus an allowance for credit losses.	This ASU will become effective for the Bank beginning on January 1, 2027. Early adoption is permitted.	The adoption of this ASU is not expected to have a material impact on the Bank’s financial statements.

Notes to Unaudited Financial Statements (continued)

Note 2 – Investments

The Bank has investments in debt securities, which are classified as trading, AFS, or HTM.

Debt Securities. At June 30, 2026, net unsettled purchases or sales of investment securities, including related accrued interest, totaled $71.5 million. At December 31, 2025, there were no net unsettled purchases or sale of investment securities, including related accrued interest. These amounts represent noncash investing activity and are excluded from the Statements of Cash Flows.

Trading Securities. The following table presents the fair value of trading securities by major security type at June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025

GSE obligations	$	113,575	$	119,676

The following table presents net gains (losses) on trading securities for the three and six months ended June 30, 2026 and 2025.


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Net unrealized gains (losses) on trading securities held at period-end	$	(524)	$	731	$	(1,136)	$	2,668
Net gains (losses) on trading securities sold/matured during the period	—		9		(1)		35
Net gains (losses) on trading securities	$	(524)	$	740	$	(1,137)	$	2,703

AFS Securities. The following tables presents AFS securities by major security type at June 30, 2026 and December 31, 2025.


	June 30, 2026
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	5,100,392	$	—	$	6,424	$	(1,338)	$	5,105,478
GSE and TVA obligations	761,901		—		14,859		(1,195)		775,565
State or local agency obligations	182,560		—		5		(6,663)		175,902
Total non-MBS	$	6,044,853	$	—	$	21,288	$	(9,196)	$	6,056,945
MBS:
U.S. obligations single-family	$	1,449,716	$	—	$	3,103	$	(5,401)	$	1,447,418
GSE single-family	5,868,338		—		11,410		(27,194)		5,852,554
GSE multifamily	7,098,368		—		50,537		(5,499)		7,143,406
Private label	112,175		(18,959)		3,724		(1,335)		95,605
Total MBS	$	14,528,597	$	(18,959)	$	68,774	$	(39,429)	$	14,538,983
Total AFS securities	$	20,573,450	$	(18,959)	$	90,062	$	(48,625)	$	20,595,928

Notes to Unaudited Financial Statements (continued)


	December 31, 2025
(in thousands)	Amortized Cost (1)		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	4,902,802	$	—	$	9,749	$	(271)	$	4,912,280
GSE and TVA obligations	817,747		—		17,326		(1,010)		834,063
State or local agency obligations	181,516		—		10		(6,693)		174,833
Total non-MBS	$	5,902,065	$	—	$	27,085	$	(7,974)	$	5,921,176
MBS:
U.S. obligations single-family	$	1,306,993	$	—	$	3,184	$	(6,295)	$	1,303,882
GSE single-family	4,568,337		—		6,899		(27,463)		4,547,773
GSE multifamily	6,278,534		—		40,233		(4,399)		6,314,368
Private label	115,432		(16,713)		4,626		(1,217)		102,128
Total MBS	$	12,269,296	$	(16,713)	$	54,942	$	(39,374)	$	12,268,151
Total AFS securities	$	18,171,361	$	(16,713)	$	82,027	$	(47,348)	$	18,189,327

Note:

(1) Includes adjustments made to the cost basis of investments for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $66.4 million at June 30, 2026 and $59.1 million at December 31, 2025.

The following tables summarize the AFS securities with gross unrealized losses as of June 30, 2026 and December 31, 2025. The gross unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.


	June 30, 2026
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	1,120,020	$	(1,338)	$	—	$	—	$	1,120,020	$	(1,338)
GSE and TVA obligations	3,839		(11)		26,401		(1,184)		30,240		(1,195)
State or local agency obligations	33,315		(435)		124,677		(6,228)		157,992		(6,663)
Total non-MBS	$	1,157,174	$	(1,784)	$	151,078	$	(7,412)	$	1,308,252	$	(9,196)
MBS:
U.S. obligations single-family	$	375,857	$	(687)	$	349,792	$	(4,714)	$	725,649	$	(5,401)
GSE single-family	2,004,523		(4,164)		1,031,102		(23,030)		3,035,625		(27,194)
GSE multifamily	802,141		(1,812)		1,279,716		(3,687)		2,081,857		(5,499)
Private label	8,225		(214)		22,748		(1,121)		30,973		(1,335)
Total MBS	$	3,190,746	$	(6,877)	$	2,683,358	$	(32,552)	$	5,874,104	$	(39,429)
Total	$	4,347,920	$	(8,661)	$	2,834,436	$	(39,964)	$	7,182,356	$	(48,625)

Notes to Unaudited Financial Statements (continued)


	December 31, 2025
	Less than 12 Months				Greater than 12 Months				Total
(in thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	402,742	$	(39)	$	49,589	$	(232)	$	452,331	$	(271)
GSE and TVA obligations	—		—		26,616		(1,010)		26,616		(1,010)
State or local agency obligations	594		(6)		154,103		(6,687)		154,697		(6,693)
Total non-MBS	$	403,336	$	(45)	$	230,308	$	(7,929)	$	633,644	$	(7,974)
MBS:
U.S. obligations single-family	$	118,520	$	(162)	$	616,484	$	(6,133)	$	735,004	$	(6,295)
GSE single-family	1,066,790		(1,336)		1,264,868		(26,127)		2,331,658		(27,463)
GSE multifamily	163,121		(200)		1,709,961		(4,199)		1,873,082		(4,399)
Private label	1,858		(26)		24,089		(1,191)		25,947		(1,217)
Total MBS	$	1,350,289	$	(1,724)	$	3,615,402	$	(37,650)	$	4,965,691	$	(39,374)
Total	$	1,753,625	$	(1,769)	$	3,845,710	$	(45,579)	$	5,599,335	$	(47,348)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2026 and December 31, 2025 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. MBS are not presented by contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.


