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

0
Index to Management's Discussion and Analysis of Financial Condition and Results
of Operations

  Forward-Looking Statements                        36
  Executive Summary                                 38
  Economic Conditions                               39
  Selected Financial Data                           40
  Results of Operations                             42
  Financial Condition                               46
  Liquidity and Capital Resources                   55
  Critical Accounting Estimates                     60
  Recent Accounting Developments                    61
  Legislative and Regulatory Developments           61



Forward-Looking Statements

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

ABSTRACT

Net income for the three months ended March 31, 2022, was $27.8 million,
compared with net income of $20.9 million for the same period in 2021. The
increase in net income was driven by a decrease of $14.2 million in net
unrealized losses on trading securities and a decline of $3.0 million in losses
on early extinguishment of debt. These increases to net income were partially
offset by a $5.4 million increase in our voluntary contribution to the
Affordable Housing Program, a decrease of $2.5 million in net interest income
after provision for credit losses, and a $1.6 million increase in operating
expenses, compared to the same period in 2021.

In support of our housing and community investment mission, the Bank made a
voluntary contribution of $8.5 million to the Affordable Housing Program in the
three months ended March 31, 2022. For 2022, we expect to make voluntary
contributions to the Affordable Housing Program such that the combined total of
our required and voluntary contributions to the Affordable Housing Program, plus
the subsidy expenses for three additional targeted housing and community
investment voluntary programs that we have established, Jobs for New England,
Helping to House New England, and Housing our Workforce, equals 30 percent of
net income before deducting these amounts. Additional information on these
targeted housing and community investment programs is provided in the 2021
Annual Report.

Our retained earnings grew to $1.6 billion at March 31, 2022, an increase of
$22.7 million from December 31, 2021, and equals 4.85 percent of total assets at
March 31, 2022. We continue to satisfy all regulatory capital requirements as of
March 31, 2022. On April 22, 2022, our board of directors declared a cash
dividend that was equivalent to an annual yield of 2.09 percent, the approximate
daily average of SOFR for the first quarter of 2022 plus 200 basis points.

Our overall results of operations are influenced by the economy and financial
markets, and, in particular, by members' demand for advances and our ability to
maintain sufficient access to funding at relatively favorable costs. The
continued COVID-19 pandemic, which began to affect businesses and the economy in
March 2020, and the response of the U.S. government and the Federal Reserve
through changes in monetary policy and implementation of unprecedented fiscal
stimulus programs, led to historically low interest rates and substantially
elevated deposits reported by member depository institutions. The elevated level
of deposits at member depository institutions has been the primary cause of the
significant and continued decline in advances balances which began in the second
quarter of 2020. These developments impacted our financial condition as of
March 31, 2022, and results of operations for the three months ended March 31,
2022.

Generally, investor demand for high credit quality, fixed-income investments,
including COs, continued to be strong relative to other investments. Moreover, a
historically low supply of COs, primarily as a result of lower advances balances
throughout the FHLBank System has resulted in elevated relative demand for COs
and improved our relative cost of borrowing. Our flexibility in utilizing
various funding tools, in combination with a diverse investor base and our
status as a government-sponsored enterprise, have helped provide reliable market
access and demand for consolidated obligations throughout fluctuating market
environments and regulatory changes affecting dealers of and investors in COs.
The Bank has continued to meet all funding needs during the three months ended
March 31, 2022.

Advances Balances

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We continue to deliver on our primary mission, supplying liquidity to our
members. Advances balances totaled $11.8 billion at March 31, 2022, compared to
$12.3 billion at December 31, 2021. The decrease in advances was in
variable-rate advances and is primarily due to excess liquidity at member
institutions.

Net interest income, margin and spread

For the three months ended March 31, 2022, net interest margin was 0.74 percent,
an increase of 6 basis points from 2021, and net interest spread was 0.70
percent for the three months ended March 31, 2022, an increase of 7 basis points
from the same period in 2021. The increase in both net interest spread and net
interest margin mainly reflects an improvement in funding costs in 2022 relative
to 2021, and a reduction in net premium amortization on mortgage-related assets
relative to the same period in 2021. The rising interest rate environment in
2022 has decreased refinancing incentives on residential mortgage loans,
resulting in decreases of mortgage prepayment activity that resulted in reduced
net premium amortization of our agency residential MBS as well as our whole
mortgage loans. Other improvements in net interest income after provision for
credit losses are described in   Results of Operations - Net Interest Income  .
Average total earning assets declined $3.9 billion to $32.0 billion for the
three months ended March 31, 2022, from $36.0 billion for the same period in
2021.

Legislative and regulatory developments

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

Preparations for the LIBOR transition

The Alternative Reference Rates Committee (ARRC), which was established in 2014
by the Federal Reserve and the Federal Reserve Bank of New York to help ensure a
successful transition in the U.S. from LIBOR, recommended SOFR as the
alternative reference rate to U.S. dollar LIBOR.

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

Legislative and regulatory developments – LIBOR transition .

ECONOMIC CONDITIONS

Economic environment

Real gross domestic product (GDP) decreased at an annual rate of 1.4 percent in
the first quarter of 2022. The decrease was driven mainly by decreases in
inventories which largely reflected supply chain disruptions in the motor
vehicles industry and in exports and federal government spending. Personal
consumption expenditures and private domestic investment continued to grow in
the first quarter of 2022, prompting some commentators to view the GDP
contraction in the quarter to be the result of temporary volatility and not the
onset of a recession.

The labor market has continued to improve, with job growth averaging 562,000 per
month in the first quarter of 2022. In April 2022, employment increased by
428,000 and the unemployment rate was 3.6 percent. In March 2022, the
unemployment rate for the New England region was 4.0 percent, ranging from 2.5
percent in New Hampshire to 4.6 percent in Connecticut.

