Generally, FHLB is state tax exempt (but generally not Fannie and Freddie). Ultimately @Yuppieswewe you should check your state tax code they usually have a schedule of what investments are state tax exempt, tho FHLB is very likely exempt.
Footnote From the Vanguard tax info
https://investor.vanguard.com/content/dam/retail/publicsite/en/documents/taxes/USGO_012025.pdf
"Investments in U.S. government obligations may include the following: Federal Farm Credit Banks, Federal Home Loan Banks, the Student Loan Marketing Association, the Tennessee Valley Authority, the U.S. Treasury Department (bonds, notes, bills, certificates, and savings bonds), and certain other U.S. government obligations. GNMA, FNMA, Freddie Mac, repurchase agreements (including those that involve U.S. government obligations), and certain other securities are generally subject to state and local taxes."