(in thousands)	June 30, 2026				December 31, 2025
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	445,503	$	446,522	$	488,836	$	489,345
Due after one year through five years	4,640,068		4,655,988		4,349,934		4,368,488
Due after five years through ten years	877,582		877,274		984,185		988,832
Due after ten years	81,700		77,161		79,110		74,511
Total non-MBS	6,044,853		6,056,945		5,902,065		5,921,176
MBS	14,528,597		14,538,983		12,269,296		12,268,151
Total AFS securities	$	20,573,450	$	20,595,928	$	18,171,361	$	18,189,327

Realized Gains (Losses) on AFS Securities. The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for the three and six months ended June 30, 2026 and June 30, 2025.


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Proceeds from sales of AFS securities	$	—	$	—	$	—	$	346,659
Gross gains on AFS securities	$	—			$	—	$	417

Net realized gains(losses) from sales of AFS securities	$	—	$	—	$	—	$	417

Notes to Unaudited Financial Statements (continued)

HTM Securities. The following table presents HTM securities by major security type at June 30, 2026 and December 31, 2025.


	June 30, 2026
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value




MBS:
U.S. obligations single-family	$	389,709	$	1,135	$	(3,281)	$	387,563
GSE single-family	358,902		452		(45,369)		313,985
GSE multifamily	238,129		—		(3,524)		234,605
Private label	27,045		27		(1,232)		25,840
Total MBS	$	1,013,785	$	1,614	$	(53,406)	$	961,993
Total HTM securities	$	1,013,785	$	1,614	$	(53,406)	$	961,993


	December 31, 2025
(in thousands)	Amortized Cost (1)		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value




MBS:
U.S. obligations single-family	$	470,133	$	3,951	$	(2,219)	$	471,865
GSE single-family	405,197		1,257		(45,065)		361,389
GSE multifamily	238,829		—		(798)		238,031
Private label	29,546		21		(1,253)		28,314
Total MBS	$	1,143,705	$	5,229	$	(49,335)	$	1,099,599
Total HTM securities	$	1,143,705	$	5,229	$	(49,335)	$	1,099,599

Note:

(1) Includes adjustments made to the cost basis of investments for accretion and amortization and excludes accrued interest receivable of $3.4 million at June 30, 2026 and $3.9 million at December 31, 2025.

Redemption Terms. The HTM securities consisted entirely of MBS, and as such are not presented by contractual maturity because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Notes to Unaudited Financial Statements (continued)

Note 3 – Advances

General Terms. The Bank offers a wide-range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Advances generally have maturities ranging from overnight to 30 years. Variable rate advance interest rates reset periodically at a fixed spread to secured overnight financing rate (SOFR).

The following table details the Bank’s advances portfolio by year of redemption and weighted-average interest rate as of June 30, 2026 and December 31, 2025.


(dollars in thousands)	June 30, 2026				December 31, 2025
Year of Redemption	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	50,047,946	3.88	%	$	23,332,978	4.04	%
Due after 1 year through 2 years	16,930,773		3.95		9,454,980		4.05
Due after 2 years through 3 years	9,454,205		3.92		3,640,350		4.07
Due after 3 years through 4 years	396,707		4.07		202,445		4.18
Due after 4 years through 5 years	817,637		4.16		60,822		4.06
Thereafter	145,534		3.39		152,191		3.42
Total par value	$	77,792,802	3.90	%	$	36,843,766	4.05	%
Deferred prepayment fees	—				(67)
Fair value hedging adjustments	(109,172)				(23,707)
Total advances (1)	$	77,683,630			$	36,819,992

Note:

(1) Amounts exclude accrued interest receivable of $254.9 million and $158.4 million at June 30, 2026 and December 31, 2025, respectively

The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). The following table summarizes advances by the earlier of year of redemption or next call date as of June 30, 2026 and December 31, 2025.


	Year of Redemption or Next Call Date
(in thousands)	June 30, 2026		December 31, 2025
Due in 1 year or less	$	51,482,946	$	23,927,978
Due after 1 year through 2 years	16,588,273		8,952,480
Due after 2 years through 3 years	9,441,705		3,547,850
Due after 3 years through 4 years	96,707		202,445
Due after 4 years through 5 years	37,637		60,822
Thereafter	145,534		152,191
Total par value	$	77,792,802	$	36,843,766

Notes to Unaudited Financial Statements (continued)

Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025
Fixed-rate – overnight	$	950,455	$	2,355,769
Fixed-rate – term:
Due in 1 year or less	$	15,005,540	$	10,971,285
Thereafter	7,278,311		7,905,787
Total fixed-rate	$	23,234,306	$	21,232,841
Variable-rate:
Due in 1 year or less	$	34,091,951	$	10,005,925
Thereafter	20,466,545		5,605,000
Total variable-rate	$	54,558,496	$	15,610,925
Total par value	$	77,792,802	$	36,843,766

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of June 30, 2026, the Bank had advances of $63.9 billion outstanding to the five largest borrowers, which represented 82.1% of the total principal amount of advances outstanding. Of those five, three had outstanding advances that were in excess of 10% of the Bank’s total portfolio at June 30, 2026.

As of December 31, 2025, the Bank had advances of $26.0 billion outstanding to the five largest borrowers, which represented 70.6% of the total principal amount of advances outstanding. Of these five, two had outstanding advances that were in excess of 10% of the Bank’s total portfolio at December 31, 2025.

