# EDGAR Filing Document

**Accession Number:** 0001331463
**File Stem:** 0001331463-26-000087
**Filing Date:** 2026-5
**Character Count:** 198707
**Document Hash:** f3420c05f7f50bb1e6946cc3f781143b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001331463-26-000087.hdr.sgml**: 20260507

**ACCESSION NUMBER**: 0001331463-26-000087

**CONFORMED SUBMISSION TYPE**: 10-Q

**PUBLIC DOCUMENT COUNT**: 87

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260507

**DATE AS OF CHANGE**: 20260507

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Federal Home Loan Bank of Boston
- **CENTRAL INDEX KEY:** 0001331463
- **STANDARD INDUSTRIAL CLASSIFICATION:** FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES [6111]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 046002575
- **STATE OF INCORPORATION:** X1
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 10-Q
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 000-51402
- **FILM NUMBER:** 26951713

**BUSINESS ADDRESS:**
- **STREET 1:** 800 BOYLSTON STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-292-9600

**MAIL ADDRESS:**
- **STREET 1:** 800 BOYLSTON STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

?xml version='1.0' encoding='ASCII'? fhlbbost-20260331

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-Q** 

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

**For the quarterly period ended March 31, 2026**

**OR**

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

**FOR THE TRANSITION PERIOD FROM ________ TO ________ .**

**Commission file number: 000-51402** 

**FEDERAL HOME LOAN BANK OF BOSTON** 

(Exact name of registrant as specified in its charter)

---

| | | | |
|:---|:---|:---|:---|
| **Federally chartered corporation of the United States** | **Federally chartered corporation of the United States** | **Federally chartered corporation of the United States** | **04-6002575** |
| (State or other jurisdiction of incorporation or organization) | (State or other jurisdiction of incorporation or organization) | (State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) |
| **800 Boylston Street,** | **Boston** | **MA** | **02199** |
| (Address of principal executive offices) | (Address of principal executive offices) | (Address of principal executive offices) | (Zip code) |

---

**(617) 292-9600**

(Registrant's telephone number, including area code)

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

Title of each class Trading Symbol(s) Name of each exchange on which registered <br>   

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ⌧&nbsp;&nbsp;&nbsp;&nbsp;No □

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Large accelerated filer □ | Accelerated filer □ | Non-accelerated filer | ⌧ | Smaller reporting company  | ☐ |
| | | | | Emerging growth company | ☐ |

---

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

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

---

| | | |
|:---|:---|:---|
| | | **Shares outstanding as of April 30, 2026<br> (in thousands)** |
| Class B Stock, par value | $100 | 21640 |

---

------

**FEDERAL HOME LOAN BANK OF BOSTON**

**Form 10-Q**

**Table of Contents**

---

| | | |
|:---|:---|:---|
| <u>[PART I.](#i497fd7052dd7459aaf8cd2950b0f44a3_127)</u> | <u>[FINANCIAL INFORMATION](#i497fd7052dd7459aaf8cd2950b0f44a3_127)</u> | <u>[3](#i497fd7052dd7459aaf8cd2950b0f44a3_130)</u> |
| <u>[Item 1.](#i497fd7052dd7459aaf8cd2950b0f44a3_130)</u> | <u>[Financial Statements (unaudited)](#i497fd7052dd7459aaf8cd2950b0f44a3_130)</u> | <u>[3](#i497fd7052dd7459aaf8cd2950b0f44a3_130)</u> |
|  | <u>[Statements of Condition](#i497fd7052dd7459aaf8cd2950b0f44a3_142)</u> | <u>[3](#i497fd7052dd7459aaf8cd2950b0f44a3_142)</u> |
|  | <u>[Statements of Operations](#i497fd7052dd7459aaf8cd2950b0f44a3_148)</u> | <u>[4](#i497fd7052dd7459aaf8cd2950b0f44a3_148)</u> |
|  | <u>[Statements of Comprehensive Income](#i497fd7052dd7459aaf8cd2950b0f44a3_151)</u> | <u>[5](#i497fd7052dd7459aaf8cd2950b0f44a3_151)</u> |
|  | <u>[Statements of Capital](#i497fd7052dd7459aaf8cd2950b0f44a3_154)</u> | <u>[6](#i497fd7052dd7459aaf8cd2950b0f44a3_154)</u> |
|  | <u>[Statements of Cash Flows](#i497fd7052dd7459aaf8cd2950b0f44a3_157)</u> | <u>[7](#i497fd7052dd7459aaf8cd2950b0f44a3_157)</u> |
|  | <u>[Notes to Financial Statements](#i497fd7052dd7459aaf8cd2950b0f44a3_160)</u> | <u>[9](#i497fd7052dd7459aaf8cd2950b0f44a3_160)</u> |
|  | <u>[Note 1 — Basis of Presentation](#i497fd7052dd7459aaf8cd2950b0f44a3_166)</u> | <u>[9](#i497fd7052dd7459aaf8cd2950b0f44a3_166)</u> |
|  | <u>[Note 2](#i497fd7052dd7459aaf8cd2950b0f44a3_172)[—](#i497fd7052dd7459aaf8cd2950b0f44a3_178)[Recently Issued and Adopted Accounting Guidance](#i497fd7052dd7459aaf8cd2950b0f44a3_172)</u> | <u>[9](#i497fd7052dd7459aaf8cd2950b0f44a3_172)</u> |
|  | <u>[Note 3 — Investments](#i497fd7052dd7459aaf8cd2950b0f44a3_178)</u> | <u>[9](#i497fd7052dd7459aaf8cd2950b0f44a3_178)</u> |
|  | <u>[Note 4 — Advances](#i497fd7052dd7459aaf8cd2950b0f44a3_187)</u> | <u>[12](#i497fd7052dd7459aaf8cd2950b0f44a3_187)</u> |
|  | <u>[Note 5 — Mortgage Loans Held for Portfolio](#i497fd7052dd7459aaf8cd2950b0f44a3_193)</u> | <u>[14](#i497fd7052dd7459aaf8cd2950b0f44a3_193)</u> |
|  | <u>[Note 6 — Derivatives and Hedging Activities](#i497fd7052dd7459aaf8cd2950b0f44a3_199)</u>  | <u>[15](#i497fd7052dd7459aaf8cd2950b0f44a3_199)</u> |
|  | <u>[Note 7 — Deposits](#i497fd7052dd7459aaf8cd2950b0f44a3_205)</u> | <u>[18](#i497fd7052dd7459aaf8cd2950b0f44a3_205)</u> |
|  | <u>[Note 8 — Consolidated Obligations](#i497fd7052dd7459aaf8cd2950b0f44a3_211)</u> | <u>[19](#i497fd7052dd7459aaf8cd2950b0f44a3_211)</u> |
|  | <u>[Note 9 — Affordable Housing Program and Discretionary Contributions](#i497fd7052dd7459aaf8cd2950b0f44a3_217)</u> | <u>[20](#i497fd7052dd7459aaf8cd2950b0f44a3_217)</u> |
|  | <u>[Note 10 — Capital](#i497fd7052dd7459aaf8cd2950b0f44a3_223)</u> | <u>[21](#i497fd7052dd7459aaf8cd2950b0f44a3_223)</u> |
|  | <u>[Note 11 — Accumulated Other Comprehensive Income (Loss)](#i497fd7052dd7459aaf8cd2950b0f44a3_229)</u> | <u>[22](#i497fd7052dd7459aaf8cd2950b0f44a3_229)</u> |
|  | <u>[Note 12 — Fair Value](#i497fd7052dd7459aaf8cd2950b0f44a3_235)</u> | <u>[22](#i497fd7052dd7459aaf8cd2950b0f44a3_235)</u> |
|  | <u>[Note 13 — Commitments and Contingencies](#i497fd7052dd7459aaf8cd2950b0f44a3_241)</u> | <u>[27](#i497fd7052dd7459aaf8cd2950b0f44a3_241)</u> |
|  | <u>[Note 14 — Transactions with Shareholders](#i497fd7052dd7459aaf8cd2950b0f44a3_247)</u> | <u>[27](#i497fd7052dd7459aaf8cd2950b0f44a3_247)</u> |
|  | <u>[Note 15 — Subsequent Events](#i497fd7052dd7459aaf8cd2950b0f44a3_259)</u> | <u>[27](#i497fd7052dd7459aaf8cd2950b0f44a3_259)</u> |
| <u>[Item 2.](#i497fd7052dd7459aaf8cd2950b0f44a3_310)</u> | <u>[Management's Discussion and Analysis of Financial Condition and Results of Operations](#i497fd7052dd7459aaf8cd2950b0f44a3_52)</u> | <u>[28](#i497fd7052dd7459aaf8cd2950b0f44a3_52)</u> |
| <u>[Item 3.](#i497fd7052dd7459aaf8cd2950b0f44a3_118)</u> | <u>[Quantitative and Qualitative Disclosures About Market Risk](#i497fd7052dd7459aaf8cd2950b0f44a3_118)</u> | <u>[49](#i497fd7052dd7459aaf8cd2950b0f44a3_118)</u> |
| <u>[Item 4.](#i497fd7052dd7459aaf8cd2950b0f44a3_265)</u> | <u>[Controls and Procedures](#i497fd7052dd7459aaf8cd2950b0f44a3_265)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_265)</u> |
| <u>[PART II.](#i497fd7052dd7459aaf8cd2950b0f44a3_310)</u> | <u>[OTHER INFORMATION](#i497fd7052dd7459aaf8cd2950b0f44a3_310)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_310)</u> |
| <u>[Item 1.](#i497fd7052dd7459aaf8cd2950b0f44a3_313)</u> | <u>[Legal Proceedings](#i497fd7052dd7459aaf8cd2950b0f44a3_313)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_313)</u> |
| <u>[Item 1A.](#i497fd7052dd7459aaf8cd2950b0f44a3_316)</u> | <u>[Risk Factors](#i497fd7052dd7459aaf8cd2950b0f44a3_316)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_316)</u> |
| <u>[Item 2.](#i497fd7052dd7459aaf8cd2950b0f44a3_319)</u> | <u>[Unregistered Sales of Equity Securities and Use of Proceeds](#i497fd7052dd7459aaf8cd2950b0f44a3_319)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_319)</u> |
| <u>[Item 3.](#i497fd7052dd7459aaf8cd2950b0f44a3_322)</u> | <u>[Defaults Upon Senior Securities](#i497fd7052dd7459aaf8cd2950b0f44a3_322)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_322)</u> |
| <u>[Item 4.](#i497fd7052dd7459aaf8cd2950b0f44a3_325)</u> | <u>[Mine Safety Disclosures](#i497fd7052dd7459aaf8cd2950b0f44a3_325)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_325)</u> |
| <u>[Item 5.](#i497fd7052dd7459aaf8cd2950b0f44a3_328)</u> | <u>[Other Information](#i497fd7052dd7459aaf8cd2950b0f44a3_328)</u> | <u>[53](#i497fd7052dd7459aaf8cd2950b0f44a3_328)</u> |
| <u>[Item 6.](#i497fd7052dd7459aaf8cd2950b0f44a3_331)</u> | <u>[Exhibits](#i497fd7052dd7459aaf8cd2950b0f44a3_331)</u> | <u>[54](#i497fd7052dd7459aaf8cd2950b0f44a3_331)</u> |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**PART I. FINANCIAL INFORMATION**

**ITEM 1. FINANCIAL STATEMENTS**

---

| | | |
|:---|:---|:---|
| **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF CONDITION<br>(dollars and shares in thousands, except par value)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF CONDITION<br>(dollars and shares in thousands, except par value)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF CONDITION<br>(dollars and shares in thousands, except par value)<br>(unaudited)** |
| | **March 31, 2026** | **December 31, 2025** |
| **ASSETS** | | |
| Cash and due from banks | $25930 | $1184 |
| Interest-bearing deposits | 2219313 | 2052365 |
| Securities purchased under agreements to resell | 5250000 | 4500000 |
| Federal funds sold | 2821000 | 2959000 |
| Investment securities: |  |  |
| &nbsp;&nbsp;&nbsp;Trading securities | 1428 | 1401 |
| &nbsp;&nbsp;Available-for-sale securities (amortized cost of $15,847,109 and $15,827,283 at March 31, 2026 and December 31, 2025, respectively) | 15649801 | 15643385 |
| &nbsp;&nbsp;&nbsp;Held-to-maturity securities (a) | 47644 | 50192 |
| Total investment securities | 15698873 | 15694978 |
| Advances | 40516560 | 38762563 |
| Mortgage loans held for portfolio, net of allowance for credit losses of $2,600 at March 31, 2026 and December 31, 2025 | 4362657 | 4285722 |
| Accrued interest receivable | 185050 | 181543 |
| Derivative assets, net | 255425 | 295723 |
| Other assets | 83541 | 79571 |
| **Total Assets** | $71418349 | $68812649 |
| **LIABILITIES** |  |  |
| Deposits |  |  |
| &nbsp;&nbsp;&nbsp;Interest-bearing | $809068 | $861838 |
| &nbsp;&nbsp;&nbsp;Non-interest-bearing | 65141 | 53461 |
| Total deposits | 874209 | 915299 |
| Consolidated obligations (COs): |  |  |
| &nbsp;&nbsp;&nbsp;Bonds | 41752274 | 42429753 |
| &nbsp;&nbsp;&nbsp;Discount notes | 24471989 | 21196160 |
| Total consolidated obligations | 66224263 | 63625913 |
| Mandatorily redeemable capital stock | 8072 | 4122 |
| Accrued interest payable | 259261 | 296829 |
| Affordable Housing Program (AHP) payable | 120048 | 113786 |
| Derivative liabilities, net | 2339 | 2311 |
| Other liabilities | 72031 | 75050 |
| Total liabilities | 67560223 | 65033310 |
| Commitments and contingencies (<u>[Note 1](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[3](#i497fd7052dd7459aaf8cd2950b0f44a3_241)</u>) |  |  |
| **CAPITAL** |  |  |
| Capital stock – Class B – putable ($100 par value), 20,199 shares and 19,366 shares issued and outstanding at March 31, 2026 and December 31, 2025, respectively | 2019932 | 1936610 |
| Retained earnings: |  |  |
| &nbsp;&nbsp;&nbsp;Unrestricted | 1423025 | 1421472 |
| &nbsp;&nbsp;&nbsp;Restricted | 563425 | 554561 |
| Total retained earnings | 1986450 | 1976033 |
| Accumulated other comprehensive loss | (148256) | (133304) |
| Total capital | 3858126 | 3779339 |
| **Total Liabilities and Capital** | $71418349 | $68812649 |

---

_______________________________________

(a)&nbsp;&nbsp;&nbsp;&nbsp;Fair values of held-to-maturity securities were $47,831 and $50,353 at March 31, 2026, and December 31, 2025, respectively.

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | |
|:---|:---|:---|
| **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF OPERATIONS<br>(dollars in thousands)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF OPERATIONS<br>(dollars in thousands)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF OPERATIONS<br>(dollars in thousands)<br>(unaudited)** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
|  | **2026** | **2025** |
| **INTEREST INCOME** |  |  |
| Advances | $373947 | $515464 |
| Interest-bearing deposits | 22423 | 27084 |
| Securities purchased under agreements to resell | 41161 | 23679 |
| Federal funds sold | 35680 | 60518 |
| Investment securities: |  |  |
| &nbsp;&nbsp;&nbsp;Trading securities | 28 | 19 |
| &nbsp;&nbsp;&nbsp;Available-for-sale securities | 164803 | 193732 |
| &nbsp;&nbsp;&nbsp;Held-to-maturity securities | 590 | 843 |
| Total investment securities | 165421 | 194594 |
| Mortgage loans held for portfolio | 48815 | 39452 |
| &nbsp;&nbsp;&nbsp;Total interest income | 687447 | 860791 |
| **INTEREST EXPENSE** |  |  |
| Consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;Bonds | 391297 | 574214 |
| &nbsp;&nbsp;&nbsp;Discount notes | 204912 | 187162 |
| Total consolidated obligations | 596209 | 761376 |
| Deposits | 5388 | 6497 |
| Mandatorily redeemable capital stock | 100 | 86 |
| Other borrowings | 4 | 43 |
| &nbsp;&nbsp;&nbsp;Total interest expense | 601701 | 768002 |
| **NET INTEREST INCOME** | 85746 | 92789 |
| **OTHER INCOME (LOSS)** |  |  |
| Service fees | 3242 | 3104 |
| Other, net | (3004) | 798 |
| &nbsp;&nbsp;&nbsp;Total other income | 238 | 3902 |
| **OTHER EXPENSE** |  |  |
| Compensation and benefits | 14302 | 13308 |
| Other operating expenses | 7598 | 7170 |
| AHP voluntary contribution | 3962 | 4434 |
| Discretionary housing and community investment programs | 6569 | 4817 |
| Federal Housing Finance Agency (the FHFA) | 1322 | 1556 |
| Office of Finance | 1260 | 1233 |
| Other | 1717 | 840 |
| &nbsp;&nbsp;&nbsp;Total other expense | 36730 | 33358 |
| **INCOME BEFORE ASSESSMENTS** | 49254 | 63333 |
| AHP assessments | 4935 | 6342 |
| **NET INCOME** | $44319 | $56991 |

