FEDERAL HOME LOAN BANKS

FEDERAL HOME LOAN BANKS

Combined Financial Report for the Quarterly Period Ended September 30, 2019

This Combined Financial Report provides financial information on the Federal Home Loan Banks. The Federal Home Loan Banks issue consolidated bonds and consolidated discount notes (collectively referred to as consolidated obligations). Consolidated obligations are joint and several obligations of all Federal Home Loan Banks, which means that each individual Federal Home Loan Bank is responsible for the payment of principal and interest on all consolidated obligations. Each Federal Home Loan Bank is a separately chartered entity with its own board of directors and management. There is no centralized, system-wide management or oversight by a single board of directors of the Federal Home Loan Banks.

Federal Home Loan Bank consolidated obligations are not obligations of the United States and are not guaranteed by the United States. No person other than the Federal Home Loan Banks will have any obligations or liability with respect to consolidated obligations.

The Securities Act of 1933, as amended, does not require the registration of consolidated obligations; therefore, no registration statement with respect to consolidated obligations has been filed with the U.S. Securities and Exchange Commission. Neither the U.S. Securities and Exchange Commission, nor the Federal Housing Finance Agency, nor any state securities commission has approved or disapproved of these consolidated obligations or determined if this report is truthful or complete.

Carefully consider the risk factors provided in this and other Combined Financial Reports of the Federal Home Loan Banks (collectively referred to as Combined Financial Reports). Neither the Combined Financial Reports nor any offering materials provided by, or on behalf of, the Federal Home Loan Banks describe all the risks of investing in consolidated obligations. Investors should consult with their financial and legal advisors about the risks of investing in consolidated obligations.

The financial information contained in this Combined Financial Report is for the quarterly period ended September 30, 2019. This Combined Financial Report should be read in conjunction with the Federal Home Loan Banks Combined Financial Report for the year ended December 31, 2018, issued on March 27, 2019. Combined Financial Reports are available on the Federal Home Loan Banks Office of Finance web site at fhlb-. This web site address is provided as a matter of convenience only, and its contents are not made part of or incorporated by reference into this report.

Investors should direct questions about consolidated obligations or the Combined Financial Reports to the Federal Home Loan Banks Office of Finance at (703) 467-3600.

This Combined Financial Report was issued on November 13, 2019.

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TABLE OF CONTENTS

Explanatory Statement about Federal Home Loan Banks Combined Financial Report Combined Financial Statements (Unaudited)

Combined Statement of Condition Combined Statement of Income Combined Statement of Comprehensive Income Combined Statement of Capital Combined Statement of Cash Flows Notes to Combined Financial Statements (Unaudited) Note 1 - Summary of Significant Accounting Policies Note 2 - Recently Issued and Adopted Accounting Guidance Note 3 - Trading Securities Note 4 - Available-for-Sale Securities Note 5 - Held-to-Maturity Securities Note 6 - Other-than-Temporary Impairment Analysis Note 7 - Advances Note 8 - Mortgage Loans Note 9 - Allowance for Credit Losses Note 10 - Derivatives and Hedging Activities Note 11 - Deposits Note 12 - Consolidated Obligations Note 13 - Capital Note 14 - Accumulated Other Comprehensive Income (Loss) Note 15 - Fair Value Note 16 - Commitments and Contingencies Note 17 - Subsequent Events Condensed Combining Schedules (Unaudited) Selected Financial Data Financial Discussion and Analysis of Combined Financial Condition and Combined Results of Operations Forward-Looking Information Executive Summary Combined Financial Condition Combined Results of Operations Liquidity and Capital Resources Critical Accounting Estimates Recent Accounting Developments Legislative and Regulatory Developments External Credit Ratings Risk Management Quantitative and Qualitative Disclosures about Market Risk Controls and Procedures Legal Proceedings Risk Factors Other Information Market for Capital Stock and Related Stockholder Matters Supplemental Information Index of Tables and Figures Contained in the Combined Financial Report

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1 2 2 3 8 26 40 42 43 43 44 45 58 62 64 65 66 67 S-1 Index

EXPLANATORY STATEMENT ABOUT FEDERAL HOME LOAN BANKS COMBINED FINANCIAL REPORT

The Federal Home Loan Banks (FHLBanks) are government-sponsored enterprises (GSEs), federally-chartered but privately capitalized and independently managed. The FHLBanks together with the Federal Home Loan Banks Office of Finance (Office of Finance) comprise the FHLBank System.

The Office of Finance is responsible for preparing the Combined Financial Reports of the FHLBanks. Each FHLBank is responsible for the financial information and underlying data it provides to the Office of Finance for inclusion in the Combined Financial Reports. The Office of Finance is responsible for combining the financial information it receives from each of the FHLBanks.