The consumer price index increased by 8.3% in April 2022 since a year
earlier, driven by the prices of housing, food, plane tickets and new vehicles.

The FHFA reported that house prices rose 19.4 percent across the U.S. from
February 2021 to February 2022. Over the same period, home prices in New England
rose 17.6 percent. At the end of April 2022, rates for 30-year fixed-rate
mortgage were above 5.0 percent, more than 2.0 percentage points higher than a
year earlier. Whether, and how much, this sharp increase in mortgage rates cools
down the housing market remains to be seen.

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Interest-Rate Environment

On May 4, 2022, the FOMC raised the target range for the federal funds rate to
75 to 100 basis points and stated that ongoing increases in the target range
will likely be appropriate given elevated rates of inflation. The FOMC also
stated that it expects to begin reducing its holdings of Treasury securities,
agency debt, and agency mortgage-backed securities on June 1, 2022. Once balance
sheet reduction begins, the Federal Reserve will reinvest principal payments
from its securities holdings only if they exceed monthly caps.

The Federal Reserve's announcement of a policy pivot from an easing to a
tightening stance, confirmed by the increase in the federal funds rate to a
range of 25 to 50 basis points in March 2022, led to a rise in interest rates.
Short-term rates rose commensurate with the magnitude of the increase in the
federal funds rate. Longer-term rates rose by a larger magnitude reflecting
expectations of further rate hikes and commencement of the balance sheet
reduction program by the Federal Reserve.

Table 1 – Key rates(1)

                                                    Three Month Average                                             Ending Rate
                                       March 31, 2022                  March 31, 2021            March 31, 2022                 December 31, 2021
SOFR                                        0.09%                           0.04%                     0.29%                           0.05%
Federal funds effective rate                0.12%                           0.08%                     0.33%                           0.07%
3-month LIBOR                               0.52%                           0.20%                     0.96%                           0.21%
3-month U.S. Treasury yield                 0.28%                           0.04%                     0.51%                           0.03%
2-year U.S. Treasury yield                  1.45%                           0.13%                     2.34%                           0.73%
5-year U.S. Treasury yield                  1.83%                           0.61%                     2.46%                           1.26%
10-year U.S. Treasury yield                 1.95%                           1.32%                     2.34%                           1.51%


________________
(1) Source: Bloomberg

SELECTED FINANCIAL DATA

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

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Table 2 - Selected Financial Data
(dollars in thousands)

                                                                                               As of and for the Three Months Ended
                                                        March 21, 2022         December 31, 2021          September 30, 2021          June 30, 2021         March 31, 2021
Statement of Condition
Total assets                                           $  32,395,662          $      32,545,292          $       34,448,917          $ 35,683,602          $  36,676,723
Investments(1)                                            16,849,318                 16,372,499                  16,404,424            16,053,111             15,474,566
Advances                                                  11,816,428                 12,340,020                  14,056,991            15,176,625             16,798,082
Mortgage loans held for portfolio, net(2)                  2,998,682                  3,120,159                   3,283,925             3,470,505              3,726,343
Deposits                                                     803,383                    884,032                     970,732               970,282              1,088,187
Consolidated obligations:
Bonds                                                     26,070,923                 26,613,032                  25,097,469            23,475,165             22,704,460
Discount notes                                             2,878,513                  2,275,320                   5,554,103             8,365,460              9,927,167
Total consolidated obligations                            28,949,436                 28,888,352                  30,651,572            31,840,625       

32,631,627

Mandatorily redeemable capital stock                          13,418                     13,562                      13,890                 7,432                  6,164
Class B capital stock outstanding-putable(3)                 929,482                    953,638                   1,028,177             1,081,057       

1,181,665

Unrestricted retained earnings                             1,202,685                  1,179,986                   1,159,509             1,147,279              1,145,756
Restricted retained earnings                                 368,420                    368,420                     368,420               368,420                368,420
Total retained earnings                                    1,571,105                  1,548,406                   1,527,929             1,515,699              1,514,176
Accumulated other comprehensive (loss) income                (88,800)                    28,967                      40,604                47,645                 21,223
Total capital                                              2,411,787                  2,531,011                   2,596,710             2,644,401              2,717,064
Results of Operations
Net interest income after provision for credit
losses                                                 $      58,942          $          56,412          $           51,145          $     43,122          $      61,484
Other income (loss), net                                       1,066                     (7,562)                    (10,453)              (13,104)               (15,763)
Other expense                                                 29,073                     20,061                      22,330                23,177                 22,513
AHP assessments                                                3,100                      2,887                       1,842                   687                  2,323
Net income                                             $      27,835          $          25,902          $           16,520          $      6,154          $      20,885
Other Information
Dividends declared                                     $       5,137          $           5,425          $            4,290          $      4,631          $       5,351
Dividend payout ratio                                          18.46  %                   20.94  %                    25.97  %              75.25  %               25.62  %
Weighted-average dividend rate(4)                               2.05                       2.05                        1.52                  1.54                   1.59
Return on average equity(5)                                     4.50                       4.00                        2.50                  0.92                   3.09
Return on average assets                                        0.35                       0.31                        0.18                  0.07                   0.23
Net interest margin(6)                                          0.74                       0.66                        0.58                  0.48                   0.68
Average equity to average assets                                7.69                       7.65                        7.36                  7.29                   7.46
Total regulatory capital ratio(7)                               7.76                       7.73                        7.46                  7.30                   7.37


_______________________

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

(2)The allowance for credit losses for mortgage loans amounted to $1.6 million
as of March 31, 2022, $1.7 million as of December 31, 2021, $2.1 million as of
September 30, 2021, $2.1 million as of June 30, 2021, and $1.9 million as of
March 31, 2021, respectively.

(3)Capital stock is putable at the option of a member upon five years' written
notice, subject to applicable restrictions. We also initiated daily repurchases
of excess stock from members on June 1, 2017.