Advances ACL. The Bank evaluates advances for credit losses on a quarterly basis. At June 30, 2026 and December 31, 2025, the Bank did not have credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have modifications related to advances with borrowers experiencing financial difficulties during the first six months of 2026.

The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At June 30, 2026 and December 31, 2025, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. Based on the Bank’s collateral policies, collateral held as security and repayment history of no credit losses on advances, the Bank has not recorded an ACL at June 30, 2026 or December 31, 2025.

Notes to Unaudited Financial Statements (continued)

Note 4 – Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 8 – Transactions with Related Parties in this Item for further information regarding transactions with related parties.

The following table presents balances as of June 30, 2026 and December 31, 2025 for mortgage loans held for portfolio.


(in thousands)	June 30, 2026		December 31, 2025
Fixed-rate long-term single-family mortgages (1)	$	5,365,976	$	5,098,101
Fixed-rate medium-term single-family mortgages (2)	67,894		77,064
Total par value	5,433,870		5,175,165
Premiums	78,157		73,778
Discounts	(11,272)		(11,766)
Hedging adjustments	(22,062)		(14,400)
Total mortgage loans held for portfolio (3)	$	5,478,693	$	5,222,777
Allowance for credit losses on mortgage loans	(2,164)		(2,475)
Mortgage loans held for portfolio, net	$	5,476,529	$	5,220,302

Notes:

(1) Long-term is defined as an original term of greater than 15 years and up to 30 years.

(2) Medium-term is defined as an original term of 15 years or less.

(3) Amounts exclude accrued interest receivable of $35.8 million at June 30, 2026 and $33.6 million at December 31, 2025.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025
Conventional loans	$	5,353,151	$	5,090,977
Government-guaranteed/insured loans	80,719		84,188
Total par value	$	5,433,870	$	5,175,165

Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank’s risk tolerance. The Bank and its PFIs share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any PMI, credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s FLA. If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by SMI obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank.

Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure.

Notes to Unaudited Financial Statements (continued)

Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at June 30, 2026 and December 31, 2025.


	June 30, 2026
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2022		2022 to 2026		Total
Past due 30-59 days	$	35,326	$	13,218	$	48,544
Past due 60-89 days	9,054		6,725		15,779
Past due 90 days or more	15,304		6,854		22,158
Total past due loans	$	59,684	$	26,797	$	86,481
Current loans	2,925,013		2,384,965		5,309,978
Total conventional loans	$	2,984,697	$	2,411,762	$	5,396,459

	December 31, 2025
(in thousands)	Origination Year
Payment Status, at amortized cost (1)	Prior to 2021		2021 to 2025		Total
Past due 30-59 days	$	35,717	$	29,782	$	65,499
Past due 60-89 days	9,369		8,636		18,005
Past due 90 days or more	11,683		8,675		20,358
Total past due loans	$	56,769	$	47,093	$	103,862
Current loans	2,077,766		2,955,321		5,033,087
Total conventional loans	$	2,134,535	$	3,002,414	$	5,136,949

Note:

(1) The amortized cost at June 30, 2026 and December 31, 2025 excludes accrued interest receivable.

Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at June 30, 2026 and December 31, 2025.


	June 30, 2026
(dollars in thousands) (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			Total
In process of foreclosure, included above (2)	$	10,560		$	541		$	11,101
Serious delinquency rate (3)	0.4		%	2.1		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	1,742		$	1,742
Loans on nonaccrual status	$	25,904		$	—		$	25,904

	December 31, 2025
(dollars in thousands) (1)	Conventional MPF Loans			Government-Guaranteed or Insured Loans			Total
In process of foreclosure, included above (2)	$	5,897		$	393		$	6,290
Serious delinquency rate (3)	0.4		%	2.0		%	0.4		%
Past due 90 days or more still accruing interest	$	—		$	1,693		$	1,693
Loans on nonaccrual status	$	24,074		$	—		$	24,074

Notes:

(1) Amounts presented at amortized cost.

(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.

Notes to Unaudited Financial Statements (continued)

Note 5 – Derivatives and Hedging Activities

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities.


	June 30, 2026
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	68,883,003	$	89,232	$	67,422
Derivatives not designated as hedging instruments:
Interest rate swaps	$	5,115,097	$	17,227	$	11,468

Interest rate caps or floors	2,400,000		2,371		—
Mortgage delivery commitments	47,670		7		950
Total derivatives not designated as hedging instruments:	$	7,562,767	$	19,605	$	12,418
Total derivatives before netting and collateral adjustments	$	76,445,770	$	108,837	$	79,840
Netting adjustments and cash collateral (1)			235,783		(72,808)
Total derivative assets and total derivative liabilities			$	344,620	$	7,032


	December 31, 2025
(in thousands)	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate swaps	$	53,556,210	$	53,257	$	118,379
Derivatives not designated as hedging instruments:
Interest rate swaps	$	5,981,376	$	24,689	$	7,854

Interest rate caps or floors	2,600,000		1,151		—
Mortgage delivery commitments	33,276		6		598
Total derivatives not designated as hedging instruments:	$	8,614,652	$	25,846	$	8,452
Total derivatives before netting and collateral adjustments	$	62,170,862	$	79,103	$	126,831
Netting adjustments and cash collateral (1)			271,014		(124,837)
Total derivative assets and total derivative liabilities			$	350,117	$	1,994

Note:

(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $350.1 million for June 30, 2026 and $411.3 million for December 31, 2025. Cash collateral received was $41.5 million for June 30, 2026 and $15.5 million for December 31, 2025.