The Combined Financial Reports are intended to be used by investors in consolidated obligations (consolidated bonds and consolidated discount notes) of the FHLBanks as these are joint and several obligations of all FHLBanks. This Combined Financial Report is provided using combination accounting principles generally accepted in the United States of America. This combined presentation in no way indicates that these assets and liabilities are under joint management and control as each individual FHLBank manages its operations independently. Therefore, each FHLBank's business, risk profile, financial condition, and results of operations will vary from FHLBank to FHLBank.

Because of the FHLBank System's structure, the Office of Finance does not prepare consolidated financial statements. Consolidated financial statements are generally considered to be appropriate when a controlling financial interest rests directly or indirectly in one of the enterprises included in the consolidation, which is the case in a typical holding company structure where there is a parent corporation that owns, directly or indirectly, one or more subsidiaries. However, the FHLBanks do not have a parent company that controls each of the FHLBanks. Instead, each of the FHLBanks is owned by its respective members and certain former members.

Each FHLBank is a separately chartered cooperative with its own board of directors and management and is responsible for establishing its own accounting and financial reporting policies in accordance with accounting principles generally accepted in the United States of America (GAAP). Although the FHLBanks work together in an effort to achieve consistency on significant accounting policies, the FHLBanks' accounting and financial reporting policies and practices may vary because alternative policies and presentations are permitted under GAAP in certain circumstances. Statements in this report may be qualified by a term such as "generally," "primarily," "typically," or words of similar meaning to indicate that the statement is generally applicable, but may not be applicable to all FHLBanks or their transactions as a result of their different business practices and accounting and financial reporting policies under GAAP.

An investor may not be able to obtain easily a system-wide view of the FHLBanks' business, risk profile, and financial information because there is no centralized, system-wide management or centralized board of director oversight of the individual FHLBanks. This decentralized structure is not conducive to preparing disclosures from a system-wide view in the same manner as is generally expected of U.S. Securities and Exchange Commission (SEC) registrants. For example, a conventional Management's Discussion and Analysis is not provided in this Combined Financial Report; instead, this report includes a "Financial Discussion and Analysis" prepared by the Office of Finance using information provided by each FHLBank.

Each FHLBank is subject to the reporting requirements of the Securities Exchange Act of 1934, as amended, and must file periodic reports and other information with the SEC. Each FHLBank prepares an annual financial report, filed on SEC Form 10-K, quarterly financial reports, filed on SEC Form 10-Q, and current reports, filed on SEC Form 8-K. Those reports contain additional information that is not contained in this Combined Financial Report. An investor should review those reports and other available information on individual FHLBanks to obtain additional detail on each FHLBank's business, risk profile, financial condition, results of operations, and accounting and financial reporting policies. Periodic reports and other information filed by each FHLBank with the SEC are made available on its web site and on the SEC's web site at . References to web sites and to reports and other information filed by individual FHLBanks with the SEC are provided as a matter of convenience only, and their contents are not made part of or incorporated by reference into this report.

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FEDERAL HOME LOAN BANKS COMBINED STATEMENT OF CONDITION

(Unaudited)

(dollars in millions, except par value) Assets Cash and due from banks Interest-bearing deposits Securities purchased under agreements to resell Federal funds sold Investment securities

Trading securities (Note 3) Available-for-sale securities (Note 4) Held-to-maturity securities, fair value of $81,789 and $90,658 (Note 5)

Total investment securities Advances, includes $6,877 and $6,168 at fair value held under fair value option (Note 7) Mortgage loans held for portfolio, net of allowance for credit losses of $15 and $15 (Note 8 and Note 9) Accrued interest receivable Derivative assets, net (Note 10) Other assets

Total assets Liabilities Deposits (Note 11) Consolidated obligations (Note 12)

Discount notes, includes $13,914 and $4,172 at fair value held under fair value option Bonds, includes $23,022 and $13,438 at fair value held under fair value option

Total consolidated obligations Mandatorily redeemable capital stock Accrued interest payable Affordable Housing Program payable Derivative liabilities, net (Note 10) Other liabilities

Total liabilities Commitments and contingencies (Note 16) Capital (Note 13) Capital stock

Class B putable ($100 par value) issued and outstanding shares Class A putable ($100 par value) issued and outstanding shares

Total capital stock Retained earnings

Unrestricted Restricted

Total retained earnings Accumulated other comprehensive income (loss) (Note 14)

Total capital Total liabilities and capital

September 30, 2019 December 31, 2018

$

769 $

522

10,964

17,182

52,597

45,325

55,944

54,216

49,706

16,449

101,691

83,205

80,818

90,413

232,215

190,067

658,756

728,767

69,417

62,534

2,033

2,087

1,754

1,038

1,429

1,112

$

1,085,878 $

1,102,850

$

10,773 $

7,560

388,380 622,398 1,010,778

1,390 1,908 1,080

127 4,197 1,030,253

426,034 603,491 1,029,525

1,062 1,878 1,096

445 2,940 1,044,506

34,851 344

35,195

38,251 247

38,498

15,460

15,241

4,723

4,263

20,183

19,504

247

342

55,625

58,344

$

1,085,878 $

1,102,850

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

F-1

FEDERAL HOME LOAN BANKS COMBINED STATEMENT OF INCOME

(Unaudited)