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

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

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

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

RESULTS OF OPERATIONS

Net income increased to $27.8 million for the three months ended March 31, 2022,
from $20.9 million for the same period in 2021. The reasons for the increase are
discussed under -   Executive Summary  .

Net interest income

Net interest income after provision for credit losses for the three months ended
March 31, 2022, was $58.9 million, compared with $61.5 million for the same
period in 2021. The $2.5 million decrease in net interest income after provision
for credit losses was driven by a $6.8 million decrease in net prepayment fee
income, a $5.2 billion decrease in the average balance of advances and a $785.5
million decrease in the average balance of mortgage loans. These negative
factors were partially offset by an increase of net accretion of discounts and
premiums on mortgage-backed securities (MBS) and mortgage loans of $16.5
million, resulting from significant increases in mortgage rates during the first
quarter of 2022, an increase of fair value hedge ineffectiveness net gains of
$7.2 million, a $1.9 billion increase in the average balance of mortgage backed
securities, a $1.6 billion increase in the average balance of U.S. Treasury
securities, and an improvement in funding costs relative to the same period in
2021.

As a result, net interest spread was 0.70 percent for the three months ended
March 31, 2022, an increase of 7 basis points from the same period in 2021, and
net interest margin was 0.74 percent, an increase of 6 basis points from the
same period in 2021.

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

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

                                                                                                     For the Three Months Ended March 31,
                                                                                   2022                                                                 2021
                                                                              Interest                                                             Interest
                                                          Average             Income /                Average                  Average             Income /                Average
                                                          Balance             Expense              Yield/Rate(1)               Balance             Expense              Yield/Rate(1)
Assets
Advances                                              $ 12,404,813          $  34,907                        1.14  %       $ 17,639,366          $  57,285                        1.32  %
Interest-bearing deposits                                  415,657                160                        0.16               570,137                 84                        0.06
Securities purchased under agreements to resell            546,689                171                        0.13               711,111                124                        0.07
Federal funds sold                                       2,128,889                814                        0.16             3,175,955                614                        0.08
Investment securities(2)                                13,494,518             45,863                        1.38            10,050,564             41,070                        1.66
Mortgage loans (2)(3)                                    3,048,429             21,528                        2.86             3,833,903             25,137                        2.66

Total interest-earning assets                           32,038,995            103,443                        1.31            35,981,036            124,314                        1.40
Other non-interest-earning assets                          470,213                                                              318,402
Fair-value adjustments on investment securities             77,524                                                              476,354
Total assets                                          $ 32,586,732          $ 103,443                        1.29  %       $ 36,775,792          $ 124,314                        1.37  %
Liabilities and capital
Consolidated obligations
Discount notes                                        $  2,304,476          $     607                        0.11  %       $ 11,298,752          $   2,402                        0.09  %
Bonds                                                   26,523,530             43,900                        0.67            21,397,106             61,601                        1.17
Other interest-bearing liabilities                         804,721                 94                        0.05             1,014,144                 53                        0.02
Total interest-bearing liabilities                      29,632,727             44,601                        0.61            33,710,002             64,056                        0.77
Other non-interest-bearing liabilities                     448,126                                                              320,949
Total capital                                            2,505,879                                                            2,744,841
Total liabilities and capital                         $ 32,586,732          $  44,601                        0.56  %       $ 36,775,792          $  64,056                        0.71  %
Net interest income                                                         $  58,842                                                            $  60,258
Net interest spread                                                                                          0.70  %                                                              0.63  %
Net interest margin                                                                                          0.74  %                                                              0.68  %

_________________________

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

Rate and Volume Analysis

Changes in both average balances (volume) and interest rates influence changes
in net interest income and net interest margin. Table 4 summarizes changes in
interest income and interest expense for the three months ended March 31, 2022
and 2021. Changes in interest income and interest expense that are not
identifiable as either volume-related or rate-related, but are equally
attributable to both volume and rate changes, have been allocated to the volume
and rate categories based upon the proportion of the absolute value of the
volume and rate changes.

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

                                                                   For the 

Three months completed March 31, 2022 compared to 2021

                                                                               Increase (Decrease) due to
                                                                     Volume               Rate               Total
Interest income
Advances                                                          $  (15,435)         $  (6,943)         $  (22,378)
Interest-bearing deposits                                                (28)               104                  76
Securities purchased under agreements to resell                          (34)                81                  47
Federal funds sold                                                      (252)               452                 200
Investment securities                                                 12,485             (7,692)              4,793
Mortgage loans                                                        (5,438)             1,829              (3,609)

Total interest income                                                 (8,702)           (12,169)            (20,871)
Interest expense
Consolidated obligations
Discount notes                                                        (2,263)               468              (1,795)
Bonds                                                                 12,497            (30,198)            (17,701)

Other interest-bearing liabilities                                       (13)                54                  41
Total interest expense                                                10,221            (29,676)            (19,455)
Change in net interest income                                     $  (18,923)         $  17,507          $   (1,416)


Average balance of outstanding advances

The average balance of total advances decreased $5.2 billion, or 29.7 percent,
for the three months ended March 31, 2022 compared with the same period in 2021,
as members paid off advances, in many cases prior to maturity. We cannot predict
future member demand for advances.

For the three months ended March 31, 2022 and 2021, net prepayment fees on
advances were $914 thousand and $7.7 million, respectively. Prepayment-fee
income is unpredictable and inconsistent from period to period, occurring only
when advances and investments are prepaid prior to the scheduled maturity or
repricing dates, and generally when prevailing reinvestment yields are lower
than those of the prepaid advances. For additional information see Item 8 -
Financial Statements and Supplementary Data - Notes to the Financial Statements
- Note 2 - Summary of Significant Accounting Policies - Advances in the 2021
Annual Report.