The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedging relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedging relationships.

Notes to Unaudited Financial Statements (continued)


(in thousands)	Three months ended June 30, 2026
Hedged item type	Advances		AFS securities		Mortgage loans held for portfolio		Consolidated obligations – discount notes		Consolidated obligations – bonds
Total interest income/ (expense)	$	571,692	$	211,446	$	55,800	$	(258,434)	$	(578,673)

Gains/(losses) on derivative	$	39,030	$	87,432	$	—	$	(10,770)	$	15,783
Gains/ (losses) on hedged item	(39,037)		(87,348)		547		9,888		(16,034)
Net interest settlements	6,004		16,354		—		1,886		(28,605)
Effect of derivatives on net interest income	$	5,997	$	16,438	$	547	$	1,004	$	(28,856)

(in thousands)	Six months ended June 30, 2026
Hedged item type	Advances		AFS securities		Mortgage loans held for portfolio		Consolidated obligations – discount notes		Consolidated obligations – bonds
Total interest income/ (expense)	$	973,751	$	412,528	$	109,499	$	(449,891)	$	(1,046,909)

Gains/(losses) on derivative	$	85,487	$	132,538	$	—	$	(13,961)	$	25,285
Gains/ (losses) on hedged item	(85,467)		(132,741)		862		14,228		(25,365)
Net interest settlements	13,280		34,429		—		3,252		(62,816)
Effect of derivatives on net interest income	$	13,300	$	34,226	$	862	$	3,519	$	(62,896)


(in thousands)	Three months ended June 30, 2025
Hedged item type	Advances		AFS securities		Mortgage loans held for portfolio		Consolidated obligations – discount notes		Consolidated obligations – bonds
Total interest income / (expense)	$	661,021	$	234,243	$	47,950	$	(78,127)	$	(862,873)

Gains/(losses) on derivative	$	(33,772)	$	(83,231)	$	—	$	(259)	$	57,614
Gains/ (losses) on hedged item	33,863		83,629		122		687		(57,491)
Net interest settlements	26,211		35,975		—		(631)		(56,093)
Effect of derivatives on net interest income	$	26,302	$	36,373	$	122	$	(203)	$	(55,970)

(in thousands)	Six months ended June 30, 2025
Hedged item type	Advances		AFS securities		Mortgage loans held for portfolio		Consolidated obligations – discount notes		Consolidated obligations – bonds
Total interest income / (expense)	$	1,399,384	$	462,804	$	93,873	$	(187,238)	$	(1,772,284)

Gains/(losses) on derivative	$	(108,395)	$	(222,683)	$	—	$	(1,537)	$	144,982
Gains/ (losses) on hedged item	108,579		222,724		243		2,750		(144,864)
Net interest settlements	54,287		70,775		—		(221)		(110,383)
Effect of derivatives on net interest income	$	54,471	$	70,816	$	243	$	992	$	(110,265)

Notes to Unaudited Financial Statements (continued)

The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.


(in thousands)	June 30, 2026
Hedged item type	Advances		AFS securities		Consolidated obligations – discount notes		Consolidated obligations – bonds
Amortized cost of hedged asset/liability (1)	$	12,763,415	$	11,039,253	$	27,734,871	$	16,538,594

Basis adjustments for active hedge relationships included in amortized cost	$	(109,168)	$	(251,062)	$	(12,769)	$	(72,679)
Basis adjustments for discontinued hedge relationships included in amortized cost	(4)		457		—		—
Total amount of fair value hedging basis adjustments	$	(109,172)	$	(250,605)	$	(12,769)	$	(72,679)


(in thousands)	December 31, 2025
Hedged item type	Advances		AFS securities		Consolidated obligations – discount notes		Consolidated obligations – bonds
Amortized cost of hedged asset/liability (1)	$	12,068,299	$	9,799,500	$	14,814,633	$	16,589,988

Basis adjustments for active hedge relationships included in amortized cost	$	(23,668)	$	(118,369)	$	1,459	$	(98,044)
Basis adjustments for discontinued hedge relationships included in amortized cost	(39)		506		—		—
Total amount of fair value hedging basis adjustments	$	(23,707)	$	(117,863)	$	1,459	$	(98,044)

Note:

(1) Includes only the portion of amortized cost representing the hedged items in active or discontinued fair value hedging relationships. Amortized cost includes fair value hedging adjustments.

The following table presents net gains (losses) related to derivatives not designated as hedging instruments in noninterest income.


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	5,274	$	(4,806)	$	(21)	$	(14,365)

Interest rate caps or floors	155		(1,792)		945		(3,753)
Net interest settlements	654		1,686		1,376		3,484

Mortgage delivery commitments	(5,136)		(2,793)		(8,824)		(4,745)
Other	—		1		—		—
Total net gains (losses) related to derivatives not designated as hedging instruments	$	947	$	(7,704)	$	(6,524)	$	(19,379)
Other - price alignment amount on cleared derivatives (1)	(89)		(46)		(19)		(238)
Net gains (losses) on derivatives	$	858	$	(7,750)	$	(6,543)	$	(19,617)

Note:

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

Notes to Unaudited Financial Statements (continued)

Offsetting of Derivative Assets and Derivative Liabilities. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.