(dollars in millions) Interest income Advances Interest-bearing deposits Securities purchased under agreements to resell Federal funds sold Investment securities

Trading securities Available-for-sale securities Held-to-maturity securities

Total investment securities Mortgage loans held for portfolio Other

Total interest income Interest expense Consolidated obligations

Discount notes Bonds

Total consolidated obligations Deposits Mandatorily redeemable capital stock

Total interest expense Net interest income Provision (reversal) for credit losses Net interest income after provision (reversal) for credit losses Non-interest income Net other-than-temporary impairment losses Net gains (losses) on investment securities Net gains (losses) on financial instruments held under fair value option Net gains (losses) on derivatives and hedging activities Other, net

Total non-interest income (loss) Non-interest expense Compensation and benefits Other operating expenses Federal Housing Finance Agency Office of Finance Other

Total non-interest expense Net income before assessments Affordable Housing Program assessments Net income

Three Months Ended September 30,

2019

2018

Nine Months Ended September 30,

2019

2018

$

4,046 $

4,190 $

13,410 $

11,504

90

67

260

137

336

202

973

435

384

401

1,268

1,159

257 694 608 1,559 554

2 6,971

70 619 667 1,356 504

1 6,721

588 2,021 1,914 4,523 1,666

4 22,104

180 1,744 1,875 3,799 1,447

4 18,485

2,250 3,575 5,825

43 21 5,889 1,082

1 1,081

1,950 3,380 5,330

34 17 5,381 1,340 -- 1,340

7,337 11,129 18,466

125 54

18,645 3,459 2 3,457

5,241 9,168 14,409

88 51 14,548 3,937

1 3,936

(7) 100

34 (137)

51 41

(5)

(16)

(12)

(21)

517

(71)

(18)

99

(73)

24

(611)

116

60

148

143

40

137

103

174

181

523

515

129

108

367

305

18

15

53

47

16

14

45

42

18

13

47

45

355

331

1,035

954

767

1,049

2,559

3,085

78

107

261

314

$

689 $

942 $

2,298 $

2,771

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

F-2

FEDERAL HOME LOAN BANKS COMBINED STATEMENT OF COMPREHENSIVE INCOME

(Unaudited)

(dollars in millions) Net income Other comprehensive income Net unrealized gains (losses) on available-for-sale securities Net non-credit portion of other-than-temporary impairment gains (losses) on investment securities Net unrealized gains (losses) relating to hedging activities Pension and postretirement benefits

Total other comprehensive income (loss) Comprehensive income

Three Months Ended September 30,

Nine Months Ended September 30,

2019

2018

2019

2018

$

689 $

942 $

2,298 $

2,771

(102)

(16)

(56)

(2)

(176)

$

513 $

(27)

19 61

2 55 997 $

145

11 (254)

3 (95) 2,203 $

(139)

22 261

(2) 142 2,913

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

F-3

FEDERAL HOME LOAN BANKS COMBINED STATEMENT OF CAPITAL THREE MONTHS ENDED SEPTEMBER 30, 2019 AND 2018

(Unaudited)

(dollars and shares in millions) Balance, June 30, 2018 Adjustment for cumulative effect of accounting change Comprehensive income (loss) Proceeds from issuance of capital stock Repurchases/redemptions of capital stock Net shares reclassified (to)/from mandatorily redeemable capital stock Transfers between Class B and Class A shares Dividends on capital stock

Cash Stock Balance, September 30, 2018

Shares

Class B

385 $ -- -- 91 (99)

Capital Stock - Putable

Par Value 38,473 -- -- 9,188 (9,957)

Shares

Class A

2$ -- -- -- (2)

Par Value 197 -- -- -- (236)

(3)

(232)

(3)

(279)

(1)

(57)

3

279

-- -- 371 $

-- 39 37,232

--

--

--

--

2$

183

Balance, June 30, 2019 Adjustment for cumulative effect of accounting changes Comprehensive income (loss) Proceeds from issuance of capital stock Repurchases/redemptions of capital stock Net shares reclassified (to)/from mandatorily redeemable capital stock Transfers between Class B and Class A shares Dividends on capital stock

Cash Stock Balance, September 30, 2019

364 $ -- --

101 (111)

(3) (2)

-- -- 349 $

36,445 -- --

10,064 (11,175)

(301) (227)

-- 45 34,851

2$

216

--

--

--

--

--

--

(1)

(73)

--

(26)

2

227

--

--

--

--

3$

344

F-4

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