---

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | |
|:---|:---|:---|
| **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF COMPREHENSIVE INCOME<br>(dollars in thousands)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF COMPREHENSIVE INCOME<br>(dollars in thousands)<br>(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON<br>STATEMENTS OF COMPREHENSIVE INCOME<br>(dollars in thousands)<br>(unaudited)** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
|  | **2026** | **2025** |
| Net income | $44319 | $56991 |
| Other comprehensive income: |  |  |
| &nbsp;&nbsp;&nbsp;Net change in fair-value of available-for-sale securities | (13410) | 47747 |
| &nbsp;&nbsp;&nbsp;Net change relating to hedging activities | (1535) | (7319) |
| &nbsp;&nbsp;&nbsp;Pension and postretirement benefits | (7) | (389) |
| Total other comprehensive (loss) income | (14952) | 40039 |
| Comprehensive income | $29367 | $97030 |

---

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CAPITAL**<br>**THREE MONTHS ENDED MARCH 31, 2026 and 2025**<br>**(dollars and shares in thousands)**<br>**(unaudited)** |
| | **Capital Stock Class B – Putable** | **Capital Stock Class B – Putable** | **Retained Earnings** | **Retained Earnings** | **Retained Earnings** | **Accumulated Other Comprehensive Loss** | |
| | **Shares** | **Par Value** | **Unrestricted** | **Restricted** | **Total** | **Accumulated Other Comprehensive Loss** | **Total<br>Capital** |
| **BALANCE, DECEMBER 31, 2024** | 21952 | $2195167 | $1403455 | $509245 | $1912700 | $(255022) | $3852845 |
| Comprehensive income |  |  | 45593 | 11398 | 56991 | 40039 | 97030 |
| Proceeds from issuance of capital stock | 6517 | 651742 |  |  |  |  | 651742 |
| Repurchase/redemption of capital stock | (6395) | (639525) |  |  |  |  | (639525) |
| Cash dividends on capital stock |  |  | (41202) |  | (41202) |  | (41202) |
| **BALANCE, MARCH 31, 2025** | 22074 | $2207384 | $1407846 | $520643 | $1928489 | $(214983) | 3920890 |
| **BALANCE, DECEMBER 31, 2025** | 19366 | $1936610 | $1421472 | $554561 | $1976033 | $(133304) | $3779339 |
| Comprehensive income |  |  | 35455 | 8864 | 44319 | (14952) | 29367 |
| Proceeds from issuance of capital stock | 6432 | 643182 |  |  |  |  | 643182 |
| Repurchase/redemption of capital stock | (5549) | (554860) |  |  |  |  | (554860) |
| Stock reclassified to mandatorily redeemable capital stock | (50) | (5000) |  |  |  |  | (5000) |
| Cash dividends on capital stock |  |  | (33902) |  | (33902) |  | (33902) |
| **BALANCE, MARCH 31, 2026** | 20199 | $2019932 | $1423025 | $563425 | $1986450 | $(148256) | $3858126 |

---

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | |
|:---|:---|:---|
| **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(unaudited)** | **FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(unaudited)** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
|  | **2026** | **2025** |
| **OPERATING ACTIVITIES** |  |  |
| Net income | $44319 | $56991 |
| Adjustments to reconcile net income to net cash provided by operating activities: |  |  |
| &nbsp;&nbsp;&nbsp;Depreciation and amortization/(accretion) | (25328) | (39915) |
| &nbsp;&nbsp;&nbsp;Net change in derivatives and hedging activities | 73128 | (202350) |
| &nbsp;&nbsp;&nbsp;Other adjustments, net | 2520 | 2824 |
| &nbsp;&nbsp;&nbsp;Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Market value of trading securities | (27) | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest receivable | (3507) | 4229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other assets | (5679) | 6160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued interest payable | (37555) | 38020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other liabilities | 3253 | (4568) |
| &nbsp;&nbsp;&nbsp;Total adjustments | 6805 | (195593) |
| Net cash provided by (used in) operating activities | 51124 | (138602) |
| **INVESTING ACTIVITIES** |  |  |
| Net change in: |  |  |
| &nbsp;&nbsp;&nbsp;Interest-bearing deposits | (146994) | 553263 |
| &nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell | (750000) | (2250000) |
| &nbsp;&nbsp;&nbsp;Federal funds sold | 138000 | (2562000) |
| &nbsp;&nbsp;Advances to members | (1789848) | (203113) |
| Available-for-sale securities: |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds | 489796 | 155333 |
| &nbsp;&nbsp;&nbsp;Purchases | (522644) |  |
| Held-to-maturity securities: |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds | 2223 | 3025 |
| Mortgage loans held for portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds | 127316 | 74427 |
| &nbsp;&nbsp;&nbsp;Purchases | (206422) | (161631) |
| Other investing activities, net | (577) | (349) |
| Net cash used in investing activities | (2659150) | (4391045) |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | |
|:---|:---|:---|
| <br>**FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS — (Continued)**<br>**(dollars in thousands)**<br>**(unaudited)** | <br>**FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS — (Continued)**<br>**(dollars in thousands)**<br>**(unaudited)** | <br>**FEDERAL HOME LOAN BANK OF BOSTON**<br>**STATEMENTS OF CASH FLOWS — (Continued)**<br>**(dollars in thousands)**<br>**(unaudited)** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
|  | **2026** | **2025** |
| **FINANCING ACTIVITIES** |  |  |
| Net change in deposits | (45333) | (61277) |
| Net payments on derivatives with a financing element | 3063 | (8981) |
| Net proceeds from issuance of consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;Discount notes | 24017960 | 16225726 |
| &nbsp;&nbsp;&nbsp;Bonds | 12785644 | 20978989 |
| Payments for maturing and retiring consolidated obligations: |  |  |
| &nbsp;&nbsp;&nbsp;Discount notes | (20736217) | (20446237) |
| &nbsp;&nbsp;&nbsp;Bonds | (13445705) | (12107415) |
| Payment of financing lease | (10) | (10) |
| Proceeds from issuance of capital stock | 643182 | 651742 |
| Payments for repurchase of capital stock | (554860) | (639525) |
| Payments for redemption of mandatorily redeemable capital stock | (1050) | (615) |
| Cash dividends paid | (33902) | (41202) |
| Net cash provided by financing activities | 2632772 | 4551195 |
| Net increase in cash and due from banks | 24746 | 21548 |
| Cash and due from banks at beginning of the period | 1184 | 5149 |
| Cash and due from banks at end of the period | $25930 | $26697 |
| Supplemental disclosures: |  |  |
| &nbsp;&nbsp;&nbsp;Interest paid | $637527 | $759174 |
| &nbsp;&nbsp;&nbsp;Noncash transfers of mortgage loans held for portfolio to other assets | $177 | $347 |

---

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**FEDERAL HOME LOAN BANK OF BOSTON**

**NOTES TO FINANCIAL STATEMENTS**

**Note 1 — Basis of Presentation**

The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The preparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2026. These interim financial statements do not include all the information and footnotes required by GAAP for complete annual financial statements and accordingly should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2025, filed with the Securities and Exchange Commission (the SEC) on March 13, 2026 (the 2025 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to "the Bank," "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston.

**Note 2 — Recently Issued and Adopted Accounting Guidance**

The following table provides a summary of recently issued accounting standards which may have an effect on the Bank's financial statements.

---

| | | | |
|:---|:---|:---|:---|
| **Accounting Standards Update (ASU)** | **Description** | **Effective Date** | **Effect on the Financial Statements or Other Significant Matters** |
| Purchased Loans<br>(ASU 2025-08) | This update expands the use of the gross-up approach for acquired financial assets by requiring the purchased seasoned loans to be accounted for using this method. | The guidance becomes effective for the Bank for interim and annual periods beginning on January 1, 2027. Early adoption is permitted as of the beginning of an interim or annual reporting period. | We are currently evaluating the effect this guidance may have on our financial condition, results of operations and cash flows. |
| Targeted Improvements to the Accounting for Internal-Use Software <br>(ASU 2025-06) | This update removes all references to software development project stages. Among other things, it requires us to start capitalizing software costs when management has committed to funding the project and it is probable that the project will be completed and used for its intended function. | This guidance becomes effective for the Bank for interim and annual periods beginning on January 1, 2028. Early adoption is permitted as of the beginning of an annual reporting period. | Adoption of this guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows. |

---

**Note 3 — Investments**

<u>Trading Securities</u>

**Table 3.1 - Trading Securities by Major Security Type**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Corporate bonds | $1428 | $1401 |

---

For the three months ended March 31, 2026 and 2025, net gains (losses) on trading securities held at period end were $27 thousand and $(7) thousand, respectively.

We do not participate in speculative trading practices and typically hold these investments for longer periods of time.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

<u>Available-for-sale Securities</u>

**Table 3.2 - Available-for-Sale Securities by Major Security Type**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | | **Amounts Recorded in Accumulated Other Comprehensive Income** | **Amounts Recorded in Accumulated Other Comprehensive Income** | |
| |<br>**Amortized**<br>**Cost** <sup>(1)</sup> | **Unrealized<br>Gains** | **Unrealized<br>Losses** |<br>**Fair<br> Value** |
| U.S. Treasury obligations | $4053502 | $1059 | $(904) | $4053657 |
| State housing-finance-agency obligations (HFA securities) | 122953 | 227 |  | 123180 |
| Supranational institutions | 242029 |  | (1147) | 240882 |
| U.S. government-owned corporations | 237097 |  | (8154) | 228943 |
| Government-sponsored enterprise (GSE) | 98249 |  | (2985) | 95264 |
|  | 4753830 | 1286 | (13190) | 4741926 |
| Mortgage-backed securities (MBS) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family | 103788 | 274 | (1326) | 102736 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily | 497129 |  | (46900) | 450229 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 2237593 | 9714 | (27890) | 2219417 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily | 8254769 | 14650 | (133926) | 8135493 |
|  | 11093279 | 24638 | (210042) | 10907875 |
| Total | $15847109 | $25924 | $(223232) | $15649801 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | | **Amounts Recorded in Accumulated Other Comprehensive Income** | **Amounts Recorded in Accumulated Other Comprehensive Income** | |
| |<br>**Amortized**<br>**Cost** <sup>(1)</sup> | **Unrealized<br>Gains** | **Unrealized<br>Losses** |<br>**Fair<br> Value** |
| U.S. Treasury obligations | $4294898 | $1744 | $(287) | $4296355 |
| HFA securities | 63306 | 181 |  | 63487 |
| Supranational institutions | 244781 |  | (1387) | 243394 |
| U.S. government-owned corporations | 238143 |  | (8078) | 230065 |
| GSE | 98926 |  | (2391) | 96535 |
|  | 4940054 | 1925 | (12143) | 4929836 |
| MBS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family | 112743 | 106 | (1352) | 111497 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily | 499715 |  | (47277) | 452438 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 2392461 | 6166 | (30543) | 2368084 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily | 7882310 | 24087 | (124867) | 7781530 |
|  | 10887229 | 30359 | (204039) | 10713549 |
| Total | $15827283 | $32284 | $(216182) | $15643385 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable of $35.3 million and $41.8 million at March 31, 2026, and December 31, 2025, respectively.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 3.3 - Available-for-Sale Securities in a Continuous Unrealized Loss Position**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Continuous Unrealized Loss Less than 12 Months** | **Continuous Unrealized Loss Less than 12 Months** | **Continuous Unrealized Loss 12 Months or More** | **Continuous Unrealized Loss 12 Months or More** | **Total** | **Total** |
| | **Fair<br> Value** | **Unrealized<br> Losses** | **Fair<br> Value** | **Unrealized<br> Losses** | **Fair<br> Value** | **Unrealized<br> Losses** |
| U.S. Treasury obligations | $947463 | $(224) | $1422291 | $(680) | $2369754 | $(904) |
| Supranational institutions |  |  | 240882 | (1147) | 240882 | (1147) |
| U.S. government-owned corporations |  |  | 228943 | (8154) | 228943 | (8154) |
| GSE |  |  | 95264 | (2985) | 95264 | (2985) |
|  | 947463 | (224) | 1987380 | (12966) | 2934843 | (13190) |
| MBS |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family |  |  | 10679 | (1326) | 10679 | (1326) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily |  |  | 450229 | (46900) | 450229 | (46900) |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 258096 | (248) | 486384 | (27642) | 744480 | (27890) |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily | 564948 | (3960) | 4709967 | (129966) | 5274915 | (133926) |
|  | 823044 | (4208) | 5657259 | (205834) | 6480303 | (210042) |
| Total | $1770507 | $(4432) | $7644639 | $(218800) | $9415146 | $(223232) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Continuous Unrealized Loss Less than 12 Months** | **Continuous Unrealized Loss Less than 12 Months** | **Continuous Unrealized Loss 12 Months or More** | **Continuous Unrealized Loss 12 Months or More** | **Total** | **Total** |
| | **Fair<br> Value** | **Unrealized<br> Losses** | **Fair<br> Value** | **Unrealized<br> Losses** | **Fair<br> Value** | **Unrealized<br> Losses** |
| U.S. Treasury obligations | $— | $— | $1420537 | $(287) | $1420537 | $(287) |
| Supranational institutions |  |  | 243394 | (1387) | 243394 | (1387) |
| U.S. government-owned corporations |  |  | 230065 | (8078) | 230065 | (8078) |
| GSE |  |  | 96535 | (2391) | 96535 | (2391) |
|  |  |  | 1990531 | (12143) | 1990531 | (12143) |
| MBS |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family | 58687 | (78) | 11110 | (1274) | 69797 | (1352) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily |  |  | 452438 | (47277) | 452438 | (47277) |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 510297 | (1145) | 507029 | (29398) | 1017326 | (30543) |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily |  |  | 4780948 | (124867) | 4780948 | (124867) |
|  | 568984 | (1223) | 5751525 | (202816) | 6320509 | (204039) |
| Total | $568984 | $(1223) | $7742056 | $(214959) | $8311040 | $(216182) |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 3.4 - Available-for-Sale Securities by Contractual Maturity**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>**Year of Maturity** | **Amortized<br>Cost** | **Fair<br> Value** | **Amortized<br>Cost** | **Fair<br> Value** |
| Due in one year or less | $528017 | $528331 | $774639 | $775179 |
| Due after one year through five years | 3850451 | 3849295 | 3848656 | 3848312 |
| Due after five years through 10 years | 17875 | 17884 | 17976 | 17995 |
| Due after 10 years | 357487 | 346416 | 298783 | 288350 |
|  | 4753830 | 4741926 | 4940054 | 4929836 |
| MBS <sup>(1)</sup> | 11093279 | 10907875 | 10887229 | 10713549 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | $15847109 | $15649801 | $15827283 | $15643385 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities since borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees.

<u>Held-to-Maturity Securities</u>

**Table 3.5 - Held-to-Maturity Securities by Major Security Type**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Amortized Cost**<sup>(1)</sup> | **Gross Unrecognized Holding Gains** | **Gross Unrecognized Holding Losses** | **Fair Value** |
| MBS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family | $2309 | $17 | $— | $2326 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 45335 | 436 | (266) | 45505 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | $47644 | $453 | $(266) | $47831 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Amortized Cost**<sup>(1)</sup> | **Gross Unrecognized Holding Gains** | **Gross Unrecognized Holding Losses** | **Fair Value** |
| MBS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family | $2374 | $15 | $— | $2389 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family | 47818 | 453 | (307) | 47964 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | $50192 | $468 | $(307) | $50353 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable of $230 thousand and $257 thousand at March 31, 2026, and December 31, 2025, respectively.

**Note 4 — Advances**

*General Terms.* At both March 31, 2026, and December 31, 2025, we had advances outstanding with interest rates ranging from 0.00 percent to 6.23 percent.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 4.1 - Advances Outstanding by Year of Contractual Maturity**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| | **Amount** | **Weighted<br>Average<br>Rate** | **Amount** | **Weighted<br>Average<br>Rate** |
| Overdrawn demand-deposit accounts | $265 | 4.15% | $1585 | 4.07% |
| Due in one year or less | 24825936 | 3.89 | 23813774 | 3.93 |
| Due after one year through two years | 7243815 | 3.85 | 5988118 | 4.00 |
| Due after two years through three years | 3567077 | 3.83 | 4138391 | 3.62 |
| Due after three years through four years | 2230499 | 3.74 | 2168610 | 3.82 |
| Due after four years through five years | 1685484 | 3.51 | 1281603 | 3.67 |
| Due after five years through fifteen years | 1001334 | 3.51 | 1369128 | 3.29 |
| Thereafter | 35320 | 2.23 | 38673 | 2.20 |
| Total par value | 40589730 | 3.84% | 38799882 | 3.87% |
| Discounts | (44120) |  | (44026) |  |
| Fair value hedging adjustments | (29050) |  | 6707 |  |
| Total <sup>(1)</sup> | $40516560 |  | $38762563 |  |

---

_________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Excludes accrued interest receivable of $114.0 million and $102.8 million at March 31, 2026, and December 31, 2025, respectively.