Average investment balance

Average short-term money-market investments, consisting of interest-bearing
deposits, securities purchased under agreements to resell, and federal funds
sold, decreased $1.4 billion, or 30.6 percent, for the three months ended
March 31, 2022, compared with the same period in 2021, as liquidity needs were
sharply lower in 2022 compared to 2021 amid lower advances borrowing activity.
The yield earned on short-term money-market investments is highly correlated to
short-term market interest rates. As a result of the FOMC's increase in the
target range for the federal funds rate, average yields on overnight federal
funds sold increased from 0.08 percent during the three months ended March 31,
2021, to 0.16 percent during the three months ended March 31, 2022, while
average yields on securities purchased under agreements to resell increased from
0.07 percent for the three months ended March 31, 2021, to 0.13 percent for the
three months ended March 31, 2022. These investments are used for liquidity
management.

Average investment-securities balances increased $3.4 billion, or 34.3 percent
for the three months ended March 31, 2022, compared with the same period in
2021, an increase consisting primarily of $1.9 billion in MBS and $1.6 billion
in U.S. Treasury obligations.

Average CO balance

Average CO balances decreased $3.9 billion, or 11.8 percent, for the three
months ended March 31, 2022, compared with the same period in 2021, resulting
from our decreased funding needs principally due to the decrease in our average
advances balances. This overall decrease consisted of a decline of $9.0 billion
in CO discount notes offset by a $5.1 billion increase in CO bonds.
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The average balance of CO discount notes represented approximately 8.0 percent
of total average COs during the three months ended March 31, 2022, compared with
34.6 percent of total average COs during the three months ended March 31, 2021.
The average balance of CO bonds represented 92.0 percent and 65.4 percent of
total average COs outstanding during the three months ended March 31, 2022 and
2021, respectively.

Impact of derivatives and hedging activities

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

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

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

                                                                         For the Three Months Ended March 31, 2022
Net Effect of Derivatives and
Hedging Activities                            Advances            Investments           Mortgage Loans                CO Bonds           Other             Total
Net interest income
Amortization / accretion of hedging
activities (1)                             $      (263)         $          -          $          (156)               $   (936)         $     -          $ (1,355)
Gains on designated fair-value
hedges                                           1,331                14,291                        -                     479                -            16,101
Net interest settlements on
derivatives(2)                                  (9,926)              (37,391)                       -                  26,791                -           (20,526)
Total net interest income                       (8,858)              (23,100)                    (156)                 26,334                -            (5,780)

Net gains (losses) on derivatives
and hedging activities
Gains (losses) on derivatives not
receiving hedge accounting                           1                    (1)                       -                    (521)               -              (521)
CO bond firm commitments                             -                     -                        -                     521                -               521
Mortgage delivery commitments                        -                     -                     (673)                      -                -         

(673)

Net gains (losses) on derivatives
and hedging activities                               1                    (1)                    (673)                      -                -        

(673)

Net losses on trading securities                     -                  (425)                       -                       -                -      

(425)

Total net effect of derivatives and
hedging activities                         $    (8,857)         $    (23,526)         $          (829)               $ 26,334          $     -          $ (6,878)



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Contents

                                                                     For the Three Months Ended March 31, 2021
Net Effect of Derivatives and                                                          Mortgage
Hedging Activities                           Advances            Investments            Loans                  CO Bonds           Other            Total
Net interest income
Amortization / accretion of hedging
activities in net interest income
(1)                                       $      (699)         $          -          $    (481)               $   (645)         $    -          $ 

(1,825)

Gains on designated fair-value
hedges                                          1,018                 7,613                  -                     233               -              

8,864

Net interest settlements included
in net interest income (2)                    (15,825)              (21,937)                 -                   7,470               -            (30,292)
Total net interest income                     (15,506)              (14,324)              (481)                  7,058               -            (23,253)

Net gains (losses) on derivatives
and hedging activities

Gains (losses) on derivatives not
receiving hedge accounting                          6                   (25)                 -                     (19)           (148)              (186)
CO bond firm commitments                            -                     -                  -                      19               -                 19
Mortgage delivery commitments                       -                     -               (686)                      -               -               (686)
Price alignment amount (3)                          -                     -                  -                       -               5                  5
Net gains (losses) on derivatives
and hedging activities                              6                   (25)              (686)                      -            (143)             

(848)

Net losses on trading securities                    -               (14,861)                 -                       -               -          

(14,861)

Total net effect of derivatives and
hedging activities                        $   (15,500)         $    (29,210)         $  (1,167)               $  7,058          $ (143)         $ (38,962)


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

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

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

FINANCIAL CONDITION

Advances

At March 31, 2022, the advances portfolio totaled $11.8 billion, a decrease of
$523.6 million from $12.3 billion at December 31, 2021. The demand for advances
experienced further reduction during the quarter, as member deposit levels
continued to be elevated.

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

                                                             March 31, 2022                                 December 31, 2021
                                                    Par Value           Percent of Total            Par Value             Percent of Total
Fixed-rate advances
Long-term                                        $   6,849,626                   57.4  %       $       6,511,706                   52.7  %
Short-term                                           1,532,799                   12.8                  1,531,550                   12.4
Putable                                              1,091,750                    9.2                  1,178,425                    9.6
Amortizing                                             520,810                    4.4                    551,163                    4.5
Overnight                                              202,980                    1.7                    225,922                    1.8

                                                    10,197,965                   85.5                  9,998,766                   81.0

Variable-rate advances
Simple variable (1)                                  1,726,875                   14.5                  2,348,875                   19.0

All other variable-rate indexed advances                     -                      -                         64                      -
                                                     1,726,875                   14.5                  2,348,939                   19.0
Total par value                                  $  11,924,840                  100.0  %       $      12,347,705                  100.0  %


________________________

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

See Item 1 – Financial statements – Notes to the financial statements
Statements – Note 4 – Advances for Reimbursement Disclosures
terms of the loan portfolio.