	June 30, 2026
	Derivative Instruments Meeting Netting Requirements
(in thousands)	Gross Recognized Amount		Gross Amounts of Netting Adjustments and Cash Collateral		Net amounts after netting adjustments and cash collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities
Derivative assets
Uncleared	$	82,082	$	(80,318)	$	1,764	$	7	$	1,771
Cleared	26,748		316,101		342,849		—		342,849
Total derivative assets	$	108,830	$	235,783	$	344,613	$	7	$	344,620

Derivative liabilities
Uncleared	$	76,904	$	(70,822)	$	6,082	$	950	$	7,032
Cleared	1,986		(1,986)		—		—		—
Total derivative liabilities	$	78,890	$	(72,808)	$	6,082	$	950	$	7,032


	December 31, 2025
	Derivative Instruments Meeting Netting Requirements
(in thousands)	Gross Recognized Amount		Gross Amounts of Netting Adjustments and Cash Collateral		Net amounts after netting adjustments and cash collateral		Derivative Instruments Not Meeting Netting Requirements (1)		Total Derivative Assets and Total Derivative Liabilities
Derivative assets
Uncleared	$	62,698	$	(61,535)	$	1,163	$	6	$	1,169
Cleared	16,399		332,549		348,948		—		348,948
Total derivative assets	$	79,097	$	271,014	$	350,111	$	6	$	350,117

Derivative liabilities
Uncleared	$	125,345	$	(123,949)	$	1,396	$	598	$	1,994
Cleared	888		(888)		—		—		—
Total derivative liabilities	$	126,233	$	(124,837)	$	1,396	$	598	1,994

Note:

(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).

Notes to Unaudited Financial Statements (continued)

Note 6 – Consolidated Obligations

Consolidated obligations consist of bonds and discount notes. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations were $1,330.8 billion at June 30, 2026 and $1,151.8 billion at December 31, 2025.

The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025
Par value of consolidated bonds:
Fixed-rate	$	27,842,410	$	28,211,750
Step-up	815,000		1,075,000
Floating-rate	52,761,500		21,600,500

Total par value	$	81,418,910	$	50,887,250

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity and weighted-average interest rate at June 30, 2026 and December 31, 2025.


(dollars in thousands)	June 30, 2026				December 31, 2025
Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	64,494,750	3.50	%	$	38,903,990	3.34	%
Due after 1 year through 2 years	8,916,900		3.61		3,468,100		3.25
Due after 2 years through 3 years	1,820,260		3.75		2,634,525		3.56
Due after 3 years through 4 years	1,194,500		3.58		1,328,135		3.93
Due after 4 years through 5 years	1,685,500		3.55		1,249,500		3.39
Thereafter	3,307,000		3.73		3,303,000		3.58

Total par value	$	81,418,910	3.53	%	$	50,887,250	3.38	%
Bond premiums	$	17,227			$	19,442
Bond discounts	(6,293)				(6,909)
Concession fees	(7,838)				(6,488)
Fair value hedging adjustments	(72,679)				(98,044)
Total consolidated obligation bonds	$	81,349,327			$	50,795,251

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025
Noncallable	$	60,020,410	$	26,784,760
Callable	21,398,500		24,102,490
Total par value	$	81,418,910	$	50,887,250

Notes to Unaudited Financial Statements (continued)

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of June 30, 2026 and December 31, 2025.


	Year of Contractual Maturity or Next Call Date
(in thousands)	June 30, 2026		December 31, 2025
Due in 1 year or less	$	71,031,750	$	45,619,490
Due after 1 year through 2 years	7,950,400		1,746,100
Due after 2 years through 3 years	813,260		1,908,025
Due after 3 years through 4 years	562,000		431,135
Due after 4 years through 5 years	442,500		519,500
Thereafter	619,000		663,000

Total par value	$	81,418,910	$	50,887,250

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of June 30, 2026 and December 31, 2025.


(dollars in thousands)	June 30, 2026			December 31, 2025
Book value	$	29,428,993		$	16,697,025
Par value	$	29,777,806		$	16,813,630
Weighted average interest rate (1)	3.72		%	3.83		%

Note:

(1) Represents yield to maturity excluding concession fees and hedging adjustments.

Notes to Unaudited Financial Statements (continued)

Note 7 – Capital

The Bank is subject to three capital requirements under its current Capital Plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. At June 30, 2026, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $354.1 million in B1 membership stock and $3,549.0 million in B2 activity stock at June 30, 2026. The Bank had $338.9 million in B1 membership stock and $1,953.3 million in B2 activity stock at December 31, 2025.

Each class of the Bank’s capital stock is considered putable by the member and the Bank may repurchase, at its sole discretion, any member’s stock investments that exceed the required minimum amount. However, there are statutory and regulatory restrictions on the obligation to redeem, or right to repurchase, the outstanding stock. As a result, whether or not a member may have its capital stock in the Bank repurchased (at the Bank’s discretion at any time before the end of the redemption period) or redeemed (at a member’s request, completed at the end of a redemption period) will depend in part on whether the Bank is in compliance with those restrictions.

Finance Agency rules limit the ability of the Bank to create member excess stock under certain circumstances. For example, an FHLBank may not pay dividends in the form of capital stock or issue new excess stock to members if its excess stock exceeds one percent of its total assets or if the issuance of excess stock would cause the FHLBank’s excess stock to exceed one percent of its total assets. As of June 30, 2026, the Bank’s excess capital stock did not exceed one percent of its total assets.

The following table demonstrates the Bank’s compliance with the regulatory capital requirements at June 30, 2026 and December 31, 2025.


	June 30, 2026						December 31, 2025
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
RBC	$	995,565		$	6,251,213		$	857,373		$	4,550,222
Total capital-to-asset ratio	4.0		%	5.3		%	4.0		%	6.2		%
Total regulatory capital	$	4,740,614		$	6,251,213		$	2,932,689		$	4,550,222
Leverage ratio	5.0		%	7.9		%	5.0		%	9.3		%
Leverage capital	$	5,925,768		$	9,376,820		$	3,665,861		$	6,825,333

The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. Based on the financial information as of March 31, 2026 the Finance Agency determined the Bank was adequately capitalized under the capital rule.

Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the Bank issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares’ par value of $100, in accordance with the Bank’s Capital Plan.

At June 30, 2026 and December 31, 2025, the Bank had $13.4 million and $12.3 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The dividends on mandatorily redeemable capital stock recorded as interest expense were $0.3 million and $0.6 million during the three and six months ended June 30, 2026, respectively, and $0.1 million and $0.3 million during the three and six months ended June 30, 2025, respectively.

Notes to Unaudited Financial Statements (continued)

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2026 and 2025.


	Six months ended June 30,
(in thousands)	2026		2025
Balance, beginning of the period	$	12,344	$	7,025
Capital stock subject to mandatory redemption reclassified from capital	12,886		—
Redemption/repurchase of mandatorily redeemable capital stock	(11,851)		(794)
Balance, end of the period	$	13,379	$	6,231

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at June 30, 2026 and December 31, 2025.


(in thousands)	June 30, 2026		December 31, 2025
Due in 1 year or less	$	435	$	377
Due after 1 year through 2 years	4,019		3,543
Due after 2 years through 3 years	—		946
Due after 3 years through 4 years	—		—
Due after 4 years through 5 years	7,893		6,381
Past contractual redemption date due to activity outstanding	1,032		1,097
Total	$	13,379	$	12,344

Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding.

Dividends and Retained Earnings. In accordance with the Joint Capital Enhancement Agreement (JCEA), entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings (RRE) until the account balance equals at least 1% of the Bank’s average balance of outstanding consolidated obligations for the current quarter, which is $921.2 million for second quarter of 2026. These RRE are not available to pay dividends and are presented separately from other retained earnings on the Statements of Condition. Additionally, the JCEA provides that amounts in restricted retained earnings in excess of 150% of the Bank’s RRE minimum (i.e., one percent of the average balance of outstanding consolidated obligations calculated as of the last day of each calendar quarter) may be released from RRE. At June 30, 2026, retained earnings were $2,334.7 million, including $1,530.9 million of unrestricted retained earnings and $803.8 million of RRE.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. The dividend paid to the stockholder is calculated based on the average capital stock owned by the stockholder for the previous quarter.

Dividends paid through the second quarter of 2026 and 2025 are presented in the table below.


	Dividend - Annual Yield
	2026				2025
	Membership		Activity		Membership		Activity
February	4.85	%	9.50	%	5.10	%	9.00	%
April	4.85	%	9.50	%	4.60	%	9.00	%

In July 2026, the Bank paid a quarterly dividend equal to an annual yield of 5.50% on membership stock and 9.75% on activity stock.

Notes to Unaudited Financial Statements (continued)

The following table summarizes the ending balance for each component of the AOCI at June 30, 2026 and June 30, 2025.


AOCI (in thousands)	June 30, 2026		June 30, 2025
Net unrealized gains (losses) on AFS securities	41,437		(50,009)
Pension and post-retirement	(1,225)		(4,877)
Total	$	40,212	$	(54,886)

Notes to Unaudited Financial Statements (continued)

Note 8 – Transactions with Related Parties

The following table includes significant outstanding related party member-activity balances.


(in thousands)	June 30, 2026		December 31, 2025
Advances (1)	$	59,231,948	$	21,823,502
Letters of credit (2)	14,948,252		926,050
MPF loans	256,712		262,600
Deposits	26,085		10,973
Capital stock	2,576,849		965,784

Notes:

(1) Amount excludes accrued interest, deferred prepayment fees, and hedging adjustments.

(2) Letters of credit are off-balance sheet commitments.

The following table summarizes the effects on the Statements of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Interest income on advances (1)	$	404,529	$	380,293	$	619,118	$	837,551
Interest income on MPF loans	2,785		2,949		5,600		5,972
Letters of credit fees	4,501		5,860		4,763		12,854

Note:

(1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included.

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.


	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Servicing fee expense	$	1,063	$	1,011	$	2,122	$	2,007



(in thousands)	June 30, 2026		December 31, 2025
Interest-bearing deposits maintained with FHLBank of Chicago	$	5,359	$	5,639

At times the Bank may transact with other FHLBanks. These transactions can include loaning or borrowing short-term funds, transfers of primary debt obligations, and transfers at fair value of loans related to member acquisitions. The Bank had no such transactions during the period ended June 30, 2026 or June 30, 2025.

In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations.

Notes to Unaudited Financial Statements (continued)

Note 9 – Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). These estimates are based on recent market data and other pertinent information available to the Bank at June 30, 2026 and December 31, 2025. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at June 30, 2026 and December 31, 2025 are presented in the table below.