**Table 4.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Overdrawn demand-deposit accounts | $265 | $1585 |
| Due in one year or less | 29437892 | 27534061 |
| Due after one year through two years | 4028733 | 3345538 |
| Due after two years through three years | 3126173 | 3774864 |
| Due after three years through four years | 2027354 | 1986494 |
| Due after four years through five years | 948284 | 785997 |
| Due after five years through fifteen years | 985709 | 1332670 |
| Thereafter | 35320 | 38673 |
| Total par value | $40589730 | $38799882 |

---

We currently hold putable advances that provide us with the right to require repayment prior to maturity of the advance (and thereby extinguish the advance) on predetermined exercise dates (put dates). Generally, we would exercise the put options when interest rates increase relative to contractual rates.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 4.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Overdrawn demand-deposit accounts | $265 | $1585 |
| Due in one year or less | 29832506 | 29185444 |
| Due after one year through two years | 6235244 | 4667948 |
| Due after two years through three years | 2053577 | 2727891 |
| Due after three years through four years | 716499 | 716610 |
| Due after four years through five years | 1307984 | 727603 |
| Due after five years through fifteen years | 408335 | 734128 |
| Thereafter | 35320 | 38673 |
| Total par value | $40589730 | $38799882 |

---

**Table 4.4 - Advances by Current Interest Rate Terms**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Fixed-rate | $30332930 | $29809055 |
| Variable-rate | 10256800 | 8990827 |
| Total par value | $40589730 | $38799882 |

---

At March 31, 2026, and December 31, 2025, none of our advances were past due, on nonaccrual status, or considered impaired. In addition, there were no modifications for borrowers experiencing financial difficulties related to advances during the three months ended March 31, 2026 and 2025.

Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on advances, we have not recorded any allowance for credit losses on our advances at March 31, 2026, and December 31, 2025.

**Note 5 — Mortgage Loans Held for Portfolio**

Mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, directly or indirectly, by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio.

**Table 5.1 - Mortgage Loans Held for Portfolio**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Real estate |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed-rate 15-year single-family mortgages | $126350 | $130224 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fixed-rate 20- and 30-year single-family mortgages | 4199208 | 4118175 |
| &nbsp;&nbsp;&nbsp;&nbsp;Premiums | 49595 | 49556 |
| &nbsp;&nbsp;&nbsp;&nbsp;Discounts | (9701) | (9692) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deferred derivative (losses) gains, net | (195) | 59 |
| Total mortgage loans held for portfolio<sup>(1)</sup> | 4365257 | 4288322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less: allowance for credit losses | (2600) | (2600) |
| Total mortgage loans, net of allowance for credit losses | $4362657 | $4285722 |

---

________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Excludes accrued interest receivable of $30.9 million and $31.6 million at March 31, 2026, and December 31, 2025, respectively.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Conventional mortgage loans | $4208899 | $4128300 |
| Government mortgage loans | 116659 | 120099 |
| Total par value | $4325558 | $4248399 |

---

*Payment Status of Mortgage Loans.* Amounts past due 30 days or more on conventional mortgage loans at March 31, 2026, and December 31, 2025, totaled $40.9 million and $38.8 million, respectively, and are based on amortized cost, which excludes accrued interest receivable. The serious delinquency rate of conventional mortgage loans as a percentage of total conventional mortgage loans at March 31, 2026, and December 31, 2025, was 0.18 percent and 0.16 percent, respectively. Seriously delinquent loans comprise all conventional mortgage loans that are 90 days or more past due and conventional mortgage loans in the process of foreclosure.

**Note 6 — Derivatives and Hedging Activities**

**Table 6.1 - Fair Value of Derivative Instruments**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Notional<br>Amount of<br>Derivatives** | **Derivative<br>Assets** | **Derivative<br>Liabilities** | **Notional<br>Amount of<br>Derivatives** | **Derivative<br>Assets** | **Derivative<br>Liabilities** |
| Derivatives designated as hedging instruments |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate swaps | $42073807 | $42048 | $(293444) | $44092961 | $72227 | $(299312) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward-start interest-rate swaps | 491000 |  | (208) | 641000 | 469 |  |
| Total derivatives designated as hedging instruments | 42564807 | 42048 | (293652) | 44733961 | 72696 | (299312) |
| Derivatives not designated as hedging instruments |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate swaps | 10472142 | 384 |  | 7722435 | 49 | (133) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage-delivery firm commitments <sup>(1)</sup> | 91535 | 385 | (244) | 59316 | 114 | (28) |
| Total derivatives not designated as hedging instruments | 10563677 | 769 | (244) | 7781751 | 163 | (161) |
| Total notional amount of derivatives | $53128484 |  |  | $52515712 |  |  |
| Total derivatives before netting and collateral adjustments |  | 42817 | (293896) |  | 72859 | (299473) |
| &nbsp;&nbsp;&nbsp;&nbsp;Netting adjustments and cash collateral, including related accrued interest <sup>(2)</sup> |  | 212608 | 291557 |  | 222864 | 297162 |
| Derivative assets and derivative liabilities |  | $255425 | $(2339) |  | $295723 | $(2311) |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Mortgage-delivery firm commitments are classified as derivatives with changes in fair value recorded in other income.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $517.6 million and $243.3 million at March 31, 2026, and December 31, 2025, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral received, including accrued interest, was $13.5 million and $17.7 million at March 31, 2026, and December 31, 2025, respectively.

Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

as the earnings effect of the hedged item. Changes in the fair value of a derivative that is designated and qualifies as a cash-flow hedge are recorded in accumulated other comprehensive income, a component of capital, until the hedged transaction affects earnings.

Table 6.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements.

**Table 6.2 - Net Gains (Losses) on Fair Value Hedging Relationships**

*(dollars in thousands)*

---

| | | | |
|:---|:---|:---|:---|
| | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** |
| | **Advances** | **Available-for-sale Securities** | **CO Bonds** |
| Total interest income (expense) presented on the statements of operations | $373947 | $164803 | $(391297) |
| **Gains (losses) on fair value hedging relationships** |  |  |  |
| Changes in fair value: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Derivatives | $36237 | $32995 | $(16187) |
| &nbsp;&nbsp;&nbsp;&nbsp;Hedged items | (35569) | (33293) | 16052 |
| Net changes in fair value before price alignment interest | 668 | (298) | (135) |
| Price alignment interest<sup>(1)</sup> | (294) | (948) | (23) |
| Net interest settlements on derivatives<sup>(2)(3)</sup> | 10056 | 33703 | (39735) |
| Net gains (losses) on qualifying hedging relationships | 10430 | 32457 | (39893) |
| Amortization/accretion of discontinued hedging relationships | (126) | 13511 | 580 |
| Net gains (losses) on derivatives and hedging activities recorded in net interest income | $10304 | $45968 | $(39313) |

---

---

| | | | |
|:---|:---|:---|:---|
| | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** |
| | **Advances** | **Available-for-sale Securities** | **CO Bonds** |
| Total interest income (expense) presented on the statements of operations | $515464 | $193732 | $(574214) |
| **Gains (losses) on fair value hedging relationships** |  |  |  |
| Changes in fair value: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Derivatives | $(63777) | $(169500) | $142414 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hedged items | 62645 | 167297 | (142039) |
| Net changes in fair value before price alignment interest | (1132) | (2203) | 375 |
| Price alignment interest<sup>(1)</sup> | (1254) | (5370) | 160 |
| Net interest settlements on derivatives<sup>(2)(3)</sup> | 27009 | 70685 | (81591) |
| Net gains (losses) on qualifying hedging relationships | 24623 | 63112 | (81056) |
| Amortization/accretion of discontinued hedging relationships | (224) | 10035 | 564 |
| Net gains (losses) on derivatives and hedging activities recorded in net interest income | $24399 | $73147 | $(80492) |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Relates to derivatives for which variation margin payments are characterized as daily settled contracts.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Excludes the interest income/expense of the respective hedged items recorded in net interest income.

Table 6.3 presents the net gains (losses) on qualifying cash flow hedging relationships.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 6.3 - Net (Losses) Gains on Cash Flow Hedging Relationships**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| **Forward-start interest rate swaps - CO Bonds** |  |  |
| Gains reclassified from accumulated other comprehensive loss into interest expense | $2113 | $3059 |
| Gains (losses) recognized in other comprehensive income | 578 | (4260) |

---

**Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges**

*(dollars in thousands)*

---

| | | | |
|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Advances** | **Available-for-sale Securities** | **CO Bonds** |
| Amortized cost of hedged asset/liability<sup>(1)</sup> | $11931842 | $10941736 | $19023537 |
| **Fair value hedging adjustments included in amortized cost** |  |  |  |
| Basis adjustments for active hedging relationships | $(32970) | $(172070) | $(231308) |
| Basis adjustments for discontinued hedging relationships | 3920 | (268135) | 22306 |
| Cumulative amount of fair value hedging basis adjustments | $(29050) | $(440205) | $(209002) |

---

---

| | | | |
|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Advances** | **Available-for-sale Securities** | **CO Bonds** |
| Amortized cost of hedged asset/ liability<sup>(1)</sup> | $11998893 | $10960097 | $21246143 |
| **Fair value hedging adjustments included in amortized cost** |  |  |  |
| Basis adjustments for active hedging relationships | $2661 | $(138777) | $(215255) |
| Basis adjustments for discontinued hedging relationships | 4046 | (281646) | 22886 |
| Cumulative amount of fair value hedging basis adjustments | $6707 | $(420423) | $(192369) |

---

_______________________

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

*Impacts on Statement of Cash Flows.* Cash paid or received for cleared derivatives variation margin is included on the statement of cash flows in either net change in derivatives and hedging activities as an operating activity or net payments on derivatives with a financing element as a financing activity. Table 6.5 shows the impact of variation margin for cleared derivatives on the statement of cash flows.

**Table 6.5 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **Increase (decrease) on Cash Flow Statement** | **Increase (decrease) on Cash Flow Statement** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| Operating activity - net change in derivatives and hedging activities | $4027 | $(416328) |
| Financing activity - net receipts (payments) on derivatives with a financing element | 6330 | (7665) |
| Total variation margin received (paid) on cleared derivatives | $10357 | $(423993) |

---

*Offsetting of Certain Derivatives.* Table 6.6 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2026, and December 31, 2025, which includes cleared and uncleared interest rate swaps, and the fair value of derivatives that are not subject to such netting, which includes mortgage delivery firm commitments. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 6.6 - Netting of Derivative Assets and Derivative Liabilities**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Derivative Instruments Meeting Netting Requirements** | **Derivative Instruments Meeting Netting Requirements** | | | | |
| | **Gross Recognized Amount** | **Gross Amounts of Netting Adjustments and Cash Collateral** |<br>**Derivative Instruments Not Meeting Netting Requirements** |<br>**Total Derivative Assets and Total Derivative Liabilities** |<br>**Non-cash Collateral Received - Can Be Sold or Repledged** |<br>**Net Amount** |
| **Derivative Assets** | | | | | | |
| Interest-rate swaps |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Uncleared | $42019 | $(35725) |  | $6294 | $(266) | $6028 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cleared | 412 | 248334 |  | 248746 |  | 248746 |
| Mortgage delivery firm commitments |  |  | $385 | 385 |  | 385 |
| Total |  |  |  | $255425 |  | $255159 |
| **Derivative Liabilities** |  |  |  |  |  |  |
| Interest-rate swaps |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Uncleared | $(272880) | $270785 |  | $(2095) | $— | $(2095) |
| &nbsp;&nbsp;&nbsp;&nbsp;Cleared | (20772) | 20772 |  |  |  |  |
| Mortgage delivery firm commitments |  |  | $(244) | (244) |  | (244) |
| Total |  |  |  | $(2339) |  | $(2339) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Derivative Instruments Meeting Netting Requirements** | **Derivative Instruments Meeting Netting Requirements** | | |
| | **Gross Recognized Amount** | **Gross Amounts of Netting Adjustments and Cash Collateral** |<br>**Derivative Instruments Not Meeting Netting Requirements** |<br>**Total Derivative Assets and Total Derivative Liabilities** |
| **Derivative Assets** | | | | |
| Interest-rate swaps |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Uncleared | $57085 | $(53545) |  | $3540 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cleared | 15660 | 276409 |  | 292069 |
| Mortgage delivery firm commitment |  |  | $114 | 114 |
| Total |  |  |  | $295723 |
| **Derivative Liabilities** |  |  |  |  |
| Interest-rate swaps |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Uncleared | $(299086) | $296803 |  | $(2283) |
| &nbsp;&nbsp;&nbsp;&nbsp;Cleared | (359) | 359 |  |  |
| Mortgage delivery firm commitment |  |  | $(28) | (28) |
| Total |  |  |  | $(2311) |

---

**Note 7 — Deposits**

We offer demand and overnight deposits for members and qualifying nonmembers. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds, which we classify as "other" in the following table.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 7.1 - Deposits**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Interest-bearing |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Demand and overnight | $809068 | $861838 |
| Noninterest-bearing |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 65141 | 53461 |
| Total deposits | $874209 | $915299 |

---

None of the deposits are federally insured.

**Note 8 — Consolidated Obligations**

*CO Bonds.* CO bonds for which we have received issuance proceeds and are primarily liable were as follows:

**Table 8.1 - CO Bonds Outstanding by Contractual Maturity**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| | **Amount** | **Weighted** <br>**Average**<br>**Rate** <sup>(1)</sup> | **Amount** | **Weighted** <br>**Average**<br>**Rate** <sup>(1)</sup> |
| Due in one year or less | $24425375 | 3.27% | $24782970 | 3.26% |
| Due after one year through two years | 5093245 | 3.46 | 4750345 | 3.33 |
| Due after two years through three years | 3775715 | 3.40 | 4351035 | 3.39 |
| Due after three years through four years | 2044915 | 4.19 | 1989745 | 3.93 |
| Due after four years through five years | 3112820 | 3.73 | 2832320 | 4.22 |
| Thereafter | 3505445 | 4.47 | 3910445 | 3.90 |
| Total par value | 41957515 | 3.46% | 42616860 | 3.43% |
| Premiums | 14958 |  | 17196 |  |
| Discounts | (11197) |  | (11934) |  |
| Hedging adjustments | (209002) |  | (192369) |  |
| Total | $41752274 |  | $42429753 |  |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;The CO bonds' weighted-average rate excludes concession fees.

**Table 8.2 - CO Bonds Outstanding by Early Redemption Feature**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Noncallable and nonputable | $25716515 | $24931360 |
| Callable | 16241000 | 17685500 |
| Total par value | $41957515 | $42616860 |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 8.3 - CO Bonds Outstanding by Earlier of Contractual Maturity or Next Call Date**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Due in one year or less | $33296875 | $34829970 |
| Due after one year through two years | 3927245 | 2984845 |
| Due after two years through three years | 2624715 | 2689035 |
| Due after three years through four years | 511915 | 526745 |
| Due after four years through five years | 568320 | 557820 |
| Thereafter | 1028445 | 1028445 |
| Total par value | $41957515 | $42616860 |

---

**Table 8.4 - CO Bonds by Interest Rate-Payment Type**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** |
| Fixed-rate | $23966515 | $26487860 |
| Simple variable-rate | 14512000 | 12185000 |
| Step-up <sup>(1)</sup> | 3479000 | 3944000 |
| Total par value | $41957515 | $42616860 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates.

*CO Discount Notes.* Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows:

**Table 8.5 - CO Discount Notes Outstanding**

*(dollars in thousands)*

---

| | | | |
|:---|:---|:---|:---|
| | **Book Value** | **Par Value** | **Weighted Average**<br>**Rate** <sup>(1)</sup> |
| March 31, 2026 | $24471989 | $24681417 | 3.63% |
| December 31, 2025 | $21196160 | $21340613 | 3.76% |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees.

**Note 9 — Affordable Housing Program and Discretionary Subsidy Programs**

**Table 9.1 - AHP Liability**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| Balance at beginning of year | $113786 | $104300 |
| AHP expense for the period | 4935 | 6342 |
| AHP voluntary contribution | 3962 | 4434 |
| AHP direct grant disbursements | (2682) | (2686) |
| AHP subsidy for AHP advance disbursements |  | (102) |
| Return of previously disbursed grants and subsidies | 47 |  |
| Balance at end of period | $120048 | $112288 |

---

Other discretionary housing and community investment programs consist of grants and subsidies to support other housing and community investment initiatives (non-AHP) and are recorded in other liabilities in the statement of condition.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 9.2 - Discretionary Housing and Community Investments Liability**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| Balance at beginning of year | $656 | $2390 |
| Discretionary housing and community investment expense for the period | 6569 | 4817 |
| Direct grant disbursements and MPF permanent rate buydown | (425) | (479) |
| Subsidy for advance disbursements | (2465) | (2599) |
| Balance at end of period | $4335 | $4129 |

---

**Note 10 — Capital**

*Regulatory Capital Requirements.* We are subject to three capital requirements at all times under our Capital Plan, the Federal Home Loan Bank Act of 1932 (as amended, the FHLBank Act), and FHFA regulations and guidance. The FHFA has authority to require us to maintain greater minimum capital levels than are required based on FHFA rules and regulations.

**Table 10.1 - Regulatory Capital Requirements**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| | **Required** | **Actual** | **Required** | **Actual** |
| Risk-based capital | $712578 | $4014454 | $636954 | $3916765 |
| Regulatory capital | $2856734 | $4014454 | $2752506 | $3916765 |
| Capital-to-asset ratio | 4.0% | 5.6% | 4.0% | 5.7% |
| Leverage capital | $3570917 | $6021681 | $3440632 | $5875148 |
| Leverage capital-to-assets ratio | 5.0% | 8.4% | 5.0% | 8.5% |

---

For more detail on our capital structure and requirements, see Part II — Item 8 — Financial Statements — Note 12 — Capital in the 2025 Annual Report.