Advances Credit risk

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

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

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

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

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

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

                                       47

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

                                                                                     As of March 31, 2022
                                                                               Par Value of                                  Ratio of Discounted
                                                                                 Advances               Discounted               Collateral
                                                Number of Borrowers             Outstanding             Collateral               to Advances
Category-1                                                195                $    6,891,373          $  86,371,160                     1,253.3  %
Category-2                                                 14                       303,057                887,027                       292.7
Category-3                                                 12                       228,372                381,503                       167.1
Insurance companies                                        25                     4,502,038              6,010,913                       133.5
Total                                                     246                $   11,924,840          $  93,650,603                       785.3  %



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

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

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

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

                                                                                       March 31, 2022
                                                         Par Value of          Percent of Total Par
Name                                                       Advances        

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

            $    2,100,000                       17.6  %                            1.78  %
Voya Retirement Insurance and Annuity Company                 925,000                        7.8                               0.83
Hingham Institution for Savings                               865,000                        7.2                               0.36
Workers Federal Credit Union                                  474,000                        4.0                               2.05
Institution for Savings in Newburyport and its
Vicinity                                                      400,837                        3.4                               1.75

Total top five advance lenders $4,764,837

                40.0  %


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

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

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

Total top five advance lenders $4,233,142

                34.3  %


_______________________

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

Investments

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At March 31, 2022, investment securities and short-term money-market instruments
totaled $16.8 billion, an increase of $476.8 million from $16.4 billion at
December 31, 2021.

Short-term money-market investments increased $782.0 million to $3.6 billion at
March 31, 2022, compared with December 31, 2021. The increase was attributable
to increases of $600.0 million in securities purchased under agreements to
resell and $222.0 million in federal funds sold offset by a decrease of $40.0
million in interest bearing deposits.
Investment securities declined $305.2 million to $13.2 billion at March 31,
2022, compared with $13.5 billion at December 31, 2021. This was attributable to
decreases of $163.8 million in MBS and $73.2 million in U.S. Treasury
obligations.

Investments Credit risk

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

We place short-term funds with large, high-quality financial institutions that
must be rated in at least the third-highest internal rating category on a rating
scale of FHFA1 through FHFA7, reflecting progressively lower credit quality. The
internal rating categories of FHFA1 through FHFA4 are considered to be
investment quality. As of March 31, 2022, all of these placements either expired
within 60 days or were payable upon demand. See Part 1 - Item 1 - Business -
Business Lines - Investments in the 2021 Annual Report for additional
information.

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

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

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

                                                                          As of March 31, 2022
                                                                        Long-Term Credit Rating
Investment Category                                   Triple-A            Double-A              Single-A                        Unrated
Money-market instruments: (1)
Interest-bearing deposits                           $       -          $        150          $    45,010                      $      -
Securities purchased under agreements to
resell                                                      -               900,000              500,000                             -
Federal funds sold                                          -               176,000            1,990,000                             -

Total money-market instruments                              -             1,076,150            2,535,010                             -

Investment securities:(2)

Non-MBS:
U.S. Treasury obligations                                   -             5,511,796                    -                             -
Corporate bonds                                             -                     -                    -                         1,232
U.S. government-owned corporations                          -               275,474                    -                             -
GSE                                                         -               114,117                    -                             -
Supranational institutions                            380,282                     -                    -                             -
HFA securities                                         33,984                27,460                    -                             -
Total non-MBS                                         414,266             5,928,847                    -                         1,232

MBS:
U.S. government guaranteed - single-family                  -                24,100                    -                             -
U.S. government guaranteed - multifamily                    -               536,893                    -                             -
GSE - single-family                                         -             1,104,678                    -                             -
GSE - multifamily                                           -             5,228,142                    -                             -

Total MBS                                                   -             6,893,813                    -                             -

Total investment securities                           414,266            12,822,660                    -                         1,232

Total investments                                   $ 414,266          $ 13,898,810          $ 2,535,010                      $  1,232

_______________________

(1)  The counterparty NRSRO rating is used for money-market instruments.
Counterparty ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and
are each as of March 31, 2022. If there is a split rating, the lowest rating is
used. In certain instances where a counterparty is unrated, the Bank may assign
a deemed rating to the counterparty and that deemed rating is used.

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

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

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

                                                            Carrying Value
                                                March 31, 2022       December 31, 2021
     Interest bearing deposits                 $        45,160      $      

85 153

     Federal funds sold                              2,166,000             

1,944,000

     Supranational institutions                        380,282                 403,765
     U.S. government-owned corporations                275,474                 306,864
     GSEs                                              114,117                 126,472



Mortgage Loans

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

As of March 31, 2022, our mortgage loan investment portfolio totaled $3.0
billion, a decrease of $121.5 million from December 31, 2021. We have
experienced continued competition from Fannie Mae and Freddie Mac, as well as
from private mortgage loan acquirers, for loan investment opportunities. In
addition, prepayment activity in the three months ended March 31, 2022, has been
elevated and has outpaced our purchases of mortgage loans.

Credit risk related to mortgage loans

We are subject to credit risk from the mortgage loans in which we invest due to
our exposure to the credit risk of the underlying borrowers and the credit risk
of the participating financial institutions when the participating financial
institutions retain credit-enhancement and/or servicing obligations. For
additional information on the credit risks arising from our participation in the
MPF program, see Part II - Item 7 - Management's Discussion and Analysis of
Financial Condition and Results of Operations - Financial Condition - Mortgage
Loans - Mortgage Loans Credit Risk in the 2021 Annual Report. For information on
the credit performance of our mortgage loan portfolio as of March 31, 2022, see
Item I - Financial Statements - Note 5 - Mortgage Loans Held for Portfolio in
this report.