Fair Value Summary Table
	June 30, 2026
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	36,728	$	36,728	$	—	$	—	$	—	$	36,728
Interest-bearing deposits	3,463,600		3,463,600		—		—		—		3,463,600
Securities purchased under agreements to resell (2)	2,200,000		—		2,200,000		—		—		2,200,000
Federal funds sold	7,097,000		—		7,096,993		—		—		7,096,993
Trading securities	113,575		—		113,575		—		—		113,575
AFS securities	20,595,928		—		20,500,323		95,605		—		20,595,928
HTM securities	1,013,785		—		936,153		25,840		—		961,993
Advances	77,683,630		—		77,639,644		—		—		77,639,644
Mortgage loans held for portfolio, net	5,476,529		—		5,080,714		—		—		5,080,714

Accrued interest receivable	371,342		—		371,342		—		—		371,342
Derivative assets	344,620		—		108,837		—		235,783		344,620
Liabilities:
Deposits	$	598,618	$	—	$	598,618	$	—	$	—	$	598,618
Discount notes	29,428,993		—		29,423,669		—		—		29,423,669
Bonds	81,349,327		—		80,890,944		—		—		80,890,944
Mandatorily redeemable capital stock (3)	13,379		13,710		—		—		—		13,710
Accrued interest payable (3)	413,359		—		413,028		—		—		413,028
Derivative liabilities	7,032		—		79,840		—		(72,808)		7,032

Notes to Unaudited Financial Statements (continued)


	December 31, 2025
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Estimated Fair Value
Assets:
Cash and due from banks	$	32,585	$	32,585	$	—	$	—	$	—	$	32,585
Interest-bearing deposits	2,408,873		2,408,873		—		—		—		2,408,873
Securities purchased under agreements to resell (2)	2,680,000		—		2,680,006		—		—		2,680,006
Federal funds sold	5,977,000		—		5,976,975		—		—		5,976,975
Trading securities	119,676		—		119,676		—		—		119,676
AFS securities	18,189,327		—		18,087,199		102,128		—		18,189,327
HTM securities	1,143,705		—		1,071,285		28,314		—		1,099,599
Advances	36,819,992		—		36,861,975		—		—		36,861,975
Mortgage loans held for portfolio, net	5,220,302		—		4,856,826		—		—		4,856,826

Accrued interest receivable	261,589		—		261,590		—		—		261,590
Derivative assets	350,117		—		79,103		—		271,014		350,117
Liabilities:
Deposits	$	590,785	$	—	$	590,785	$	—	$	—	$	590,785
Discount notes	16,697,025		—		16,698,670		—		—		16,698,670
Bonds	50,795,251		—		50,432,389		—		—		50,432,389
Mandatorily redeemable capital stock (3)	12,344		12,638		—		—		—		12,638
Accrued interest payable (3)	305,053		—		304,759		—		—		304,759
Derivative liabilities	1,994		—		126,831		—		(124,837)		1,994

Notes:

(2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at June 30, 2026 and December 31, 2025. These instruments’ maturity term is overnight.

(3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. A description of the fair value hierarchy and inputs is disclosed in Note 14 - Estimated Fair Values in the Bank’s 2025 Form 10-K. The Bank reviews its fair value hierarchy classifications on a quarterly basis. There were no significant changes in the Bank’s fair value hierarchy classification during the six months ended June 30, 2026.

Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statements of Condition at June 30, 2026 and December 31, 2025. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real Estate Owned (REO) is measured using fair value when the assets’ fair value less costs to sell is lower than the carrying amount.

Notes to Unaudited Financial Statements (continued)


	June 30, 2026
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non-MBS:

GSE obligations	$	—	$	113,575	$	—	$	—	$	113,575
Total trading securities	$	—	$	113,575	$	—	$	—	$	113,575
AFS securities:
Non-MBS:
U.S. Treasury obligations	$	—	$	5,105,478	$	—	$	—	$	5,105,478
GSE and TVA obligations	—		775,565		—		—		775,565
State or local agency obligations	—		175,902		—		—		175,902
MBS:
U.S. obligations single-family	—		1,447,418		—		—		1,447,418
GSE single-family	—		5,852,554		—		—		5,852,554
GSE multifamily	—		7,143,406		—		—		7,143,406
Private label	—		—		95,605		—		95,605
Total AFS securities	$	—	$	20,500,323	$	95,605	$	—	$	20,595,928
Derivative assets:
Interest rate related	$	—	$	108,830	$	—	$	235,783	$	344,613
Mortgage delivery commitments	—		7		—		—		7
Total derivative assets	—		108,837		—		235,783		344,620

Total recurring assets at fair value	$	—	$	20,722,735	$	95,605	$	235,783	$	21,054,123
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	78,890	$	—	$	(72,808)	$	6,082
Mortgage delivery commitments	—		950		—		—		950
Total recurring liabilities at fair value	$	—	$	79,840	$	—	$	(72,808)	$	7,032
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	5,399	$	—	$	5,399
REO	—		—		906		—		906
Total non-recurring assets at fair value	$	—	$	—	$	6,305	$	—	$	6,305

Notes to Unaudited Financial Statements (continued)


	December 31, 2025
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral (1)		Total
Recurring fair value measurements - Assets
Trading securities:
Non-MBS:

GSE obligations	$	—	$	119,676	$	—	$	—	$	119,676
Total trading securities	$	—	$	119,676	$	—	$	—	$	119,676
AFS securities:
Non-MBS:
U.S. Treasury obligations	$	—	$	4,912,280	$	—	$	—	$	4,912,280
GSE and TVA obligations	—		834,063		—		—		834,063
State or local agency obligations	—		174,833		—		—		174,833
MBS:
U.S. obligations single-family	—		1,303,882		—		—		1,303,882
GSE single-family	—		4,547,773		—		—		4,547,773
GSE multifamily	—		6,314,368		—		—		6,314,368
Private label	—		—		102,128		—		102,128
Total AFS securities	$	—	$	18,087,199	$	102,128	$	—	$	18,189,327
Derivative assets:
Interest rate related	$	—	$	79,097	$	—	$	271,014	$	350,111
Mortgage delivery commitments	—		6		—		—		6
Total derivative assets	$	—	$	79,103	$	—	$	271,014	$	350,117
Total recurring assets at fair value	$	—	$	18,285,978	$	102,128	$	271,014	$	18,659,120
Recurring fair value measurements - Liabilities
Derivative liabilities:
Interest rate related	$	—	$	126,233	$	—	$	(124,837)	$	1,396
Mortgage delivery commitments	—		598		—		—		598
Total recurring liabilities at fair value	$	—	$	126,831	$	—	$	(124,837)	$	1,994
Non-recurring fair value measurements - Assets
Impaired mortgage loans held for portfolio	$	—	$	—	$	10,751	$	—	$	10,751
REO	—		—		328		—		328
Total non-recurring assets at fair value	$	—	$	—	$	11,079	$	—	$	11,079

Note:

Notes to Unaudited Financial Statements (continued)

Level 3 Disclosures for Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of assets and liabilities that are measured at fair value on the Statements of Condition using significant unobservable inputs (Level 3) for the six months ended June 30, 2026 and 2025. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first six months of 2026 or 2025.