*Restricted Retained Earnings.* At March 31, 2026, our restricted retained earnings contribution requirement totaled $640.8 million. At March 31, 2026, and December 31, 2025, restricted retained earnings totaled $563.4 million and $554.6 million, respectively. These restricted retained earnings are not available to pay dividends.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Note 11 — Accumulated Other Comprehensive Income (Loss)**

**Table 11.1 - Accumulated Other Comprehensive Income (Loss)**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Net Change in Fair Value of Available-for-Sale Securities** | **Net Change Relating to Hedging Activities** | **Pension and Postretirement Benefits** | **Total Accumulated Other Comprehensive Income (Loss)** |
| **Balance, December 31, 2024** | $(321245) | $64526 | $1697 | $(255022) |
| Other comprehensive income (loss) before reclassifications: |  |  |  |  |
| &nbsp;&nbsp;Net unrealized gains (losses) | 47747 | (4260) |  | 43487 |
| Reclassifications from other comprehensive income to net income |  |  |  |  |
| &nbsp;&nbsp;Amortization - hedging activities <sup>(1)</sup> |  | (3059) |  | (3059) |
| &nbsp;&nbsp;Amortization - pension and postretirement benefits <sup>(2)</sup> |  |  | (389) | (389) |
| Other comprehensive income (loss) | 47747 | (7319) | (389) | 40039 |
| **Balance, March 31, 2025** | $(273498) | $57207 | $1308 | $(214983) |
| **Balance, December 31, 2025** | $(183898) | $49152 | $1442 | $(133304) |
| Other comprehensive income (loss) before reclassifications: |  |  |  |  |
| &nbsp;&nbsp;Net unrealized (losses) gains | (13410) | 578 |  | (12832) |
| Reclassifications from other comprehensive income to net income |  |  |  |  |
| &nbsp;&nbsp;Amortization - hedging activities <sup>(1)</sup> |  | (2113) |  | (2113) |
| &nbsp;&nbsp;Amortization - pension and postretirement benefits <sup>(2)</sup> |  |  | (7) | (7) |
| Other comprehensive loss | (13410) | (1535) | (7) | (14952) |
| **Balance, March 31, 2026** | $(197308) | $47617 | $1435 | $(148256) |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Recorded in CO bond interest expense in the statement of operations.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Recorded in other expenses in the statement of operations.

**Note 12 — Fair Values**

A fair-value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in Part II — Item 8 — Financial Statements — Note 15 — Fair Values in the 2025 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the three months ended March 31, 2026.

Table 12.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2026, and December 31, 2025. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 12.2 for further details about the financial assets and liabilities measured at fair value on a recurring basis. As of March 31, 2026, and December 31, 2025, no financial assets or liabilities were measured at fair value on a non-recurring basis.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 12.1 - Fair Value Summary**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Carrying<br>Value** | **Total Fair Value** | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments and Cash Collateral**<sup>(2)</sup> |
| **Financial instruments** | | | | | | |
| **Assets:** | | | | | | |
| Cash and due from banks | $25930 | $25930 | $25930 | $— | $— | $— |
| Interest-bearing deposits | 2219313 | 2219313 | 2219313 |  |  |  |
| Securities purchased under agreements to resell | 5250000 | 5249998 |  | 5249998 |  |  |
| Federal funds sold | 2821000 | 2820998 |  | 2820998 |  |  |
| Trading securities<sup>(1)</sup> | 1428 | 1428 |  | 1428 |  |  |
| Available-for-sale securities<sup>(1)</sup> | 15649801 | 15649801 |  | 15645239 | 4562 |  |
| Held-to-maturity securities | 47644 | 47831 |  | 47831 |  |  |
| Advances | 40516560 | 40525143 |  | 40525143 |  |  |
| Mortgage loans, net | 4362657 | 4164220 |  | 4148790 | 15430 |  |
| Accrued interest receivable | 185050 | 185050 |  | 185050 |  |  |
| Derivative assets<sup>(1)</sup> | 255425 | 255425 |  | 42817 |  | 212608 |
| Other assets <sup>(1)</sup> | 30684 | 30684 | 18626 | 12058 |  |  |
| **Liabilities:** |  |  |  |  |  |  |
| Deposits | (874209) | (874181) |  | (874181) |  |  |
| COs: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | (41752274) | (41662860) |  | (41662860) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | (24471989) | (24466445) |  | (24466445) |  |  |
| Mandatorily redeemable capital stock | (8072) | (8072) | (8072) |  |  |  |
| Accrued interest payable | (259261) | (259261) |  | (259261) |  |  |
| Derivative liabilities<sup>(1)</sup> | (2339) | (2339) |  | (293896) |  | 291557 |
| **Other:** |  |  |  |  |  |  |
| Commitments to extend credit for advances |  | (2696) |  | (2696) |  |  |
| Standby letters of credit | (1176) | (1176) |  | (1176) |  |  |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Carrying<br>Value** | **Total Fair<br>Value** | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments and Cash Collateral**<sup>(2)</sup> |
| **Financial instruments** | | | | | | |
| **Assets:** | | | | | | |
| Cash and due from banks | $1184 | $1184 | $1184 | $— | $— | $— |
| Interest-bearing deposits | 2052365 | 2052365 | 2052365 |  |  |  |
| Securities purchased under agreements to resell | 4500000 | 4500005 |  | 4500005 |  |  |
| Federal funds sold | 2959000 | 2958978 |  | 2958978 |  |  |
| Trading securities<sup>(1)</sup> | 1401 | 1401 |  | 1401 |  |  |
| Available-for-sale securities<sup>(1)</sup> | 15643385 | 15643385 |  | 15638824 | 4561 |  |
| Held-to-maturity securities | 50192 | 50353 |  | 50353 |  |  |
| Advances | 38762563 | 38795995 |  | 38795995 |  |  |
| Mortgage loans, net | 4285722 | 4109545 |  | 4095077 | 14468 |  |
| Accrued interest receivable | 181543 | 181543 |  | 181543 |  |  |
| Derivative assets<sup>(1)</sup> | 295723 | 295723 |  | 72859 |  | 222864 |
| Other assets<sup>(1)</sup> | 31541 | 31541 | 20329 | 11212 |  |  |
| **Liabilities:** |  |  |  |  |  |  |
| Deposits | (915299) | (915248) |  | (915248) |  |  |
| COs: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | (42429753) | (42401589) |  | (42401589) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | (21196160) | (21199194) |  | (21199194) |  |  |
| Mandatorily redeemable capital stock | (4122) | (4122) | (4122) |  |  |  |
| Accrued interest payable | (296829) | (296829) |  | (296829) |  |  |
| Derivative liabilities<sup>(1)</sup> | (2311) | (2311) |  | (299473) |  | 297162 |
| **Other:** |  |  |  |  |  |  |
| Commitments to extend credit for advances |  | (1905) |  | (1905) |  |  |
| Standby letters of credit | (1407) | (1407) |  | (1407) |  |  |

---

_______________________

(1)Carried at fair value and measured on a recurring basis.

(2)These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

*Fair Value Measured on a Recurring Basis.*

**Table 12.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring Basis**

*(dollars in thousands)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Level 1** | **Level 2** | **Level 3** | **Netting Adjustments and Cash Collateral**<sup>(1)</sup> | **Total** |
| **Assets:** | | | | | |
| **Carried at fair value on a recurring basis** | | | | | |
| Trading securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate bonds | $— | $1428 | $— | $— | $1428 |
| Available-for-sale securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury obligations |  | 4053657 |  |  | 4053657 |
| &nbsp;&nbsp;&nbsp;&nbsp;HFA securities |  | 118618 | 4562 |  | 123180 |
| &nbsp;&nbsp;&nbsp;&nbsp;Supranational institutions |  | 240882 |  |  | 240882 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government-owned corporations |  | 228943 |  |  | 228943 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE |  | 95264 |  |  | 95264 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family MBS |  | 102736 |  |  | 102736 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily MBS |  | 450229 |  |  | 450229 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family MBS |  | 2219417 |  |  | 2219417 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily MBS |  | 8135493 |  |  | 8135493 |
| Total available-for-sale securities |  | 15645239 | 4562 |  | 15649801 |
| Derivative assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate-exchange agreements |  | 42432 |  | 212608 | 255040 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  | 385 |  |  | 385 |
| Total derivative assets |  | 42817 |  | 212608 | 255425 |
| Other assets | 18626 | 12058 |  |  | 30684 |
| Total assets carried at fair value on a recurring basis | $18626 | $15701542 | $4562 | $212608 | $15937338 |
| **Liabilities:** |  |  |  |  |  |
| **Carried at fair value on a recurring basis** |  |  |  |  |  |
| Derivative liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate-exchange agreements | $— | $(293652) | $— | $291557 | $(2095) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  | (244) |  |  | (244) |
| Total liabilities carried at fair value on a recurring basis | $— | $(293896) | $— | $291557 | $(2339) |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Level 1** | **Level 2** | **Level 3** | **Netting<br>Adjustments and Cash Collateral**<sup>(1)</sup> | **Total** |
| **Assets:** | | | | | |
| **Carried at fair value on a recurring basis** | | | | | |
| Trading securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate bonds | $— | $1401 | $— | $— | $1401 |
| Available-for-sale securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury obligations |  | 4296355 |  |  | 4296355 |
| &nbsp;&nbsp;&nbsp;&nbsp;HFA securities |  | 58925 | 4562 |  | 63487 |
| &nbsp;&nbsp;&nbsp;&nbsp;Supranational institutions |  | 243394 |  |  | 243394 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government-owned corporations |  | 230065 |  |  | 230065 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE |  | 96535 |  |  | 96535 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – single-family MBS |  | 111497 |  |  | 111497 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed – multifamily MBS |  | 452438 |  |  | 452438 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family MBS |  | 2368084 |  |  | 2368084 |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily MBS |  | 7781530 |  |  | 7781530 |
| Total available-for-sale securities |  | 15638823 | 4562 |  | 15643385 |
| Derivative assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate-exchange agreements |  | 72745 |  | 222864 | 295609 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  | 114 |  |  | 114 |
| Total derivative assets |  | 72859 |  | 222864 | 295723 |
| Other assets | 20329 | 11212 |  |  | 31541 |
| Total assets carried at fair value on a recurring basis | $20329 | $15724295 | $4562 | $222864 | $15972050 |
| **Liabilities:** |  |  |  |  |  |
| **Carried at fair value on a recurring basis** |  |  |  |  |  |
| Derivative liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-rate-exchange agreements | $— | $(299445) | $— | $297162 | $(2283) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  | (28) |  |  | (28) |
| Total liabilities carried at fair value on a recurring basis | $— | $(299473) | $— | $297162 | $(2311) |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

Table 12.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2026 and 2025.

**Table 12.3 - Roll Forward of Level 3 Available-for-Sale HFA Securities**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| Balance at beginning of period | $4562 | $6651 |
| Total losses included in other comprehensive income |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net unrealized losses |  | (4) |
| Balance at end of period | $4562 | $6647 |
| Total amount of unrealized losses for the period included in other comprehensive income relating to securities held at period end | $— | $(4) |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Note 13 — Commitments and Contingencies**

*Joint and Several Liability.* The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $1.1 trillion at both March 31, 2026, and December 31, 2025. See Part II — Item 8 —Financial Statements — Notes to the Financial Statements — Note 10 — Consolidated Obligations in the 2025 Annual Report for additional information.

*Off-Balance-Sheet Commitments*

**Table 13.1 - Off-Balance Sheet Commitments** <sup>(1)</sup>

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** |
| | **Expire within one year** | **Expire after one year** | **Total** | **Total** |
| Standby letters of credit outstanding <sup>(2)</sup> | $8032219 | $129050 | $8161269 | $8640107 |
| Commitments for unused lines of credit - advances <sup>(3)</sup> | 1051535 |  | 1051535 | 1053753 |
| Commitments to make additional advances | 268195 | 45561 | 313756 | 365976 |
| Commitments to invest in mortgage loans | 99679 |  | 99679 | 59316 |
| Unsettled CO bonds, at par | 263900 |  | 263900 | 535000 |
| Unsettled CO discount notes, at par | 225635 |  | 225635 | 672841 |

---

*__________________________*

(1)&nbsp;&nbsp;&nbsp;&nbsp;We have determined that it is unnecessary to record any liability for credit losses on these agreements based on our credit extension and collateral policies.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Because standby letters of credit cannot be drawn upon until their effective date, the amount of standby letters of credit outstanding excludes standby letters of credit that take effect after March 31, 2026. At March 31, 2026, and December 31, 2025, standby letters of credit expiring within one year but that have not yet become effective totaled $158.8 million and $82.8 million, respectively.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements.

**Note 14 — Transactions with Shareholders**

*Shareholder Concentrations.* We consider shareholder concentrations as holdings of capital stock (including mandatorily redeemable capital stock) by individual members or nonmembers in excess of 10 percent of total capital stock outstanding. No members' or nonmembers' holdings of capital stock exceeded 10 percent of our total capital stock as of March 31, 2026.

*Transactions with Directors' Institutions.* We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with FHFA regulations, transactions with directors' institutions are conducted on the same terms as those with any other member.

**Table 14.1 - Transactions with Directors' Institutions**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Capital Stock<br>Outstanding** | **Percent<br>of Total Capital Stock** | **Par<br>Value of<br>Advances** | **Percent of Total Par Value <br>of Advances** | **Total Accrued<br>Interest<br>Receivable** | **Percent of Total<br>Accrued Interest<br>Receivable on<br>Advances** |
| March 31, 2026 | $25098 | 1.2% | $417585 | 1.0% | $1162 | 1.0% |
| December 31, 2025 | 7401 | 0.4 | 85521 | 0.2 | 228 | 0.2 |

---

**Note 15 — Subsequent Events**

On April 24, 2026, the board of directors declared a cash dividend at an annualized rate of 6.71 percent based on daily average capital stock balances outstanding during the first quarter of 2026. The dividend, including dividends classified as interest expense on mandatorily redeemable capital stock, amounted to $31.7 million and was paid on May 4, 2026.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS**

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

---

| | |
|:---|:---|
| <u>[Forward-Looking Statements](#i497fd7052dd7459aaf8cd2950b0f44a3_52)</u> | <u>[28](#i497fd7052dd7459aaf8cd2950b0f44a3_58)</u> |
| <u>[Executive Summary](#i497fd7052dd7459aaf8cd2950b0f44a3_64)</u> | <u>[29](#i497fd7052dd7459aaf8cd2950b0f44a3_64)</u> |
| <u>[Economic Conditions](#i497fd7052dd7459aaf8cd2950b0f44a3_70)</u> | <u>[30](#i497fd7052dd7459aaf8cd2950b0f44a3_70)</u> |
| <u>[Selected Financial Data](#i497fd7052dd7459aaf8cd2950b0f44a3_76)</u> | <u>[30](#i497fd7052dd7459aaf8cd2950b0f44a3_76)</u> |
| <u>[Results of Operations](#i497fd7052dd7459aaf8cd2950b0f44a3_79)</u> | <u>[32](#i497fd7052dd7459aaf8cd2950b0f44a3_79)</u> |
| <u>[Financial Condition](#i497fd7052dd7459aaf8cd2950b0f44a3_85)</u> | <u>[36](#i497fd7052dd7459aaf8cd2950b0f44a3_85)</u> |
| <u>[Liquidity and Capital Resources](#i497fd7052dd7459aaf8cd2950b0f44a3_97)</u> | <u>[43](#i497fd7052dd7459aaf8cd2950b0f44a3_97)</u> |
| <u>[Critical Accounting Estimates](#i497fd7052dd7459aaf8cd2950b0f44a3_103)</u> | <u>[48](#i497fd7052dd7459aaf8cd2950b0f44a3_106)</u> |
| <u>[Legislative and Regulatory Developments](#i497fd7052dd7459aaf8cd2950b0f44a3_112)</u> | <u>[48](#i497fd7052dd7459aaf8cd2950b0f44a3_112)</u> |

---

**Forward-Looking Statements**

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; 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 of 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 2025 Annual Report and <u>[Part I](#i497fd7052dd7459aaf8cd2950b0f44a3_316)[I](#i497fd7052dd7459aaf8cd2950b0f44a3_316)[— Item 1A — Risk Factors](#i497fd7052dd7459aaf8cd2950b0f44a3_316)</u> of this report and 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 involve risks and uncertainties including, but not limited to, 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 the general economy, including changes resulting from U.S. fiscal and monetary policy, including international trade policy and tariffs, 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;

• political events, including legislative, regulatory, judicial, government actions, including government shutdowns and executive orders, or other developments that affect us, our members, investors in the consolidated obligations of the FHLBanks, the FHFA, the organization and structure of the FHLBank System, our ability to access the capital markets, or our counterparties, such as any GSE reforms, changes to the FHLBank Act, or changes to other statutes or regulations applicable to the FHLBanks;

• our ability to declare and pay dividends consistent with past practices as well as any plans to repurchase excess capital stock, and any amendments to our Capital Plan;

• competitive forces including, without limitation, other sources of funding available to our members and other entities borrowing funds in the capital markets;

• changes in the value and liquidity of collateral we hold as security 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 associated with the Bank's investments in mortgage loans and MBS or other assets and the related credit-enhancement protections;

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

• membership conditions and changes, including changes resulting from member failures, mergers or changing financial health, changes due to member eligibility, changes in the principal place of business of members, or the addition of new members;

• external events, such as general economic and financial instabilities, political instability, wars, pandemics and other health emergencies, and natural disasters;

• 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 and other cybersecurity incidents; and

• our ability to attract and retain skilled employees, including our key personnel.