Although our mortgage loan portfolio includes life cycle loans WE,
concentrations of 5% or more of the outstanding principal balance of
our portfolio of conventional mortgages are shown in Table 12.

Table 11 – Concentrations of states by outstanding principal balance

Percentage of Total Principal Balance Outstanding

conventional mortgages

                                                                       March 31, 2022              December 31, 2021
Massachusetts                                                                        62  %                       63  %
Maine                                                                                10                          10
Connecticut                                                                           9                           8
Vermont                                                                               5                           5

All others                                                                           14                          14
Total                                                                               100  %                      100  %



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

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

                                                                  For the 

Three months completed March, 31st,

                                                                      2022                       2021

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

                                                $        3,000,274           $     3,772,228
Net recoveries (charge-offs)                                                  -                        26
Net charge-offs to average loans outstanding during the year
ending                                                                        -   %                     -  %

                                                                                          As of December 31,
                                                              As of March 31, 2022               2021
Mortgage loans held for portfolio, par value                 $        2,955,167           $     3,072,075
Nonaccrual loans, par value                                              17,004                    21,384
Allowance for credit losses on mortgage loans                             1,600                     1,700

Allowance for credit losses on mortgages held for
wallet

                                                                  0.05   %                  0.06  %
Nonaccrual loans to mortgage loans held for portfolio                      0.58                      0.70
Allowance for credit losses to nonaccrual loans                            9.41                      7.95



Mortgage Insurance Companies. We are exposed to credit risk from primary
mortgage insurance coverage (PMI) on individual loans. As of March 31, 2022, we
were the beneficiary of PMI coverage of $65.8 million on $251.6 million of
conventional mortgage loans. These amounts relate to loans originated with PMI
and for which current loan-to-value ratios exceed 78 percent (determined by
recalculating the original loan-to-value ratio using the current unpaid
principal balance divided by the appraised home value at the time of loan
origination).

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

Consolidated Obligations

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

Derivatives

All derivatives are recorded on the statement of condition at fair value and
classified as either derivative assets or derivative liabilities. Bilateral and
cleared derivatives outstanding are classified as assets or liabilities
according to the net fair value of derivatives aggregated by each counterparty.
Derivative assets' net fair value, net of cash collateral and accrued interest,
totaled $410.5 million and $378.5 million as of March 31, 2022, and December 31,
2021, respectively. Derivative liabilities' net fair value, net of cash
collateral and accrued interest, totaled $29.3 million and $38.9 million as of
March 31, 2022, and December 31, 2021, respectively.

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

                                                                                                                     March 31, 2022                          December 31, 2021
                                                                                                              Notional               Fair               Notional               Fair
Hedged Item                                           Derivative                 Designation(2)                Amount                Value             
 Amount               Value
Advances (1)                                      Swaps                     Fair value                     $  3,183,770          $    4,992          $  2,693,195          $   1,800
                                                  Swaps                     Economic                            329,800              (4,989)              345,425            (11,761)
Total associated with advances                                                                                3,513,570                   3             3,038,620             (9,961)
Available-for-sale securities                     Swaps                     Fair value                       12,077,159              38,913            10,795,541             56,831
Trading securities                                Swaps                     Economic                                  -                   -               500,000              3,087
COs                                               Swaps                     Fair value                       15,277,220            (730,625)           13,101,220           (173,243)
                                                  Swaps                     Economic                                  -                   -                55,000                (24)
                                                  Forward starting
                                                  swaps                     Cash Flow                         1,391,000              (1,701)            1,391,000               (380)
Total associated with COs                                                                                    16,668,220            (732,326)           14,547,220           (173,647)

Total                                                                                                        32,258,949            (693,410)           28,881,381           (123,690)
CO bond firm commitments                                                                                         35,000                 133                55,000                 24
Mortgage delivery commitments                                                                                     9,889                  72                 3,164                 68
Total derivatives                                                                                          $ 32,303,838            (693,205)         $ 28,939,545           (123,598)
Accrued interest                                                                                                                    (53,751)                                 (50,008)
Cash collateral, including related accrued
interest                                                                                                                          1,128,183                                  513,194
Net derivatives                                                                                                                  $  381,227                                $ 339,588

Derivative asset                                                                                                                 $  410,500                                $ 378,532
Derivative liability                                                                                                                (29,273)                                 (38,944)
Net derivatives                                                                                                                  $  381,227                                $ 339,588

_______________________

(1)  As of March 31, 2022 and December 31, 2021, embedded derivatives separated
from certain advance contracts with notional amounts of $329.8 million and
$345.4 million, respectively, and fair values of $5.0 million and $11.9 million,
respectively, are not included in the table.

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

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

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

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

                                                                                          As of March 31, 2022
                                                                  Net Derivatives         Cash Collateral        Non-cash Collateral
                                                                 Fair Value Before          Pledged to                Pledged to             Net Credit Exposure
Credit Rating (1)                        Notional Amount            Collateral             Counterparty              Counterparty             to Counterparties

Liability positions with credit
exposure:
Uncleared derivatives
Single-A                               $     15,734,250          $     (711,517)         $      702,664          $          32,588          $           23,735

Cleared derivatives                          16,524,699                 (35,645)                425,519                          -                     389,874
Total interest-rate swap
positions with nonmember
counterparties to which we had
credit exposure                              32,258,949                (747,162)              1,128,183                     32,588                     413,609

CO Bond firm commitments                         35,000                     133                       -                          -                         133
Mortgage delivery commitments
(2)                                               9,889                      86                       -                          -                          86
Total                                  $     32,303,838          $     (746,943)         $    1,128,183          $          32,588          $          413,828


_______________________

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

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


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

Transition from LIBOR to alternative benchmark rates

On March 5, 2021, the United Kingdom's FCA confirmed that the publication of the
principal tenors of U.S. dollar LIBOR (i.e., overnight, one-month, three-month,
six-month and 12-month LIBOR) will cease immediately following a final
publication on June 30, 2023. As of January 1, 2022, the one-week and two-month
U.S. dollar LIBOR settings and all non-U.S. dollar LIBOR settings ceased to be
provided by any administrator. Although the FCA has indicated that it does not
expect the remaining U.S. dollar LIBOR settings to become unrepresentative
before the cessation date, there is no assurance that any of them will continue
to be published or be representative through any particular date.