	AFS Private Label MBS
	Three months ended June 30,				Six months ended June 30,
(in thousands)	2026		2025		2026		2025
Balance, beginning of period	$	98,889	$	111,876	$	102,128	$	113,495
Total gains (losses) (realized/unrealized) included in:

(Provision) reversal for credit losses	(1,006)		(708)		(2,246)		(1,493)
Accretion of credit losses in interest income	1,058		690		2,149		1,880
Net unrealized gains (losses) on AFS in OCI	19		(947)		(1,020)		(997)
Settlements:

Settlements	(3,355)		(3,098)		(5,406)		(5,072)
Balance, end of period	$	95,605	$	107,813	$	95,605	$	107,813
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at June 30	$	52	$	(18)	$	(97)	$	387
Change in unrealized gains (losses) for the period included in other comprehensive income (loss) for assets held at June 30	$	19	$	(947)	$	(1,020)	$	(997)

Notes to Unaudited Financial Statements (continued)

Note 10 – Commitments and Contingencies

The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. The Bank deemed it unnecessary to record any liabilities for credit losses on these commitments at June 30, 2026 and December 31, 2025, based on the Bank’s credit extension and collateral policies.


(in thousands)	June 30, 2026						December 31, 2025
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (2)	$	24,761,052	$	—	$	24,761,052	$	27,511,140
Commitments to fund additional advances	20,000		—		20,000		—
Commitments to purchase mortgage loans	47,670		—		47,670		33,276
Unsettled consolidated obligation discount notes, at par	—		—		—		—
Unsettled consolidated obligation bonds, at par	463,000		—		463,000		1,059,000

Notes:

(1) Excludes approved requests to issue future standby letters of credit of $20.8 million at June 30, 2026 and $0.9 million at December 31, 2025.

(2) Letters of credit in the amount of $6.5 billion at June 30, 2026 and $7.3 billion at December 31, 2025, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.

Commitments to Extend Credit on Standby Letters of Credit. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $5.0 million at June 30, 2026 and $5.0 million at December 31, 2025.

The Bank manages the credit risk of each member on the basis of the member’s total credit exposure which includes its standby letters of credit. Standby letters of credit, similar to advances, are fully collateralized at the time of issuance and subject to member borrowing limits as established by the Bank. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit.

The Bank did not have legally binding or unconditional unused lines of credit for advances at June 30, 2026 or December 31, 2025. However, within the Bank’s Rollover (weekly/monthly) advance product, there were conditional lines of credit outstanding of $10.2 billion at June 30, 2026 and $10.9 billion at December 31, 2025.

Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 5 - Derivatives and Hedging Activities in this Item for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition, results of operations or cash flows.

Notes 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.

Item 3: Quantitative and Qualitative Disclosures about Market Risk

See the Risk Management section in Part I, Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations in this Form 10-Q.

Item 4: Controls and Procedures

Disclosure Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer and chief financial officer (principal financial officer), the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended. Based on this evaluation, the Bank’s chief executive officer and chief financial officer (principal financial officer) concluded that the Bank’s disclosure controls and procedures were effective as of June 30, 2026.

Management’s Report on Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the second quarter of 2026 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

The Bank may be subject to various legal proceedings arising in the normal course of business. After consultation with legal counsel, management is not aware of any such proceedings that might result in the Bank’s ultimate liability in an amount that will have a material effect on the Bank’s financial condition or results of operations.

Item 1A: Risk Factors

There are no material changes in the Bank’s Risk Factors from those previously disclosed in Part I, Item 1A. Risk Factors in the Bank’s 2025 Form 10-K.

Item 2: Unregistered Sales of Equity Securities and Use of Proceeds

Not applicable

Item 3: Defaults upon Senior Securities

None

Item 4: Mine Safety Disclosures

Not applicable

Item 5: Other Information

None

Item 6: Exhibits


Exhibit No.	Description	Method of Filing+


31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Filed herewith.
31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer	Filed herewith.
32.1	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer	Furnished herewith.
32.2	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer	Furnished herewith.
101.INS	Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	Filed herewith.
101.SCH	Inline XBRL Taxonomy Extension Schema Document	Filed herewith.
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	Filed herewith.
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	Filed herewith.
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	Filed herewith.
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	Filed herewith.
104	Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)	Filed herewith.

+ Incorporated document references to filings by the registrant are to SEC File No. 000-51395.

* Denotes management contract or compensatory plan.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Federal Home Loan Bank of Pittsburgh

(Registrant)

By: /s/ Edward V. Weller

Edward V. Weller

Chief Financial Officer

(Principal Financial Officer and Authorized Officer)

By: /s/ Matthew A. Cooper

Matthew A. Cooper

Chief Accounting Officer

(Principal Accounting Officer and Authorized Officer)

Date: August 4, 2026

ATTACHMENTS / EXHIBITS