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.

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 2025 Annual Report.

**EXECUTIVE SUMMARY**

Net income decreased $12.7 million to $44.3 million for the three months ended March 31, 2026, from $57.0 million for the first quarter of 2025. The decrease in net income was primarily due to a decrease of $7.0 million in net interest income, a decrease of $3.7 million in other income and an increase of $1.3 million in discretionary housing and community investment programs expense and voluntary affordable housing program contributions.

Net interest income for the three months ended March 31, 2026, was $85.7 million, compared with $92.8 million for 2025. The $7.0 million decrease in net interest income was primarily driven by significantly lower short-term interest rates, an $8.3 billion decline in average advances, and a $160.8 million decline in average capital. These factors were partially offset by a $3.7 million favorable variance in net amortization of premiums and discounts on mortgage-backed securities, and a $3.2 million favorable variance in net unrealized gains and losses on fair value hedge ineffectiveness, both attributable to an increase in intermediate- and long-term interest rates during the quarter. In addition, growth in mortgage-related assets, consisting of an $833.1 million increase in average mortgage-backed securities and a $611.5 million increase in our average mortgage loan portfolios, also contributed to net interest income.

Total assets increased $2.6 billion, or 3.8 percent, to $71.4 billion at March 31, 2026, up from $68.8 billion at year-end 2025. Advances totaled $40.5 billion at March 31, 2026, an increase of $1.8 billion from year-end 2025. Total investments were $26.0 billion at March 31, 2026, an increase of $782.8 million from $25.2 billion at the prior year end, driven primarily by growth in low-yielding short-term money market instruments held on our balance sheet to manage our liquidity position. Mortgage loans totaled $4.4 billion at March 31, 2026, an increase of $76.9 million from year-end 2025 as mortgage sales to the Bank outpaced mortgage loan principal repayments during the quarter.

Our retained earnings grew to $2.0 billion at March 31, 2026, an increase of $10.4 million from December 31, 2025, equaling 2.8 percent of total assets at March 31, 2026. We continue to satisfy all regulatory capital requirements as of March 31, 2026.

On April 24, 2026, our board of directors declared a cash dividend that was equivalent to an annual yield of 6.71 percent on the average daily balance of capital stock outstanding during the first quarter of 2026. The yield is equivalent to the approximate daily average of SOFR for the first quarter of 2026 plus 300 basis points.

Generally, investor demand for high credit quality, fixed-income investments, including COs, continued to be strong relative to other investments. Yield spreads on CO debt relative to benchmark yields for comparable debt remained relatively stable during the period covered by this report. 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 COs 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, 2026.

*Net Interest Margin and Spread*

Net interest spread was 0.28 percent for the three months ended March 31, 2026, an increase of six basis points from the first quarter of 2025, and net interest margin was 0.51 percent, an increase of two basis points from the three months ended March 31, 2025. These increases were primarily attributable to the favorable variance in net unrealized gains and losses on fair

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

value hedge ineffectiveness and the favorable variance in net amortization of premiums and discounts on mortgage-backed securities.

*Housing and Community Investment Programs*

In addition to our $4.9 million statutory assessment for the Affordable Housing Program, we made a $6.6 million contribution to our discretionary housing and community investment programs and a voluntary contribution of $4.0 million to the Affordable Housing Program for the three months ended March 31, 2026. See <u>[— Housing and Community Investment Program Expenses](#i497fd7052dd7459aaf8cd2950b0f44a3_79)</u> below for additional information.

*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 2026 as described below in <u>[— Legislative and Regulatory Developments](#i497fd7052dd7459aaf8cd2950b0f44a3_112)</u>. Such developments affect the way we conduct business and could impact how we satisfy our mission as well as the value of membership in the Bank.

**ECONOMIC CONDITIONS**

*Interest-Rate Environment*

During the first quarter of 2026, intermediate- and long-term interest rates were volatile, moving within a range of approximately 40 to 60 basis points over the course of the period before ending moderately higher than they were at the beginning of the quarter. On April 29, 2026, the FOMC announced that it would maintain the federal funds rate in a target range of 350 to 375 basis points. The FOMC stated that in considering the extent and timing of additional adjustments to the target range for the federal funds rate, the FOMC will carefully assess incoming data, the evolving outlook, and the balance of risks. The FOMC also stated it is strongly committed to supporting maximum employment and returning inflation to its two percent objective.

**SELECTED FINANCIAL DATA**

The following financial highlights for the statement of condition and statement of operations for December 31, 2025, have been derived from our audited financial statements. Financial highlights for the quarter-ends have been derived from our unaudited financial statements.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 1 - Selected Financial Data**

*(dollars in thousands)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **December 31, 2025** | **September 30, 2025** | **June 30, 2025** | **March 31, 2025** |
| **Statement of Condition** | | | | | |
| Total assets | $71418349 | $68812649 | $75733967 | $78693574 | $76794158 |
| Investments<sup>(1)</sup> | 25989186 | 25206343 | 28220995 | 26965851 | 26965568 |
| Advances | 40516560 | 38762563 | 42774048 | 47167639 | 45427914 |
| Mortgage loans held for portfolio, net<sup>(2)</sup> | 4362657 | 4285722 | 4157362 | 3941304 | 3765267 |
| Deposits and other borrowings | 874209 | 915299 | 1077463 | 806270 | 810253 |
| Consolidated obligations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Bonds | 41752274 | 42429753 | 48429538 | 53899536 | 57203139 |
| &nbsp;&nbsp;&nbsp;Discount notes | 24471989 | 21196160 | 21833395 | 19421619 | 14301193 |
| &nbsp;&nbsp;&nbsp;Total consolidated obligations | 66224263 | 63625913 | 70262933 | 73321155 | 71504332 |
| Mandatorily redeemable capital stock | 8072 | 4122 | 4234 | 4234 | 4471 |
| Class B capital stock outstanding-putable<sup>(3)</sup> | 2019932 | 1936610 | 2107549 | 2291941 | 2207384 |
| Unrestricted retained earnings | 1423025 | 1421472 | 1416765 | 1404666 | 1407846 |
| Restricted retained earnings | 563425 | 554561 | 543244 | 530034 | 520643 |
| Total retained earnings | 1986450 | 1976033 | 1960009 | 1934700 | 1928489 |
| Accumulated other comprehensive loss | (148256) | (133304) | (207923) | (249051) | (214983) |
| Total capital | 3858126 | 3779339 | 3859635 | 3977590 | 3920890 |
|  | **For the Three Months Ended** | **For the Three Months Ended** | **For the Three Months Ended** | **For the Three Months Ended** | **For the Three Months Ended** |
| **Results of Operations** | **March 31, 2026** | **December 31, 2025** | **September 30, 2025** | **June 30, 2025** | **March 31, 2025** |
| Net interest income after provision for credit losses | $85746 | $85574 | $100910 | $97827 | $92789 |
| Other income, net | 238 | 5272 | 4543 | 2223 | 3902 |
| Other expense | 36730 | 27967 | 32057 | 47866 | 33358 |
| AHP assessments | 4935 | 6295 | 7348 | 5226 | 6342 |
| Net income | $44319 | $56584 | $66048 | $46958 | $56991 |
| **Other Information** |  |  |  |  |  |
| Dividends declared | $33902 | $40560 | $40739 | $40746 | $41202 |
| Dividend payout ratio | 76.50% | 71.68% | 61.68% | 86.77% | 72.30% |
| Weighted-average dividend rate<sup>(4)</sup> | 7.05 | 7.39 | 7.38 | 7.39 | 7.74 |
| Return on average equity<sup>(5)</sup> | 4.77 | 6.08 | 6.77 | 4.84 | 5.88 |
| Return on average assets | 0.26 | 0.32 | 0.34 | 0.24 | 0.30 |
| Net interest margin<sup>(6)</sup> | 0.51 | 0.49 | 0.52 | 0.51 | 0.49 |
| Average equity to average assets | 5.45 | 5.25 | 5.04 | 5.01 | 5.08 |
| Total regulatory capital ratio<sup>(7)</sup> | 5.62 | 5.69 | 5.38 | 5.38 | 5.39 |

---

_______________________

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

(2)The allowance for credit losses for mortgage loans amounted to $2.6 million at March 31, 2026, $2.6 million at December 31, 2025, $2.6 million at September 30, 2025, $2.4 million at June 30, 2025, and $2.2 million at March 31, 2025, respectively.

(3)Capital stock is putable at the option of a member upon five years' written notice, subject to applicable restrictions.

(4)Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends.

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

(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 <u>[Part I — Item 1 — Financial Statements — Notes to the Financial Statements — Note 10 — Capital](#i497fd7052dd7459aaf8cd2950b0f44a3_223)</u>.

**RESULTS OF OPERATIONS**

The following table presents the Bank's significant statements of operations line items for the three months ended March 31, 2026 and 2025, and information regarding the changes during those quarters is provided below.

**Table 2 - Statements of Operations Summary**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Change** | **Change** |
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** | **2026 vs. 2025** | **2026 vs. 2025** |
| | **2026** | **2025** | **Amount** | **Percent** |
| Net interest income | $85746 | $92789 | $(7043) | (7.6)% |
| Noninterest income | 238 | 3902 | (3664) | (93.9) |
| Noninterest expense | 36730 | 33358 | 3372 | 10.1 |
| AHP assessment | 4935 | 6342 | (1407) | (22.2) |
| Net Income | $44319 | $56991 | $(12672) | (22.2)% |

---

Net income decreased $12.7 million to $44.3 million for the three months ended March 31, 2026, from $57.0 million for the same period in 2025. The primary reasons for the decrease are discussed under <u>[Executive Summary](#i497fd7052dd7459aaf8cd2950b0f44a3_64)</u>.

Net interest income for the three months ended March 31, 2026, was $85.7 million, compared with $92.8 million for the corresponding period in 2025. The primary reasons for the decrease are discussed under<u>[Executive Summary](#i497fd7052dd7459aaf8cd2950b0f44a3_64)</u>.

Table 3 presents major categories of average balances, related interest income/expense, and average yields/rates for interest-earning assets and interest-bearing liabilities. Our primary source of earnings is net interest income, which is the interest earned on advances, mortgage loans, and investments less interest paid on COs, deposits, and other sources of funds.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 3 - Net Interest Spread and Margin**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2026** | **2026** | **2025** | **2025** | **2025** |
| | **Average<br>Balance** | **Interest<br>Income /<br>Expense** | **Average**<br>**Yield/Rate**<sup>(1)</sup> | **Average<br>Balance** | **Interest<br>Income /<br>Expense** | **Average**<br>**Yield/Rate**<sup>(1)</sup> |
| **Assets** |  |  |  |  |  |  |
| Advances | $37521275 | $373947 | 4.04% | $45812695 | $515464 | 4.56% |
| Interest-bearing deposits | 2454354 | 22423 | 3.71 | 2496629 | 27084 | 4.40 |
| Securities purchased under agreements to resell | 4513900 | 41161 | 3.70 | 2186711 | 23679 | 4.39 |
| Federal funds sold | 3919067 | 35680 | 3.69 | 5585367 | 60518 | 4.39 |
| Investment securities<sup>(2)</sup> | 16107837 | 165421 | 4.16 | 16843055 | 194594 | 4.69 |
| Mortgage loans<sup>(2)(3)</sup> | 4331058 | 48815 | 4.57 | 3719545 | 39452 | 4.30 |
| Total interest-earning assets | 68847491 | 687447 | 4.05 | 76644002 | 860791 | 4.55 |
| Other non-interest-earning assets | 492579 |  |  | 959933 |  |  |
| Fair-value adjustments on investment securities | (172938) |  |  | (295869) |  |  |
| Total assets | $69167132 | $687447 | 4.03% | $77308066 | $860791 | 4.52% |
| **Liabilities and capital** |  |  |  |  |  |  |
| Consolidated obligations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | $22457283 | $204912 | 3.70% | $17276377 | $187162 | 4.39% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | 41445652 | 391297 | 3.83 | 53898530 | 574214 | 4.32 |
| Other interest-bearing liabilities | 762450 | 5492 | 2.92 | 748452 | 6626 | 3.59 |
| Total interest-bearing liabilities | 64665385 | 601701 | 3.77 | 71923359 | 768002 | 4.33 |
| Other non-interest-bearing liabilities | 735005 |  |  | 1457128 |  |  |
| Total capital | 3766742 |  |  | 3927579 |  |  |
| Total liabilities and capital | $69167132 | $601701 | 3.53% | $77308066 | $768002 | 4.03% |
| Net interest income |  | $85746 |  |  | $92789 |  |
| Net interest spread |  |  | 0.28% |  |  | 0.22% |
| Net interest margin |  |  | 0.51% |  |  | 0.49% |

---

_________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Yields are annualized.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Average balances are reflected at amortized cost.

(3)&nbsp;&nbsp;&nbsp;&nbsp;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, 2026 and 2025. Changes in interest income and interest expense that are not identifiable as either volume or rate-related, but 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.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 4 - Rate and Volume Analysis**

*(dollars in thousands)*

---

| | | | |
|:---|:---|:---|:---|
| | **For the Three Months Ended March 31, 2026 vs 2025** | **For the Three Months Ended March 31, 2026 vs 2025** | **For the Three Months Ended March 31, 2026 vs 2025** |
| | **Increase (Decrease) due to** | **Increase (Decrease) due to** | **Increase (Decrease) due to** |
| | **Volume** | **Rate** | **Total** |
| **Interest income** | | | |
| Advances | $(86758) | $(54759) | $(141517) |
| Interest-bearing deposits | (452) | (4209) | (4661) |
| Securities purchased under agreements to resell | 21735 | (4253) | 17482 |
| Federal funds sold | (16176) | (8662) | (24838) |
| Investment securities | (8228) | (20945) | (29173) |
| Mortgage loans | 6780 | 2583 | 9363 |
| Total interest income | (83099) | (90245) | (173344) |
| **Interest expense** |  |  |  |
| Consolidated obligations |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount notes | 50325 | (32575) | 17750 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds | (122553) | (60364) | (182917) |
| Other interest-bearing liabilities | 122 | (1256) | (1134) |
| Total interest expense | (72106) | (94195) | (166301) |
| **Change in net interest income** | $(10993) | $3950 | $(7043) |

---

*Average Balance of Advances*

The average balance of total advances decreased by $8.3 billion, or 18.1 percent, for the three months ended March 31, 2026, compared with the same period in 2025. This decrease in the average balance of advances was primarily concentrated in variable-rate advances and long-term fixed-rate advances, partially offset by an increase in short-term fixed rate advances. We cannot predict future member demand for advances.

*Average Balance of Investments*

Average short-term money-market investments, consisting of interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, and loans to other FHLBanks, increased $618.6 million, or 6.0 percent, for the three months ended March 31, 2026, compared with the same period in 2025, to manage our liquidity position and remain compliant with all regulatory guidance. The yield earned on short-term money-market investments is highly correlated to short-term market interest rates. As a result of decreases in the FOMC's target range for the federal funds rate in 2025, average yields on overnight federal funds sold decreased from 4.39 percent during the three months ended March 31, 2025, to 3.69 percent during the three months ended March 31, 2026, while average yields on securities purchased under agreements to resell decreased from 4.39 percent for the three months ended March 31, 2025, to 3.70 percent for the three months ended March 31, 2026.

Average investment-securities balances decreased $735.2 million, or 4.4 percent for the three months ended March 31, 2026, compared with the same period in 2025.The decrease in the average balance of investment securities is attributable to maturities of U.S. Treasury securities, partially offset by purchases of MBS and HFA bonds.

*Average Balance of COs*

Average CO balances decreased $7.3 billion, or 10.2 percent, for the three months ended March 31, 2026, compared with the same period in 2025. This decrease consisted of a $12.5 billion decrease in CO bonds, offset by a $5.2 billion increase in CO discount notes.

The average balance of CO discount notes represented approximately 35.1 percent of total average COs for the three months ended March 31, 2026, compared with 24.3 percent of total average COs for the three months ended March 31, 2025. The average balance of CO bonds represented 64.9 percent and 75.7 percent of total average COs outstanding during the three months ended March 31, 2026 and 2025, respectively.

*Impact of Derivatives and Hedging Activities*

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

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 by better matching the rate repricing characteristics of financial assets and liabilities. 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 provides a summary of the impact of derivatives and hedging activities on our earnings.