We have exposures to investment securities and derivatives with interest rates
indexed to U.S. dollar LIBOR. All of our LIBOR-indexed financial instruments
utilize a LIBOR tenor that will either cease to be published or will no longer
be representative after June 30, 2023. Table 15 presents our exposure to
LIBOR-indexed investment securities and LIBOR-indexed derivatives, at March 31,
2022.

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

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Table 15 - Financial Instruments with LIBOR Exposure at March 31, 2022
(dollars in thousands)

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

Assets exposed to LIBOR

Investment securities, par amount by
contractual maturity
Non-MBS                                        $        -          $                -          $          12,210          $  12,210
MBS(1)                                                  -                           -                    468,058            468,058
Total investment securities                    $        -          $        

– $480,268 $480,268

LIBOR-indexed interest-rate swaps,
notional amount
Receive leg
Cleared                                        $   33,000          $           12,000          $          25,750          $  70,750
Uncleared                                         155,000                     231,600                    350,900            737,500

Total interest rate swaps, receiving leg $188,000 $

  243,600          $         376,650          $ 808,250

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


_______________________

(1)Balances are presented according to the contractual maturity date and do not
reflect scheduled or unscheduled principal repayments of the underlying mortgage
loans.

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

                                        Par Value of           Par Value of          Par Value of          Par Value of
                                          Advances               Non-MBS                  MBS                CO Bonds
LIBOR                                  $          -          $      12,210          $    468,058          $          -
SOFR                                        312,500                      -               948,563             3,903,000
FHLBank discount note auction
rate                                      1,414,375                      -                     -                     -
Constant Maturity Treasury                        -                      -                34,399                     -

Total                                  $  1,726,875          $      12,210          $  1,451,020          $  3,903,000


CASH AND CAPITAL RESOURCES

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

Liquidity

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

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

Sources and Uses of Liquidity. Our primary sources of liquidity are proceeds
from the issuance of COs and advance repayments, and maturing short-term
investments, as well as cash and investment holdings that are primarily
high-quality, short- and intermediate-term financial instruments. During the
three months ended March 31, 2022, we maintained continual access to funding and
adapted our debt issuance to meet the needs of our members.

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

Secondary sources of liquidity include payments collected on mortgage loans,
proceeds from the issuance of capital stock, and deposits from members. In
addition, under the FHLBank Act, the U.S. Treasury may purchase up to $4 billion
of FHLBank COs. The terms, conditions, and interest rates in such a purchase
would be determined by the U.S. Treasury. This authority may be exercised at the
discretion of the U.S. Treasury with the agreement of the FHFA only if
alternative means cannot be effectively employed to permit members of the
FHLBanks to continue to supply reasonable amounts of funds to the mortgage
market, and the ability to supply such funds is substantially impaired because
of monetary stringency and a high level of interest rates. There were no such
purchases by the U.S. Treasury during the quarter ended March 31, 2022.

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

Internal sources of liquidity / Liquidity management

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

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

Liquidity Management Action Trigger. We maintain a liquidity management action
trigger pertaining to projected net cash flow: if projected net cash flow falls
below zero on or before the 21st day following the measurement date, then
management of the Bank is notified and determines whether any corrective action
is necessary. We did not exceed this threshold at any time during the three
months ended March 31, 2022.

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

                                                            As of March 31, 2022
                                                                   21 Days
  Uses of funds
  Interest payable                                         $              10,738
  Maturing liabilities                                                 2,038,000
  Committed asset settlements                                            204,800
  Capital outflow                                                        177,739
  MPF delivery commitments                                                 9,889
  Other                                                                   31,676
  Gross uses of funds                                                  2,472,842

  Sources of funds
  Interest receivable                                                     30,261
  Maturing or projected amortization of assets                         

4,383,585

  Committed liability settlements                                        

384,912

  Cash and due from banks and interest bearing deposits                  247,855

  Gross sources of funds                                               5,046,613

  Projected net cash flow                                  $           2,573,771



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

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

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

We were in compliance with the base case liquidity requirement at all times
in the three months ended March 31, 2022.

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

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

Table 18 – Measure of financing gap

                                                                                                           Three-Month Average            Three-Month Average
Funding Gap Metric (1)                               Limit             Management Action Trigger              March 31, 2022               December 31, 2021
3-month Funding Gap                                   15%                         13%                                     (7.4) %                        (8.2) %
1-year Funding Gap                                    30%                         25%                                     (0.3) %                        (0.5) %


_______________________

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

External sources of liquidity

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

Debt Financing – Consolidated Bonds

At both March 31, 2022, and December 31, 2021, outstanding COs for which we are
primarily liable, including both CO bonds and CO discount notes, totaled $28.9
billion. CO bonds outstanding for which we are primarily liable at March 31,
2022, and December 31, 2021, include issued callable bonds totaling $14.6
billion and $12.8 billion, respectively.

CO discount notes comprised 9.9 percent and 7.9 percent of the outstanding COs
for which we are primarily liable at March 31, 2022, and December 31, 2021,
respectively, but accounted for 94.5 percent and 94.4 percent of the proceeds
from the issuance of such COs during the three months ended March 31, 2022 and
2021, respectively.

