An interesting find. Not comparable to a T-bill. Select a benchmark with comparable duration. Like the video portrays above, the AAA rating is dubious. Here is a primer on FHLB: https://www.investopedia.com/terms/f/fhlb.asp. Note that the bond is backed by regional banks some which we hought some were going to go belly up just months ago.
Federal agency bonds are almost as safe as T-Bills. As a practical matter, the difference in risk is considered negligible. The US government is not going to let this kind of agency default. The "dubious" ratings that you are referring to from The Big Short were inflated ratings on CDOs--not bonds issued by FHLB. @TimtheEnchanter You didn't provide the CUSIP, so I can't be certain that I'm looking at the same bond in my screenshot. If it is the same bond: Schwab currently calculates a YTM of 5.861% and a YTW of 6.631%, and shows the bond offered at 100.097, not 99.900, as in your screenshot. The bond is callable, and you have to account for the possibility that you will get your principal back earlier than 2033, and that can have a significant impact on your yield. With that being said, I would not want to lock up any of my money for ten years right now. If interest rates rise and you need the money for something, you'll take a bath.
It is guaranteed by the FHLB which implies a government guarantee. Don't ask me what implies means. But, I would take that implied guarantee for a 100 bps over benchmark. That's just me.