**Table 5 - Effect of Derivative and Hedging Activities**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** | **For the Three Months Ended March 31, 2026** |
|<br>**Net Effect of Derivatives and Hedging Activities** | **Advances** | **Investments** | **Mortgage Loans** | **CO Bonds** | **CO Discount Notes** | **Total** |
| Net interest income |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Amortization / accretion of hedging activities <sup>(1)</sup> | $(126) | $13511 | $(22) | $2693 | $— | $16056 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gains (losses) on designated fair-value hedges | 668 | (298) |  | (135) |  | 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest settlements <sup>(2)</sup> | 10056 | 33703 |  | (39735) |  | 4024 |
| &nbsp;&nbsp;&nbsp;&nbsp;Price alignment interest <sup>(3)</sup> | (294) | (948) |  | (23) |  | (1265) |
| Total net interest income | 10304 | 45968 | (22) | (37200) |  | 19050 |
| Net gains (losses) on derivatives and hedging activities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Losses on derivatives not receiving hedge accounting |  |  |  |  | (4036) | (4036) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  |  | (176) |  |  | (176) |
| &nbsp;&nbsp;&nbsp;&nbsp;Price alignment interest <sup>(3)</sup> |  |  |  |  | 856 | 856 |
| Net losses on derivatives and hedging activities |  |  | (176) |  | (3180) | (3356) |
| Total net effect of derivatives and hedging activities | $10304 | $45968 | $(198) | $(37200) | $(3180) | $15694 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** | **For the Three Months Ended March 31, 2025** |
|<br>**Net Effect of Derivatives and Hedging Activities** | **Advances** | **Investments** | **Mortgage Loans** | **CO Bonds** | **CO Discount Notes** | **Total** |
| Net interest income |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Amortization / accretion of hedging activities <sup>(1)</sup> | $(224) | $10035 | $42 | $3623 | $— | $13476 |
| &nbsp;&nbsp;&nbsp;&nbsp;(Losses) gains on designated fair-value hedges | (1132) | (2203) |  | 375 |  | (2960) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest settlements <sup>(2)</sup> | 27009 | 70685 |  | (81591) |  | 16103 |
| &nbsp;&nbsp;&nbsp;&nbsp;Price alignment interest <sup>(3)</sup> | (1254) | (5370) |  | 160 |  | (6464) |
| Total net interest income | 24399 | 73147 | 42 | (77433) |  | 20155 |
| Net gains (losses) on derivatives and hedging activities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Losses on derivatives not receiving hedge accounting |  |  |  |  | (425) | (425) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage delivery firm commitments |  |  | 417 |  |  | 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;Price alignment interest <sup>(3)</sup> |  |  |  |  | 334 | 334 |
| Net gains (losses) on derivatives and hedging activities |  |  | 417 |  | (91) | 326 |
| Total net effect of derivatives and hedging activities | $24399 | $73147 | $459 | $(77433) | $(91) | $20481 |

---

________________________

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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

(2)&nbsp;&nbsp;&nbsp;&nbsp;Represents interest income/expense on derivatives included in net interest income.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Relates to derivatives for which variation margin payments are characterized as daily settled contracts.

*Housing and Community Investment Program Expenses*

In addition to providing a readily available, competitively-priced source of funds to members, one of our core missions is to support affordable housing and community investment. We administer a number of programs that are targeted to fulfill that mission, some of which are statutory, and some are discretionary. For additional information on these specific programs, see Part I — Item 1 — Business — Targeted Housing and Community Investment Programs in the 2025 Annual Report.

We are required to annually set aside a portion of our earnings for our Affordable Housing Program. These funds assist members serving very low-, low-, and moderate-income households and support community economic development. The Bank's net income for the three months ended March 31, 2026, resulted in an accrual of $4.9 million to the AHP pool of funds that will be available to members in 2027. Contributions made to our discretionary housing and community investment programs reduce the Bank's net income for the year, therefore reducing our statutory accrual of funds to the AHP. The Bank's board of directors made a voluntary AHP contribution of $4.0 million for the three months ended March 31, 2026.

**Table 6 - Statutory AHP Assessment and Voluntary AHP Contributions**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
| | **2026** | **2025** |
| Net income subject to AHP statutory assessment | $49354 | $63419 |
| Statutory AHP percentage | 10% | 10% |
| Statutory AHP assessment | 4935 | 6342 |
| AHP voluntary contribution<sup>(1)</sup> | 3962 | 4434 |
| Total AHP contributions | $8897 | $10776 |

---

________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Includes both voluntary and supplemental voluntary contributions to the AHP. Supplemental voluntary contribution to the AHP is the amount that restores the statutory AHP assessment amount to what it otherwise would have been in the absence of the voluntary AHP contribution and the discretionary housing and community investment contribution.

Discretionary housing and community investment program expenses are shown in the table below, by program.

**Table 7 - Discretionary Housing and Community Investment Program Expenses**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **For the Three Months Ended March 31,** | **For the Three Months Ended March 31,** |
|<br>**Program** | **2026** | **2025** |
| Affordable housing |  |  |
| &nbsp;&nbsp;MPF Permanent Rate Buy-Down product | $175 | $404 |
| Economic development |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Jobs for New England program | 1523 | 2353 |
| Community Development Financial Institutions |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CDFI Advance program | 4871 | 2060 |
| Total discretionary housing and community investment program expenses | $6569 | $4817 |

---

**FINANCIAL CONDITION**

**Advances**

At March 31, 2026, the advances portfolio totaled $40.5 billion, a increase of $1.8 billion from $38.8 billion at December 31, 2025.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 8 - Advances Outstanding by Product Type**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
| | **Par Value** | **Percent of Total** | **Par Value** | **Percent of Total** |
| **Fixed-rate advances** | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;Short-term | $12489410 | 30.8% | $11210295 | 28.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;Long-term | 9250731 | 22.8 | 8530500 | 22.0 |
| &nbsp;&nbsp;&nbsp;&nbsp;Putable | 6263670 | 15.4 | 6965970 | 17.9 |
| &nbsp;&nbsp;&nbsp;&nbsp;Overnight | 1444902 | 3.5 | 2179677 | 5.6 |
| &nbsp;&nbsp;&nbsp;&nbsp;Amortizing | 884217 | 2.2 | 922613 | 2.4 |
|  | 30332930 | 74.7 | 29809055 | 76.8 |
| **Variable-rate advances** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Simple variable <sup>(1)</sup> | 10256535 | 25.3 | 8989242 | 23.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;All other variable-rate indexed advances | 265 |  | 1585 |  |
|  | 10256800 | 25.3 | 8990827 | 23.2 |
| Total par value | $40589730 | 100.0% | $38799882 | 100.0% |

---

________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Includes floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

See <u>[Part I](#i497fd7052dd7459aaf8cd2950b0f44a3_187)[— Item](#i497fd7052dd7459aaf8cd2950b0f44a3_187)[1](#i497fd7052dd7459aaf8cd2950b0f44a3_187)[— Financial Statements — Notes to the Financial Statements — Note](#i497fd7052dd7459aaf8cd2950b0f44a3_187)[4](#i497fd7052dd7459aaf8cd2950b0f44a3_187)[— Advances](#i497fd7052dd7459aaf8cd2950b0f44a3_187)</u> for disclosures relating to redemption terms of advances.

*Advances Credit Risk*

We manage credit risk on advances by monitoring the financial condition of our borrowers and by holding sufficient collateral to protect the Bank from credit losses. The Bank has an internal credit rating methodology that estimates each borrower's credit risk utilizing call report data and other quantitative factors as well as qualitative considerations including, but not limited to, regulatory examination reports. Based on its rating, we assign each member and non-member housing associate to one of the four credit categories below to allow the Bank to leverage risk mitigation strategies across groups of similarly rated members. Each credit category reflects increasing limitations on borrowing capacity and terms to maturity, as well as our increasing level of control over the collateral pledged by the borrower.

• Credit category one (Credit Category-1), a borrower is generally in satisfactory financial condition.

• Credit category two (Credit Category-2), a borrower shows financial weakness or weakening financial trends.

• Credit category three (Credit Category-3), a borrower demonstrates financial weaknesses that present an elevated level of concern.

• Credit category four (Credit Category-4), a borrower shows significant financial weaknesses and an increased likelihood of failure over the next 12 months.

The Bank may impose different borrowing capacity limitations or collateral pledging requirements on a borrower if the Bank determines that doing so mitigates risks to the Bank and/or the borrower.

The following table presents a summary of the status of the credit outstanding and overall collateral borrowing capacity of the Bank's borrowers as of March 31, 2026.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 9 - Credit Outstanding and Collateral Borrowing Capacity by Credit Category**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Borrowers with Credit Outstanding** | **Borrowers with Credit Outstanding** | **Borrowers with Credit Outstanding** | **Borrowers with Credit Outstanding** | **Borrowers with Credit Outstanding** | **Borrowers with Credit Outstanding** |
| | **Number** | | **Other Credit Outstanding**<sup>(1)</sup> | **Total Credit Outstanding** | **Collateral Borrowing Capacity**<sup>(2)</sup> | **Collateral Borrowing Capacity**<sup>(2)</sup> |
| **Borrower Credit Category** | **Number** |<br>**Advances** | **Other Credit Outstanding**<sup>(1)</sup> | **Total Credit Outstanding** | **Total** | **Used** |
| Member borrowers<sup>(3)</sup> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit Category-1 | 274 | $38894023 | $9318121 | $48212144 | $147350395 | 32.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit Category-2 | 34 | 1401404 | 46533 | 1447937 | 3658156 | 39.6 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit Category-3 | 9 | 209241 | 81302 | 290543 | 735929 | 39.5 |
| &nbsp;&nbsp;&nbsp;&nbsp;Credit Category-4 |  |  |  |  |  |  |
| Nonmember borrowers<sup>(4)</sup> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Former members | 7 | 39494 | 1782 | 41276 | 140809 | 29.3 |
| &nbsp;&nbsp;&nbsp;&nbsp;Housing associates | 5 | 45568 | 74 | 45642 | 48384 | 94.3 |
| Total | 329 | $40589730 | $9447812 | $50037542 | $151933673 | 32.9% |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Includes accrued interest on advances, letters of credit, unused lines of credit, and credit-enhancement obligations on purchased mortgage loans.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Because they are subject to different laws and regulations than depository institutions, non-depository members are obligated to deliver eligible collateral regardless of their assigned credit category.

(4)&nbsp;&nbsp;&nbsp;&nbsp;Nonmember borrowers, consisting of housing associates and institutions that are former members or have acquired former members, are obligated to deliver all required collateral. Other than housing associates, nonmember borrowers may not request new advances and are not permitted to extend or renew any advances they have assumed.

The Bank may adjust the credit category of a member from time to time based on financial reviews and other information pertinent to that member.

We have not recorded any allowance for credit losses on advances as of March 31, 2026, and December 31, 2025, for the reasons discussed in <u>[Part I — Item 1 — Financial Statements — Notes to the Financial Statements — Note 4 — Advances](#i497fd7052dd7459aaf8cd2950b0f44a3_187)</u>.

**Table 10 - Top Five Advance-Borrowing Institutions**

*(dollars in thousands)*

---

| | | | |
|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| **Name** | **Par Value of Advances** | **Percent of Total Par Value of Advances** | **Weighted-Average Rate** <sup>(1)</sup> |
| Webster Bank, N.A. | $4810619 | 11.8% | 3.84% |
| State Street Bank and Trust Company | 3500000 | 8.6 | 3.89 |
| Citizens Bank, N.A. | 2513277 | 6.2 | 3.95 |
| Hingham Institution for Savings | 1413540 | 3.5 | 3.88 |
| Salem Five Cents Savings Bank | 1412034 | 3.5 | 3.83 |
| Total of top five advance-borrowing institutions | $13649470 | 33.6% |  |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

---

| | | | |
|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| **Name** | **Par Value of Advances** | **Percent of Total Par Value of Advances** | **Weighted-Average Rate** <sup>(1)</sup> |
| State Street Bank and Trust Company | $3500000 | 9.0% | 4.06% |
| Webster Bank, N.A. | 2980718 | 7.7 | 3.86 |
| Citizens Bank, N.A. | 2013387 | 5.2 | 3.92 |
| Institution for Savings in Newburyport and its Vicinity | 1468719 | 3.8 | 3.81 |
| Hingham Institution for Savings | 1463815 | 3.8 | 3.94 |
| Total of top five advance-borrowing institutions | $11426639 | 29.5% |  |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Weighted-average rates are based on the contract rate of each advance without taking into consideration the effects of interest-rate-exchange agreements that we may use as hedging instruments.

**Investments**

At March 31, 2026, investment securities and short-term money-market instruments totaled $26.0 billion, an increase of $782.8 million from $25.2 billion at December 31, 2025.

Short-term money-market investments increased $778.9 million to $10.3 billion at March 31, 2026, compared with December 31, 2025. The increase was attributable to increases in securities purchased under agreements to resell and interest-bearing deposits of $750.0 million and $166.9 million, respectively, offset by a decrease of $138.0 million in federal funds sold.

Investment securities increased $3.9 million to $15.7 billion at March 31, 2026, compared with $15.7 billion at December 31, 2025.

*Investments Credit Risk*

We are subject to credit risk on unsecured investments consisting primarily of short-term (meaning one year or less to maturity) money-market instruments issued by high-quality financial institutions and long-term (original maturity greater than 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 fourth 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, 2026, all of these placements either expired within one business day or were payable upon demand. See Part I — Item 1 — Business — Business Lines — Investments in the 2025 Annual Report for additional information.

In addition, 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 term limits of up to 95 days to maturity and in the form of 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 equity 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.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 11 - Credit Ratings of Investments at Carrying Value**

*(dollars in thousands)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **As of March 31, 2026** | **As of March 31, 2026** | **As of March 31, 2026** | **As of March 31, 2026** |
| | **Long-Term Credit Rating** | **Long-Term Credit Rating** | **Long-Term Credit Rating** | **Long-Term Credit Rating** |
|<br>**Investment Category** | **Triple-A** | **Double-A** | **Single-A** | **Unrated** |
| Money-market instruments: <sup>(1)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest-bearing deposits | $— | $974150 | $1245163 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities purchased under agreements to resell |  |  | 5250000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Federal funds sold |  | 990000 | 1831000 |  |
| Total money-market instruments |  | 1964150 | 8326163 |  |
| Investment securities:<sup>(2)</sup> |  |  |  |  |
| Non-MBS: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury obligations |  | 4053657 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate bonds |  |  |  | 1428 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government-owned corporations |  | 228943 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE |  | 95264 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Supranational institutions | 240882 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;HFA securities | 64573 | 58607 |  |  |
| Total non-MBS | 305455 | 4436471 |  | 1428 |
| MBS: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed - single-family |  | 105045 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. government guaranteed - multifamily |  | 450229 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – single-family |  | 2264752 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;GSE – multifamily |  | 8135493 |  |  |
| Total MBS |  | 10955519 |  |  |
| Total investment securities | 305455 | 15391990 |  | 1428 |
| Total investments | $305455 | $17356140 | $8326163 | $1428 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;The counterparty nationally recognized statistical ratings organization rating is used for money-market instruments. Counterparty ratings are obtained from Moody's Investors Service Inc. (Moody's), Fitch, Inc. (Fitch), and Standard & Poor's Financial Services LLC (S&P) and are each as of March 31, 2026. 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)&nbsp;&nbsp;&nbsp;&nbsp;The issue rating is used for investment securities. Issue ratings are obtained from Moody's, Fitch, and S&P. If there is a split rating, the lowest rating is used.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 12 - Unsecured Credit Related to Money-Market Instruments and Debentures**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **Carrying Value** | **Carrying Value** |
| | **March 31, 2026** | **December 31, 2025** |
| Federal funds sold | $2821000 | $2959000 |
| Interest bearing deposits | 2219313 | 2052365 |
| Supranational institutions | 240882 | 243394 |
| U.S. government-owned corporations | 228943 | 230065 |
| GSEs | 95264 | 96535 |
| Corporate bonds | 1428 | 1401 |

---

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 2025 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, the product of which 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 permitted by regulation for individual counterparties.

**Mortgage Loans**

We invest in mortgages through the MPF Program. The MPF Program is further described under — Mortgage Loans Credit Risk and in Part I — Item 1 — Business — Business Lines — Mortgage Loan Finance in the 2025 Annual Report.

As of March 31, 2026, our mortgage loan investment portfolio totaled $4.4 billion, an increase of $76.9 million from December 31, 2025. This increase is the result of mortgage loan purchase volumes exceeding principal repayments during 2026. We expect continued competition from Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, as well as from private mortgage loan acquirers, for loan investment opportunities.

*Mortgage Loans Credit Risk*

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 2025 Annual Report. For information on the payment status of our mortgage loan portfolio as of March 31, 2026, see <u>[Part I — Item 1 — Financial Statements — Notes to Financial Statements — Note 5 — Mortgage Loans Held for Portfolio](#i497fd7052dd7459aaf8cd2950b0f44a3_193)</u> in this report.

Although our mortgage loan portfolio includes loans throughout the U.S., concentrations of 5 percent or greater of the par value of our conventional mortgage loan portfolio are shown in Table 13.

**Table 13 - State Concentrations by Par Value**

---

| | | |
|:---|:---|:---|
| | **Percentage of Total Par Value of Conventional Mortgage Loans** | **Percentage of Total Par Value of Conventional Mortgage Loans** |
| | **March 31, 2026** | **December 31, 2025** |
| Massachusetts | 53% | 54% |
| Maine | 19 | 18 |
| Vermont | 10 | 9 |
| Connecticut | 7 | 7 |
| All others | 11 | 12 |
| Total | 100% | 100% |

---

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

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.

**Consolidated Obligations**

See <u>[Liquidity and Capital Resources](#i497fd7052dd7459aaf8cd2950b0f44a3_97)</u> for information regarding our COs.

**Derivative Instruments**

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 $255.4 million and $295.7 million as of March 31, 2026, and December 31, 2025, respectively. Derivative liabilities' net fair value, net of cash collateral and accrued interest, totaled $2.3 million at both March 31, 2026, and December 31, 2025.

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, 2026, and December 31, 2025. 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.