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

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

Capital

Total capital at March 31, 2022been $2.4 billion compared to $2.5 billion to
end of year 2021.

Capital stock decreased by $24.2 million during the three months ended March 31,
2022, resulting from capital stock repurchases of $146.0 million offset by the
issuance of $121.9 million of capital stock.

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The FHLBank Act and FHFA regulations specify that each FHLBank is required to
satisfy certain minimum regulatory capital requirements. We were in compliance
with these requirements at March 31, 2022, as discussed in   Part 1- Item 1 -
Notes to the Financial Statements - Note 10 - Capital.

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

                                               March 31, 2022       December 31, 2021
Past redemption date (1)                      $         2,994      $            3,138
Due in one year or less                                   112                      92
Due after one year through two years                       10               

30

Due after two years through three years                   435               

Due after three years through four years                  836               

581

Due after four years through five years                 9,031                   9,721

Total                                         $        13,418      $           13,562


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


capital rule

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

Internal capital practices and policies

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

Minimum Internal Required Capital Exceeding Regulatory Requirements

To provide protection for our capital base, we maintain an internal minimum
capital requirement whereby the amount of paid-in capital stock and retained
earnings (together, our actual regulatory capital) must be at least equal to the
sum of 4 percent of our total assets plus an amount we measure as our risk
exposure with 99 percent confidence using our economic capital model (together,
our internal minimum capital requirement). As of March 31, 2022, this internal
minimum capital requirement equaled $1.8 billion, which was satisfied by our
actual regulatory capital of $2.5 billion.

Minimum retained earnings target

At March 31, 2022, we had total retained earnings of $1.6 billion compared with
our minimum retained earnings target of $700.0 million. We generally view our
minimum retained earnings target as a floor for retained earnings rather than as
a retained earnings limit and expect to continue to grow our retained earnings
modestly even though we exceed the target.

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

Redemption of excess inventory

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

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Contents

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

                                                                                                                     Outstanding
                                     Membership Stock            Activity-Based              Total Stock               Class B
                                        Investment              Stock Investment             Investment             Capital Stock           Excess Class B
                                      Requirement(1)              Requirement              Requirement (2)               (3)                Capital Stock
March 31, 2022                     $         316,072          $         449,068          $        765,162          $     942,901          $       177,739
December 31, 2021                            429,353                    505,264                   934,638                967,200                   32,562

_______________________

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

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

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

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

Restricted retained earnings

At March 31, 2022, our restricted retained earnings amount was $368.4 million,
which exceeds the required contribution to the restricted retained earnings
account of $291.0 million. No allocation of net income was made to restricted
retained earnings in 2021 and no further allocations of net income into
restricted retained earnings are required until such time as the contribution
requirement exceeds the balance of restricted retained earnings.

Off-balance sheet arrangements and global contractual obligations

Our principal off-balance sheet arrangements include the following:

• commitments that require us to make additional advances;

• standby letters of credit;

• advance commitments on unused credit lines; and

• CO not regulated.

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

CRITICAL ACCOUNTING ESTIMATES

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

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

As of March 31, 2022, we have not made any significant changes to the estimates
and assumptions used in applying our critical accounting policies and estimates
from those used to prepare our audited financial statements.

RECENT ACCOUNTING DEVELOPMENTS

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

LEGISLATIVE AND REGULATORY CHANGES

We summarize some important legislative and regulatory measures and
developments for the period covered by this report below.

SEC Proposed Rule on Climate-related Disclosures. On March 21, 2022, the SEC
issued a proposed rule on climate-related disclosures that would require the
Bank to disclose its: (i) direct and certain indirect greenhouse gas emissions;
(ii) if applicable, climate transition plan, climate-related targets and
progress toward such plan or targets; (iii) climate-related risks over various
time horizons and their impacts on the Bank's business; (iv) climate-related
risks in qualitative and quantitative terms in the notes to the Bank's financial
statements; and (v) corporate governance of climate-related risks and risk
management processes.

If the proposed rule is finalized without change, the Bank would be subject to
certain disclosure requirements for its annual report for fiscal year 2024 and
additional disclosure requirements for its annual report for fiscal year 2025.

We continue to review the proposed rule, but we expect that it would result in
increased costs and complexity associated with our SEC reporting. While we are
unable to quantify the anticipated costs at this time, we expect that compliance
would require operational enhancements impacting many aspects of our business.
The Bank is unable to predict at this time whether the SEC will finalize the
proposed rule, or the extent to which any final rule will deviate from the
proposed rule.

Amendment to FINRA Rule 4210: Margining of Covered Agency Transactions. On
February 25, 2022, the Financial Industries Regulatory Authority (FINRA)
extended the implementation date of its amendments to FINRA Rule 4210 delaying
the effectiveness of margining requirements for covered agency transactions
until October 26, 2022. On April 14, 2022, the SEC granted a petition for review
of the amendments thereby staying the effectiveness of the amendments until the
petition is resolved. Once the margining requirements are effective, the Bank
may be required to collateralize its transactions that are covered agency
transactions, which include to be announced transactions (TBAs). These
collateralization requirements could have the effect of reducing the overall
profitability of engaging in covered agency transactions, including TBAs.
Further, any collateralization requirements would expose us to credit risk from
our counterparties to such transactions. We do not expect this amended rule to
have a material effect on our financial condition or results of operations.

LIBOR Transition. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act
was signed into law. This law provides a statutory fallback mechanism and safe
harbor that apply on a nationwide basis to replace LIBOR with a benchmark rate
selected by the Federal Reserve Board based on SOFR for certain contracts that
reference LIBOR and contain no or insufficient fallback provisions, including
fallback rates that are in any way based on LIBOR. This law will also pre-empt
state LIBOR statutes, such as Article 18-C of the New York General Obligations
Law. We do not expect this rule to have a material effect on our financial
condition or results of operations.
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