**Table 14 - Derivatives and Hedge-Accounting Treatment**

*(dollars in thousands)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>**Hedged Item** |<br>**Derivative** |<br>**Designation**<sup>(1)</sup> | **Notional<br>Amount** | **Fair<br> Value** | **Notional<br>Amount** | **Fair <br>Value** |
| Advances | Swaps | Fair value | $11726142 | $(46686) | $11482436 | $(83599) |
| Available-for-sale securities | Swaps | Fair value | 11475155 | (85609) | 11532025 | (80385) |
| COs | Swaps | Fair value | 18872510 | (232388) | 21078500 | (232369) |
|  | Swaps | Economic | 10472142 | 2220 | 7722435 | 2190 |
|  | Forward starting swaps | Cash Flow | 491000 | (208) | 641000 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total associated with COs |  |  | 29835652 | (230376) | 29441935 | (229710) |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  |  | 53036949 | (362671) | 52456396 | (393694) |
| Mortgage delivery firm commitments |  |  | 91535 | 141 | 59316 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total derivatives |  |  | $53128484 | (362530) | $52515712 | (393609) |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued interest |  |  |  | 111451 |  | 166995 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash collateral, including related accrued interest |  |  |  | 504165 |  | 520026 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net derivatives |  |  |  | $253086 |  | $293412 |
| Derivative asset |  |  |  | $255425 |  | $295723 |
| Derivative liability |  |  |  | (2339) |  | (2311) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net derivatives |  |  |  | $253086 |  | $293412 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;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-

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

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, which is 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. 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 derivatives clearing organization and clearing member.

From time to time, due to timing differences, derivatives-valuation differences between our calculated derivatives values and those of our counterparties, or to the contractual haircuts applied to securities, we may receive from (or pledge to) our counterparties cash or securities collateral whose fair value is less (or more) than the current net positive (or net negative) fair- value of derivatives positions outstanding with them.

**Table 15 - Credit Exposure to Derivatives Counterparties**

*(dollars in thousands)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **As of March 31, 2026** | **As of March 31, 2026** | **As of March 31, 2026** | **As of March 31, 2026** | **As of March 31, 2026** |
| | **Notional Amount** | **Net Derivatives Fair Value Before Collateral** | **Cash Collateral Pledged to (from) Counterparty** | **Non-cash Collateral Pledged from Counterparty** | **Net Credit Exposure to Counterparties** |
| Asset positions with credit exposure: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Uncleared derivatives |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Single-A | $1151500 | $4098 | $(3186) | $(266) | $646 |
| Liability positions with credit exposure: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Uncleared derivatives |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Double-A | 33500 | (127) | 171 |  | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;Single-A | 15772500 | (227866) | 233204 |  | 5338 |
| &nbsp;&nbsp;Cleared derivatives | 27192579 | (20360) | 269106 |  | 248746 |
| Total interest-rate swap positions with nonmember counterparties to which we had credit exposure | 44150079 | (244255) | 499295 | (266) | 254774 |
| Mortgage delivery firm commitments <sup>(1)</sup> | 91535 | 385 |  |  | 385 |
| Total | $44241614 | $(243870) | $499295 | $(266) | $255159 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Total fair-value exposures related to firm commitments to invest in mortgage loans are offset by certain pair-off fees. Firm 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 information on our approach to the credit risks arising from our use of derivatives, see Part II — Item 7 — Management's Discussion and Analysis and Results of Operations — Financial Condition — Derivative Instruments — Derivative Instruments Credit Risk in the 2025 Annual Report.

**LIQUIDITY 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 in the 2025 Annual

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

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 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.

We are unable to predict future trends in member credit needs because they are driven by complex interactions among several factors, including, but not limited to, increases and decreases in members assets and deposits, and the attractiveness of advances compared to other sources of wholesale funding. We regularly monitor current trends and anticipate future debt issuance needs and maintain a portfolio of highly liquid assets to be prepared to fund member credit needs and investment opportunities. We are generally able to expand our CO debt issuance in response to members' increased need for advances and to increase our acquisitions of mortgage loans. Alternatively, in response to reduced member credit needs, we may shrink our balance sheet by allowing our COs to mature without replacement, transferring debt to another FHLBank, repurchasing and retiring outstanding COs, or redeeming callable COs on eligible redemption dates.

*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 that can be sold or pledged as collateral under a repurchase agreement. During the three months ended March 31, 2026, we maintained continuous access to funding and adapted our debt issuance to meet the needs of our members.

Secondary sources of liquidity include payments collected on mortgage loans, proceeds from the issuance of capital stock, and member deposits. 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 high interest rates. There were no such purchases by the U.S. Treasury during the three months ended March 31, 2026.

Our uses of liquidity are advance originations and consolidated obligation principal and interest payments. Other uses of liquidity are mortgage loan and investment purchases, dividend payments, general operating expenses, and other contractually obligated 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.

For information and discussion of our guarantees and other commitments we may have, see <u>[Part](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[I — Item](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[1](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[— Financial Statements — Notes to the Financial Statements — Note 1](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[3](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[— Commitments and Contingencies](#i497fd7052dd7459aaf8cd2950b0f44a3_241)</u>. For further information and discussion of the joint and several liability for FHLBank COs, see Part II — Item 8 — Financial Statements — Notes to the Financial Statements — Note 10 — Consolidated Obligations in the 2025 Annual Report.

*Internal Liquidity Sources / Liquidity Management*

*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 exercises.

*Liquidity Management.* We maintain our liquidity so that if projected net cash flow falls below zero on or before the 21<sup>st</sup> day following the measurement date, then management of the Bank is notified and determines whether any corrective action is necessary. We did not breach this threshold at any time during the three months ended March 31, 2026. Table 16 below shows this calculation as of March 31, 2026.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 16 - Projected Net Cash Flow**

*(dollars in thousands)*

---

| | |
|:---|:---|
| | **As of March 31, 2026** |
| | **21 Days** |
| Uses of funds |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest payable | $134905 |
| &nbsp;&nbsp;&nbsp;&nbsp;Maturing or expected option exercise of liabilities | 6157052 |
| &nbsp;&nbsp;&nbsp;&nbsp;Committed asset settlements | 265770 |
| &nbsp;&nbsp;&nbsp;&nbsp;Capital outflow | 41630 |
| &nbsp;&nbsp;&nbsp;&nbsp;MPF delivery commitments | 99679 |
| &nbsp;&nbsp;&nbsp;&nbsp;Projected Calls | 16000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 11528 |
| Gross uses of funds | 6726564 |
| Sources of funds |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest receivable | 177448 |
| &nbsp;&nbsp;&nbsp;&nbsp;Maturing or projected amortization of assets | 15602785 |
| &nbsp;&nbsp;&nbsp;&nbsp;Committed liability settlements | 487954 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash and due from banks and interest bearing deposits | 2244946 |
| Gross sources of funds | 18513133 |
| Projected net cash flow | $11786569 |

---

*Base Case Liquidity Requirement.* The Bank is subject to FHFA guidance on liquidity, including 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 fund standby 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 maintain sufficient liquid assets to achieve positive projected net 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 during the three months ended March 31, 2026.

*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

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

total assets over three-month and one-year time horizons. In conformity with the provisions of the Liquidity Guidance AB, the Bank has instituted a limit framework around these metrics as follows:

**Table 17 - Funding Gap Metric**

---

| | | | |
|:---|:---|:---|:---|
| **Funding Gap Metric** <sup>(1)</sup> | **Limit** | **Three-Month Average<br>March 31, 2026** | **Three-Month Average<br>December 31, 2025** |
| 3-month Funding Gap | 15% | (1.3)% | (0.8)% |
| 1-year Funding Gap | 30% | 15.4% | 14.4% |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;The funding gap metric is a positive value when maturing liabilities exceed maturing assets, as defined, within the given period. Compliance with limits is evaluated against the rolling three-month average of the month-end funding gaps.

*External Sources of Liquidity*

*Amended and Restated FHLBanks P&I Funding Contingency Plan Agreement.* All FHLBanks 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 any FHLBank does not fund principal and interest payments due with respect to any CO for which issuance proceeds were allocated to it 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 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. The FHLBank that received assistance pursuant to this agreement 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 Obligations**

At March 31, 2026, and December 31, 2025, outstanding COs for which we are primarily liable, including both CO bonds and CO discount notes, totaled $66.2 billion and $63.6 billion, respectively. CO bonds outstanding for which we are primarily liable at March 31, 2026, and December 31, 2025, include issued callable bonds totaling $16.2 billion and $17.7 billion, respectively.

CO discount notes comprised 37.0 percent and 33.3 percent of the outstanding COs for which we are primarily liable at March 31, 2026, and December 31, 2025, respectively, but accounted for 65.3 percent and 43.6 percent of the proceeds from the issuance of such COs during the three months ended March 31, 2026 and 2025, respectively.

Overall, we continued to experience strong demand for COs among investors. During the period covered by this report, the capital markets have supported our funding needs and we have been able to issue debt in the amounts and structures required to satisfy the demand for advances and meet our funding and risk-management needs.

**Capital**

Total capital was $3.9 billion and $3.8 billion at March 31, 2026, and December 31, 2025, respectively.

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, 2026, as discussed in <u>[Part](#i497fd7052dd7459aaf8cd2950b0f44a3_223)[I — Item](#i497fd7052dd7459aaf8cd2950b0f44a3_223)[1](#i497fd7052dd7459aaf8cd2950b0f44a3_223)[— Financial Statements — Notes to the Financial Statements — Note 1](#i497fd7052dd7459aaf8cd2950b0f44a3_223)[0](#i497fd7052dd7459aaf8cd2950b0f44a3_223)[— Capital](#i497fd7052dd7459aaf8cd2950b0f44a3_223)</u>.

*Capital Rule*

The FHFA's regulation on FHLBank capital classification and critical capital levels (the Capital Rule), among other things, establishes criteria for 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. Based on financial information as of December 31, 2025, the FHFA determined that we met the definition of adequately capitalized under the Capital Rule.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Internal Capital Practices and Policies**

We maintain a level and composition of capital exceeding legal and regulatory requirements that we believe to be prudent 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.

*Internal Minimum Capital Requirement in Excess of Regulatory Requirements*

In an effort 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, 2026, this internal minimum capital requirement equaled $3.5 billion, which was satisfied by our actual regulatory capital of $4.0 billion.

*Minimum Retained Earnings Target* 

Our minimum required level of retained earnings is determined monthly using rolling three-month averages. Retained earnings must be at least 4.0 percent of our total assets less outstanding capital stock plus the economic capital requirement.

At March 31, 2026, we had total retained earnings of $2.0 billion, which exceeded the limit of $1.5 billion. In the event that the Bank's balance of retained earnings is below the limit, dividends may not exceed 40 percent of the prior quarter's net income.

*Repurchases of Excess Stock*

We have the authority, but are not obliged, to repurchase excess stock, as discussed under Part I — Item 1 — Business — Capital Resources — Repurchase of Excess Stock in the 2025 Annual Report.

**Table 18 - Capital Stock Requirements and Excess Capital Stock**

*(dollars in thousands)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Membership Stock<br>Investment<br>Requirement** | **Activity-Based<br>Stock Investment<br>Requirement** | **Total Stock**<br>**Investment**<br>**Requirement** <sup>(1)</sup> | **Outstanding Class B**<br>**Capital Stock** <sup>(2)</sup> | **Excess Class B<br>Capital Stock** |
| March 31, 2026 | $364429 | $1621926 | $1986374 | $2028004 | $41630 |
| December 31, 2025 | 355203 | 1550527 | 1905751 | 1940732 | 34981 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Total stock investment requirement is rounded up to the nearest $100 on an individual member basis.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Class B capital stock outstanding includes mandatorily 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 a minimum repurchase amount of $100,000. We plan to continue this practice, subject to regulatory requirements and our liquidity or capital management needs, although repurchase decisions remain at our sole discretion, and we retain authority to adjust 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 and the Joint Capital Agreement*

At March 31, 2026, our total required contribution to the restricted retained earnings account was $640.8 million and the balance of the restricted retained earnings account was $563.4 million, thus requiring us to contribute 20 percent of net income to our restricted retained earnings account.

**Off-Balance-Sheet Arrangements**

Our significant off-balance-sheet arrangements consist of the following:

• &nbsp;&nbsp;&nbsp;&nbsp;commitments that obligate us for additional advances;

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

• &nbsp;&nbsp;&nbsp;&nbsp;standby letters of credit;

• &nbsp;&nbsp;&nbsp;&nbsp;commitments for unused lines-of-credit advances; and

• &nbsp;&nbsp;&nbsp;&nbsp;unsettled COs.

Off-balance-sheet arrangements are more fully discussed in <u>[Part I](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[— Item](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[1](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[— Financial Statements — Notes to the Financial Statements — Note 1](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[3](#i497fd7052dd7459aaf8cd2950b0f44a3_241)[— Commitments and Contingencies](#i497fd7052dd7459aaf8cd2950b0f44a3_241)</u>.

**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, liabilities, income and expense. To understand the Bank's financial position and results of operations, it is important to understand the Bank's most significant accounting policies and the extent to which management uses judgment, estimates and assumptions in applying those policies. The Bank's critical accounting estimates relate to the Bank's valuation of derivatives and hedged items in a fair-value hedge relationship.

Management considers these policies to be critical because they require us to make subjective and complex judgments about matters that are inherently uncertain. Management bases its judgment and estimates on current market conditions and industry practices, historical experience, changes in the business environment and other factors that it believes to be reasonable under the circumstances. Actual results could differ materially from these estimates under different assumptions and/or conditions. The Audit Committee of our board of directors has reviewed these estimates. The assumptions involved in applying these policies are discussed in Part II — Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Estimates in the 2025 Annual Report.

As of March 31, 2026, 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.

**LEGISLATIVE AND REGULATORY DEVELOPMENTS**

Significant legislative and regulatory actions and developments for the period covered by this report are summarized below.

We are subject to various legal and regulatory requirements and priorities. Certain actions, regulatory priorities, and areas of focus, such as deregulation, by the current administration have changed and continue to change the regulatory environment. These changes have affected, and likely will continue to affect, certain aspects of our business operations, and could affect the financial condition, results of operations, and reputation of the Bank. For example, the FHFA repealed the Fair Lending, Fair Housing, and Equitable Housing Finance Plans regulation applicable to the FHLBanks, effective March 9, 2026, citing the administration's deregulatory priorities.

*March 2026 Executive Orders.*

On March 13, 2026, the federal executive administration issued two executive orders that address mortgage credit availability and housing affordability and are pertinent to the FHLBanks.

One executive order directs the FHFA and other federal financial regulators to consider measures to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.expand access to mortgage credit, including potential adjustments to capital requirements for mortgage-related exposures;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.modernize collateral valuation and transfer systems between the Federal Reserve Banks and the FHLBanks;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.expand access to longer-dated FHLBank advances tied to residential mortgage assets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.develop targeted FHLBank liquidity programs for entry-level housing, owner-occupied purchase loans, and small residential builders;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.accelerate collateral boarding and valuation processes through standardized data and digital documentation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.refocus the FHLBanks' Affordable Housing Programs to support faster execution and greater financial leverage for small-scale and owner-occupied housing projects.

This executive order also directs the FHFA and the Federal Reserve Board to consider authorizing the FHLBanks' intermediate access to the Federal Reserve's discount window for the FHLBanks' depository institution members under standardized collateral, operational, and risk-management protocols. The executive order also directs the FHFA and other federal agencies to

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

consider standardizing the acceptance of e-notes and promoting digital mortgage standards. Lastly, the FHFA, in consultation with other relevant federal agencies, is required to submit a report evaluating the efficiency of national housing finance markets and identifying potential regulatory or legislative recommendations to address any regulatory or oversight gaps.

The second executive order directs the FHFA and other federal agencies to consider reducing regulatory barriers to affordable housing construction, including by eliminating or reforming rules or programs that constrain residential development and impede housing affordability, especially the construction of affordable single-family homes.

While these executive orders could potentially affect our liquidity products, collateral and operational requirements, capital deployment, and housing-related initiatives, these executive orders do not, by themselves, change existing regulations or program requirements applicable to us and the other FHLBanks. The nature, timing, and scope of any resulting changes remain uncertain and subject to further FHFA action, such as rulemaking or guidance. We continue to monitor developments related to these executive orders and assess their potential effect on us and our members.

Considering the changes in the regulatory environment, there is uncertainty with respect to the ultimate nature and result of future regulatory actions and their ultimate effects on us and the FHLBank System. We continue to monitor these actions as they evolve and to evaluate their potential effect on the Bank. For further discussion of related risks, see Part I — Item 1A — Risk Factors in the 2025 Annual Report.

**ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK**

**Sources and Types of Market and Interest-Rate Risk**

Our balance sheet is comprised of different portfolios that require different market- and interest-rate-risk management strategies. The majority of our balance sheet is comprised of assets that can be funded individually or collectively without imposing significant residual interest-rate risk on ourselves. Sources and types of market and interest-rate risk are described in Part II — Item 7A — Quantitative and Qualitative Disclosures About Market Risk — Sources and Types of Market and Interest-Rate Risk in the 2025 Annual Report.

**Strategies to Manage Market and Interest-Rate Risk**

*General*

We use various strategies and techniques to manage our market- and interest-rate risk including the following and combinations of the following:

• the issuance of COs that can be used to match interest-rate-risk exposures of our assets;

• the issuance of COs with embedded call options to mitigate interest-rate and prepayment risks of our mortgage loans and certain MBS;

• the issuance of COs together with interest-rate swaps (either cleared if no optionality or uncleared if containing optionality) that receive a coupon rate that offsets the cost of the debt and any optionality embedded in the debt, thereby effectively creating a floating-rate liability;

• the issuance of advances together with interest-rate swaps that pay a coupon rate that offsets the advance coupon rate and any optionality embedded in the advance, thereby effectively creating a floating-rate asset;

• the purchase of available-for-sale securities together with interest-rate swaps that pay a coupon rate that offsets the security's coupon rate, thereby effectively creating a floating-rate asset;

• contractual provisions for certain advances that require borrowers to pay us prepayment fees, to make us financially indifferent if the borrower prepays such advances prior to maturity; and

• the use of derivatives to hedge the interest-rate risk of anticipated future CO debt issuance.

The following table provides the outstanding balances for the strategies to manage market and interest-rate risk noted above.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Table 19 - Interest-Rate Risk Management**

*(dollars in thousands)*

---

| | | |
|:---|:---|:---|
| | **Outstanding Par Value/Notional Balance as of** | **Outstanding Par Value/Notional Balance as of** |
| | **March 31, 2026** | **December 31, 2025** |
| Fixed-rate noncallable debt, not hedged by interest-rate swaps | $6651905 | $7192360 |
| Fixed-rate callable debt not hedged by interest-rate swaps | 2085000 | 2211000 |
| CO debt hedged by interest-rate-exchange agreements, including both fair-value hedge relationships and economic hedge relationships<sup>(1)</sup> | 29344652 | 28800935 |
| Advances hedged by interest-rate-exchange agreements, including both fair-value hedge relationships and economic hedge relationships | 11726142 | 11482436 |
| Available-for-sale securities (non-MBS) hedged by interest-rate-exchange agreements | 4829280 | 5079280 |
| Available-for-sale securities (MBS) hedged by interest-rate-exchange agreements | 6645875 | 6452745 |
| Total hedged available-for-sale securities | 11475155 | 11532025 |
| Notional principal balance of forward starting interest-rate swaps hedging the anticipated future issuance of CO debt | 491000 | 641000 |

---

_______________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;The amount for March 31, 2026, and December 31, 2025, includes unsettled CO bonds with a par value of $163.9 million and $50.0 million, respectively.

**Measurement of Market and Interest-Rate Risk and Related Policy Constraints**

We measure our exposure to market and interest-rate risk using several techniques applied to the balance sheet and to certain portfolios within the balance sheet. Principal among these measurements as applied to the balance sheet is the potential change in market value of equity (MVE) and interest income due to potential changes in interest rates, interest-rate volatility, spreads, and market prices. We also measure Value at Risk (VaR), duration of equity, MVE sensitivity, and the other metrics discussed below.

*Market Value of Equity Estimation.* MVE is the net economic value of total assets and liabilities, including any derivative transactions. In contrast to the GAAP-based shareholders' equity account, MVE represents the shareholders' equity account in present-value terms. Specifically, MVE equals the difference between the estimated market value of our assets and the estimated market value of our liabilities, net of derivative transactions.

*Market Value of Equity/Book Value of Equity Ratio.* MVE and, in particular, the ratio of MVE to the book value of equity (BVE), is a measure of the current value of shareholder investment based on market rates, spreads, prices, and volatility at the reporting date. However, these valuations may not be fully representative of future realized prices. Valuations are based on market yields and prices of individual assets, liabilities, and derivatives, and therefore embed elements of option, credit, and liquidity risk which may not be representative of future net income to be earned from the spread between asset yields and funding costs. Further, MVE does not consider future new business activities, or income or expense derived from sources other than financial assets or liabilities.

For purposes of measuring this ratio, the BVE is equal to the par value of capital stock including mandatorily redeemable capital stock, retained earnings, and accumulated other comprehensive (loss) income. At March 31, 2026, our MVE was $3.75 billion and our BVE was $3.87 billion, resulting in a ratio of MVE to BVE of 97 percent. At December 31, 2025, our MVE was $3.65 billion and our BVE was $3.78 billion, resulting in a ratio of MVE to BVE of 96 percent.

*Market Value of Equity/Par Stock Ratio*. We also measure the ratio of our MVE to the par value of our Class B Stock, which we refer to as our MVE to par stock ratio. We have established an MVE to par stock ratio floor of 125 percent reflecting our intent to preserve the value of our members' capital investment. As of March 31, 2026, and December 31, 2025, that ratio was 185 percent and 188 percent, respectively.

*Value at Risk.* VaR, which measures the potential change in our MVE, is based on a set of stress scenarios using historically based interest-rate, volatility, and option-adjusted spread (OAS) movements starting at the most recent month-end and going

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

back monthly to 1998. For risk-based capital purposes and compliance with our internal policies, VaR is reported as the average of the five worst scenarios.

The table below presents the VaR estimate as of March 31, 2026, and December 31, 2025, and represents the estimates of potential reduction to our MVE from potential future changes in interest rates and other market factors, as described above. Estimated potential market value loss exposures are expressed as a percentage of the current MVE. The table is intended to represent a statistically based range of VaR exposures.

**Table 20 - Value-at-Risk** 

*(dollars in millions)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Value-at-Risk<br>(Gain) Loss Exposure** | **Value-at-Risk<br>(Gain) Loss Exposure** | **Value-at-Risk<br>(Gain) Loss Exposure** | **Value-at-Risk<br>(Gain) Loss Exposure** |
| | **March 31, 2026** | **March 31, 2026** | **December 31, 2025** | **December 31, 2025** |
|<br>**Confidence Level** | **% of**<br>**MVE** <sup>(1)</sup> | **Amount** | **% of<br>MVE** <sup>(1)</sup> | **Amount** |
| 50% | 6.59% | $247.2 | 6.46% | $235.6 |
| 75% | 7.81 | 292.9 | 7.53 | 274.6 |
| 95% | 9.73 | 364.9 | 9.45 | 344.6 |
| 99% | 11.69 | 438.3 | 10.46 | 381.1 |
| Average of five worst scenarios as of period end | 12.08 | 452.7 | 11.00 | 400.8 |

---

_____________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;Loss exposure is expressed as a percentage of base MVE.

*Duration of Equity.* We have established a limit of +/- 4.0 years for duration of equity based on a balanced consideration of market-value sensitivity and net interest-income sensitivity. Should the limit be exceeded, our policies require us to notify our board of directors' Risk Committee of such a breach.

Our duration of equity was +1.74 years at March 31, 2026, compared with +1.54 years at December 31, 2025. For purposes of managing against our duration of equity limits, we apply one method that constrains projected future interest rates and discounting yields to a minimum of zero percent and another method that does not constrain interest rates to a minimum of zero percent. For the periods ended March 31, 2026, and December 31, 2025, the results of the constrained and unconstrained metrics were the same. We did not exceed our duration of equity limit at any time during the quarter ended March 31, 2026, or the year ended December 31, 2025.

*MVE Sensitivity.* We measure MVE sensitivity by using the percent change in MVE from base in an up or down 200 basis point parallel rate shock scenario.

See Table 21 for our MVE sensitivity, as calculated in accordance with guidance from the FHFA which requires that we constrain projected future interest rates and discounting yields to a minimum of zero percent.

*Duration Gap*. We measure the duration gap of our assets and liabilities, including all related hedging transactions. Duration gap is the difference between the estimated durations (percentage change in market value for a 100 basis point parallel rate shock) of assets and liabilities (including the effect of related hedges) and reflects the extent to which estimated sensitivities to market changes, including, but not limited to, maturity and repricing cash flows for assets and liabilities, are matched.

Our duration gap was +1.09 months at March 31, 2026, compared with +0.97 months at December 31, 2025.

For the periods ended March 31, 2026, and December 31, 2025, the results of the constrained and unconstrained metrics were the same.

*Income Simulation.* To provide an additional perspective on market and interest-rate risks, we have an income-simulation model that projects adjusted net income over the ensuing 12-month period using a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and changes in basis risk. The income simulation metric is based on projections of adjusted net income divided by capital stock (including mandatorily redeemable capital stock). Projections of adjusted net income exclude: a) projected prepayment of advances and prepayment penalties; b) loss on early extinguishment of debt; c) changes in fair values from hedging activities; and d) changes in fair values of trading securities. The simulations are

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

solely based on simulated movements in interest rates and do not reflect potential impacts of credit events, including, but not limited to, potential provision for credit losses.

*Economic Capital Ratio Limit*. We have established a limit of 4.0 percent for the ratio of the MVE to the market value of assets, referred to as the economic capital ratio. Our economic capital ratio was 5.2 percent as of March 31, 2026, compared with 5.3 percent as of December 31, 2025.

**Certain Market and Interest-Rate Risk Metrics under Potential Interest-Rate Scenarios**

We also monitor the sensitivities of MVE and the duration of equity to potential interest-rate scenarios. The following table presents certain market and interest-rate risk metrics under different interest-rate scenarios.

**Table 21 - Market and Interest-Rate Risk Metrics**

*(dollars in millions)*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** | **March 31, 2026** |
| | **Down 300**<sup>(1)</sup> | **Down 200**<sup>(1)</sup> | **Down 100**<sup>(1)</sup> | **Base** | **Up 100** | **Up 200** | **Up 300** |
| MVE | $3951 | $3876 | $3810 | $3749 | $3679 | $3601 | $3517 |
| Percent change in MVE from base | 5.4% | 3.4% | 1.6% | —% | (1.9)% | (3.9)% | (6.2)% |
| MVE/BVE | 102% | 100% | 99% | 97% | 95% | 93% | 91% |
| MVE/Par Stock | 195% | 191% | 188% | 185% | 181% | 178% | 173% |
| Duration of Equity | +2.38 years | +1.79 years | +1.62 years | +1.74 years | +2.01 years | +2.25 years | +2.51 years |
| Return on Capital Stock less SOFR | 3.4% | 3.8% | 4.4% | 5.6% | 5.7% | 6.0% | 6.4% |
| Net income percent change from base | (55.6)% | (40.1)% | (22.9)% | —% | 11.8% | 26.1% | 40.1% |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** | **December 31, 2025** |
| | **Down 300**<sup>(1)</sup> | **Down 200**<sup>(1)</sup> | **Down 100**<sup>(1)</sup> | **Base** | **Up 100** | **Up 200** | **Up 300** |
| MVE | $3831 | $3758 | $3701 | $3645 | $3586 | $3520 | $3448 |
| Percent change in MVE from base | 5.1% | 3.1% | 1.5% | —% | (1.6)% | (3.4)% | (5.4)% |
| MVE/BVE | 101% | 99% | 98% | 96% | 95% | 93% | 91% |
| MVE/Par Stock | 197% | 194% | 191% | 188% | 185% | 181% | 178% |
| Duration of Equity | +2.62 years | +1.55 years | +1.56 years | +1.54 years | +1.75 years | +1.96 years | +2.19 years |
| Return on Capital Stock less SOFR | 1.8% | 2.4% | 3.3% | 4.5% | 5.4% | 6.1% | 6.7% |
| Net income percent change from base | (72.7)% | (51.5)% | (28.1)% | —% | 24.4% | 45.1% | 65.4% |

---

____________________________

(1)&nbsp;&nbsp;&nbsp;&nbsp;In an environment of low interest rates, downward rate shocks are floored as they approach zero, and therefore may not be fully representative of the indicated rate shock.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**Item 4. CONTROLS AND PROCEDURES**

*Disclosure Controls and Procedures*

Senior management is responsible for establishing and maintaining a system of disclosure controls and procedures designed to ensure information required to be disclosed by us in the reports filed or submitted under the Securities Exchange Act of 1934 is recorded, processed, summarized, and reported within the time periods specified in the rules and forms of the SEC. Our disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in the reports that we file or submit under the Securities Exchange Act of 1934 is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of controls and procedures.

Our management has evaluated the effectiveness of the design and operation of our disclosure controls and procedures, with the participation of the president and chief executive officer and the chief financial officer, as of March 31, 2026. Based on that evaluation, our president and chief executive officer and chief financial officer have concluded that our disclosure controls and procedures were effective at a reasonable assurance level as of March 31, 2026.

*Changes in Internal Control over Financial Reporting*

During the quarter ended March 31, 2026, there were no changes in our internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

**PART II. OTHER INFORMATION**

**ITEM 1. LEGAL PROCEEDINGS**

From time to time, we are subject to various legal proceedings arising in the normal course of business. After consultation with legal counsel, we do not anticipate that the ultimate liability, if any, arising out of these matters will have a material adverse effect on our financial condition or results of operations.

**ITEM 1A. RISK FACTORS**

In addition to the information presented in this report, readers should carefully consider the risk factors set forth in the 2025 Annual Report, which could materially impact our business, financial condition, or future results. These risks are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem immaterial may also materially impact us.

**ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS**

None.

**ITEM 3. DEFAULTS UPON SENIOR SECURITIES**

None.

**ITEM 4. MINE SAFETY DISCLOSURES**

Not applicable.

**ITEM 5. OTHER INFORMATION**

None.

------

<u>[**Table of Contents**](#i497fd7052dd7459aaf8cd2950b0f44a3_13)</u>

**ITEM 6. EXHIBITS**

---

| | | |
|:---|:---|:---|
| **<u>Number</u>** | **<u>Exhibit Description</u>** | **<u>Reference</u>** |
| 10.1 | Federal Home Loan Bank of Boston 2026 Executive Incentive Plan | <u>[Exhibit 10.1 to our 8-K filed with the SEC on](https://www.sec.gov/Archives/edgar/data/1331463/000133146326000055/exhibit-2026eipplan.htm)[March 16, 2026](https://www.sec.gov/Archives/edgar/data/1331463/000133146326000055/exhibit-2026eipplan.htm)</u> |
| 31.1 | Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | <u>[Filed within this Form 10-Q](ex311_q12026.htm)</u> |
| 31.2 | Certification of the chief financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | <u>[Filed within this Form 10-Q](ex312_q12026.htm)</u> |
| 32.1 | Certification of the president and chief executive officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | <u>[Filed within this Form 10-Q](ex321_q12026.htm)</u> |
| 32.2 | Certification of the chief financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | <u>[Filed within this Form 10-Q](ex322_q12026.htm)</u> |
| 101.INS | XBRL Instance Document | The instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. |
| 101.SCH | Inline XBRL Taxonomy Extension Schema Document | Filed within this Form 10-Q |
| 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document | Filed within this Form 10-Q |
| 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document | Filed within this Form 10-Q |
| 101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document | Filed within this Form 10-Q |
| 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document | Filed within this Form 10-Q |
| 104 | The cover page of the Bank's Quarterly report on Form 10-Q, formatted in Inline XBRL | Included within the Exhibit 101 attachments |

---

\* Management contract or compensatory plan. Portions of this exhibit have been omitted.

**SIGNATURES**

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | | | |
|:---|:---|:---|:---|
| **Date** | **FEDERAL HOME LOAN BANK OF BOSTON (Registrant)** | **FEDERAL HOME LOAN BANK OF BOSTON (Registrant)** | **FEDERAL HOME LOAN BANK OF BOSTON (Registrant)** |
| May 7, 2026 | By: | /s/ | Timothy J. Barrett |
|  |  |  | Timothy J. Barrett<br>*President and Chief Executive Officer* |
| May 7, 2026 | By: | /s/ | Frank Nitkiewicz |
|  |  |  | Frank Nitkiewicz<br>*Executive Vice President, Chief Operating Officer* <br>*and Chief Financial Officer* |

---

## Exhibit 31.1

**EXHIBIT 31.1**

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the President and Chief Executive Officer

I, Timothy J. Barrett, certify that:

1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Boston;

2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting;

5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | May 7, 2026 | /s/ Timothy J. Barrett |
| |  | Timothy J. Barrett |
| |  | President and Chief Executive Officer |

---

## Exhibit 31.2

**EXHIBIT 31.2**

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, Frank Nitkiewicz, certify that:

1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Boston;

2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-(f)) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting;

5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | May 7, 2026 | /s/ Frank Nitkiewicz |
| |  | Frank Nitkiewicz |
| |  | Executive Vice President, Chief Operating Officer and Chief Financial Officer |

---

## Exhibit 32.1

**EXHIBIT 32.1**

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

I, Timothy J. Barrett, President and Chief Executive Officer of the Federal Home Loan Bank of Boston ("Registrant") certify that, to the best of my knowledge:

1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2026 ("Report"), fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | May 7, 2026 | /s/ Timothy J. Barrett |
| |  | Timothy J. Barrett |
| |  | President and Chief Executive Officer |

---

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Boston and will be retained by the Federal Home Loan Bank of Boston and furnished to the Securities and Exchange Commission or its staff upon request.

## Exhibit 32.2

**EXHIBIT 32.2**

Certification by the Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

I, Frank Nitkiewicz, Executive Vice President, Chief Operating Officer and Chief Financial Officer of the Federal Home Loan Bank of Boston ("Registrant") certify that, to the best of my knowledge:

1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Registrant's Quarterly Report on Form 10-Q for the period ended March 31, 2026 ("Report"), fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | May 7, 2026 | /s/ Frank Nitkiewicz |
| |  | Frank Nitkiewicz |
| |  | Executive Vice President, Chief Operating Officer and Chief Financial Officer |

---

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Boston and will be retained by the Federal Home Loan Bank of Boston and furnished to the Securities and Exchange Commission or its staff upon request.

<br>